UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-04236

JPMorgan Trust II

(Exact name of registrant as specified in charter)

522 Fifth Avenue
New York, New York 10036
(Address of principal executive offices) (Zip code)

Stephen M. Benham
522 Fifth Avenue
New York, New York 10036
(Name and Address of Agent for Service)

Registrant’s telephone number, including area code: (800) 480-4111

Date of fiscal year end: June 30, 2005

Date of reporting period: September 30, 2005

ITEM 1. SCHEDULE OF INVESTMENTS.

JPMorgan Trust II

Schedule of Portfolio Investments as of September 30, 2005

(Unaudited)

THE “UNAUDITED CERTIFIED MUTUAL FUNDS HOLDINGS” LIST (“the List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR SALES LITERATURE WITH THE GENERAL PUBLIC. The list is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a prospectus. The list has been created from the books and records of the Fund. Certified holdings are available 60 days after the fund’s fiscal quarter, using a trade date accounting convention, by contacting the appropriate service center. The list is subject to change without notice. The list is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security.

JPMorgan Asset Management is the marketing name for the asset management business of J.P. Morgan Chase & Co.

JPMorgan Distribution Services, Inc.

© J.P. Morgan Chase & Co., 2005.

JPMorgan Arizona Municipal Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount			Value
Long-Term Investments —97.6%
Municipal Bonds — 97.6%
Arizona — 97.6%
	$	1,000	Arizona Municipal Financing Program
			Series 20, COP, Adj., BIG, 7.70%, 08/01/10 (p)	$	1,149
		2,500	Arizona Power Authority, Crossover
			Series A, Rev., SO, 5.25%, 10/01/17		2,791
			Arizona School Facilities Board
		1,500	Series A, COP, MBIA, 5.00%, 09/01/12		1,628
		3,000	Series A, COP, MBIA, 5.25%, 03/01/13 (p)		3,316
		2,850	Arizona School Facilities Board, State School Improvement
			Rev., 5.25%, 07/01/12 (p)		3,137
		500	Arizona State Board of Regents, University of Arizona Projects
			COP, AMBAC, 5.50%, 06/01/11 (p)		554
			Arizona State Transportation Board Highway
		500	Rev., 6.00%, 07/01/10		547
		2,000	Series A, Rev., 5.25%, 07/01/17		2,203
		3,000	Series B, Rev., 5.25%, 07/01/18		3,266
		2,000	Sub-Series B, Rev., 5.00%, 07/01/21		2,130
			Arizona State University
		1,500	Rev., FSA, 5.25%, 07/01/12		1,657
		2,630	Series A, COP, FSA, 5.00%, 11/01/11		2,847
			Arizona Student Loan Acquisition Authority
		1,030	Series A-1, Rev., GTD STD LNS, 5.40%, 05/01/10		1,099
		1,000	Series A-1, Rev., GTD STD LNS, 5.88%, 05/01/18		1,071
			Arizona Water Infrastructure Finance Authority, Water Quality
		1,110	Series A, Rev, 5.63%, 10/01/14		1,212
		2,000	Series A, Rev, 5.75%, 10/01/11		2,193
		750	Series A, Rev., 5.38%, 10/01/11 (p)		829
		1,000	Series A, Rev., 5.38%, 10/01/15		1,080
		1,500	Series A, Rev., 5.38%, 10/01/11 (p)		1,657
		1,600	Series A, Rev., 5.50%, 10/01/16		1,737
			Central Arizona Water Conservation District, Central Arizona Project
		2,475	Rev., MBIA, 4.75%, 11/01/07		2,499
		3,000	Series A, Rev., 5.40%, 11/01/06		3,081
		1,665	City of Casa Grande
			Rev., AMBAC, 5.00%, 04/01/19		1,780
		5,000	City of Chandler, Capital Appreciation
			GO, FGIC, Zero Coupon, 07/01/07		4,740
			City of Mesa
		1,090	GO, FGIC, 5.38%, 07/01/14		1,224
		2,000	GO, FGIC, 5.75%, 07/01/09 (p)		2,179
		3,000	City of Mesa, IDA, Discovery Health Systems
			Series A, Rev., MBIA, 5.63%, 01/01/10 (p)		3,289
			City of Mesa, Street & Highway
		1,000	Rev., FSA, 5.00%, 07/01/12		1,088
		2,250	Rev., FSA, 5.30%, 07/01/09 (p)		2,416
			City of Peoria
		1,000	GO, FGIC, 5.00%, 04/01/20		1,045
		850	GO, FGIC, 5.40%, 04/01/14		907

JPMorgan Arizona Municipal Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Principal Amount			Value
		City of Phoenix
	2,000	GO, 5.88%, 07/01/10 (p)		2,209
	1,000	Series A, GO, 5.40%, 07/01/07		1,041
	220	City of Phoenix, IDA, Statewide
		Series A, Rev., AMT, GNMA/FNMA/FHLMC COLL, 5.35%, 06/01/20		225
	1,000	City of Phoenix, Street & Highway
		Rev., 6.50%, 07/01/09 (p)		1,082
	2,500	City of Phoenix, Street & Highway, Capital Appreciation, Junior Lien
		Series A, Rev., FGIC, Zero Coupon, 07/01/12		1,936
		City of Scottsdale
	1,000	GO, 5.25%, 07/01/06		1,018
	655	GO, 5.25%, 07/01/11 (p)		723
	2,000	GO, 5.75%, 07/01/09 (p)		2,179
	2,500	City of Scottsdale, IDA, Scottsdale Memorial Hospital
		Series A, Rev., AMBAC, 6.13%, 09/01/17		2,676
	1,065	City of Scottsdale, Street & Highway
		Rev., 5.50%, 07/01/07		1,110
	1,345	City of Scottsdale, Unrefunded Balance
		GO, 5.25%, 07/01/18		1,475
	970	City of Tempe, Excise Tax
		Series A, Rev., 5.63%, 07/01/20		1,043
	3,000	City of Tempe, Union High School District No. 213, Project of 1998
		Series B, GO, FGIC, 5.13%, 07/01/09 (p)		3,229
	1,000	City of Tuscon, Airport Authority, Inc.
		Rev., FSA, 5.00%, 06/01/12		1,081
	1,725	City of Tuscon, Street & Highway, Junior Lien
		Series 1994-E, Rev., FGIC, 5.50%, 07/01/10 (p)		1,891
	1,235	Greater Arizona Development Authority
		Series A, Rev., MBIA, 5.60%, 08/01/17		1,334
	1,000	Maricopa County, Elementary School District No. 1-Phoneix Elementary
		GO, MBIA, 5.50%, 07/01/07 (p)		1,051
	1,000	Maricopa County, Elementary School District No. 3-Tempe Elementary, Project of 1997
		Series E, GO, FGIC, 5.40%, 07/01/09 (p)		1,087
	2,000	Maricopa County, Elementary School District No. 28-Kyrene Elementary, Capital Appreciation
		Series C, GO, FGIC, Zero Coupon, 01/01/11		1,656
	1,215	Maricopa County, Elementary School District No. 38-Madison Elementary, Project of 1995
		Series B, GO, MBIA, 5.80%, 07/01/06 (p)		1,253
	1,265	Maricopa County, Elementary School District No. 38-Madison Elementary, Project of 2004
		Series A, GO, MBIA, 5.00%, 07/01/19		1,360
	2,950	Maricopa County, IDA, Capital Appreciation
		Series 1983A, Rev., Zero Coupon, 12/31/14 (p)		2,025
	500	Maricopa County, IDA, St. Joseph’s Hospital & Medical Center Projects
		Rev., 6.20%, 11/01/11		500
	1,225	Maricopa County, Unified School District No. 4-Mesa
		GO, FSA, 5.00%, 07/01/11		1,327
	1,720	Maricopa County, Unified School District No. 11-Peoria, Projects of 1996
		Series D, GO, FGIC, 5.25%, 07/01/09 (p)		1,859
	480	Maricopa County, Unified School District No. 11-Peoria, School Improvement
		GO, FGIC, 4.75%, 07/01/11 (p)		513
	1,020	Maricopa County, Unified School District No. 11-Peoria, Unrefunded Balance, School Improvement
		GO, FGIC, 4.75%, 07/01/14		1,074

JPMorgan Arizona Municipal Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount			Value
			Maricopa County, Unified School District No. 69-Paradise Valley
		3,100	GO, AMBAC, 5.80%, 07/01/09 (m)		3,378
		1,000	GO, MBIA, 6.35%, 07/01/10		1,132
		1,000	Maricopa County, Unified School District No. 69-Paradise Valley, Certificates Ownership
			Series A, GO, FGIC, 5.25%, 07/01/14		1,113
		1,205	Mohave County, Elementary School District No. 16
			GO, MBIA, 5.25%, 07/01/07 (p)		1,250
		2,050	Navajo County, Unified School District No. 10 Show Low
			Series A, GO, FGIC, 5.13%, 07/01/07 (p)		2,142
		1,500	Northern Arizona University
			COP, AMBAC, 5.00%, 09/01/21		1,595
		1,000	Oro Valley, Municipal Property Corp., Municipal Water System Acquisition Canada Hills
			Rev., MBIA, 5.45%, 07/01/08 (p)		1,070
		1,000	Phoenix Civic Improvement Corp.
			Rev., 5.00%, 07/01/21		1,068
		2,000	Phoenix Civic Improvement Corp., Airport Improvement, Senior Lien
			Series B, Rev., 6.00%, 07/01/08		2,025
			Pima County, IDA
		320	Series A, Rev., 6.40%, 08/01/11		323
		25	Series A, Rev., FHA/VA/PRIV MTGS/POOL INS, 7.63%, 02/01/12		25
		155	Series B, Step Coupon, Rev., AMT, GNMA/FNMA/FHLMC COLL, 6.95%, 11/01/23		155
		1,500	Pima County, IDA, Healthpartners
			Series A, Rev., MBIA, 5.30%, 04/01/07		1,549
		1,560	Pima County, Unified School District No. 12 Sunnyside
			GO, FSA, 5.00%, 07/01/14		1,704
		2,015	Salt River Project, Agricultural Improvement & Power District, Salt River Project
			Series A, Rev., 6.00%, 01/01/07		2,090
			Show Low Industrial Development Authority, Navapache Regional Medical Center
		1,000	Series A, Rev., ACA, 5.13%, 12/01/07		1,037
		1,000	Series A, Rev., ACA, 5.50%, 12/01/17		1,040
		2,500	Surprise Municipal Property Corp.
			Rev., FGIC, 5.70%, 07/01/09 (p)		2,741
			University of Arizona
		1,700	Series A, COP, AMBAC, 5.50%, 06/01/17		1,870
		1,365	Series A, COP, AMBAC, 5.00%, 06/01/19		1,448
		1,000	Series B, COP, AMBAC, 5.00%, 06/01/21		1,053
		700	Series 8, COP, MBIA, 4.90%, 08/01/09		741
		1,100	Yavapai County, IDA, Yavapai Regional Medical Center
			Series A, Rev., FSA, 5.13%, 12/01/13		1,153
		1,305	Yuma County, Elementry School District No. 1
			GO, MBIA, 5.25%, 07/01/07 (p)		1,367
		3,000	Yuma County, IDA, Multi-Family Mortgage
			Series A, Rev., AMT, GNMA COLL, 6.10%, 09/20/34		3,147
		1,000	Yuma County, IDA, Yuma Regional Medical Center
			Rev., MBIA, 5.50%, 08/01/09 (p)		1,060
			Total Long-Term Investments
			(Cost $129,128)		135,584
Short-Term Investment — 1.1%
Investment Company — 1.1%
		1,551	JPMorgan Tax Free Money Market Fund (b)
			(Cost $1,551)		1,551
Total Investments — 98.7%
(Cost $130,679)				$	137,135
Other Assets in Excess of Liabilities — 1.3%					1,771
Net Assets — 100.0%				$	138,906

Percentages indicated are based on net assets.

Abbreviations:

(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.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
(p)	Security is prerefunded or escrowed to maturity. The maturity date shown is the earlier of the reset date and the date of the prerefunded call.

ACA	Insured by American Capital Access
Adj.	Adjustable. The interest rate shown is the rate in effect at September 30, 2005.
AMBAC	American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax Paper
BIG	Bond Investment Guarantee
COLL	Collateral
COP	Certificates of Participation
FGIC	Financial Guaranty Insurance Co.
FHA	Federal Housing Authority
FHLMC	Federal Home Loan Mortgage Corporation
FNMA	Federal National Mortgage Association
FSA	Financial Security Assurance
GNMA	Government National Mortgage Association
GNMA COLL	GNMA Collateral
GO	General Obligation Bond
GTD STD LNS	Guaranteed Student Loans
IDA	Industrial Development Authority
MBIA	Municipal Bond Insurance Association
MTGS	Mortgages
POOL INS	Pool Insurance
PRIV MTGS	Private Mortgages
Rev.	Revenue Bond
SO	Special Obligation
VA	Veterans Administration

Aggregate gross unrealized appreciation	$	6,571
Aggregate gross unrealized depreciation		(115	)
Net unrealized appreciation/depreciation	$	6,456
Federal income tax cost of investments	$	130,679

JPMorgan Kentucky Municipal Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Long-Term Investments — 98.1%
Municipal Bonds — 98.1%
Arizona — 0.6%
	$	1,000	Tucson & Prima Counties, IDA, Capital Appreciation Series 1983 A,
			Rev., UGRIC PRIV MTGS/POOL INS, Zero Coupon, 12/01/14 (p)	$	689
California — 3.6%
			San Marcos, Public Facilities Authority, Custody Receipts
		1,990	Rev., Zero Coupon, 03/01/14 (p)		1,422
		1,715	Rev., Zero Coupon, 01/01/19 (p)		958
		2,850	Rev., Zero Coupon, 09/01/19 (p)		1,547
					3,927
Colorado — 1.6%
		2,600	El Paso County, Capital Appreciation
			Series A, Rev., Zero Coupon, 09/01/15 (p)		1,711
Kansas — 1.6%
		1,600	City of Kansas, Single Family Municipal Multiplier
			Series A, Rev., FHLMC COLL, Zero Coupon, 12/01/14 (p)		1,106
		1,000	Saline County, Single Family
			Rev., Zero Coupon, 12/01/15 (p)		658
					1,764
Kentucky — 82.0%
		1,500	Berea College, Utility, AMT, Rev., 5.90%, 06/01/07 (p)		1,572
		1,205	Boone & Florence Counties, Water Supply Systems
			Rev., FGIC, 4.00%, 12/01/08		1,234
			Boone County, School District Finance Corp., School Building
		1,740	Series B, Rev., 5.38%, 08/01/17		1,891
		1,000	Series B, Rev., FSA, 5.38%, 08/01/20		1,081
		1,010	Bowling Green
			GO, 5.25%, 06/01/13		1,092
		1,000	Carrollton & Henderson Counties, Public Energy Authority
			Series A, Gas Rev., FSA, 5.00%, 01/01/09		1,053
		1,225	Christian County, Public Courthouse Corp., District Court Facility Project
			Rev., 5.10%, 08/01/13		1,328
			Fayette County, School District Finance Corp.
		1,200	Rev., 5.25%, 09/15/09 (p)		1,289
		2,000	Rev., 5.38%, 09/15/09 (p)		2,156
		1,000	Rev., 5.50%, 09/15/09 (p)		1,083
		1,645	Rev., 5.50%, 06/01/10 (p)		1,794
		1,255	Series A, Rev., 5.35%, 01/01/07 (p)		1,316
		450	Greater Kentucky Housing Assistance Corp., Mortgage,
			Multi-Family Housing, Section 8 Assisted
			Series A, Rev., FHA, 5.90%, 02/01/14		451
			Hardin County, School District Finance Corp.
		2,465	Rev., 5.50%, 02/01/10 (p)		2,706
		1,825	Jefferson County, Capital Appreciation
			Series B, GO, Zero Coupon, 08/15/06		1,780

Principal Amount		Security Description	Value
		Jefferson County, Capital Projects
	500	Rev., 6.38%, 12/01/07 (p)		534
	2,000	Series A, AMBAC, 5.50%, 04/01/06 (p)		2,066
	930	Jefferson County, Health Facilities, Jewish Hospital Healthcare Services, Inc.
		Rev., 5.65%, 01/01/10		970
	400	Jefferson County, Louisville Medical Center
		Rev., 5.00%, 05/01/08		415
		Jefferson County, School District Finance Corp.
	1,000	Series A, Rev., FSA, 5.00%, 04/01/18		1,067
	1,320	Series A, Rev., FSA, 5.25%, 01/01/19		1,414
	1,000	Series A, Rev., FSA, 5.25%, 07/01/13		1,080
	1,490	Series A, Rev., FSA, 5.25%, 07/01/14		1,609
	1,000	Series B, Rev., FSA, 5.25%, 06/01/17		1,071
	2,315	Junction City College, Centre College Project
		Rev., 5.70%, 04/01/07 (p)		2,451
		Kenton County Airport Board, Cincinnati/Northern Kentucky
	2,115	AMT, Series C, Rev., MBIA, 5.00%, 03/01/11		2,242
	1,000	Series A, Rev., MBIA, 5.00%, 03/01/07		1,025
	1,000	Series A, Rev., MBIA, 5.00%, 03/01/08		1,038
	2,300	Kentucky Asset Liability Common General Fund, Project Notes
		First Series, Rev., MBIA-IBC, 5.00%, 02/01/07		2,361
		Kentucky Economic Development Finance Authority,
		Catholic Health Initiatives
	1,100	Rev., 4.25%, 09/01/09		1,131
	425	Series A, Rev., 5.38%, 12/01/11		446
	1,245	Kentucky Economic Development Finance Authority,
		Mortgage South Center Nursing
		Series A, Rev., MBIA FHA, 6.00%, 01/01/27		1,368
	625	Kentucky Housing Corp.
		Series D, Rev., FHA/ VA, 5.80%, 07/01/13		625
	1,000	Kentucky State Property & Buildings Commission, Project No. 63
		Rev., 5.10%, 11/01/09 (p)		1,071
	2,000	Kentucky State Property & Buildings Commission, Project No. 64
		Rev., MBIA, 5.75%, 11/01/09 (p)		2,192
		Kentucky State Property & Buildings Commission, Project No. 65
	715	Rev., 6.00%, 02/01/10 (p)		793
	1,500	Rev., FSA, 6.00%, 02/01/10 (p)		1,664
	1,500	Project No. 66, Series A, Rev., MBIA, 5.60%, 05/01/10 (p)		1,646
	1,500	Project No. 67, Rev., 5.13%, 09/01/10 (p)		1,623
	1,000	Project No. 68, Rev., 5.75%, 10/01/10 (p)		1,112
	1,000	Project No. 69, Series D, Rev., FSA, 5.50%, 08/01/10		1,094
	1,000	Project No. 71, Rev., MBIA-IBC, 5.50%, 08/01/12		1,114
	1,335	Project No. 73, Rev., 5.25%, 11/01/12		1,457
	2,000	Project No. 74, Rev., FSA, 5.38%, 02/01/09		2,134
	1,175	Project No. 84, Rev., MBIA, 5.00%, 08/01/22		1,295
	1,500	Project No. 85, Rev., FSA, 5%, 08/01/2022		1,594
	1,000	Kentucky State Turnpike Authority, Capital Appreciation Revitalization
		Rev., FGIC, Zero Coupon, 01/01/10		863
		Kentucky State Turnpike Authority, Resource Recovery
	55	Rev., 6.13%, 07/01/07 (p)		57
	190	Rev., 6.63%, 07/01/08 (p)		201

	Principal Amount		Security Description	Value
			Kentucky State Turnpike Authority, Revitalization Projects
		3,000	Rev., AMBAC, 5.50%, 07/01/08		3,186
		2,000	Rev., AMBAC, 5.50%, 07/01/09		2,159
		1,000	Rev., AMBAC, 6.50%, 07/01/08		1,087
		1,000	Series A, Rev., AMBAC, 5.50%, 07/01/11		1,107
		75	Kentucky State Turnpike Authority, Toll Road
			Rev., 6.13%, 07/01/08 (p)		78
			Lexington-Fayette County, Urban Government
		1,000	Series A, Rev., 5.00%, 07/01/17		1,069
		1,120	Series D, GO, 5.00%, 12/01/09		1,197
		1,500	Louisville & Jefferson County, Metropolitan Sewer District
			Series A, Rev., FGIC, 5.50%, 05/15/15		1,634
			Louisville & Jefferson County, Regional Airport Authority
		1,420	Series A, Rev., MBIA, 6.00%, 07/01/10		1,506
		1,000	Series A, Rev., FSA, 5.75%, 07/01/15		1,096
		1,000	Louisville Regional Airport Authority
			Rev., AMBAC, 5.00%, 07/01/21		1,048
			Louisville Waterworks Board, Water System
		1,115	Rev., FSA, 5.00%, 11/15/11		1,195
		1,000	Rev., FSA, 5.13%, 11/15/15		1,074
			McCracken County, Mercy Health Systems
		1,000	Series A, Hospital Rev., MBIA, 6.20%, 11/01/05		1,003
		2,090	Series A, Hospital Rev., MBIA, 6.40%, 11/01/07 (m)		2,137
			Murray State University
		240	Second Series, Series G, Rev., 5.60%, 05/01/06		241
		460	Second Series, Series G, Rev., 5.60%, 05/01/07		461
		1,260	Northern Kentucky University, Student Housing Facilities Project
			COP, AMBAC, 5.00%, 12/01/09		1,330
		1,060	Oldham County, School District Financial
			Rev., MBIA, 5.00%, 05/01/16		1,143
			Richmond Water, Gas & Sewer
		100	Series A, Rev., MBIA, 5.00%, 07/01/14		106
		255	Series B, Rev., MBIA, 5.00%, 07/01/14		271
					88,777
Louisiana — 3.9%
		860	Louisiana Housing Finance Agency, Single Family Mortgage
			Series A-1, Rev., GNMA/FNMA, 6.65%, 06/01/15		884
		1,000	Louisiana Public Facilities Authority, Custodial Receipts
			Series B, Rev., Zero Coupon, 12/01/19 (p)		529
		4,300	New Orleans Home Mortgage Authority, Compound Interest
			Series A, Rev., MBIA VEREX, Zero Coupon, 10/01/15 (p)		2,829
					4,242
Puerto Rico — 2.0%
		1,480	Commonwealth of Puerto Rico, Capital Appreciation
			GO, MBIA-IBC, Zero Coupon, 07/01/17		905
		2,000	Puerto Rico Highway & Transportation Authority
			Series A, Rev., AMBAC, Zero Coupon, 07/01/17		1,223
					2,128
Texas — 1.7%
		1,000	Central Housing Finance Corp., Single Family Mortgage
			Rev., VA/PRIV MTGS, Zero Coupon, 09/01/16 (p)		626

	Principal Amount		Security Description	Value
		1,850	Port Arthur Housing Finance Corp.
			Rev., Zero Coupon, 03/01/15 (p)		1,244
					1,870
Virgin Islands — 1.1%
		1,065	Virgin Islands Public Finance Authority, Matching Fund Lien Note
			Series A, Rev., 5.25%, 10/01/16		1,152
			Total Long-Term Investments (Cost $99,619)		106,260

	Shares
Short-Term Investment — 1.2%
Investment Company — 1.2%
		1,333	JPMorgan Tax Free Money Market Fund (b) (Cost $1,333)		1,333
Total Investments — 99.3% (Cost $100,952)				$	107,593
Other Assets in Excess of Liabilities — 0.7%					725
Net Assets 100.0%				$	108,318

Percentages indicated are based on net assets.

Abbreviations:

(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.

(m) All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

(p) Security is prerefunded or escrowed to maturity. The maturity date shown is the earlier of the reset date and the date of the prerefunded call.

AMBAC	American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax Paper
COLL	Collateral
COP	Certificates of Participation
FGIC	Financial Guaranty Insurance Co.
FHA	Federal Housing Authority
FHLMC	Federal Home Loan Mortgage Corporation
FNMA	Federal National Mortgage Association
FSA	Financial Security Assurance
GNMA	Government National Mortgage Association
GO	General Obligation Bond
IDA	Industrial Development Authority
MBIA	Municipal Bond Insurance Association
MBIA-IBC	Municipal Bond Insurance Association. Insured Bond Certificates
POOL INS	Pool Insurance
PRIV MTGS	Private Mortgages
Rev.	Revenue Bond
UGRIC	United Guaranty Residential Insurance Company
VA	Veterans Administration
VEREX	Verex Assurance Inc.

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	6,696
Aggregate gross unrealized depreciation		(55	)
Net unrealized appreciation/depreciation	$	6,641
Federal income tax cost of investments	$	100,952

JPMorgan Louisiana Municipal Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Long-Term Investments — 99.7%
Municipal Bonds — 99.7%
Louisiana — 99.7%
	$	1,230	Ascension Parish, Gravity Drain, Sales & Use Tax
			Rev., FGIC, 5.50%, 12/01/08	$	1,260
		1,000	Calcasieu Parish Public Trust Authority, Student Lease, McNeese Student Housing Project
			Rev., MBIA, 5.38%, 05/01/16		1,095
		1,125	Calcasieu Parish School District No. 30 Ward 4, Public School Improvement
			GO, FSA, 5.00%, 02/15/21		1,181
		350	City of New Orleans
			GO, FGIC, 5.85%, 11/01/05 (p)		351
		1,815	City of New Orleans, Capital Appreciation
			GO, AMBAC, Zero Coupon, 09/01/17		1,006
		495	City of New Orleans, Home Mortgage Authority
			SO, 6.25%, 01/15/11 (p)		555
			City of New Orleans, Sewer Service
		1,370	Rev., FGIC, 4.50%, 06/01/09		1,413
		1,000	Rev., FGIC, 5.38%, 06/01/14		1,062
		1,000	Rev., MBIA, 5.00%, 06/01/18		1,025
			City of Shreveport, Certificates of Indebtedness
		1,000	Series A, Rev., AMBAC, 5.00%, 10/01/16		1,047
		1,000	Series A, Rev., AMBAC, 5.25%, 10/01/10		1,078
		1,000	Series A, Rev., AMBAC, 5.50%, 10/01/12		1,082
		1,500	Series B, GO, MBIA, 5.25%, 03/01/17		1,649
		10	East Baton Rouge Parish, Mortgage Finance Authority
			Series B, Rev., GNMA/FNMA, 5.30%, 10/01/14		10
			East Baton Rouge Parish, Public Improvement, Sales & Use Tax
		3,905	Series A, Rev., FGIC, 5.50%, 02/01/09 (p)		4,221
		80	Iberia Home Mortgage Authority, Single Family Mortgage
			Rev., 7.38%, 01/01/11		81
			Jefferson Parish School Board, Sales & Use Tax
		1,495	Rev., AMBAC, 5.50%, 03/01/09		1,590
		2,070	Rev., FSA, Zero Coupon, 09/01/09		1,777
		2,000	Rev., MBIA, 5.00%, 02/01/08		2,071
			Lafayette Parish, Public Improvement, Sales Tax
		1,000	Rev., MBIA, 5.00%, 03/01/22		1,044
		1,000	Series B, Rev., FGIC, 5.35%, 03/01/09 (p)		1,082
		1,195	Series B, Rev., FGIC, 5.45%, 03/01/09 (p)		1,297
		1,985	Series B, Rev., FGIC, 5.60%, 03/01/09 (p)		2,164
		1,500	Louisiana Energy & Power Authority
			Rev., FSA, 5.75%, 01/01/13		1,675
			Louisiana Housing Finance Agency, Single Family Mortgage
		155	Series B-1, Rev., GNMA/FNMA COLL, 6.00%, 06/01/15		160
		595	Series B-2, AMT, Rev., GNMA/FNMA FHA/VA MTGS, 4.80%, 12/01/10		596
		110	Series D-2, AMT, Rev., GNMA/FNMA COLL, 6.10%, 12/01/11		113
		3,000	Louisiana Local Government Environmental Facilities & Community Development Authority
			Capital Projects & Equipment Acquisition
			Rev., AMBAC, 5.25%, 12/01/18		3,294
			Louisiana Office Facilities Corp., Capital Complex Program
		2,055	Rev., AMBAC, 5.50%, 05/01/15		2,252

JPMorgan Louisiana Municipal Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Principal Amount		Security Description	Value
	1,650	Series A, Rev., MBIA, 5.13%, 03/01/16		1,748
	1,000	Series A, Rev., MBIA, 5.38%, 03/01/19		1,068
	1,220	Series A, Rev., MBIA, 5.50%, 03/01/11		1,311
	2,000	Series A, Rev., MBIA, 5.50%, 03/01/13		2,149
	1,000	Louisiana Offshore Terminal Authority, Loop LLC Project
		Rev., Adj., 4.38%, 10/01/20		1,008
	35	Louisiana Public Facilities Authority, Alton Ochsner Medical Foundation Project
		Series B, Rev., MBIA, 5.75%, 05/15/08 (p)		37
	7,000	Louisiana Public Facilities Authority, Custodial Receipts
		Series B, Rev., Zero Coupon, 12/01/19 (p)		3,705
	8,000	Louisiana Public Facilities Authority, Custodial Receipts, Multi-Family Carriage
		Series A, Rev., Zero Coupon, 02/01/20 (m) (p)		4,192
	2,495	Louisiana Public Facilities Authority, Department of Public Safety
		Rev., FSA, 5.50%, 08/01/18		2,733
	1,000	Louisiana Public Facilities Authority, Dillard University Project
		Rev., AMBAC, 5.00%, 02/01/18		1,053
	1,475	Louisiana Public Facilities Authority, Hospital, Franciscan Missionaries
		Series A, Rev., FSA, 5.50%, 07/01/12		1,629
	275	Louisiana Public Facilities Authority, Hospital, Pendleton Memorial Methodist
		Rev., 5.00%, 06/01/08 (p)		285
	2,025	Louisiana Public Facilities Authority, Loyola University Project
		Rev., MBIA, 5.63%, 10/01/10		2,141
		Louisiana Public Facilities Authority, Tulane University of Louisiana
	735	Rev., AMBAC, 5.55%, 10/01/06 (p)		768
	1,605	Rev., AMBAC, 5.75%, 10/01/06 (p)		1,681
		Louisiana Public Facilities Authority, Women’s Hospital Foundation Project
	500	Rev., FSA, 6.00%, 10/01/10 (p)		559
	1,000	Rev., FGIC, 5.00%, 10/01/21		1,049
	2,000	Louisiana Public Facilities Authority, Xavier University of Louisiana Project
		Rev., MBIA, 5.13%, 09/01/12		2,086
	1,650	Louisiana Stadium & Exposition District
		Series A, Rev., FGIC, 5.65%, 07/01/07		1,670
	1,000	Louisiana Stadium & Exposition District, Hotel Occupancy Tax & Stadium
		Series B, Rev., FGIC, 5.25%, 07/01/16		1,055
	1,300	Louisiana State Military Department, Custody Receipts
		COP, 5.25%, 12/01/18		1,343
		Louisiana State University & Agricultural & Mechanical College
	1,120	Rev., MBIA, 5.50%, 07/01/13 (p)		1,163
	1,580	Rev., MBIA, 6.00%, 07/01/07 (p)		1,647
	1,000	Orleans Parish, Parishwide School District
		Series A, GO, FGIC, 5.13%, 09/01/15		1,022
	250	Orleans Parish, School Board
		GO, FGIC, 5.30%, 09/01/10		250
	555	Orleans Parish, School Board, Public School, Capital Refinancing
		Rev., MBIA, 6.00%, 06/01/09		601
	1,000	Ouachita Parish, Hospital Service District 1, Glenwood Regional Medical Center
		Rev., FSA, 5.70%, 05/15/16		1,083
		Port New Orleans Board of Commissioners
	1,000	Rev., AMBAC, 5.50%, 04/01/10		1,073
	1,675	Rev., AMBAC, 5.63%, 04/01/14		1,786

JPMorgan Louisiana Municipal Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
		1,000	South Port Commission, Cargill, Inc. Project
			Rev., 5.85%, 04/01/17		1,033
		1,000	St. Charles Parish, Public Improvement
			Rev., MBIA, 4.25%, 11/01/09		1,028
		1,215	St. Charles Parish, School District 1
			GO, FGIC, 5.00%, 03/01/09		1,276
		1,005	St. Tammany Parish, Public Trust Financing Authority, Christwood Project
			Rev., 5.25%, 11/15/08 (i)		1,024
			St. Tammany Parish, School District No. 12
		1,000	GO, FSA, 4.00%, 04/01/09		1,019
		485	GO, MBIA, 5.00%, 03/01/15		519
			State of Louisiana
		3,000	Series A, GO, FGIC, 5.25%, 11/15/10 (p)		3,268
		1,730	Series A, GO, FGIC, 5.50%, 11/15/08		1,842
		1,000	Series A, GO, FGIC, 5.50%, 05/15/15		1,089
		500	Series A, GO, MBIA, 5.70%, 08/01/08		532
		2,875	Series A, GO, MBIA, 5.80%, 08/01/10		3,166
		250	Series B, GO, MBIA, 5.60%, 08/01/08		266
		3,500	Series B, GO, MBIA, 5.63%, 08/01/13		3,918
		1,085	Tangipahoa Parish, School Board
			Rev., AMBAC, 5.50%, 03/01/13		1,172
			Total Long-Term Investments (Cost $94,138)		100,278
Total Investments — 99.7%
(Cost $94,138)				$	100,278
Other Assets in Excess of Liabilities — 0.3%					346
Net Assets — 100.0%				$	100,624

Percentages indicated are based on net assets.

Abbreviations:

(i)	Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
(p)	Security is prerefunded or escrowed to maturity. The maturity date shown is the earlier of the reset date and the date of the prerefunded call.

Adj.	Adjustable. The interest rate shown is the rate in effect at October 30, 2005.
AMBAC	American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax Paper
COLL	Collateral
COP	Certificates of Participation
FGIC	Financial Guaranty Insurance Co.
FHA	Federal Housing Authority
FHLMC	Federal Home Loan Mortgage Corporation
FNMA	Federal National Mortgage Association
FSA	Financial Security Assurance
GNMA	Government National Mortgage Association
GO	General Obligation Bond
MBIA	Municipal Bond Insurance Association
Rev.	Revenue Bond
SO	Special Obligation
VA MTGS	Veterans Administration Mortgages

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	6,229
Aggregate gross unrealized depreciation		(89	)
Net unrealized appreciation/depreciation	$	6,140
Federal income tax cost of investments	$	94,138

JPMorgan Michigan Municipal Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Principal Amount		Security Description	Value
Long-Term Investments — 98.6%
Municipal Bonds — 98.6%
Colorado — 0.6%
	$3,000	E-470 Public Highway Authority
		Series B, Rev., MBIA, Zero Coupon, 09/01/19	$	1,591
Michigan — 96.7%
	2,500	Battle Creek
		Tax Allocation, MBIA, 5.00%, 05/01/16		2,601
	1,625	Brighton Township Sanitation and Sewer Drainage District
		GO, FSA, 5.25%, 10/01/16		1,721
		Caledonia Community Schools
	2,300	GO, MBIA Q-SBLF, 5.00%, 05/01/20		2,457
	4,500	GO, MBIA Q-SBLF, 5.85%, 05/01/07 (m) (p)		4,697
	1,475	GO, Q-SBLF, 5.75%, 05/01/10 (p)		1,627
	1,250	Central Motcalm Public Schools
		GO, MBIA Q-SBLF, 5.90%, 05/01/09 (p)		1,364
		Charles Stewart Mott Community College, Building & Improvement
	1,380	GO, FGIC, 5.40%, 05/01/10 (p)		1,502
	1,775	GO, FGIC, 5.50%, 05/01/10 (p)		1,940
	1,675	Charles Stewart Mott Community College, Community College Facilities
		GO, MBIA, 5.00%, 05/01/20		1,789
	1,235	Charlevoix Public School District
		GO, FSA, 5.75%, 05/01/09 (p)		1,341
	1,150	Charlotte Public School District
		GO, Q-SBLF, 5.25%, 05/01/09 (p)		1,229
		Chelsea Economic Development Corp., United Methodist Retirement
	1,075	Rev., 5.40%, 11/15/18		1,091
	2,000	Rev., 5.40%, 11/15/27		1,999
	1,730	Chippewa County, Hospital Finance Authority
		Series B, Rev., 5.63%, 11/01/14		1,752
	2,500	Chippewa Hills School District
		GO, FGIC Q-SBLF, 5.30%, 05/01/09 (p)		2,677
	1,000	Chippewa Valley School District
		GO, Q-SBLF, 5.00%, 05/01/10		1,071
		City of Detroit
	2,570	Series A, GO, FSA, 5.25%, 04/01/13		2,746
	1,500	Series A-1, GO, MBIA, 5.38%, 04/01/16		1,643
	2,000	Series B, Rev., MBIA, 6.00%, 07/01/10		2,232
		City of Detroit, Capital Appreciation
	5,000	Series A, Rev., FGIC, Zero Coupon, 07/01/13		3,670
	1,500	Series A, Rev., FGIC, Zero Coupon, 07/01/17		901
	3,850	City of Detroit, Local Development Finance Authority, Tax Increment
		Series A, Tax Allocation, 5.38%, 05/01/18		3,932
	1,800	City of Detroit, Wayne County Stadium Authority
		Rev., FGIC, 5.50%, 02/01/17		1,888
	1,000	City of Port Huron
		Series A, GO, MBIA, 5.25%, 10/01/19		1,063
		Clarkston Community Schools
	4,090	GO, AMBAC Q-SBLF, 5.00%, 05/01/15		4,258
	2,580	GO, AMBAC Q-SBLF, 5.05%, 05/01/16		2,688

Principal Amount		Security Description	Value
		Dearborn, Economic Development Corp., Oakwood Obligation Group
	430	Series A, Rev., FGIC, 5.25%, 11/15/05		431
	1,690	Series A, Rev., FGIC, 5.60%, 11/15/08		1,728
	1,560	Series A, Rev., FGIC, 5.60%, 11/15/09		1,596
	2,075	East Grand Rapids Public School District
		GO, FSA Q-SBLF, 5.00%, 05/01/18		2,218
		East Lansing School District, School Building & Site
	1,000	GO, Q-SBLF, 5.40%, 05/01/10 (p)		1,089
	2,580	GO, Q-SBLF, 5.75%, 05/01/10 (p)		2,847
	1,645	Ecorse Public School District
		GO, FGIC Q-SBLF, 5.50%, 05/01/08 (p)		1,757
	1,105	Emmet County Building Authority
		GO, AMBAC, 5.00%, 05/01/15		1,190
	4,675	Farmington Public School District
		GO, Q-SBLF, 5.10%, 05/01/07 (p)		4,826
		Ferris State University
	2,500	Rev., AMBAC, 5.75%, 4/01/07 (m) (p)		2,625
	5,000	Rev., AMBAC, 5.85%, 4/01/07 (p)		5,256
	1,000	Fitzgerald Public School District, School Building & Site
		Series B, Rev., GO, AMBAC, 5.00%, 05/01/22		1,058
	2,000	Forest Hills Public Schools
		GO, 5.25%, 05/01/10 (p)		2,164
	1,000	Grand Blanc Community Schools
		GO, FSA Q-SBLF, 5.00%, 05/01/15		1,083
	3,000	Grand Haven Electric
		Rev., MBIA, 5.25%, 07/01/08		3,166
	1,060	Grand Ledge Public Schools District
		GO, FGIC Q-SBLF, 5.00%, 05/01/21		1,129
	1,370	Grand Rapids Building Authority
		GO, AMBAC, 5.75%, 08/01/13		1,509
	1,500	Grand Rapids Water Supply
		Rev., FGIC, 5.75%, 01/01/16		1,658
	2,000	Harper Creek Community School District
		GO, Q-SBLF, 5.50%, 05/01/11 (p)		2,210
	2,660	Hartland Consolidated School District
		GO, Q-SBLF, 5.38%, 05/01/16		2,896
	1,515	Healthsource Saginaw, Inc.
		GO, MBIA, 5.00%, 05/01/20		1,618
	1,600	Howell Public Schools, School Building & Site
		GO, Q-SBLF, 5.00%, 05/01/15		1,730
	1,000	Huron Valley School District
		GO, FGIC Q-SBLF, 5.88%, 05/01/07 (p)		1,044
		Jackson Capital Appreciation Downtown Development
	1,620	GO, FSA, Zero Coupon, 06/01/16		1,026
	1,710	GO, FSA, Zero Coupon, 06/01/17		1,029
	2,060	GO, FSA, Zero Coupon, 06/01/18		1,178
	1,200	GO, FSA, Zero Coupon, 06/01/19		653
		Jackson Public Schools
	1,130	GO, FGIC Q-SBLF, 5.60%, 05/01/10 (p)		1,240
	1,405	GO, FGIC Q-SBLF, 5.65%, 05/01/10 (p)		1,544
	1,620	Jackson Public Schools, Building & Site
		GO, FGIC Q-SBLF, 5.00%, 05/01/18		1,732
	1,390	Jenison Public Schools
		GO, FGIC, 5.25%, 05/01/15		1,544
	1,790	Lake Orion Community School District
		Series A, GO, FGIC Q-SBLF, 5.75%, 05/01/10 (p)		1,975

Principal Amount		Security Description	Value
	1,490	Lansing Community College
		GO, FGIC, 4.00%, 05/01/08		1,522
	1,250	Lansing Community College, Building & Site
		GO, MBIA, 5.00%, 05/01/19		1,330
	1,000	Lincoln Park School District
		GO, FGIC Q-SBLF, 5.00%, 05/01/20		1,023
	1,330	Livingston County, Building Authority
		GO, 5.80%, 07/01/08		1,396
		Lowell Area Schools, Capital Appreciation
	5,000	GO, FGIC Q-SBLF, Zero Coupon, 05/01/14		3,515
	1,425	GO, FGIC Q-SBLF, Zero Coupon, 05/01/16		906
	1,670	Madison Public Schools
		GO, FGIC Q-SBLF, 5.13%, 05/01/09 (p)		1,778
	1,155	Michigan Higher Education Facilities Authority, Calvin College Project, Limited Obligation
		Rev., 5.50%, 12/01/12 (i)		1,236
	1,240	Michigan Higher Education Facilities Authority, Kettering University, Limited Obligation
		Rev., AMBAC, 5.50%, 09/01/19		1,362
		Michigan Higher Education Student Loan Authority, AMT
	1,000	Series XVII-A, Rev., Adj., AMBAC, 5.75%, 06/01/13		1,029
	1,500	Series XVII-F, Rev., AMBAC, 4.20%, 03/01/09		1,525
	1,200	Series XII-T, Rev., AMBAC, 5.30%, 09/01/10		1,273
		Michigan Municipal Bond Authority, Clean Water Revolving Fund
	3,250	Rev., 5.50%, 10/01/09 (p)		3,554
	1,000	Rev., 5.75%, 10/01/09 (p)		1,103
	2,500	Rev., 5.88%, 10/01/10 (p)		2,813
		Michigan Municipal Bond Authority, Drinking Water Revolving Fund
	1,250	Rev., 5.00%, 10/01/18		1,349
	2,500	Rev., 5.50%, 10/01/09 (p)		2,733
		Michigan Municipal Bond Authority, Local Government Lien Program
	1,055	Series 4-A, Rev., AMBAC, 5.00%, 05/01/16		1,137
	1,500	Series A, Rev., FGIC, 6.00%, 12/01/13		1,534
	4,250	Michigan Municipal Bond Authority, School Loans
		Rev., 5.25%, 12/01/08 (p)		4,558
	1,570	Michigan Public Power Agency, Campbell Project
		Series A, Rev., AMBAC, 4.00%, 01/01/10		1,614
	1,245	Michigan Public Power Agency, Combustion Turbine No. 1 Project
		Series A, Rev., AMBAC, 5.25%, 01/01/14		1,359
		Michigan State Building Authority, Facilities Program
	2,675	Series I, Rev., 5.25%, 10/15/11		2,854
	1,250	Series I, Rev., FSA, 5.25%, 10/15/15		1,370
	1,500	Michigan State Hospital Finance Authority
		Rev., MBIA, 5.00%, 11/15/19		1,593
		Michigan State Hospital Finance Authority, Mercy Health Services
	1,000	Series R, Rev., AMBAC, 5.38%, 08/15/16 (p)		1,026
	3,795	Series U, Rev, 5.63%, 08/15/16 (p)		3,972
	6,875	Series W, Rev., FSA, 5.25%, 08/15/17 (p)		7,149
	2,590	Michigan State Hospital Finance Authority, Port Huron Hospital Obligations
		Rev., FSA, 5.38%, 07/01/12		2,647
		Michigan State Housing Development Authority
	1,340	Rev, GNMA College, 4.10%, 12/20/15		1,315
	1,880	Rev, GNMA College, 4.60%, 12/20/25		1,848
		Michigan State Trunk Line
	1,000	Rev., FSA, 5.25%, 11/01/20		1,126
	1,340	Series A, Rev., 5.00%, 11/01/08		1,413
	1,170	Michigan Strategic Fund, Detroit Pollution Fund
		Series BB, Rev., AMBAC, 7.00%, 05/01/21		1,523

Principal Amount		Security Description	Value
	2,750	Mount Pleasant School District
		GO, AMBAC Q-SBLF, 5.30%, 05/01/08 (p)		2,899
	1,210	Newaygo Public Schools
		GO, MBIA Q-SBLF, 5.00%, 05/01/22		1,284
	915	Northwestern Michigan College, Improvement
		GO, FGIC, 5.60%, 10/01/09 (p)		996
	150	Northwestern Michigan College, Unrefunded Balance
		GO, FGIC, 5.60%, 04/01/16		162
	2,050	Oakland County Economic Development Corp.
		Rev., LOC: First of America Bank, 5.63%, 06/01/07 (p)		2,176
	2,500	Oakland County Economic Development Corp., Cranbrook Educational Community
		Rev., 5.00%, 11/01/17		2,638
	1,670	Oakland University
		Rev., AMBAC, 5.25%, 05/15/19		1,820
	1,000	Otsego Public School District, School Building & Site
		GO, FSA Q-SBLF, 5.00%, 05/01/21		1,059
	1,200	Paw Paw Public School District
		GO, FGIC Q-SBLF, 6.50%, 05/01/09		1,297
	1,680	Pellston Public School District, Capital Appreciation
		GO, FSA Q-SBLF, Zero Coupon, 05/01/07 (p)		558
	1,910	Pinckney Community Schools
		GO, FSA Q-SBLF, 5.00%, 05/01/19		2,035
		Rochester Community School District
	1,000	GO, MBIA Q-SBLF, 5.00%, 05/01/19		1,098
	7,315	GO, MBIA Q-SBLF, 5.25%, 05/01/07 (p)		7,568
	7,015	GO, MBIA Q-SBLF, 5.30%, 05/01/07 (p)		7,263
	1,000	Rockford Public School District
		GO, FSA Q-SBLF, 5.00%, 05/01/20		1,068
		South Lyon Community Schools, School Building & Site
	1,375	GO, FGIC, 5.25%, 05/01/17		1,502
	1,935	GO, Series II, FGIC, 5.00%, 05/01/21		2,061
		South Macomb Disposal Authority
	1,085	Rev., AMBAC, 5.38%, 09/01/13		1,177
	1,590	Rev., AMBAC, 5.38%, 09/01/15		1,715
	1,500	South Redford School District, School Building & Site
		GO, MBIA Q-SBLF, 5.00%, 05/01/21		1,597
		Southfield Library Building Authority
	1,450	GO, MBIA, 5.00%, 05/01/19		1,554
	1,560	GO, MBIA, 5.00%, 05/01/20		1,666
	1,175	GO, MBIA, 5.30%, 05/01/10 (p)		1,274
		Southfield Public Schools, School Building & Site
	1,100	Series B, GO, FSA Q-SBLF, 5.13%, 05/01/15		1,201
	2,000	Series B, GO, FSA Q-SBLF, 5.13%, 05/01/20		2,144
	2,085	Southgate Community School District
		GO, FGIC Q-SBLF, 5.00%, 05/01/09 (p)		2,211
	1,765	St. John’s Public School
		GO, FGIC Q-SBLF, 5.00%, 05/01/16		1,837
		State of Michigan
	1,490	GO, 5.25%, 12/01/11		1,637
	985	GO, 5.40%, 11/01/05 (p)		997
	1,000	Rev., FSA, 5.25%, 05/15/21		1,125
	2,000	State of Michigan, Partnership Certificates
		COP, AMBAC, 5.50%, 06/01/18		2,164
	470	State of Michigan, Unrefunded Balance
		GO, 5.40%, 11/01/05 (p)		476
	1,450	Tawas City Hospital Finance Authority, St. Joseph Asset Guaranty
		Rev., RADIAN-IBC, 5.60%, 02/15/13 (p)		1,536

Principal Amount		Security Description	Value
	1,030	Tecumseh Public Schools
		GO, Q-SBLF, 5.40%, 05/01/10 (p)		1,121
		University of Michigan, Hospital
	1,000	Rev., 5.00%, 12/01/10		1,069
	6,000	Series A-1, Rev., 5.25%, 12/01/10		6,310
	2,000	Walled Lake Consolidated School District
		GO, Q-SBLF, 5.25%, 05/01/18		2,158
	3,040	Wayland Union School District
		GO, FGIC Q-SBLF, 5.10%, 05/01/12		3,131
	1,175	Wayne County
		Series B, GO, MBIA, 5.13%, 11/01/18		1,247
		Wayne County, Charter Airport
	1,275	Series B, Rev., MBIA, 5.25%, 12/01/12		1,351
	1,500	Series D, Rev., FGIC, 5.25%, 12/01/09		1,599
		Wayne State University
	215	Rev., AMBAC, 5.50%, 11/15/07		215
	2,000	Rev., FGIC, 5.25%, 11/15/19		2,154
	2,000	Rev., FGIC, 5.38%, 11/15/14		2,167
	2,015	West Bloomfield School District
		GO, FSA, 5.00%, 05/01/21		2,146
	1,000	Western Michigan University
		Rev., MBIA, 5.00%, 11/15/19		1,066
	1,000	Willow Run Community Schools
		GO, FSA Q-SBLF, 5.00%, 05/01/20		1,068
	1,500	Wyandotte Electric
		Rev., MBIA, 4.00%, 10/01/11		1,537
	1,000	Zeeland Public Schools
		GO, FGIC, 5.00%, 05/01/21		1,065
				273,312
Puerto Rico — 1.2%
		Commonwealth of Puerto Rico
	880	GO, 5.75%, 07/01/17		933
	2,195	GO, MBIA, 6.25%, 07/01/12		2,558
				3,491
Total Long Term Investments
(Cost $263,057)				278,394
Shares
Short-Term Investments — 0.9%
Investment Company — 0.9%
	2,573	JPMorgan Tax Free Money Market Fund (b)		2,573
		(Cost $2,573)
Total Investments — 99.4%
(Cost $265,630)			$	280,967
Other Assets in Excess of Liabilities — 0.6%				1,604
Net Assets — 100.0%			$	282,571

Percentages indicated are based on net assets.

Abbreviations:

(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.
(i)	Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
(p)	Security is prerefunded or escrowed to maturity. The maturity date shown is the earlier of the reset date and the date of the prerefunded call.
Adj.	Adjustable. The interest rate shown is the rate in effect at September 30, 2005.
AMBAC	American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax Paper
COP	Certificates of Participation
FGIC	Financial Guaranty Insurance Co.
FSA	Financial Security Assurance
GNMA	Government National Mortgage Association
GO	General Obligation Bond
LOC	Letter of Credit
MBIA	Municipal Bond Insurance Association
Q-SBLF	Qualified School Board Loan Fund
RADIAN-IBC	Radian Insured Bond Custodial Certificate
Rev.	Revenue Bond

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	15,588
Aggregate gross unrealized depreciation		(251	)
Net unrealized appreciation/depreciation	$	15,337
Federal income tax cost of investments	$	265,630

JPMorgan Municipal Income Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Long-Term Investments — 96.4%
Municipal Bonds — 96.4%
Alabama — 1.2%
			Alabama 21st Century Authority, Tobacco Settlement
	$	1,020	Rev., 5.50%, 12/01/10	$	1,098
		1,790	Rev., 5.75%, 12/01/12		1,948
		2,000	Rev., 5.75%, 12/01/19		2,143
		2,290	Rev., 5.85%, 12/01/13		2,493
		3,365	Alabama Public School & College Authority, Capital Improvement Rev., 5.25%, 11/01/11		3,599
					11,281
Alaska — 3.7%
		12,940	Alaska Housing Finance Corp., Capital Appreciation, General Mortgage
			Series A, Rev., MBIA, Zero Coupon, 12/01/17		6,416
			Alaska Student Loan Corp.
		2,750	Series A, Rev., AMT, AMBAC, 5.75%, 07/01/14		2,858
		1,870	Series A, Rev., AMT, AMBAC, 6.20%, 07/01/09		1,911
		4,500	Series A, Rev., GTD STD LNS, 5.00%, 06/01/11		4,810
			Four Dam Pool Power Agency, Electrical
		1,830	Rev., LOC: Dexia Credit Local, 5.00%, 07/01/22		1,885
		1,945	Rev., LOC: Dexia Credit Local, 5.00%, 07/01/23		1,995
		1,030	Rev., LOC: Dexia Credit Local, 5.00%, 07/01/24		1,053
		2,525	Matanuska-Susitna Boro
			Series D, GO, AMBAC, 5.00%, 04/01/10		2,700
			North Slope Boro
		2,700	Series A, GO, MBIA, Zero Coupon, 06/30/08		2,470
		1,000	Series A, GO, MBIA, Zero Coupon, 06/30/10		842
		6,350	Series A, GO, MBIA, Zero Coupon, 06/30/13		4,654
		2,000	North Slope Boro, Capital Appreciation
			Series B, GO, MBIA, Zero Coupon, 06/30/09		1,761
					33,355
Arizona — 2.4%
		950	Arizona Housing Finance Authority
			Series 2A, Rev., Adj., GNMA COLL, 5.63%, 07/01/34		970
		5,000	Arizona State University
			Series II-R-174, Rev., Adj., FSA, 7.63%, 07/01/09 (m)		5,723
		1,865	City of Phoenix, IDA, Single Family Mortgage
			Series 2002-2, Rev., Adj., GNMA/FNMA/FHLMC, 5.95%, 03/01/34		1,893
		2,235	Gila County
			COP, 6.40%, 06/01/14 (i)		2,371
		1,000	Gila County, IDA, Cobre Valley Community Hospital
			Rev., ACA, 6.00%, 12/01/20		1,073
		1,915	Maricopa County, IDA
			Series 2B, Rev., Adj., GNMA/FNMA/FHLMC, 5.95%, 03/01/34		1,944
		1,385	Maricopa County, IDA, Multi-Family Housing, Coral Point Apartments Project
			Series B, Rev., Adj., 5.10%, 03/01/28		1,404
			Phoenix Civic Improvement Corp.
		1,000	AMT, Junior Lien, Rev., FGIC, 5.50%, 07/01/10		1,033

	Principal Amount		Security Description	Value
		2,500	AMT, Junior Lien, Rev., FGIC, 5.63%, 07/01/13		2,588
		855	Pima County, IDA, Single Family Mortgage
			Series A-1, Rev., GNMA/FNMA/FHLMC, 5.00%, 05/01/25		880
		1,695	Tucson & Prima Counties, IDA, Single Family Mortgage
			Series 1A, Adj., GNMA COLL, 5.63%, 07/01/34		1,718
			Tucson & Prima Counties, IDA, Single Family Mortgage, Mortgage Backed Securities Program
		160	Series 1A, Rev., GNMA/FNMA, 5.70%, 07/01/12		161
		105	Series 1A, Rev., GNMA/FNMA, 6.10%, 07/01/22		105
					21,863
Arkansas — 0.2%
		300	Arkansas Development Finance Authority, Compound Accretion
			Series 1, Rev., Zero Coupon, 5.25%, 03/01/14		191
		950	Arkansas Development Finance Authority, Mortgage Backed Securities Program
			Series E, AMT, GNMA/FNMA, 4.75%, 01/01/20		952
		47	Drew County, Public Facilities Board, Single Family Housing
			Series A-2, Rev., FNMA, 7.90%, 08/01/11		48
		10	Drew County, Public Facilities Board, Single Family Housing, Privately Insured Mortgage Loans
			Series B, Rev., VEREX, 7.75%, 08/01/11		10
			Jacksonville Residential Housing Facilities Board, Single Family Mortgage
		79	Series A-2, Rev., FNMA, 7.90%, 01/01/11		79
		1	Series B, Rev., VEREX, 7.75%, 01/01/11		1
		87	Lonoke County Residential Housing Facilities Board, Single Family Mortgage
			Series A-2, Rev., FNMA, 7.90%, 04/01/11		89
		47	Stuttgart Public Facilities Board, Single Family Mortgage
			Series A, Class A-2, Rev., FNMA, 7.90%, 09/01/11		47
					1,417
California — 4.5%
			California Rural Home Mortgage Finance Authority, Mortgage Backed Securities Program
		720	Series D, Rev., Adj., GNMA/FNMA, 7.10%, 06/01/31		724
		405	Series D, Rev., GNMA/FNMA, 5.00%, 12/01/11		411
			California State Department of Water Resources
		3,000	Series A, Rev., MBIA, 5.25%, 05/01/10		3,259
		2,000	Series A, Rev., MBIA-IBC, 5.50%, 05/01/10		2,194
			California Statewide Communities Development Authority, Regulated Linked Pars & Inflos
		500	COP, 5.40%, 11/01/05 (p)		500
		3,300	Rev., Adj., 8.08%, 11/01/05 (m) (p)		3,306
		5,000	California Statewide Communities Development Authority, Poinsettia Apartments
			Series B, Rev., Adj., LIQ: FNMA, 4.75%, 06/15/31		5,218
		155	Redondo Beach, Redevelopment Agency, Residential Mortgage
			Series B, Rev., 6.25%, 06/01/11 (i)		153
			State of California
		1,375	AMT, Veterans, Series BT, GO, 5.38%, 12/01/16		1,394
		5,000	GO, 5.00%, 08/01/22		5,270
		2,650	Series D-1, GO, Adj., 2.45%, 05/01/33		2,650
		5,000	Series II-R-190, GO, Adj., XLCA-ICR, 9.14%, 02/01/15		6,594
		5,290	State of California, Veterans Bond
			Series BG, GO, FSA, 5.15%, 12/01/15		5,521
		2,960	Turlock Irrigation District
			Series A, Rev., MBIA, 5.00%, 01/01/15		3,179
					40,373

	Principal Amount		Security Description	Value
Colorado — 9.8%
		2,300	Arapahoe County, Single Family Mortgage
			Rev., IMI, Zero Coupon, 09/01/10 (p)		1,927
		5,030	City of Aurora
			Series A-2, Rev., Zero Coupon, 03/01/13 (p)		2,812
		1,920	City of Aurora, McKesson Corp. Project
			Series A, Rev., Adj, 5.38%, 12/01/11		1,921
		1,000	City of Erie, Water Enterprise
			Rev., ACA, 5.13%, 12/01/10		1,038
		865	Colorado Health Facilities Authority, First Mortgage, Christian Living
			Series A, Rev., 6.40%, 01/01/10 (i)		892
		1,445	Colorado Housing & Facilities Finance Authority, Capital Appreciation, Single Family Program
			Series C-1, AMT, Rev., Zero Coupon, 11/01/29		387
		1,085	Colorado Housing & Facilities Finance Authority, Multi-Family Housing Insured Mortgage
			Series C-3, Rev., FHA, 5.70%, 10/01/21		1,086
			Colorado Housing & Facilities Finance Authority, Multi-Family Project
		680	Series C-3, Class I, AMT, Rev., 4.45%, 04/01/11		696
		1,030	Series C-3, Class I, AMT, Rev., 4.55%, 10/01/12		1,056
		1,020	Series C-3, Class I, AMT, Rev., 4.65%, 10/01/13		1,040
			Colorado Housing & Facilities Finance Authority, Single Family Program
		1,530	Rev., FHA, Series C-2, AMT, 7.05%, 04/01/31		1,580
		465	Series B-2, Rev., MBIA-IBC, 6.80%, 04/01/30		479
		2,500	Countrydale Metropolitan District
			GO, Adj., LOC: Compass Bank, 3.50%, 12/01/32		2,496
			Denver City & County
		4,990	ROL II-R-98-A, Rev., Adj., FSA, 8.09%, 05/15/09 (m)		5,799
		3,000	Series A, Rev., AMBAC, 5.63%, 06/01/35		3,194
		5,000	Series A, Rev., AMBAC, 6.00%, 11/15/10		5,533
		5,000	Series A, Rev., AMBAC, 6.00%, 11/15/12		5,529
		9,000	Series A, Rev., AMBAC, 6.00%, 11/15/14		9,953
			Denver City & County, Capital Appreciation, Single Family Mortgage
		1,000	Series A, Rev., MGIC, Zero Coupon, 07/01/10		780
		9,850	Series A, Rev., MGIC, Zero Coupon, 07/10/14		6,267
			Denver City & County, Single Family Mortgage, Metropolitan Mayors Caucus
		285	Rev., Adj., GNMA/FNMA/FHLMC COLL, 6.00%, 05/01/27		288
		725	Rev., Adj., GNMA/FNMA/FHLMC COLL, 6.15%, 11/01/34		729
		230	Series A, Rev., Adj., GNMA/FNMA/FHLMC COLL, 7.30%, 11/01/31		231
		1,000	Denver City & County, Special Facilities, Rental Car Project
			Series A, Rev., MBIA, 6.00%, 01/01/13		1,080
		5,660	Douglas County, School District No. Re-1
			Series 163, GO, Adj., MBIA, 6.93%, 06/15/09 (m)		6,632
		650	El Paso County
			Series A, Rev., GNMA/FNMA/FHLMC COLL, 6.20%, 11/01/25		651
		1,870	El Paso County School District No. 11, Colorado Springs
			GO, 7.13%, 12/01/19		2,410
		2,500	Englewood, Multi-Family Housing, Marks Apartments Project
			Rev., 6.65%, 12/01/26		2,577
		3,500	Mesa County, Residential
			Rev., Zero Coupon, 12/01/11 (p)		2,783

	Principal Amount		Security Description	Value
		10,000	Metropolitan Football Stadium District, Sales Tax Capital Appreciation
			Series A, Rev., MBIA, Zero Coupon, 01/01/07 (m)		9,628
		6,960	Northern Metropolitan District, Adams County
			GO, MBIA-IBC, 6.50%, 12/01/16		7,435
					88,909
Connecticut — 1.6%
			City of Stamford, Housing Authority, Rippowam Park Apartments Project
		4,350	Rev., 6.25%, 10/01/19 (m)		4,574
		9,200	Rev., 6.38%, 10/01/29		9,674
					14,248
Delaware — 0.1%
		1,165	Delaware State Housing Authority, Single Family Mortgage
			Series A-1, Rev., AMBAC, 5.17%, 01/01/30		1,179
District of Columbia — 2.0%
			District of Columbia
		11,840	COP, AMBAC, 5.25%, 01/01/13		12,825
		1,000	Series A, GO, AMBAC, 5.38%, 06/01/10		1,054
		1,000	Series B, GO, FGIC, 5.25%, 06/01/15		1,080
		2,895	District of Columbia Tobacco Settlement Financing Corp., Asset Backed Bonds
			Rev., 5.20%, 05/15/08		2,988
					17,947
Florida — 5.4%
			Capital Projects Finance Authority, Capital Projects Loan Program
		2,385	Series F-1, Rev., MBIA, 5.50%, 10/01/13		2,590
		2,880	Series F-1, Rev., MBIA, 5.50%, 10/01/14		3,112
		2,860	Capital Trust Agency, Seminole Tribe Convention
			Series C, Rev., ACA, 6.00%, 10/01/17		3,094
		5,000	City of Tampa
			Rev., FSA, 5.00%, 10/01/17		5,426
		4,000	Collier County School Board
			COP, FSA, 5.25%, 02/15/21		4,472
		630	Florida Housing Finance Corp, Homeowner Mortgage
			Series 2, AMT, Rev., MBIA, 4.75%, 07/01/19		632
		4,720	Florida State Board of Education
			Rols RR-II-R-235, GO, Adj., 7.12%, 06/01/10		5,415
		6,325	Fort Pierce Utilities Authority
			Rols RR-II-R-241-4, Rev., Adj., AMBAC, 7.12%, 10/01/16		7,396
			Highlands County Health Facilities Authority, Adventis Health
		1,000	Series A, Rev., Adj., 5.00%, 11/15/17 (m)		1,055
		2,500	Rev., Adj., 3.95%, 11/15/32		2,473
		2,500	Miami Health Facilities Authority
			Rev., Adj., AMBAC, 7.77%, 08/15/15		2,557
		2,900	Miami-Dade County, Special Obligation
			Sub-Series A, Rev., MBIA, Zero Coupon, 10/01/16		1,703
		2,045	Orange County, Housing Finance Authority
			Series B, Rev., AMT, GNMA/FNMA, 5.40%, 09/01/32		2,117
			Palm Beach County, North County Courthouse Projects
		1,000	Rev., 5.00%, 12/01/11		1,085
		1,195	Rev., 5.00%, 12/01/12		1,303
		1,100	Pompano Beach, Water & Sewer
			Rev., FGIC, 5.50%, 07/01/16		1,155
			Santa Rosa Bay Bridge Authority, Capital Appreciation

	Principal Amount		Security Description	Value
		1,320	Rev., ACA MBIA, Zero Coupon, 07/01/08		1,203
		1,625	Rev., ACA MBIA, Zero Coupon, 07/01/09		1,425
		1,535	Rev., ACA-CBI-MBIA-IBC, Zero Coupon, 07/01/12		1,191
					49,404
Georgia — 2.0%
		1,500	City of Atlanta, Airport Facilities
			Series A, Rev., AMBAC, 6.50%, 01/01/08 (p)		1,611
			Dallas County, Legacy at Dallas Project
		440	Series A, Rev., 5.35%, 12/01/27 (i)		264
		785	Series A, Rev., 5.45%, 12/01/35 (i)		471
		2,805	Series A, Rev., 5.60%, 12/01/43 (i)		1,683
		5,000	De Kalb County, Housing Authority, Friendly Hills Apartments
			Series A, Rev., FHA, 7.05%, 01/01/39		5,321
		1,000	Fulton County, Building Authority, Capital Appreciation, Judicial Center Project
			Rev., Zero Coupon, 01/01/10		864
		1,765	Fulton County, Housing Authority Multi-Family, Capital Appreciation, Judicial Center Project
			Series A, Rev., 6.30%, 07/01/06 (p)		1,898
		5,500	Municipal Electric Authority
			Rols RR-II-R-253, Rev., Adj., AMBAC, 7.12%, 01/01/26		6,058
					18,170
Hawaii — 0.2%
		885	City & County of Honolulu, Smith-Beretania
			Series 8A, GO, MBIA-FHA, 4.80%, 01/01/12		885
		970	Hawaii Housing & Community Development Corp., Multi-Family Housing, Sunset Villas
			Rev., GNMA, 5.00%, 07/20/11		980
					1,865
Idaho — 0.4%
		1,975	Idaho Housing & Finance Association
			Series A, Class III, Rev., 5.55%, 07/01/20		2,012
			Idaho Housing & Finance Association, Single Family Mortgage
		205	Series D, Rev., FHA, 6.45%, 07/01/14		211
		250	Series E-2, Rev, 5.95%, 07/01/14		251
		440	Series H, Rev., FHA, 6.05%, 07/01/14		455
		440	Sub Series A, Rev., FHA, 5.35%, 07/01/11		441
					3,370
Illinois — 3.1%
		4,450	Chicago Heights
			Series A, GO, FGIC, 5.65%, 12/01/16		4,758
		1,000	Chicago O’Hare International Airport, Second Lien Passenger Facilities
			Series A, Rev., AMT, AMBAC, 5.50%, 01/01/09		1,063
		635	City of Chicago
			Series D, AMT, Rev., GNMA/FNMA, 5.75%, 10/01/34		672
		3,000	City of Chicago, City Colleges Capital Improvement
			GO, FGIC, 6.00%, 01/01/10		3,311
		100	City of Chicago, Midway Airport
			Series A, Rev., FSA, 5.13%, 01/01/26		103
			City of Chicago, Single Family Mortgage
		295	Series B, Rev., Adj., GNMA/FNMA/FHLMC COLL, 6.00%, 04/01/26		295
		2,135	Series B, Rev., Adj., GNMA/FNMA/FHLMC COLL, 6.00%, 10/01/33		2,153
		250	Series C, Rev., MBIA-IBC, 7.00%, 03/01/32		253

	Principal Amount		Security Description	Value
		3,500	City of Peru, Construction Freightways Corp. Project
			Series B, Rev., 5.25%, 01/01/04 (i)		198
		2,660	Cook County, Community High School District No. 219-Niles Township
			GO, FGIC, 5.88%, 12/01/10 (p)		2,980
		2,745	DeKalb & Ogle Counties, Community College District No. 523
			GO, FSA, 5.75%, 02/01/13		3,001
			Illinois Developmental Finance Authority, Multi-Family Housing, Lincoln Place
		3,430	Series A, Rev., GNMA, 6.50%, 07/20/15		3,836
		4,465	Series A, Rev., GNMA, 6.60%, 07/20/21		4,984
		120	Peoria, Moline & Freeport, Single Family Collateral Mortgage
			Series A, Rev., GNMA COLL FHA/VA MTGS, 7.60%, 04/01/27		122
					27,729
Indiana — 2.4%
		2,000	City of Indianapolis, Local Public Improvements Bond Bank
			Series A, FSA, 6.50%, 01/01/08		2,143
			City of Indianapolis, Multi-Family Housing, Turtle Creek, North Apartments
		395	Series A, Rev., GNMA, 3.40%, 12/20/09		389
		550	Series A, Rev., GNMA, 4.15%, 12/20/14		543
		700	Series A, Rev., GNMA, 4.38%, 12/20/19		692
		2,000	Indiana Development Finance Authority, Southern Indiana Gas & Electric
			Series C, Rev., AMT, Adj., 5.00%, 03/01/30		2,010
		5,000	Indiana Housing & Community Development Authority
			Series B-2, Rev., GNMA/FNMA, 5.00%, 07/01/36		5,244
			Indiana Housing Finance Authority, Single Family Mortgage
		1,055	Series A-1, Rev., GNMA/FNMA, 5.10%, 01/01/17		1,070
		655	Series A-2, Rev., AMT, FHA, 6.45%, 07/01/14		661
		3,130	Indiana Housing Finance Authority, Toll Road
			Rev., 6.00%, 07/01/15		3,192
		4,550	Indiana Transportation Finance Authority, Highway, Unrefunded Balance
			Series A, Rev., AMBAC, 5.75%, 06/01/12		5,132
		4,900	Town of Fremont, Consolidated Freightways Corp. Project
			Rev., 5.25%, 05/01/04 (d) (i)		279
					21,355
Kansas — 2.7%
			Butler County, Public Building Commission
		2,055	Rev., MBIA, 4.50%, 10/01/20		2,091
		2,045	Rev., MBIA, 4.50%, 10/01/21		2,070
		1,905	City of Wichita, Hospital Facilities Improvement
			Rev., 6.75%, 11/15/14		2,136
		1,035	Kansas Development Finance Authority, Multi-Family Housing, Lom Vista Apartments
			Series O, Rev., GNMA COLL, 6.50%, 06/20/34		1,116
			Sedgwick & Shawnee Counties
		2,000	Series A-3, Rev., GNMA/FNMA, 5.50%, 06/01/28		2,129
		1,000	Series A-3, Rev., GNMA/FNMA, 5.65%, 06/01/37		1,086
			Sedgwick & Shawnee Counties, Mortgage-Backed Securities Program
		1,675	Series A, Rev., Adj., GNMA/FNMA, 5.25%, 06/01/28		1,682
		1,760	Series A, Rev., Adj., GNMA/FNMA COLL, 6.05%, 06/01/27		1,879
		3,690	Series A-4, Rev., Adj., GNMA/FNMA COLL, 5.65%, 06/01/28		3,756
		3,255	Series B-2, AMT, Rev., Adj., GNMA/FNMA COLL, 6.45%, 12/01/33		3,390
		55	Sedgwick & Shawnee Counties, Single Family Mortgage, Capital Appreciation
			Rev., MBIA FHA, Zero Coupon, 10/01/16		18

	Principal Amount		Security Description	Value
		2,690	Sedgwick & Shawnee Counties, Single Family Mortgage-Backed Securities Program
			Series B-3, Rev., Adj., GNMA/FNMA, 5.75%, 12/01/34		2,892
					24,245
Kentucky — 1.3%
			Kentucky Economic Development Finance Authority, Norton HealthCare, Inc.
		10,475	Series B, Rev., MBIA, Zero Coupon, 10/01/06		10,175
		1,615	Series C, Rev., MBIA, Zero Coupon, 10/01/06		1,646
		345	Meade County, PCR, Olin Corp. Project
			Rev., 6.00%, 07/01/07 (i)		345
					12,166
Louisiana — 4.1%
			Calcasieu Parish Public Transportation Authority
		450	Series A, Rev., GNMA/FNMA, 5.00%, 04/01/28		462
		630	Series A, Rev., GNMA/FNMA, 5.55%, 04/01/12		656
		5,310	City of Lafayette, Public Power Authority Electric
			Rols RR-II-246-2, Rev., Adj., AMBAC, 7.12%, 11/01/10		5,990
		3,095	City of Shreveport
			Series A, GO, FGIC, 6.00%, 05/01/09		3,362
			Jefferson Parish Home Mortgage Authority, Single Family Mortgage
		1,115	Series B-1, Rev., Adj., GNMA/FNMA COLL, 6.65%, 12/01/33		1,161
		6,655	Series C, Rev., GNMA/FNMA, 4.50%, 12/01/24		6,478
		595	Series C-1, Rev., GNMA/FNMA, 7.00%, 06/01/29		600
			Louisiana Energy & Power Authority
		4,460	Rev., FSA, 5.75%, 01/01/11		4,904
		4,320	Rev., FSA, 5.75%, 01/01/12		4,792
		2,290	Rev., FSA, 5.75%, 01/01/13		2,557
			Louisiana Housing Finance Agency, Single Family Access Program
		175	Series B, Rev., GNMA/FNMA COLL, 8.00%, 03/01/25		178
		1,310	Series D-2, AMT, Rev., GNMA/FNMA, 7.05%, 06/01/31		1,316
		200	Louisiana Public Facilities Authority Hospital, Franciscan Missionaries
			Series C, Rev., FSA, 5.00%, 07/01/28		202
		60	Louisiana Public Facilities Authority, Single Family Mortgage
			Series B, Rev., GNMA/FNMA, 5.75%, 08/01/31		62
		1,000	Louisiana Stadium & Exposition District, Hotel Occupancy Tax & Stadium
			Series B, Rev., FGIC, 5.25%, 07/01/16		1,055
			St. Tammany Parish Hospital Service District No. 2
		540	Series B, GO, RADIAN, 5.25%, 03/01/11		572
		515	Series B, GO, RADIAN, 5.25%, 03/01/12		547
		475	St. Tammany Parish Public Trust Financing Authority, Christwood Project
			Rev., 5.70%, 11/15/18 (i)		486
		2,000	State of Louisiana
			Series A, GO, MBIA, 5.00%, 08/01/10		2,133
					37,513
Maine — 0.3%
		2,375	Maine State Housing Authority, Single Family Housing
			Series C-2, AMT, Rev., AMBAC, 6.15%, 11/15/17		2,429
Maryland — 0.6%
		640	Baltimore County, Multi-Family Housing, Compound Interest
			Series A, Rev., FHA, Zero Coupon, 09/01/24		232
		2,000	City of Baltimore, Port Facilities
			Rev., Adj., 6.50%, 12/01/10		2,116

	Principal Amount		Security Description	Value
		5,610	Prince Georges County, Housing Authority, Mortgage, Capital Appreciation, Foxglenn Apartments
			Series A, Rev., GNMA COLL, Zero Coupon, 05/20/22		2,185
		505	Prince Georges County, Housing Authority, Single Family Mortgage
			Series A, AMT, Rev., Adj., GNMA/FNMA/FHLMC, 5.60%, 12/01/34		511
					5,044
Massachusetts — 1.0%
		1,795	Massachusetts Educational Financing Authority, Educational Loan
			Series E, Rev., AMBAC, 4.60%, 01/01/10		1,835
		2,500	Massachusetts Housing Finance Agency, Multi-Family Housing
			Series A, Rev., AMBAC, 6.40%, 12/01/15		2,571
		100	Massachusetts Housing Finance Agency, Single Family Housing
			Series 21, Rev., Adj., 7.13%, 06/01/25		100
		1,275	Massachusetts Industrial Finance Agency, University Commons Nursing
			Series A, Rev., FHA, 6.55%, 08/01/18		1,398
			New Bedford Housing Authority, Capital Funding Program
		675	Series A, Rev., 3.40%, 10/01/11		671
		700	Series A, Rev., 3.60%, 10/01/12		699
		725	Series A, Rev., 3.75%, 10/01/13		725
		750	Series A, Rev., 3.90%, 10/01/14		754
					8,753
Michigan — 1.0%
			Clawson City School District
		1,455	GO, MBIA Q-SBLF, 5.00%, 05/01/15		1,588
		1,605	GO, MBIA Q-SBLF, 5.00%, 05/01/17		1,733
			Michigan State Building Authority, Facilities Program
		4,000	Series I, Rev., 5.00%, 10/15/12		4,263
			Utica Community Schools, Building & Site
		1,300	GO, FGIC Q-SBLF, 5.00%, 05/01/12		1,410
					8,994
Minnesota — 0.4%
		680	Blaine IDR, Consolidated Freightways Corp. Project
			Rev., 5.15%, 01/01/04 (i)		39
		1,625	Minneapolis Community Development Agency, Multi-Family Housing, Riverside Homes Project
			Rev., 6.10%, 09/01/19		1,659
		261	Minneapolis Residual Interest, Convention Capital Appreciation Mortgage
			Rev., 7.00%, 10/01/12		261
		1,420	Minnesota Housing Finance Agency, Single Family Mortgage
			Series A, Rev., GO OF AGY, 5.75%, 07/01/18		1,452
					3,411
Mississippi — 0.7%
		6,400	Mississippi Higher Education Assistance Corp., Student Loan
			Series B-3, Rev., GTD STD LNS, 5.45%, 03/01/10		6,647
Missouri — 1.3%
		915	Cameron Community Hospital, IDA
			Rev., ACA, 6.25%, 12/01/12		1,004
		2,570	City of Kansas, Streetlight Project
			Series B, GO, 5.13%, 02/01/17		2,654
		1,235	City of St. Louis, Lambert-St. Louis International Airport
			Series A, Rev., FSA, 5.00%, 07/01/09		1,310
			Missouri Housing Development Commission, AMT, Single Family Homeowner Mortgage

	Principal Amount		Security Description	Value
		265	Series B-1, Rev., GNMA/FNMA COLL, 6.15%, 03/01/20		269
		330	Series B-1, Rev., MBIA-IBC, 7.45%, 09/01/31		334
		830	Series C-1, Rev., GNMA/FNMA, 7.15%, 03/01/32		865
		2,995	St. Louis County, Housing Authority, Oakmont Hathaway & Brighton
			Series A, Rev., LIQ: FNMA, 4.55%, 05/01/31		3,109
		2,000	University City, IDA, Multi-Family Housing, Oak Forest Apartment Project
			Rev., Adj., LOC: Sumitomo Bank Ltd., 7.38%, 03/01/21		2,032
					11,577
Montana — 0.2%
		1,420	Montana State Housing Board, Single Family Mortgage
			Series B-2, AMT, Rev., 6.00%, 12/01/29		1,449
Nebraska — 0.9%
		3,000	Lancaster County, IDR, Archer-Daniels-Midland Co. Project
			Rev., 5.90%, 11/01/07		3,059
		5,000	Nebraska Public Power District
			Rols RR-II-R-209, Rev., Adj., MBIA, 7.63%, 01/01/12		5,521
					8,580
Nevada — 0.8%
		1,900	City of Las Vegas, Special Improvement District No. 707, Special Assessment
			Series A, FSA, 5.40%, 06/01/14		2,028
		3,000	Director of the State Department Business & Industrial Waste Disposal, Waste Management, Income Project
			Rev., Adj., 3.30%, 10/01/14		2,975
		1,455	Nevada Housing Division, Multi-Unit Housing, Citivista Project, AMT
			Series A-1, Rev., FNMA, 5.45%, 10/01/15		1,508
			Nevada Housing Division, Single Family Mortgage
		270	Series A-1, Rev., 5.20%, 04/01/11		271
		100	Series B-1, AMT, Rev., 6.00%, 04/01/10		101
		95	Series C, Rev., FHA/VA/PRIV MTGS, 6.60%, 04/01/14		96
					6,979
New Jersey — 3.1%
		2,310	Casino Reinvestment Development Authority, New Jersey Hotel Room Fee
			Rev., AMBAC, 5.00%, 01/01/15		2,480
		3,000	New Jersey Economic Development Authority, School Facilities Construction
			Series O, Rev., 5.25%, 03/01/14		3,289
			New Jersey Health Care Facilities Financing Authority, Shore Memorial Health Care Systems
		1,295	Rev., RADIAN, 5.00%, 07/01/10		1,373
		1,355	Rev., RADIAN, 5.00%, 07/01/11		1,444
			New Jersey Transportation Trust Fund Authority, Transportation Systems
		10,000	Series C, Rev., MBIA, 5.25%, 06/15/15		11,066
		7,500	Rols RR-II-R-149, Rev., Adj., AMBAC, 7.64%, 12/15/08 (m)		8,445
					28,097
New Mexico — 1.0%
			New Mexico Educational Assistance Foundation, Student Loan Program
		985	1st Sub Series A-2, Rev., GTD, 6.20%, 11/01/08		997
		590	1st Sub Series A-2, Rev., GTD, 6.30%, 11/01/09		598
			New Mexico Mortgage Finance Authority, Single Family Mortgage
		235	Series A-2, AMT, Rev., GNMA/FNMA/FHLMC COLL, 6.05%, 07/01/16		236
		100	Series A-2, Rev., GNMA/FNMA COLL, 4.60%, 09/01/29		100
		5,530	Series C-2, AMT, Rev., FNMA/GNMA, 4.70%, 09/01/33		5,646
		1,250	Series E-2, AMT, Rev., GNMA/FNMA/FHLMC COLL, 6.80%, 03/01/31		1,324
					8,901

	Principal Amount		Security Description	Value
New York — 3.6%
			City of New York
		2,000	Series A, GO, 5.25%, 08/01/10		2,082
		5,000	Series C, GO, 5.50%, 08/01/13		5,515
			City of New York, Unrefunded Balance
		2,015	Series A, GO, 5.25%, 11/01/08		2,139
		1,000	Series B, GO, 5.25%, 08/01/10		1,042
		2,085	Series C, GO, XLCA-ICR, 5.50%, 11/15/10		2,199
		1,095	Hempstead Town, Industrial Development Agency, Adelphi University Civic Facilities
			Rev., 5.25%, 02/01/10		1,165
			Islip Resource Recovery Agency, 1985 Facility
		1,000	Series F, Rev., FSA, 5.00%, 07/01/12		1,062
		2,140	Series F, Rev., FSA, 5.00%, 07/01/13		2,261
		1,365	Monroe County, Airport Authority, Greater Rochester International
			Rev., MBIA, 5.25%, 01/01/12		1,465
			New York State Dormitory Authority, Jewish Board of Family & Children
		1,050	Rev., AMBAC, 5.00%, 07/01/10		1,123
		1,100	Rev., AMBAC, 5.00%, 07/01/11		1,183
		1,150	Rev., AMBAC, 5.00%, 07/01/12		1,243
		5,000	New York State Thruway Authority
			Series B, Rev., AMBAC, 5.00%, 04/01/19		5,379
		3,000	New York State Urban Development Corp.
			Series A, Rev., 5.25%, 01/01/21		3,169
		1,675	Tobacco Settlement Financing Corp, Asset Backed
			Series B-1, Rev., XLCA-ICR, 4.00%, 06/01/12		1,720
					32,747
North Carolina — 0.1%
		770	Asheville Housing Authority, Multi-Family, Battery Park Apartment
			Series A, Rev., GNMA, 3.90%, 08/20/15		745
		500	North Carolina Housing Finance Agency, Home Ownership
			Series 8-A, Rev., AMT, 5.95%, 01/01/27		511
					1,256
North Dakota — 0.0% (g)
		470	North Dakota State Housing Finance Agency, Housing Finance Program
			Series A, Rev., 6.00%, 07/01/17		485
Ohio — 5.8%
		6,000	City of Akron, Municipal Baseball Stadium Project
			COP, 6.90%, 12/01/06 (p)		6,380
		2,750	City of Cleveland, First Mortgage
			Series 1, Rev., MBIA, 5.13%, 11/15/18		2,857
		1,900	Cleveland-Cuyahoga County Port Authority, Port Development of Cleveland
			Series A, Rev, 5.38%, 05/15/18		1,929
		1,320	Cleveland-Cuyahoga County, Port Authority, Cleveland City Project
			Series B, Rev., 4.50%, 05/15/30		1,321
		1,675	Cleveland-Cuyahoga County, Port Authority, Port Capital Improvement Project
			Series A, Rev., 5.38%, 05/15/19		1,692
			Cleveland-Cuyahoga County, Port Authority, Port Cleveland Bond Fund
		590	Series 1, Rev., LOC: Fifth Third Bank, 6.25%, 05/15/16		617
		1,055	Series A, Rev., 6.20%, 05/15/22		1,115
		2,000	Series C, Rev., 5.25%, 11/15/15		2,053

	Principal Amount		Security Description	Value
		1,015	Cleveland-Cuyahoga County, Port Authority, Port Development C & P Docks Project
			Series 1, Rev., 6.00%, 03/01/07 (p)		1,044
			Cuyahoga County, Multi-Family Housing, Carter Manor
		300	Rev., GNMA, 3.25%, 09/20/09		299
		550	Rev., GNMA, 4.00%, 09/20/14		540
			Dublin City School District, Capital Appreciation
		2,885	GO, FGIC, Zero Coupon, 12/01/13		2,080
		3,580	GO, FGIC, Zero Coupon, 12/01/14		2,442
		1,065	Lucas County, Swan Creek Apartments Project
			Series A, Rev., GNMA, 5.95%, 12/20/21		1,132
		2,500	Montgomery County, Care Facilities, Mary Scott Project
			Series A, Rev., GNMA COLL, 6.55%, 09/20/32		2,834
		4,500	Montgomery County, Hospital Improvement, Kettering Medical Center
			Rev., MBIA, 5.63%, 04/01/16		4,643
		1,000	Ohio Air Quality Development Authority, Cleveland Pollution Control
			Series B, Rev., Adj., 3.75%, 10/01/30		1,001
		320	Ohio Housing Finance Agency, AMT, Residential
			Series B, Rev., GNMA COLL, 4.65%, 09/01/20		322
		2,400	Ohio Housing Finance Agency, Residential Mortgage-Backed Securities
			Series C, Rev., GNMA, 4.63%, 09/01/31		2,417
		2,000	Ohio State Higher Education Capital Facilities
			Series II-A, Rev., 5.50%, 12/01/09		2,174
			RiverSouth Authority, Area Redevelopment
		2,430	Series A, Rev., 5.00%, 12/01/16		2,636
		1,135	Series A, Rev., 5.25%, 12/01/15		1,260
		1,000	State of Ohio, Mortgage
			Rev., FHA, 6.20%, 08/01/17		1,038
			Summit County, Port Authority, Eastland Woods Project
		290	Series A, Rev., FHA, 3.25%, 12/20/09		285
		425	Series A, Rev., FHA, 4.00%, 12/20/14		416
		580	Series A, Rev., FHA, 4.35%, 12/20/19		571
		1,020	Series A, Rev., FHA, 4.75%, 12/20/26		1,022
			Toledo Lucas County, Port Authority Development, Northwest Ohio Bond Fund
		815	Series C, AMT, Rev., 6.00%, 05/15/11		864
		930	Series E, Rev., 6.10%, 11/15/10		972
		455	Series F, Rev., 6.00%, 11/15/07		467
			Toledo Lucas County, Port Authority Development, Northwest Ohio Bond Fund, Oracle
		1,590	Series C, 5.35%, 11/15/12		1,653
		795	Series C, AMT, Rev., 4.35%, 11/15/07		806
		500	Upper Arlington City, School District
			GO, FSA, 5.00%, 12/01/22		532
		1,710	Upper Arlington City, School District, Capital Appreciation
			GO, FSA, Zero Coupon, 12/01/14		1,166
					52,580
Oklahoma — 0.9%
		1,205	Canadian County, Home Finance Authority, Single Family Mortgage, Mortgage Backed Securities Program
			Series A, Rev., Adj., GNMA COLL, 6.70%, 09/01/32		1,229
		2,000	City of Enid, Municipal Authority, Sales Tax and Utility
			Rev., AMBAC, 4.50%, 02/01/10		2,070

	Principal Amount		Security Description	Value
		2,500	Oklahoma County Home Finance Authority, Mortgage Backed Securities
			Series A-2, Rev., GNMA, 5.70%, 04/01/36		2,670
		2,000	Oklahoma Development Finance Authority, Hillcrest Healthcare System
			Series A, Rev., 5.63%, 08/15/09 (p)		2,181
					8,150
Oregon — 2.9%
			Clackamas County, School District No. 62, Oregon City
		2,215	GO, SCH BD GTY, 5.50%, 06/15/10		2,425
179162DN9, 179162DP4		9,835	GO, SCH BD GTY, 6.00%, 06/15/10 (p)		10,989
		365	IDK Partners III Trust
			5.10%, 08/01/23		366
		1,975	Keizer Urban Renewal Agency, North River Economic, Tax Allocation
			Series A, 5.00%, 12/01/12		2,072
		5,410	Multnomah & Yamill Counties School District No. 1J
			Series 171, Adj., MBIA, 6.93%, 06/01/12 (m)		6,208
		2,555	Oregon State Facilities Authority, Cascadian Terrace Apartments
			Series A, Rev., LOC: Bank of the West, 5.10%, 11/01/32		2,639
		1,890	Oregon State, Department of Administrative Services, Education Project
			Series A, Rev., FSA, 5.25%, 04/01/11		2,024
					26,723
Other Territory — 6.1%
			Multi-Family Housing, Bond Pass Through Certificates
		1,430	Series 2000-2, Rev., Adj., 6.00%, 11/01/33		1,477
		2,905	Series 2000-3, Rev., Adj., 6.00%, 11/01/33		3,000
		1,830	Series 2000-4, Rev., Adj., 6.00%, 11/01/33		1,890
		2,525	Series 7, Rev., Adj., 5.85%, 05/01/35		2,610
		2,450	Multi-Family Housing, Bond Pass Through Certificates, Bent Tree
			Series 3, Rev., 6.00%, 05/01/34		2,677
		1,520	Multi-Family Housing, Bond Pass Through Certificates, Grand Reserve Apartments of Texas
			Series 8, Rev., Adj., 5.95%, 11/01/35		1,573
		3,160	Multi-Family Housing, Bond Pass Through Certificates, Lakewood Jefferson County
			Series 6, Rev., 5.75%, 11/01/34		3,364
		1,980	Multi-Family Housing, Bond Pass Through Certificates, Manzano Mesa Apartments
			Series 2, Rev., Adj., 5.95%, 11/01/34		2,047
		2,845	Multi-Family Housing, Bond Pass Through Certificates, Meridian TDHCA
			Series 9, Rev., 5.85%, 11/01/34		3,050
		2,365	Multi-Family Housing, Bond Pass Through Certificates, North Oak Crossing
			Series 11, Rev., Adj., 5.75%, 11/01/34		2,460
		2,018	Multi-Family Housing, Bond Pass Through Certificates, Park Row in Houston
			Series 14, 5.75%, 11/01/34		2,149
		2,370	Multi-Family Housing, Bond Pass Through Certificates, Ranch View
			Series 5, Rev., 6.00%, 05/01/34		2,589
		2,450	Multi-Family Housing, Bond Pass Through Certificates, Silverton
			Series 4, Rev., 6.00%, 05/01/34		2,677
		2,630	Multi-Family Housing, Bond Pass Through Certificates, Skyway Villas TDHCA
			Series 7, Rev., 5.95%, 11/01/34		2,839
		1,355	Multi-Family Housing, Bond Pass Through Certificates, Stanford Arms
			Series 17, Rev., 5.75%, 11/01/34		1,442

	Principal Amount		Security Description	Value
		1,925	Multi-Family Housing, Bond Pass Through Certificates, Sterling Park in Adams Center
			Series 13, Rev., 5.80%, 11/01/34		2,007
		1,800	Multi-Family Housing, Bond Pass Through Certificates, Stonecrest-Dekalb County
			Series 8, Rev., 5.90%, 11/01/34		1,876
		2,180	Multi-Family Housing, Bond Pass Through Certificates, Tierra Antigua
			Series 15, Rev., 5.75%, 11/01/34		2,251
		3,250	Multi-Family Housing, Bond Pass Through Certificates, Town Center Villas
			Series 12, Adj., 5.80%, 11/01/34		3,402
		1,665	Multi-Family Housing, Bond Pass Through Certificates, Valencia Apartments of Bernalilo
			Series 2, Rev., 5.85%, 05/01/34		1,734
		2,825	Multi-Family Housing, Bond Pass Through Certificates, Western Groves Apartments of Arizona
			Series 4, Rev., Adj., 5.80%, 11/01/34		2,907
		2,860	Multi-Family Housing, Bond Pass Through Certificates, Wildwood TDHCA
			Series 10, 5.85%, 11/01/34		3,066
		1,955	Multi-Family Housing, Bond Pass Through Certificates, Woodward Gables
			Series 16, Rev., 5.60%, 11/01/34		2,005
					55,092
Pennsylvania — 1.2%
		1,700	City of Philadelphia
			Series A, GO, XLCA, 5.00%, 02/15/12		1,827
			Pennsylvania Housing Finance Agency, AMT, Single Family Mortgage
		1,280	Series 47, Rev., 6.75%, 10/01/08		1,342
		1,365	Series 47, Rev., 6.75%, 10/01/09		1,444
		1,455	Series 47, Rev., 6.75%, 10/01/10		1,546
		1,015	Series 64, Rev., Zero Coupon, 04/01/30		885
		2,500	Pennsylvania State Higher Educational Facilities Authority, Allegheny Delaware Obligation, Health Services
			Series A, Rev., MBIA, 5.70%, 11/15/11		2,761
		370	Philadelphia Authority for Industrial Development, Senior Living Arbor House Project
			Series E, Rev., 4.70%, 07/01/13		371
		320	Philadelphia Authority for Industrial Development, Senior Living Rieder House Project
			Series A, Rev., 4.70%, 07/01/13		321
		300	Philadelphia Authority for Industrial Development, Senior Living Saligman House Project
			Series C, Rev., 4.70%, 07/01/13		301
					10,798
Puerto Rico — 1.8%
		3,460	Children’s Trust Fund
			Series 149, Rev., Adj., 8.43%, 07/01/08 (m) (p)		4,144
			Commonwealth of Puerto Rico, Public Improvement
		2,000	Series C, GO, Adj., 5.00%, 07/01/18		2,080
		10,000	Series C, GO, Adj., RADIAN-IBC, 5.00%, 07/01/18		10,462
					16,686
South Carolina — 0.5%
		4,000	South Carolina Economic Development Authority, Republic Services, Inc. Project
			Rev., Adj., 3.25%, 04/01/34		3,965
		200	South Carolina Resource Authority, Local Government
			Series A, Rev., 7.25%, 06/01/20		200
					4,165
South Dakota — 0.4%
			South Dakota Housing Development Authority, Home Ownership Mortgage
		1,550	Series D, Rev., 4.80%, 05/01/11		1,633
		1,950	Series D, Rev., 4.90%, 05/01/12		2,059
					3,692

	Principal Amount		Security Description	Value
Tennessee — 1.6%
		770	City of Bristol, Industrial Development Board, Multi-Family Housing, Shelby Heights Apartments Project
			GO, FSA, 6.10%, 03/01/12		791
		3,000	City of Memphis, General Improvement
			GO, 5.25%, 04/01/08 (p)		3,183
		1,620	Humphreys County, Industrial Development Board, E.I. Dupont Denemours & Co. Project
			Rev., 6.70%, 05/01/24		1,661
		3,425	Knox County, Health Educational & Housing Facilities Board, Eastowne Village Project
			Rev., Adj., LIQ: Fannie Mae, 4.90%, 06/01/31		3,511
		1,100	Municipal Energy Acquisition Corp., Gas
			Rev., FSA, 4.13%, 03/01/09		1,133
		2,000	Tennergy Corp., Gas
			Rev., MBIA, 5.00%, 06/01/09		2,118
		1,750	Tennessee Housing Development Agency, Single Family Housing, Homeownership Program 3
			AMT, GO, 5.30%, 07/01/10		1,835
					14,232
Texas — 5.8%
		1,925	Brazos River Authority, Utilities Electricity Co.
			Series B, Rev., Adj., 5.05%, 06/01/30		1,943
			City of Arlington, Housing Finance Corp., Single Family
		1,450	Rev., Adj., GNMA/FNMA, 6.40%, 06/01/34		1,487
		170	Rev., Adj., GNMA/FNMA, 6.40%, 06/01/27		171
			City of Arlington, Housing Finance Corp., Single Family, Various Mortgage
		890	Rev., Adj., 6.40%, 06/01/34		894
		585	Rev., Adj., 6.40%, 06/01/27		588
		4,000	City of El Paso, Independent School District, Capital Appreciation
			GO, PSF-GTD, Zero Coupon, 08/15/12		2,896
		1,945	City of Tyler, Health Facilities Development Corp., East Texas Medical Center
			Series D, Rev., Adj, FSA, 5.38%, 11/01/27		2,075
		550	Galveston County, Housing Finance Corp., Single Family Mortgage
			Series A, Rev., GNMA/FNMA, 6.20%, 12/01/32		558
		195	Galveston Property Finance Authority, Single Family Mortgage
			Series A, Rev., 8.50%, 09/01/11		196
		3,000	Grapevine-Colleyville, Independent School District
			GO, PSF-GTD, 8.25%, 06/15/08		3,382
		4,885	Harris County, Hospital District
			Rev., MBIA, 5.75%, 02/15/11		5,349
		3,345	Harris County, Houston Authority, Capital Appreciation
			Series B, Rev., MBIA, Zero Coupon, 11/15/11		2,557
		4,950	Harris County, Sports Authority, Capital Appreciation
			Series B, Rev., MBIA, Zero Coupon, 11/15/14		3,207
		830	Houston Housing Finance Corp., Sterlingshire Apartments
			Series A-2, Rev., 4.25%, 11/01/12		809
			Keller Independent School District, Capital Appreciation
		1,880	GO, PSF-GTD, Zero Coupon, 08/15/09		1,648
		1,750	GO, PSF-GTD, Zero Coupon, 08/15/10		1,471
		4,000	State of Texas
			Series B1 & B2, GO, Adj., 9.34%, 09/30/11 (m)		5,127
			Tarrant County, Housing Finance Corp., Single Family Mortgage
		1,620	Rev., Adj., GNMA/FNMA, 5.70%, 06/01/34		1,654

	Principal Amount		Security Description	Value
		1,000	Rev., Adj., GNMA/FNMA, 5.70%, 06/01/27		1,003
		980	Texas State Affordable Housing Corp., Single Family Mortgage
			Series 2002-1, Rev., Adj., GNMA/FNMA, 7.10%, 03/01/32		1,004
		1,830	Texas State Affordable Housing Corp., Single Family Mortgage, Teachers Home Loan Program
			Rev., Adj., GNMA/FNMA COLL, 6.20%, 03/01/32		1,915
			Travis County
		2,000	GO, 5.25%, 03/01/18		2,198
		9,525	GO, 5.25%, 03/01/19		10,507
					52,639
Utah — 0.2%
		750	Utah State Housing Corp., Single Family Mortgage
			Series G, Class I, Rev., 3.10%, 07/01/08		745
		825	Utah State Housing Finance Agency, Single Family Mortgage
			Series D-2, Rev., 5.35%, 07/01/18		848
		110	Utah State Housing Finance Agency, Single Family Rev.
			Series F, Class II, 6.30%, 07/01/21		110
					1,703
Virginia — 0.8%
			Suffolk Redevelopment & Housing Authority, Multi-Family Housing, Oxford Apartments Project
		3,690	Rev., 6.10%, 04/01/26 (i)		3,669
		3,500	Rev., 6.25%, 10/01/33 (i)		3,485
					7,154
Washington — 6.1%
		2,000	Chelan Public Utilities District No. 1, Chelan Hydro
			Series D, Rev., MBIA, 6.35%, 07/01/28		2,136
		2,895	City of Tacoma, Electric Systems
			Rev., FSA, 5.63%, 01/01/09 (p)		3,138
		1,000	Energy Northwest Electric Rev., MBIA, 5.00%, 07/01/09		1,060
		3,000	Energy Northwest Electric, Project No. 1 Series A, Rev., FSA, 5.50%, 07/01/12		3,317
		10,675	Energy Northwest Electric, Project No. 3
			Series B, Rev., MBIA, 5.50%, 07/01/18		11,541
			King County, School District No. 411, Issaquah
		3,500	GO, 6.25%, 06/01/10 (p)		3,941
		1,650	Klickitat County, Public Utility District No. 1
			Series B, Rev., AMBAC, 5.25%, 12/01/13		1,797
			Quinault Indian Nation, Quinault Beach
		5,290	Series A, Rev., ACA, 5.80%, 12/01/15		5,576
		1,700	Series A, Rev., ACA, 5.85%, 12/01/12		1,702
		1,135	Washington Higher Education Facilities Authority, Gonzaga University Project
			Rev., MBIA, 4.50%, 04/01/09		1,181
		2,315	Washington Housing Finance Commission
			Rev., GNMA COLL, 7.00%, 01/01/26		2,539
		2,500	Washington Public Power Supply System
			Rev., Adj., FSA, 9.24%, 07/01/11		3,035
		1,260	Washington Public Power Supply System, Compound Interest
			Series A, Rev., Zero Coupon, 07/01/07 (p)		1,193

	Principal Amount		Security Description	Value
		1,720	Washington Public Power Supply System, Nuclear Project No. 1
			Series B, Rev., MBIA, 5.13%, 07/01/16		1,803
			Washington Public Power Supply System, Nuclear Project No. 2
		2,500	Series A, Rev., 5.00%, 07/01/12		2,648
		4,500	Series A, Rev., 6.30%, 07/01/12		5,201
		3,400	Series A, Rev., AMBAC, 5.50%, 07/01/07		3,527
					55,335
Wisconsin — 0.2%
		1,350	Badger Tobacco Asset Securitization Corp.
			Rev., 5.75%, 06/01/11		1,462
		600	Wisconsin Housing & Economic Development Authority, Home Ownership
			Series E, AMT, Rev., 5.75%, 09/01/27		613
					2,075
			Total Long-Term Investments (Cost $859,280)		872,762

	Shares
Short-Term Investments — 4.1%
Investment Companies — 4.1%
		436	BlackRock Investment Quality Municipal Fund		7,523
		19,390	JPMorgan Tax Free Money Market Fund (b)		19,390
		776	Nuveen Premium Income Municipal Fund		10,861
			Total Short-Term Investments (Cost $36,576)		37,774
Total Investments — 100.5% (Cost $895,856)				$	910,536
Liabilities in Excess of Other Assets — (0.5)%					(4,930	)
Net Assets — 100.0%				$	905,606

Percentages indicated are based on net assets.

Abbreviations:

(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.
(d)	Defaulted security
(g)	Amount rounds to less than 0.1%.
(i)	Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
(p)	Security is prerefunded or escrowed to maturity. The maturity date shown is the earlier of the reset date and the date of the prerefunded call.

ACA	Insured by American Capital Access
ACA-CBI	ACA Certificate of Bond Insurance
Adj.	Adjustable. The interest rate shown is the rate in effect at September 30, 2005.
AMBAC	American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax Paper
COLL	Collateral
COP	Certificates of Participation
FGIC	Financial Guaranty Insurance Co.
FHA	Federal Housing Authority
FHLMC	Federal Home Loan Mortgage Corporation
FNMA	Federal National Mortgage Association
FSA	Financial Security Assurance
GNMA	Government National Mortgage Association
GO	General Obligation Bond
GO OF AGY	General Obligation of Agency
GTD	Guaranteed
GTD STD LNS	Guaranteed Student Loans
IBC	Insured Bond Certificates
IDA	Industrial Development Authority
IDR	Industrial Development Revenue
IMI	Investors Mortgage Insurance Company
LIQ	Liquidity Agreement
LOC	Letter of Credit
MBIA	Municipal Bond Insurance Association
MGIC	Mortgage Guaranty Insurance Corporation
MTGS	Mortgages
PCR	Pollution Control Revenue
PRIV MTGS	Private Mortgages
PSF-GTD	Permanent School Fund Guaranteed
Q-SBLF	Qualified School Board Loan Fund
RADIAN	Radian Asset Assurance
Rev.	Revenue Bond
SCH BD GTY	School Bond Guaranty
TDHCA	Texas Department of Housing and Community Affairs
VA	Veterans Administration
VEREX	Verex Assurance Inc.
XLCA	XL Capital Assurance
XLCA-ICR	XL Capital Assurance Insured Custodial Receipts

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	26,703
Aggregate gross unrealized depreciation		(12,023	)
Net unrealized appreciation/depreciation	$	14,680
Federal income tax cost of investments	$	895,856

JPMorgan Ohio Municipal Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Long-Term Investments — 100.0%
Municipal Bonds — 100.0%
Colorado — 1.6%
	$	2,350	Colorado Housing & Facilities Authority, Capital Appreciation
			Series A, Rev., Zero Coupon, 09/01/14 (p)	$	1,626
		2,810	El Paso County, Capital Appreciation
			Series A, Rev., Zero Coupon, 05/01/15 (p)		1,876
					3,502
Kansas — 0.7%
		1,000	Kansas City, Single Family Municipal Multiplier
			Series A, Rev., FHLMC COLL, Zero Coupon, 12/01/14 (p)		691
		1,390	Saline County, Single Family
			Rev., Zero Coupon, 12/01/15 (p)		915
					1,606
Louisiana — 0.4%
		1,685	Jefferson Parish Home Mortgage Authority
			Rev., FGIC, Zero Coupon, 05/01/17 (p)		1,020
Missouri — 0.5%
		1,000	Missouri State Health & Educational Facilities Authority, SSM Health Care
			Series AA, Rev., MBIA, 6.40%, 06/01/10		1,127
Ohio — 95.1%
		1,000	Adams County, School District, Adams & Highland County
			GO, MBIA, 5.45%, 12/01/08		1,024
		1,000	Akron Community Learning Centers
			Series A, Rev., FGIC, 5.25%, 12/01/19		1,094
			Akron Improvement - Sanitation Sewer System
		1,030	Rev., FGIC, 5.38%, 12/01/13		1,152
		1,070	Rev., FGIC, 5.50%, 12/01/12		1,202
		1,100	Akron Improvement - Various Purpose
			GO, MBIA, 5.00%, 12/01/10		1,188
			Akron Sanitation Sewer System
		1,045	Rev., MBIA, 5.30%, 12/01/05		1,049
		1,000	Rev., MBIA, 5.65%, 12/01/08		1,040
		1,000	Avon Lake, City School District
			GO, FGIC, 5.50%, 12/01/09 (p)		1,105
		1,280	Belmont County, Improvement East Ohio Regional Hospital
			Rev., ACA, 5.25%, 01/01/08		1,327
			Bowling Green State University
		725	Rev., AMBAC, 5.65%, 06/01/06 (p)		745
		1,000	Rev., FGIC, 5.75%, 06/01/10 (p)		1,114
		1,095	Butler County Sewer System
			Rev., FGIC, 5.25%, 12/01/09 (p)		1,190

Principal Amount		Security Description	Value
	1,250	Butler County Transportation Improvement District
		Series A, Rev., FSA, 5.13%, 04/01/17		1,325
	1,500	Cincinnati City School District, School Improvement
		GO, MBIA, 5.38%, 12/01/11 (p)		1,659
		City of Cleveland
	1,000	AMT, Series A, Rev., FSA, 5.13%, 01/01/13		1,041
	1,015	GO, AMBAC, 5.25%, 12/01/20		1,110
	1,000	GO, FGIC, 5.60%, 12/01/10 (p)		1,116
	1,000	GO, MBIA, 5.75%, 08/01/11		1,123
	1,220	Rev., AMBAC, 5.50%, 11/15/16		1,346
	1,000	Series A, Rev., FSA, 5.25%, 01/01/15		1,071
	1,000	Series A, Rev., FSA, 5.25%, 01/01/18		1,070
	1,160	City of Cleveland, Improvement
		Series I, Rev., FSA, 5.25%, 01/01/08 (p)		1,225
		City of Cleveland, Ohio Public Power Systems, Capital Appreciation, First Mortgage
	3,000	Series A, Rev., MBIA, Zero Coupon, 11/15/11		2,397
	2,000	Series A, Rev., MBIA, Zero Coupon, 11/15/09		1,741
	1,340	City of Cleveland, Unrefunded Balance
		Series I, Rev., FSA, 5.25%, 01/01/11		1,410
	1,000	City of Cleveland, Various Purpose
		GO, MBIA, 5.00%, 12/01/10		1,080
	2,200	City of Cleveland, Waterworks First Mortgage
		Series G, Rev., MBIA, 5.50%, 01/01/13		2,418
	714	City of Columbus, Clintonville II Street Light Assessment
		GO, 4.40%, 09/01/15		721
	1,000	City of Columbus, Police-Firemen Disability
		GO, 5.00%, 07/15/08 (p)		1,053
	1,000	City of Columbus, Sewer Improvement Bonds
		GO, 6.75%, 09/15/06 (p)		1,029
	1,495	City of Newark, Capital Appreciation
		GO, FGIC, Zero Coupon, 12/01/11		1,191
		City of Reading, St. Marys Educational Institute
	1,160	Rev., RADIAN, 5.65%, 02/01/12		1,243
	1,000	Rev., RADIAN, 5.70%, 02/01/13		1,068
	1,000	City of Toledo
		GO, AMBAC, 5.63%, 12/01/06 (p)		1,050
	1,355	City of Toledo, School District, School Facilities Improvement
		GO, FSA SD CRED PROG, 5.00%, 12/01/12		1,480
	1,000	City of Toledo, Sewer System
		Rev., MBIA, 5.25%, 11/15/13		1,087
	2,975	Clermont County Sewer District
		Rev., AMBAC, 5.25%, 08/01/16		3,256
		Cleveland Stadium Project
	2,325	Rev., COP, AMBAC, 5.25%, 11/15/10		2,464
	5,250	Rev., COP, AMBAC, Zero Coupon, 11/15/11		4,192
	900	Cleveland-Cuyahoga County, Port Authority, Port Capital Improvement Project
		Series A, Rev., 5.38%, 05/15/19		909
	795	Cleveland-Cuyahoga County, Port Authority, Port Cleveland Bond Fund
		Series 1, Rev., LOC: Fifth Third Bank, 6.25%, 05/15/16		831
	900	Cleveland-Cuyahoga County, Port Authority, Port Cleveland Bottle Supply
		Series B, Rev., LOC: Fifth Third Bank North West Ohio, 6.50%, 11/15/21		950
		Cuyahoga County
	1,400	Series A, Rev., 6.00%, 01/01/17		1,560
	1,000	Series A, Rev., 6.00%, 01/01/20		1,117
	2,000	Cuyahoga County, Benjamin Rose Institute Project
		Rev., 5.50%, 12/01/08 (p)		2,150

Principal Amount		Security Description	Value
	1,500	Cuyahoga County, Capital Appreciation
		Series A, GO, MBIA, Zero Coupon, 10/01/13		1,093
	1,665	Cuyahoga County, Improvement
		Series A, Rev., MBIA-IBC, 5.63%, 01/15/12		1,710
	2,250	Cuyahoga County, Improvement, University Hospital Health
		Series A, Rev., MBIA, 5.50%, 01/15/10		2,310
	1,000	Cuyahoga County, Metrohealth System
		Series A, Rev., MBIA, 5.13%, 02/15/13		1,044
		Cuyahoga County, Multi-Family Housing, Clifton Plaza
	340	Rev., GNMA COLL, 3.40%, 06/20/10		337
	540	Rev., GNMA COLL, 4.15%, 06/20/15		538
	1,000	Cuyahoga County, University School Project
		Series B, Rev., Adj., LOC: Keybank N.A., 5.30%, 12/01/29		1,063
	1,000	Cuyahoga County, Walker Center, Inc.
		Series I, Rev., AMBAC, 5.25%, 01/01/13		1,056
	1,500	Dayton City School District, School Facilities Construction & Improvement
		Series D, GO, FGIC, 5.00%, 12/01/11		1,630
	1,265	Defiance Waterworks System Improvements
		GO, AMBAC, 5.65%, 12/01/18		1,377
	1,000	Delaware County, Sewer System
		GO, 5.60%, 12/01/05 (p)		1,015
	1,125	Dublin City School District, School Facilities Construction & Improvement
		GO, 4.50%, 12/01/10		1,188
	435	Erie County, Hospital Facilities, Firelands Regional Medical Center
		Series A, Rev., 4.50%, 08/15/07		444
	1,250	Franklin County Development, American Chemical Society Project
		Rev., 5.50%, 10/01/12		1,335
	1,000	Franklin County, Economic Development, Capitol South Community Urban
		Rev., 5.70%, 06/01/10 (i)		1,050
	1,000	Franklin County, Health Care Presbyterian Services
		Rev., 5.50%, 07/01/17		1,028
		Franklin County, Improvement Children’s Hospital Project
	1,290	Rev., 5.65%, 11/01/08		1,333
	1,065	Rev., 5.75%, 11/01/09		1,101
	800	Rev., 5.80%, 11/01/10		827
	1,260	Rev., AMBAC, 5.50%, 05/01/11 (p)		1,399
		Franklin County, Online Computer Library Center
	1,000	Rev., 5.00%, 04/15/09		1,048
	2,000	Series A, Rev., 5.00%, 10/01/16		2,072
	1,000	Greater Cleveland Regional Transportation Authority
		GO, FGIC, 5.60%, 12/01/06 (p)		1,040
	1,500	Greater Cleveland Regional Transportation Authority, Capital Improvement
		Series R, GO, MBIA, 5.00%, 12/01/08		1,584
	1,025	Hamilton County, Convention Facility Authority, Second Lien
		Rev., FGIC, 5.00%, 12/01/17		1,099
	1,000	Huron County, Correctional Facility Issue I
		GO, MBIA, 5.70%, 12/01/07 (p)		1,074
	1,545	Kings Local School District
		GO, MBIA, 5.00%, 12/01/22		1,641
		Lake County, Building Improvement
	1,010	GO, MBIA, 5.00%, 12/01/21		1,077
	1,060	GO, MBIA, 5.00%, 12/01/22		1,126
	1,400	Lake Local School District, School Improvement
		GO, FSA, 5.00%, 12/01/19		1,503
	2,535	Lakota Local School District
		GO, FGIC, 5.10%, 12/01/14 (m)		2,692

Principal Amount		Security Description	Value
	1,120	Lebanon City School District, School Construction
		GO, FSA, 5.00%, 12/01/21		1,194
	1,930	London City School District, School Facilities Construction & Improvement
		GO, FGIC, 5.25%, 12/01/12		2,108
		Lorain County Hospital, Catholic Healthcare Partners
	1,000	Series S, Rev., MBIA, 5.63%, 09/01/12		1,059
	1,000	Series S, Rev., MBIA, 5.63%, 09/01/14		1,059
		Lucas County, Hospital, Promedica Healthcare Obligation Group
	1,000	Rev., AMBAC, 5.63%, 11/15/13		1,090
	1,000	Rev., AMBAC, 5.63%, 11/15/15		1,090
	2,430	Lucas County, Multi-Family Housing Neighborhood Properties, Inc. Project
		Rev., LOC: Keybank N.A., 5.20%, 11/01/18		2,494
	2,700	Mahoning Valley Sanitation District
		Rev., FSA, 5.13%, 12/15/16 (m)		2,869
	2,500	Middleburg Heights, Southweast General Health Center
		Rev., FSA, 5.70%, 08/15/10		2,701
	1,000	Middletown City School District, School Improvement
		GO, FGIC, 5.00%, 12/01/18		1,071
	1,000	Minster Local School District, School Facilities & Construction
		GO, FSA, 5.50%, 12/01/10 (p)		1,100
	1,750	Montgomery County, Catholic Health
		Rev., 4.25%, 09/01/09		1,801
		Montgomery County, Grandview Hospital & Medical Center
	1,000	Rev., 5.35%, 12/01/08 (p)		1,063
	1,575	Rev., 5.65%, 12/01/09 (p)		1,707
	305	Ohio Capital Corporation For Housing Mortgage, Section 8 Assisted
		Series M, Rev., FHA, 5.90%, 02/01/14		305
	225	Ohio Housing Finance Agency, Residential Mortgage
		Series D, Rev., 4.20%, 09/01/10		229
	370	Ohio Housing Finance Agency, Residential Mortgage-Backed Securities
		Series C, Rev., GNMA COLL, 4.15%, 09/01/06		373
	2,685	Ohio Housing Finance Agency, Single Family
		Rev., FGIC, FHA/VA/PRIV MTGS, Zero Coupon, 07/15/13 (p)		1,696
	2,000	Ohio State Building Authority, State Facilities, Administrative Building Funding Project
		Series B, Rev., FSA, 5.25%, 10/01/08		2,121
		Ohio State Building Authority, State Facilities, Adult Correction Building
	2,480	Series A, Rev., 5.25%, 10/01/09 (p)		2,689
	1,000	Series A, Rev., AMBAC, 5.50%, 04/01/07 (p)		1,046
	1,000	Series A, Rev., FSA, 5.50%, 10/01/08		1,067
	1,450	Series A, Rev., FSA, 5.50%, 10/01/12		1,604
	1,000	Series A, Rev., FSA, 5.50%, 10/01/14		1,102
	1,000	Ohio State Building Authority, State Facilities, Highway Safety Building
		Series A, Rev., AMBAC, 5.38%, 04/01/07 (p)		1,044
	1,000	Ohio State Building Authority, Workers Compensation Facilities
		Series A, Rev., FGIC, 5.00%, 04/01/11		1,078
		Ohio State Higher Educational Capital Facilities
	2,300	Series A, GO, FSA-CR, 5.25%, 02/01/13		2,466
	2,000	Series B, GO, 5.25%, 05/01/08		2,106
	3,750	Ohio State Higher Educational Facility Commission, Baldwin Capital Appreciation Higher Education
		Rev., AMBAC, 4.95%, 12/01/06 (p)		3,867
	1,000	Ohio State Higher Educational Facility Commission, Denison University Project
		Rev., 5.25%, 11/01/06 (p)		1,035
		Ohio State Turnpike Commission
	1,500	Rev., 5.50%, 02/15/15		1,639
	5,155	Series A, Rev., FGIC, 5.50%, 02/15/14 (m)		5,800
		Ohio State University

Principal Amount		Security Description	Value
	1,000	Series A, Rev., 5.50%, 12/01/09 (p)		1,097
	1,000	Series B, Rev., 5.25%, 06/01/16		1,094
	2,510	Ohio State Water Development Authority, Fresh Water Service
		Rev., AMBAC, 5.80%, 06/01/11 (p)		2,565
	2,370	Ohio State Water Development Authority, Loan Fund - State Match Service
		Rev., 4.00%, 06/01/09		2,435
	1,355	Ohio State Water Development Authority, Pure Water
		Series I, Rev., AMBAC, 7.00%, 12/01/09 (p)		1,453
	1,250	Ohio State Water Development Authority, State Match
		Rev., 5.00%, 12/01/18		1,341
	2,250	Ohio State Water Development Authority, Water Control Loan Fund - Water Quality Service
		Rev., MBIA, 5.50%, 12/01/07 (p)		2,385
	500	Olentangy Local School District
		GO, BIG, 7.75%, 12/01/11		616
	1,000	Plain Local School District
		GO, FGIC, 5.80%, 12/01/15		1,116
	2,600	Portage County, Robinson Memorial Hospital Project
		Rev., MBIA, 5.63%, 11/15/07		2,634
	2,550	RiverSouth Authority, Redevelopment
		Series A, Rev., 5.00%, 12/01/17		2,752
	1,000	Sandusky County, Hospital Facility
		Rev., 5.10%, 01/01/09		1,018
	735	Shaker Heights City School District
		Series A, GO, 7.10%, 12/15/10		811
	1,260	Southwest Licking Local School District
		GO, FGIC, 5.75%, 12/01/14		1,453
	1,710	Springfield County School District, Clark County, Capital Appreciation
		GO, AMBAC, Zero Coupon, 12/01/12		1,301
	1,000	State of Ohio, Baldwin Higher Educational Facility, Wallace College Project
		Rev., 5.50%, 12/01/20		1,067
		State of Ohio, Common Schools
	2,765	Series A, GO, 5.00%, 09/15/08		2,911
	1,205	Series A, GO, 5.25%, 09/15/12		1,332
	1,250	Series B, GO, 5.00%, 03/15/19		1,334
	1,630	State of Ohio, Common Schools, Capital Facilities
		Series B, GO, 5.50%, 09/15/08		1,739
	1,110	State of Ohio, Conservation Project
		Series A, GO, 4.00%, 09/01/10		1,146
	1,750	State of Ohio, Elementary & Secondary Education, Capital Facilities
		Series A, Rev., 5.63%, 12/01/06		1,805
		State of Ohio, Infrastructure Improvements
	1,955	GO, 5.75%, 02/01/10 (p)		2,149
	1,500	Series D, GO, 5.00%, 03/01/20		1,596
	1,500	State of Ohio, Mental Health Capital Facilities II
		Series B, Rev., 5.50%, 06/01/16		1,638
	1,000	State of Ohio, University of Dayton 2001
		Rev., AMBAC, 5.38%, 12/01/17		1,095
	890	Strongsville
		GO, 6.70%, 12/01/06 (p)		946
	110	Strongsville, Unrefunded Balance
		GO, 6.70%, 12/01/11		117
	1,000	Summit County Port Authority, Twinsburg Project
		Series D, Rev., 5.13%, 05/15/25		998
		Toledo Lucas County, Port Authority Development, Northwest Ohio Bond Fund
	905	Series B, Rev., LOC: Fifth Third Bank North West Ohio, 6.13%, 11/15/09		976
	665	Series E, Rev., 6.10%, 11/15/10		695

	Principal Amount		Security Description	Value
		680	Series F, Rev., 6.00%, 11/15/07		698
		1,805	Toledo Lucas County, Port Authority Development, Northwest Ohio Bond Fund, Superior
			Series A, Rev., 5.10%, 05/15/12		1,839
			University of Cincinnati, General Receipts
		1,500	Series A, Rev., AMBAC, 5.00%, 06/01/16		1,621
		1,000	Series W, Rev., 5.75%, 06/01/06 (p)		1,028
		1,135	University of Toledo, General Receipts
			Rev., FGIC, 5.25%, 06/01/17		1,227
		1,000	West Geauga Local School District, School Improvement
			GO, AMBAC, 5.00%, 11/01/10		1,084
		1,680	Westerville City School District
			GO, MBIA, 5.25%, 06/01/11 (p)		1,839
		1,905	Westlake City School District, Capital Appreciation, School Improvement
			Series A, GO, FGIC, Zero Coupon, 12/01/15		1,234
		1,690	Youngstown City School District, Classroom Facilities & School Improvement
			GO, FSA SD CRED PROG, 5.00%, 12/01/20		1,800
					212,205
Texas — 0.7%
		2,500	Southeast Texas Housing Finance Corp.
			Rev., MBIA VA MTGS VEREX, Zero Coupon, 09/01/17 (p)		1,487
Washington — 0.5%
		1,000	State of Washington
			Series A & AT-6, GO, 6.25%, 02/01/11		1,094
West Virginia — 0.5%
		1,000	West Virginia Economic Development Authority, Public & Juvenile Correctional Facility
			Series A, Rev., MBIA, 4.25%, 06/01/09		1,036
Total Investments — 100.0%
(Cost $211,805)				$	223,077
Liabilities in Excess of Other Assets — (0.0)%					(109	)
Net Assets — 100.0%				$	222,968

Percentages indicated are based on net assets.

Abbreviations:

(i)	Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
(p)	Security is prerefunded or escrowed to maturity. The maturity date shown is the earlier of the reset date and the date of the prerefunded call.

ACA	Insured by American Capital Access
Adj.	Adjustable. The interest rate shown is the rate in effect at September 30, 2005.
AMBAC	American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax Paper
BIG	Bond Investment Guarantee
COLL	Collateral
COP	Certificates of Participation
FGIC	Financial Guaranty Insurance Co.
FHA	Federal Housing Authority
FHLMC	Federal Home Loan Mortgage Corporation
FSA	Financial Security Assurance
FSA-CR	FSA Custodial Receipts
GNMA	Government National Mortgage Association
GO	General Obligation Bond
LOC	Letter of Credit
MBIA	Municipal Bond Insurance Association
MBIA-IBC	Municipal Bond Insurance Association. Insured Bond Certificates
MTGS	Mortgages
PRIV MTGS	Private Mortgages
RADIAN	Radian Asset Assurance
Rev.	Revenue Bond
SD CRED PROG	School District Credit Program
VA	Veterans Administration
VEREX	Verex Assurance Inc.

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	11,446
Aggregate gross unrealized depreciation		(174	)
Net unrealized appreciation/depreciation	$	11,272
Federal income tax cost of investments	$	211,805

JPMorgan Short Term Municipal Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal
	Amount		Security Description	Value
Long-Term Investments — 93.4%
Corporate Bond — 0.6%
Diversified Financial Services — 0.6%
	$	2,705	McDonald Tax Exempt Mortgage Trust No. 1, Series 1984 2.10%, 01/15/09 (Cost $2,705)	$	2,702
Municipal Bonds — 92.8%
Alabama — 0.5%
		250	Alabama Public Housing Authorities Series A, Rev., FSA, 3.50%, 01/01/10		252
		1,510	Birmingham Airport Authority Series B, AMT, Rev., FSA, 5.00%, 07/01/09		1,592
			St. Clair County Board of Education, School Tax Anticipation
		155	Series B, FSA, 3.50%, 02/01/13		153
		215	Series B, FSA, 3.60%, 02/01/14		212
					2,209
Alaska — 1.2%
		1,945	Alaska Energy Authority Power, Bradley Lake Third Series Rev., FSA, 6.00%, 07/01/09		2,129
			Alaska Student Loan Corp.
		250	Series A, Rev., AMBAC, 5.35%, 07/01/08		258
		2,915	Series A, Rev., AMBAC, 5.65%, 07/01/12		3,024
					5,411
Arizona — 4.3%
		1,365	City of Sedona, Excise Tax Rev., MBIA, 5.00%, 07/01/08		1,433
		1,000	City of Tempe, Unified High School District No. 213 GO, FSA, 5.00%, 07/01/07		1,034
		1,000	City of Tuscon GO, FGIC, 6.40%, 07/01/08		1,086
		600	Gila County, IDA, Cobre Valley Community Hospital Rev., ACA, 5.38%, 12/01/07		624
		11,705	Maricopa County, IDA, Coral Point Apartments Project Series A, Rev., Adj., 4.95%, 03/01/28 (m)		11,882
		1,260	Maricopa County, IDA, Correctional Facilities, Phoenix West Prison Rev., ACA, 3.50%, 07/01/08		1,258
		1,000	Salt River Project, Agricultural Improvement & Power Distribution, Electric Systems Series C, Rev., 6.50%, 01/01/09		1,102
		890	Tucson & Prima Counties, IDA, Mortgage Backed Securities Program Series 1A, Rev., Adj., GNMA/FNMA COLL, 7.45%, 07/01/33		897
					19,316
Arkansas — 0.5%
			Northwest Regional Airport Authority
		1,090	Rev., ACA, 4.00%, 02/01/07		1,098
		1,005	Rev., ACA, 4.00%, 02/01/09		1,016
					2,114

	Principal
	Amount		Security Description	Value
California — 3.3%
		1,000	ABAG Finance Authority for Nonprofit Corp., Standford University Hospital COP, MBIA-IBC, 5.13%, 11/01/05 (p)		1,002
		3,000	California Pollution Control Financing Authority, Republic Services, Inc. Project Rev., Adj., 2.85%, 12/01/33		2,998
		575	California Statewide Communities Development Authority, Insured Health Facilities, LA Jewish Home Rev., 4.25%, 11/15/08		588
			California Statewide Communities Development Authority, Kaiser Permanent
		1,850	Series C, Rev., Adj., 3.85%, 08/01/31		1,861
		4,000	Series G, Rev., Adj., 2.30%, 04/01/34		3,929
		1,210	Orange County, Water District Series B, COP, MBIA, 4.50%, 08/15/09		1,269
			State of California
		1,875	GO, 5.00%, 03/01/08		1,954
		1,000	GO, 6.25%, 09/01/07		1,059
					14,660
Colorado — 4.0%
		6,000	Arapahoe County, Water & Wastewater Authority Series C, Rev., Adj., LOC: BNP Paribas, 3.12%, 12/01/23		5,926
		525	Colorado Health Facilities Authority, Denver Options, Inc. Project Rev., ACA, 4.25%, 02/01/07		531
			Colorado Housing & Finance Authority, Multi-Family Project
		880	Series C-3, Class I, AMT, Rev., 3.15%, 10/01/06		881
		905	Series C-3, Class I, AMT, Rev., 3.50%, 10/01/07		910
		2,500	Countrydale Metropolitan District GO, Adj., LOC: Compass Bank, 3.50%, 12/01/32		2,496
			Delta County, Memorial Hospital District Enterprise
		1,065	Rev., 3.75%, 09/01/07		1,066
		1,125	Rev., 4.10%, 09/01/08		1,132
		1,155	Rev., 4.45%, 09/01/09		1,175
		1,375	Denver City & County, Metropolitan Mayors Caucus Series A, Rev., Adj., GNMA/FNMA/FHLMC COLL, 6.35%, 11/01/30		1,378
		1,570	Denver City & County, Various Purpose Series B, GO, 5.75%, 08/01/08		1,682
		735	El Paso County Series A, Rev., 6.20%, 11/01/24		750
					17,927
Connecticut — 1.6%
		1,000	City of New Haven Series C, MBIA, 5.00%, 11/01/08		1,055
			State of Connecticut
		3,000	Series B, 5.25%, 06/15/09		3,208
		2,395	Series B, GO, 5.75%, 11/01/09 (p)		2,640
					6,903
Delaware — 1.2%
		5,250	Delaware State Health Facilities Authority, Beebe Medical Center Project Rev., Adj., LOC: PNC Bank N.A., 2.25%, 06/01/32		5,179

	Principal
	Amount		Security Description	Value
District of Columbia — 1.7%
		1,095	District of Columbia, Unrefunded Balance Series A, GO, MBIA-IBC, 6.00%, 06/01/07		1,120
		1,490	District of Columbia, Unrefunded Balance 2001 Series B, GO, FSA, 5.50%, 06/01/07		1,549
		4,500	Washington D.C. Convention Center Authority Senior Lien, Rev., AMBAC, 5.25%, 10/01/08		4,761
					7,430
Florida — 6.8%
		1,185	Atlantic Beach, Fleet Landing Project Rev., ACA, 5.25%, 10/01/08		1,238
		2,060	Escambia County, Housing Finance Authority, Multi-County Program Series A, Rev., GNMA/FNMA COLL, 2.63%, 10/01/09		2,000
		15,000	Florida Educational Loan Marketing Corp. Sub-Series D-1, AMT, Rev., Adj., GTD STD LNS, 2.85%, 12/01/38 (m)		15,000
		670	Florida Housing Finance Corp., Homeowner Mortgage Series 2, AMT, Rev., FSA, 4.35%, 07/01/07		673
		1,550	Hillsborough County, Housing Finance Authority, Multi-Family, Oaks at Riverview Project Series B, Rev., 2.13%, 01/01/07		1,519
		10,000	University Athletic Association, Inc., Athletic Program Rev., Adj., LOC: Suntrust Bank, 3.50%, 10/01/31 (m)		10,033
					30,463
Georgia — 2.4%
		2,400	Cobb County, Water Server, Rev., 5.00%, 07/01/06		2,439
		1,290	Gainesville & Hall County, Hospital Authority, Project., Northeast Health System, Inc. Rev., 3.75%, 05/15/06		1,294
		1,000	Georgia Municipal Electric Authority Power Series D, Rev., 6.00%, 01/01/06		1,008
		1,000	Henry County GO, 4.00%, 07/01/06		1,009
			Monroe County, Development Authority, Oglethorpe Power Corp.
		905	Series A, Rev., MBIA-IBC, 6.70%, 01/01/09		999
		500	Series A, Rev., MBIA-IBC, 6.75%, 01/01/10		565
		3,000	State of Georgia GO, 6.25%, 09/01/08		3,260
					10,574
Hawaii — 2.9%
			Hawaii State Airports System
		5,850	Rev., AMT, FGIC, 5.00%, 07/01/07		6,028
		4,560	Rev., AMT, FGIC, 5.50%, 07/01/07		4,737
		2,000	Honolulu City & County GO, MBIA-IBC, 5.45%, 09/11/08 (p)		2,120
					12,885
Illinois — 4.3%
		4,345	Chicago Board of Education, Lease Certificates Series A, COP, MBIA, 6.25%, 01/01/08		4,636
		2,000	Chicago Capital Appreciation, Central Loop Project Series A, GO, XLCA, Zero Coupon, 12/01/08		1,801

	Principal
	Amount		Security Description	Value
		1,925	Chicago Central Loop Redevelopment, Tax Allocation Series A, ACA, 6.50%, 12/01/08		2,085
		1,100	Chicago O’Hare International Airport, General Apartment, Third Lien Series D, AMT, 3.50%, 01/01/06		1,101
		2,250	Chicago O’Hare International Airport, Third Lien Series A, Rev., MBIA, 5.00%, 01/01/09		2,369
		570	City of Chicago Series A, GO, AMBAC, 5.00%, 01/01/07		584
		1,000	Cook County Forest Preservation District GO, AMBAC, 5.00%, 11/15/09		1,067
		795	Glenview, Multi-Family Housing, Valley Lo Towers II Project Rev., FNMA, 5.20%, 12/01/27		817
		1,450	Kane County, School District No. 129, Aurora West Side Series A, GO, MBIA, 6.50%, 02/01/08		1,558
		1,485	Lake County, Community Consolidated School District No. 73 Hawthorn, Capital Appreciation 2002 GO, FGIC, Zero Coupon, 12/01/06		1,436
		1,675	Winnebago County, School District No. 122 Harlem-Loves Park GO, FGIC, 6.55%, 06/01/09		1,860
					19,314
Indiana — 3.0%
		5,000	City of Lawrenceburg, Power Co. Project Series C, Rev., Adj., 2.62%, 10/01/19		4,960
		2,500	Indiana Development Finance Authority, PCR, Southern Indiana Gas & Electric Series A, Rev., Adj., 4.75%, 03/01/25		2,514
		2,500	Indiana Development Finance Authority, Southern Indiana Gas & Electric, Series C, Rev., AMT, Adj., 5.00%, 03/01/30		2,513
		1,055	Indiana Educational Facilities Authority, Bulter University Project Rev., MBIA, 4.75%, 02/01/08		1,092
			New Albany School District, Floyd County School Building Corp., First Mortgage
		635	Rev., FGIC, 5.00%, 01/15/09		669
		1,305	Rev., FGIC, 5.00%, 01/15/10		1,389
Kansas — 0.3%
		1,250	City of Lawrence Series 2005-I, GO, 4.00%, 10/01/06		1,262
Kentucky — 0.1%
		300	Kentucky Housing Corp. Series I, AMT, Rev., FHA, 5.45%, 07/01/08		307
Louisiana — 1.2%
		645	Louisiana Housing Finance Agency, Single Family Home Owner Series B-2, Rev., GNMA/FNMA COLL FHA, 6.20%, 12/01/29		661
		3,500	Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project Series A, Rev., MBIA, 4.00%, 05/15/06		3,515

	Principal
	Amount		Security Description	Value
			Parish of St. Mary, Solid Waste
		225	Rev., 5.40%, 03/01/08		231
		280	Rev., 5.40%, 03/01/09		289
		295	Rev., 5.40%, 03/01/10		306
		310	Rev., 5.40%, 03/01/11		323
					5,325
Massachusetts — 7.0%
			Bridgewater-Raynham Regional School District
		8,450	GO, 4.00%, 09/01/06		8,526
		10,000	GO, 4.13%, 09/01/06		10,100
		5,700	City of Quincy Rev., Adj., FSA, 7.82%, 01/15/11		5,771
		750	Commonwealth of Massachusetts Series B, GO, 6.50%, 08/01/08 (p)		813
		2,940	Massachusetts Development Finance Agency, VOA Ayer Ltd. Partnership Series 1, AMT, Rev., LOC: Fleet National Bank, 2.85%, 12/01/06		2,916
			New Bedford Housing Authority, Capital Funding Program
		590	Series A, Rev., 2.05%, 10/01/06		583
		605	Series A, Rev., 2.40%, 10/01/07		594
		620	Series A, Rev., 2.70%, 10/01/08		608
		635	Series A, Rev., 3.00%, 10/01/09		628
		655	Series A, Rev., 3.20%, 10/01/10		649
					31,188
Michigan — 2.7%
			Michigan State Building Authority, Facilities Program
		1,000	Series I, Rev., 5.00%, 10/15/06		1,022
		3,625	Series I, Rev., 5.50%, 10/15/10 (p)		3,989
		2,925	Michigan State Hospital Finance Authority, Ascension Health Credit Series B, Rev, Adj., 5.30%, 11/15/33		2,998
		1,695	Michigan Strategic Fund, Ford Motor Co. Project Series A, Rev., 7.10%, 02/01/06		1,697
		1,240	Saginaw Hospital Finance Authority, Covenant Medical Center Series G, Rev., 4.75%, 07/01/08		1,280
		1,000	Traverse City Area Public Schools GO, FGIC, 4.35%, 05/01/08		1,030
					12,016
Minnesota — 0.7%
		2,200	Hopkins Independent School District No. 270 Series B, GO, SD CRED PROG, 4.00%, 02/01/08		2,245
		1,020	Mounds View Independent School District No. 621 Series A, GO, SD CRED PROG, 5.00%, 02/01/08		1,063
					3,308
Mississippi — 1.3%
		4,540	Biloxi Housing Authority, Cadel Point Senior Village Rev., FSA, 3.25%, 12/01/07		4,502
		1,500	Mississippi Business Financial Corp., Waste Management, Inc. Project Rev., Adj., 2.30%, 03/01/27		1,489
					5,991

	Principal
	Amount		Security Description	Value
Missouri — 1.8%
			Missouri Development Finance Board Infrastructure, Public Safety Improvement
		1,640	Series D, Rev., 5.00%, 03/01/08		1,700
			Riverview Gardens School District, Capital Appreciation
		1,090	GO, FSA, Zero Coupon, 04/01/09		967
		1,090	GO, FSA, Zero Coupon, 04/01/10		928
		665	GO, FSA, Zero Coupon, 04/01/11		542
			St. Louis, Lambert-St. Louis International Airport
		1,115	Series A, Rev., FSA, 5.00%, 07/01/07		1,152
		2,500	Series A, Rev., FSA, 5.00%, 07/01/09		2,651
					7,940
Nebraska — 0.5%
		1,000	Nebraska State Information Systems Project COP, 4.40%, 07/01/08		1,033
		1,075	Omaha Public Power District Electric Series D, Rev., 5.10%, 02/01/08		1,123
					2,156
New Hampshire — 1.0%
		4,000	New Hampshire Business Finance Authority Series A, Rev., Adj., 3.50%, 07/01/27		3,939
		435	New Hampshire Health & Education Facilities Authority, Portsmouth Academy Rev., ACA, 3.65%, 07/01/08		433
					4,372
New Jersey — 3.2%
		1,105	New Jersey State Educational Facilities Authority, Fairleigh Dickinson University Series D, Rev., ACA, 5.00%, 07/01/07		1,132
		4,000	New Jersey Transportation Trust Fund Authority, Transportation Systems Series A, Rev., MBIA, 5.25%, 12/15/09		4,303
			South Jersey Port Corp.
		2,435	AMT, Rev., 5.00%, 01/01/06		2,446
		2,555	AMT, Rev., 5.00%, 01/01/07		2,608
		2,685	AMT, Rev., 5.00%, 01/01/08		2,772
		1,000	State of New Jersey Series F, GO, 5.50%, 08/01/08		1,063
					14,324
New Mexico — 0.8%
		3,380	New Mexico State Highway Commission, Sub Lien Series A, Rev., 5.00%, 06/15/09 (p)		3,579
New York — 3.1%
			City of New York
		1,235	Series A, GO, 6.25%, 08/01/06 (p)		1,288
		235	Series E, GO, 6.00%, 08/01/16 (p)		245
		500	Series F, GO, 5.38%, 08/01/19		525
		690	Series F, MBIA, IBC 6.00%, 08/01/06 (p)		718
		245	Series L, MBIA, 5.20%, 08/01/07 (p)		257
		2,565	City of New York, Unrefunded Balance Series A, GO, 6.25%, 08/01/09		2,667
		1,280	Series L, GO, MBIA, 5.20%, 08/01/08		1,340

	Principal
	Amount		Security Description	Value
		2,000	New York State Dormitory Authority, Mount Sinai School of Medicine Rev., MBIA, 5.00%, 07/01/09		2,115
		1,810	New York State Urban Development Corp., State Facilities Rev., 5.70%, 04/01/09		1,950
		2,525	Tobacco Settlement Financing Authority Series B-1, Rev., 4.00%, 06/01/07		2,559
					13,664
North Carolina — 0.6%
			North Carolina Medical Care Commission, First Mortgage, Deerfield
		1,000	Series A, Rev., 3.13%, 11/01/09		981
		1,500	Series A, Rev., 3.38%, 11/01/10		1,480
		150	Robeson County, Industrial Facilities & Pollution Control Financing Authority, Campbell Soup Co. Project Rev., 6.40%, 12/01/06		155
					2,616
North Dakota — 0.3%
			North Dakota State Housing Finance Agency, Housing Finance Program, Home Mortgage
		825	Series B, Rev., 2.95%, 07/01/07		822
		580	Series B, Rev., 3.30%, 07/01/08		580
					1,402
Ohio — 5.6%
		1,220	Belmont County, East Regional Hospital Rev., ACA, 5.00%, 01/01/07		1,244
			Celina City School District
		820	GO, MBIA, Zero Coupon, 12/01/11		653
		1,000	GO, MBIA, Zero Coupon, 12/01/12		761
		615	Cleveland-Cuyahoga County Port Authority, Bond Fund Program, Myers University Project Series E, Rev., 4.65%, 05/15/14		616
		6,000	Cleveland-Cuyahoga County Port Authority, Rock & Roll Hall of Fame Project Rev, FSA, 3.60%, 12/01/14		5,978
			Columbus Regional Airport Authority, Joseph Knight Towers Projects
		230	Series A, Rev., GNMA COLL, 3.60%, 02/20/09		231
		480	Series A, Rev., GNMA COLL, 4.30%, 02/20/14		479
		3,290	Montgomery County, Multi-Family Housing, Bella Vista Homes Project Series B, Rev., 1.80%, 11/01/05		3,287
		1,690	Ohio State Building Authority, State Facilities, Adult Correction Building Series A, Rev., 5.75%, 04/01/09		1,830
		3,000	Ohio State Mental Health Capital Facilities Series II-A, Rev., AMBAC, 4.00%, 08/01/09		3,082
		1,000	Ohio State Water Development Authority, Water Control Loan Fund — State Match Service Rev., 5.50%, 06/01/08		1,061
		5,100	Summit County Port Authority, Eastland Woods Project Series C, Rev., 2.65%, 11/01/06		5,053

	Principal
	Amount		Security Description	Value
		640	Warren Housing Development Corp., Housing Section 8 Assisted Project Rev.LOC: Federal Home Loan Bank, 3.75%, 01/01/07		646
					24,921
Oklahoma — 1.0%
		1,115	Oklahoma State Capital Improvement Authority Series B, Rev., MBIA, 5.00%, 06/01/08		1,169
		1,120	Oklahoma State Housing Finance Agency Series B-2, Rev., AMT, GNMA/FNMA COLL, 6.80%, 09/01/26		1,142
		2,000	Oklahoma State Housing Finance Agency, Rental Series A-3, Rev., Adj., FNMA COLL, 5.50%, 11/01/25		2,004
					4,315
Oregon — 1.0%
		4,235	MMA Financial CDD Senior Securitization Trust, Harmony Pass Through Certificates Series A, Rev., Adj., LOC: Compass Bank, 3.38%, 05/01/32		4,250
Pennsylvania — 1.8%
		1,000	City of Philadelphia, Gas Works Series A-1, Rev., FSA, 5.00%, 09/01/09		1,056
		3,935	Delaware River Joint Toll Bridge Commission Rev., 5.00%, 07/01/06		3,995
		1,265	Erie Higher Education Building Authority, Gannon University Project Series F, Rev., Adj., LOC: PNC Bank N.A., 2.25%, 07/01/13		1,244
		145	Pennsylvania Sate Housing Finance Agency, Single Family Mortgage Series 65A, Rev., AMT, 4.60%, 10/01/08		149
		400	Pennsylvania State Higher Educational Facilities Authority, Allegheny Delaware Obligation Series A, Rev., AMT, MBIA, 5.60%, 11/15/09		431
		1,360	Pennsylvania State Higher Educational Facilities Authority, Association Independent Colleges Series E1, Rev., Adj., LOC: PNC Bank N.A., 2.00%, 11/01/19		1,339
					8,214
Puerto Rico — 2.4%
		7,955	Commonwealth of Puerto Rico, Public Improvement Series C, GO, Adj., RADIAN-IBC, 5.00%, 07/01/18 (m)		8,322
		1,295	Commonwealth of Puerto Rico, Unrefunded Balance, Public Improvement Series A, GO, 5.00%, 07/01/08		1,352
		1,000	Puerto Rico Public Buildings Authority, Government Facilities, Commonwealth Guaranteed Series C, Rev., 5.00%, 07/01/07		1,031
					10,705
South Carolina — 1.0%
		1,160	Charleston County, School District Development Corp. Series B, GO, SCSDE, 5.00%, 02/01/10		1,240
		3,200	South Carolina State Education Assistance Authority Series A-2, Rev., Adj., GTD STD LNS, 2.80%, 03/01/10		3,200
					4,440

	Principal
	Amount		Security Description	Value
Tennessee — 2.1%
		2,500	Knox County, Health Educational & Housing Facilities Board Rev., MBIA, 7.25%, 01/01/08		2,715
		1,000	Tennessee Energy Acquisition Corp. Series B, Rev., AMBAC, 5.00%, 09/01/07		1,035
		5,895	Tennessee Housing Development Agency, Homeownership Program Issue 3A Rev., AMT, Zero Coupon, 07/01/07		5,460
					9,210
Texas — 6.7%
		2,885	Brazos County, Health Facilities Development Corp., St. Joseph Hospital & Health Center Series B, Rev., Adj., 5.05%, 06/01/30		2,912
			Brazos River Harbor Navigation District, Dow Chemical Co. Project
		2,900	Series A-3, AMT, Rev., Adj., 4.95%, 05/15/33		2,972
		4,600	Series B-2, Rev., Adj., 4.75%, 05/15/33		4,709
		975	City of Arlington, Permanent Improvement GO, 5.00%, 08/15/07 (p)		1,010
			City of Austin, Independent School District, Capital Appreciation
		1,035	GO, FGIC, Zero Coupon, 08/01/10		869
		1,435	GO, FGIC, Zero Coupon, 08/01/11		1,152
		1,530	City of El Paso, Water & Sewer Rev., AMBAC, 5.00%, 03/01/07		1,572
		2,000	Houston Airport System, Sub Lien Series A, AMT, Rev., FGIC, 4.00%, 07/01/07		2,024
		1,195	Keller Higher Education Facilities Corp.
			Series A, Rev., RADIAN, 4.25%, 06/01/08		1,219
		10,000	State of Texas GO, TRAN, 4.50%, 08/31/06		10,133
		1,000	Texas Public Finance Authority, Unemployment Compensation Assessment Series A, Rev., FSA, 5.00%, 06/15/08		1,048
					29,620
Virginia — 2.1%
		1,000	Big Stone Gap Redevelopment & Housing Authority Rev., 5.00%, 09/01/08		1,050
		2,000	Louisa Industrial Development Authority, Electric & Power Co. Project Series A, Rev., Adj., 2.35%, 09/01/30		1,955
		2,000	Peninsula Ports Authority, Dominion Term Association Project Rev., Adj., 3.30%, 10/01/33		1,990
		2,985	Virginia Beach Development Authority, Sentara Health Systems Rev., 5.25%, 11/01/10		3,155
			Virginia Housing Development Authority, Rental Housing
		650	Series F, AMT, Rev., 4.30%, 05/01/06		654
		650	Series F, AMT, Rev., 4.40%, 05/01/07		662
					9,466
Washington — 4.2%
		1,000	Energy Northwest Electric Rev., MBIA, 5.00%, 07/01/10		1,070
		2,835	King County, Limited Tax Series B, GO, 4.00%, 01/01/09		2,905

	Principal
	Amount		Security Description	Value
		1,500	Lewis County, Public Utility District No. 1 Rev., XLCA, 5.00%, 10/01/09		1,590
			Washington Public Power Supply System
		2,500	Series A, Rev., 5.75%, 07/01/08		2,668
		2,000	Series A, Rev., 6.10%, 07/01/06		2,047
		3,735	Series A, Rev., MBIA-IBC, Zero Coupon, 07/01/07 (p)		3,535
			Washington Public Power Supply System, Compound Interest
		1,475	Series A, Rev., Zero Coupon, 07/01/07 (p)		1,396
			Washington Public Power Supply System, Unrefunded Balance, Compound Interest
		3,550	Series A, Rev., Zero Coupon, 07/01/07		3,354
					18,565
Wisconsin — 2.2%
			Badger Tobacco Asset Securitization Corp., Asset-Backed
		7,400	Rev., 5.00%, 06/01/08 (m)		7,614
			State of Wisconsin
		2,000	Series A, GO, 5.00%, 05/01/07		2,061
					9,675
Wyoming — 0.4%
			Teton County Hospital District
		1,620	Rev., 5.25%, 12/01/06 (i)		1,635
			Total Long-Term Investments (Cost $416,920)		414,690
Shares
Short-Term Investment — 6.4%
Investment Company — 6.4%
		28,268	JPMorgan Tax Free Money Market Fund (b) (Cost $28,268)		28,268
Total Investments — 99.8%
(Cost $445,188)				$	442,958
Other Assets in Excess of Liabilities — 0.2%					905
Net Assets — 100.0%				$	443,863

Percentages indicated are based on net assets.

Abbreviations:

(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.

(i) Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.

(m) All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issed securities, delayed delivery securities, and reverse repurchase agreements.

(p) Security is prerefunded or escrowed to maturity. The maturity date shown is the earlier of the reset date and the date of the prerefunded call.

ACA	Insured by American Capital Access
Adj.	Adjustable. The interest rate shown is the rate in effect at September 30, 2005.
AMBAC	American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax Paper
COP	Certificates of Participation
FGIC	Financial Guaranty Insurance Co.
FHA	Federal Housing Authority
FHLMC	Federal Home Loan Mortgage Corporation
FNMA	Federal National Mortgage Association
FNMA COLL	FNMA Collateral
FSA	Financial Security Assurance
GNMA	Government National Mortgage Association
GNMA COLL	GNMA Collateral
GO	General Obligation Bond
GTD STD LNS	Guaranteed Student Loans
IBC	Insured Bond Certificates
IDA	Industrial Development Authority
LOC	Letter of Credit
MBIA	Municipal Bond Insurance Association
PCR	Pollution Control Revenue
RADIAN	Radian Asset Assurance
Rev.	Revenue Bond
SCSDE	South Carolina School District Enhancement
SD CRED PROG	School District Credit Program
TRAN	Tax Revenue Anticipation Note
XLCA	XL Capital Assurance

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	828
Aggregate gross unrealized depreciation		(3,058	)
Net unrealized appreciation/depreciation	$	(2,230	)
Federal income tax cost of investments	$	445,188

JPMorgan Tax Free Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Long-Term Investments —95.1%
Municipal Bonds — 95.1%
Alabama — 1.3%
			Alabama State Public School & College Authority, Capital Improvement
	$	5,285	Rev., MBIA, 4.50%, 02/01/23	$	5,325
		8,000	Series C, Rev., 5.75%, 07/01/17		8,750
					14,075
Alaska — 1.0%
			Alaska Energy Authority Power, Bradley Lake
		3,485	Fourth Series, Rev., FSA, 6.00%, 07/01/17		4,079
		3,915	Fourth Series, Rev., FSA, 6.00%, 07/01/19		4,632
		2,000	City of Anchorage
			Series B, GO, FGIC, 5.88%, 12/01/10 (p)		2,242
					10,953
Arizona — 2.4%
			Arizona School Facilities Board, State School Trust
		2,290	Series A, Rev., AMBAC, 5.25%, 07/01/11		2,508
		4,360	Series A, Rev., AMBAC, 5.75%, 07/01/17		4,960
		2,375	Series A, Rev., AMBAC, 5.75%, 07/01/18		2,696
		2,450	Arizona State Transportation Board
			Sub-Series A, Rev, 5.25%, 07/01/12		2,706
		450	Maricopa County, Unified School District No 89-Dysart, School Improvement Project of 2002
			Series B, GO, FSA, 5.25%, 07/01/14 (p)		500
		1,000	Maricopa County, Unified School District No. 89-Dysart
			GO, FGIC, 5.25%, 07/01/20		1,126
		2,000	Pima County, Unified School District No. 1 Tucson, Project of 2004
			Series A, GO, FSA, 4.50%, 07/01/21		2,029
		2,495	Salt River Project, Agricultural Improvement & Power District, Salt River Project
			Series C, Rev., 5.00%, 01/01/10		2,667
		1,090	Show Low IDA, Navapache Regional Medical Center
			Series A, Rev., ACA, 5.25%, 12/01/10		1,146
			University of Arizona
		2,190	Series A, COP, AMBAC, 5.00%, 06/01/17		2,339
		2,240	Series B, COP, AMBAC, 5.00%, 06/01/17		2,392
					25,069
California — 9.8%
			California Health Facilities Funding Authority, Marshall Medical Center
		2,200	Series A, Rev., CA MTG INS, 5.00%, 11/01/24		2,269
		2,000	Series A, Rev., CA MTG INS, 5.00%, 11/01/29		2,053
			California State Department of Water Resources, Power Supply
		4,000	Series A, Rev., 5.38%, 05/01/17		4,366
		3,000	Series A, Rev., MBIA-IBC, 5.25%, 05/01/20		3,251
		2,750	California State Public Works Board, Department of Corrections
			Series C, Rev., 5.50%, 06/01/21		2,999

Principal Amount		Security Description	Value
	3,000	California State Public Works Board, Department of Mental Health
		Series A, Rev., 5.50%, 06/01/21		3,285
	750	California State Veterans Bond
		Series AM, GO, 9.00%, 10/01/05		750
	4,000	California Statewide Communities Development Authority, Insured Health Facilities, Los Angeles Jewish Home
		Rev., CA ST MTG, 5.25%, 11/15/23		4,216
	430	Chino Valley Unified School District
		Series A, COP, GO, FSA, 5.38%, 08/01/18		476
	350	City of Chico, Public Financing Authority, Merged Redevelopment
		Project, Tax Allocation
		MBIA, 5.00%, 04/01/19		371
	250	City of Los Angeles, Department of Water & Power
		Series C, Rev., MBIA, 5.25%, 07/01/17		275
	3,815	City of Los Angeles, Harbor Department
		Rev., 7.60%, 10/01/18 (p)		4,745
	2,000	City of San Jose, Evergreen Community College District
		Series A, GO, AMBAC, 5.25%, 09/01/17		2,199
	1,000	Fullerton University Foundation
		Series A, Rev., MBIA, 5.75%, 07/01/30		1,104
	3,250	Golden State Tobacco Securitization Corp., Tobacco Settlement, Enhanced Asset Backed
		Series B, Rev., 5.75%, 06/01/08 (p)		3,474
	3,000	Golden State Tobacco Securitization Corp., Tobacco Settlement,
		Asset Backed
		Series B, Rev., 5.63%, 06/01/07 (p)		3,128
	100	Nevada Union High School District, New Haven
		GO, FSA, 12.00%, 08/01/09		131
		Orange County, Development Agency Tax, Santa Ana Heights Project, Tax Allocation
	1,265	AMBAC, 5.25%, 09/01/15		1,383
	1,965	AMBAC, 5.25%, 09/01/16		2,137
	2,120	AMBAC, 5.25%, 09/01/17		2,300
		Orange County, Recovery Certificate
	4,900	Series A, COP, MBIA, 5.70%, 07/01/06 (p)		5,101
	5,315	Series A, COP, MBIA, 5.80%, 07/01/06 (p)		5,538
	6,450	Petaluma Community Development Commission/Community Development Project
		Series A, MBIA, 5.00%, 05/01/30		6,724
	50	Pomona Unified School District
		Series A, GO, MBIA, 6.10%, 02/01/20		61
	2,210	Riverside Electric
		Rev., FSA, 5.25%, 10/01/11		2,421
	1,100	Sacramento Cogeneration Authority, Procter & Gamble Project
		Rev., 6.20%, 07/01/06		1,123
	6,650	San Bernardino City, University School District
		Series A, GO, FGIC, 5.75%, 08/01/09 (p)		7,355
	160	San Mateo County, Transportation District
		Series A, Rev., MBIA, 5.25%, 06/01/19		180
		South Orange County, Public Financing Authority, Foothill Area
	3,880	Series A, FGIC, 5.25%, 08/15/19		4,215
	2,000	Series A, Special Tax, FGIC, 5.25%, 08/15/17		2,182
		State of California
	5,000	GO, 5.00%, 02/01/32		5,160

	Principal Amount		Security Description	Value
		3,000	GO, 5.25%, 02/01/18		3,226
		750	GO, MBIA-IBC, 6.50%, 11/01/09		844
		5,500	Series A, GO, 5.00%, 07/01/17		5,857
		5,000	GO, XLCA-ICR, 5.00%, 02/01/19		5,300
		2,500	University of California
			Series F, Rev., FSA, 5.00%, 05/15/12		2,729
					102,928
Colorado — 2.9%
			Centennial Water & Sanitation District
		2,000	Rev., FGIC, 5.50%, 06/15/13		2,244
		2,035	Rev., FGIC, 5.50%, 06/15/14		2,298
		1,045	Colorado Water Resources & Power Development Authority
			Series A, Rev., 5.25%, 09/01/11		1,124
		1,800	Denver City & County
			Series A, Rev., AMBAC, 6.00%, 11/15/16		1,978
		6,925	Denver City & County, Airport
			Series D, Rev., AMBAC-TCR, 7.75%, 11/15/13		8,198
		2,000	Douglas County, School District No. Re-1 Douglas & Elbert Counties
			GO, FGIC, 5.75%, 12/15/19		2,297
		10,000	E-470 Public Highway Authority, Capital Appreciation
			Series B, Rev., MBIA, Zero Coupon, 09/01/22		4,549
			Larimer County, School District No. R-001 Poudre
		940	COP, MBIA, 5.00%, 12/15/10		1,012
		925	COP, MBIA, 5.00%, 12/15/11		1,001
		1,030	COP, MBIA, 5.00%, 12/15/12		1,119
		1,105	COP, MBIA, 5.00%, 12/15/13		1,200
		1,915	Platte River Power Authority
			Series DD, Rev., MBIA, 6.00%, 06/01/06		1,955
		1,175	Weld & Adams Counties, School District
			GO, FSA, 5.00%, 12/15/18		1,265
					30,240
Connecticut — 0.5%
		1,050	City of Hartford
			Series C, GO, MBIA, 5.00%, 09/01/20		1,157
		1,375	State of Connecticut
			Series C, GO, 5.38%, 12/15/10 (p)		1,511
			Trumbull
		305	GO, AMBAC, 5.00%, 01/15/14		333
		275	GO, AMBAC, 5.00%, 01/15/15		301
		400	GO, AMBAC, 5.00%, 01/15/16		435
		350	GO, AMBAC, 5.00%, 01/15/18		378
		1,425	City of Waterbury
			Series A, GO, FSA, 5.50%, 04/01/12 (p)		1,588
					5,703
Delaware — 0.6%
		5,000	Delaware State, EDA, Osteopathic Hospital Association
			Series A, Rev., GO OF HOSP, 6.90%, 01/01/18 (p)		6,164
District of Columbia — 0.4%
		3,965	District of Columbia
			Series B, GO, MBIA, 6.00%, 06/01/19		4,720

	Principal Amount		Security Description	Value
Florida — 2.6%
		3,750	City of Lakeland, Electric & Water System, First Lien
			Series B, Rev., FSA, 6.05%, 10/01/14		4,404
		5,000	Highlands County, Health Facilities Authority, Hospital Adventist Sunbelt
			Series A, Rev., 6.00%, 11/15/31		5,416
		3,205	Hillsborough County, Aviation Authority, Tampa International Airport
			Series B, Rev., FGIC, 6.00%, 10/01/18		3,757
			Orange County, Health Facilities Authority
		3,760	Series A, Rev., MBIA, 6.25%, 10/01/12 (p)		4,362
		1,580	Series C, Rev., MBIA, 6.25%, 10/01/12 (p)		1,839
			Orange County, Health Facilities Authority, Unrefunded Balance
		1,255	Series A, Rev., MBIA, 6.25%, 10/01/12		1,449
		680	Series C, Rev., MBIA, 6.25%, 10/01/12		785
			Palm Beach County, North County Courthouse Projects
		1,455	Rev., 5.00%, 12/01/15		1,594
		1,605	Rev., 5.00%, 12/01/17		1,755
			Santa Rosa Bay Bridge Authority, Capital Appreciation
		500	Rev., ACA-CBI MBIA-IBC, Zero Coupon, 07/01/19		273
		2,255	Rev., ACA-CBI-MBIA-IBC, Zero Coupon, 07/01/20		1,169
					26,803
Georgia — 5.1%
		3,110	City of Savannah, EDA, College of Art & Design Project
			Rev., 6.60%, 10/01/09 (p)		3,508
		10,000	Dalton Development Authority
			Rev., MBIA, 5.50%, 08/15/26 (k)		11,477
		7,120	De Kalb County, Housing Authority, Fox Hollow Apartment
			Rev., Adj., 7.00%, 05/15/07 (p)		7,541
		1,500	Fairburn Combined Utilities
			Rev., 5.75%, 10/01/20		1,588
		7,700	Forsyth County, School District
			GO, ST AID WITHHLDG, 5.75%, 02/01/10 (p)		8,597
			Georgia Municipal Electric Authority Power
		4,500	Series BB, Rev., MBIA-IBC, 5.25%, 01/01/25		5,075
		2,490	Series C, Rev., MBIA-IBC, 5.25%, 01/01/25		2,808
		10,485	Metropolitan Atlanta Rapid Transit Authority
			Series P, Rev., AMBAC, 6.25%, 07/01/20		12,571
					53,165
Hawaii — 0.5%
		4,500	City of Honolulu
			Series A, GO, 7.35%, 07/01/08		4,979
Idaho — 0.2%
		2,320	University of Idaho, Student Fee, Recreation Center Project
			Rev., FSA, 6.00%, 04/01/14		2,542
Illinois — 4.7%
			Chicago O’Hare International Airport, Passenger Facility Charge
		5,000	Series A, Rev., AMBAC, 5.63%, 01/01/13		5,132
		5,000	Series A, Rev., AMBAC, 5.63%, 01/01/14		5,131
		1,750	Chicago Public Building, Commission Building
			Series A, Rev., MBIA, 7.00%, 01/01/20 (p)		2,258
		3,990	Cook County, Community High School District No. 219-Niles Township
			GO, FGIC, 8.00%, 12/01/15		5,349
		3,970	Illinois Health Facilities Authority, Revolving Fund
			Series A, Rev., Adj., 5.50%, 08/01/20		4,334

	Principal Amount		Security Description	Value
		1,350	Illinois Housing Development Authority, Multi-Family Program
			Series 3, Rev., 6.10%, 09/01/13		1,352
		4,725	Illinois State Sales Tax
			Series P, Rev., 6.50%, 06/15/22		5,786
		7,000	Metropolitan Pier & Exposition Authority, McCormick
			Plan Expansion Project, Dedicated State Tax
			Rev., FGIC, 5.50%, 12/15/24		7,609
			Regional Transportation Authority
		2,425	Rev., MBIA, 6.25%, 07/01/15		2,892
		6,000	Rev., MBIA, 6.50%, 07/01/30		7,856
		2,000	State of Illinois, Sales Tax
			Rev., 5.00%, 06/15/11		2,156
					49,855
Indiana — 3.2%
		1,550	Beech Grove School Building Corp., First Mortgage
			Rev., MBIA, 6.25%, 07/05/16		1,800
			City of Franklin, Community School Building Corp., First Meeting
		500	Rev., FSA, 5.85%, 07/15/06 (p)		521
		2,000	Rev., FSA, 6.00%, 01/15/06 (p)		2,088
		80	City of Indianapolis, Gas Utilities
			Rev., 7.00%, 06/01/08 (p)		84
		2400	City of South Bend, Community School Corp., First Mortgage
			Rev., FSA ST AID WITHHLDG, 5.70%, 08/01/07 (p)		2,537
		2,000	East Allen Elementary School Building Corp., First Mortgage
			Rev., FSA ST AID WITHHLDG, 5.88%, 07/01/06 (p)		2,084
		1,000	Evansville-Vanderburgh County, Building Authority
			Rev., MBIA, 5.80%, 08/01/06 (p)		1,043
		300	Indiana Educational Facilities Authority, Rose Hulman Institute Project
			Rev., MBIA, 6.00%, 06/01/06 (p)		312
		1,000	Indiana Health Facilities Finance Authority, Clarian Health Partners, Inc.
			Series A, Rev., 5.50%, 02/15/16		1,035
		3,000	Indiana Municipal Power Agency Supply System
			Series B, Rev., MBIA, 5.50%, 01/01/16		3,360
			Indiana Transportation Finance Authority
		500	Series A, Rev., 6.00%, 11/01/05 (p)		511
		8,750	Series A, Rev., 6.80%, 12/01/16 (m)		10,604
		885	Indiana Transportation Finance Authority, Highway
			Series A, Rev., 7.25%, 06/01/15 (p)		1,031
		3,115	Indiana Transportation Finance Authority, Unrefunded Balance,
			Airport Facility
			Series A, Rev., 7.25%, 06/01/15		3,820
		1,180	Vincennes Community School Building Corp., First Mortgage
			Rev., FSA, 6.00%, 07/01/09		1,230
		1,000	Whitko Middle School Building Corp., First Mortgage
			Rev., FSA, 5.88%, 07/15/12		1,054
					33,114
Kansas — 0.2%
		1,900	Sedgwick County Unified School District No. 259
			GO, 5.25%, 09/01/09		2,041
Kentucky — 0.4%
		4,090	Louisville & Jefferson County, Metropolitan Sewer District
			Series A, Rev., FGIC, 5.63%, 05/15/17		4,468

	Principal Amount		Security Description	Value
Louisiana — 3.2%
		7,970	City of Baton Rouge, Public Improvement
			Series A, Rev., FGIC, 5.25%, 08/01/12		8,468
			City of Shreveport
		7,605	Series A, GO, FGIC, 5.25%, 05/01/09 (p)		8,124
			St. Bernard Parish
		2,635	Rev., FSA, 5.00%, 03/01/16		2,811
		2,745	Rev., FSA, 5.00%, 03/01/17		2,917
		2,860	Rev., FSA, 5.00%, 03/01/18		3,031
		1,505	Rev., FSA, 5.00%, 03/01/19		1,589
		3,110	Rev., FSA, 5.00%, 03/01/20		3,275
			State of Louisiana, Gas & Fuels Tax
		2,000	Series A, Rev., AMBAC, 5.38%, 06/01/18		2,135
		1,040	Series A, Rev., AMBAC, 5.38%, 06/01/19		1,109
					33,459
Massachusetts — 1.8%
			City of Auburn
		1,075	GO, AMBAC, 5.13%, 06/01/17		1,172
		1,100	GO, AMBAC, 5.13%, 06/01/18		1,196
		1,290	GO, AMBAC, 5.13%, 06/01/22		1,385
		470	City of Pittsfield
			GO, MBIA, 5.13%, 04/15/22		506
		6,640	Commonwealth of Massachusetts, Consolidated Lien
			Series C, GO, 5.25%, 12/01/07		6,952
		4,185	Massachusetts Bay Transportation Authority, General
			Transportation Systems
			Series A, GO, FGIC, 5.50%, 03/01/09 (p)		4,537
		100	Massachusetts Housing Finance Agency, Single Family
			Series 47, Rev., AMBAC, 6.00%, 12/01/15		100
		2,250	Massachusetts Port Authority, AMT
			Series B, Rev., FSA, 5.50%, 07/01/13		2,405
		1,000	New England Education Loan Marketing Corp., Issue H
			Rev., GTD STD LNS, 6.90%, 11/01/09		1,053
					19,306
Michigan — 3.8%
			Armada Area Schools Building & Site
		1,125	GO, MBIA Q-SBLF, 5.00%, 05/01/21		1,198
		1,060	GO, MBIA Q-SBLF, 5.00%, 05/01/23		1,122
		1,375	GO, MBIA Q-SBLF, 5.00%, 05/01/25		1,450
		1,500	Caledonia Community Schools
			GO, MBIA Q-SBLF, 5.85%, 05/01/07 (p)		1,566
		5,240	Clinton Township, Building Authority
			Rev., AMBAC, 5.50%, 11/01/17		5,966
		1,775	Fenton Area Public Schools
			GO, FGIC Q-SBLF, 5.00%, 05/01/16		1,927
			L’Anse Creuse, Public Schools
		1,000	GO, FSA Q-SBLF, 5.00%, 05/01/16		1,082
		2,000	GO, FSA Q-SBLF, 5.00%, 05/01/17		2,152
			Lamphere Schools Oakland County
		1,945	GO, FSA Q-SBLF, 5.00%, 05/01/12		2,110
		1,875	GO, FSA Q-SBLF, 5.00%, 05/01/14		2,044
		1,410	Madison District Public Schools
			GO, FGIC Q-SBLF, 5.00%, 05/01/15		1,538

	Principal Amount		Security Description	Value
		5,000	Michigan Strategic Fund, Detroit Education Community
			Center Convention
			Rev., Adj., AMBAC, 4.85%, 09/01/30		5,260
		1,000	Rochester Community School District
			Series I, GO, FGIC Q-SBLF, 5.75%, 05/01/10 (p)		1,103
		1,670	Rockford Public School District
			GO, FSA Q-SBLF, 5.00%, 05/01/20		1,784
			State of Michigan
		1,250	Rev., FSA, 5.25%, 05/15/15		1,389
		1,520	Rev., FSA, 5.50%, 11/01/18		1,745
		3,600	Western Michigan University
			Rev., FGIC, 4.38%, 11/15/25		3,550
			Willow Run Community Schools
		1,465	GO, FSA Q-SBLF, 5.00%, 05/01/13		1,592
		1,650	GO, FSA Q-SBLF, 5.00%, 05/01/15		1,801
					40,379
Minnesota — 0.4%
		645	Minnesota Housing Finance Agency, Rental Housing
			Series D, Rev., MBIA, 5.90%, 08/01/15		657
		2,000	Minnesota State Municipal Power Agency
			Rev., 5.00%, 10/01/30		2,067
		1,485	Robbinsdale Independent School District No. 281
			Series A, GO, MBIA, 4.00%, 02/01/15		1,501
					4,225
Mississippi — 0.9%
		7,940	Mississippi Development Bank Special Obligation,
			Gulfport Water & Sewer Project
			Rev., FSA, 6.00%, 07/01/12 (m) (p)		9,218
Missouri — 0.5%
		1,105	City of Sikeston
			Rev., MBIA, 6.00%, 06/01/16		1,305
		1,000	Curators University of Missouri, System Facilities
			Series B, Rev., 5.00%, 11/01/17		1,075
		1,505	Jackson Country, Public Building Corp., Capital
			Improvements Project
			Rev., 5.00%, 12/01/28		1,569
		1,010	State of Missouri, Third State Building
			Series A, GO, 5.00%, 08/01/08		1,063
					5,012
Montana — 0.7%
			Montana State Board of Regents
		890	Series H, Rev., AMBAC, 5.00%, 11/15/18		955
		565	Series H, Rev., AMBAC, 5.50%, 11/15/13		635
		125	Series H, Rev., AMBAC, 5.50%, 11/15/14		142
			Montana State Board of Regents, Montana State University
		2,500	Series I, Rev., AMBAC, 5.00%, 11/15/19		2,681
		1,210	Series I, Rev., AMBAC, 5.00%, 11/15/20		1,294
		1,290	Series I, Rev., AMBAC, 5.00%, 11/15/21		1,376
					7,083
Nevada — 1.5%
		5,145	Clark County, IDR, Power Co. Project
			Series C, Rev., AMBAC-TCR, 7.20%, 10/01/22		5,252

	Principal Amount		Security Description	Value
		6,000	State of Nevada, Department of Business & Industry,
			Capital Appreciation, Las Vegas Monorail
			Rev., AMBAC, Zero Coupon, 01/01/16		3,817
		6,000	Truckee Meadows, Water Authority
			Series A, Rev., FSA, 5.00%, 07/01/25		6,309
					15,378
New Hampshire — 0.7%
			City of Manchester
		1,010	GO, 5.25%, 06/01/14		1,124
		1,015	GO, 5.25%, 06/01/15		1,133
		1,020	GO, 5.25%, 06/01/16		1,141
		1,020	GO, 5.25%, 06/01/17		1,142
		2,445	Machester New Hampshire School Facilities
			Rev., MBIA, 5.50%, 06/01/15		2,767
					7,307
New Jersey — 3.8%
		4,200	Freehold Regional High School District
			GO, FGIC, 5.60%, 03/01/10 (p)		4,603
		2,980	Lenape Regional High School District
			GO, FGIC, 5.00%, 04/01/18		3,203
		7,500	New Jersey EDA, Cigarette Tax
			Rev., 5.63%, 06/15/17		7,739
		1,170	New Jersey State Educational Facilities Authority, Fairleigh Dickinson University
			Series G, Rev., 5.70%, 07/01/28		1,205
		5,000	New Jersey State Highway Authority, Senior Parkway
			Rev., 6.20%, 01/01/10 (p)		5,451
		2,900	New Jersey State Transit Corp., Federal Transportation Administration Grants
			Series B, COP, AMBAC, 5.50%, 09/15/12		3,221
			New Jersey Transportation Trust Fund Authority, Transportation System
		1,000	Series A, Rev., 5.75%, 06/15/15		1,136
		9,000	Series B, Rev., 5.25%, 06/15/07 (p)		9,506
		3,125	New Jersey Transportation Trust Fund Authority, Unrefunded Balance,
			Transportation Systems
			Series B, Rev., MBIA, 6.50%, 06/15/10		3,541
					39,605
New Mexico — 0.3%
		1,515	Los Alamos County Utilities
			Series A, Rev., FSA, 5.00%, 07/01/13		1,643
		1,055	New Mexico Mortgage Finance Authority, Single Family Mortgage
			Rev., Adj., GNMA/FNMA/FHLMC COLL, 5.90%, 07/01/16		1,073
					2,716
New York — 17.2%
		100	Chenango Forks, Central School District
			GO, FGIC, 4.00%, 06/15/07		102
		1,900	City of Utica, IDA, Munson-Williams-Proctor Institution
			Series A, Rev., 5.38%, 07/15/19		2,023
			Coxsackie-Athens Central School District
		1,325	GO, FSA ST AID WITHHLDG, 5.00%, 06/15/17		1,445
		1,390	GO, FSA ST AID WITHHLDG, 5.00%, 06/15/18		1,509
		3,000	Metropolitan Transportation Authority
			Series A, Rev., 5.13%, 01/01/24		3,181

Principal Amount		Security Description	Value
	2,505	New York City
		Series F, GO, 6.00%, 01/15/13 (p)		2,881
		New York City Municipal Water Finance Authority
	15,000	Series A, Rev., 5.00%, 06/15/39		15,581
	2,850	Series A, Rev., 5.75%, 06/15/30 (p)		3,137
	5,000	Series A, Rev., FSA, 5.00%, 06/15/32		5,242
	565	New York City Municipal Water Finance Authority, Water & Sewer System
		Series B, Rev., 6.00%, 06/15/33		631
	1,845	New York City Transitional Finance Authority, Future Tax
		Series C, Rev., 5.50%, 05/01/10 (p)		2,039
		New York City Transitional Finance Authority, Future Tax Secondary
	695	Series B, Rev., 5.50%, 02/01/11 (p)		773
	3,000	Series B, Rev., Adj., 5.25%, 02/01/29		3,232
	9,000	Series C, Rev., 5.50%, 05/01/10 (p)		9,953
		New York City Transitional Finance Authority,
		Future Tax Secondary, Unrefunded Balance
	2,305	Series B, Rev., 5.50%, 02/01/15		2,536
	6,155	Series C, Rev., 5.50%, 11/01/24		6,722
		New York City, Unrefunded Balance
	15,635	GO, 6.00%, 01/15/18 (m)		17,690
	745	Series A, GO, 6.00%, 05/15/18		823
	2,900	New York Convention Center Operating Corp.,Yale
		Building Acquistion Project
		COP, 5.25%, 06/01/08		2,981
		New York Municipal Bond Bank Agency
	1,900	Series C, Rev., ST AID WITHHLDG, 5.25%, 06/01/21		2,050
	2,000	Series C, Rev., ST AID WITHHLDG, 5.25%, 12/01/21		2,160
		New York State Dormitory Authority, City University System
	5,000	CONS, Series A, Rev., FSA-CR, 5.75%, 07/01/13		5,696
	2,050	Series 2, Rev., 5.88%, 07/01/06 (p)		2,137
	3,000	Series A, Rev., FGIC, 5.13%, 07/01/10 (p)		3,248
	1,400	New York State Dormitory Authority, City University System,
		Unrefunded Balance
		Series 2, Rev., 5.88%, 07/01/08		1,456
	3,020	New York State Dormitory Authority, State University Dorm Facilities
		Series B, Rev., MBIA, 5.25%, 07/01/18		3,316
		New York State Environmental Facilities Corp.,
		Revolving Funds, New York City Municipal Water Project
	9,345	Series D, Rev., 5.38%, 06/15/19		10,255
	7,270	Series E, Rev., 5.38%, 06/15/17		7,996
	7,135	Series E, Rev., 5.38%, 06/05/18		7,848
	26,000	Port Authority of New York & New Jersey
		93rd Series, Rev., GO, 6.13%, 06/01/94 (m)		30,894
	10	Rome City School District
		GO, FGIC ST AID WITHHLDG, 5.00%, 06/15/12		11
		State of New York
	6,040	Series A, GO, 6.00%, 05/15/10 (p)		6,807
	3,500	Series F, GO, MBIA-IBC, 5.25%, 08/01/16		3,684
	1,000	Suffolk County, Longwood Central School District
		GO, FGIC, 5.75%, 06/15/19		1,134
		Tobacco Settlement Financing Corp.
	3,000	Series C-1, Rev., 5.50%, 06/01/20		3,282
	3,000	Series C-1, Rev., 5.50%, 06/01/21		3,272

	Principal Amount		Security Description	Value
		3,000	Tobacco Settlement Financing Corp., Asset Backed
			Series A-1, Rev., 5.50%, 06/01/19		3,307
					181,034
North Carolina — 1.8%
		3,355	Charlotte Mechlenburg, Hospital Authority
			Series A, Rev., 5.60%, 01/15/10		3,445
		3,510	Charlotte Mechlenburg, Hospital Authority, Unrefunded Balance
			Rev., 5.90%, 01/15/16		3,608
			City of Charlotte
		6,600	GO, 5.50%, 06/01/10 (p)		7,346
		4,400	Cumberland County
			GO, 5.70%, 03/01/10 (p)		4,916
		110	North Carolina State Housing Finance Agency, AMT, Single Family
			Series FF, Rev., FHA, 6.25%, 03/01/28		113
					19,428
North Dakota — 1.1%
		4,325	City of Bismarck, Healthcare Facilities, St. Alexius Medical Center
			Series A, Rev., FSA, 5.25%, 07/01/15		4,599
		5,000	Mercer County, Antelope Valley Station
			Rev., AMBAC, 7.20%, 06/30/13		5,943
		1,300	North Dakota State Water Commission, Water
			Development & Management Program
			Series A, Rev., MBIA, 5.00%, 08/01/18		1,401
					11,943
Ohio — 3.2%
		7,000	Cleveland Stadium Project
			COP, AMBAC, 5.25%, 11/15/13		7,420
			Cleveland-Cuyahoga County Port Authority, Port Development
			Cleveland Bond Fund
		2,055	Series C, Rev., 5.95%, 05/15/22		2,151
		800	Series D, Rev., 5.00%, 05/15/20		798
		1,395	Indian Hill Exempt Village School District, School Improvement
			GO, 5.00%, 12/01/17		1,535
		3,000	Lucas County, Hospital, Promedica Healthcare Obligation Group
			Rev., AMBAC, 5.63%, 11/15/14		3,269
		4,000	Ohio Air Quality Development Authority, Edison Project
			Series A, Rev., Adj., AMBAC, 3.25%, 02/01/15		4,000
			Riversouth, Authority Area Redevelopment
		2,580	Series A, Rev., 5.00%, 12/01/18		2,774
		1,055	Series A, Rev., 5.25%, 12/01/14		1,168
		2,080	Series A, Rev., 5.25%, 12/01/19		2,262
		1,505	Series A, Rev., 5.25%, 12/01/20		1,632
		1,000	Series A, Rev., 5.25%, 12/01/21		1,081
		1,050	Series A, Rev., 5.25%, 12/01/22		1,132
			Toledo Lucas County, Port Authority Development, Northwest Bond Fund,
		1,795	Series A, Rev., 6.00%, 05/15/11		1,898
		1,650	Series C, Rev., 6.38%, 11/15/32		1,770
		1,020	Toledo Lucas County, Port Authority Development, Northwest Bond Fund,
			Woodsage Project
			Series B, Rev., 5.40%, 05/15/14		1,057
					33,947

	Principal Amount		Security Description	Value
Oklahoma — 0.1%
		660	Oklahoma State Housing Finance Agency
			Series B-2, Rev., AMT, GNMA/FNMA, 6.80%, 09/01/26		673
Oregon — 1.2%
		3,000	State of Oregon, Department of Administrative Services
			Series B, Lottery Rev., FSA, 5.25%, 04/01/15		3,211
		1,365	Tri-County Metropolitan Transportation District, Tax Pledge
			Series A, Rev., FSA, 5.00%, 09/01/16		1,490
		1,900	Washington County, School District No. 48J Beaverton
			Series B, GO, FSA, 5.00%, 06/01/08		1,992
		5,000	Washington County, Unified Sewerage Agency
			Senior Lien, Series A, Rev., FGIC, 5.75%, 10/01/10		5,557
					12,250
Pennsylvania — 1.9%
		1,425	Butler Area School District
			Series B, GO, FGIC, 5.25%, 09/15/17		1,602
		2,375	Delaware River Port Authority
			Rev., FSA, 5.63%, 01/01/16		2,582
		6,500	Pennsylvania IDA, Economic Development
			Rev., AMBAC, 5.50%, 07/01/18		7,223
		4,775	Tredyffrin-Easttown School District
			GO, ST AID WITHHLDG, 4.50%, 02/15/19		4,915
		3,985	Warwick School District
			GO, FGIC, 4.00%, 02/15/19		3,896
					20,218
Puerto Rico — 4.1%
			Commonwealth of Puerto Rico
		5,655	GO, MBIA, 6.00%, 07/01/16		6,722
		2,875	Series C, GO, Adj., MBIA, 5.00%, 07/01/28		3,018
		6,900	Commonwealth of Puerto Rico, Public Improvement
			Series C, GO, Adj., 5.00%, 07/01/18		7,175
			Puerto Rico Electric Power Authority
		10,000	Series KK, Rev., MBIA, 5.50%, 07/01/15 (m)		11,409
		3,880	Series Y, Rev., MBIA, 7.00%, 07/01/07		4,144
		5,000	Puerto Rico Highway & Transportation Authority
			Series B, Rev., 6.00%, 07/01/10 (p)		5,620
			Puerto Rico Public Buildings Authority, Government Facilities
		1,630	Series A, Rev., AMBAC, 6.25%, 07/01/11		1,874
		2,800	Series K, Rev., Adj., 4.50%, 07/01/22		2,849
					42,811
South Carolina — 1.2%
		2,450	Charleston Educational Excellence Finance Corp., Charleston County
			School District Project
			Rev., 5.00%, 12/01/18		2,600
		5,000	South Carolina State Education Assistance Authority, Educational Loan
			Series A-1, Rev., Adj., GTD STD LNS, 2.60%, 03/01/22		5,000
		5,000	South Carolina State Public Service Authority
			Series A, Rev., AMBAC, 6.25%, 01/01/06 (p)		5,140
					12,740
South Dakota — 0.6%
			Heartland Consumers Power District, Electric
		2,605	Rev., 7.00%, 01/01/16 (p)		3,024

	Principal Amount		Security Description	Value
		2,500	Rev., FSA, 6.00%, 01/01/17		2,930
					5,954
Tennessee — 0.8%
		1,555	City of Franklin
			GO, 5.00%, 04/01/23		1,710
			Knox County, Health Educational & Housing Facilities Board,
			FT Sanders Alliance
		1,360	Rev., MBIA, 7.25%, 01/01/09		1,522
		1,300	Rev., MBIA, 7.25%, 01/01/10		1,492
		3,000	Metropolitan Government Nashville & Davidson County
			Rev., FGIC, 5.20%, 01/01/13		3,300
					8,024
Texas — 3.9%
		3,000	Alliance, Airport Authority, Federal Express Corp. Project
			Rev., 6.38%, 04/01/21		3,097
		1,080	City of Austin
			Series A, Rev., AMBAC, 5.00%, 11/15/16		1,165
		1,295	City of Austin, Certificates of Obligation
			GO, MBIA, 5.00%, 09/01/16		1,391
			City of Austin, Town Lake Park Community Events
		1,360	Rev., FGIC, 5.00%, 11/15/14		1,478
		1,590	Rev., FGIC, 5.00%, 11/15/16		1,721
		6,000	City of Brownsville, Priority Refunding, Utilities
			Rev., MBIA, 6.25%, 09/01/14 (p)		6,856
		4,250	City of San Antonio
			Series 2000, Rev., 5.00%, 02/01/17 (p)		4,595
			City of Pharr
		1,675	Series B, GO, MBIA, 5.00%, 08/15/16		1,811
		1,760	Series B, GO, MBIA, 5.00%, 08/15/17		1,893
		3,000	Dallas-Fort Worth, International Airport Facilities
			Improvement Corp.
			Series A, Rev., FGIC, 5.50%, 11/01/20		3,227
		3,085	Lewisville Combination Contract, Special Assessment
			Capital Improvement District 2
			GO, ACA, 5.88%, 09/01/22		3,301
			Midtown Redevelopment Authority
		1,570	Tax Allocation, AMBAC, 5.00%, 01/01/21		1,659
		1,650	Tax Allocation, AMBAC, 5.00%, 01/01/22		1,736
		5,000	Texas A & M University, FING System
			Rev., 5.38%, 05/15/09 (p)		5,371
		1,085	Travis County
			GO, 5.25%, 03/01/20		1,195
					40,496
Utah — 0.2%
		760	Utah Housing Finance Agency, Single Family Mortgage
			Series A-2, Rev., FHA, 6.25%, 07/01/25		786
		1,315	Utah State Board of Regents, Dixie College
			Series A, Rev., AMBAC, 5.50%, 05/01/23		1,404
					2,190
Virginia — 1.0%
		4,140	City of Norfolk
			Rev., MBIA, 5.88%, 11/01/14		4,233

	Principal Amount		Security Description	Value
		1,935	Loudoun County, Sanitation Authority
			Rev., 5.00%, 01/01/12		2,093
			Lynchburg Public Improvement
		1,105	GO, 5.00%, 06/01/16		1,200
		1,085	GO, 5.00%, 06/01/17		1,172
		1,205	GO, 5.00%, 06/01/18		1,297
					9,995
Washington — 2.9%
		5,000	City of Seattle, Municipal Light & Power
			Rev., MBIA-IBC, 6.00%, 10/01/09 (p)		5,560
		5,000	Energy Northwest Electric, Project No. 1
			Series A, Rev., MBIA, 5.50%, 07/01/16		5,492
		7,000	Energy Northwest, Washington Electric, Columbia Generating Station
			Series B, Rev., MBIA, 5.50%, 07/01/18		7,494
			Skagit County Consolidated School District No. 320 Mount Vermon
		2,415	GO, FSA SCH BD GTY, 5.25%, 12/01/17		2,667
		2,600	GO, FSA SCH BD GTY, 5.25%, 12/01/18		2,863
		195	Washington Public Power Supply System
			Series B, Rev., 7.25%, 07/01/09 (p)		212
		15	Washington Public Power Supply System, Unrefunded
			Series B, Rev., 7.25%, 07/01/09		16
		5,430	Washington University, Housing & Dining, Junior Lien
			Series A, Rev, AMBAC, 5.50%, 10/01/22		6,232
					30,536
West Virginia — 0.5%
		5,250	State of West Virginia, State Roads
			GO, 5.75%, 06/01/09 (p)		5,756
			Total Long-Term Investments
			(Cost $938,472)		998,502

	Shares
Short-Term Investment — 7.2%
Investment Company — 7.2%
		76,307	JPMorgan Tax Free Money Market Fund (b)		76,307
			(Cost $76,307)
Total Investments — 102.3%
(Cost $1,014,779)				$	1,074,809
Liabilities in Excess of Other Assets — (2.3)%					(24,512	)
Net Assets — 100.0%				$	1,050,297

Percentages indicated are based on net assets.

Abbreviations:

(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.
(k)	Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
(p)	Security is prerefunded or escrowed to maturity. The maturity date shown is the earlier of the reset date and the date of the prerefunded call.

ACA	Insured by American Capital Access
Adj.	Adjustable. The interest rate shown is the rate in effect at September 30, 2005.
AMBAC	American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax Paper
CA MTG INS	California Mortgage Insurance
CBI	Certificate of Bond Insurance
COLL	Collateral
CONS	Consolidated Bonds
COP	Certificates of Participation
EDA	Economics Development Authority
FGIC	Financial Guaranty Insurance Co.
FHA	Federal Housing Authority
FHLMC	Freddie Mac
FNMA	Federal National Mortgage Association
FSA	Financial Security Assurance
CR	Custodial Receipts
GNMA	Government National Mortgage Association
GO	General Obligation Bond
GO OF HOSP	General Obligation of Hospital
GTD STD LNS	Guaranteed Student Loans
GTY	Guaranty
IBC	Insured Bond Certificates
ICR	Insured Custodial Receipts
IDA	Industrial Development Authority
IDR	Industrial Development Revenue
INS	Insurance
MBIA	Municipal Bond Insurance Association
Q-SBLF	Qualified School Board Loan Fund
Rev.	Revenue Bond
SCH BD GTY	School Bond Guaranty
ST AID WITHHLDG	State Aid Withholding
TCR	Transferable Custodial Receipts
XLCA	XL Capital Assurance

Futures Contracts
(Amounts in thousands, except number of contracts)

			Unrealized
		Expiration	Appreciation
Number of Contracts	Description	Date	(USD)
	Short Futures Outstanding
211	U.S. Treasury Bond	December, 2005	$	467

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	61,240
Aggregate gross unrealized depreciation		(1,210	)
Net unrealized appreciation/depreciation	$	60,030
Federal income tax cost of investments	$	1,014,779

JPMorgan West Virginia Municipal Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Long — Term Investments — 97.0%
Municipal Bonds — 97.0%
Kansas — 2.3%
	$	3,225	Labette County, Single Family Mortgage, Capital Accumulator Rev., Zero Coupon, 12/01/14 (p)	$	2,229
Maryland — 0.8%
		1,985	Prince Georges County, Housing Authority Mortgage, Capital Appreciation, Foxglenn Apartments Series A, Rev., GNMA COLL, Zero Coupon, 05/20/22		773
Puerto Rico — 3.6%
		2,400	Commonwealth of Puerto Rico GO, 5.75%, 07/01/17		2,544
		1,000	Puerto Rico Medical & Environmental Control Facilities Financing Authority, Auxilio Mutuo Hospital Obligation Group Series A, Rev., MBIA, 5.80%, 07/01/06		1,022
					3,566
West Virginia — 90.3%
		1,525	Brooke, Pleasants, Tyler & Wetzel Counties, Single Family Mortgage Rev., 7.40%, 08/15/10 (p)		1,796
		1,500	Cabell County, Board of Education GO, MBIA, 6.00%, 05/01/06 (p)		1,528
		635	City of Charleston, Building Commission, Center for Arts & Science Project Rev., 5.30%, 06/01/12 (i)		670
		1,120	City of Charleston, Urban Renewal Authority, Diamond Project Series A, Rev., FSA, 5.75%, 12/15/18		1,242
			City of Clarksburg, Capital Appreciation, Water Improvement
		1,020	Rev., FSA-CR RADIAN-IBCC, Zero Coupon, 09/01/08		928
		1,000	Rev., FSA-CR RADIAN-IBCC, Zero Coupon, 09/01/11		803
			City of Fairmont, Waterworks
		790	Rev., MBIA, 5.30%, 07/01/09		833
		925	Rev., MBIA, 5.50%, 07/01/12		979
			City of Parkersburg, Water Works & Sewer System
		1,295	Rev., FSA, 5.50%, 03/01/10		1,349
		1,335	Rev., FSA, 5.50%, 09/01/10		1,391
		1,430	Series A, Rev., FGIC, 5.00%, 08/01/19		1,532
		1,000	City of Wheeling, Waterworks & Sewer System Rev., FGIC, 5.40%, 06/01/11		1,036
		2,000	Harrison County Commission Series A, SO, 6.25%, 05/15/10 (m)(p)		2,192
		2,500	Harrison County, Board of Education GO, FGIC, 6.40%, 05/01/07 (m)(p)		2,630
		735	Jackson County, Residential Mortgage Rev., FGIC, 7.38%, 06/01/10 (p)		858
		1,000	Jefferson County, Board of Education, Public School GO, 5.25%, 07/01/09		1,072
		3,260	Kanawha, Mercer and Nicholas Counties, Single Family Mortgage Rev., Zero Coupon, 02/01/14 (p)		2,074
		5,550	Kanawha-Putnam County, Single Family Mortgage Series A, Rev., Zero Coupon, 12/01/16 (p)		3,447
		1,395	Keyser Housing Corp., Section 8 Institute-Potomac Project Rev., FHA, 7.25%, 04/01/21 (i)		1,398
		1,065	Marion County, Single Family Mortgage Rev., FGIC PRIV MTGS, 7.38%, 08/01/11 (p)		1,274
		500	Marshall County SO, 6.50%, 05/15/10 (p)		546
		1,000	Pleasants County Industrial Development, Potomac Power Series C, Rev., MBIA-IBC, 6.15%, 05/01/15		1,021

1

Principal Amount		Security Description	Value
	1,750	Pleasants County Industrial Development, West Penn Power Series C, Rev., AMBAC MBIA, 6.15%, 05/01/15		1,787
	2,000	Raleigh, Fayette & Nicholas Counties SO, 6.25%, 08/01/11 (p)
		State of West Virginia		2,277
	1,000	GO, FGIC, 5.25%, 06/01/08		1,055
	1,000	Series B, AMT, GO, FGIC, 5.80%, 11/01/11		1,046
	1,000	Series B, AMT, GO, FGIC, 5.85%, 11/01/12
		State of West Virginia, Capital Appreciation, Infrastructure		1,045
	1,000	Series A, GO, FGIC, Zero Coupon, 11/01/13		724
	1,000	Series A, GO, FGIC, Zero Coupon, 11/01/14		689
		State of West Virginia, State Roads
	1,500	GO, 5.20%, 06/01/09 (p)		1,616
	2,000	GO, 5.75%, 06/01/09 (p)		2,192
	1,000	GO, FGIC, 5.00%, 06/01/21		1,065
	970	GO, FGIC, 5.50%, 06/01/10 (p)		1,070
	1,075	GO, FSA, 5.25%, 06/01/09 (p)		1,160
	1,000	West Virginia Economic Development Authority, Capital Parking Garage Project Rev., AMBAC, 5.63%, 06/01/16		1,094
	1,000	West Virginia Economic Development Authority, Correctional Juvenile Series A, Rev., MBIA, 5.50%, 06/01/14		1,116
	500	West Virginia Economic Development Authority, Department of Enviromental Protection Rev., 4.00%, 11/01/09		514
		West Virginia Higher Education Policy Commission, University Facilitites
	1,500	Series A, Rev., MBIA, 5.00%, 04/01/12		1,628
	1,050	Series B, Rev., FGIC, 5.00%, 04/01/21		1,114
		West Virginia School Building Authority, Capital Improvement
	1,000	Rev., AMBAC, 4.00%, 07/01/10		1,031
	2,825	Rev., AMBAC, 5.50%, 07/01/11		2,990
	3,500	Series B, Rev., FSA, 5.40%, 07/01/17		3,693
	200	Series B, Rev., MBIA, 6.75%, 07/01/06		206
		West Virginia State Building Commission
	1,000	Series A, Rev., MBIA, 5.25%, 07/01/08		1,053
	2,465	Series A, Rev., MBIA, 5.25%, 07/01/09		2,598
	1,990	West Virginia State Building Commission, Regional Jail Series A, Rev., AMBAC, 5.25%, 07/01/12		2,185
		West Virginia State Higher Education, Interim Governing Board University, Marshall University
	1,440	Series A, Rev., FGIC, 5.25%, 05/01/16		1,557
	1,600	Series A, Rev., FGIC, 5.25%, 05/01/18		1,728
		West Virginia State Hospital Finance Authority, Camden Clark Memorial Hospital
	1,000	Series A, Rev., FSA, 5.25%, 02/15/19		1,082
		West Virginia State Hospital Finance Authority, Charleston Area Medical Center
	895	Series A, Rev., 6.50%, 09/01/16 (p)		1,080
	1,000	Series A, Rev., MBIA, 5.13%, 09/01/06		1,019
		West Virginia State Infrastructure
	1,075	Series B, AMT, GO, FGIC, 5.75%, 11/01/12		1,192
		West Virginia State Parkway Economic Development & Tourism Authority
	1,000	Rev., FGIC, 5.25%, 05/15/16		1,115
	2,000	Rev., FGIC, 5.25%, 05/15/19		2,240
	750	West Virginia University, State University System, Marshall University Library Rev., AMBAC, 5.60%, 04/01/06 (p)		768
		West Virginia University, University Projects
	1,000	Series A, Rev., AMBAC, Zero Coupon, 04/01/16		639
	1,000	Series A, Rev., AMBAC, Zero Coupon, 04/01/17		608

2

	Principal Amount		Security Description	Value
		1,000	Series A, Rev., AMBAC, Zero Coupon, 04/01/18		578
		1,000	Series B, Rev., FGIC, 5.00%, 10/01/20		1,067
			West Virginia Water Development Authority
		1,200	Series A, Rev., AMBAC, 5.50%, 10/01/18		1,346
		620	Series A, Rev., FSA, 5.35%, 10/01/13		672
		770	Series A, Rev., FSA, 5.40%, 10/01/14		837
			West Virginia Water Development Authority, Loan Program II
		2,275	Series B, Rev., AMBAC, 5.00%, 11/01/12		2,477
		1,000	Series B, Rev., AMBAC, 5.00%, 11/01/13		1,089
		1,420	West Virginia Water Development Authority, Loan Program IV Series A, Rev., FSA, 5.00%, 11/01/19		1,523
					88,164
			Total Long Term Investments (Cost $89,164)		94,732
	Shares
Short-Term Investment — 2.0%
Investment Company — 2.0%
		1,983	JPMorgan Tax Free Money Market Fund (b)		1,983
			Total Short-Term Investments
			(Cost $1,983)
Total Investments — 99.0%
(Cost $91,147)				$	96,715
Other Assets in Excess of Liabilities — 1.0%					970
Net Assets — 100.0%				$	97,685

Percentages indicated are based on net assets.

Abbreviations:

(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.
(i)	Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(p)	Security is prerefunded or escrowed to maturity. The maturity date shown is the earlier of the reset date and the date of the prerefunded call.
AMBAC	American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax Paper
FGIC	Financial Guaranty Insurance Co.
FHA	Federal Housing Authority
FSA	Financial Security Assurance
FSA-CR	FSA Custodial Receipts
GNMA COLL	GNMA Collateral
GO	General Obligation Bond
IBC	Insured Bond Certificates
MBIA	Municipal Bond Insurance Association
PRIV MTGS	Private Mortgages
RADIAN-IBCC	Radian Insured Bond Custodial Certificate
Rev.	Revenue Bond
SO	Special Obligation

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

3

Aggregate gross unrealized appreciation	$	5,607
Aggregate gross unrealized depreciation		(39	)
Net unrealized appreciation/depreciation	$	5,568
Federal income tax cost of investments	$	91,147

4

JPMorgan Michigan Municipal Money Market Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Commercial Paper — 11.2%
Michigan — 11.2%
			Michigan State Housing Development Authority
	$	5,000	2.42%, 10/03/05, LOC: Landesbank Hessen Thueringen	$	5,000
		1,400	2.65%, 11/08/05, LOC: Landesbank Hessen Thueringen		1,400
		5,700	2.72%, 12/02/05, LOC: Landesbank Hessen Thueringen		5,700
		3,000	Michigan State Building Authority 2.68%, 10/13/05, LOC: 70% BONY/30% STATE STREET BANK		3,000
		2,000	State of Michigan Series 2001-A, 2.00%, 10/04/05		2,000
		3,465	University of Michigan 2.68%, 12/01/05		3,465
			Total Commercial Paper		20,565
Daily Demand Notes — 3.5%
Michigan — 3.5%
		1,200	Michigan State Housing Development Authority, Jackson Project Rev., VAR, LOC: Federal Home Loan Bank, 2.90%, 10/01/05		1,200
			University of Michigan Hospital
		1,725	Series A, Rev., VAR , 2.81%, 10/01/05		1,725
		3,500	Series A-2, Rev., VAR , 2.82%, 10/01/05		3,500
			Total Daily Demand Notes		6,425
Municipal Notes and Bonds — 6.2%
Michigan — 6.2%
		1,500	City of Birmingham, City School District GO, 7.00%, 11/01/05		1,506
		5,295	City of Detroit RAN, Rev., 4.00%, 04/03/06		5,331
		1,585	Michigan State Building Authority, Facilities Program Series II, Rev., 5.50%, 10/15/05, (p)		1,587
		1550	Michigan State Hospital Finance Authority, Ascension Health Credit Series B, Rev., 11/15/05		1556
		1,350	Muskegon Heights Public Schools, Student Aid Notes 3.50%, 07/21/06		1,355
			Total Municipal Bonds		11,335
Weekly Demand Notes — 78.7%
Michigan — 74.9%
		4,000	ABN Amro Munitops Certificate Trust Series 2004-44, GO, VAR, INS: MBIA, 2.77%, 10/02/05		4,000
		2,495	City of Detroit, EDC, Merlots-A90-4/00 Rev., VAR, INS: AMBAC, 2.82%, 10/07/05		2,495
		300	City of Detroit, EDC, Waterfront Reclamation Series A, Rev., VAR, LOC: Bank of America, 2.75%, 10/04/05		300
		3,275	City of Detroit, Water Supply System Series PT-2587, Rev., VAR, INS: FGIC, 2.78%, 10/07/05		3,275
		400	City of Kalamazoo, EDC, Heritage Project Rev., VAR, LOC: Fifth Third Bank, 2.75%, 10/03/05		400
		1,335	Comstock Park Public Schools Series ROCS-RR-II-R 2178, GO, VAR, INS: FSA Q-SBLF, LIQ: Citigroup Global Markets, 2.79%, 10/02/05		1,335
		2,820	Delta County, EDC Series PT-2317, Rev., VAR, 2.82%, 10/07/05		2,820
		7,000	Detroit City School District, Merlots Series B-01, GO, VAR, INS: FGIC Q-SBLF, 2.77%, 10/01/05		7,000
		4,645	Detroit Sewer Disposal System, Merlots Series 2001-A112, Rev., VAR, INS: MBIA, LIQ: First Union National Bank, 2.77%, 10/04/05		4,645

Principal Amount		Security Description	Value
	3,000	East Lansing School District Series PT-2609, GO, VAR, MBIA Q-SBLF, LIQ: Merrill Lynch Capital Services, 2.78%, 11/01/05		3,000
	1,900	Grand Rapids, EDC, Limited Obligation, Cornerstone University Rev., VAR, LOC: National City Bank, 2.78%, 10/01/05		1,900
	2,555	Jackson County, EDC, Industrial Steel Treating Co. Project Rev., VAR, LOC: Comerica Bank, 2.91%, 10/04/05		2,555
	1,000	Kalamazoo County EDC, WBC Properties Ltd. Project Rev., VAR, LOC: Old Kent Bank, 2.86%, 10/01/05		1,000
	1,885	Kenowa Hills Public Schools Series PT-2552, GO, VAR, INS: FGIC Q-SBLF, 2.78%, 10/03/05		1,885
	1,000	Michigan Higher Education Facilities Authority, Limited Obligation Hope College Series B, Rev., VAR, LOC: Fifth Third Bank, 2.77%, 10/03/05		1,000
	4,000	Michigan Higher Education Student Loan Authority Series XII-B, Rev., VAR, INS: AMBAC, 2.78%, 10/01/05		4,000
	6,205	Michigan Municipal Bond Authority Series 397, Rev., VAR, LIQ: Merrill Lynch Capital Services, 2.78%, 10/02/05		6,205
	3,490	Michigan State Building Authority Series ROCS-RR-II-R-1049, Rev., VAR, LIQ: Salomon Smith Barney, 2.79%, 10/04/05		3,490
	5,000	Michigan State Building Authority, Floater Certificates Series 517X, Rev., VAR, INS: FSA, LIQ: Morgan Stanley, 2.78%, 10/03/05		5,000
		Michigan State Housing Development Authority
	1,120	Series A, Rev., AMT, VAR, INS: MBIA, LIQ: Landesbank Hessen, 2.80%, 10/06/05		1,120
	850	Series C, Rev., VAR, FSA, LIQ: Dexia Credit Local, 2.78%, 10/04/05		850
	930	Series PT-556, VAR, INS: MBIA, 2.83%, 10/05/05		930
	5,000	Michigan State Housing Development Authority, Multi-Family Housing, River Place Apartments Rev., VAR, LOC: Bank of New York, 2.79%, 10/06/05		5,000
	3,780	Michigan State Housing Development Authority, Weston Series B, Rev., VAR, LOC: National City Bank, 2.86%, 10/03/05		3,780
		Michigan State University
	7,665	Series 2000-A, Rev., VAR, 2.74%, 10/07/05		7,665
	3,215	Series A, Rev., VAR, 2.74%, 10/03/05		3,215
	2,980	Michigan Strategic Fund Series ROCS-RR-II-R 332, INS: XLCA-ICR, LIQ: Citibank N.A., 2.79%, 10/04/05		2,980
	3,220	Michigan Strategic Fund, Artinian, Inc. Project Rev., VAR, LOC: Comerica Bank, 2.91%, 10/04/05		3,220
	1,490	Michigan Strategic Fund, Atmosphere Heat Treating Rev., VAR, LOC: Comerica Bank, 2.91%, 10/03/05		1,490
	1,000	Michigan Strategic Fund, Commercial Tool & Die, Inc. Project Rev., VAR, LOC: Standard Federal Bank, 2.85%, 10/04/05		1,000
	1,965	Michigan Strategic Fund, Custom Profiles, Inc. Project Rev., VAR, LOC: Firstar Bank, 2.90%, 10/06/05		1,965
	595	Michigan Strategic Fund, Dennenlease LC Project Rev., VAR, LOC: Old Kent Bank & Trust, 2.91%, 10/03/05		595
	2,180	Michigan Strategic Fund, DOU-FORM Acquisition Project Rev., VAR, LOC: First Union National Bank, 2.90%, 10/05/05		2,180
	5,190	Michigan Strategic Fund, Grayling Generating Project Rev., VAR, LOC: Barclays Bank New York, 2.80%, 10/05/05		5,190
	255	Michigan Strategic Fund, Ironwood Plastics, Inc. Project Rev., VAR, LOC: First of America Bank, 2.91%, 10/07/05		255
	2,900	Michigan Strategic Fund, MANS Project Rev., VAR, LOC: Comerica Bank, 2.91%, 10/06/05		2,900
	955	Michigan Strategic Fund, Nicholas Plastics Project Rev., VAR, LOC: Fifth Third Bank, 2.90%, 10/06/05		955

Principal Amount		Security Description	Value
	1,530	Michigan Strategic Fund, Petoskey Plastics, Inc. Project Rev., VAR, LOC: Comerica Bank, 2.91%, 10/04/05		1,530
	700	Michigan Strategic Fund, Pinnacle Molded Plastics Rev., VAR, LOC: Michigan National Bank, 2.85%, 10/02/05		700
	2,400	Michigan Strategic Fund, Quincy Strategic, Inc. Project Rev., VAR, LOC: Comerica Bank, 2.91%, 10/07/05		2,400
	2,200	Michigan Strategic Fund, Rapid Line, Inc. Project Rev., VAR, LOC: Firstar Bank, 2.90%, 10/06/05		2,200
	3,195	Michigan Strategic Fund, Rest Haven Christian Services Rev., VAR, LOC: Sovereign Bank, 2.77%, 10/05/05		3,195
	3,740	Michigan Strategic Fund, Scoclan II LLC Project Rev., VAR, LOC: Standard Federal Bank, 2.84%, 10/06/05		3,740
	1,600	Michigan Strategic Fund, Steletee Van Huis Project Rev., VAR, LOC: Fifth Third Bank, 2.90%, 10/07/05		1,600
	815	Michigan Strategic Fund, TIM Properties LLC Project Rev., VAR, LOC: Huntington National Bank, 2.85%, 10/06/05		815
	1,230	Oakland County, EDC, North America, Inc. Project Rev., VAR, IBC, LOC: Comerica Bank, 2.91%, 10/04/05		1,230
	2,900	Oakland County, EDC, V & M Corp. Project Rev., VAR, LOC: Standard Federal Bank, 2.85%, 10/03/05		2,900
	125	Oakland University Rev., VAR, FGIC, 2.79%, 10/04/05		125
	2,700	State of Michigan Series PT-2754, Rev., VAR., FSA, LIQ: Dexia Credit Local, 2.78%, 11/15/05		2,700
	100	University of Michigan, Hospital Series A, Rev., VAR, 2.75%, 10/06/05		100
	100	University of Michigan, Medical Services Plan Series A, Rev., VAR, 2.75%, 10/07/05		100
		Wayne Charter County, Michigan Airport, Detroit Metropolitan County
	2,700	Series A, Rev., VAR, AMT, INS: AMBAC, 2.79%, 10/02/05		2,700
	300	Series A, Rev., VAR, INS: FGIC, 2.78%, 10/01/05		300
	2,520	Series B, Rev., AMT, VAR, INS: AMBAC, LOC: Helaba, 2.78%, 10/02/05		2,520
	2,500	Wayne County Michigan Airport Authority Series MT-115, Rev., VAR, INS: MBIA, LIQ: Svenska Handelsbanken, 2.83%, 12/01/05		2,500
	3,805	Wyoming, Aces-Hi Displays, Inc. Project Rev., VAR, LOC: Standard Federal Bank, 2.84%, 10/06/05		3,805
				136,755

	Principal Amount		Security Description	Value
Puerto Rico — 3.8%
		1,250	Puerto Rico Electric Power Authority ROCS, Rev., VAR, INS: FSA, LIQ: Citibank N.A., 2.76%, 10/07/05		1,250
		4,160	Puerto Rico, Floating Rate Trust Receipts Series M4J, Regulation, GO, VAR, FSA, 2.77%, 10/06/05		4,160
		850	Puerto Rico Infrastructure Financing Authority, TOCS Series 1, SO, VAR, LIQ: Bank of New York, 2.76%, 10/02/05		850
		575	Puerto Rico Public Buildings Authority Series PT-978, Rev., VAR, 2.78%, 10/01/05		575
					6,835
			Total Weekly Demand Notes		143,590
Total Investments — 99.6% (Cost $181,915)				$	181,915
Other Assets in Excess of Liabilities — 0.4%					705
Net Assets — 100.0%				$	182,620

Percentages indicated are based on net assets.

Abbreviations:

(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
(p)	Security is prerefunded or escrowed to maturity. The maturity date shown is the earlier of the reset date and the date of the prerefunded call.
AMBAC	American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax Paper
EDC	Economic Development Corporation
FGIC	Financial Guaranty Insurance Co.
FSA	Financial Security Assurance
GO	General Obligation Bond
IBC	Insured Bond Certificates
INS	Insurance
LIQ	Liquidity Agreement
LOC	Letter of Credit
MBIA	Municipal Bond Insurance Association
Q-SBLF	Qualified School Board Loan Fund
RAN	Revenue Anticipation Note
Rev.	Revenue Bond
TOCS	Tender Options Certificates
VAR	Variable. The interest rate shown is the rate in effect at September 30, 2005.
XLCA-ICR	XL Capital Assurance Insured Custodial Receipts

JPMorgan Ohio Municipal Money Market Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Commercial Paper — 9.9%
Ohio — 9.9%
	$	5,000	Cuyahoga County, Cleveland Clinic
			LIQ: Bank of America, 2.75%, 10/03/05	$	5,000
			Ohio State University
		1,000	2.40%, 10/03/05		1,000
		5,000	2.35%, 10/12/05		5,000
			Total Commercial Paper		11,000
Daily Demand Notes — 7.5%
Ohio — 7.5%
		850	Ohio Air Quality Development Authority PCR
			Series C, Rev., VAR, AMT, LOC: Wachovia Bank N.A., 2.91%, 10/01/05		850
		320	Ohio State Water Development Authority, Ohio Edison Co. Project
			Series B, Rev., VAR, AMT, LOC: Wachovia Bank N.A., 2.94%, 10/01/05		320
		5,000	Paulding County, Solid Waste, Lafarge, Inc. Project
			Rev., VAR, AMT, LOC: Bayerische Landesbank, 2.81%, 10/01/05		5,000
		100	State of Ohio PCR, Solid Waste, BP Chemicals, Inc. Project
			Rev., VAR, AMT, GTY: BP Chemicals, Inc., 2.93%, 10/01/05		100
		1,425	State of Ohio, PCR, Solid Waste, BP Exploration & Oil Project
			Rev., VAR, AMT, 2.93%, 10/01/05		1425
		610	State of Ohio, PCR, Solid Waste, BP Products North America
			Rev., VAR, AMT, GTY: BP North America, 2.93%, 10/01/05		610
			Total Daily Demand Notes		8,305
Municipal Notes & Bonds — 11.7%
Ohio — 11.7%
		3,837	City of Lakewood
			BAN, GO, 3.50%, 06/15/06		3,856
		1,550	City of Lyndhurst, EDR, Hawken School
			VAR, 2.82%, 10/06/05		1,550
		3,000	City of Mentor
			BAN, GO, 3.00%, 11/01/05		3,002
		1,500	City of Upper Arlington, Street Improvement
			BAN, GO, 3.00%, 01/10/06		1,503
		3,000	University of Cincinnati
			BAN, Series C, Rev., 4.00%, 03/28/06		3,019
			Total Municipal Notes & Bonds		12,930
Weekly Demand Notes — 70.5%
Ohio — 68.9%
		5,000	ABN Amro Munitops Certificate Trust, Southwestern School District
			Series 2001-7, Rev., VAR, INS: AMBAC, 2.77%, 10/07/05		5,000
		2,695	City of Lorain, Catholic Healthcare
			Series PA-892, Rev., VAR, GTY: Merrill Lynch, 2.80%, 10/03/05		2,695
		2,000	City of Wooster, IDR, Allen Group, Inc.
			Series 1985, Rev., VAR, LOC: Wachovia Bank N.A., 2.75%, 10/06/05		2,000
			Cleveland Airport System
		1,695	Series 1997-D, Rev., VAR, AMT, LOC: Westdeutsche Landesbank, 2.78%, 10/06/05		1,695
		2,000	Series PT-799, Rev., VAR, INS: FSA, 2.83%, 10/04/05		2,000
		1,500	Cleveland-Cuyahoga County Port Authority, Cultural Facilities, Playhouse Square Fundation Project
			Rev., VAR, LOC: Fifth Third Bank, 2.75%, 10/06/05		1,500

Principal Amount		Security Description	Value
	2,200	Cuyahoga County, EDR, Gilmore Academy Project
		Rev., VAR, LOC: Fifth Third Bank, 2.77%, 10/07/05		2,200
	1,000	Cuyahoga County, Health Care Facilities, Eliza Jennings Home Project
		Series 2001, Rev., VAR, LOC: LaSalle Bank N.A., 2.77%, 10/07/05		1,000
	1,375	Cuyahoga County, Health Care Facilities, Franciscan Communities
		Series E, Rev., VAR, LOC: LaSalle Bank N.A., 2.75%, 10/03/05		1,375
	2,500	Cuyahoga County, Health Care Facilities, Jennings Center
		Rev., VAR, LOC: Fifth Third Bank, 2.81%, 10/01/05		2,500
	5,550	Franklin County, Multi-Family Housing, Ashton Square Apartments Project
		Rev., VAR, AMT, INS: FNMA, LIQ: FNMA, 2.81%, 10/03/05		5,550
	1,000	Franklin County, Childrens Hospital
		Series A, Rev., FGIC, VAR, 2.76%, 10/03/05		1,000
	3,965	Franklin County, Franklin Hospital
		Series ROCS-II-R-55, Rev., VAR, LIQ: Citigroup Global Markets, 2.79%, 10/07/05		3,965
	1,040	Franklin County, Health Care Facilities, Friendship Village
		Series A, Rev., VAR, LOC: LaSalle Bank N.A., 2.75%, 10/07/05		1,040
	770	Franklin County, Health Care Facilities, Presbyterian
		Series B, Rev, VAR, LOC: National City Bank, 2.77%, 10/05/05		770
	460	Hamilton County, Hospital Facilities, Alliance Health Care
		Series F, Rev., VAR, INS: MBIA, 2.75%, 10/05/05		460
	1,500	Hamilton County, Hospital Facilities, Childrens Hospital Medical Center
		Series 1997-A, Rev., VAR, LOC: PNC Bank Ohio N.A., 2.75%, 10/03/05 (m)		1,500
	1,040	Huron County EDR, Norwalk Furniture Project
		Rev., VAR, AMT, LOC: Comerica Bank, 2.91%, 10/03/05		1,040
	5,550	Lake County Hospital Facilities, Lake Hospital System, Inc.
		Rev., VAR, INS: RADIAN, 2.83%, 10/03/05		5,550
	1,385	Lake County, Pressure Technology, Inc.
		Series 2002, Rev., VAR, AMT, LOC: Wachovia Bank, 2.90%, 10/03/05		1,385
	365	Mahoning County Hospital Facilities, Forum Health Group
		Series 2002-B, Rev., VAR, LOC: Fifth Third Bank, 2.77%, 10/03/05		365
	4,753	Montgomery County, Pedcor Lyons Gate Project
		Series A, Rev., VAR, AMT, GTY: Federal Home Loan Bank, 2.80%, 10/04/05		4,753
	3,915	Ohio Housing Finance Agency, Assisted Living Project
		Series A-1, Rev., VAR, LOC: U.S. Bank NA, 2.84%, 10/03/05		3,915
		Ohio Housing Finance Agency, Merlots
	1,520	Series A34, Rev., VAR, AMT, GTY: Federal Home Loan Bank, 2.82%, 10/02/05		1,520
	1,710	Series A78, Rev., VAR, GNMA COLL, 2.82%, 10/07/05		1,710
	2,000	Ohio Housing Finance Agency, Residental Mortgage Backed
		Series F, Rev., VAR, AMT, GNMA, FNMA, FHLMC, 2.78%, 03/01/06		2,000
	3,240	Ohio State Building Authority
		Series L21J, Regulation D, Rev., VAR, LIQ: Lehman Liquidity Co., 2.82%, 10/01/05		3,240
		Ohio State Higher Educational Authority, John Carroll
	1,570	Series A, Rev., VAR, LOC: Allied Irish Bank plc, 2.77%, 10/05/05		1,570
	1,600	Series B, Rev., VAR, LOC: Allied Irish Bank plc, 2.77%, 10/07/05		1,600
		Ohio State Water Development Authority, Pure Water
	500	Series B, Rev., VAR, INS: MBIA, 2.75%, 10/03/05		500
	2,580	Series 1118, Rev., VAR, LIQ: Rabobank Nederland, 2.78%, 12/01/05		2,580
		Student Loan Funding Corp., Cincinnatti Student Loan
	2,570	Series A-1, Rev., VAR, AMT, GTY: U.S. Department of Education, 2.80%, 10/04/05		2,570

	Principal Amount		Security Description	Value
		2,970	Series A-2, Rev., VAR, AMT, GTY: U.S. Department of Education, 2.80%, 10/04/05		2,970
		867	Warren County Health Care Facilities, Otterbein Homes Project
			Series B, Rev., VAR, LOC: Fifth Third Bank, 2.82%, 10/05/05		867
		1,870	Warren County, Ralph J. Stolle Countryside
			Rev., VAR, LOC: Fifth Third Bank, 2.77%, 10/07/05		1,870
					76,255
Puerto Rico — 1.6%
		1,110	Commonwealth of Puerto Rico, Public Improvement
			Series PA-636, GO, VAR, GTY: FSA-CR, 2.75%, 10/01/05		1,110
		650	Commonwealth of Puerto Rico, Public Buildings Authority
			Series PA-577, Rev., VAR, INS: AMBAC, LIQ: Merrill Lynch Capital Services, 2.75%, 10/01/05		650
					1,760
			Total Weekly Demand Notes		78,015
Total Investments — 99.6%
(Amortized Cost $110,250)				$	110,250
Other Assets in Excess of Liabilities — 0.4%					416
Net Assets — 100.0%				$	110,666

Percentages indicated are based on net assets.

Abbreviations:

(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
AMBAC	American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax Paper
BAN	Bond Anticipation Note
EDR	Economic Development Revenue
FHLMC	Federal Home Loan Mortgage Corporation
FGIC	Financial Guaranty Insurance Co.
FNMA	Federal National Mortgage Association
FSA	Financial Security Assurance
FSA-CR	FSA Custodial Receipts
GO	General Obligation Bond
GNMA	Government National Mortgage Association
GNMA COLL	GNMA Collateral
GTY	Guaranty
IDR	Industrial Development Revenue
INS	Insurance
LIQ	Liquidity Agreement
LOC	Letter of Credit
MBIA	Municipal Bond Insurance Association
PCR	Pollution Control Revenue
RADIAN	Radian Asset Assurance
Rev.	Revenue Bond
VAR	Variable. The interest rate shown is the rate in effect at September 30, 2005.

JPMorgan U.S. Treasury Plus Money Market Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
U.S. Government Securities — 19.4%
U.S. Treasury Bills — 19.2% (n)
	$	100,000	3.11%, 11/25/05	$	99,532
		100,000	3.11%, 12/08/05		99,422
		100,000	3.13%, 12/01/05		99,478
		200,000	3.38%, 01/05/06		198,227
		150,000	3.40%, 01/12/06		148,567
		200,000	3.49%, 01/19/06		197,907
		300,000	3.62%, 03/09/06		295,284
		100,000	3.72%, 03/16/06		98,318
		200,000	3.77%, 03/02/06		196,880
		200,000	3.80%, 03/23/06		196,415
		500,000	3.82%, 03/30/06		490,637
					2,120,667
U.S. Treasury Notes — 0.2%
		25,000	1.88%, 01/31/06		24,857
			Total U.S. Government Securities		2,145,524
Repurchase Agreements — 80.8%
		1,500,000	Barclays Capital, 3.51%, dated 09/30/05, due 10/03/05,
			repurchase price $1,500,439, collateralized by U.S. Treasury
			Securities with a value of $1,530,002		1,500,000
		750,000	Bear Stearns, 3.25%, dated 09/30/05, due 10/03/05,
			repurchase price $750,203, collateralized by U.S. Treasury
			Securities with a value of $765,606		750,000
		500,000	Deutsche Bank, 3.25%, dated 09/30/05, due 10/03/05,
			repurchase price $500,135, collateralized by U.S. Treasury
			Securities with a value $510,001		500,000
		201,460	Goldman Sachs & Co., 2.00%, dated 09/30/05, due 10/03/05,
			repurchase price $201,494, collateralized by U.S. Treasury
			Securities with a value $205,489		201,460
		1,500,000	Goldman Sachs & Co., 3.50%, dated 09/30/05, due 10/03/05,
			repurchase price $1,500,438, collateralized by U.S. Treasury
			Securities with a value $1,530,000		1,500,000
		500,000	HSBC Securities, 3.35%, dated 09/30/05, due 10/03/05,
			repurchase price $500,140, collateralized by U.S. Treasury
			Securities with a value $510,002		500,000
		500,000	Morgan Stanley, 3.30%, dated 09/30/05, due 10/03/05,
			repurchase price $500,138, collateralized by U.S. Treasury
			Securities with a value $510,001		500,000
		1,500,000	Morgan Stanley, 3.30%, dated 09/30/05, due 10/03/05,
			repurchase price $1,500,413, collateralized by U.S. Treasury
			Securities with a value $1,530,666		1,500,000
		2,000,000	UBS Warburg, 3.57%, dated 09/30/05, due 10/03/05,
			repurchase price $2,000,595, collateralized by U.S. Treasury
			Securities with a value $2,040,004		2,000,000
			Total Repurchase Aggrements		8,951,460
Total Investments — 100.2%
(Cost $11,096,984)				$	11,096,984
Liabilities in Excess of Other Assets — (0.2)%					(26,546	)
Net Assets — 100.0%				$	11,070,438

Percentages indicated are based on net assets.

Abbrevations:

(n) The rate shown is the effective yield at the date of purchase.

JPMorgan Liquid Assets Money Market Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Certificates of Deposit — 17.6%
	$	40,000	Alliance & Leicester plc
			3.47%, 12/09/05	$	40,000
		100,000	Banco Bilbao Vizcaya (Spain)
			3.75%, 11/16/05		100,000
			Barclays Bank plc (United Kingdom)
		50,000	3.31%, 10/11/05		50,000
		80,000	3.46%, 12/07/05		79,999
		170,000	3.76%, 11/01/05		170,000
		40,000	3.77%, 10/30/05		39,999
			BNP Paribas
		30,000	3.81%, 10/26/05 (e)		30,000
		180,000	4.24%, 08/30/06		180,000
		150,000	Calyon (France) 3.41%, 03/21/06		150,000
		40,000	Canadian Imperial Bank of Commerce		39,992
			3.46%, 10/04/05
		100,000	Citibank N.A.
			3.79%, 11/23/05		100,000
		50,000	HBOS Treasury Services plc (United Kingdom)
			3.82%, 05/01/06		50,000
		60,000	Lloyds TSB Bank
			3.98%, 12/30/05		60,000
		195,000	Nordea Bank Finland plc
			3.60%, 12/28/05		195,000
		35,000	Royal Bank of Canada
			4.22%, 08/30/06		34,998
			Royal Bank of Scotland plc (United Kingdom)
		150,000	3.78%, 10/23/05 (e)		150,000
		50,000	3.98%, 08/11/06		49,999
		5,000	3.99%, 08/11/06		5,000
		20,000	4.31%, 09/29/06		20,000
		20,000	Societe Generale
			4.00%, 07/19/06		19,992
		200,000	Swedbank, Inc.
			4.31%, 09/28/06		199,995
		200,000	Unicredito Italiano S.p.A.
			3.77%, 11/21/05		200,001
			Wells Fargo & Co.
		75,000	3.64%, 10/03/05		75,000
		75,000	Series C, 3.75%, 10/02/05		75,000
			Total Certificates of Deposit		2,114,975
Commercial Paper — 38.9%
		10,000	Ajax Bambino Funding, Inc. (Cayman Islands)
			3.68%, 10/04/05 (m)		9,997
		50,000	Aquinas Funding LLC
			3.84%, 01/23/06		49,403
		2,500	ASAP Funding Ltd. (Cayman Islands)
			3.58%, 10/11/05		2,498

Page 1

Principal Amount		Security Description	Value
		Atlantis One Funding Corp.
	118,744	3.69%, 10/12/05		118,610
	160,813	3.75%, 11/16/05		160,050
	50,000	Blue Spice LLC
		3.50%, 10/07/05		49,971
	45,500	Cafco LLC
		3.98%, 02/28/06		44,761
	15,000	Cantabric Finance LLC
		3.68%, 10/31/05		14,954
		Cedar Springs Capital Corp.
	23,707	3.71%, 10/13/05		23,678
	88,000	3.79%, 10/20/05		87,992
	37,000	CIT Group, Inc.
		3.59%, 10/19/05		36,934
		Countrywide Home Loans, Inc.
	30,000	3.78%, 10/20/05		29,940
	14,189	3.94%, 10/03/05		14,186
		Crown Point Capital Co.
	100,000	3.75%, 10/08/05		99,991
	50,000	3.84%, 01/18/06		49,429
	25,826	Fairway Finance Corp.
		3.84%, 01/30/06		25,493
	113,000	Fcar Owner Trust
		3.76%, 11/15/05		112,473
	9,000	Galaxy Funding Corp.
		3.98%, 12/29/05		8,912
		General Electric Capital Corp.
	70,000	3.10%, 11/02/05		69,811
	100,000	3.58%, 12/19/05		99,228
	100,000	3.99%, 03/01/06		98,360
	22,140	George Street Finance LLC
		3.70%, 10/12/05		22,115
	75,000	Govco, Inc.
		4.00%, 03/16/06		73,644
		Grampian Funding LLC (United Kingdom)
	100,000	3.77%, 11/22/05 (e)		99,461
	100,000	3.99%, 02/17/06 (e)		98,490
	120,000	4.00%, 02/21/06 (e)		118,131
		Greenwich Capital Holdings
	50,000	3.70%, 10/07/05		50,000
	45,000	3.81%, 10/20/05		45,000
	56,000	International Lease Ltd.
		3.60%, 12/23/05		55,543
	87,000	Irish Permanent Treasury plc
		3.57%, 10/18/05		86,855

Page 2

Principal Amount		Security Description	Value
	100,000	KittyHawk Funding Corp.
		3.69%, 10/11/05		99,898
	30,000	Lake Constance Funding Corp.
		3.54%, 10/13/05		29,965
	49,995	Leafs LLC
		3.85%, 10/22/05		49,995
		Lexington Parker Captial Co. LLC
	75,000	3.58%, 10/11/05		74,926
	50,460	3.59%, 10/20/05 (e)		50,365
	200,000	3.71%, 10/03/05		199,983
	100,000	3.73%, 10/09/05		99,994
	60,000	Liberty Funding Co.
		3.69%, 10/12/05		59,933
		Master Funding LLC
	69,000	3.70%, 11/02/05 (e)		68,775
	60,000	3.77%, 10/19/05 (e)		59,887
		Morgan Stanley
	50,000	3.76%, 10/12/05		49,943
	134,000	3.95%, 10/01/05		134,000
	45,000	3.97%, 10/01/05		45,000
	275,000	4.06%, 10/01/05		275,000
	90,000	New Center
		3.82%, 11/18/05		89,544
	116,210	Oesterreichische (Germany)
		4.00%, 02/27/06		114,325
		Park Granada LLC
	25,000	3.60%, 10/20/05		24,953
	75,000	3.68%, 10/07/05		74,954
	35,000	3.68%, 11/01/05		34,890
	50,000	3.92%, 10/03/05		49,989
	50,000	Picaros Funding LLC
		3.61%, 12/15/05		49,630
		Sigma Finance, Inc.
	75,000	3.75%, 10/15/05 (e)		74,993
	150,000	3.83%, 04/28/06 (e)		150,000
	100,000	3.85%, 10/25/05 (e)		99,994
	50,000	3.87%, 11/08/05 (e)		50,000
	20,000	3.88%, 10/01/05 (e)		19,999
	45,000	3.88%, 10/01/05 (e)		44,997
	45,000	Silver Tower U.S. Funding LLC
		3.60%, 12/16/05		44,664
	43,000	Skandin Enskilda Banken AB
		3.60%, 12/15/05		42,683
	162,000	Societe Generale (France)
		3.97%, 08/11/06		162,000
	240,000	Structured Production Corp.
		3.69%, 10/20/05		240,000
	20,000	Swedish National Housing Finance (Sweden)
		3.48%, 12/09/05		19,869

Page 3

	Principal Amount		Security Description	Value
			Tulip Funding Corp.
		75,000	3.66%, 10/03/05		74,985
		75,000	Zero Coupon, 11/1/05		74,770
			Total Commercial Paper		4,690,813
Corporate Notes — 30.0%
		50,000	Australia & New Zealand Banking Group Ltd. (Australia)
			FRN, 3.81%, 10/23/05 (e)		50,000
		75,000	Bank of America N.A.
			FRN, 3.82%, 10/01/05		75,000
		254,000	Bayerische Landesbank (Germany)
			FRN, 3.86%, 10/24/05		254,000
			Beta Finance, Inc.
		70,000	FRN, 3.82%, 10/01/05 (e)		69,996
		30,000	Series 1, FRN, 3.78%, 10/20/05 (e)		30,001
		225,000	Canadian Imperial Bank of Commerce
			FRN, 3.83%, 10/15/05		225,000
			CC USA, Inc.
		64,000	3.81%, 10/11/05 (e)		63,995
		50,000	FRN, 3.82%, 10/01/05 (e)		49,998
		80,000	Citigroup Global Markets Holdings, Inc.
			Series A, FRN, 3.88%, 12/12/05		80,013
		50,000	Corp. Andina de Fomento (Supranational)
			FRN, 3.97%, 11/17/05		50,000
		30,000	Credit Suisse First Boston
			FRN, 3.58%, 10/06/05		30,010
		50,000	Deutsche Bank AG (Germany)
			FRN, 3.81%, 10/01/05		50,000
		82,000	Five Finance, Inc.
			FRN, 3.69%, 10/10/05 (e)		81,999
			General Electric Capital Corp.
		150,000	FRN, 3.68%, 10/07/05		150,000
		6,000	FRN, 3.80%, 10/09/05		6,000
			Goldman Sachs Group, Inc.
		25,000	FRN, 3.62%, 12/12/05 (i)		25,000
		15,000	FRN, 4.12%, 12/23/05		15,017
		29,000	Hartford Life Global Funding Trusts
			3.75%, 10/15/05		29,000
			HBOS Treasury Services plc (United Kingdom)
		150,000	FRN, 3.87%, 11/20/05 (e)		150,000
		175,000	Series 2, FRN, 3.71%, 10/02/05 (e)		175,000
		150,000	Islandsbanki HF (Iceland)
			3.87%, 10/22/05 (e)		150,000
			K2 (USA) LLC
		80,000	3.64%, 10/01/05 (e)		79,985
		25,000	4.00%, 08/10/06 (e)		25,000
		52,000	FRN, 3.68%, 10/11/05 (e)		51,997
		95,000	FRN, 3.81%, 10/01/05 (e)		94,996
		35,000	FRN, 3.82%, 10/17/05 (e)		34,997

Page 4

Principal Amount		Security Description	Value
	40,000	FRN, 3.82%, 10/01/05 (e)		39,999
	54,250	FRN, 3.82%, 10/01/05 (e)		54,248
	25,000	FRN, 3.85%, 12/15/05 (e)		24,999
	25,000	Series 1, FRN, 3.79%, 10/25/05 (e)		24,998
	20,000	Series 2, FRN, 3.79%, 10/30/05 (e)		19,999
	50,000	Liberty Lighthouse Co. LLC
		3.79%, 10/26/05 (e)		49,990
		Links Finance LLC
	50,000	3.72%, 10/15/05 (e)		49,996
	75,000	FRN, 3.82%, 10/01/05 (e)		74,994
	50,000	Series 1, FRN, 3.82%, 10/01/05 (e)		49,997
	40,000	Merrill Lynch & Co., Inc.
		Series 1, FRN, 3.71%, 10/04/05		40,000
	67,000	Money Market Trust
		Series A, FRN, 3.84%, 10/15/05 (e) (i)		67,000
	27,000	Monumental Global Funding II
		3.84%, 11/19/05 (e)		27,009
	80,000	Premium Asset Trust
		Series 2003-5, FRN, 3.80%, 10/01/05 (e) (i)		80,000
		Racers
	100,000	3.86%, 11/21/05 (e) (i)		100,000
	80,000	Series 2001-8-ZCM, FRN, 3.89%, 10/03/05 (e) (i)		80,000
	15,000	Series 2004-1, Class MM, FRN, 3.85%, 10/08/05 (e) (i)		15,000
	110,150	Royal Bank of Scotland plc (United Kingdom)
		3.95%, 08/04/06		110,150
	93,279	Scaldis Capital LLC
		3.57%, 10/20/05 (e)		93,105
	50,000	Structured Asset Repackaged Trust
		Series 2003-8, FRN, 3.92%, 10/15/05 (e) (i)		50,000
		Tango Finance Corp.
	35,000	3.79%, 10/25/05 (e)		34,997
	20,000	FRN, 3.73%, 10/15/05 (e)		20,000
	25,000	FRN, 3.78%, 10/23/05 (e)		25,000
	38,000	FRN, 3.79%, 10/31/05 (e)		38,000
	23,000	FRN, 3.79%, 10/25/05 (e)		22,998
	64,000	FRN, 3.80%, 10/28/05 (e)		63,999
	21,000	Union Hamilton Special Funding LLC
		4.00%, 12/28/05 (e) (i)		21,000
		Wachovia Asset Securitization, Inc.
	15,000	Series 2005-HM1A, Class AMM, FRN, 3.82%, 10/25/05 (e) (i)		15,000
	118,710	Series 2004-HM1A, Class A, FRN, 3.82%, 10/27/05 (e)		118,710
	20,000	Wal-Mart Stores, Inc.
		5.59%, 06/01/06		20,241
	25,000	Whitehawk CDO Funding Ltd.
		FRN, 3.89%, 12/15/05 (e) (i)		25,000
	64,986	Wind Master Trust Notes
		3.83%, 10/25/05 (e) (i)		64,986
		Total Corporate Notes/Medium Term Notes		3,618,419

Page 5

	Principal Amount		Security Description	Value
Demand Note — 0.4%
		50,000	Transamerica Asset Funding Corp.
			3.60%, 10/02/05		50,000
Funding Agreements — 1.9%
		75,000	AIG Life Insurance Co.
			3.58%, 10/01/05		75,000
		100,000	Metropolitan Life Insurance Co.
			3.94%, 12/17/05		100,000
		50,000	New York Life Insurance Co.
			3.93%, 11/25/05		50,000
			Total Funding Agreements		225,000
Municipal Bonds — 1.3%
Michigan— 0.2%
		26,845	City of Battle Creek, Downtown Development
			GO, VAR 3.89%, 10/07/05		26,845
New York— 1.1%
		130,355	New York City Transitional Financial Authority, Future Tax Second
			Series B, Rev., VAR, LIQ: Westdeutsche Landesbank, 3.85%, 10/05/05		130,355
			Total Municipal Bonds		157,200
Private Placements — 3.8%
		50,000	Morgan Stanley
			4.07%, 10/01/05		50,000
		330,000	Natexis Banques Populaires
			3.83%, 04/24/06		330,000
		73,000	Royal Bank of Canada
			FRN, 3.81%, 05/02/06		72,990
					452,990
Repurchase Agreements — 4.7%
		363,577	Goldman Sachs & Co., 3.90%, dated 09/30/05, due 10/03/05, repurchase price $363,695, collateralized by U.S. Government Agency Securities with a value of $370,849.		363,577
		200,000	Goldman Sachs & Co., 4.01%, dated 09/30/05, due 10/03/05, repurchase price $200,067, collateralized by various corporate bonds and collateralized mortgage obligations with a value of $206,000.		200,000
			Total Repurchase Agreements		563,577
Time Deposits — 1.7%
		200,000	Manufacturers & Traders 3.94%, 10/03/05		200,000
U.S. Government Agency Securities — 0.8%
			Federal National Mortgage Association
		25,000	FRN, 3.39%, 10/03/05		25,000
		75,000	FRN, 3.73%, 10/29/05		74,989
			Total U.S. Government Agency Securities		99,989

Page 6

	Principal Amount	Security Description	Value
Total Investments — 101.1%
(Cost $12,172,963)			$	12,172,963
Liabilities in Excess of Other Assets — (1.1)%				(128,447	)
Net Assets — 100.0%			$	12,044,516

Percentages indicated are based on net assets.

Abbreviations:

(e) All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees.

(i) Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.

(m) All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities,
delayed delivery securities, and reverse repurchase agreements.

FRN	Floating Rate Note. The rate shown is the rate in effect as of September 30, 2005.
GO	General Obligation Bond
LIQ	Liquidity Agreement
Rev	Revenue Bond
VAR	Variable. The interest rate shown is the rate in effect at September 30, 2005.

Page 7

JPMorgan U.S. Government Money Market Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Discount Notes — 14.1% (n)
			Federal Home Loan Bank System
	$	20,000	3.48%, 10/28/05	$	19,948
			Federal Home Loan Mortgage Corp.
		200,000	3.28%, 10/11/05		199,821
		200,000	3.36%, 11/01/05		199,430
		100,000	3.41%, 12/06/05		99,386
			Federal National Mortgage Association
		120,800	3.31%, 10/03/05		120,778
		60,000	3.38%, 11/30/05		59,668
		165,125	3.41%, 11/10/05		164,512
		107,510	3.42%, 10/03/05		107,490
		206,432	3.42%, 12/07/05		205,141
		48,644	3.46%, 10/03/05		48,635
		7,406	3.46%, 10/03/05		7,404
		259,482	3.61%, 11/01/05		258,682
		368,000	3.62%, 11/01/05		366,862
		37,829	3.63%, 11/01/05		37,711
		58,872	3.86%, 01/03/06		58,298
		208,045	3.89%, 01/03/06		205,998
		346,177	3.91%, 01/03/06		342,749
		75,628	3.96%, 01/03/06		74,870
		28,085	4.09%, 04/03/06		27,516
			Total Discount Notes		2,604,899
U.S. Government Agency Securities — 36.7%
			Federal Farm Credit Bank
		75,000	FRN, 3.60%, 10/06/05		74,994
		100,000	FRN, 3.73%, 10/01/05		99,990
		300,000	FRN, 3.74%, 10/01/05		299,996
		100,000	FRN, 3.76%, 10/01/05		99,937
		65,000	FRN, 3.78%, 10/01/05		65,000
		100,000	FRN, 3.78%, 11/22/05		99,973
		50,000	FRN, 3.80%, 10/01/05		49,995
		50,000	FRN, 3.80%, 12/21/05		49,994
		25,000	FRN, 3.85%, 10/01/05		25,000
			Federal Home Loan Bank System
		60,000	2.38%, 02/15/06		59,715
		11,130	3.25%, 07/21/06		11,068
		116,750	4.00%, 08/18/06		116,750
		7,900	5.38%, 02/15/06		7,948
		200,000	FRN, 3.41%, 10/03/05		199,999
		150,000	FRN, 3.41%, 10/05/05		149,999
		300,000	FRN, 3.51%, 10/20/05		299,918
		250,000	FRN, 3.59%, 11/02/05		249,876
		200,000	FRN, 3.65%, 11/10/05		199,933
		200,000	FRN, 3.67%, 11/16/05		199,919
		325,000	FRN, 3.70%, 10/21/05		324,828
		250,000	FRN, 3.76%, 10/01/05		250,000
		450,000	FRN, 3.79%, 12/22/05		449,735
		300,000	FRN, 3.89%, 12/28/05		299,927

	Principal Amount		Security Description	Value
		419,000	FRN, 3.89%, 12/29/05		418,671
		250,000	VAR, 3.13%, 10/05/05		247,601
			Federal Home Loan Mortgage Corp.
		26,900	2.63%, 07/21/06		26,618
		11,000	2.63%, 08/17/06		10,870
		300,000	FRN, 3.84%, 12/27/05		299,778
		240,000	FRN, 3.51%, 10/07/05		240,000
		21,000	FRN, 3.70%, 11/07/05		21,000
			Federal National Mortgage Association
		50,070	3.25%, 07/12/06		49,812
		100,000	4.00%, 08/18/06		100,000
		70,911	5.50%, 02/15/06		71,378
		300,000	FRN, 3.39%, 10/03/05		299,999
		594,000	FRN, 3.57%, 10/07/05		593,652
		250,000	FRN, 3.58%, 10/07/05		249,959
		25,000	FRN, 3.68%, 12/09/05		24,996
		140,000	FRN, 3.73%, 10/29/05		139,980
		300,000	FRN, 3.79%, 12/22/05		299,783
			Total U.S. Government Agency Securities		6,778,591
Repurchase Agreements — 53.1%
		2,000,000	Bank of America Corp., 3.85%, dated 09/30/05, due 10/03/05, repurchase price $2,000,642, collateralized by U.S. Government Agency Securities with a value of $2,040,000.		2,000,000
		400,000	Bank of America Corp., 3.77%, dated 08/24/05, due 11/22/05, repurchase price $403,770, collateralized by U.S. Government Agency Securities with a value of $408,000. (i)		400,000
		2,000,000	Barclays Capital, Inc., 3.90%, dated 09/30/05, due 10/03/05, repurchase price $2,000,650, collateralized by U.S. Government Agency Securities with a value of $2,040,000. (m)		2,000,000
		500,000	Citigroup, 3.89%, dated 09/22/05, due 12/21/05, repurchase price $504,863, collateralized by U.S. Government Agency Securities with a value of $510,000 (i)		500,000
		400,000	Credit Suisse First Boston, 3.90%, dated 09/30/05, due 10/03/05, repurchase price $400,257, collateralized by U.S. Government Agency Securities with a value of $408,000.		400,000
		400,000	Deutsche Bank, 3.65%, dated 09/30/05, due 10/31/05, repurchase price $401,57, collateralized by U.S. Government Agency Securities with a value of $408,000. (i)		400,000
		1,860,116	Goldman Sachs & Co., 3.90%, dated 09/30/05, due 10/03/05, repurchase price $1,860,721, collateralized by U.S. Government Agency Securities with a value of $1,897,319.		1,860,116
		260,623	Goldman Sachs & Co., 2.00%, dated 09/30/05, due 10/03/05, repurchase price $260,666, collateralized by U.S. Governement Agency Securities with a value of $265,836.		260,623
		500,000	Goldman Sachs & Co., 3.90%, dated 09/30/05, due 10/03/05, repurchase price $500,163, collateralized by U.S. Government Agency Securities with a value of $510,000.		500,000
		1,500,000	Morgan Stanley, 3.85%, dated 09/30/05, due 10/03/05, repurchase price $1,500,481, collateralized by U.S. Government Agency Securities with a value of $1,532,101.		1,500,000
			Total Repurchase Agreements		9,820,739
Total Investments — 103.9%
(Cost $19,204,229)				$	19,204,229
Liabilities in Excess of Other Assets — (3.9)%					(727,223	)
Net Assets — 100.0%				$	18,477,006

Percentages indicated are based on net assets.

Abbreviations:

FRN	Floating Rate Note. The interest rate shown is the rate in effect as of September 30, 2005.
VAR	Variable. The interest rate shown is the rate in effect at September 30, 2005.
(i)	Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
(n)	The rate shown is the effective yield at the date of purchase.

JPMorgan Municipal Money Market Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Commercial Paper — 15.9%
California — 0.7%
	$	10,000	State of California
			2.64%, 12/01/05	$	10,000
District of Columbia — 1.9%
		15,500	District of Columbia-National Academy of Science
			INS: AMBAC, LIQ: Bankamerica, 2.75%, 11/14/05		15,500
		10,600	Metropolitan Washington D.C. Airports
			AMT, LOC: Bank of America, 2.70%, 10/03/05		10,600
					26,100
Indiana — 2.5%
		34,000	Indiana Development Finance Authority-Solid Waste Pure Air
			AMT, LOC: Landesbank Hessen Theuringen, 2.60%, 12/02/05		34,000
Maryland — 1.8%
		14,200	Maryland Health and Education- John Hopkins University
			Series A, 2.45%, 10/06/05		14,200
		10,000	Maryland Health and Education- John Hopkins University
			LIQ: Wachovia Bank, 2.37%, 10/05/05		10,000
					24,200
Michigan — 2.7%
		18,000	Michigan State Housing Development Authority
			LOC’s: BONY, State Street, 2.72%, 12/02/05		18,000
			State of Michigan
		6,300	2.65%, 11/08/05		6,300
		13,000	2.68%, 10/13/05		13,000
					37,300
Minnesota — 0.4%
		6,100	City of Rochester, MN Health Care Facilities Revenue Bonds-Mayo Foundation
			2.62%, 10/05/05		6,100
Ohio — 2.1%
		10,000	Cuyahoga County Health, Cleveland Clinic
			LIQ: Bank of America, 2.75%, 10/03/05		10,000
			Ohio State University
		3,000	2.35%, 10/12/05		3,000
		5,930	2.62%, 11/01/05		5,930
		9,840	State of Ohio
			2.70%, 11/01/05		9,840
					28,770
Texas — 3.8%
			Harris County Flood Control District
		25,205	Series F, LOC: Landesbank Hessen Thueringen, 2.70%, 12/01/05		25,205
		5,000	Houston Higher Education Finance Corp-Rice University
			2.55%, 10/13/05		5,000
		6,700	Texas Public Finance Authority
			2.70%, 12/01/05		6,700
			University of Texas
		10,000	2.37%, 10/05/05		10,000
		5,000	2.58%, 11/15/05		5,000
					51,905
			Total Commercial Paper		218,375

JPMorgan Municipal Money Market Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Daily Demand Notes — 11.4%
Alabama — 0.2%
		3,200	Decatur Industrial Development Board, Amoco Chemical Co. Project
			Rev., VAR, 2.93%, 10/01/05		3,200
California — 2.5%
		2,575	California Housing Finance Agency, Multi-Family Housing
			Series A, Rev., VAR, LOC: Landesbank Hessen Thueringen, 3.01%, 11/04/05		2,575
		31,750	California State Department of Water Resources
			Series B-2, Rev., VAR, LOC: BNP Paribas, 2.95%, 10/01/05		31,750
					34,325
Indiana — 0.6%
			City of Whiting, Industrial Environmental Facilities, BP Products North America Project
		2,800	Series B, Rev., VAR , 2.93%, 10/01/05		2,800
		5,055	Series C, Rev., VAR, 2.93%, 10/01/05		5,055
					7,855
Kentucky — 1.8%
		25,065	Louisville & Jefferson County Regional Airport Authority, UPS Worldwide Forwarding
			Series A, Rev., VAR, 2.89%, 11/01/05		25,065
Massachusetts — 0.3%
			Commonwealth of Massachusetts, Central Artery
		2,310	Series A, GO, VAR, LIQ: Landesbank Baden, 2.83%, 10/01/05		2,310
		2,300	Series B, GO, VAR, LIQ: State Street, 2.83%, 10/01/05		2,300
					4,610
Montana — 0.9%
		13,000	Anaconda Deer Lodge County-ARCO
			Rev., VAR, 2.93%, 10/01/05		13,000
Nevada — 0.3%
		3,800	Clark County, IDR, Cogeneration Association
			Series 2, Rev., VAR, LOC: ABN Amro Bank N.V., 2.93%, 10/01/05		3,800
New York — 0.4%
		5,000	Port Authority of New York & New Jersey, Versatile Structure Obligation
			Series 6, SO, Rev., LIQ: Bank of Nova Scotia, AMT, VAR, 2.86%, 10/01/05		5,000
Ohio — 3.3%
		4,130	Ohio State Water Development Authority, Ohio Edison Co. Project
			Series B, Rev., VAR, AMT, LOC: Wachovia Bank N.A., 2.94%, 11/01/05		4,130
		1,600	State of Ohio, Higher Education Facilities, Case Western Reserve University
			Series A, Rev., VAR, 2.82%, 11/01/05		1,600
			State of Ohio, Solid Waste, BP Exploration & Oil Project
		9,475	Rev., VAR, AMT, 2.93%, 10/01/05		9,475
		11,645	Rev., VAR, AMT, GTY: BP North America, 2.93%, 10/11/05		11,645
		9,200	Rev., VAR, AMT, GTY: BP North America, 2.93%, 11/01/05		9,200
			State of Ohio, Solid Waste, BP Products North America
		2,495	Rev., VAR, AMT, GTY: BP North America, 2.93%, 10/01/05		2,495
		6,980	Trumbull County, Health Care, Shepherd Valley
			INS: RADIAN, 2.95%, 10/01/05		6,980
					45,525
Oregon — 0.1%
		1,545	Port of Portland, Horizon Air Insured, Inc. Project
			Rev., VAR, AMT, SO, LOC: Bank of America N.A., 3.02%, 11/01/05		1,545

JPMorgan Municipal Money Market Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Texas — 0.5%
		6,200	Lower Neches Valley Authority Industrial Development Corp., Exempt Facilities-Exxon
			Sub Series B-2, Rev., VAR, 2.79%, 10/01/05		6,200
Virginia — 0.3%
		3,450	King George County IDA, Birchwood Power Partners Project
			Series 1997, Rev., VAR, AMT, LOC: Scotiabank, 3.00%, 10/01/05		3,450
Washington — 0.2%
		2,400	Port Bellingham Industrial Development Corp., BP West Coast Products LLC
			Rev., VAR, 2.93%, 10/01/05		2,400
			Total Daily Demand Notes		155,975
Monthly Demand Notes — 4.3%
District of Columbia — 3.1%
		42,300	District of Columbia Housing Finance Agency, Draw Down, Single Family Housing
			Rev., VAR, AMT, 3.84%, 12/25/05		42,300
Oklahoma — 1.2%
		17,370	Canadian County, Home Finance Authority, Single Family Housing
			Series A, VAR, 3.80%, 04/25/05		17,370
			Total Monthly Demand Notes		59,670
Municipal Notes & Bonds — 7.2%
California — 3.2%
		15,000	California Community College Financing Authority
			Series A, Rev., INS: FSA, 4.00%, 06/30/06		15,150
		2,000	California School Cash Reserve Program Pool
			Series A, Rev., 4.00%, 07/06/06		2,021
		25,000	Sacramento County
			TRAN, Series A, 4.00%, 07/10/06		25,275
		1,000	San Diego Metropolitan Transportation Development Board
			TRAN, Rev., 3.50%, 01/04/06		1,003
					43,449
Idaho — 0.7%
		10,000	State of Idaho
			GO, TAN, 4.00%, 06/30/06		10,099
Kentucky — 0.5%
		7,500	Kentucky Asset Liability Commission
			Series A, Rev., TRAN, 4.00%, 06/28/06		7,572
Michigan — 0.7%
		9,000	Michigan State Building Authority, Facilities Program
			Series II, ETM, Rev., 5.50%, 10/15/05 (p)		9,012
Ohio — 0.8%
		8,445	City of Lyndhurst EDR, Hawken Schools
			Series 2002, VAR, 2.82%, 05/01/27		8,445
		2,550	City of Mentor
			GO, BAN, 3.00%, 11/01/05		2,552
					10,997
Pennsylvania — 0.9%
		12,500	City of Philadelphia
			Series A, GO, TRAN, 4.00%, 06/30/06		12,611
Utah — 0.4%
		5,000	Davis County School District
			GO, TAN, 4.00%, 06/30/06		5,048
			Total Municipal Notes & Bonds		98,788

JPMorgan Municipal Money Market Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Weekly Demand Notes — 61.0%
Arizona — 1.8%
		25,275	Phoenix Civic Center
			Series 1122, Rev., VAR, INS: MBIA, LIQ: Morgan Stanley Municipal Funding, 2.78%, 07/01/15		25,275
Arkansas — 0.2%
		3,430	Arkansas State Development Finance Authority, Semco, Inc. Project
			Rev., VAR, AMT, LOC: Bank of America N.A., 2.85%, 11/01/05		3,430
California — 1.4%
		4,200	Abag Financial Authority for Nonprofit Corps., Multi-Family Housing, Paragon Apartments
			Series A, Rev., VAR, AMT, LOC: Comerica Bank, 2.78%, 10/15/05		4,200
		8,000	California Statewide Communities Development Authority, Northwest Gateway Apartments
			Series C, Rev., VAR, AMT, LOC: Bank of America N.A., 2.78%, 11/14/05		8,000
		6,500	Long Beach Bond Finance Authority,Tax Allocation
			Series 812, Class D, VAR, INS: AMBAC, LIQ: Morgan Stanley Municipal Funding, 2.73%, 11/01/22		6,500
					18,700
Colorado — 2.6%
		1,200	City of Colorado Springs, YMCA of Pikes Peak
			Series 2002, Rev., VAR, LOC: Wells Fargo Bank N.A., 2.76%, 10/13/05		1,200
			Denver City & County Airport
		5,000	Series A, Rev., VAR, AMT, INS: CIFG, 2.77%, 11/01/05		5,000
		8,500	Series B, Rev., VAR, AMT, INS: CIFG, 2.80%, 11/01/05		8,500
		9,600	Series C, Rev., VAR, AMT, LOC: Societe Generale, 2.80%, 11/15/05		9,600
		7,000	Denver City & County, Wellington E Web
			Series 2003-C3, COP, VAR, LOC: AMBAC, 2.76%, 10/11/05		7,000
		4,639	E-470 Public Highway Authority, TOCS
			Series Z-7, Rev., VAR, INS: MBIA, LIQ: Goldman Sachs, 2.83%, 10/27/28		4,639
					35,939
Connecticut — 1.8%
		25,000	State of Connecticut
			Series PT- 2693, GO, VAR, INS: AMBAC, 2.76%, 06/01/20		25,000
Delaware — 0.4%
		5,600	New Castle County, Housing, Fairfield English Village Project
			Rev., VAR, INS: FNMA, GTY: FNMA, 2.81%, 10/15/05		5,600
District of Columbia — 0.4%
		5,800	Metropolitan Washington D.C. Airports Authority, TOCS
			Series E, Rev., VAR, AMT, INS: MBIA, LIQ: Goldman Sachs, 2.82%, 10/06/05		5,800
Florida — 1.6%
		11,000	Highlands County, Health Facilities Authority, Adventist Health System
			Series C, Rev., VAR, 2.77%, 10/11/05		11,000
		4,955	Palm Beach County Housing Development Corp., Multi-Family Housing, Caribbean Villas
			Series 1998, Rev., VAR, AMT, GTY: FNMA COLL , 2.81%, 10/15/05		4,955
		5,500	Palm Beach County, Zoological Society, Inc., Project
			Series 2201, Rev., VAR, AMT, LOC: Northern Trust Co., 2.80%, 10/11/05		5,500
					21,455
Hawaii — 2.1%
		28,350	Hawaii State Department of Budget & Finance, Trust Receipts
			Series F2, Regulation D, Rev., VAR, INS: FSA, LIQ: Lehman Liquidity Co., 2.82%, 10/05/05		28,350

JPMorgan Municipal Money Market Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Illinois — 3.1%
		7,475	Chicago Board of Education, Merlots
			Series A47, GO, VAR, INS: FGIC, 2.77%, 10/05/05		7,475
		10,000	Chicago O’Hare International Airport, Merlots
			Series 2001-B6, Rev., VAR, AMT, INS: AMBAC, 2.82%, 10/11/05		10,000
		2,871	Chicago O’Hare International Airport, Second Lien
			Series B, Rev., VAR, AMT, LOC: Societe Generale, 2.83%, 11/01/05 (m)		2,871
		5,000	City of Carol Stream, Multi-Family Housing, Charles Square
			Rev., VAR, GTY: FNMA COLL, 2.87%, 10/15/05		5,000
		7,520	Illinois Housing Development Authority, Multi-Family Housing, Pheasant Ridge/Hunter
			Rev., VAR, AMT, LOC: LaSalle Bank N.A., 2.82%, 10/11/05		7,520
		6,610	Metropolitian Pier & Exposition Authority
			Series PZ-44, Rev., VAR, INS: MBIA, 2.83%, 11/04/05		6,610
		3,330	Will & Kankakee County Regional Development Authority, Realty
			Series A, Rev., VAR, LOC: PNC Bank N.A., 2.90%, 10/11/05		3,330
					42,806
Indiana — 1.3%
		6,500	City of Hammond, Sewer & Solid Waste, Cargill, Inc. Project
			Rev., VAR, AMT, 2.82%, 11/01/05		6,500
		1,900	City of Indianapolis EDR, Roth Cos., Inc. Project
			Series 1999, Rev., VAR, AMT, LOC: Comerica Bank, 2.88%, 10/11/05		1,900
		1,200	City of Jasper, EDR, Best Charis, Inc., Project
			Rev., VAR, AMT, LOC: PNC Bank Kentucky, Inc., 2.85%, 11/01/05		1,200
		3,745	Indiana Health Facility Financing Authority, Mary Sherman Hospital
			Series 98, Rev., VAR, LOC: Fifth Third Bank, 2.78%, 11/01/05		3,745
		4,580	Indianapolis Local Public Improvement Bond Bank
			Series MT-039, Rev., VAR, AMT, INS: MBIA, 2.83%, 01/01/15		4,580
					17,925
Iowa — 1.1%
		14,910	Iowa Finance Authority, Private School Facility, Regis School
			Rev., VAR, LOC: Allied Irish Bank plc, 2.81%, 10/06/05		14,910
Kansas — 0.5%
		6,415	City of Independence, Limited Obligation, Matcor Metals, Inc., Project
			Series A, Rev., VAR, AMT, LOC: Comerica Bank, 2.91%, 11/01/05		6,415
Louisiana — 0.5%
		6,250	Louisiana Public Facilities Authority, Air Products & Chemical Project
			Rev., VAR, 2.84%, 10/11/05		6,250
Maryland — 0.5%
		6,975	Carroll County, Fairhaven & Copper Ridge
			Series A, Rev., VAR, LOC: Branch Banking & Trust, 2.77%, 11/01/05		6,975
Massachusetts — 0.4%
		5,385	Commonwealth of Massachusetts, Merlots
			Series C42, GO, VAR, INS: AMBAC, LIQ: Wachovia Bank N.A., 2.76%, 10/05/05		5,385
Michigan — 4.9%
		7,320	ABN Amro Munitops Certificate Trust
			Series 2004-44, GO, VAR, INS: MBIA, 2.77%, 10/05/05		7,320
		3,165	City of Dearborn, EDC, Limited Obligation, Henry Ford Village
			Series 1998, Rev., VAR, LOC: Comerica Bank, 2.82%, 11/01/05		3,165
		3,450	Kenowa Hills Public Schools
			Series PT-2552, GO, VAR, INS: FGIC Q-SBLF, 2.78%, 11/04/05		3,450

JPMorgan Municipal Money Market Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
		3,960	Michigan Higher Education Facilities Authority, Limited Obligation, Hope College
			Series B, Rev., VAR, LOC: Fifth Third Bank, 2.77%, 11/01/05		3,960
		935	Michigan State Hospital Finance Authority, Equipment Loan Program
			Series A, Rev., VAR, LOC: National City Bank, 2.78%, 11/02/05		935
		3,250	Michigan State Hospital Finance Authority, Southwestern Rehab
			Rev., VAR, LIQ: Fifth Third Bank, 2.78%, 10/11/05		3,250
		3,500	Michigan State Housing Authority, Taylor Apartments
			Series A, Rev., VAR, GTY: Fannie Mae, 2.75%, 10/15/05		3,500
			Michigan State University
		6,790	Series A, VAR, 2.74%, 10/11/05		6,790
		325	Series PZ-44, Rev., VAR, INS: MBIA, 2.74%, 10/05/05		325
		2,650	Michigan Strategic Fund, Limited Obligation, JEB Property LLC Project
			Rev., VAR, AMT, LOC: Comerica Bank, 2.91%, 11/01/05		2,650
		1,740	Michigan Strategic Fund, Limited Obligation, Pyper Products Corp. Project
			Rev., VAR, AMT, LOC: Comerica Bank, 2.91%, 11/01/05		1,740
		1,250	Michigan Strategic Fund, Limited Obligation, Saginaw Products Corp. Project
			Rev., VAR, AMT, 2.91%, 10/06/05		1,250
		2,715	Michigan Strategic Fund, Limited Obligation, Sterling Die & Engineering
			Rev., VAR, AMT, LOC: Comerica Bank, 2.91%, 11/01/05		2,715
		2,600	Michigan Strategic Fund, Limited Obligation, YMCA Greater Grand Rapids
			Rev., VAR, LOC: Fifth Third Bank, 2.76%, 10/11/05		2,600
		4,600	State of Michigan, Comprehensive
			Series PT-2754, Rev., TRAN, VAR., INS: FSA, LIQ: Dexia Credit Local, 2.78%, 11/04/05		4,600
		2,250	University of Michigan
			Series B, Rev., VAR, 2.74%, 11/01/05		2,250
		13,490	Wayne Charter County Airport, Detroit Metropolitan County
			Series A, Rev., VAR, AMT, INS: AMBAC, 2.79%, 12/01/05		13,490
		2,625	Wayne Charter County Airport Revenue Trust Receipts
			Series SG-122, Rev., VAR, LIQ: Societe Generale, 2.78%, 11/04/05		2,625
					66,615
Missouri — 0.5%
		6,300	Missouri Housing Development Commission, Single Family Mortgage, Macon Trust
			Series 2002-K, Rev., VAR, AMT, INS: GNMA/FNMA, 2.88%, 11/04/05		6,300
Montana — 0.4%
		5,470	Montana Board of Housing, Single Family Mortgage, Macon Trust
			Series 2002-L, Rev., VAR, AMT, 2.88%, 11/04/05		5,470
Nebraska — 0.0% (g)
		125	Nebraska Investment Finance Authority, Single Family Housing, Rate Certificates
			Series H, Rev., VAR, GTY: Bank of America N.A., 2.90%, 03/01/06		125
New York — 3.8%
		17,250	Long Island Power Authority
			Series PA-1150, Rev., VAR, INS: CIFG, 2.78%, 11/04/05		17,250
			Metropolitan Transportation Authority
		3,000	Series PA-1077, Rev., VAR, INS: FSA, 2.78%, 11/04/05		3,000
		7,195	Series PT-1547, Rev., VAR, INS: FGIC, 2.78%, 11/04/05		7,195
		6,630	Municipal Securities Trust Certificates
			Series 2005-236, Class A, Rev., VAR, AMBAC, LIQ: Bear Stearns Capital Markets, 2.90%, 10/05/05		6,630
		7,750	Nassau County Interim Finance Authority
			Series PA-901, Rev., VAR, INS: AMBAC, 2.78%, 05/15/06		7,750
		10,000	Tobacco Settlement Financing Authority, TOCS
			Series D, Rev., VAR, LIQ: Goldman Sachs, 2.84%, 10/06/05		10,000
					51,825

JPMorgan Municipal Money Market Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
North Carolina — 1.8%
		21,000	North Carolina Capital Facilities Finance Agency, North Carolina A&T University Foundation Project
			Series B, Rev., VAR, INS: RADIAN, 2.80%, 10/11/05		21,000
		4,075	North Carolina Eastern Municipal Power Agency
			Series MT-99, Rev., VAR, INS: FGIC, 2.79%, 11/04/05		4,075
					25,075
Ohio — 6.7%
		3,400	Cuyahoga County, Health Care, Eliza Jennings Home Project
			Rev., VAR, LOC: LaSalle Bank N.A., 2.77%, 10/11/05		3,400
		950	Franklin County, Health Care Facilities, Friendship Village-Dublin
			Series A, Rev., VAR, LOC: LaSalle Bank N.A., 2.75%, 10/13/05		950
		3,800	Franklin County, Health Care Facilities, Presbyterian
			Series B, Rev, VAR, LOC: National City Bank, 2.77%, 10/13/05		3,800
		2,000	Hamilton County, Hospital Facilities, Health Alliance
			Series F, Rev., VAR, INS: MBIA, 2.75%, 11/02/05		2,000
		7,305	Kent State University
			Rev., VAR, INS: MBIA, 2.79%, 10/11/05		7,305
		5,420	Lake County, Hospital Facilities, Lake Hospital System, Inc.
			Series 2002, Rev., VAR, INS: RADIAN, 2.83%, 10/11/05		5,420
		4,170	Mahoning County, Forum Health Group
			Series B, Rev., VAR, LOC: Fifth Third Bank, 2.77%, 10/06/05		4,170
		4,420	Miami County, Hospital Authority
			Series PZ-44, Rev., VAR, INS: MBIA, 2.84%, 11/04/05		4,420
		5,170	Ohio Housing Finance Agency, Assisted Living Concepts
			Series A-1, Rev., VAR, LOC: U.S. Bank N.A., 2.84%, 11/01/05		5,170
		3,000	Ohio State Higher Educational Facility Commission, John Carroll University
			Series B, Rev., VAR, LOC: Allied Irish Bank plc, 2.77%, 10/11/05		3,000
			Student Loan Funding Corp., Cincinnatti Student Loan
		6,930	Series A-1, Rev., VAR, AMT, GTY: U.S. Department of Education, 2.80%, 10/11/05		6,930
		43,030	Series A-2, Rev., VAR, AMT, GTY: U.S. Department of Education, 2.80%, 10/11/05 (m)		43,030
		3,035	Warren County, Economic Development Authority, Ralph J. Stolle YMCA
			Rev., VAR, LOC: Fifth Third Bank, 2.77%, 10/14/05		3,035
					92,630
Other — 10.9%
		3,775	ABN AMRO Munitops Certificate Trust, Greyston Multi-State
			Series 2002-1, Rev., VAR, AMT, 2.90%, 01/01/08		3,775
			Charter Mac Floater Certificate Trust I
		24,500	Series 3, Rev., VAR, AMT, INS: MBIA, 2.83%, 10/06/05		24,500
		10,000	Series 4, Rev., VAR, AMT, INS: MBIA, 2.83%, 10/06/05		10,000
		12,000	Series 5, Rev., VAR, AMT, INS: MBIA, 2.83%, 10/06/05		12,000
		40,566	Clipper State Street Trust
			Series 2002-9, COP, VAR, AMT, LIQ: State Street Bank & Trust Co, 2.95%, 10/01/08		40,566
			Federal Home Loan Mortgage Corp., Multi-Family VRD Certificates
		10,872	Series M001, Class A, AMT, FRN, 2.85%, 10/01/05		10,872
		12,757	Series M002, Class A, AMT, FRN, 2.90%, 10/01/05		12,757
			Roaring Fork Municipal Products LLC
		16,185	Series 2001-7, Class A, Rev., VAR, AMT, 2.90%, 10/06/05		16,185
		8,985	Series 2001-10, Class A, Rev., 2.90%, 10/06/05		8,985
		10,620	Series 2005-19, Class A, Rev., VAR, 2.83%, 10/06/05		10,620
					150,260

JPMorgan Municipal Money Market Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Pennsylvania — 3.8%
		28,000	Delaware County Health Authority, Mercy Health Systems
			Series PT-565, Rev., VAR, 2.84%, 11/15/05		28,000
		10,000	Lancaster County Hospital Authority, Willow Valley Project
			Series A, Rev., VAR, INS: RADIAN, 2.78%, 10/11/05		10,000
		3,700	Pennsylvania Economic Development Financing Authority, Fabtech, Inc. Project
			Series 1998-D, VAR, LOC: PNC Bank N.A., 2.85%, 10/06/05		3,700
		10,000	Pennsylvania Higher Education Assistance Agency
			Series 2001-A, Rev., VAR, INS: AMBAC, 2.81%, 10/11/05		10,000
					51,700
South Carolina — 0.8%
		2,150	South Carolina Jobs & Economic Development Authority, Facilities Leasing Project
			Rev., VAR, AMT, LOC: Bank of America N.A., 2.85%, 10/11/05		2,150
		8,445	South Carolina Jobs & Economic Development Authority, Episcopal Church Home
			Rev., VAR, INS: RADIAN, 2.85%, 10/11/05		8,445
					10,595
Texas — 3.8%
		19,900	City of Houston, Airport Systems, Sub Lien
			Series A, Rev., VAR, AMT, INS: FSA, 2.78%, 10/11/05		19,900
		4,800	Dallas Housing Finance Authority, Multi-Family Housing, Cherrycrest Villas Apartments
			Rev., VAR, AMT, LOC: Wachovia Bank N.A., 2.84%, 10/06/05		4,800
		6,800	Harris County Housing Finance Corp., Multi-Family Housing, Baypoint Apartments
			Rev., VAR, LOC: Citibank N.A., 2.84%, 10/15/05		6,800
		5,175	Nacogdoches County, Hospital District, Sales Tax, Merlots
			Series A59, Rev., VAR, INS: AMBAC, 2.77%, 10/05/05		5,175
		8,655	Roaring Fork Municipal Products LLC
			Series 2005-10, Class A, 2.83%, 10/06/05		8,655
		6,810	Texas State Department of Housing & Community Affairs, Multi-Family Housing, Timber Point Apartments
			Series A-1, Rev., VAR, INS: FHLMC, LIQ: FHLMC, 2.80%, 11/01/05		6,810
					52,140
Utah — 0.2%
		3,000	Jordanelle Special Service District, Tuhaye Project
			Rev., VAR, LOC: Wells Fargo Bank N.A., 2.76%, 11/01/05		3,000
Washington — 0.1%
		2,000	Port of Seattle
			Rev., VAR, AMT, Sub Lien, LOC: Fortis Bank S.A., 2.83%, 11/02/05		2,000
West Virginia — 1.6%
		10,800	Putnam County, Solid Waste Disposal, Toyota Motor Manufacturing Project
			Series A, Rev., VAR, AMT, 2.80%, 11/01/05		10,800
		10,760	State of West Virginia, Roaring Fork Municipal Products LLC
			Series 2005-5, Class A, GO, Rev., VAR, 2.83%, 10/06/05		10,760
					21,560
Wisconsin — 1.4%
			Wisconsin Housing & Economic Development Authority
		7,000	Series A, Rev., AMT, VAR, 2.79%, 10/11/05		7,000
		6,945	Series B, Rev., AMT, VAR, 2.81%, 10/11/05		6,945
		5,690	Series C, Rev., AMT, 2.81%, 10/11/05		5,690
					19,635

JPMorgan Municipal Money Market Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Wyoming — 0.6%
		8,600	City of Green River, Solid Waste Disposal, LP Project
			Rev., VAR, AMT, LOC: Comerica Bank, 3.01%, 10/06/05		8,600
			Total Weekly Demand Notes		837,745
Total Investments — 99.8%
(Cost $1,370,553)				$	1,370,553
Other Assets in Excess of Liabilities — 0.2%					3,198
Net Assets — 100.0%				$	1,373,751

Percentages indicated are based on net assets.

Abbreviations:

(g)	Amount rounds to less than 0.1%.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
(p)	Security is prerefunded or escrowed to maturity. The maturity date shown is the earlier of the reset date and the date of the prerefunded call.

AMBAC	American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax Paper
BAN	Bond Anticipation Notes
CIFG	Assurance North America, Inc.
COLL	Collateral
COP	Certificates of Participation
EDC	Economic Development Corporation
EDR	Economic Development Revenue
ETM	Escrowed to Maturity
FGIC	Financial Guaranty Insurance Co.
FHLMC	Federal Home Loan Mortgage Corporation
FNMA	Federal National Mortgage Association
FSA	Financial Security Assurance
GNMA	Government National Mortgage Association
GO	General Obligation Bond
GTY	Guaranty
IDA	Industrial Development Authority
IDR	Industrial Development Revenue
INS	Insured
LIQ	Liquidity Agreement
LOC	Letter of Credit
MBIA	Municipal Bond Insurance Association
Q-SBLF	Qualified School Board Loan Fund
RADIAN	Radian Asset Assurance
Rev.	Revenue Bond
SO	Special Obligation
TAN	Tax Anticipation Note
TOCS	Tender Options Certificates
TRAN	Tax & Revenue Anticipation Note
VAR	Variable. The interest rate shown is the rate in effect at September 30, 2005.

JPMorgan Government Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amount in thousands)

	Principal Amount		Security Description	Value
Long-Term Investments — 97.7%
Collateralized Mortgage Obligations — 39.9%
Agency CMO — 39.9%
			Federal Home Loan Mortgage Corp.
		122	Series 1150, Class I, 7.00%, 10/15/06	$	122
		315	Series 1343, Class LA, 8.00%, 08/15/22		325
		2,242	Series 1367, Class K, 5.50%, 09/15/22		2,254
		2,140	Series 1489, Class I, 6.50%, 04/15/08		2,168
		423	Series 1591, Class E, 10.00%, 10/15/23		476
		554	Series 1604, Class MB, IF, 10.46%, 11/15/08		573
		516	Series 1625, Class SC, IF, 10.74%, 12/15/08		551
		2,142	Series 1633, Class Z, 6.50%, 12/15/23		2,228
		3,000	Series 1694, Class PK, 6.50%, 03/15/24		3,169
		8,837	Series 1785, Class A, 6.00%, 10/15/23		9,032
		8,155	Series 1985, Class PL, 6.50%, 10/17/26 (m)		8,228
		1,173	Series 1999, Class PU, 7.00%, 10/15/27		1,214
		2,425	Series 2031, Class PG, 7.00%, 02/15/28		2,517
		5,887	Series 2035, Class PC, 6.95%, 03/15/28		6,118
		5,454	Series 2064, Class PD, 6.50%, 06/15/28 (m)		5,623
		108	Series 2091, Class PF, 6.00%, 02/15/27 (m)		108
		3,370	Series 2095, Class PE, 6.00%, 11/15/28		3,465
		13	Series 2137, Class TM, 6.50%, 01/15/28		13
		1,555	Series 2152, Class BD, 6.50%, 05/15/29		1,596
		1,117	Series 2345, Class PQ, 6.50%, 08/15/16		1,155
		1,650	Series 2366, Class VG, 6.00%, 06/15/11		1,674
		4,000	Series 2367, Class ME, 6.50%, 10/15/31		4,186
		13,500	Series 2480, Class EJ, 6.00%, 08/15/32		14,119
		8,157	Series 2571, Class PV, 5.50%, 01/15/14		8,315
		15,000	Series 2578, Class PG, 5.00%, 02/15/18		14,950
		10,000	Series 2580, Class QM, 5.00%, 10/15/31		9,855
		10,000	Series 2630, Class KS, 4.00%, 01/15/17		9,547
		10,000	Series 2631, Class TE, 4.50%, 02/15/28		9,703
		2,420	Series 2647, Class A, 3.25%, 04/15/32		2,265
		5,511	Series 2651, Class VZ, 4.50%, 07/15/18		5,249
		9,000	Series 2656, Class BG, 5.00%, 10/15/32		8,888
		10,000	Series 2684, Class PD, 5.00%, 03/15/29		9,980
		2,500	Series 2688, Class DG, 4.50%, 10/15/23		2,367
		5,000	Series 2749, Class TD, 5.00%, 06/15/21		4,977
		6,000	Series 2773, Class TB, 4.00%, 04/15/19		5,511
		4,730	Series 2780, Class TD, 5.00%, 04/15/28		4,724
		2,750	Series 2827, Class DG, 4.50%, 07/15/19		2,636
		5,000	Series 2827, Class TC, 5.00%, 10/15/28		5,006
		7,450	Series 2841, Class AT, 4.00%, 08/15/19		6,835
		8,650	Series 2927, Class GA, 5.50%, 10/15/34		8,768
		5,000	Series 2929, Class PC, 5.00%, 01/15/28		4,979
		5,064	Series R001, Class AE, 4.38%, 04/15/15		4,982
		317	Federal Home Loan Mortgage Corp. STRIPS		70
			Series 155, IO, 7.00%, 11/01/23
			Federal Home Loan Mortgage Corp. Structured Pass
			Through Securities Whole Loan
		3,963	Series T-54, Class 2A, 6.50%, 02/25/43		4,071
		3,128	Series T-56, Class A, PO, 05/25/43		2,641

Principal Amount		Security Description	Value
	4,000	Federal Home Loan Mortgage Corp.
		Series 2005-W1, Class 1A2, 6.50%, 10/25/44		4,089
		Federal National Mortgage Association
	505	Series 1988-16, Class B, 9.50%, 06/25/18 (m)		547
	471	Series 1990-57, Class J, 7.00%, 05/25/20 (m)		487
	1,070	Series 1993-110, Class H, 6.50%, 05/25/23		1,100
	844	Series 1993-146, Class E, PO, 05/25/23		734
	7,400	Series 1993-155, Class PJ, 7.00%, 09/25/23		7,857
	1,235	Series 1993-197, Class SC, IF, 8.30%, 10/25/08		1,270
	151	Series 1993-205, Class H, PO, 09/25/23		130
	235	Series 1993-217, Class H, PO, 08/25/23		205
	697	Series 1993-225, Class VG, 6.35%, 08/25/13		700
	141	Series 1993-228, Class G, PO, 09/25/23		120
	904	Series 1994-1, Class K, 6.50%, 06/25/13		907
	280	Series 1994-12, Class C, 6.25%, 01/25/09		282
	632	Series 1994-13, Class SM, IF, 15.70%, 02/25/09		696
	4,500	Series 1994-37, Class L, 6.50%, 03/25/24		4,651
	9,094	Series 1994-43, Class PJ, 6.35%, 12/25/23		9,399
	10,556	Series 1994-51, Class PV, 6.00%, 03/25/24		10,873
	5,042	Series 1994-62, Class PJ, 7.00%, 01/25/24		5,273
	6,858	Series 1994-86, Class PJ, 6.00%, 06/25/09		6,967
	4,758	Series 1998-37, Class VB, 6.00%, 01/17/13		4,769
	9,724	Series 1998-58, Class PC, 6.50%, 10/25/28		10,057
	1,896	Series 2000-8, Class Z, 7.50%, 02/20/30		1,990
	7,336	Series 2001-33, Class ID, IO, 6.00%, 07/25/31		1,411
	5,000	Series 2002-18, Class PC, 5.50%, 04/25/17		5,114
	3,127	Series 2002-2, Class UC, 6.00%, 02/25/17		3,185
	3,000	Series 2002-3, Class PG, 5.50%, 02/25/17		3,063
	6,502	Series 2002-73, Class OE, 5.00%, 11/25/17		6,481
	6,284	Series 2002-86, Class EJ, 5.50%, 12/25/32		6,381
	10,000	Series 2003-128, Class DY, 4.50%, 01/25/24		9,403
	10,000	Series 2003-35, Class MD, 5.00%, 11/25/16		9,998
	5,000	Series 2003-70, Class BE, 3.50%, 12/25/25		4,785
	5,000	Series 2003-74, Class VL, 5.50%, 11/25/22		4,998
	20,000	Series 2003-81, Class MC, 5.00%, 12/25/32		19,750
	5,255	Series 2003-82, Class VB, 5.50%, 08/25/33		5,263
	5,000	Series 2004-2, Class OE, 5.00%, 05/25/23		4,953
	5,000	Series 2005-16, Class LC, 5.50%, 05/25/28		5,031
	83	Series G92-35, Class EB, 7.50%, 07/25/22		88
	1,140	Series G92-44, Class ZQ, 8.00%, 07/25/22		1,219
	7,867	Federal National Mortgage Association Interest STRIPS
		Series 343, Class 23, IO, 4.00%, 10/01/18		1,218
		Federal National Mortgage Association Whole Loan
	1,213	Series 1999-W4, Class A9, 6.25%, 02/25/29		1,233
	10,000	Series 2002-W7, Class A4, 6.00%, 06/25/29		10,210
	3,781	Series 2003-W1, Class 1A1, 6.50%, 12/25/42		3,892
	1,713	Series 2003-W1, Class 2A, 7.50%, 12/25/42		1,804
	8,175	Series 2003-W18, Class 1A6, 5.37%, 08/25/43		8,213
		Government National Mortgage Association
	700	Series 1996-6, Class PK, 6.50%, 09/16/25		718
	234	Series 1997-19, Class PJ, 6.50%, 06/20/27 (m)		234
	948	Series 1998-1, Class PD, 6.25%, 08/20/27 (m)		948
	2,750	Series 1998-22, Class PD, 6.50%, 09/20/28		2,836
	1,583	Series 1999-17, Class L, 6.00%, 05/20/29		1,617
	6,000	Series 2001-10, Class PE, 6.50%, 03/16/31		6,297
	5,838	Series 2001-64, Class PB, 6.50%, 12/20/31		6,141

	Principal Amount		Security Description	Value
		35,992	Series 2003-59, Class XA, IO, VAR, 0.63%, 06/16/34		3,157
		4,625	Series 2004-62, Class VA, 5.50%, 07/20/15		4,697
			Total Collateralized Mortgage Oligations
			(Cost $421,371 )		424,674
U.S. Government Agency Mortgages — 13.4%
			Federal Home Loan Mortgage Corp. Conventional Pools
		941	ARM, 4.78%, 01/01/27		965
		130	ARM, 4.95%, 04/01/30		133
		80	9.00%, 08/01/09 - 12/01/09		82
		-(h)	9.50%, 04/01/16		-(h)
			Federal Home Loan Mortgage Corp. Gold Pools
		4,470	4.50%, 05/01/24		4,302
		3,054	5.00%, 12/01/13 - 12/01/16		3,054
		4,791	6.00%, 04/01/14 - 02/01/32		4,910
		9,365	6.50%, 12/01/12 - 07/01/29		9,670
		893	7.00%, 12/01/14 - 04/01/26 (m)		938
		1,508	7.50%, 04/01/09 - 08/01/25		1,575
		357	8.00%, 11/01/24 - 09/01/25		381
		829	8.50%, 01/01/10 - 07/01/28		896
		74	9.00%, 11/01/05 - 05/01/22		79
			Federal National Mortgage Association Conventional Pools
		21,369	4.50%, 06/01/13		21,120
		13,092	5.00%, 11/01/23 - 11/01/33		12,865
		50,525	5.50%, 11/01/16 - 01/01/34		50,601
		9,053	6.00%, 03/01/11 - 09/01/28		9,274
		2,919	6.50%, 12/01/10 - 04/01/32		3,029
		1,147	7.00%, 09/01/07 - 08/01/25		1,202
		1,102	7.50%, 06/01/04 - 04/01/30		1,168
		1,247	8.00%, 11/01/12		1,328
		93	9.00%, 12/01/24		101
		556	10.00%, 10/01/16 - 11/01/21		616
			Government National Mortgage Association Pools
		210	ARM, 3.75%, 07/20/27 (m)		214
		3,251	6.00%, 10/15/23 - 10/15/33		3,330
		3,299	6.50%, 07/15/08 - 02/15/24		3,439
		1,414	7.00%, 11/15/22 - 06/15/28		1,491
		2,163	7.50%, 07/15/07 - 02/15/28		2,303
		1,888	8.00%, 07/15/06 - 11/20/27		2,017
		58	8.50%, 10/15/24		64
		1,597	9.00%, 11/15/08 - 11/15/24		1,746
		126	9.50%, 07/15/09 - 12/15/20		140
		4	11.00%, 11/15/09		4
			Total U.S. Government Agency Mortgages
			(Cost $143,033)		143,037
U.S. Government Agency Securities — 11.4%
		7,000	Federal Home Loan Bank System
			5.75%, 08/15/11		7,412
		5,000	Federal Home Loan Mortgage Corp.
			3.50%, 09/15/07		4,923
			Federal National Mortgage Association
		16,000	Zero Coupon, 10/09/19		7,674

	Principal Amount		Security Description	Value
		10,000	5.88%, 02/02/06		10,058
		9,200	Federal National Mortgage Association STRIPS
			PO, 05/29/26		3,267
			Financing Corp.
		180	Zero Coupon, 10/05/05		180
		334	Zero Coupon, 12/27/05		331
		500	Zero Coupon, 10/06/06		479
		1,000	Zero Coupon, 11/11/06		954
		500	Zero Coupon, 12/27/06		474
		26,153	Zero Coupon, 12/06/18		13,866
			Resolution Funding Corp. STRIPS
		50,000	PO, 07/15/20		24,526
		78,000	PO, 07/15/20		38,408
		15,000	PO, 04/15/28		5,087
		5,000	PO, 04/15/30		1,571
		4,500	Tennessee Valley Authority STRIPS
			PO, 07/15/16		2,654
			Total U.S. Government Agency Securities
			(Cost $103,070)		121,864
U.S. Treasury Obligations — 33.0%
			U.S. Treasury Bonds
		3,490	5.38%, 02/15/31		3,910
		2,500	7.13%, 02/15/23		3,244
		13,140	7.25%, 05/15/16		16,255
		3,935	7.25%, 08/15/22		5,141
		3,635	8.00%, 11/15/21		5,032
		36,080	8.13%, 08/15/19 (m)		49,259
		4,085	8.88%, 08/15/17		5,728
		1,020	9.00%, 11/15/18		1,469
		18,000	10.38%, 11/15/12		20,237
			U.S. Treasury Inflation Indexed Bonds
		1,484	1.63%, 01/15/15		1,467
		24,198	3.63%, 01/15/08		25,614
			U.S. Treasury Notes
		24,020	2.38%, 08/31/06		23,651
		20,670	2.63%, 11/15/06		20,331
		10,830	2.63%, 05/15/08		10,415
		2,700	3.00%, 02/15/08		2,629
		8,890	3.63%, 07/15/09		8,711
		10,000	3.88%, 05/15/09		9,891
		2,085	3.88%, 02/15/13		2,031
		6,430	4.25%, 08/15/13		6,408
		2,015	4.75%, 05/15/14		2,076
		15,000	5.00%, 08/15/11		15,586
		4,550	5.63%, 05/15/08		4,710
		6,750	5.75%, 08/15/10		7,199
		25,000	6.13%, 08/15/07		25,872
			U.S. Treasury STRIPS
		30,000	PO, 11/15/09		25,178
		5,845	PO, 02/15/15		3,863
		1,655	PO, 05/15/15		1,085
		2,500	PO, 08/15/15		1,615

	Principal Amount		Security Description	Value
		10,000	PO, 11/15/15		6,375
		72,500	PO, 05/15/20		36,923
			Total U.S. Treasury Obligations
			(Cost $334,220)		351,905
			Total Long Term Investments	$	1,041,480
			(Cost $1,001,694)
	Shares
Short-Term Investment — 2.4%
Investment Company — 2.4%
		25,478	JPMorgan U.S. Government Money Market Fund (b)
			Total Short-Term Investments
			(Cost $25,478)		25,478
	Principal Amount
Investments of Cash Collateral for Securities Loaned — 17.9%
Repurchase Agreements — 17.9%
		$35,000	Banc of America Securities LLC
			3.95%, dated 09/30/05, due 10/03/05, repurchase price
			$35,011 collateralized by U.S. Government Agency Mortgages		35,000
		38,000	Barclays Capital, 3.87%, dated 09/30/05, due 10/03/05,		38,000
			repurchase price $38,012 collateralized by U.S. Government
			Agency Securities
		10,000	Credit Suisse First Boston LLC, 3.85%, dated 09/30/05		10,000
			repurchase price $10,003 collateralized by U.S. Government
			Agency Mortgages
		38,000	Lehman Brothers Inc., 3.88%, dated 09/30/05, due 10/03/05,		38,000
			repurchase price $38,012 collateralized by U.S. Government
			Agency Mortgages
		34,733	Merrill Lynch Securities, 3.88%, dated 09/30/05, due 10/03/05,		34,733
			repurchase price $34,744 collateralized by U.S. Government
			Agency Securities
		35,000	Morgan Stanley, 3.90%, dated 09/30/05, due 10/03/05,		35,000
			repurchase price $35,011 collateralized by U.S. Government
			Agency Mortgages
			Total Investments of Cash Collateral for Securities Loaned
			(Cost $190,733)		190,733

		Principal Amount	Security Description	Value
Total Investments — 118.0%
(Cost $1,217,905)				$	1,257,691
Liabilities in Excess of Other Assets — (18.0)%					(191,945	)
Net Assets — 100.0%				$	1,065,746
Percentages indicated are based on net assets.
Abbreviations:
(b)	Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors Inc.
(h)	Amount rounds to less than one thousand.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA’s, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
ARM	Adjustable Rate Mortgage
CMO	Collateralized Mortgage Obligation
IF	Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index
IO	Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities are generally higher than prevailing market yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. 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.
STRIPS	Separate Trading of Registered Interest and Principal of Securities. The STRIPS program lets investors hold and trade the individual interest and principal components at eligible notes and bonds as separate securities.
VAR	Variable. The interest rate shown is the rate in effect as of September 30, 2005.

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	48,552
Aggregate gross unrealized depreciation		(8,766	)
Net unrealized appreciation/depreciation	$	39,786
Federal income tax cost of investments	$	1,217,905

JPMorgan High Yield Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Long-Term Investments — 96.0%
Corporate Bonds — 88.4%
Aerospace / Defense — 0.4%
	$	2,250	L-3 Communications Corp.
			6.38%, 10/15/15 (e)	$	2,267
		1,100	Orbital Sciences Corp.
			9.00%, 07/15/11		1,193
			Sequa Corp.
		700	9.00%, 08/01/09		742
		425	Series B, 8.88%, 04/01/08		442
					4,644
Airlines — 1.5%
			American Airlines, Inc.
		3,700	7.25%, 02/05/09		3,626
		1,750	7.32%, 10/15/09		1,533
		2,734	7.38%, 05/23/16		1,938
		900	7.80%, 10/01/06		862
		1,544	9.71%, 01/02/07		1,493
		1,650	10.18%, 01/02/13		1,196
		599	10.21%, 01/01/10		468
			Continental Airlines, Inc.
		73	7.42%, 04/01/07		66
		3,600	9.80%, 04/01/21 (m)		3,636
		2,800	FRN, 11.26%, 12/06/07		2,824
					17,642
Automotive — 3.5%
		5,175	Autocam Corp.
			10.88%, 06/15/14		3,467
			Delco Remy International, Inc.
		2,700	9.38%, 04/15/12		1,512
		800	9.38%, 04/15/12 (e)		448
		300	11.00%, 05/01/09		195
			Dura Operating Corp.
		1,900	Series B, 8.63%, 04/15/12		1,691
		900	Series D, 9.00%, 05/01/09		626
		8,400	Ford Motor Co.
			7.45%, 07/16/31		6,552
			General Motors Acceptance Corp.
		2,330	7.75%, 01/19/10		2,258
		1,650	8.00%, 11/01/31		1,441
			General Motors Corp.
		11,450	8.25%, 07/15/23		8,902
		3,000	8.80%, 03/01/21 (m)		2,482
		3,200	Goodyear Tire & Rubber Co. (The)
			9.00%, 07/01/15 (e)		3,152
			Metaldyne Corp.
		2,000	10.00%, 11/01/13 (e)		1,740
		4,600	11.00%, 06/15/12		3,128

	Principal Amount		Security Description	Value
		2,805	Newcor, Inc.
			SUB, 6.00%, 01/31/13 (i)		2,244
					39,838
Banking — 0.2%
		2,200	Western Financial Bank
			9.63%, 05/15/12		2,519
Brokerage — 0.0% (g)
		500	E*Trade Financial Corp.
			8.00%, 06/15/11 (e)		516
Building Materials — 1.0%
		4,100	Fedders North America, Inc.
			9.88%, 03/01/14		3,055
		3,005	Goodman Global Holding Co., Inc.
			FRN, 6.41%, 06/15/12 (e)		2,937
		4,200	RMCC Acquisition Co.
			9.50%, 11/01/12 (e)		4,242
		690	Wolverine Tube, Inc.
			10.50%, 04/01/09		654
					10,888
Chemicals — 3.7%
			Chemtura Corp.
		800	9.88%, 08/01/12		911
		2,000	FRN, 9.67%, 08/01/10		2,205
		950	Crystal U.S. Holdings 3 LLC
			Series B, SUB, 0.00%, 10/01/14		665
			Equistar Chemicals LP
		3,400	10.13%, 09/01/08 (m)		3,655
		2,800	10.63%, 05/01/11 (m)		3,052
			IMC Global, Inc.
		24	7.63%, 11/01/05		24
		1,000	10.88%, 08/01/13		1,180
		2,500	Series B, 10.88%, 06/01/08 (m)		2,825
		1,300	Series B, 11.25%, 06/01/11 (m)		1,430
		340	Lyondell Chemical Co.
			10.50%, 06/01/13		384
		2,000	M&G Financial Corp.
			7.67%, 04/16/09 (i)		2,020
		9,000	OM Group, Inc.
			9.25%, 12/15/11 (m)		9,158
		5,575	PolyOne Corp.
			10.63%, 05/15/10		5,742
		1,750	Quality Distribution LLC
			9.00%, 11/15/10		1,610
			Terra Capital, Inc.
		200	11.50%, 06/01/10		229
		3,090	12.88%, 10/15/08 (m)		3,646
		1,000	UAP Holding Corp.
			SUB, 0.00%, 07/15/12		850
		2,677	United Agri Products
			8.25%, 12/15/11 (m)		2,824
					42,410

	Principal Amount		Security Description	Value
Construction Machinery — 1.3%
		500	Ashtead Holdings plc (United Kingdom)
			8.63%, 08/01/15 (e)		526
			Case New Holland, Inc.
		1,800	6.00%, 06/01/09 (m)		1,728
		4,850	9.25%, 08/01/11 (m)		5,129
		1,200	NationsRent Cos., Inc.
			9.50%, 10/15/10		1,308
			United Rentals North America, Inc.
		4,850	6.50%, 02/15/12 (m)		4,680
		1,500	7.00%, 02/15/14		1,391
		300	7.75%, 11/15/13		290
					15,052
Consumer Products — 1.2%
		1,775	Ames True Temper, Inc.
			FRN, 7.60%, 01/15/12		1,651
		1,500	Chattem, Inc.
			FRN, 6.87%, 03/01/10		1,515
			General Nutrition Centers, Inc.
		1,750	8.50%, 12/01/10		1,492
		1,500	8.63%, 01/15/11		1,440
		3,800	K2, Inc.
			7.38%, 07/01/14		3,800
		3,250	Southern States Cooperative, Inc.
			10.50%, 11/01/10 (e)		3,412
					13,310
Distributors — 0.9%
		750	Amerigas Partners LP
			7.25%, 05/20/15 (e)		784
		3,000	Ferrell Gas LP
			7.42%, 08/01/13 (i)		2,940
		3,370	SEMCO Energy, Inc.
			7.75%, 05/15/13		3,531
		3,700	Suburban Propane Partners LP
			6.88%, 12/15/13		3,367
					10,622
Diversified Manufacturing — 0.5%
		1,650	Invensys plc
			9.88%, 03/15/11 (e)		1,640
		4,235	Polypore, Inc.
			8.75%, 05/15/12		3,727
					5,367
Electric — 7.8%
		2,410	AES Corp. (The)
			9.00%, 05/15/15 (e)		2,645
		8,100	Calpine Canada Energy Finance ULC (Canada)
			8.50%, 05/01/08		4,840
			Calpine Corp.
		1,000	8.50%, 07/15/10 (e)		715
		2,000	9.88%, 12/01/11 (e)		1,460

	Principal Amount		Security Description	Value
			Calpine Generating Co. LLC
		5,100	FRN, 9.44%, 04/01/10		5,151
		5,150	FRN, 12.39%, 04/01/11		4,893
			CMS Energy Corp.
		500	8.50%, 04/15/11		556
		450	9.88%, 10/15/07		489
			Dynegy Holdings, Inc.
		3,650	6.88%, 04/01/11 (m)		3,568
		5,474	7.13%, 05/15/18		5,063
		4,400	9.88%, 07/15/10 (e)		4,796
		1,100	10.13%, 07/15/13 (e)		1,227
		7,325	Edison Mission Energy
			9.88%, 04/15/11		8,680
		1,655	FPL Energy Wind Funding LLC
			6.88%, 06/27/17 (e)		1,663
			Midwest Generation LLC
		3,100	8.75%, 05/01/34 (m)		3,453
		2,900	Series A, 8.30%, 07/02/09 (m)		3,052
		662	Series B, 8.56%, 01/02/16		729
			Mirant Americas Generation LLC
		4,600	8.30%, 05/01/11 (d)		5,738
		4,500	8.50%, 10/01/21 (d)		5,625
			Mirant Corp.
		1,150	7.40%, 07/15/04 (d) (e)		1,380
		2,000	7.90%, 07/15/09 (d) (e)		2,435
			Nevada Power Co.
		287	6.50%, 04/15/12		298
		863	Series A, 8.25%, 06/01/11		958
		1,298	Series E, 10.88%, 10/15/09 (m)		1,434
			NorthWestern Corp.
		1,900	5.88%, 11/01/14		1,919
		1,800	7.00%, 08/15/23		1,836
		2,764	NRG Energy, Inc.
			8.00%, 12/15/13		2,944
		3,043	Ormat Funding Corp.
			8.25%, 12/30/20 (m)		3,066
			Reliant Energy, Inc.
		2,700	6.75%, 12/15/14		2,653
		840	9.50%, 07/15/13		928
		4,900	TXU Corp.
			5.55%, 11/15/14 (m)		4,652
					88,846
Entertainment — 1.8%
		3,150	Bally Total Fitness Holding Corp.
			Series D, 9.88%, 10/15/07		2,843
		7,150	Imax Corp. (Canada)
			9.63%, 12/01/10 (m)		7,650
		1,500	Intrawest Corp. (Canada)
			7.50%, 10/15/13 (m)		1,536
		2,000	Six Flags, Inc.
			9.75%, 04/15/13		1,970

	Principal Amount		Security Description	Value
		1,515	True Temper Sports, Inc.
			8.38%, 09/15/11		1,409
		4,510	Universal City Development Partners
			11.75%, 04/01/10 (m)		5,096
					20,504
Environmental — 1.1%
			Allied Waste North America
		1,000	7.88%, 04/15/13		1,020
		4,250	Series B, 5.75%, 02/15/11		3,963
		5,245	Series B, 8.88%, 04/01/08 (m)		5,468
		1,459	Series B, 9.25%, 09/01/12		1,579
		500	American ECO Corp.
			Series B, 9.63%, 05/15/08 (d)		-h
					12,030
Food/Beverage — 3.7%
		2,660	Bavaria S.A. (Colombia)
			8.88%, 11/01/10 (e)		2,934
		2,000	Burns Philp Capital Property Ltd. (Australia)
			9.50%, 11/15/10 (m)		2,210
			Chiquita Brands International, Inc.
		1,000	7.50%, 11/01/14		942
		2,200	8.88%, 12/01/15 (e)		2,178
		600	Cosan S.A. Industria e Comercio (Brazil)
			9.00%, 11/01/09 (e)		636
		450	Cott Beverages USA, Inc.
			8.00%, 12/15/11		461
		3,000	Del Monte Corp.
			6.75%, 02/15/15 (e)		3,015
			Dole Food Co., Inc.
		3,400	7.25%, 06/15/10 (m)		3,383
		425	8.75%, 07/15/13		455
		285	8.88%, 03/15/11		296
		650	Gold Kist, Inc.
			10.25%, 03/15/14		734
		4,500	Golden State Foods
			9.24%, 01/10/12 (i)		4,427
			Land O’ Lakes, Inc.
		7,025	8.75%, 11/15/11		7,359
		2,100	9.00%, 12/15/10 (m)		2,315
		3,750	National Beef Packing Co. LLC
			10.50%, 08/01/11		3,891
		3,925	National Wine & Spirits, Inc.
			10.13%, 01/15/09 (m)		3,964
		1,000	Smithfield Foods, Inc.
			7.00%, 08/01/11		1,020
		1,500	Swift & Co.
			12.50%, 01/01/10		1,635
					41,855

	Principal Amount		Security Description	Value
Gaming — 3.4%
		2,000	Boyd Gaming Corp.
			7.75%, 12/15/12 (m)		2,102
			Caesars Entertainment, Inc.
		1,000	7.00%, 04/15/13		1,085
		2,900	7.88%, 03/15/10 (m)		3,154
		3,400	Kerzner International Ltd. (Bahamas)
			6.75%, 10/01/15 (e)		3,294
			MGM Mirage
		2,500	6.63%, 07/15/15 (e)		2,472
		2,800	6.75%, 09/01/12 (m)		2,845
		4,025	8.38%, 02/01/11		4,327
			Mohegan Tribal Gaming Authority
		1,500	6.13%, 02/15/13 (m)		1,493
		1,000	6.88%, 02/15/15 (m)		1,020
		925	8.00%, 04/01/12 (m)		976
			Station Casinos, Inc.
		150	6.00%, 04/01/12		150
		6,100	6.88%, 03/01/16 (e) (m)		6,183
		2,100	Trump Entertainment Resorts, Inc.
			8.50%, 06/01/15 (m)		2,026
		8,350	Wynn Las Vegas LLC
			6.63%, 12/01/14		7,985
					39,112
Health Care — 5.7%
		500	Ameripath, Inc.
			10.50%, 04/01/13		520
		3,000	CDRV Investors, Inc.
			SUB, 0.00%, 01/01/15		1,710
		3,500	Fisher Scientific International, Inc.
			6.13%, 07/01/15 (e) (m)		3,509
		535	Hanger Orthopedic Group, Inc.
			10.38%, 02/15/09		544
			HCA, Inc.
		900	7.88%, 02/01/11		965
		1,000	8.75%, 09/01/10 (m)		1,104
			Healthsouth Corp.
		7,750	8.38%, 10/01/11		7,382
		3,750	8.50%, 02/01/08		3,656
		4,550	LifeCare Holdings, Inc.
			9.25%, 08/15/13 (e)		3,913
		654	Magellan Health Services, Inc.
			Series A, 9.38%, 11/15/08		687
		2,300	NDCHealth Corp.
			10.50%, 12/01/12		2,634
		1,325	Omnicare, Inc.
			Series B, 8.13%, 03/15/11		1,385
		890	PerkinElmer, Inc.
			8.88%, 01/15/13		974
		600	Psychiatric Solutions, Inc.
			7.75%, 07/15/15 (e)		620

	Principal Amount		Security Description	Value
		77	Res-Care, Inc.
			10.63%, 11/15/08		81
			Tenet Healthcare Corp.
		1,700	9.25%, 02/01/15 (e)		1,717
		7,425	9.88%, 07/01/14 (m)		7,759
		1,000	Triad Hospitals, Inc.
			7.00%, 05/15/12		1,028
		7,925	U.S. Oncology Holdings, Inc.
			FRN, 9.26%, 03/15/15 (e)		7,806
		2,600	U.S. Oncology, Inc.
			10.75%, 08/15/14 (m)		2,912
		7,550	Vanguard Health Holding Co. I LLC
			SUB, 0.00%, 10/01/15 (m)		5,474
		4,300	Vanguard Health Holding Co. II LLC
			9.00%, 10/01/14 (m)		4,579
			Ventas Realty LP
		750	6.75%, 06/01/10 (e)		761
		750	7.13%, 06/01/15 (e)		776
		2,000	9.00%, 05/01/12		2,270
					64,766
Home Construction — 0.1%
		1,000	Standard-Pacific Corp.
			6.50%, 08/15/10		968
Independent Energy — 1.2%
		1,300	Arch Western Finance LLC
			6.75%, 07/01/13		1,326
			Chesapeake Energy Corp.
		500	6.38%, 06/15/15		503
		1,900	6.88%, 01/15/16		1,947
		1,250	7.50%, 09/15/13 (m)		1,331
		2,300	7.50%, 06/15/14 (m)		2,455
		1,450	El Paso Production Holding Co.
			7.75%, 06/01/13 (m)		1,515
		1,000	Peabody Energy Corp.
			5.88%, 04/15/16		994
		2,200	Petrobras International Finance Co. (Brazil)
			7.75%, 09/15/14		2,381
		2,834	Plains Exploration & Production Co.
			Series B, 8.75%, 07/01/12		3,061
					15,513
Industrial Other — 1.3%
		5,550	Eagle-Picher Industries, Inc.
			9.75%, 09/01/13 (d)		4,107
		3,750	Gardner Denver, Inc.
			8.00%, 05/01/13 (e)		3,905
		5,650	Milacron Escrow Corp.
			11.50%, 05/15/11		5,537
		1,000	Thermadyne Holdings Corp.
			9.25%, 02/01/14		915
		950	Valmont Industries, Inc.
			6.88%, 05/01/14		969
					15,433

	Principal Amount		Security Description	Value
Lodging — 0.7%
		3,000	Felcor Lodging LP
			FRN, 7.78%, 06/01/11 (m)		3,128
		3,000	Host Marriott LP
			Series M, 7.00%, 08/15/12 (m)		3,041
		1,500	La Quinta Properties, Inc.
			8.88%, 03/15/11 (m)		1,605
					7,774
Media Cable — 4.0%
			Adelphia Communications Corp.
		6,525	9.38%, 11/15/09 (d)		4,992
		3,500	10.88%, 10/01/10 (d)		2,607
		2,000	Series B, 7.50%, 01/15/04 (d)		1,490
		1,150	Series B, 7.75%, 01/15/09 (d)		851
		1,450	Series B, 8.13%, 07/15/03 (d)		1,080
		1,000	Series B, 9.25%, 10/01/02 (d)		735
		3,000	CCO Holdings LLC
			8.75%, 11/15/13		2,962
			Charter Communications Holdings LLC
		2,500	10.25%, 01/15/10		2,075
		3,500	SUB, 11.75%, 01/15/10		3,080
			Charter Communications Operating LLC
		1,900	8.00%, 04/30/12 (e)		1,914
		1,000	8.38%, 04/30/14 (e)		1,005
			CSC Holdings, Inc.
		300	6.75%, 04/15/12 (e)		284
		3,175	7.25%, 07/15/08 (m)		3,187
		250	7.88%, 12/15/07		257
		1,500	Series B, 7.63%, 04/01/11 (m)		1,474
		2,500	Insight Communications Co., Inc.
			SUB, 0.00%, 02/15/11		2,550
		1,000	Mediacom Broadband LLC
			8.50%, 10/15/15 (e)		965
		6,330	Mediacom LLC/Mediacom Capital Corp.
			9.50%, 01/15/13		6,283
		750	Rogers Cable, Inc. (Canada)
			6.25%, 06/15/13		729
			Videotron Ltee (Canada)
		1,500	6.38%, 12/15/15 (e)		1,489
		5,175	6.88%, 01/15/14 (m)		5,311
					45,320
Media Non-Cable — 4.4%
		2,150	Block Communications, Inc.
			9.25%, 04/15/09 (m)		2,279
		6,500	Cenveo Corp.
			7.88%, 12/01/13		6,272
		2,900	DirecTV Holdings LLC
			6.38%, 06/15/15 (e)		2,878
			Echostar DBS Corp.
		400	5.75%, 10/01/08		395
		2,900	6.63%, 10/01/14 (m)		2,871

	Principal Amount		Security Description	Value
		1,675	Fisher Communications, Inc.
			8.63%, 09/15/14		1,788
		2,000	Innova S de RL (Mexico)
			9.38%, 09/19/13		2,270
			Intelsat Bermuda Ltd. (Bermuda)
		3,100	8.25%, 01/15/13 (e)		3,119
		1,000	FRN, 8.70%, 01/15/12 (e)		1,018
		625	LBI Media, Inc.
			SUB, 0.00%, 10/15/13		471
		2,250	LIN Television Corp.
			6.50%, 05/15/13 (e)		2,132
		750	Medianews Group, Inc.
			6.88%, 10/01/13		744
		1,575	Morris Publishing Group LLC
			7.00%, 08/01/13		1,559
		1,500	Nexstar Finance Holdings LLC
			SUB, 0.00%, 04/01/13		1,110
		2,000	Nexstar Finance, Inc.
			7.00%, 01/15/14		1,800
		2,925	PanAmSat Corp.
			9.00%, 08/15/14 (m)		3,086
		4,184	Phoenix Color Corp.
			10.38%, 02/01/09		3,849
			Primedia, Inc.
		5,400	8.88%, 05/15/11 (m)		5,657
		1,600	FRN, 9.17%, 05/15/10		1,688
		2,000	XM Satellite Radio, Inc.
			FRN, 9.19%, 05/01/09		2,023
		1,775	Young Broadcasting, Inc.
			10.00%, 03/01/11		1,677
		1,900	Zeus Special Subsidiary Ltd.
			SUB, 0.00%, 02/01/15 (e)		1,254
					49,940
Metals — 1.8%
		7,580	AK Steel Corp.
			7.88%, 02/15/09		7,353
		1,150	Chaparral Steel Co.
			10.00%, 07/15/13 (e)		1,213
		3,250	Earle M. Jorgensen Co.
			9.75%, 06/01/12 (m)		3,526
			Neenah Foundary Corp.
		5,725	11.00%, 09/30/10 (e)		6,326
		709	13.00%, 09/30/13 (e)		716
		1,300	United States Steel Corp.
			9.75%, 05/15/10		1,427
					20,561
Non-Captive Finance — 1.6%
		2,660	Advanta Capital Trust I
			Series B, 8.99%, 12/17/26		2,686
		4,500	Allied Capital
			6.15%, 10/13/10 (i)		4,500

	Principal Amount		Security Description	Value
		3,750	AmeriCredit Corp.
			9.25%, 05/01/09		3,956
		5,175	Providian Capital I
			9.53%, 02/01/27 (e)		5,641
		1,500	Residential Capital Corp.
			6.38%, 06/30/10 (e)		1,520
					18,303
Oil Field Services — 1.9%
		1,600	Chart Industries, Inc.□□
			9.13%, 10/15/15 (e)		1,600
		1,500	Compagnie Generale de Geophysique S.A. (France)
			7.50%, 05/15/15 (e)		1,560
		1,000	Hornbeck Offshore Services, Inc.□□
			6.13%, 12/01/14 (e)		992
		900	Offshore Logistics, Inc.
			6.13%, 06/15/13		887
		7,728	Petroleum Geo-Services ASA (Norway)
			10.00%, 11/05/10		8,655
		2,250	Pride International, Inc.
			7.38%, 07/15/14		2,444
		4,000	Secunda International Ltd. (Canada)
			FRN, 11.60%, 09/01/12 (m)		4,220
		300	Universal Compression, Inc.
			7.25%, 05/15/10		311
					20,669
Packaging — 2.6%
		2,900	Anchor Glass Container Corp.
			11.00%, 02/15/13 (d)		1,856
		1,150	Ball Corp.
			6.88%, 12/15/12		1,173
			Constar International, Inc.
		1,950	FRN, 7.17%, 02/15/12 (e)		1,809
		7,950	11.00%, 12/01/12		5,008
			Crown European Holdings S.A. (France)
		2,700	9.50%, 03/01/11		2,957
		1,000	10.88%, 03/01/13		1,160
		2,000	Graham Packaging Co., Inc.
			8.50%, 10/15/12		1,990
			Owens Brockway Glass Container, Inc.
		2,500	6.75%, 12/01/14 (m)		2,413
		3,000	8.25%, 05/15/13 (m)		3,120
		1,000	8.88%, 02/15/09 (m)		1,050
		9,525	Portola Packaging, Inc.
			8.25%, 02/01/12		6,667
					29,203
Paper — 3.3%
			Abitibi-Consolidated, Inc. (Canada)
		2,300	6.00%, 06/20/13		2,018
		7,575	8.38%, 04/01/15		7,442
		1,000	8.55%, 08/01/10		1,018
		1,100	FRN, 7.37%, 06/15/11		1,100

	Principal Amount		Security Description	Value
			Ainsworth Lumber Co., Ltd. (Canada)
		4,050	6.75%, 03/15/14		3,652
		800	7.25%, 10/01/12		752
		1,000	FRN, 7.77%, 10/01/10		998
		2,000	Bowater, Inc.
			FRN, 6.87%, 03/15/10 (m)		1,990
			Buckeye Technologies, Inc.
		775	8.50%, 10/01/13		787
		1,949	9.25%, 09/15/08		1,949
		1,300	Domtar, Inc. (Canada)
			7.13%, 08/15/15		1,192
		1,825	Georgia-Pacific Corp.
			8.00%, 01/15/14 (m)		1,998
		1,630	Graphic Packaging International Corp.
			9.50%, 08/15/13		1,532
		1,000	Jefferson Smurfit Corp. U.S.
			8.25%, 10/01/12		940
		2,400	Norske Skog Canada Ltd. (Canada)
			Series D, 8.63%, 06/15/11		2,412
			Pope & Talbot, Inc.
		1,310	8.38%, 06/01/13		1,258
			Tembec Industries, Inc. (Canada)
		7,600	8.50%, 02/01/11		4,959
		2,250	8.63%, 06/30/09		1,530
					37,527
Pharmaceuticals — 0.9%
		2,000	Alpharma, Inc.
			8.63%, 05/01/11		2,060
			AmerisourceBergen Corp.
		400	5.63%, 09/15/12 (e)		394
		1,400	5.88%, 09/15/15 (e)		1,383
		6,675	Biovail Corp. (Canada)
			7.88%, 04/01/10 (m)		6,925
					10,762
Pipelines — 3.6%
		900	ANR Pipeline Co.
			8.88%, 03/15/10		973
		500	Colorado Interstate Gas Co.
			5.95%, 03/15/15 (e)		485
		2,000	El Paso CGP Co.
			7.63%, 09/01/08		2,032
			El Paso Corp.
		1,000	7.63%, 08/16/07 (e)		1,018
		7,650	7.88%, 06/15/12		7,918
		4,000	El Paso Natural Gas Co.
			Series A, 7.63%, 08/01/10 (m)		4,159
		2,900	MarkWest Energy Partners LP
			6.88%, 11/01/14 (e)		2,871
		1,000	Northwest Pipeline Corp.
			8.13%, 03/01/10		1,068

	Principal Amount		Security Description	Value
			Pacific Energy Partners LP
		750	6.25%, 09/15/15 (e)		752
		4,350	7.13%, 06/15/14 (m)		4,513
		2,000	Southern Natural Gas Co.
			8.88%, 03/15/10		2,162
		3,900	Transmontaigne, Inc.
			9.13%, 06/01/10 (m)		4,095
			Williams Cos, Inc.
		2,000	6.38%, 10/01/10 (e)		1,985
		1,600	7.63%, 07/15/19 (m)		1,732
		2,175	8.12%, 03/15/12		2,376
		1,500	FRN, 5.89%, 10/01/10 (e)		1,492
					39,631
Property & Casualty — 0.5%
		4,015	Crum & Forster Holdings Corp.
			10.38%, 06/15/13 (m)		4,386
		1,425	Fairfax Financial Holdings Ltd. (Canada)
			7.75%, 04/26/12		1,368
					5,754
Railroads — 0.6%
			Grupo Transportacion Ferroviaria Mexicana S.A. de C.V. (Mexico)
		4,900	9.38%, 05/01/12 (e)		5,292
		250	10.25%, 06/15/07		268
		934	12.50%, 06/15/12		1,083
					6,643
Refining — 0.5%
		1,700	Frontier Oil Corp.
			6.63%, 10/01/11		1,753
		1,533	Orion Refining Corp.
			10.00%, 11/15/04 (d)		-h
			Premcor Refining Group, Inc. (The)
		1,535	7.50%, 06/15/15		1,642
		1,000	9.25%, 02/01/10		1,088
		700	9.50%, 02/01/13		789
					5,272
Real Estate Investment Trust — 0.9%
		10,325	Thornburg Mortgage, Inc.
			8.00%, 05/15/13 (m)		10,222
Restaurants — 0.3%
			Avado Brands, Inc.
		2,950	9.75%, 06/01/06 (d)		266
		1,000	11.75%, 06/15/09 (d)		-h
		2,755	Friendly Ice Cream Corp.
			8.38%, 06/15/12		2,603
		1,000	Sbarro, Inc.
			11.00%, 09/15/09		995
					3,864

	Principal Amount		Security Description	Value
Retailers — 1.3%
		1,650	Brown Shoe Co., Inc.
			8.75%, 05/01/12		1,741
			Duane Reade, Inc.
		1,500	9.75%, 08/01/11		1,125
		1,500	FRN, 8.37%, 12/15/10 (e)		1,432
		5,250	Gregg Appliances, Inc.
			9.00%, 02/01/13 (e)		4,935
			GSC Holdings Corp□□.
		2,900	8.00%, 10/01/12 (e)		2,886
		2,700	FRN, 7.88%, 10/01/11 (e)		2,703
		1,250	Quality Stores, Inc.
			10.63%, 04/01/07 (d)		-h
					14,822
Services — 2.7%
		1,000	Alderwoods Group, Inc.
			7.75%, 09/15/12		1,050
			Corrections Corp. of America
		2,900	6.25%, 03/15/13 (m)		2,871
		750	7.50%, 05/01/11		773
		3,150	FTI Consulting, Inc.
			7.63%, 06/15/13 (e)		3,213
		1,000	Knowledge Learning Corp., Inc.
			7.75%, 02/01/15 (e)		980
		2,850	Mac-Gray Corp.
			7.63%, 08/15/15 (e)		2,907
		5,825	Mastec, Inc.
			Series B, 7.75%, 02/01/08		5,825
		7,787	SAC Holding Corp.
			8.50%, 03/15/14		7,456
			Service Corp. International
		505	6.50%, 03/15/08		513
		1,000	7.00%, 06/15/17 (e)		1,010
		1,400	7.70%, 04/15/09		1,470
		1,000	7.88%, 02/01/13		1,060
		1,000	Stewart Enterprises, Inc.
			6.25%, 02/15/13 (e)		950
		500	Williams Scotsman, Inc.□□
			8.50%, 10/01/15 (e)		506
					30,584
Supermarkets — 0.3%
		3,500	Ahold Finance USA, Inc. (m)
			8.25%, 07/15/10		3,815
Technology — 5.1%
		8,750	Advanced Micro Devices, Inc.
			7.75%, 11/01/12		8,969
		4,000	Amkor Technology, Inc.
			7.13%, 03/15/11		3,450
		4,000	Cookson plc (United Kingdom)
			VAR, 13.94%, 11/01/09 (i)		4,042

	Principal Amount		Security Description	Value
		500	Corning, Inc.
			6.20%, 03/15/16		514
		3,200	Flextronics International Ltd. (Singapore)
			6.25%, 11/15/14		3,184
			Freescale Semiconductor, Inc.
		1,400	6.88%, 07/15/11		1,470
		850	7.13%, 07/15/14		905
		1,750	IKON Office Solutions, Inc.□□
			7.75%, 09/15/15 (e)		1,719
		2,000	Intcomex, Inc.
			11.75%, 01/15/11 (e)		1,990
		3,500	Lucent Technologies, Inc.
			6.50%, 01/15/28		3,028
			MagnaChip Semiconductor S.A. (Luxembourg)
		2,350	6.88%, 12/15/11		2,256
		550	8.00%, 12/15/14		506
		2,200	FRN, 7.12%, 12/15/11		2,178
		6,500	Smart Modular Technologies (Cayman Islands)
			FRN, 9.00%, 04/01/12 (e)		6,630
		600	STATS ChipPAC Ltd (Singapore)
			7.50%, 07/19/10 (e)		606
		3,000	Stratus Technologies, Inc.
			10.38%, 12/01/08		3,030
			Sungard Data Systems, Inc.
		1,850	4.88%, 01/15/14		1,623
		2,200	FRN, 8.52%, 08/15/13 (e)		2,277
		1,000	9.13%, 08/15/13 (e)		1,036
			Unisys Corp.
		1,900	8.00%, 10/15/12		1,867
		1,100	8.50%, 10/15/15		1,092
		2,140	Viasystems, Inc.
			10.50%, 01/15/11		2,103
		3,500	Xerox Corp.
			6.88%, 08/15/11 (m)		3,657
					58,132
Telecommunications — Wireless — 3.3%
		2,327	Alamosa Delaware, Inc.
			11.00%, 07/31/10		2,624
		1,400	American Cellular Corp.
			Series B, 10.00%, 08/01/11		1,526
			Dobson Cellular Systems
		100	8.38%, 11/01/11		105
		5,400	9.88%, 11/01/12		5,913
		2,300	FRN, 8.44%, 11/01/11		2,383
		500	Dobson Communications Corp.
			FRN, 8.10%, 10/15/12 (e)		493
		750	Horizon PCS, Inc.
			11.38%, 07/15/12		863
			Nextel Communications, Inc.
		3,000	Series D, 7.38%, 08/01/15 (m)		3,212
		1,000	Series E, 6.88%, 10/31/13 (m)		1,061
		3,500	Series F, 5.95%, 03/15/14 (m)		3,583

	Principal Amount		Security Description	Value
			Rogers Wireless, Inc. (Canada)
		5,200	6.38%, 03/01/14 (m)		5,226
		500	9.63%, 05/01/11		578
			Rural Cellular Corp.
		750	8.25%, 03/15/12		788
		4,000	9.88%, 02/01/10		4,200
		1,000	FRN, 8.37%, 03/15/10		1,030
		2,252	SBA Telecommunications, Inc.
			SUB, 0.00%, 12/15/11		2,044
		1,650	UbiquiTel Operating Co.
			9.88%, 03/01/11		1,831
		800	U.S. Unwired, Inc.
			Series B, FRN, 8.12%, 06/15/10		827
					38,287
Telecommunications — Wireline — 5.3%
		3,213	Alaska Communications Systems Holdings, Inc.
			9.88%, 08/15/11		3,510
		3,148	AT&T Corp.
			9.05%, 11/15/11 (m)		3,545
		2,750	Cincinnati Bell, Inc.
			7.00%, 02/15/15		2,654
			Citizens Communications Co.
		2,150	6.25%, 01/15/13		2,064
		4,800	9.25%, 05/15/11 (m)		5,268
		3,350	Convergent Communications, Inc.
			13.00%, 04/01/08 (d)		-h
			Hawaiian Telcom Communications, Inc.
		2,000	9.75%, 05/01/13 (e)		2,040
		4,000	FRN, 8.91%, 05/01/13 (e)		4,040
			MCI, Inc.
		2,588	6.91%, 05/01/07 (m)		2,608
		3,588	7.69%, 05/01/09 (m)		3,723
		2,218	8.73%, 05/01/14 (m)		2,474
		7,618	Qwest Communications International, Inc.
			FRN, 7.29%, 02/15/09 (m)		7,523
		7,000	Qwest Corp.
			7.88%, 09/01/11		7,297
			Qwest Services Corp.
		2,000	13.50%, 12/15/10		2,290
		1,000	14.00%, 12/15/14		1,213
			Time Warner Telecom Holdings, Inc.
		2,750	9.25%, 02/15/14		2,784
		5,000	FRN, 7.79%, 02/15/11		5,100
		1,825	Time Warner Telecom LLC
			9.75%, 07/15/08		1,848
					59,981
Textile — 1.2%
		2,000	Avondale Mills, Inc.
			10.25%, 07/01/13		1,680
		3,000	Broder Brothers Co.
			Series B, 11.25%, 10/15/10		2,970
			Levi Strauss & Co.

	Principal Amount		Security Description	Value
		5,000	12.25%, 12/15/12 (m)		5,525
		1,200	FRN, 8.25%, 04/01/12		1,197
		2,500	Rafaella Apparel Group, Inc.
			11.25%, 06/15/11 (e)		2,438
					13,810
Tobacco — 0.5%
		4,000	Alliance One International, Inc.
			11.00%, 05/15/12 (e)		3,790
		1,300	North Atlantic Trading Co.
			9.25%, 03/01/12		975
		1,275	RJ Reynolds Tobacco Holdings, Inc.
			6.50%, 07/15/10 (e)		1,272
					6,037
Transportation Services — 0.8%
		1,100	American Commercial Lines
			9.50%, 02/15/15		1,188
		3,250	CP Ships Ltd. (United Kingdom)
			10.38%, 07/15/12		3,689
		1,000	Horizon Lines LLC
			9.00%, 11/01/12		1,071
		2,000	OMI Group, Inc.
			7.63%, 12/01/13		2,070
		550	Stena AB (Sweden)
			7.50%, 11/01/13		535
		1,000	Ultrapetrol Bahamas Ltd. (Bahamas)
			9.00%, 11/24/14		921
					9,474
			Total Corporate Bonds
			(Cost $1,007,014)		1,008,222
Bank Loans — 4.9%
		499	CCM Merger, Inc., Term Loan B
			VAR, 5.96%, 07/21/12		503
			Celanese AG (Germany)
		1305	VAR, 6.31%, 04/30/11 (e)		1324
		6,509	Charter Communications, Tranche B, Loan
			VAR, 6.93%, 04/27/11		6,542
		2,500	Chiquita Brands International, Inc.
			VAR, 6.34%, 06/28/12 (e)		2,547
		379	Continental Airlines Loan
			VAR, 5.56%, 12/31/06		341
		5,000	Dresser Industries, Inc.
			VAR, 6.91%, 02/28/10		5,104
		1,485	Dynegy Holdings, Inc.
			VAR, 7.84%, 05/28/10		1,489
		1,000	Graham Packaging Co., Inc.
			VAR, 8.25%, 04/07/12		1,017
		1,000	Lionbridge Technologies, Inc.
			VAR, 7.37%, 09/01/11		1,009
		5,000	MetroPCS, Inc.
			VAR, 8.25%, 05/31/11		5,162

	Principal Amount		Security Description	Value
		3,000	Northwest Airlines
			Series B, 10.25%, 10/01/10		3,037
		4,000	Oglebay Norton Co. Term Loan B
			VAR, 10.86%, 01/31/10		4,100
		4,250	Penn National Term Loan
			VAR, 5.13%, 05/26/12		4,298
			Polymer Group, Inc.
		2,793	VAR, 7.25%, 04/29/10		2,835
		6,000	VAR, 10.25%, 04/29/11		6,120
		1,990	Primus Telecommunications Group
			VAR, 10.67%, 02/18/11		1,851
		615	Psychiatric Solutions, Inc.
			VAR, 5.73%, 07/01/12		622
		1,000	Spanish Broadcasting System, Second Lien
			VAR, 7.51%, 05/03/13		1,013
		2,384	SteriGenics International
			VAR, 6.87%, 06/14/11		2,417
		1,000	Tom’s Foods, Inc.
			VAR, 10.50%, 12/31/05 (i)		1,000
		3,061	Westpoint Stevens, Inc.
			0.00%, 12/31/04 (d)		2,296
			Total Loan Participations
			(Cost $54,679)		54,627
Convertible Bonds — 0.9%
Electric — 0.2%
		2,300	Mirant Corp.
			5.75%, 07/15/07 (d)		2,588
Packaging — 0.0% (g)
		291	Indesco International, Inc.
			10.00%, 03/15/08 (i)		232
Technology — 0.7%
		8,040	Nortel Networks Corp. (Canada)
			4.25%, 09/01/08 (m)		7,568
			Total Convertible Bonds
			(Cost $10,079)		10,388
	Shares
Common Stocks — 1.1%
Chemicals — 0.1%
		49	Polymer Group, Inc., Class A (a)		1,252
Construction Machinery — 0.1%
		112	NES Rentals Holdings, Inc. (a)		1,235
		4	Simonds Industries, Inc. (a) (i)		126
					1,361
Environmental — 0.1%
		30	Kaiser Group Holdings, Inc. (a)		1,162
Health Care — 0.0% (g)
		-h	Magellan Health Services, Inc. (a)		16
Media Cable — 0.4%
		170	Telewest Global, Inc. (a)		3,911

	Principal Amount		Security Description	Value
Media Non-Cable— 0.1%
		9	Cebridge Connections Holdings LLC, Series A (a) (i)		778
Metals — 0.1%
		270	ACP Holding Co.		532
		62	Oglebay Norton Co. (a)		775
					1,307
Packaging — 0.0% (g)
		9	ContinentalAFA Dispensing Co. (a) (i)		5
Retailers — 0.0% (g)
		19	Mattress Discounters Corp. (a)		20
Telecommunications — Wireless — 0.2%
		8	Convergent Communications, Inc. (a)		-h
		193	Dobson Communications Corp. (a)		1,483
		19	iPCS, Inc. (a)		789
		2	Viatel, Inc. (a)		1
					2,273
			Total Common Stocks
			(Cost $15,266)		12,085
Preferred Stocks — 0.7%
Automotive — 0.0% (g)
		-h	HLI Operating Co., Inc., 8.00%		7
Environmental — 0.0% (g)
		7	Kaiser Group Holdings, Inc., 7.00%		376
Media Non-Cable — 0.2%
		-h	Cebridge Connections Holdings LLC		653
		9	Spanish Broadcasting System, 10.75% (a)		962
					1,615
Metals — 0.5%
		380	Oglebay Norton Co., 14.80%		5,702
Telecommunications — Wireless — 0.0% (g)
		3	Dobson Communications Corp., 6.00% (e)		579
			Total Preferred Stocks
			(Cost $6,030)		8,279
	No. of Warrants
Warrants — 0.0% (g)
Media Non-Cable — 0.0% (g)
		-h	UIH Australia/Pacific, Inc.
			05/15/06 (a)		-h
Metals — 0.0% (g)
		243	ACP Holding Co.
			11/30/13 (a) (e)		480
Telecommunications — Wireline — 0.0% (g)
			AboveNet, Inc.
		1	09/08/08 (a) (i)		7
		2	09/08/10 (a) (i)		1
			Total Warrants		8
			(Cost $970)		488
			Total Long Term Investments
			(Cost $1,094,038)		1,094,089

	Principal Amount		Security Description	Value
	Shares
Short-Term Investment — 3.7%
Investment Company — 3.7%
		41,857	JPMorgan Liquid Assets Money Market Fund (b)		41,857
			(Cost $41,857)
	Principal Amount
Investments of Cash Collateral for Securities Loaned — 22.5%
Certificates of Deposit — 0.7%
	$	4,997	Bank of New York
			3.74%, 11/02/05		4,997
		2,500	Deutsche Bank N.Y.
			4.10%, 10/03/05		2,500
					7,497
Commercial Paper — 1.8%
		10,670	Corporate Receivables Corp.
			3.79%, 10/25/05		10,669
		9,905	PB Finance Delaware
			3.77%, 11/16/05		9,905
					20,574
Corporate Notes — 7.5%
		10,000	American Express Credit Corp.
			FRN, 3.85%, 10/26/05		10,000
		7,499	CC USA, Inc.
			FRN, 4.10%, 10/03/05		7,499
		13,000	Greenwich Capital Financial Products, Inc.
			FRN, 4.24%, 10/03/05		13,000
		1,250	K2 (USA) LLC
			FRN, 3.99%, 10/03/05		1,250
		10,000	Lehman Holdings
			FRN, 4.02%, 10/03/05		10,000
		10,000	Morgan Stanley
			FRN, 4.12%, 10/03/05		10,000
		15,000	Northern Rock plc
			FRN, 3.81%, 10/13/05		15,000
		10,000	Wachovia Bank N.A.
			FRN, 3.80%, 10/03/05		10,000
		10,000	World Savings Bank FSB
			FRN, 3.86%, 10/20/05		10,000
					86,749
Repurchase Agreements — 12.5%
		50,000	Bank of America Securities LLC, 3.95%, dated 09/30/05,
			due 10/03/05, repurchase price $50,016, collateralized by
			U.S. Government Agency Mortgages.		50,000
		5,000	Lehman Brothers, Inc., 3.88%, dated 09/30/05, due
			10/03/05, repurchase price $5,002, collateralized by U.S.
			Government Agency Securities.		5,000

	Principal Amount		Security Description	Value
		5,000	Merrill Lynch & Co., Inc., 3.88%, dated 09/30/05, due
			10/03/05, repurchase price $5,002, collateralized by
			U.S. Government Agency Securities.		5,000
		40,000	Merrill Lynch & Co., Inc., 4.02%, dated 09/30/05, due
			10/03/05, repurchase price $40,013, collateralized by
			Investment Grade Corporate Notes and Bonds.		40,000
		25,000	Morgan Stanley, 3.90%, dated 09/30/05, due 10/03/05,
			repurchase price $25,008, collateralized by U.S.
			Government Agency Mortgages.		25,000
		14,154	Morgan Stanley, 3.90%, dated 09/30/05, due 10/03/05,
			repurchase price $14,159, collateralized by U.S.
			Government Agency Mortgages.		14,154
		3,000	Morgan Stanley, 4.02%, dated 09/30/05, due 10/03/05,
			repurchase price $3,001, collateralized by Investment
			Grade Corporate Notes and Bonds.		3,000
					142,154
			Total Investments of Cash Collateral for Securities Loaned
			(Cost $256,974)		256,974
Total Investments — 122.2%
(Cost $1,392,869)				$	1,392,920
Liabilities in Excess of Other Assets — (22.2)%					(253,403	)
Net Assets — 100.0%				$	1,139,517

Percentages indicated are based on net assets.

Abbreviations:

(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 JPMorgan Investment Advisors Inc.
(d)	Defaulted Security.
(e)	All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees.
(g)	Amount rounds to less than 0.1%.
(h)	Amount rounds to less than one thousand.
(i)	Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
FRN	Floating Rate Note. The rate shown is the rate in effect as of September 30, 2005.
SUB	Step-Up Bond. The rate shown is the rate in effect as of September 30, 2005.
VAR	Variable. The interest rate shown is the rate in effect at September 30, 2005.

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	41,870
Aggregate gross unrealized depreciation		(41,828	)
Net unrealized appreciation/depreciation	$	42
Federal income tax cost of investments	$	1,392,869

JPMorgan Core Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Long-Term Investments — 91.2%
Asset Backed Securities — 4.5%
			American Express Credit Account Master Trust
	$	3,500	Series 2001-6, Class B, FRN, 4.12%, 12/15/08	$	3,503
		1,904	Series 2004-3, Class A, 4.35%, 12/15/11		1,889
			AmeriCredit Automobile Receivables Trust
		886	Series 2001-C, Class A4, 5.01%, 07/14/08		888
		1,921	Series 2001-D, Class A4, 4.41%, 11/12/08		1,922
		1,088	Series 2002-A, Class A4, 4.61%, 01/12/09		1,090
		1,056	Series 2002-D, Class A4, 3.40%, 04/13/09		1,048
		560	Series 2003-BX, Class A4A , 2.72%, 01/06/10		552
		630	Series 2003-CF, Class A3, 2.75%, 10/06/07		629
		1,985	Series 2003-CF, Class A4, 3.48%, 05/06/10		1,963
		2,389	Series 2003-DM, Class A3B, FRN, 3.90%, 12/06/07		2,389
		2,400	Series 2003-DM, Class A4, 2.84%, 08/06/10		2,357
		1,010	Series 2004-DF, Class A3, 2.98%, 07/06/09		991
		3,710	Capital Auto Receivables Asset Trust Series 2003-2, Class A4A , 1.96%, 01/15/09		3,635
			Capital One Auto Finance Trust
		1,340	Series 2003-B, Class A4, 3.18%, 09/15/10		1,316
		3,450	Series 2004-A, Class A4, FRN, 3.87%, 03/15/11		3,454
		1,344	Capital One Master Trust Series 2001-5, Class A, 5.30%, 06/15/09		1,353
		6,355	Capital One Multi-Asset Execution Trust Series 2003-A4, Class A4, 3.65%, 07/15/11		6,196
			Citibank Credit Card Issuance Trust
		11,250	Series 2000-A3, Class A3, 6.88%, 11/16/09		11,785
		4,892	Series 2002-C2, Class C2, 6.95%, 02/18/14		5,359
		3,300	Series 2005-B1, Class B1, 4.40%, 09/15/10		3,270
		2,236	Citigroup Mortgage Loan Trust, Inc. Series 2003-HE3, Class A, FRN, 4.21%, 12/25/33		2,241
		2,333	CNH Equipment Trust Series 2003-B, Class A4B, 3.38%, 02/15/11		2,287
		1,552	Conseco Finance Series 2001-B, Class 1M1, 7.27%, 04/15/09		1,575
			Countrywide Asset-Backed Certificates
		692	Series 2003-5, Class AF3, 3.61%, 04/25/30		690
		2,070	Series 2003-5, Class MF1, 5.41%, 01/25/34		2,068
		959	Series 2004-1, Class 3A, FRN, 4.11%, 04/25/34		960
		1,290	Series 2004-1, Class M1, 4.33%, 03/25/34		1,296
		1,060	Series 2004-1, Class M2, FRN, 4.38%, 03/25/34		1,063
		19,642	Series 2004-AB2, Class A2, FRN, 4.10%, 10/25/33		19,676
		1,205	Daimler Chrysler Auto Trust Series 2003-A, Class A4, 2.88%, 10/08/09		1,189
		773	Ford Credit Auto Owner Trust Series 2004-A, Class A3, 2.93%, 03/15/08		764
		1,457	GE Capital Mortgage Services, Inc. Series 1999-HE, Class M, 6.71%, 04/25/29		1,468
		632	Green Tree Financial Corp. Series 1995-4, Class A6, 7.30%, 06/15/25		646
		7,165	Honda Auto Receivables Owner Trust Series 2003-1 A4, 2.48%, 07/18/08		7,086
			Household Automotive Trust
		1,291	Series 2001-3, Class A4, 4.37%, 12/17/08		1,290

See Notes to Financial Statements. Page 1

Principal Amount		Security Description
	910	Series 2005-1, Class A4, 4.35%, 06/18/12	900
		Long Beach Mortgage Loan Trust
	1,218	Series 2003-3, Class A, FRN, 4.15%, 07/25/33	1,219
	2,249	Series 2004-1, Class A3, FRN, 4.13%, 02/25/34	2,251
	1,235	Series 2004-3, Class A3, FRN, 4.09%, 07/25/34	1,235
	1,500	Series 2004-3, Class M1, FRN, 4.40%, 07/25/34	1,513
	1,655	M&I Auto Loan Trust Series 2003-1, Class A4, 2.97%, 04/20/09	1,618
		MBNA Credit Card Master Note Trust
	9,980	Series 2001-A1, Class A1 , 5.75%, 10/15/08	10,064
	3,000	Series 2001-C2, Class C2, FRN, 4.92%, 12/15/13 (e)	3,068
	3,083	Series 2002-C1, Class C1, 6.80%, 07/15/14	3,359
	3,000	Series 2003-A1, Class A1, 3.30%, 07/15/10	2,919
	1,288	Series 2003-C1, Class C1, FRN, 5.47%, 06/15/12	1,362
		MBNA Master Credit Card Trust USA
	2,240	Series 1999-J, Class C, 7.85%, 02/15/12 (e)	2,485
	1,960	Series 2000-D, Class C, 8.40%, 09/15/09 (e)	2,066
	2,775	Morgan Stanley Auto Loan Trust Series 2003-HB1, Class A2, 2.17%, 04/15/11	2,716
		Onyx Acceptance Grantor Trust
	985	Series 2002-C, Class A4, 4.07%, 04/15/09	984
	749	Series 2002-D, Class A4, 3.10%, 07/15/09	746
	2,670	Series 2003-C, Class A4, 2.66%, 05/17/10	2,613
	495	Series 2004-B, Class A3, 3.09%, 09/15/08	492
	785	Option One Mortgage Loan Trust Series 2003-1, Class A2, FRN, 4.25%, 02/25/33	788
	698	Residential Asset Mortgage Products, Inc. Series 2001-RS3, Class AI4, SUB, 6.29%, 10/25/31	697
		Residential Asset Securities Corp.
	588	Series 2002-KS4, Class A2B, FRN, 4.08%, 07/25/32	589
	1,187	Series 2003-KS5, Class A2B, FRN, 4.12%, 07/25/33	1,189
	1,439	Series 2003-KS9, Class A2B, FRN, 4.15%, 11/25/33	1,442
	5,605	SLM Student Loan Trust Series 2003-11, Class A5, 2.99%, 12/15/22 (e)	5,498
	2,575	Textron Financial Corp. Receivables Trust Series 2000-C, Class A3, 6.61%, 02/15/15 (e)	2,595
	2,215	Triad Auto Receivables Owner Trust Series 2003-B, Class A4, 3.20%, 12/13/10	2,171
		Volkswagen Auto Loan Enhanced Trust
	1,927	Series 2003-1, Class A3, 1.49%, 05/21/07	1,913
	2,615	Series 2003-2, Class A4, 2.94%, 03/22/10	2,555
		Wachovia Asset Securitization, Inc.
	1,690	Series 2002-HE2, Class A, FRN, 4.26%, 12/25/32	1,698
	4,054	Series 2003-HE3, Class A, FRN, 4.08%, 11/25/33	4,056
		WFS Financial Owner Trust
	1,264	Series 2002-1, Class A4A, 4.87%, 09/20/09	1,266
	1,895	Series 2002-2, Class A4, SUB, 4.50%, 02/20/10	1,897
	1,430	Series 2002-3, Class A4, 3.50%, 02/20/10	1,421
	1,820	Series 2002-4, Class A4A, 3.11%, 08/20/10	1,797
	56	Series 2003-1, Class A3, 2.03%, 08/20/07	56
	1,232	Series 2003-2, Class A4, 2.41%, 12/20/10	1,211
	3,759	Series 2003-4, Class A4, 3.15%, 05/20/11	3,689
	767	Series 2004-1, Class A3, 2.19%, 06/20/08	761
	560	Series 2004-2, Class A3, 2.85%, 09/22/08	555
		Total Asset Backed Securities (Cost $178,799)	179,342

See Notes to Financial Statements. Page 2

	Principal Amount			Security Description
Total Asset Backed Securities (Cost $178,799) 179,342
Collateralized Mortgage Obligations — 41.5%
Agency CMO — 32.2%
		22,000		Federal Home Loan Bank System 4.72%, 09/20/12	21,821
				Federal Home Loan Mortgage Corp.
		2,000		4.50%, 12/15/15	1,969
		2,150		4.50%, 08/15/17	2,099
		238		Series 11, Class D, 9.50%, 07/15/19	238
		73		Series 22, Class C, 9.50%, 04/15/20	73
		107		Series 23, Class F, 9.60%, 04/15/20	107
		2		Series 41, Class I, HB, 84.00%, 05/15/20	2
		17		Series 47, Class F, 10.00%, 06/15/20	17
		40		Series 99, Class Z, 9.50%, 01/15/21	40
		2		Series 204, Class E, FRN, IO, HB, 1130.40%, 05/15/23	4
		—	(h)	Series 1045, Class G, IO, HB, 1065.60%, 02/15/21	—	(h)
		51		Series 1065, Class J, 9.00%, 04/15/21	51
		—	(h)	Series 1072, Class A, IO, HB, 1008.50%, 05/15/06	—	(h)
		17		Series 1079, Class S, IF, 21.04%, 05/15/21	17
		97		Series 1084, Class F, FRN, 4.76%, 05/15/21	98
		68		Series 1084, Class S, IF, HB, 28.07%, 05/15/21	70
		—	(h)	Series 1098, Class M, IF, HB, 1008.00%, 06/15/06	—	(h)
		85		Series 1116, Class I, 5.50%, 08/15/21	84
		64		Series 1144, Class KB, 8.50%, 09/15/21	64
		—	(h)	Series 1172, Class L, IO, HB, VAR, 1180.80%, 11/15/21	1
		3		Series 1196, Class B, HB, 727.20%, 01/15/22	6
		1,103		Series 1212, Class IZ, 8.00%, 02/15/22	1,104
		145		Series 1250, Class J, 7.00%, 05/15/22	144
		—	(h)	Series 1298, Class L, IO, HB, 981.87%, 06/15/07	—	(h)
		175		Series 1343, Class LA, 8.00%, 08/15/22	180
		221		Series 1343, Class LB, 7.50%, 08/15/22	225
		427		Series 1370, Class JA, FRN, 4.96%, 09/15/22	431
		378		Series 1455, Class WB, IF, 2.77%, 12/15/22	352
		57		Series 1465, Class SA, IF, IO, 5.19%, 02/15/08	2
		1,809		Series 1466, Class PZ, 7.50%, 02/15/23	1,878
		31		Series 1470, Class F, FRN, 3.76%, 02/15/23	31
		2,088		Series 1498, Class I, FRN, 4.96%, 04/15/23	2,116
		2,566		Series 1502, Class PX, 7.00%, 04/15/23	2,644
		340		Series 1505, Class Q, 7.00%, 05/15/23	351
		40		Series 1506, Class F, FRN, 4.41%, 05/15/08	40
		8		Series 1506, Class S, IF, 14.26%, 05/15/08	9
		135		Series 1506, Class SD, IO, FRN, 4.69%, 05/15/08	4
		2,799		Series 1512, Class J, 6.50%, 05/15/08	2,834
		535		Series 1513, Class N, 6.50%, 05/15/08	541
		834		Series 1518, Class G, IF, 5.39%, 05/15/23	826
		294		Series 1541, Class M, IF, 16.65%, 07/15/23	347
		800		Series 1541, Class O, FRN, 3.39%, 07/15/23	782
		194		Series 1544, Class J, IF, 8.96%, 07/15/08	199
		912		Series 1558, Class D, 6.50%, 07/15/23	928
		214		Series 1561, Class TA, PO, 08/15/08	206
		75		Series 1570, Class F, FRN, 4.26%, 08/15/23	75

See Notes to Financial Statements. Page 3

Principal Amount		Security Description
	2,640	Series 1573, Class PZ, 7.00%, 09/15/23	2,752
	156	Series 1575, Class FB, FRN, 5.31%, 08/15/08	158
	65	Series 1575, Class SB, IF, 8.06%, 08/15/08	67
	1,547	Series 1591, Class PV, 6.25%, 10/15/23	1,584
	249	Series 1595, Class D, 7.00%, 10/15/13	256
	731	Series 1596, Class D, 6.50%, 10/15/13	751
	39	Series 1602, Class SA, IF, 10.36%, 10/15/23	42
	265	Series 1604, Class SA, IF, 10.76%, 11/15/08	274
	435	Series 1606, Class SC, IF, 14.95%, 11/15/08	471
	98	Series 1607, Class SA, IF, 14.92%, 10/15/13	112
	4,200	Series 1608, Class L, 6.50%, 09/15/23	4,374
	1,866	Series 1609, Class L, IF, 9.07%, 11/15/23	2,005
	1,147	Series 1611, Class JA, FRN, 4.88%, 08/15/23	1,153
	1,092	Series 1611, Class JB, IF, 9.06%, 08/15/23	1,088
	472	Series 1612, Class SD, IF, 11.00%, 11/15/08	486
	241	Series 1625, Class SD, IF, 8.50%, 12/15/08	253
	2,800	Series 1642, Class PJ, 6.00%, 11/15/23	2,852
	146	Series 1659, Class SB, IF, 8.50%, 01/15/09	151
	30	Series 1671, Class QC, IF, 10.00%, 02/15/24	30
	128	Series 1685, Class Z, 6.00%, 11/15/23	130
	25	Series 1686, Class SH, FRN, 10.66%, 02/15/24	28
	261	Series 1689, Class SD, IF, 9.87%, 10/15/23	269
	560	Series 1695, Class EB, 7.00%, 03/15/24	589
	506	Series 1698, Class SC, IF, 10.65%, 03/15/09	540
	205	Series 1699, Class FC, FRN, 4.41%, 03/15/24	207
	970	Series 1700, Class GA, PO, 02/15/24	892
	1,401	Series 1706, Class K, 7.00%, 03/15/24	1,472
	100	Series 1709, Class FA, FRN, 3.39%, 03/15/24	99
	307	Series 1745, Class D, 7.50%, 08/15/24	310
	2,616	Series 1798, Class F, 5.00%, 05/15/23	2,600
	385	Series 1807, Class A, 6.00%, 11/15/08	390
	49	Series 1807, Class G, 9.00%, 10/15/20	52
	719	Series 1829, Class ZB, 6.50%, 03/15/26	740
	102	Series 1844, Class E, 6.50%, 10/15/13	103
	4,777	Series 1863, Class Z, 6.50%, 07/15/26	4,907
	82	Series 1865, Class D, PO, 02/15/24	65
	463	Series 1890, Class H, 7.50%, 09/15/26	489
	1,156	Series 1899, Class ZE, 8.00%, 09/15/26	1,195
	329	Series 1900, Class TA, PO, 08/15/08	318
	71	Series 1935, Class FL, FRN, 4.51%, 02/15/27	72
	1,067	Series 1963, Class Z, 7.50%, 01/15/27	1,100
	277	Series 1967, Class PC, PO, 10/15/08	266
	181	Series 1970, Class PG, 7.25%, 07/15/27	182
	1,494	Series 1981, Class Z, 6.00%, 05/15/27	1,520
	712	Series 1987, Class PE, 7.50%, 09/15/27	734
	121	Series 2017, Class SE, IF, 14.19%, 12/15/08	129
	1,462	Series 2019, Class Z, 6.50%, 12/15/27	1,506
	1,245	Series 2025, Class PE, 6.30%, 01/15/13	1,273
	538	Series 2033, Class SN, IF, IO, 19.05%, 03/15/24	139
	1,463	Series 2038, Class PN, IO, 7.00%, 03/15/28	248

See Notes to Financial Statements. Page 4

Principal Amount		Security Description
	1,540	Series 2040, Class PE, 7.50%, 03/15/28	1,619
	2,146	Series 2054, Class PV, 7.50%, 05/15/28	2,236
	1,676	Series 2055, Class OE, 6.50%, 05/15/13	1,725
	4,832	Series 2075, Class PH, 6.50%, 08/15/28	4,969
	2,660	Series 2075, Class PM, 6.25%, 08/15/28	2,744
	2,615	Series 2086, Class GB, 6.00%, 09/15/28	2,667
	1,804	Series 2089, Class PJ, IO, 7.00%, 10/15/28	316
	5,715	Series 2095, Class PE, 6.00%, 11/15/28	5,876
	995	Series 2097, Class PV, 6.00%, 09/15/09	1,011
	3,617	Series 2102, Class TC, 6.00%, 12/15/13	3,707
	2,325	Series 2102, Class TU, 6.00%, 12/15/13	2,382
	9,482	Series 2115, Class PE, 6.00%, 01/15/14	9,714
	2,491	Series 2125, Class JZ, 6.00%, 02/15/29	2,543
	955	Series 2130, Class QR, 6.00%, 02/15/28	960
	506	Series 2132, Class SB, IF, 14.55%, 03/15/29	568
	402	Series 2134, Class PI, IO, 6.50%, 03/15/19	67
	258	Series 2135, Class UK, IO, 6.50%, 03/15/14	36
	264	Series 2141, IO, 7.00%, 04/15/29	49
	577	Series 2143, Class CD, 6.00%, 02/15/28	583
	549	Series 2163, Class PC, IO, 7.50%, 06/15/29	105
	2,240	Series 2169, Class TB, 7.00%, 06/15/29	2,372
	1,400	Series 2172, Class QC, 7.00%, 07/15/29	1,482
	1,753	Series 2176, Class OJ, 7.00%, 08/15/29	1,833
	818	Series 2189, Class SA, IF, 10.25%, 02/15/28	872
	1,718	Series 2201, Class C, 8.00%, 11/15/29	1,801
	1,251	Series 2209, Class TC, 8.00%, 01/15/30	1,333
	1,737	Series 2210, Class Z, 8.00%, 01/15/30	1,838
	408	Series 2224, Class CB, 8.00%, 03/15/30	424
	1,450	Series 2230, Class Z, 8.00%, 04/15/30	1,505
	1,209	Series 2234, Class PZ, 7.50%, 05/15/30	1,236
	1,091	Series 2247, Class Z, 7.50%, 08/15/30	1,109
	1,476	Series 2256, Class MC, 7.25%, 09/15/30	1,518
	2,858	Series 2259, Class ZM, 7.00%, 10/15/30	2,971
	188	Series 2261, Class ZY, 7.50%, 10/15/30	193
	359	Series 2262, Class Z, 7.50%, 10/15/30	366
	2,803	Series 2271, Class PC, 7.25%, 12/15/30	2,903
	2,184	Series 2283, Class K, 6.50%, 12/15/23	2,310
	877	Series 2295, Class VB, 6.50%, 07/15/16	880
	1,846	Series 2296, Class PD, 7.00%, 03/15/31	1,920
	128	Series 2299, Class G, 7.00%, 05/15/14	128
	406	Series 2304, Class VB, 6.50%, 07/15/16	408
	473	Series 2306, Class K, PO, 05/15/24	414
	1,116	Series 2306, Class SE, IF, IO, 6.36%, 05/15/24	167
	1,680	Series 2313, Class LA, 6.50%, 05/15/31	1,733
	684	Series 2317, Class VG, 6.50%, 04/15/31	687
	1,304	Series 2323, Class VO, 6.00%, 10/15/22	1,324
	2,968	Series 2325, Class PM, 7.00%, 06/15/31	3,153
	1,680	Series 2335, Class VH, 7.00%, 05/15/14	1,716
	119	Series 2342, Class PW, 6.50%, 08/15/17	119
	9,416	Series 2344, Class QG, 6.00%, 08/15/16	9,657

See Notes to Financial Statements. Page 5

Principal Amount		Security Description
	15,325	Series 2344, Class ZD, 6.50%, 08/15/31	15,992
	1,688	Series 2344, Class ZJ, 6.50%, 08/15/31	1,740
	1,914	Series 2345, Class NE, 6.50%, 08/15/31	1,968
	2,950	Series 2345, Class PQ, 6.50%, 08/15/16	3,051
	801	Series 2345, Class PV, 6.50%, 01/15/24	807
	1,376	Series 2349, Class NW, 6.50%, 10/15/16	1,386
	1,022	Series 2351, Class PZ, 6.50%, 08/15/31	1,076
	976	Series 2353, Class PC, 6.50%, 09/15/15	977
	3,353	Series 2353, Class TD, 6.00%, 09/15/16	3,453
	2,982	Series 2355, Class BP, 6.00%, 09/15/16	3,059
	363	Series 2357, Class VX, 6.50%, 12/15/17	364
	1,120	Series 2359, Class PM, 6.00%, 09/15/16	1,151
	1,644	Series 2359, Class ZB, 8.50%, 06/15/31	1,868
	5,673	Series 2360, Class PG, 6.00%, 09/15/16	5,808
	4,226	Series 2362, Class PD, 6.50%, 06/15/20	4,303
	1,241	Series 2362, Class PJ, 6.50%, 10/15/28	1,256
	1,279	Series 2363, Class PF, 6.00%, 09/15/16	1,310
	2,332	Series 2366, Class MD, 6.00%, 10/15/16	2,392
	2,352	Series 2367, Class ME, 6.50%, 10/15/31	2,461
	443	Series 2367, Class VD, 6.00%, 01/15/19	443
	2,130	Series 2371, Class VB, 6.00%, 08/15/15	2,158
	1,281	Series 2374, Class PV, 5.50%, 12/15/14	1,289
	253	Series 2382, Class TL, IO, 6.50%, 02/15/31	11
	1,232	Series 2391, Class QE, 5.50%, 05/15/15	1,239
	7,561	Series 2391, Class QR, 5.50%, 12/15/16	7,704
	1,317	Series 2391, Class VQ, 6.00%, 10/15/12	1,350
	2,800	Series 2392, Class PV, 6.00%, 12/15/20	2,850
	2,906	Series 2394, Class MC, 6.00%, 12/15/16	2,982
	2,800	Series 2399, Class OH, 6.50%, 01/15/32	2,913
	4,480	Series 2399, Class TH, 6.50%, 01/15/32	4,654
	5,601	Series 2410, Class NG, 6.50%, 02/15/32	5,817
	1,999	Series 2410, Class OE, 6.38%, 02/15/32	2,050
	4,060	Series 2410, Class QS, IF, 9.70%, 02/15/32	3,973
	1,666	Series 2410, Class QX, IF, IO, 4.88%, 02/15/32	128
	798	Series 2412, Class SE, IF, 8.43%, 02/15/09	811
	2,030	Series 2412, Class SP, IF, 8.56%, 02/15/32	1,856
	760	Series 2419, Class V, 6.50%, 12/15/12	763
	5,270	Series 2420, Class XK, 6.50%, 02/15/32	5,491
	3,581	Series 2423, Class MC, 7.00%, 03/15/32	3,714
	3,722	Series 2423, Class MT, 7.00%, 03/15/32	3,860
	2,661	Series 2425, Class OB, 6.00%, 03/15/17	2,732
	3,360	Series 2430, Class WF, 6.50%, 03/15/32	3,521
	3,920	Series 2434, Class TC, 7.00%, 04/15/32	4,100
	840	Series 2435, Class CJ, 6.50%, 04/15/32	887
	2,800	Series 2435, Class VH, 6.00%, 07/15/19	2,894
	4,569	Series 2436, Class MC, 7.00%, 04/15/32	4,760
	3,338	Series 2444, Class ES, IF, IO, 4.18%, 03/15/32	289
	1,787	Series 2450, Class GZ, 7.00%, 05/15/32	1,875
	2,671	Series 2450, Class SW, IF, IO, 4.23%, 03/15/32	251
	1,680	Series 2454, Class BG, 6.50%, 08/15/31	1,710

See Notes to Financial Statements. Page 6

Principal Amount		Security Description
	5,636	Series 2455, Class GK, 6.50%, 05/15/32	5,890
	1,400	Series 2458, Class QE, 5.50%, 06/15/17	1,430
	3,401	Series 2460, Class VZ, 6.00%, 11/15/29	3,476
	2,686	Series 2461, Class VB, 6.50%, 04/15/18	2,730
	3,920	Series 2462, Class JG, 6.50%, 06/15/32	4,083
	2,856	Series 2466, Class PG, 6.50%, 04/15/32	2,980
	1,400	Series 2466, Class PH, 6.50%, 06/15/32	1,480
	2,800	Series 2474, Class NR, 6.50%, 07/15/32	2,929
	1,194	Series 2480, Class PV, 6.00%, 07/15/11	1,227
	2,475	Series 2484, Class LZ, 6.50%, 07/15/32	2,608
	1,598	Series 2488, Class WS, IF, 8.43%, 08/15/17	1,605
	97	Series 2496, Class LD, 8.50%, 11/15/15	98
	3,060	Series 2498, Class UD, 5.50%, 06/15/16	3,095
	3,080	Series 2500, Class GD, 5.50%, 12/15/15	3,103
	3,360	Series 2500, Class MC, 6.00%, 09/15/32	3,457
	2,800	Series 2500, Class TD, 5.50%, 02/15/16	2,826
	1,680	Series 2512, Class PG, 5.50%, 10/15/22	1,729
	1,196	Series 2513, Class VA, 6.00%, 08/15/13	1,200
	4,785	Series 2513, Class YO, PO, 02/15/32	4,215
	5,601	Series 2515, Class DE, 4.00%, 03/15/32	5,237
	2,646	Series 2518, Class PX, 5.50%, 09/15/13	2,695
	887	Series 2519, Class BT, 8.50%, 09/15/31	945
	1,122	Series 2521, Class PU, 5.50%, 05/15/10	1,139
	3,559	Series 2527, Class VU, 5.50%, 10/15/13	3,611
	2,520	Series 2535, Class BK, 5.50%, 12/15/22	2,574
	3,360	Series 2537, Class TE, 5.50%, 12/15/17	3,444
	1,680	Series 2541, Class GX, 5.50%, 02/15/17	1,704
	2,800	Series 2543, Class YX, 6.00%, 12/15/32	2,885
	3,640	Series 2544, Class HC, 6.00%, 12/15/32	3,646
	3,763	Series 2552, Class ME, 6.00%, 01/15/33	3,622
	3,360	Series 2565, Class MB, 6.00%, 05/15/30	3,447
	1,904	Series 2567, Class QD, 6.00%, 02/15/33	1,956
	1,124	Series 2571, Class SK, IF, 18.25%, 09/15/23	1,382
	5,601	Series 2575, Class ME, 6.00%, 02/15/33	5,766
	1,416	Series 2586, Class HD, 5.50%, 03/15/23	1,461
	4,425	Series 2586, Class WI, IO, 6.50%, 03/15/33	947
	2,787	Series 2594, Class VA, 6.00%, 03/15/14	2,852
	6,033	Series 2594, Class VP, 6.00%, 02/15/14	6,164
	5,265	Series 2594, Class VQ, 6.00%, 08/15/20	5,408
	1,420	Series 2595, Class HC, 5.50%, 04/15/23	1,446
	2,051	Series 2596, Class QG, 6.00%, 03/15/33	2,054
	11,876	Series 2597, Class DS, IF, IO, 3.78%, 02/15/33	790
	16,286	Series 2599, Class DS, IF, IO, 3.23%, 02/15/33	954
	19,013	Series 2610, Class DS, IF, IO, 3.33%, 03/15/33	1,176
	19,084	Series 2611, Class SH, IF, IO, 3.88%, 10/15/21	1,563
	1,680	Series 2611, Class UH, 4.50%, 05/15/18	1,618
	2,240	Series 2617, Class GR, 4.50%, 05/15/18	2,163
	688	Series 2619, Class HR, 3.50%, 11/15/31	655
	2,906	Series 2619, Class IM, IO, 5.00%, 10/15/21	435
	1,049	Series 2624, Class IU, IO, 5.00%, 06/15/33	253

See Notes to Financial Statements. Page 7

Principal Amount		Security Description
	17,788	Series 2626, Class NS, IF, IO, 2.78%, 06/15/23	1,145
	4,000	Series 2630, Class KN, 2.50%, 04/15/13	3,864
	3,360	Series 2631, Class LC, 4.50%, 06/15/18	3,247
	1,021	Series 2633, Class EO, PO, 08/15/33	690
	18,330	Series 2636, Class Z, 4.50%, 06/15/18	17,474
	5,454	Series 2637, Class SA, IF, IO, 2.33%, 06/15/18	239
	920	Series 2638, Class DS, IF, 4.83%, 07/15/23	803
	867	Series 2638, Class IA, IO, 5.00%, 02/15/15	14
	7,396	Series 2638, Class SA, IF, IO, 3.33%, 11/15/16	488
	1,232	Series 2640, Class UG, IO, 5.00%, 01/15/32	354
	2,022	Series 2640, Class UR, IO, 4.50%, 08/15/17	246
	1,728	Series 2643, Class HI, IO, 4.50%, 12/15/16	205
	5,817	Series 2643, Class KG, 4.00%, 05/15/18	5,795
	16,864	Series 2651, Class VZ, 4.50%, 07/15/18	16,063
	3,211	Series 2656, Class SH, IF, 10.30%, 02/15/25	3,451
	4,292	Series 2668, Class SB, IF, 3.85%, 10/15/15	4,159
	2,800	Series 2672, Class ME, 5.00%, 11/15/22	2,790
	966	Series 2672, Class SJ, IF, 3.81%, 09/15/16	886
	8,401	Series 2675, Class CK, 4.00%, 09/15/18	7,836
	3,915	Series 2682, Class YS, IF, 3.46%, 10/15/33	2,824
	707	Series 2683, Class VA, 5.50%, 02/15/21	719
	4,480	Series 2684, Class TO, PO, 10/15/33	2,599
	2,240	Series 2686, Class GB, 5.00%, 05/15/20	2,243
	7,435	Series 2686, Class NS, IF, IO, 3.83%, 10/15/21	594
	2,908	Series 2691, Class WS, IF, 3.35%, 10/15/33	2,040
	1,000	Series 2695, Class DE, 4.00%, 01/15/17	956
	953	Series 2696, Class CO, PO, 10/15/18	628
	1,791	Series 2702, Class PC, 5.00%, 01/15/23	1,783
	1,941	Series 2705, Class SC, IF, 3.35%, 11/15/33	1,385
	3,668	Series 2705, Class SD, IF, 6.11%, 11/15/33	3,018
	2,240	Series 2715, Class OG, 5.00%, 01/15/23	2,223
	4,480	Series 2716, Class UN, 4.50%, 12/15/23	4,234
	2,240	Series 2720, Class PC, 5.00%, 12/15/23	2,226
	7,494	Series 2721, Class PI, IO, 5.00%, 05/15/16	605
	11,481	Series 2727, Class BS, IF, 3.42%, 01/15/34	7,593
	523	Series 2727, PO, 01/15/34	340
	676	Series 2733, Class GF, FRN, 0.00%, 09/15/33	667
	1,735	Series 2739, Class S, IF, 4.46%, 01/15/34	1,487
	2,114	Series 2744, Class FE, FRN, 0.00%, 02/15/34	1,644
	1,120	Series 2744, Class PC, 5.50%, 01/15/31	1,141
	2,535	Series 2744, Class PE, 5.50%, 02/15/34	2,601
	4,827	Series 2744, Class TU, 5.50%, 05/15/32	4,858
	5,631	Series 2749, Class PK, IO, 5.00%, 09/15/22	409
	1,328	Series 2753, Class S, IF, 4.46%, 02/15/34	1,004
	5,830	Series 2755, Class SA, IF, 6.66%, 05/15/30	5,771
	2,000	Series 2764, Class UC, 5.00%, 05/15/27	2,004
	2,013	Series 2766, Class SX, IF, 5.42%, 03/15/34	1,659
	1,298	Series 2769, PO, 03/15/34	785
	728	Series 2771, Class FG, FRN, 0.00%, 03/15/34	551
	5,915	Series 2776, Class SK, IF, 3.42%, 04/15/34	4,423

See Notes to Financial Statements. Page 8

Principal Amount			Security Description
	1,491		Series 2778, Class BS, IF, 6.33%, 04/15/34	1,314
	1,408		Series 2780, Class JG, 4.50%, 04/15/19	1,363
	467		Series 2827, Class SQ, IF, 7.50%, 01/15/19	481
	616		Series 2841, Class GO, PO, 08/15/34	467
	3,360		Series 2846, PO, 08/15/34	2,623
	993		Series 2849, PO, 08/15/34	759
	6,500		Series 2872, Class JD, 4.50%, 01/15/16	6,415
	1,062		Series 2888, Class SL, IF, 4.86%, 11/15/34	1,010
	1,393		Series 2925, Class ZM, 5.00%, 01/15/35	1,380
	126		Series 2929, Class ZM, 5.00%, 06/15/33	126
	23		Federal Home Loan Mortgage Corp. STRIPS Series 134, Class B, IO, 9.00%, 04/01/22	5
			Federal Home Loan Mortgage Corp. Structured Pass Through Securities
	2,930		Series T-41, Class 3A, 7.50%, 07/25/32	3,080
	1,877		Series T-51, Class 2A, VAR, 7.50%, 08/25/42	1,954
	8,878		Series T-54, Class 2A, 6.50%, 02/25/43	9,120
	3,102		Series T-54, Class 3A, 7.00%, 02/25/43	3,252
	1,222		Series T-58, Class A, PO, 09/25/43	1,048
			Federal Home Loan Mortgage Corp.- Government National Mortgage Association
	675		Series 29, Class J, 7.00%, 09/25/23	680
	3,975		Series 55, Class GL, IF, IO, 0.60%, 04/25/24	25
	1,762		Series 8, Class ZA, 7.00%, 03/25/23	1,821
			Federal National Mortgage Association
	27		Series 1988-7, Class Z, 9.25%, 04/25/18	28
	117		Series 1989-70, Class G, 8.00%, 10/25/19	123
	42		Series 1989-78, Class H, 9.40%, 11/25/19	46
	84		Series 1989-83, Class H, 8.50%, 11/25/19	89
	82		Series 1989-89, Class H, 9.00%, 11/25/19	88
	58		Series 1990-1, Class D, 8.80%, 01/25/20	63
	101		Series 1990-102, Class J, 6.50%, 08/25/20	104
	191		Series 1990-120, Class H, 9.00%, 10/25/20	201
	18		Series 1990-134, Class SC, IF, 15.83%, 11/25/20	23
	1		Series 1990-140, Class K, IO, HB, 652.15%, 12/25/20	12
	16		Series 1990-60, Class K, 5.50%, 06/25/20	16
	25		Series 1990-63, Class H, 9.50%, 06/25/20	26
	31		Series 1990-93, Class G, 5.50%, 08/25/20	31
	1		Series 1990-94, Class H, HB, 504.00%, 08/25/20	8
	—	(h)	Series 1990-95, Class J, IO, HB, 1118.04%, 08/25/20	11
	—	(h)	Series 1991-4, Class N, IO, HB, 758.75%, 01/25/06	—	(h)
	—	(h)	Series 1991-7, Class K, IO, HB, 910.80%, 02/25/21	3
	93		Series 1991-24, Class Z, 5.00%, 03/25/21	92
	—	(h)	Series 1991-33, Class J, IO, HB, 1008.00%, 04/25/06	—	(h)
	104		Series 1992-38, Class Z, 7.50%, 02/25/22	106
	17		Series 1992-101, Class J, 7.50%, 06/25/22	17
	450		Series 1992-136, Class PK, 6.00%, 08/25/22	459
	346		Series 1992-143, Class MA, 5.50%, 09/25/22	350
	115		Series 1992-152, Class N, IO, 8.00%, 08/25/07	6
	928		Series 1992-156, Class K, 7.50%, 09/25/07	946
	781		Series 1992-163, Class M, 7.75%, 09/25/22	822
	1,361		Series 1992-188, Class PZ, 7.50%, 10/25/22	1,428

See Notes to Financial Statements. Page 9

Principal Amount		Security Description
	12	Series 1992-201, Class SB, IF, 14.57%, 10/25/22	12
	216	Series 1993-8, Class H, 7.00%, 01/25/08	220
	594	Series 1993-21, Class KA, 7.70%, 03/25/23	625
	828	Series 1993-25, Class J, 7.50%, 03/25/23	867
	234	Series 1993-27, Class SA, IF,15.50%, 02/25/23	300
	632	Series 1993-55, Class K, 6.50%, 05/25/08	643
	273	Series 1993-59, Class FA, FRN, 4.59%, 05/25/08	274
	372	Series 1993-62, Class SA, IF, 14.10%, 04/25/23	437
	77	Series 1993-72, Class F, FRN, 3.66%, 05/25/08	76
	41	Series 1993-107, Class F, FRN, 3.61%, 06/25/08	41
	556	Series 1993-164, Class SC, IF, 12.55%, 09/25/08	584
	172	Series 1993-165, Class SD, IF, 9.00%, 09/25/23	178
	374	Series 1993-165, Class SK, IF, 12.50%, 09/25/23	459
	1,005	Series 1993-167, Class GA, 7.00%, 09/25/23	1,031
	156	Series 1993-175, Class SA, IF, 13.00%, 09/25/08	167
	266	Series 1993-179, Class SB, IF, 17.69%, 10/25/23	330
	177	Series 1993-179, Class SC, IF, 10.50%, 10/25/23	204
	160	Series 1993-186, Class SA, IF, 9.25%, 09/25/08	166
	469	Series 1993-190, Class S, IF, 10.76%, 10/25/08	483
	156	Series 1993-196, Class FA, FRN, 3.66%, 10/25/08	154
	87	Series 1993-196, Class SB, IF, 9.25%, 10/25/08	91
	196	Series 1993-197, Class SB, IF, 10.58%, 10/25/08	200
	976	Series 1993-199, Class FA, FRN, 4.39%, 10/25/23	985
	486	Series 1993-205, Class H, PO, 09/25/23	420
	895	Series 1993-220, Class SG, IF, 8.31%, 11/25/13	911
	599	Series 1993-221, Class FH, FRN, 4.94%, 12/25/08	605
	292	Series 1993-221, Class SE, IF, 9.50%, 12/25/08	307
	399	Series 1993-225, Class UB, 6.50%, 12/25/23	410
	67	Series 1993-225, Class VO, IF, 9.54%, 12/25/22	69
	136	Series 1993-230, Class FA, FRN, 4.44%, 12/25/23	138
	590	Series 1993-233, Class SB, IF, 12.58%, 12/25/08	627
	777	Series 1993-247, Class FE, FRN, 4.84%, 12/25/23	793
	360	Series 1993-247, Class SU, IF, 10.19%, 12/25/23	393
	1,603	Series 1993-250, Class Z, 7.00%, 12/25/23	1,654
	5,635	Series 1993-257, Class C, PO, 06/25/23	5,099
	78	Series 1994-12, Class FC, FRN, 3.81%, 01/25/09	77
	72	Series 1994-13, Class SK, IF, 14.34%, 02/25/09	78
	15	Series 1994-33, Class F, FRN, 4.24%, 03/25/09	15
	293	Series 1994-33, Class FA, FRN, 3.76%, 03/25/09	289
	1,749	Series 1994-34, Class DZ, 6.00%, 03/25/09	1,776
	2,800	Series 1994-37, Class L, 6.50%, 03/25/24	2,894
	8,261	Series 1994-40, Class Z, 6.50%, 03/25/24	8,622
	426	Series 1994-55, Class G, 6.75%, 12/25/23	429
	375	Series 1995-2, Class Z, 8.50%, 03/25/25	399
	373	Series 1995-19, Class Z, 6.50%, 11/25/23	400
	3,126	Series 1996-14, Class SE, IF, IO, 6.55%, 08/25/23	530
	210	Series 1996-20, Class L, PO, 09/25/08	201
	719	Series 1996-24, Class B, PO, 10/25/08	694
	342	Series 1996-24, Class E, PO, 03/25/09	324
	112	Series 1996-27, Class FC, FRN, 4.34%, 03/25/17	112

See Notes to Financial Statements. Page 10

Principal Amount		Security Description
	850	Series 1996-32, Class PH, 7.00%, 01/25/26	868
	909	Series 1996-39, Class J, PO, 09/25/08	870
	26	Series 1996-46, Class PE, PO, 09/25/06	25
	274	Series 1996-59, Class J, 6.50%, 08/25/22	281
	3,822	Series 1997-20, IO, FRN, 1.84%, 03/25/27	212
	208	Series 1997-27, Class J, 7.50%, 04/18/27	218
	338	Series 1997-29, Class J, 7.50%, 04/20/27	352
	2,106	Series 1997-39, Class PD, 7.50%, 05/20/27	2,190
	1,594	Series 1997-42, Class EN, 7.25%, 07/18/27	1,640
	319	Series 1997-42, Class ZC, 6.50%, 07/18/27	327
	321	Series 1997-51, Class PM, IO, 7.00%, 05/18/12	25
	4,737	Series 1997-61, Class ZC, 7.00%, 02/25/23	4,934
	873	Series 1997-81, Class PI, IO, 7.00%, 12/18/27	164
	143	Series 1998-4, Class C, PO, 04/25/23	124
	515	Series 1998-27, Class B, PO, 12/25/08	491
	3,322	Series 1998-36, Class ZB, 6.00%, 07/18/28	3,382
	1,155	Series 1998-43, Class SA, IO, FRN,12.69%, 04/25/23	356
	1,466	Series 1998-66, Class SB, IO, FRN, 4.32%, 12/25/28	139
	784	Series 1999-17, Class C, 6.35%, 04/25/29	807
	1,776	Series 1999-18, Class Z, 5.50%, 04/18/29	1,727
	2,188	Series 1999-38, Class SK, IF, IO, 4.22%, 08/25/23	146
	495	Series 1999-52, Class NS, IF, 12.66%, 10/25/23	586
	1,241	Series 1999-62, Class PB, 7.50%, 12/18/29	1,313
	4,184	Series 2000-2, Class ZE, 7.50%, 02/25/30	4,411
	1,624	Series 2000-20, Class SA, IF, IO, 5.27%, 07/25/30	145
	334	Series 2000-52, IO, 8.50%, 01/25/31	75
	2,000	Series 2001-4, Class PC, 7.00%, 03/25/21	2,090
	2,018	Series 2001-5, Class OW, 6.00%, 03/25/16	2,064
	1,759	Series 2001-7, Class PF, 7.00%, 03/25/31	1,828
	2,816	Series 2001-7, Class PR, 6.00%, 03/25/16	2,964
	3,303	Series 2001-10, Class PR, 6.00%, 04/25/16	3,464
	841	Series 2001-28, Class VB, 6.00%, 02/25/20	846
	2,296	Series 2001-30, Class PM, 7.00%, 07/25/31	2,381
	1,418	Series 2001-31, Class VD, 6.00%, 05/25/31	1,456
	5,385	Series 2001-33, Class ID, IO, 6.00%, 07/25/31	1,036
	3,640	Series 2001-36, Class DE, 7.00%, 08/25/31	3,792
	5,743	Series 2001-44, Class MY, 7.00%, 09/25/31	6,114
	1,346	Series 2001-44, Class PD, 7.00%, 09/25/31	1,396
	1,747	Series 2001-44, Class PU, 7.00%, 09/25/31	1,813
	4,415	Series 2001-48, Class Z, 6.50%, 09/25/21	4,693
	1,821	Series 2001-49, Class DQ, 6.00%, 11/25/15	1,846
	1,402	Series 2001-49, Class Z, 6.50%, 09/25/31	1,446
	1,120	Series 2001-50, Class VB, 6.50%, 12/25/16	1,140
	951	Series 2001-52, Class KB, 6.50%, 10/25/31	981
	1,224	Series 2001-52, Class XM, 6.50%, 11/25/10	1,251
	3,885	Series 2001-52, Class XN, 6.50%, 11/25/15	4,010
	2,800	Series 2001-61, Class VB, 7.00%, 12/25/16	2,909
	1,120	Series 2001-61, Class VQ, 6.50%, 08/25/15	1,144
	4,122	Series 2001-61, Class Z, 7.00%, 11/25/31	4,342
	1,312	Series 2001-71, Class JW, 6.00%, 08/25/21	1,324

See Notes to Financial Statements. Page 11

Principal Amount		Security Description
	1,680	Series 2001-71, Class MB, 6.00%, 12/25/16	1,728
	4,595	Series 2001-71, Class QE, 6.00%, 12/25/16	4,712
	922	Series 2001-72, Class SX, IF, 8.55%, 12/25/31	878
	3,360	Series 2001-74, Class MB, 6.00%, 12/25/16	3,514
	2,240	Series 2001-78, Class VB, 6.00%, 12/25/15	2,250
	3,220	Series 2001-80, Class PE, 6.00%, 07/25/29	3,291
	1,265	Series 2002-1, Class HC, 6.50%, 02/25/22	1,310
	1,200	Series 2002-1, Class SA, IF, 12.74%, 02/25/32	1,291
	777	Series 2002-1, Class UD, IF, 11.05%, 12/25/23	824
	5,052	Series 2002-2, Class UC, 6.00%, 02/25/17	5,146
	10,361	Series 2002-3, Class OG, 6.00%, 02/25/17	10,715
	5,041	Series 2002-4, Class VC, 6.50%, 03/25/24	5,176
	2,240	Series 2002-7, Class O, 6.00%, 03/25/17	2,316
	650	Series 2002-7, Class QM, 6.00%, 02/25/20	654
	5,811	Series 2002-7, Class TG, 6.00%, 03/25/17	6,032
	1,347	Series 2002-8, Class SR, IF, 8.29%, 03/25/09	1,371
	622	Series 2002-9, Class VE, 6.50%, 12/25/12	632
	1,288	Series 2002-11, Class QG, 5.50%, 03/25/17	1,319
	8,922	Series 2002-13, Class SJ, IF, IO, 1.60%, 03/25/32	405
	169	Series 2002-13, Class ST, IF, IO, 10.00%, 03/25/32	193
	9,941	Series 2002-18, Class PC, 5.50%, 04/25/17	10,167
	2,800	Series 2002-19, Class PE, 6.00%, 04/25/17	2,881
	471	Series 2002-21, Class LO, PO, 04/25/32	389
	3,920	Series 2002-21, Class PE, 6.50%, 04/25/32	4,053
	1,680	Series 2002-24, Class AJ, 6.00%, 04/25/17	1,725
	7,841	Series 2002-28, Class PK, 6.50%, 05/25/32	8,155
	480	Series 2002-36, Class HZ, 7.00%, 12/25/29	486
	3,014	Series 2002-37, Class Z, 6.50%, 06/25/32	3,117
	1,120	Series 2002-42, Class C, 6.00%, 07/25/17	1,177
	5,601	Series 2002-48, Class GH, 6.50%, 08/25/32	5,919
	1,008	Series 2002-55, Class QE, 5.50%, 09/25/17	1,025
	16,802	Series 2002-56, Class UC, 5.50%, 09/25/17	17,145
	243	Series 2002-59, Class VA, 6.50%, 04/25/32	242
	6,609	Series 2002-59, Class VB, 6.50%, 04/25/32	6,688
	3,192	Series 2002-61, Class PE, 5.50%, 05/25/16	3,225
	1,006	Series 2002-73, Class S, IF, 6.68%, 11/25/09	1,037
	4,480	Series 2002-74, Class LD, 5.00%, 01/25/16	4,480
	6,161	Series 2002-74, Class PD, 5.00%, 11/25/15	6,164
	5,083	Series 2002-74, Class VA, 6.00%, 11/25/31	5,134
	7,001	Series 2002-74, Class VB, 6.00%, 11/25/31	7,151
	3,465	Series 2002-77, Class S, IF, 7.46%, 12/25/32	3,177
	6,124	Series 2002-83, Class CS, 6.88%, 08/25/23	6,360
	932	Series 2002-91, Class UH, IO, 5.50%, 06/25/22	126
	1,120	Series 2002-93, Class PD, 3.50%, 02/25/29	1,091
	4,621	Series 2002-94, Class BK, 5.50%, 01/25/18	4,753
	3,368	Series 2003-8, Class SB, IF, IO, 3.82%, 03/25/16	214
	3,953	Series 2003-16, Class PI, IO, 5.00%, 11/25/12	172
	3,752	Series 2003-22, Class UD, 4.00%, 04/25/33	3,209

See Notes to Financial Statements. Page 12

Principal Amount		Security Description
	952	Series 2003-27, Class DW, 4.50%, 04/25/17	929
	1,400	Series 2003-32, Class KC, 5.00%, 05/25/18	1,403
	2,614	Series 2003-34, Class AX, 6.00%, 05/25/33	2,682
	2,256	Series 2003-34, Class ED, 6.00%, 05/25/33	2,324
	1,931	Series 2003-39, IO, VAR, 6.00%, 05/25/33	375
	1,960	Series 2003-39, Class LW, 5.50%, 05/25/23	2,015
	2,800	Series 2003-41, Class PE, 5.50%, 05/25/23	2,890
	1,092	Series 2003-42, Class GB, 4.00%, 05/25/33	943
	1,120	Series 2003-47, Class PE, 5.75%, 06/25/33	1,134
	1,443	Series 2003-52, Class PA, 6.50%, 06/25/35	1,514
	2,197	Series 2003-52, Class SX, IF, 11.46%, 10/25/31	2,276
	1,165	Series 2003-64, Class SX, IF, 4.52%, 07/25/33	820
	1,568	Series 2003-65, Class CI, IO, 4.50%, 03/25/15	238
	836	Series 2003-67, Class VQ, 7.00%, 01/25/19	894
	924	Series 2003-68, Class QP, 3.00%, 07/25/22	869
	2,860	Series 2003-71, Class DS, IF, 2.54%, 08/25/33	2,356
	819	Series 2003-74, Class SH, IF, 3.28%, 08/25/33	596
	22,508	Series 2003-80, Class SY, IF, IO, 3.82%, 06/25/23	1,951
	1,580	Series 2003-81, Class LC, 4.50%, 09/25/18	1,529
	7,281	Series 2003-83, Class PG, 5.00%, 06/25/23	7,233
	2,525	Series 2003-91, Class SD, IF, 6.12%, 09/25/33	2,395
	1,106	Series 2003-92, Class SH, IF, 4.59%, 09/25/18	1,042
	3,360	Series 2003-106, Class US, IF, 3.33%, 11/25/23	2,640
	590	Series 2003-106, Class WS, IF, 4.65%, 02/25/23	547
	1,000	Series 2003-113, Class PC, 4.00%, 03/25/15	975
	17,656	Series 2003-116, Class SB, IF, IO, 3.77%, 11/25/33	1,361
	2,240	Series 2003-122, Class TE, 5.00%, 12/25/22	2,224
	1,680	Series 2003-128, Class KE, 4.50%, 01/25/14	1,659
	1,000	Series 2003-128, Class NG, 4.00%, 01/25/19	938
	2,676	Series 2003-130, Class SX, IF, 5.78%, 01/25/34	2,435
	2,133	Series 2003-132, Class OA, PO, 08/25/33	1,690
	11,240	Series 2004-4, Class QI, IF, IO, 3.27%, 06/25/33	802
	8,360	Series 2004-4, Class QM, IF, 6.54%, 06/25/33	7,923
	6,206	Series 2004-10, Class SC, IF, 13.28%, 02/25/34	6,771
	3,136	Series 2004-14, Class SD, IF, 3.33%, 03/25/34	2,306
	2,596	Series 2004-21, Class CO, PO, 04/25/34	1,541
	1,107	Series 2004-22, Class A, 4.00%, 04/25/19	1,021
	1,680	Series 2004-25, Class PC, 5.50%, 01/25/34	1,681
	11,117	Series 2004-25, Class SA, IF, 8.99%, 04/25/34	11,395
	4,600	Series 2004-27, Class HB, 4.00%, 05/25/19	4,227
	1,120	Series 2004-36, Class PC, 5.50%, 02/25/34	1,128
	7,859	Series 2004-36, Class SA, IF, 8.99%, 05/25/34	8,112
	3,663	Series 2004-36, Class SN, IF, 6.54%, 07/25/33	3,577
	4,049	Series 2004-51, Class SY, IF, 6.58%, 07/25/34	3,602
	1,400	Series 2004-53, Class NC, 5.50%, 07/25/24	1,438
	928	Series 2004-61, Class SK, IF, 8.50%, 11/25/32	1,057
	1,120	Series 2004-76, Class CL, 4.00%, 10/25/19	1,044
	2,000	Series 2004-81, Class AC, 4.00%, 11/25/19	1,859
	1,960	Series 2004-92, Class JO, PO, 12/25/34	1,621

See Notes to Financial Statements. Page 13

Principal Amount		Security Description
	8,000	Series 2005-68, Class PG, 5.50%, 08/25/35	8,103
	2,000	Series 2809, Class UB, 4.00%, 09/15/17	1,908
	2,643	Series 2989, PO, 06/15/23	2,134
	4	Series G-17, Class S, HB, FRN, 687.60%, 06/25/21	45
	248	Series G-28, Class S, IF, 11.26%, 09/25/21	269
	199	Series G-35, Class M, 8.75%, 10/25/21	213
	81	Series G-51, Class SA, IF, 18.40%, 12/25/21	105
	425	Series G92-15, Class Z, 7.00%, 01/25/22	436
	1	Series G92-27, Class SQ, IF, HB, 7182.00%, 05/25/22	83
	1,001	Series G92-35, Class E, 7.50%, 07/25/22	1,044
	1	Series G92-35, Class G, IO, HB, 1184.78%, 07/25/22	22
	121	Series G92-42, Class Z, 7.00%, 07/25/22	126
	5,493	Series G92-44, Class ZQ, 8.00%, 07/25/22	5,873
	154	Series G92-52, Class FD, FRN, 3.86%, 09/25/22	153
	1,340	Series G92-54, Class ZQ, 7.50%, 09/25/22	1,407
	172	Series G92-59, Class F, FRN, 3.46%, 10/25/22	169
	43	Series G92-61, Class FJ, FRN, 3.86%, 10/25/22	43
	282	Series G92-61, Class Z, 7.00%, 10/25/22	294
	255	Series G92-62, Class B, PO, 10/25/22	222
	1,121	Series G93-1, Class KA, 7.90%, 01/25/23	1,186
	336	Series G93-14, Class J, 6.50%, 03/25/23	344
	768	Series G93-17, Class SI, IF, 6.00%, 04/25/23	792
	791	Series G93-27, Class FD, FRN, 4.72%, 08/25/23	802
	186	Series G93-37, Class H, PO, 09/25/23	163
	238	Series G93-5, Class Z, 6.50%, 02/25/23	241
	244	Series G95-1, Class C, 8.80%, 01/25/25	262
		Federal National Mortgage Association STRIPS
	36	Series 23, Class 2, IO, 10.00%, 09/01/17	9
	4	Series 50, Class 2, IO, 10.50%, 03/01/19	1
	129	Series 218, Class 2, IO, 7.50%, 04/01/23	25
	102	Series 265, Class 2, 9.00%, 03/01/24	111
	2,556	Series 329, Class 1, PO, 12/01/32	2,018
	2,772	Series 340, Class 1, PO, 09/01/33	2,096
	3	Series K, Class 2, IO, HB, 256.00%, 11/01/08	12
		Federal National Mortgage Association Whole Loan
	1,845	Series 2002-W5, Class A10, IO, FRN, 4.27%, 11/25/30	131
	2,414	Series 2002-W5, Class A7, 6.25%, 08/25/30	2,442
	5,294	Series 2003-W1, Class 1A1, 6.50%, 12/25/42	5,449
	1,727	Series 2003-W1, Class 2A, 7.50%, 12/25/42	1,819
	902	Series 2003-W4, Class 2A, 6.50%, 10/25/42	908
	2,800	Series 2003-W8, Class 1A3, 4.75%, 12/25/42	2,775
	6,444	Series 2004-W2, Class 2A2, 7.00%, 02/25/44	6,734
		Government National Mortgage Association
	3,785	Series 1994-3, Class PQ, 7.49%, 07/16/24	3,954
	2,320	Series 1994-4, Class KQ, 7.99%, 07/16/24	2,432
	6,721	Series 1994-7, Class PQ, 6.50%, 10/16/24	7,051
	1,769	Series 1996-16, Class E, 7.50%, 08/16/26	1,836
	704	Series 1997-11, Class D, 7.50%, 07/20/27	731
	2,894	Series 1997-8, Class PN, 7.50%, 05/16/27	3,020
	1,488	Series 1998-26, Class K, 7.50%, 09/17/25	1,558

See Notes to Financial Statements. Page 14

Principal Amount		Security Description
	8,178	Series 1999-4, Class ZB, 6.00%, 02/20/29	8,245
	5,093	Series 1999-10, Class ZC, 6.50%, 04/20/29	5,337
	1,232	Series 1999-15, Class E, 6.50%, 01/16/29	1,257
	1,744	Series 1999-30, Class S, IF, IO, 4.83%, 08/16/29	129
	93	Series 1999-33, Class SM, IF, 9.20%, 09/16/29	103
	1,699	Series 1999-40, Class ZW, 7.50%, 11/20/29	1,779
	2,486	Series 1999-41, Class Z, 8.00%, 11/16/29	2,638
	798	Series 1999-44, Class PC, 7.50%, 12/20/29	834
	4,921	Series 1999-44, Class ZC, 8.50%, 12/16/29	5,471
	2,404	Series 1999-44, Class ZG, 8.00%, 12/20/29	2,531
	2,026	Series 2000-6, Class Z, 7.50%, 02/20/30	2,107
	1,080	Series 2000-9, Class PB, 7.50%, 06/16/26	1,096
	963	Series 2000-9, Class Z, 8.00%, 06/20/30	988
	5,392	Series 2000-9, Class ZJ, 8.50%, 02/16/30	5,917
	1,641	Series 2000-12, Class ST, IF, 21.03%, 02/16/30	2,193
	1,680	Series 2000-14, Class PD, 7.00%, 02/16/30	1,756
	616	Series 2000-16, Class ZN, 7.50%, 02/16/30	644
	7,336	Series 2000-21, Class Z, 9.00%, 03/16/30	8,165
	803	Series 2000-26, Class TZ, 8.50%, 09/20/30	918
	719	Series 2000-26, Class Z, 7.75%, 09/20/30	741
	126	Series 2000-30, Class ST, IF, 11.05%, 12/16/22	145
	1,584	Series 2000-31, Class Z, 9.00%, 10/20/30	1,686
	585	Series 2000-34, Class SG, IO, FRN, 4.73%, 10/20/30	29
	1,160	Series 2000-35, Class ZA, 9.00%, 11/20/30	1,240
	183	Series 2000-36, Class IK, IO, 9.00%, 11/16/30	33
	859	Series 2000-37, Class B, 8.00%, 12/20/30	904
	470	Series 2000-38, Class AH, 7.15%, 12/20/30	483
	1,098	Series 2001-4, Class SJ, IF, IO, 4.36%, 01/19/30	36
	1,761	Series 2001-6, Class SD, IF, IO, 4.78%, 03/16/31	113
	2,298	Series 2001-7, Class PK, 6.50%, 03/20/31	2,363
	4,498	Series 2001-8, Class Z, 6.50%, 03/20/31	4,695
	109	Series 2001-32, Class WA, IF, 10.63%, 07/20/31	116
	1,564	Series 2001-35, Class SA, IF, IO, 4.48%, 08/16/31	105
	1,314	Series 2001-36, Class S, IF, IO, 4.28%, 08/16/31	79
	1,414	Series 2001-60, Class VP, 6.50%, 07/20/17	1,442
	2,800	Series 2001-64, Class MQ, 6.50%, 12/20/31	2,918
	1,605	Series 2002-3, Class SP, IF, IO, 3.62%, 01/16/32	88
	2,672	Series 2002-7, Class PG, 6.50%, 01/20/32	2,753
	6,298	Series 2002-24, Class AG, IF, IO, 4.18%, 04/16/32	513
	595	Series 2002-24, Class SB, IF, 6.27%, 04/16/32	554
	14,452	Series 2002-31, Class SE, IF, IO, 3.73%, 04/16/30	1,009
	3,862	Series 2002-36, Class VB, 6.50%, 07/20/19	3,893
	2,912	Series 2002-40, Class UK, 6.50%, 06/20/32	3,049
	229	Series 2002-41, Class SV, IF, 9.00%, 06/16/32	243
	2,513	Series 2002-41, Class VB, 6.50%, 04/20/18	2,531

See Notes to Financial Statements. Page 15

Principal Amount		Security Description
	14,002	Series 2002-45, Class QE, 6.50%, 06/20/32	14,617
	3,976	Series 2002-47, Class PG, 6.50%, 07/16/32	4,155
	3,101	Series 2002-47, Class VB, 6.50%, 09/20/17	3,118
	9,112	Series 2002-47, Class ZA, 6.50%, 07/20/32	9,450
	367	Series 2002-51, Class SG, IF, 16.05%, 04/20/31	411
	4,629	Series 2002-52, Class GH, 6.50%, 07/20/32	4,842
	2,800	Series 2002-54, Class GB, 6.50%, 08/20/32	2,899
	8,682	Series 2002-67, Class VA, 6.00%, 03/20/13	8,793
	3,343	Series 2002-70, Class AV, 6.00%, 03/20/12	3,436
	10,566	Series 2002-70, Class PS, IF, IO, 3.90%, 08/20/32	781
	1,379	Series 2002-71, Class VJ, 6.00%, 12/20/14	1,396
	1,411	Series 2002-75, Class PB, 6.00%, 11/20/32	1,454
	1,568	Series 2002-79, Class KV, 6.00%, 11/20/13	1,607
	1,496	Series 2002-80, Class EB, 7.00%, 01/20/32	1,571
	2,348	Series 2002-88, Class LI, IO, 5.50%, 11/20/28	87
	2,944	Series 2002-88, Class VA, 6.00%, 12/20/17	3,027
	4,565	Series 2003-4, Class NI, IO, 5.50%, 01/20/32	708
	1,807	Series 2003-4, Class NY, 5.50%, 12/20/13	1,838
	7,348	Series 2003-11, Class SK, IO, FRN, 3.93%, 02/16/33	565
	3,606	Series 2003-12, Class SP, IO, FRN, 3.90%, 02/20/33	302
	772	Series 2003-24, PO, 03/16/33	650
	1,960	Series 2003-40, Class TC, 7.50%, 03/20/33	2,135
	1,960	Series 2003-40, Class TJ, 6.50%, 03/20/33	2,114
	1,120	Series 2003-46, Class MG, 6.50%, 05/20/33	1,180
	2,072	Series 2003-46, Class TC, 6.50%, 03/20/33	2,234
	2,139	Series 2003-52, Class AP, PO, 06/16/33	1,707
	3,196	Series 2003-58, Class BE, 6.50%, 01/20/33	3,456
	32	Series 2003-66, Class EO, PO, 08/20/33	32
	9,085	Series 2003-76, Class LS, IF, IO, 3.40%, 09/20/31	580
	968	Series 2003-90, PO, 10/20/33	819
	4,334	Series 2003-95, Class SC, IF, IO, 3.21%, 09/17/31	167
	1,820	Series 2003-98, Class PC, 5.00%, 02/20/29	1,826
	11,575	Series 2003-112, Class SA, IO, FRN, 2.78%, 12/16/33	597
	17,313	Series 2004-11, Class SW, IF, IO, 1.70%, 02/20/34	493
	2,367	Series 2004-28, Class S, IF, 9.29%, 04/16/34	2,432
	3,381	Series 2004-73, Class AE, IF, 7.04%, 08/17/34	3,326
	5,057	Series 2004-83, Class AP, IF, 6.11%, 10/16/34	4,920
		Vendee Mortgage Trust
	1,948	Series 1994-1, Class 1, VAR, 5.63%, 02/15/24	1,949
	1,460	Series 1994-1, Class 2J, 6.50%, 02/15/13	1,478
	3,202	Series 1996-1, Class 1Z, 6.75%, 02/15/26	3,337
	2,198	Series 1996-2, Class 1Z, 6.75%, 06/15/26	2,285
	4,555	Series 1997-1, Class 2Z, 7.50%, 02/15/27	4,920
	6,161	Series 1998-1, Class 2E, 7.00%, 09/15/27	6,400
			1,276,762

See Notes to Financial Statements. Page 16

	Principal Amount		Security Description
Non-Agency — 9.3%
			Banc of America Funding Corp.
		2,912	Series 2003-3, Class 1A33, 5.50%, 10/25/33	2,867
		2,325	Series 2004-1, PO, 03/25/34	2,000
			Banc of America Mortgage Securities
		933	Series 2003-7, Class A2, 4.75%, 09/25/18	919
		1,411	Series 2003-8, Class A, PO, 11/25/33	1,048
		21,378	Series 2004-3, Class 15, IO, VAR, 0.21%, 04/25/19	149
		789	Series 2004-4, Class A, PO, 05/25/34	597
		3,076	Series 2004-6, Class A, PO, 07/25/34	2,215
		780	Series 2004-8, Class 5, PO, 05/25/32	629
		1,609	Series 2004-8, Class X, PO, 10/25/34	1,500
		1,185	Series 2004-9, Class 3, PO, 09/25/32	938
		2,800	Series 2004-E, Class 2A5, FRN, 4.12%, 06/25/34	2,708
			Bank of America Alternative Loan Trust
		950	Series 2003-1, Class A, PO, 02/25/33	813
		1,410	Series 2003-11, PO, 01/25/34	1,152
		1,128	Series 2004-6, Class 15, PO, 07/25/34	899
		1,120	Bear Stearns Adjustable Rate Mortgage Trust Series B2004-4, Class A4, VAR, 3.51%, 06/25/34	1,091
			Bear Stearns Commercial Mortgage Securities
		3,050	Series 2005-PWR9, Class AAB, 4.80%, 09/15/42	3,021
		302	Series 2000-WF1, Class A1, 7.64%, 02/15/32	316
		2,225	Series 2004-T16, Class A2, 3.70%, 02/13/46	2,171
		2,984	Cendant Mortgage Corp. Series 2003-8, Class 1P, PO, 10/25/33	2,009
		1,118	Citicorp Mortgage Securities, Inc. Series 1993-14, Class A3, FRN, 5.03%, 11/25/23	1,121
			Citigroup Mortgage Loan Trust, Inc.
		1,366	Series 2003-1, Class 2, PO, 10/25/33	1,105
		614	Series 2003-1, Class 2A6, PO, 10/25/33	289
		1,171	Series 2003-1, Class 3, PO, 10/25/33	806
		720	Series 2003-1, Class WPO1, PO, 06/25/31	629
		2,306	Series 2003-UP3, Class A3, 7.00%, 09/25/33	2,360
		1,886	Series 2003-UST1, PO, 12/25/18	1,464
		1,041	Series 2003-UST1, PO, 12/25/18	924
		6,229	Series 2003-UST1, Class A1, 5.50%, 12/25/18	6,272
			Countrywide Alternative Loan Trust
		1,328	Series 2002-17, Class A7, 2.50%, 01/25/33	1,277
		3,360	Series 2002-8, Class A4, 6.50%, 07/25/32	3,360
		5,475	Series 2004-2CB, Class 1A9, 5.75%, 03/25/34	5,260
		23,806	Series 2005-22T1, Class A2, IO, FRN, 1.24%, 06/25/35	327
		3,411	Series 2005-26CB, A10, IF, 6.11%, 07/25/35	3,342
		8,000	Series 2005-28CB, Class 1A4, 5.50%, 08/25/35	7,950
		47,811	Series 2005-J1, Class 1A4, IO, FRN, 1.27%, 02/25/35	595
			Countrywide Home Loan Mortgage Pass Through Trust
		9,668	Series 2003-26, Class 1A6, 3.50%, 08/25/33	8,829
		4,799	Series 2003-29, Class A1, 5.50%, 08/25/33	4,799
		1,169	Series 2003-34, Class A11, 5.25%, 09/25/33	1,166
		1,120	Series 2003-44 A9, PO, 10/25/33	728
		2,103	Series 2003-J2 A17, IO, FRN, 3.57%, 04/25/33	125
		7,250	Series 2003-J7, Class 4A3, IF, 4.85%, 08/25/18	7,094

See Notes to Financial Statements. Page 17

Principal Amount		Security Description
	1,253	Series 2004-7 Class 2A1, FRN, 4.09%, 06/25/34	1,208
	2,425	Series 2004-HYB1, Class 2A, VAR, 4.26%, 05/20/34	2,380
	2,076	Series 2004-HYB3, Class 2A, VAR, 4.12%, 06/20/34	2,031
	15,199	Countrywide Home Loans Series 2002-22, Class A20, 6.25%, 10/25/32	15,196
	856	Credit Suisse First Boston Mortgage Securities Corp. Series 2004-5, Class 5P, PO, 08/25/19	715
		First Boston Mortgage Securities Corp.
	252	Series 1987, Class C, IO, 10.97%, 04/25/17	71
	139	Series 1987, Class C, PO, 04/25/17	121
		First Horizon Asset Securities, Inc.
	15,486	Series 2004-AR1, Class 2A2, FRN, 5.03%, 04/25/35	15,433
	14,371	Series 2004-AR7, Class 2A1, FRN, 4.94%, 02/25/35	14,317
		GMAC Mortgage Corp. Loan Trust
	5,000	Series 2005-AR3, Class 3A3, VAR, 4.90%, 06/19/35	4,962
	10,106	Series 2005-AR4, Class 3A3, VAR, 4.90%, 06/19/35	10,092
	1,315	GS Mortgage Securities Corp. II Series 2003-FL6A, Class A1, FRN, 3.92%, 11/15/15 (e)	1,315
		GSR Mortgage Loan Trust
	4,300	Series 2004-6F, Class 3A4, 6.50%, 05/25/34	4,492
	2,799	Series 2004-10F, Class 2A1, 5.00%, 08/25/19	2,792
	894	Series 2004-13F, Class 2A3, 6.00%, 11/25/34	893
	1,076	Series 2004-13F, Class 3A3, 6.00%, 11/25/34	1,074
	580	Series 2004-15F, Class AP, PO, 12/25/34	441
	1,948	Impac Secured Assets CMN Owner Trust Series 2004-3, Class 1A4, FRN, 4.23%, 11/25/34	1,953
		MASTR Adjustable Rate Mortgages Trust
	12,590	PO, 05/28/35	9,397
	12,000	FRN, 3.79%, 11/21/34	11,612
	9,490	Series 2004-13, Class 2A1, FRN, 3.82%, 04/21/34	9,290
		MASTR Alternative Loans Trust
	1,816	Series 2003-9, Class 8A1, 6.00%, 01/25/34	1,839
	1,362	Series 2004-6, Class 7A1, 6.00%, 07/25/34	1,374
	2,118	Series 2004-7, Class 30, PO, 07/25/34	1,786
	1,774	Series 2004-7, Class 30, PO, 08/25/34	1,340
	2,454	Series 2004-10, Class 1A1, 4.50%, 09/25/19	2,386
		MASTR Asset Securitization Trust
	2,222	Series 2003-4, Class 2A2, 5.00%, 05/25/18	2,224
	1,428	Series 2003-12, Class 30, PO, 12/25/33	1,034
	934	Series 2004-1 Class 30, PO, 02/25/34	772
	1,896	Series 2004-6, Class 15, PO, 07/25/19	1,436
	1,033	Series 2004-8, PO, 08/25/19	809
	1,944	Medallion Trust (Australia)
		Series 2004-1G, Class A1, FRN, 3.97%, 05/25/35	1,948
	5,100	Merrill Lynch Mortgage Trust Series 2005-MCP1, Class ASB, VAR, 4.67%, 06/12/43	5,143
		Merrill Lynch Trust
	1,358	7.43%, 08/01/24	1,358
	449	Series 47, Class Z, 8.99%, 10/20/20	461
	25	Morgan Stanley Dean Witter Capital I Series 2002-TOP7, Class A2, 5.98%, 01/15/39	26
	—(h)	Morgan Stanley Mortgage Trust Series 35, Class 2, IF, HB, 9878.40%, 04/20/21	15

See Notes to Financial Statements. Page 18

Principal Amount		Security Description
	7,258	MortgageIT Trust Series 2005-1, Class 1A1, FRN, 4.15%, 02/25/35	7,258
		Nomura Asset Acceptance Corp.
	2,398	Series 2003-A1, Class A1, 5.50%, 05/25/33	2,405
	2,212	Series 2003-A1, Class A2, 6.00%, 05/25/33	2,226
	495	Series 2003-A1, Class A5, 7.00%, 04/25/33	494
	509	Series 2003-A1, Class A7, 5.00%, 04/25/18	509
	3,077	Series 2004-R2, Class A1, VAR, 6.50%, 10/25/34 (e)	3,130
		Paine Webber CMO Trust
	24	Series H, Class 4, 8.75%, 04/01/18	25
	129	Series P, Class 4, 8.50%, 08/01/19	133
	2,500	Permanent Financing plc (United Kingdom) Series 4, Class 2A, FRN, 3.90%, 03/10/09	2,500
		Residential Accredit Loans, Inc.
	2,067	Series 2002-QS16, Class A3, IF, 8.61%, 10/25/17	2,192
	5,601	Series 2002-QS8, Class A5, 6.25%, 06/25/17	5,632
	2,211	Series 2003-QR19, Class CB4, 5.75%, 10/25/33	2,145
	8,125	Series 2003-QS12, Class A2A, FRN, IO, 3.77%, 06/25/18	583
	2,473	Series 2003-QS12, Class A5, IO, 5.00%, 06/25/18	490
	5,582	Series 2003-QS18, Class A1, 5.00%, 09/25/18	5,540
	4,002	Series 2003-QS3, Class A2, IF, 8.07%, 02/25/18	4,135
	3,809	Series 2003-QS3, Class A8, IO, FRN, 3.77%, 02/25/18	266
	9,644	Series 2003-QS9, Class A3, IO, FRN, 3.72%, 05/25/18	681
	1,680	Series 2004-QS8, Class A2, 5.00%, 06/25/34	1,656
		Residential Asset Securitization Trust
	692	Series 2003-A14, Class A1, 4.75%, 02/25/19	678
	1,548	Series 2003-A13, Class A3, 5.50%, 01/25/34	1,529
		Residential Funding Mortgage Securities I
	2,240	Series 2003-S12, Class 4A5, 4.50%, 12/25/32	2,133
	1,680	Series 2003-S13, Class A3, 5.50%, 06/25/33	1,647
	2,527	Series 2003-S14, Class A4, PO, 07/25/18	2,213
	9,419	Series 2003-S7, Class A17, 4.00%, 05/25/33	9,112
	505	Residential Funding Securities Corp. Series 2003-RM2, Class AP3, PO, 05/25/33	432
	708	RMAC plc (United Kingdom) Series 2004-NS1, Class A1B, FRN, 3.94%, 12/12/20 (e)	708
	66	Rural Housing Trust Series 1987-1, Class 3B, 7.33%, 04/01/26	66
		Salomon Brothers Mortgage Securities VII
	51	Series 2000-UP1, Class A2, 8.00%, 08/25/27	51
	1,000	Series 2003-UP2, Class 1, PO, 12/25/18	923
		Structured Adjustable Rate Mortgage Loan Trust
	4,200	Series 2004-6, Class 5A4, VAR, 5.01%, 06/25/34	4,151
	4,324	Series 2004-20, Class 1A3, 5.25%, 11/25/34	4,245
		Structured Asset Securities Corp.
	351	Series 2003-8, Class 1A2, PO, 05/25/32	298
	3,120	Series 2003-8, Class 1A2, 5.00%, 04/25/18	3,086
	7,585	Wachovia Bank Commercial Mortgage Trust Series 2004-C15, Class A2, 4.04%, 10/15/41	7,372
		Washington Mutual Alternative Mortgage Pass-Through Certificates
	1,873	Series 2002-MS, Class 12, A, 6.50%, 05/25/32	1,895
	838	Series 2005-1, Class CP, PO, 03/25/35	596
	65,597	Series 2005-2, Class 1A4, IF, IO, 1.22%, 04/25/35	1,021
	16,513	Series 2005-2, Class 2A3, IF, IO, 1.17%, 04/25/35	242

See Notes to Financial Statements. Page 19

	Principal Amount		Security Description
		7,000	Series 2005-4, Class CB7, 5.50%, 06/25/35	6,966
		4,855	Series 2005-6, Class 2A4, 5.50%, 08/25/35	4,863
			Washington Mutual, Inc.
		2,000	Series 2003-AR4, Class A6, VAR, 3.42%, 05/25/33	1,955
		2,240	Series 2003-AR7, Class A6, VAR, 3.03%, 08/25/33	2,143
		800	Series 2003-S10, Class A6, VAR, PO, 10/25/18	663
		4,525	Series 2003-S8, Class A4, 4.50%, 09/25/18	4,388
		2,240	Series 2003-S8, Class A6, 4.50%, 09/25/18	2,171
		1,438	Series 2003-S9, PO, 10/25/33	1,039
		1,102	Series 2004-AR3, Class A2, VAR, 4.24%, 06/25/34	1,087
			Wells Fargo Mortgage Backed Securities Trust
		1,953	Series 2003-11 1A, PO, 10/25/18	1,698
		3,360	Series 2003-11, Class 1A4, 4.75%, 10/25/18	3,309
		2,800	Series 2003-13, Class A7, 4.50%, 11/25/18	2,651
		1,634	Series 2003-17, Class 2A4, 5.50%, 01/25/34	1,632
		1,400	Series 2003-8, Class A9, 4.50%, 08/25/18	1,349
		3,404	Series 2004-7, Class 2A2, 5.00%, 07/25/19	3,377
		12,064	Series 2004-BB, Class A4, FRN, 4.58%, 01/25/35	11,928
		8,886	Series 2004-EE, Class 3A1, FRN, 3.99%, 01/25/35	8,686
		4,200	Series 2004-S, Class A5, FRN, 3.54%, 09/25/34	4,049
		1,390	Series 2005-AR10, Class 2A4, FRN, 4.11%, 06/25/35	1,363
				370,315
			Total Collateralized Mortgage Obligations (Cost $1,668,316)	1,647,077
Corporate Bonds — 13.8%
Aerospace & Defense — 0.1%
		2,220	General Dynamics Corp. 2.13%, 05/15/06	2,192
		1,207	Systems 2001 AT LLC 7.16%, 12/15/11 (e)	1,272
		5	United Technologies Corp. 6.10%, 05/15/12	6
				3,470
Airlines — 0.4%
		538	American Airlines, Inc.
			Series 1999-1, 7.02%, 04/15/11	545
			Continental Airlines, Inc.
		535	Series 1999-2, Class A1, 7.26%, 09/15/21	537
		1,400	Series 1999-2, Class A2, 7.06%, 03/15/11	1,415
			Delta Air Lines, Inc.
		797	Series 2000-1, 7.38%, 11/18/11 (d)	766
		2,156	Series 2000-1, 7.57%, 05/18/12 (d)	2,082
		989	Southwest Airlines Co. Series 2001-1, 5.10%, 11/01/07	991
			United AirLines, Inc.
		2,727	Series 2000-1, 7.73%, 07/01/10 (d)	2,653
		3,175	Series 2001-1, 7.78%, 07/01/15 (d)	3,027
		1,004	Series 2001-1, 6.07%, 09/01/14 (d)	969
		1,329	Series 2001-1, 6.20%, 09/01/08 (d)	1,280
				14,265
Automobiles — 0.2%
			DaimlerChrysler NA Holding Corp.
		1,456	4.75%, 01/15/08	1,448

See Notes to Financial Statements. Page 20

	Principal Amount		Security Description
		4,426	7.20%, 09/01/09	4,722
		460	General Motors Corp. 8.80%, 03/01/21	381
				6,551
Beverages — 0.0% (g)
		775	SABMiller plc 6.63%, 08/15/33 (e)	866
Capital Markets — 1.9%
			Bear Stearns Cos, Inc. (The)
		6,321	3.25%, 03/25/09	6,025
		1,000	5.70%, 11/15/14	1,045
			Credit Suisse First Boston USA, Inc.
		1,400	5.50%, 08/15/13	1,443
		8,639	6.13%, 11/15/11	9,178
			Goldman Sachs Group, Inc.
		1,865	3.88%, 01/15/09	1,819
		2,096	4.75%, 07/15/13	2,048
		1,535	5.25%, 10/15/13	1,549
		10	5.70%, 09/01/12	10
		2,142	6.60%, 01/15/12	2,322
		560	6.65%, 05/15/09	594
		6,329	6.88%, 01/15/11	6,888
		286	7.35%, 10/01/09	312
			Lehman Brothers Holdings, Inc.
		1,516	4.00%, 01/22/08	1,495
		1,500	4.80%, 03/13/14	1,474
		2,167	6.63%, 01/18/12	2,357
		370	7.88%, 11/01/09	412
			Merrill Lynch & Co., Inc.
		1,176	3.70%, 04/21/08	1,150
		2,340	5.45%, 07/15/14	2,404
		1,120	Series B, 3.13%, 07/15/08	1,076
		2,912	Series C, 4.13%, 01/15/09	2,863
			Morgan Stanley
		728	4.25%, 05/15/10	710
		1,633	4.75%, 04/01/14	1,575
		1,000	5.30%, 03/01/13	1,010
		2,420	5.80%, 04/01/07	2,460
		3,612	6.60%, 04/01/12	3,913
		7,421	6.75%, 04/15/11	8,073
		504	8.00%, 06/15/10	569
		8,563	National Rural Utilities Cooperative Finance Corp. 6.00%, 05/15/06	8,645
		1,904	State Street Corp. 7.65%, 06/15/10	2,151
				75,570
Chemicals — 0.1%
		1,680	Dow Capital BV 8.50%, 06/08/10	1,911
			Dow Chemical Co. (The)
		580	6.13%, 02/01/11	618
		945	7.38%, 11/01/29	1,154
		2,035	ICI Wilmington, Inc. 5.63%, 12/01/13	2,054
				5,737

See Notes to Financial Statements. Page 21

	Principal Amount		Security Description
Commercial Banks — 1.5%
			Bank of America Corp.
		2,688	3.88%, 01/15/08	2,649
		1,484	7.40%, 01/15/11	1,657
		7,373	7.80%, 02/15/10	8,229
		1,500	Cadets Trust 4.80%, 07/15/13 (e)	1,483
		616	Credit Suisse First Boston USA, Inc. 4.70%, 06/01/09	615
		4,256	First Bank NA 6.50%, 02/01/08	4,429
		3,080	Firstar Bank NA 7.13%, 12/01/09	3,366
		308	HSBC Holdings plc (United Kingdom) 7.35%, 11/27/32	372
		1,750	Huntington National Bank 8.00%, 04/01/10	1,963
		700	KEY Bank NA 7.50%, 09/15/08	758
		2,296	Keycorp Series G, 4.70%, 05/21/09	2,293
			Popular North America, Inc.
		840	4.25%, 04/01/08	829
		3,105	4.70%, 06/30/09	3,090
		2,232	Royal Bank of Canada (Canada) 3.88%, 05/04/09	2,185
			Suntrust Bank
		3,180	2.50%, 11/01/06	3,096
		1,120	6.38%, 04/01/11	1,205
		1,400	US Bancorp 7.50%, 06/01/26	1,739
			U.S. Bank NA
		2,430	2.85%, 11/15/06	2,380
		690	6.38%, 08/01/11	743
		1,064	Wachovia Bank NA 7.80%, 08/18/10	1,208
			Wachovia Corp.
		2,688	3.50%, 08/15/08	2,602
		3,537	3.63%, 02/17/09	3,425
		1,400	4.88%, 02/15/14	1,383
			Wells Fargo & Co.
		2,932	3.13%, 04/01/09	2,790
		2,340	4.20%, 01/15/10	2,294
		2,856	Wells Fargo Bank NA 7.55%, 06/21/10	3,193
				59,976
Commercial Services & Supplies — 0.1%
		1,315	Cendant Corp. 7.13%, 03/15/15	1,424
		1,868	PHH Corp. 7.13%, 03/01/13	2,012
				3,436
Computers & Peripherals — 0.1%
			International Business Machines Corp.
		1,568	5.39%, 01/22/09	1,601
		560	6.22%, 08/01/27	613
				2,214

See Notes to Financial Statements. Page 22

	Principal Amount		Security Description
Consumer Finance — 1.1%
		840	American Express Credit Corp. 3.00%, 05/16/08	809
			American General Finance Corp.
		3,650	Series H, 3.00%, 11/15/06	3,586
		2,281	Series H, 4.50%, 11/15/07	2,273
		1,120	Series H, 5.38%, 10/01/12	1,132
		238	Capital One Bank 5.75%, 09/15/10	246
			General Motors Acceptance Corp.
		5,000	6.13%, 09/15/06	5,016
		500	6.88%, 09/15/11	455
		6,550	7.25%, 03/02/11	6,091
			HSBC Finance Corp.
		1,400	4.75%, 05/15/09	1,396
		10,092	5.88%, 02/01/09	10,415
		280	6.38%, 11/27/12	301
		1,680	6.40%, 06/17/08	1,752
		3,176	6.50%, 11/15/08	3,335
		468	6.75%, 05/15/11	509
		560	7.20%, 07/15/06	571
		2,520	7.88%, 03/01/07	2,631
			International Lease Finance Corp.
		865	4.50%, 05/01/08	857
		689	5.88%, 05/01/13	718
		1,400	SLM Corp. Series A, 5.38%, 01/15/13	1,437
		1,008	Standard Credit Card Master Trust Series A, 7.25%, 04/07/08	1,023
				44,553
Diversified Financial Services — 2.7%
			Associates Corp. NA
		2,484	8.15%, 08/01/09	2,780
		1,470	8.55%, 07/15/09	1,663
		1,400	Series A, 7.95%, 02/15/10	1,568
			CIT Group, Inc.
		1,910	6.50%, 02/07/06	1,924
		1,000	7.75%, 04/02/12	1,146
			Citigroup, Inc.
		700	3.50%, 02/01/08	683
		3,292	5.63%, 08/27/12	3,422
		420	6.20%, 03/15/09	440
		1,200	Credit Suisse First Boston USA, Inc. 4.88%, 01/15/15	1,177
			Ford Motor Credit Co.
		1,820	5.80%, 01/12/09	1,698
		7,200	6.88%, 02/01/06	7,229
		350	7.00%, 10/01/13	325
		17,000	7.38%, 10/28/09	16,421
		600	7.38%, 02/01/11	574
		4,400	7.88%, 06/15/10	4,282
			General Electric Capital Corp.
		2,000	4.38%, 11/21/11	1,958
		4,416	6.75%, 03/15/32	5,194

See Notes to Financial Statements. Page 23

	Principal Amount		Security Description
		560	Series A, 2.80%, 01/15/07	549
		2,240	Series A, 3.50%, 05/01/08	2,184
		2,968	Series A, 4.25%, 01/15/08	2,950
		1,176	Series A, 4.63%, 09/15/09	1,175
		8,957	Series A, 5.88%, 02/15/12	9,411
		5,197	Series A, 6.00%, 06/15/12	5,532
		4,649	Series A, 6.13%, 02/22/11	4,931
		2,095	Goldman Sachs Group, Inc. 6.35%, 02/15/34	2,183
			John Hancock Global Funding II
		1,400	3.50%, 01/30/09 (e)	1,346
		1,512	7.90%, 07/02/10 (e)	1,717
			MassMutual Global Funding II
		2,296	3.25%, 06/15/07 (e)	2,244
		2,464	3.50%, 03/15/10 (e)	2,331
		500	Merrill Lynch & Co., Inc.
			4.79%, 08/04/10	498
			New York Life Global Funding
		1,330	3.88%, 01/15/09 (e)	1,298
		3,920	5.38%, 09/15/13 (e)	4,034
		2,100	Pricoa Global Funding I 3.90%, 12/15/08 (e)	2,049
			Principal Life Global Funding I
		1,400	2.80%, 06/26/08 (e)	1,336
		336	5.13%, 06/28/07 (e)	338
		6,021	6.25%, 02/15/12 (e)	6,462
		2,240	USAA Capital Corp. Series B, 7.05%, 11/08/06 (e)	2,295
		784	Toyota Motor Credit Corp. 2.88%, 08/01/08	750
		952	Washington Mutual Financial Corp. 6.88%, 05/15/11	1,045
				109,142
Diversified Telecommunication Services — 1.4%
		1,288	Bellsouth Capital Funding 7.75%, 02/15/10	1,435
		2,168	Bellsouth Telecommunications 6.30%, 12/15/15	2,262
		4,466	British Telecommunications plc (United Kingdom) 8.38%, 12/15/10	5,171
		785	Deutsche Telekom International Finance BV (Netherlands) 5.25%, 07/22/13	792
			France Telecom S.A. (France)
		4,695	7.75%, 03/01/11	5,331
		1,000	8.50%, 03/01/31	1,340
		1,120	GTE Corp. 7.51%, 04/01/09	1,215
		3,164	Nynex Capital Funding Co. Series B, SUB, 8.23%, 10/15/09	3,498
		2,295	SBC Communications, Inc. 5.63%, 06/15/16	2,346
			Sprint Capital Corp.
		6,357	6.00%, 01/15/07	6,463
		1,665	6.90%, 05/01/19	1,864
		1,288	7.13%, 01/30/06	1,299
		1,680	7.63%, 01/30/11	1,880
		560	8.38%, 03/15/12	659
		1,534	8.75%, 03/15/32	2,057
		1,415	Telecom Italia Capital S.A. (Italy) 4.00%, 11/15/08	1,381

See Notes to Financial Statements. Page 24

	Principal Amount		Security Description
		1,512	Telus Corp. (Canada) 8.00%, 06/01/11	1,730
		3,650	Verizon Florida, Inc. Series F, 6.13%, 01/15/13	3,790
			Verizon Global Funding Corp.
		4,621	7.25%, 12/01/10	5,107
		1,540	7.38%, 09/01/12	1,748
		823	Verizon Maryland, Inc. Series A, 6.13%, 03/01/12	860
		880	Verizon New York, Inc. Series B, 7.38%, 04/01/32	968
		1,232	Verizon Pennsylvania, Inc. 8.35%, 12/15/30	1,509
		1,193	Verizon Virginia, Inc. Series A, 4.63%, 03/15/13	1,142
				55,847
Electric Utilities — 0.6%
			Alabama Power Co.
		392	4.70%, 12/01/10	389
		1,515	Series Y, 2.80%, 12/01/06	1,487
		576	American Electric Power Co., Inc. Series A, 6.13%, 05/15/06	582
		392	Appalachian Power Co. 6.60%, 05/01/09	414
		1,110	Arizona Public Service Co. 4.65%, 05/15/15	1,064
		1,260	Carolina Power & Light Co. 5.13%, 09/15/13	1,269
			Constellation Energy Group, Inc.
		1,792	6.35%, 04/01/07	1,832
		560	7.00%, 04/01/12	616
		1,854	Dominion Resources, Inc. Series B, 6.25%, 06/30/12	1,966
		2,100	DTE Energy Co. Series A, 6.65%, 04/15/09	2,218
			Duke Energy Corp.
		2,800	4.20%, 10/01/08	2,757
		2,016	5.63%, 11/30/12	2,081
		2,814	Exelon Generation Co., LLC 6.95%, 06/15/11	3,069
		324	Kiowa Power Partners LLC 4.81%, 12/30/13 (e)	315
		1,120	Ohio Valley Electric Corp. 5.94%, 02/12/06 (e)	1,126
		1,600	Pacificorp 4.30%, 09/15/08	1,581
		675	Pepco Holdings, Inc. 6.45%, 08/15/12	722
		280	Virginia Electric & Power Co. Series A, 5.38%, 02/01/07	282
				23,770
Food & Staples Retailing — 0.1%
		1,680	Kroger Co. (The) 8.05%, 02/01/10	1,852
		2,930	Safeway, Inc. 4.13%, 11/01/08	2,850
				4,702
Gas Utilities — 0.1%
		1,008	KeySpan Gas East Corp. 7.88%, 02/01/10	1,130
		2,560	Nisource Finance Corp. 6.15%, 03/01/13	2,711
				3,841
Health Care Providers & Services — 0.1%
		2,035	UnitedHealth Group, Inc. 3.30%, 01/30/08	1,978
Hotels, Restaurants & Leisure — 0.0% (g)
		504	Harrah’s Operating Co., Inc. 8.00%, 02/01/11	564
Household Durables — 0.1%
		1,485	Centex Corp. 5.70%, 05/15/14	1,483

See Notes to Financial Statements. Page 25

	Principal Amount		Security Description
		1,465	Pulte Homes, Inc. 5.25%, 01/15/14	1,409
				2,892
Industrial Conglomerates — 0.1%
		644	Raychem Corp. 7.20%, 10/15/08	685
			Tyco International Group S.A. (Bermuda)
		3,080	6.38%, 10/15/11	3,283
		1,400	6.75%, 02/15/11	1,512
				5,480
Insurance — 0.8%
		2,184	American International Group, Inc. 4.25%, 05/15/13	2,085
			ASIF Global Financing
		1,120	2.65%, 01/17/06 (e)	1,115
		3,360	3.90%, 10/22/08 (e)	3,277
		3,248	4.90%, 01/17/13 (e)	3,189
		2,520	Jackson National Life Global Funding 6.13%, 05/30/12 (e)	2,698
		2,980	Liberty Mutual Group 5.75%, 03/15/14 (e)	2,912
		1,624	Metropolitan Life Global Funding I 5.20%, 09/18/13 (e)	1,653
		840	MGIC Investment Corp. 6.00%, 03/15/07	854
		3,360	Monumental Global Funding II 4.38%, 07/30/09 (e)	3,307
		1,624	Monumental Global Funding III 5.20%, 01/30/07 (e)	1,634
			Nationwide Financial Services
		1,130	5.90%, 07/01/12	1,182
		1,182	6.25%, 11/15/11	1,267
		848	Pacific Life Global Funding 3.75%, 01/15/09 (e)	827
			Protective Life Secured Trust
		1,199	4.00%, 10/07/09	1,172
		3,360	4.00%, 04/01/11	3,230
		350	XL Capital Ltd. (Cayman Islands) 5.25%, 09/15/14	338
				30,740
IT Services — 0.0% (g)
		1,120	First Data Corp. 3.90%, 10/01/09	1,091
Media — 0.7%
		1,570	Clear Channel Communications, Inc. 5.50%, 09/15/14	1,513
		2,813	Comcast Cable Communications Holdings, Inc. 8.38%, 03/15/13	3,328
		2,095	Comcast Corp. 5.50%, 03/15/11	2,135
		1,022	COX Communications, Inc. 7.75%, 11/01/10	1,131
		840	Knight-Ridder, Inc. 7.13%, 06/01/11	909
		123	Liberty Media Corp. 5.70%, 05/15/13	112
		900	News America, Inc. 7.25%, 05/18/18	1,022
			Tele-Communications-TCI Group
		1,337	7.13%, 02/15/28	1,487
		4,088	9.80%, 02/01/12	5,028
			Time Warner Cos., Inc.
		1,232	7.48%, 01/15/08	1,301
		896	8.18%, 08/15/07	949
		2,415	9.15%, 02/01/23	3,119

See Notes to Financial Statements. Page 26

	Principal Amount		Security Description
			Time Warner Entertainment Co. LP
		1,920	8.38%, 03/15/23	2,329
		1,288	10.15%, 05/01/12	1,615
			Time Warner, Inc.
		1,165	7.63%, 04/15/31	1,365
		255	7.70%, 05/01/32	302
				27,645
Multi-Utilities — 0.4%
		290	Commonwealth Edison Co. 6.95%, 07/15/18	300
		3,000	Dominion Resources, Inc. Series A, 8.13%, 06/15/10	3,382
			Duke Capital LLC
		3,645	6.25%, 02/15/13	3,834
		980	8.00%, 10/01/19	1,190
			PSEG Power LLC
		2,190	5.50%, 12/01/15	2,197
		1,322	7.75%, 04/15/11	1,480
		1,255	8.63%, 04/15/31	1,629
				14,012
Oil & Gas — 0.1%
		550	Conoco Funding Co. 5.45%, 10/15/06	555
		2,520	ConocoPhillips 8.75%, 05/25/10	2,946
				3,501
Oil, Gas & Consumable Fuels — 0.3%
		455	Alberta Energy Co. Ltd. (Canada) 7.38%, 11/01/31	559
		2,350	BP Capital Markets plc (United Kingdom) 2.75%, 12/29/06	2,299
		1,155	Husky Energy, Inc. (Canada) 6.15%, 06/15/19	1,206
		1,230	Kerr-McGee Corp. 6.95%, 07/01/24	1,275
			Kinder Morgan Energy Partners LP
		760	7.30%, 08/15/33	881
		935	7.40%, 03/15/31	1,088
		635	7.75%, 03/15/32	772
		992	Pemex Project Funding Master Trust 8.63%, 02/01/22	1,213
		2,045	Pioneer Natural Resources Co. 5.88%, 07/15/16	2,012
				11,305
Paper & Forest Products — 0.1%
			International Paper Co.
		1,904	4.00%, 04/01/10	1,814
		879	4.25%, 01/15/09	860
		885	5.85%, 10/30/12	907
		1,008	Union Camp Corp. 6.50%, 11/15/07	1,040
			Weyerhaeuser Co.
		123	6.13%, 03/15/07	125
		700	6.75%, 03/15/12	756
				5,502
Pharmaceuticals — 0.0% (g)
		790	Wyeth 6.45%, 02/01/24	867

See Notes to Financial Statements. Page 27

	Principal Amount		Security Description
Real Estate — 0.1%
		2,694	EOP Operating LP 6.75%, 02/15/12	2,914
		392	ERP Operating LP 4.75%, 06/15/09	389
				3,303
Road & Rail — 0.1%
			Burlington Northern Santa Fe Corp
		1,375	6.13%, 03/15/09	1,434
		1,425	7.13%, 12/15/10	1,576
			Norfolk Southern Corp.
		299	5.59%, 05/17/25	299
		871	5.64%, 05/17/29	873
		326	7.25%, 02/15/31	397
		34	7.80%, 05/15/27	43
				4,622
Supranational — 0.0% (g)
		560	Corp. Andina de Fomento (Supranational) 5.20%, 05/21/13	562
Thrifts & Mortgage Finance — 0.3%
		784	Bank United Series A, 8.00%, 03/15/09	861
			Countrywide Home Loans, Inc.
		1,680	3.25%, 05/21/08	1,617
		1,400	Series E, 7.20%, 10/30/06	1,435
		3,080	Series L, 4.00%, 03/22/11	2,926
		980	Washington Mutual Bank FA 6.88%, 06/15/11	1,068
		2,921	Washington Mutual, Inc. 4.20%, 01/15/10	2,851
		1,400	World Savings Bank FSB 4.50%, 06/15/09	1,388
				12,146
Wireless Telecommunication Services — 0.2%
			New Cingular Wireless Services, Inc.
		456	7.50%, 05/01/07	476
		4,047	7.88%, 03/01/11	4,607
		1,215	8.75%, 03/01/31	1,640
				6,723
			Total Corporate Bonds (Cost $536,771)	546,873
U.S. Government Agency Mortgages — 6.9%
			Federal Home Loan Mortgage Corp. Gold Pools
		15,640	4.00%, 05/01/14-05/01/19	15,125
		1,302	4.50%, 08/01/18	1,278
		36,691	5.00%, 06/01/34	35,962
		4,398	5.50%, 06/01/17-10/01/33	4,409
		4,699	6.00%, 04/01/18-01/01/34	4,796
		8,234	6.50%, 08/01/16-11/01/34	8,505
		1,303	7.00%, 04/01/17-08/01/32	1,362
		1,866	7.50%, 09/01/10-11/01/15	1,957
		212	8.50%, 11/01/15	227
			Federal Home Loan Mortgage Corp. Conventional Pools
		358	ARM, 4.66%, 07/01/19	365
		363	ARM, 4.95%, 04/01/30	372

See Notes to Financial Statements. Page 28

	Principal Amount			Security Description
		—	(h)	7.50%, 07/01/16	—	(h)
		104		12.00%, 08/01/15-07/01/19	113
				Federal National Mortgage Association Conventional Pool	s
		40		ARM, 3.48%, 01/01/19	41
		525		ARM, 4.14%, 09/01/27	530
		538		ARM, 4.36%, 03/01/29	539
		125		ARM, 4.55%, 03/01/19	127
		21,370		ARM, 4.89%, 01/01/35	21,356
		1,099		3.50%, 04/01/19	1,021
		13,118		4.00%, 07/01/18-12/01/18	12,641
		24,023		4.50%, 11/01/14-11/01/19	23,552
		53,921		5.00%, 12/01/16-09/01/35	53,552
		33,856		5.50%, 06/01/12-03/01/34	34,221
		10,405		6.00%, 02/01/14-09/01/33	11,308
		10,881		6.50%, 04/01/09-08/01/24	11,252
		5,024		7.00%, 03/01/17-02/01/33	5,263
		324		7.50%, 03/01/17-07/01/30	342
		5,373		8.00%, 11/01/12-09/01/28	5,750
		450		9.00%, 05/01/18-04/01/26	491
		99		9.50%, 07/01/28	109
		780		10.89%, 04/15/19	863
		83		12.50%, 01/01/16	92
				Government National Mortgage Association Various Pools
		6,320		5.50%, 06/15/33-09/15/34	6,383
		3,670		6.50%, 06/15/17-04/15/33	3,821
		1,458		7.00%, 02/15/33-06/15/33	1,543
		948		7.50%, 11/15/22-11/15/31	1,006
		2,622		8.00%, 01/15/16-09/20/28	2,801
		205		8.50%, 07/15/08-05/20/25	225
		28		9.00%, 12/15/16-10/15/30	30
				Total U.S. Government Agency Mortgages (Cost $275,627)	273,330
U.S. Government Agency Securities — 1.2%
				Federal Home Loan Mortgage Corp.
		4,645		4.13%, 07/12/10	4,569
		1,260		5.75%, 01/15/12	1,337
		1,120		6.63%, 09/15/09	1,205
		1,550		6.88%, 09/15/10	1,711
				Federal Housing Authority
		1,675		7.43%, 01/01/22	1,675
		455		7.43%, 08/01/20	464
				Federal National Mortgage Association
		18,000		5.25%, 04/15/07	18,227
		2,240		5.50%, 03/15/11	2,340
		1,778		6.13%, 03/15/12	1,930
		4,822		6.25%, 02/01/11	5,153
		1,176		6.38%, 06/15/09	1,249
		2,000		7.13%, 01/15/30	2,598
		1,316		7.13%, 06/15/10	1,458
		5,881		7.25%, 01/15/10	6,496
				Total U.S. Government Agency Securities (Cost $49,696)	50,412

See Notes to Financial Statements. Page 29

	Principal Amount		Security Description
U.S. Treasury Obligations — 22.6%
			U.S. Treasury Bonds
		4,685	6.13%, 11/15/27	5,653
		1,000	6.25%, 08/15/23	1,196
		1,120	7.13%, 02/15/23	1,453
		3,100	7.25%, 05/15/16	3,835
		24,490	7.25%, 08/15/22 (m)	31,998
		4,142	7.50%, 11/15/16	5,243
		1,680	7.63%, 02/15/25	2,319
		8,717	7.88%, 02/15/21 (m)	11,857
		4,870	8.75%, 05/15/17	6,746
		4,789	8.75%, 08/15/20	6,931
		336	8.88%, 02/15/19	481
		728	9.25%, 02/15/16	1,018
		5,499	9.88%, 11/15/15 (m)	7,937
		45,054	10.38%, 11/15/12 (m)	50,654
		7,150	11.25%, 02/15/15 (m)	10,902
		14,721	11.75%, 11/15/14 (m)	18,864
		63,245	12.00%, 08/15/13 (m)	76,499
		12,545	12.50%, 08/15/14 (m)	16,222
		70,503	12.75%, 11/15/10 (m)	71,224
		560	13.25%, 05/15/14	729
			U.S. Treasury Inflation Indexed Bonds
		12,217	3.63%, 04/15/28 (m)	15,984
		3,337	3.88%, 01/15/09	3,620
		21,326	4.25%, 01/15/10	23,854
			U.S. Treasury Notes
		560	3.13%, 09/15/08	544
		1,078	3.50%, 11/15/06	1,071
		17,925	3.50%, 08/15/09	17,472
		2,000	3.63%, 04/30/07	1,983
		1,225	3.63%, 07/15/09	1,200
		400	3.63%, 01/15/10	391
		26,215	4.00%, 06/15/09	26,035
		3,645	4.00%, 02/15/14	3,562
		2,805	4.75%, 05/15/14	2,890
		2,700	5.00%, 08/15/11	2,806
		1,320	5.38%, 02/15/31	1,479
		840	5.63%, 05/15/08	870
		9,168	5.75%, 08/15/10	9,778
		13,497	6.00%, 08/15/09	14,354
		3,080	6.13%, 08/15/07	3,187
		2,800	6.50%, 10/15/06	2,866
		47,361	6.50%, 02/15/10 (m)	51,605
		560	6.88%, 05/15/06	569
			U.S. Treasury STRIPS
		3,080	PO, 05/15/07	2,883
		10,529	PO, 05/15/08	9,454
		2,165	PO, 05/15/09	1,863
		8,317	PO, 11/15/09	6,980

See Notes to Financial Statements. Page 30

	Principal Amount		Security Description
		15,178	PO, 02/15/10	12,675
		11,033	PO, 02/15/11	8,827
		26,518	PO, 05/15/11	21,008
		40,117	PO, 05/15/12	30,353
		27,457	PO, 11/15/12	20,298
		36,586	PO, 02/15/13	26,665
		27,671	PO, 08/15/13	19,694
		6,750	PO, 11/15/13	4,745
		20,553	PO, 02/15/14 (m)	14,257
		8,429	PO, 05/15/14 (m)	5,778
		21,764	PO, 08/15/14 (m)	14,745
		21,274	PO, 11/15/14	14,243
		8,096	PO, 11/15/15	5,177
		37,248	PO, 11/15/15	23,745
		18,909	PO, 02/15/15 (m)	12,498
		5,395	PO, 05/15/15	3,537
		20,193	PO, 08/15/15	13,042
		68,923	PO, 02/15/16	43,364
		11,537	PO, 05/15/16	7,171
		2,632	PO, 08/15/16	1,616
		7,161	PO, 11/15/16	4,343
		13,834	PO, 02/15/17	8,286
		1,025	PO, 05/15/17	606
		6,500	PO, 11/15/17	3,746
		45,754	PO, 05/15/18	25,714
		16,572	PO, 02/15/19	8,965
		1,008	PO, 02/15/22	470
		7,869	PO, 02/15/23	3,494
			Total U.S. Treasury Obligations (Cost $895,168)	898,123
Municipal Bond — 0.1%
Illinois
		3,000	Illinois State, Taxable Pension GO, 5.10%, 06/01/33 Total Municipal Bonds (Cost $3,000)	2,960
Foreign Government Securities — 0.6%
			Province of Quebec (Canada)
		6,441	5.75%, 02/15/09	6,682
		1,400	6.50%, 01/17/06	1,410
		560	SUB, 7.36%, 03/06/26	715
			United Mexican States (Mexico)
		2,313	4.63%, 10/08/08	2,301
		2,035	5.88%, 01/15/14	2,106
		2,105	6.38%, 01/16/13	2,240
		1,925	8.30%, 08/15/31	2,401
		1,000	8.30%, 08/15/31	1,248
		4,881	Series A, 7.50%, 04/08/33	5,650
			Total Foreign Government Securities	24,753
			(Cost $22,826)
			Total Long Term Investments	3,622,870
			(Cost $3,630,203)

See Notes to Financial Statements. Page 31

	Principal Amount		Security Description
Short-Term Investment — 8.7%
Investment Company — 8.7%
		346,424	JPMorgan Liquid Assets Money Market Fund (b) 3.65%, 12/31/49
			Total Short Term Investments (Cost $346,424)		346,424
Investments of Cash Collateral for Securities Loaned — 6.4%
Certificates of Deposit — 0.4%
		14,992	Bank of New York 3.74%, 11/02/05		14,992
		2,133	Natexis Banques Populaires 4.12%, 10/03/05		2,133
					17,125
Corporate Notes — 5.7%
		15,000	American Express Credit Corp. FRN, 3.85%, 10/26/05		15,000
		25,000	Berkshire Hathaway Finance FRN, 3.60%, 10/11/05		25,000
		16,999	Beta Finance, Inc. 4.00%, 10/03/05		16,999
		439	Citigroup Global Markets Holding, Inc. FRN, 3.94%, 12/12/05		439
		25,000	General Electric Co. FRN, 3.70%, 10/24/05		25,000
			Greenwich Capital Holdings, Inc.
		13,057	FRN, 4.25%, 10/11/05		13,057
		25,000	FRN, 4.25%, 10/11/05		25,000
			Lehman Brothers Holdings, Inc.
		3,500	FRN, 4.02%, 10/03/05		3,500
		25,000	FRN, 4.14%, 10/03/05		25,000
		19,999	Liberty Lighthouse U.S. Capital FRN, 3.83%, 10/03/05		19,999
			MBIA Global Funding LLC
		597	FRN, 3.93%, 10/26/05		597
		25,000	FRN, 3.93%, 10/26/05		25,000
		18,748	Sigma Finance, Inc. FRN, 4.11%, 10/03/05		18,748
		5,000	Wells Fargo & Co. FRN, 4.07%, 10/03/05		5,000
		7,500	World Savings Bank FSB 3.86%, 10/20/05		7,500
					225,839
Repurchase Agreement — 0.3%
		10,786	UBS Securities LLC, 3.90%, dated 09/30/05, due 10/03/05, repurchase price $10,788, collateralized by U.S. Agencies		10,786
			Total Investments of Cash Collateral for Securities Loaned (Cost $253,749)		253,750
Total Investments — 106.3%
(Cost $4,230,376)				$	4,223,044
Liabilities in Excess of Other Assets — (6.3%)					(250,760	)
Net Assets 100.0%				$	3,972,284

See Notes to Financial Statements. Page 32

Percentages indicated are based on net assets.

Abbreviations:

(b) Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisor, Inc.

(d) Defaulted Security.

(e) All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees.

(g) Amount rounds to less than 0.1%.

(h) Amount rounds to less than one thousand.

(m) All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

ARM Adjustable Rate Mortgage

CMO Collateralized Mortgage Obligation

FRN Floating Rate Note. The rate shown is the rate in effect as of September 30, 2005.

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 IO’s 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 REMIC 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.

IO            Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities are generally higher than prevailing market yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. 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.

STRIPS Separate trading or registered interest and principal of securities. The STRIPS program lets investors hold and trade the individual interest and principal components of eligible notes and bonds as separate securities.

SUB Step-Up Bond. The rate shown is the rate in effect as of September 30, 2005.

VAR Variable. The interest rate shown is the rate in effect at September 30, 2005.

As of September 30, 2005 the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	65,713
Aggregate gross unrealized depreciation		(73,045	)
Net unrealized appreciation/depreciation	$	(7,332	)
Federal income tax cost of investments	$	4,230,376

See Notes to Financial Statements. Page 33

JPMorgan Core Plus Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Cusip		Principal Amount		Security Description	Value
Long-Term Investments—96.2%
Assets Backed Securities — 4.0%
		02582JCX6	$	2,885	American Express Credit Account Master Trust Series 2004-3, Class A, 4.35%, 12/15/11	$	2,863
					AmeriCredit Automobile Receivables Trust
		03061NEJ4		642	Series 2001-C, Class A4, 5.01%, 07/14/08		643
		03061NEN5		821	Series 2001-D, Class A4, 4.41%, 11/12/08		822
		03061NET2		632	Series 2002-A, Class A4, 4.61%, 01/12/09		633
		06606WAF1		1,229	BankBoston Home Equity Loan Trust Series 1998-1, Class A6, 6.35%, 02/25/13		1,243
		14040KBX5		1,880	Capital One Master Trust Series 2001-5, Class A, 5.30%, 06/15/09		1,893
		143128CG9		2,425	Carmax Auto Owner Trust Series 2005-1, Class A3, 4.13%, 05/15/09		2,409
					Citibank Credit Card Issuance Trust
		17305EAV7		5,000	Series 2002-A1, Class A1, 4.95%, 02/09/09		5,027
		17305EAW5		2,900	Series 2002-C2, Class C2, 6.95%, 02/18/14		3,177
		17305ECR4		1,000	Series 2005-B1, Class B1, 4.40%, 09/15/10		991
		12613XBW0		1,475	CNH Equipment Trust Series 2003-B, Class A3B, 2.47%, 01/15/08		1,463
		204012AD0		1,726	Community Program Loan Trust Series 1987-A, Class A4, 4.50%, 10/01/18		1,709
		126673QD7		5,000	Countrywide Asset-Backed Certificates Series 2004-AB2, Class A2, FRN, 4.10%, 10/25/33		5,009
		22540VWZ1		275	CS First Boston Mortgage Securities Corp. Series 2002-HE4, Class AF, 5.51%, 08/25/32		276
		34527RKE2		5,000	Ford Credit Auto Owner Trust Series 2004-A, Class A3, 2.93%, 03/15/08		4,939
		36157NBQ6		132	GE Capital Mortgage Services, Inc. Series 1997-HE3, Class A6, 6.72%, 10/25/27		132
					Green Tree Financial Corp.
		393505FZ0		4,350	Series 1995-2, Class B1, 8.60%, 05/15/26		4,572
		393505KY7		4,610	Series 1995-10, Class B1, 7.05%, 01/15/26		4,038
		55264TBM2		1,000	MBNA Credit Card Master Note Trust Series 2003-C1, Class C1, FRN, 5.47%, 06/15/12		1,057
					MBNA Master Credit Card Trust USA
		55262TEF6		262	Series 1999-D, Class B, 6.50%, 11/15/08		265
		55262SAV7		1,500	Series 2000-D, Class C, 8.40%, 09/15/09		1,581
		68338SEJ3		2,741	Onyx Acceptance Grantor Trust Series 2004-B, Class A3, 3.09%, 09/15/08		2,722
		760985EZ0		125	Residential Asset Mortgage Products, Inc. Series 2001-RS3, Class AI4, SUB, 6.29%, 10/25/31		124
		81481MAW9		383	Security Pacific Acceptance Corp. Series 1995-1, Class A3, 7.25%, 05/10/17		388
		85333JBE6		600	Standard Credit Card Master Trust Series A, 7.25%, 04/07/08		609
		92927CAD2		3,926	WFS Financial Owner Trust Series 2003-4, Class A4, 3.15%, 05/20/11		3,853
					Total Asset Backed Securities (Cost $52,752)		52,438

1

	Cusip		Principal Amount		Security Description	Value
Collateralized Mortgage Obligations — 26.0%
Agency CMO —20.0 %
		026711AT8		5	American Housing Trust Series V, Class 1G, 9.13%, 04/25/21		6
					Federal Home Loan Mortgage Corp.
		31340YCX5		131	Series 11, Class D, 9.50%, 07/15/19		131
		31340YMP1		56	Series 38, Class D, 9.50%, 05/15/20		60
		31340YS42		36	Series 81, Class A, 8.13%, 11/15/20		36
		31340YU72		71	Series 84, Class F, 9.20%, 10/15/20		71
		312903EY9		44	Series 109, Class I, 9.10%, 01/15/21		44
		312906J50		13	Series 198, Class Z, 8.50%, 09/15/22		13
		312908GB6		681	Series 201, Class Z, 8.00%, 02/15/23		680
		312909NQ3		231	Series 1254, Class N, 8.00%, 04/15/22		230
		312910VJ8		564	Series 1316, Class Z, 8.00%, 06/15/22		571
		312911GX2		158	Series 1343, Class LB, 7.50%, 08/15/22		160
		312914HC1		296	Series 1456, Class Z, 7.50%, 01/15/23		304
		312915Z95		126	Series 1506, Class PH, 6.75%, 04/15/08		126
		312916PX1		3,540	Series 1538, Class J, 6.50%, 06/15/08		3,600
		312916Z44		1,000	Series 1543, Class VN, 7.00%, 07/15/23		1,046
		3133T0DB7		115	Series 1556, Class H, 6.50%, 08/15/13		118
		3133T0QX5		443	Series 1561, Class J, 6.50%, 08/15/08		450
		3133T1FB3		365	Series 1577, Class PV, 6.50%, 09/15/23		373
		3133T1NM0		383	Series 1595, Class D, 7.00%, 10/15/13		393
		3133T2PN4		344	Series 1611, Class JC, IF, 10.00%, 08/15/23		356
		3133T3KK3		3,523	Series 1628, Class LZ, 6.50%, 12/15/23		3,675
		3133T2CP3		802	Series 1630, Class PJ, 6.00%, 05/15/23		811
		3133T3FF0		3,777	Series 1637, Class G, 6.00%, 06/15/23		3,814
		3133T3XX1		561	Series 1667, Class B, 6.00%, 01/15/09		570
		3133T36V5		23	Series 1671, Class QC, IF, 10.00%, 02/15/24		23
		3133T6LB5		960	Series 1796, Class B, 6.50%, 12/15/08		976
		3133TCLJ5		415	Series 2022, Class PE, 6.50%, 01/15/28		426
		3133TD6D3		1,780	Series 2036, Class PG, 6.50%, 01/15/28		1,827
		3133TDX50		2,878	Series 2055, Class OE, 6.50%, 05/15/13		2,962
		3133TGKG3		414	Series 2089, Class PJ, 7.00%, 10/15/28		73
		3133TGT74		10,000	Series 2091, Class PG, 6.00%, 11/15/28		10,219
		3133TJD42		3,003	Series 2122, Class QR, 6.25%, 01/15/28		3,024
		3133THWC7		1,775	Series 2123, Class PE, 6.00%, 12/15/27		1,794
		3133TJVB6		710	Series 2132, Class PD, 6.00%, 11/15/27		718
		3133TJRL9		18	Series 2137, Class TM, 6.50%, 01/15/28		18
		3133TLH92		559	Series 2161, Class PG, 6.00%, 04/15/28		564
		3133TMGW0		1,227	Series 2201, Class C, 8.00%, 11/15/29		1,286
		3133TQ4M6		605	Series 2261, Class ZY, 7.50%, 10/15/30		620
		3133TRSS5		600	Series 2297, Class NB, 6.00%, 03/15/16		618
		3133TSQF3		521	Series 2310, Class Z, 6.00%, 04/15/31		527
		3133TTK67		225	Series 2313, Class LA, 6.50%, 05/15/31		232
		3133TTTB7		5,524	Series 2330, Class PE, 6.50%, 06/15/31		5,703
		313399AJ6		2,193	Series 2344, Class QG, 6.00%, 08/15/16		2,249
		313399TA5		2,437	Series 2345, Class PQ, 6.50%, 08/15/16		2,520
		31339GT50		1,985	Series 2368, Class TG, 6.00%, 10/15/16		2,037
		31339LFD7		3,802	Series 2394, Class MC, 6.00%, 12/15/16		3,901
		31339MSK5		1,000	Series 2399, Class PG, 6.00%, 01/15/17		1,038
		31339NHY5		300	Series 2410, Class QB, 6.25%, 02/15/32		313
		31339NW36		1,000	Series 2430, Class WF, 6.50%, 03/15/32		1,048
		31392KCN4		5,608	Series 2454, Class BG, 6.50%, 08/15/31		5,709
		31392K5C6		1,500	Series 2455, Class GK, 6.50%, 05/15/32		1,568
		31392PKZ7		10,000	Series 2457, Class PE, 6.50%, 06/15/32		10,295
		31392MM82		2,000	Series 2466, Class DH, 6.50%, 06/15/32		2,083

2

Cusip		Principal Amount		Security Description	Value
	31393HGW6		2,000	Series 2543, Class YX, 6.00%, 12/15/32		2,061
	31393JPS1		2,000	Series 2557, Class WJ, 5.00%, 07/15/14		2,006
	31393PHC1		542	Series 2602, Class BX, 3.50%, 12/15/22		514
	31393R6M7		2,000	Series 2617, Class GR, 4.50%, 05/15/18		1,931
	31393RMZ0		5,532	Series 2636, Class Z, 4.50%, 06/15/18		5,274
	31393WGT0		944	Series 2643, Class KG, 4.00%, 05/15/18		941
	31394HR86		2,013	Series 2656, Class AC, 6.00%, 08/15/33		2,044
	31394HUL3		1,149	Series 2668, Class SB, IF, 3.85%, 10/15/15		1,114
	31394KM50		3,500	Series 2686, Class GB, 5.00%, 05/15/20		3,504
	31394MNR7		5,000	Series 2715, Class NG, 4.50%, 12/15/18		4,834
	31394MNE6		2,000	Series 2716, Class UN, 4.50%, 12/15/23		1,890
	31394MYB0		5,000	Series 2720, Class PC, 5.00%, 12/15/23		4,968
	31394PNR0		780	Series 2755, Class SA, IF, 6.66%, 05/15/30		772
	31394PXG3		1,908	Series 2756, Class NA, 5.00%, 02/15/24		1,902
	31394TNN1		3,000	Series 2762, Class LD, 5.00%, 10/15/27		3,005
	31394TX67		2,000	Series 2764, Class UC, 5.00%, 05/15/27		2,004
	31394WJS8		1,223	Series 2776, Class SK, IF, 3.42%, 04/15/34		914
	31394YZY3		692	Series 2811, PO, 06/15/34		544
	31395CYD7		555	Series 2827, Class SQ, IF, 7.50%, 01/15/19		573
	31395TD27		1,346	Series 2958, Class KB, 5.50%, 04/15/35		1,347
	31395TRZ9		5,777	Series 2962, Class WJ, 5.50%, 06/15/24		5,888
	31395VAS8		5,375	Series 2993, Class MN, 5.00%, 06/15/23		5,385
				Federal Home Loan Mortgage Corp. Structured Pass
	31393LFK4		793	Through Securities Series T-54, Class 2A, 6.50%, 02/25/43		814
				Federal Home Loan Mortgage Corp.- Government National Mortgage Association
	3133T2UF5		584	Series 23, Class KZ, 6.50%, 11/25/23		599
	3133T2HS2		4,118	Series 24, Class J, 6.25%, 11/25/23		4,186
	3133T5FK4		690	Series 29, Class J, 7.00%, 09/25/23		694
	3133T5ER0		393	Series 31, Class Z, 8.00%, 04/25/24		424
				Federal National Mortgage Association
	313602DB7		42	Series 1988-13, Class C, 9.30%, 05/25/18		46
	3136026J8		493	Series 1989-72, Class E, 9.35%, 10/25/19		535
	313603MV1		17	Series 1989-98, Class H, 11.50%, 12/25/19		19
	313603QH8		28	Series 1990-1, Class D, 8.80%, 01/25/20		30
	31358E5A6		36	Series 1990-110, Class H, 8.75%, 09/25/20		38
	31358FCQ0		26	Series 1990-117, Class E, 8.95%, 10/25/20		28
	31358J2K6		246	Series 1991-141, Class PZ, 8.00%, 10/25/21		260
	31358LQ66		123	Series 1992-31, Class M, 7.75%, 03/25/22		129
	31358NJM5		155	Series 1992-78, Class H, 7.50%, 06/25/07		157
	31358NZD7		153	Series 1992-79, Class Z, 9.00%, 06/25/22		165
	31358NWF5		152	Series 1992-101, Class J, 7.50%, 06/25/22		155
	31358QA47		34	Series 1992-179, Class H, 7.00%, 09/25/07		34
	31358Q4G7		1,473	Series 1992-188, Class PZ, 7.50%, 10/25/22		1,546
	31358TSG5		32	Series 1993-17, Class C, 8.00%, 11/25/10		32
	31358T5U9		109	Series 1993-23, Class PZ, 7.50%, 03/25/23		116
	31358UJ98		277	Series 1993-55, Class K, 6.50%, 05/25/08		281
	31358U5G7		549	Series 1993-56, Class PZ, 7.00%, 05/25/23		571
	31358UR24		454	Series 1993-60, Class Z, 7.00%, 05/25/23		475
	31359AMH9		966	Series 1993-79, Class PL, 7.00%, 06/25/23		1,018
	31359ATA7		219	Series 1993-86, Class H, 6.50%, 06/25/08		223
	31359BH26		53	Series 1993-140, Class H, 6.50%, 03/25/13		53
	31359B4M6		1,602	Series 1993-141, Class Z, 7.00%, 08/25/23		1,681
	31359B6U6		843	Series 1993-149, Class M, 7.00%, 08/25/23		877
	31359DXC2		1,084	Series 1993-160, Class AJ, 6.50%, 04/25/23		1,101

3

Cusip		Principal Amount		Security Description	Value
	31359DXD0		1,563	Series 1993-160, Class ZA, 6.50%, 09/25/23		1,660
	31359ECX7		1,070	Series 1993-175, Class PG, 6.50%, 09/25/08		1,087
	31359EK34		29	Series 1993-205, Class H, PO, 09/25/23		25
	31359FLM8		151	Series 1993-231, Class M, 6.00%, 12/25/08		152
	31359FF52		120	Series 1993-255, Class E, 7.10%, 12/25/23		128
	31359FX78		782	Series 1993-257, Class C, PO, 06/25/23		707
	31359F3X4		1,500	Series 1994-1, Class L, 6.50%, 01/25/14		1,551
	31359GYS9		111	Series 1994-23, Class PE, 6.00%, 08/25/22		111
	31359GYZ3		3,800	Series 1994-23, Class PX, 6.00%, 08/25/23		3,890
	31359GE85		2,000	Series 1994-28, Class K, 6.50%, 08/25/23		2,028
	31359GJ72		116	Series 1994-32, Class Z, 6.50%, 03/25/09		117
	31359HRM8		400	Series 1994-65, Class PK, PO, 04/25/24		344
	31359LQE8		449	Series 1995-4, Class Z, 7.50%, 10/25/22		483
	31359LZK4		338	Series 1995-19, Class K, 6.50%, 09/25/08		343
	31359LZB4		649	Series 1995-19, Class Z, 6.50%, 11/25/23		696
	31359KM20		431	Series 1996-59, Class K, 6.50%, 07/25/23		438
	31359NTJ0		443	Series 1997-11, Class E, 7.00%, 03/18/27		462
	31359NR78		185	Series 1997-27, Class J, 7.50%, 04/18/27		195
	31359PEL6		2,500	Series 1997-31, Class EB, 6.00%, 04/18/12		2,560
	31359PW77		500	Series 1997-42, Class EG, 8.00%, 07/18/27		566
	31359QLQ5		2,761	Series 1997-63, Class ZA, 6.50%, 09/18/27		2,857
	31359UV93		219	Series 1998-63, Class PG, 6.00%, 03/25/27		219
	31359WXR7		1,865	Series 1999-47, Class JZ, 8.00%, 09/18/29		2,028
	31359XYK9		1,422	Series 2000-8, Class Z, 7.50%, 02/20/30		1,493
	31359SGY0		2,597	Series 2001-4, Class PC, 7.00%, 03/25/21		2,714
	31359SMR8		1,801	Series 2001-5, Class OW, 6.00%, 03/25/16		1,843
	31392BS56		1,000	Series 2002-11, Class QG, 5.50%, 03/25/17		1,024
	31392CVJ0		251	Series 2002-16, Class VD, 6.50%, 06/25/18		251
	31392CHD9		5,000	Series 2002-18, Class PC, 5.50%, 04/25/17		5,114
	31392EEV8		1,000	Series 2002-55, Class QE, 5.50%, 09/25/17		1,017
	31392EYB0		1,500	Series 2002-61, Class PE, 5.50%, 05/25/16		1,515
	31392FPN1		2,000	Series 2002-74, Class PD, 5.00%, 11/25/15		2,001
	31392HM75		2,500	Series 2003-8, Class QD, 5.00%, 09/25/16		2,499
	31393CRH8		2,000	Series 2003-47, Class PE, 5.75%, 06/25/33		2,025
	31393B2K0		558	Series 2003-60, Class DA, 4.25%, 06/25/21		544
	31393DZD6		3,353	Series 2003-73, Class GA, 3.50%, 05/25/31		3,190
	31393ERS0		2,000	Series 2003-83, Class PG, 5.00%, 06/25/23		1,987
	31393EQX0		150	Series 2003-91, Class SD, IF, 6.12%, 09/25/33		143
	31393TCH7		7,600	Series 2003-92, Class PD, 4.50%, 03/25/17		7,483
	31393T2K1		5,000	Series 2003-113, Class PC, 4.00%, 03/25/15		4,876
	31393UYP2		1,000	Series 2003-128, Class KE, 4.50%, 01/25/14		988
	31393UYD9		9,247	Series 2003-128, Class NG, 4.00%, 01/25/19		8,671
	31393XPM3		1,000	Series 2004-21, Class AE, 4.00%, 04/25/19		925
	31393XHW0		247	Series 2004-22, Class A, 4.00%, 04/25/19		228
	31394ABD7		1,000	Series 2004-53, Class NC, 5.50%, 07/25/24		1,027
	31394DQZ6		4,700	Series 2005-40, Class YA, 5.00%, 09/25/20		4,706
	31394E3U0		5,235	Series 2005-68, Class JK, 5.25%, 05/25/35		5,236
	31358JWF4		98	Series G-29, Class O, 8.50%, 09/25/21		102
	31358LK47		812	Series G92-15, Class Z, 7.00%, 01/25/22		834
	31358NRT1		66	Series G92-30, Class Z, 7.00%, 06/25/22		68
	31358Q7C3		137	Series G92-62, Class B, PO, 10/25/22		119
	31393XGQ4		1,151	Federal National Mortgage Association Whole Loan Series 2004-W2, Class 2A2, 7.00%, 02/25/44		1,202
				Government National Mortgage Association
	3837H0P98		517	Series 1997-7, Class ZA, 9.00%, 05/16/27		557

4

	Cusip		Principal Amount		Security Description	Value
		3837H0S79		632	Series 1997-8, Class PN, 7.50%, 05/16/27		659
		3837H3CG0		147	Series 1999-43, Class TA, IF, 9.35%, 11/16/29		161
		3837H3ST5		1,614	Series 1999-44, Class ZG, 8.00%, 12/20/29		1,699
		3837H32Y2		2,986	Series 2000-1, Class PK, 8.00%, 01/16/30		3,146
		3837H4ND3		992	Series 2000-9, Class Z, 8.00%, 06/20/30		1,017
		3837H4A21		845	Series 2000-26, Class Z, 7.75%, 09/20/30		870
		38373TN35		2,762	Series 2002-4, Class TD, 7.00%, 01/20/32		2,888
		38373XDM5		3,000	Series 2002-45, Class QE, 6.50%, 06/20/32		3,132
		38373X6F8		150	Series 2002-47, Class HM, 6.00%, 07/16/32		155
		38374H4S6		140	Series 2004-73, Class AE, IF, 7.04%, 08/17/34		138
					Vendee Mortgage Trust
		911760HH2		2,738	Series 1996-2, Class 1Z, 6.75%, 06/15/26		2,847
		911760LH7		7,200	Series 1998-1, Class 2E, 7.00%, 09/15/27		7,479
		911760MJ2		306	Series 1999-1, Class 2Z, 6.50%, 01/15/29		315
							263,246
Non-Agency CMO — 6.0%
		000780KP0		595	ABN Amro Mortgage Corp Series 2003-7, Class A3, 4.50%, 07/25/18		579
					Banc of America Mortgage Securities
		05948XSR3		1,665	Series 2003-7, Class A2, 4.75%, 09/25/18		1,640
		05948X4Q1		1,458	Series 2004-2, Class 2A4, 5.50%, 03/25/34		1,461
		05949ABG4		6,082	Series 2004-3, Class 2A1, 5.50%, 04/25/34		6,074
		05949AQC7		1,000	Series 2004-7, Class 2A2, 5.75%, 08/25/34		1,008
		05949ATR1		703	Series 2004-8, Class X, PO, 10/25/34		655
		05949AP87		504	Series 2005-1, Class 1A17, 5.50%, 02/25/35		484
		07383FCU0		918	Bear Stearns Commercial Mortgage Securities Series 2000-WF1, Class A1, 7.64%, 02/15/32		962
		073914VW0		31	Bear Stearns Mortgage Securities, Inc. Series 1997-6, Class 1A, VAR, 6.67%, 03/25/31		31
					BHN II Mortgage Trust
		BOS44XAC3		439	Series 1997-1, Class A2, 7.92%, 07/25/09 (i)		11
		BOS44UAC9		703	Series 1997-2, Class A2, 7.54%, 05/31/17 (i)		35
		15132EEX2		2,297	Cendant Mortgage Corp. Series 2003-8, Class 1A8, 5.25%, 09/25/33		2,276
		17307GAS7		380	Citigroup Mortgage Loan Trust, Inc. Series 2003-UST1, Class 3, PO, 12/25/18		337
					Countrywide Alternative Loan Trust
		12669FFD0		2,405	Series 2003-J3, Class 2A1, 6.25%, 12/25/33		2,438
		12667FLY9		6,013	Series 2004-16CB, Class 2A2, 5.00%, 08/25/19		5,940
		12667GVN0		859	Series 2005-J6, Class 2A1, 5.50%, 07/25/25		858
					Countrywide Home Loan Mortgage Pass Through Trust
		12669DPY8		4,000	Series 2002-32, Class 1A18, 6.00%, 01/25/33		4,026
		12669DSZ2		500	Series 2002-35, Class 2A10, 6.00%, 02/25/33		513
		12669GB91		232	Series 2005-13, Class A1, 5.50%, 06/25/35		233
					Credit Suisse First Boston Mortgage Securities Corp.
		22540AE38		4	Series 2001-9, Class 2A5, 8.50%, 04/25/31		4
		225458AR9		1,000	Series 2005-1, Class 1A16, 5.50%, 02/25/35		988
		23322BKE7		1,975	DLJ Commercial Mortgage Corp. Series 2000-CF1, Class A1B, 7.62%, 06/10/33		2,186
		32051GEM3		2,343	First Horizon Asset Securities, Inc. Series 2004-AR7, Class 2A1, FRN, 4.94%, 02/25/35		2,334
		576433UE4		1,291	MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, FRN, 3.82%, 04/21/34		1,264
					MASTR Alternative Loans Trust
		576435BB6		968	Zero Coupon, 05/28/35		723

5

	Cusip		Principal Amount		Security Description	Value
		576434JU9		703	Series 2003-8, Class 3A1, 5.50%, 12/25/33		705
		576434TQ7		417	Series 2004-7, Class 30, PO, 08/25/34		315
		576434VU5		4,381	Series 2004-10, Class 1A1, 4.50%, 09/25/19		4,261
		576434XE9		1,067	Series 2004-11, Class 8A3, 5.50%, 10/25/19		1,075
					MASTR Asset Securitization Trust
		55265KUZ0		2,645	Series 2003-4, Class 2A2, 5.00%, 05/25/18		2,647
		55265KYZ6		495	Series 2003-6, Class 8A1, 5.50%, 07/25/33		492
		55265KX95		1,563	Series 2003-11, Class 3A1, 4.50%, 12/25/18		1,520
		57643MDJ0		447	Series 2004-6, Class 15, PO, 07/25/19		339
		57643MEH3		879	Series 2004-8, PO, 08/25/19		688
		61913PAP7		1,445	Mortgage IT Trust Series 2005-1, Class 1A1, VAR, 4.15%, 02/25/35		1,445
		62951MAM2		1,030	Nomura Asset Acceptance Corp. Series 2004-R2, Class A1, VAR, 6.50%, 10/25/34 (e)		1,048
					Paine Webber CMO Trust
		69573QAE4		36	Series H, Class 4, 8.75%, 04/01/18		38
		69573TAC2		7	Series J, Class 3, 8.80%, 05/01/18		7
		69573VAC7		43	Series L, Class 4, 8.95%, 07/01/18		45
		69348RJU1		64	PNC Mortgage Securities Corp. Series 1999-4, Class 4A4, 6.50%, 05/25/29		64
					Residential Accredit Loans, Inc.
		76110HUL1		550	Series 2004-QS8, Class A2, 5.00%, 06/25/34		542
		76110H3A5		4,000	Series 2005-QS5, Class A4, 5.75%, 04/25/35		3,961
					Residential Funding Mortgage Securities I
		76111J3K8		1,770	Series 2003-S7, Class A17, 4.00%, 05/25/33		1,713
		76111XHP1		2,902	Series 2004-S4, Class 2A7, 4.50%, 04/25/19		2,823
		760985VH1		1,309	Residential Funding Securities Corp. Series 2003-RM2, Class AII, 5.00%, 05/25/18		1,300
		86359AM67		349	Structured Asset Securities Corp Series 2003-21, Class 1A3, 5.50%, 07/25/33		350
		929766WJ8		2,000	Wachovia Bank Commercial Mortgage Trust Series 2004-C15, Class A2, 4.04%, 10/15/41		1,944
					Washington Mutual, Inc.
		22540VY63		3,193	Series 2002-S4, Class A4, 6.50%, 10/19/29		3,223
		92922FNJ3		1,668	Series 2004-AR3, Class A2, VAR, 4.24%, 06/25/34		1,644
					Wells Fargo Mortgage Backed Securities Trust
		94979RAJ9		208	Series 2003-8, Class A9, 4.50%, 08/25/18		200
		949762AA6		631	Series 2003-10, Class A1, 4.50%, 09/25/18		611
		949761AD2		500	Series 2003-11, Class 1A4, 4.75%, 10/25/18		492
		94981CBD0		414	Series 2003-17, Class 2A9, PO, 01/01/34		228
		94982CAJ7		320	Series 2004-DD, Class 2A8, FRN, 4.53%, 01/25/35		312
		949779AC6		2,611	Series 2004-EE, Class 3A1, FRN, 3.99%, 01/25/35		2,553
		94978LAC8		399	Series 2004-Q, Class 1A3, FRN, 4.92%, 09/25/34		388
		94978LAG9		2,477	Series 2004-Q, Class 2A2, FRN, 4.88%, 09/25/34		2,408
		94981WAE5		2,000	Series 2004-S, Class A5, FRN, 3.54%, 09/25/34		1,928
							78,369
					Total Collateralized Mortgage Obligations (Cost $340,514)		341,615
Corporate Bonds — 33.6%
Aerospace & Defense — 0.4%
		05366BAB8		500	Aviall, Inc. 7.63%, 07/01/11		515
		502413AT4		750	L-3 Communications Corp. 6.38%, 10/15/15 (e)		755
		543859AH5		400	Loral Corp. 7.00%, 09/15/23		465
		615394AF0		750	Moog, Inc. 6.25%, 01/15/15		754
		817320AL8		500	Sequa Corp. Series B 8.88%, 04/01/08		520

6

	Cusip		Principal Amount		Security Description	Value
		87203RAC6		1,479	Systems 2001 AT LLC
					7.16%, 12/15/11 (e)		1,559
							4,568
Airlines — 1.0%
					American Airlines, Inc.
		023771Q92		500	7.25%, 02/05/09		490
		023778AB9		992	10.18%, 01/02/13		719
		210795PL8		447	Continental Airlines, Inc. 7.88%, 07/02/18		413
		247361XHA		642	Delta Airlines Inc. 10.00%, 12/05/14 (d) (e)		128
					NWA Trust
		62945CAK7		4,631	9.25%, 06/21/14 (d)		4,637
		62945CAL5		3,308	10.23%, 06/21/14 (d)		2,580
					United Airlines, Inc.
		909279AT8		1,000	9.13%, 01/15/12 (d)		147
		909317AY5		4,258	6.07%, 09/01/14 (d)		4,111
							13,225
Auto Components — 0.1%
		043339CA6		750	Arvin Industries, Inc. 7.13%, 03/15/09		731
Automobiles — 0.2%
		233835AT4		2,000	DaimlerChrysler NA Holding Corp. 7.30%, 01/15/12		2,172
Beverages — 0.1%
		071766AA7		500	Bavaria S.A. (Colombia) 8.88%, 11/01/10 (e)		551
		191219AY0		400	Coca-Cola Enterprises, Inc. 6.95%, 11/15/26		468
							1,019
Capital Markets — 3.7%
		03939RAB6		550	Arch Western Finance LLC 6.75%, 07/01/13		561
		064057BB7		1,000	Bank of New York Co., Inc. (The) 5.20%, 07/01/07		1,010
					Bear Stearns Cos., Inc. (The)
		073902CF3		2,325	3.25%, 03/25/09		2,216
		073902CE6		2,000	4.50%, 10/28/10		1,969
					Credit Suisse First Boston USA, Inc.
		22541LAH6		2,000	5.50%, 08/15/13		2,061
		22541LAB9		1,690	6.13%, 11/15/11		1,796
		257661AE8		500	6.50%, 04/01/08		521
		257661AF5		1,000	6.50%, 06/01/08		1,041
		302508BA3		1,000	FMR Corp. 4.75%, 03/01/13 (e)		992
		38142EAR9		500	Goldman Sachs Group LP 6.75%, 02/15/06 (e)		504
					Goldman Sachs Group, Inc.
		38141GDK7		1,575	4.75%, 07/15/13		1,539
		38141GDQ4		780	5.25%, 10/15/13		787
		38141GBU7		2,000	6.60%, 01/15/12		2,168
		38141GAZ7		1,500	6.88%, 01/15/11		1,633
					Lehman Brothers Holdings, Inc.
		524908FD7		3,525	4.00%, 01/22/08		3,477
		52517PVU2		235	3.60%, 03/13/09		226
		524908BF6		295	8.50%, 08/01/15		362
					Merrill Lynch & Co., Inc.
		59018YRN3		2,750	Series B, 3.13%, 07/15/08		2,642
		59018YSK8		1,900	Series C, 4.13%, 01/15/09		1,868
		59018YVV0		1,100	4.79%, 08/04/10		1,096
					Morgan Stanley
		61744AAN0		1,750	4.25%, 05/15/10		1,706
		617446HR3		1,000	5.30%, 03/01/13		1,010
		617446HC6		3,500	6.60%, 04/01/12		3,792

7

	Cusip		Principal Amount		Security Description	Value
		617446GM5		1,850	6.75%, 04/15/11		2,013
					National Rural Utilities Cooperative Finance Corp.
		637432CQ6		3,500	6.00%, 05/15/06		3,534
		637432CU7		400	7.25%, 03/01/12		451
		86679PAA1		5,000	Sun Life Canada U.S. Capital Trust (Canada) 8.53%, 05/29/49 (e)		5,439
					TIAA Global Markets, Inc.
		87244HAB1		1,000	4.13%, 11/15/07		989
		87244HAA3		1,000	5.00%, 03/01/07 (e)		1,004
							48,407
Chemicals — 0.8%
		009363AD4		750	Airgas, Inc. 6.25%, 07/15/14		757
		26054CAD5		1,000	Dow Capital BV 8.50%, 06/08/10		1,138
		277432AD2		250	Eastman Chemical Co. 7.60%, 02/01/27		293
		263534BM0		775	EI Du Pont de Nemours & Co. 4.13%, 04/30/10		759
		29444NAD4		500	Equistar Chemicals LP 8.75%, 02/15/09		520
		373200AJ3		500	Georgia Gulf Corp. 7.13%, 12/15/13		510
		447012AB1		1,000	Huntsman International LLC 10.13%, 07/01/09		1,029
					IMC Global, Inc.
		449669CG3		9	7.63%, 11/01/05		9
		449669CN8		750	10.88%, 08/01/13		885
		450295AE0		1,000	ISP Chemco, Inc. Series B, 10.25%, 07/01/11		1,079
		552078AV9		500	Lyondell Chemical Co. 10.50%, 06/01/13		565
		61166WAA9		735	Monsanto Co. 7.38%, 08/15/12		837
		66977WAF6		900	Nova Chemicals Corp. (Canada) 6.50%, 01/15/12		874
		88089PAD5		500	Terra Capital, Inc. 11.50%, 06/01/10		573
							9,828
Commercial Banks — 3.8%
					Bank of America Corp.
		060505BF0		1,000	4.38%, 12/01/10		982
		63858SBC2		1,500	6.98%, 03/07/37		1,794
		060505AG9		1,000	7.40%, 01/15/11		1,117
		060505AD6		2,900	7.80%, 02/15/10		3,237
		638585AU3		500	7.80%, 09/15/16		609
		38375TAA1		7,125	Bank of Scotland (United Kingdom) VAR, 7.00%, 12/31/49 (e)		7,413
		066365DC8		250	Bankers Trust Corp. 7.25%, 10/15/11		280
		054937AC1		1,000	BB&T Corp. 6.50%, 08/01/11		1,081
		10513QBD2		1,750	Branch Banking & Trust Co. 4.88%, 01/15/13		1,746
		90331VAW2		2,500	First Bank NA 6.50%, 02/01/08		2,602
		33901AAA6		1,000	FleetBoston Financial Corp. 7.38%, 12/01/09		1,098
		404280AE9		400	HSBC Holdings plc (United Kingdom) 7.35%, 11/27/32 (e)		483
					Huntington National Bank
		44643TAB3		2,000	8.00%, 04/01/10		2,243
		49306CAE1		700	KEY Bank NA 5.70%, 08/15/12		729
		492921AA9		5,000	Key Bank USA NA 7.55%, 09/15/06		5,125
		571834AE0		1,740	Marshall & Ilsley Corp. 4.38%, 08/01/09		1,720
		585510CG3		500	Mellon Funding Corp. 6.38%, 02/15/10		532
		63534PAD9		1,500	National City Bank 4.63%, 05/01/13		1,469
		638539AH9		1,500	National Westminster Bank plc (United Kingdom) 7.38%, 10/01/09		1,648
					Popular North America, Inc.
		73318EAJ2		825	4.25%, 04/01/08		814
		73318EAF0		500	Series E, 6.13%, 10/15/06		505
		7800876N7		2,035	Royal Bank of Canada (Canada) 3.88%, 05/04/09		1,992

8

	Cusip		Principal Amount		Security Description	Value
		867914AH6		2,500	SunTrust Banks, Inc. 6.00%, 02/15/26		2,678
		904851AA0		500	UnionBanCal Corp. 5.25%, 12/16/13		503
		911596AL8		2,000	U.S. Bancorp 7.50%, 06/01/26		2,484
					Wells Fargo & Co.
		949746JJ1		1,000	4.20%, 01/15/10		980
		949746CD1		1,500	5.90%, 05/21/06		1,513
		949746CE9		1,500	6.38%, 08/01/11		1,607
		949748AF4		1,000	Wells Fargo Bank NA 6.45%, 02/01/11		1,076
							50,060
Commercial Services & Supplies — 0.4%
		01958XAS6		1,000	Allied Waste North America Series B, 8.88%, 04/01/08		1,042
		22025YAH3		750	Corrections Corp. of America 6.25%, 03/15/13		743
		63860BAC6		500	NationsRent Cos., Inc. 9.50%, 10/15/10		545
		693320AF0		1,300	PHH Corp. 7.13%, 03/01/13		1,400
		71902QAC6		530	Phoenix Color Corp. 10.38%, 02/01/09		488
		911365AN4		750	United Rentals North America, Inc. 6.50%, 02/15/12		724
							4,942
Communications Equipment — 0.0% (g)
		219350AN5		500	Corning, Inc. 6.20%, 03/15/16		514
Computers & Peripherals — 0.2%
					International Business Machines Corp.
		45920QBY9		1,000	5.39%, 01/22/09		1,021
		459200AM3		650	7.00%, 10/30/25		773
		81180RAB8		500	Seagate Technology HDD Holdings (Cayman Islands) 8.00%, 05/15/09		525
							2,319
Construction Materials — 0.1%
		411336AA8		1,300	Hanson Australia Funding Ltd. (Australia) 5.25%, 03/15/13		1,298
Consumer Finance — 1.8%
		025818EM3		3,000	American Express Credit Corp. 3.00%, 05/16/08		2,890
		14040EHF2		200	Capital One Bank 4.88%, 05/15/08		200
					General Motors Acceptance Corp.
		370425RW2		1,300	6.13%, 09/15/06		1,304
		370425RU6		2,800	7.25%, 03/02/11		2,604
					HSBC Finance Corp.
		441812GE8		7,200	5.88%, 02/01/09		7,430
		441812KA1		500	6.38%, 11/27/12		537
		441812GD0		1,000	6.50%, 11/15/08		1,050
		441812FT6		1,000	7.25%, 05/15/06		1,017
					International Lease Finance Corp.
		45974VYY8		500	4.00%, 01/17/06		500
		459745FF7		190	4.50%, 05/01/08		188
		459745FA8		1,000	5.63%, 06/01/07		1,014
		459745FG5		210	5.88%, 05/01/13		219
		24422EPP8		2,000	John Deere Capital Corp. 4.63%, 04/15/09		1,994
		5526E0AK9		350	MBNA America Bank N.A. 5.38%, 01/15/08		355
		78442FCP1		1,250	SLM Corp. 3.50%, 09/30/06		1,234
		885218AB3		750	Thornburg Mortgage, Inc. REIT 8.00%, 05/15/13		742
							23,278
Containers & Packaging — 0.2%
		058498AF3		750	Ball Corp. 6.88%, 12/15/12		765
		65542NAJ6		750	Norampac, Inc. (Canada) 6.75%, 06/01/13		746
					Owens Brockway Glass Container, Inc.
		69073TAH6		250	7.75%, 05/15/11		260

9

	Cusip		Principal Amount		Security Description	Value
		69073TAB9		500	8.88%, 02/15/09		525
							2,296
Diversified Financial Services — 4.8%
					Associates Corp. of N.A.
		046003JT7		1,000	6.25%, 11/01/08		1,046
		046003DD8		6,000	8.15%, 08/01/09		6,715
		046003EJ4		500	Series B, 7.95%, 02/15/10		560
		136440AL8		280	Canadian Pacific Ltd. (Canada) 9.45%, 08/01/21		401
		14912L2U4		1,200	Caterpillar Financial Services Corp 4.50%, 09/01/08		1,195
					CIT Group, Inc.
		125577AN6		3,450	4.13%, 02/21/06		3,449
		12560PCL3		1,325	6.88%, 11/01/09		1,426
		125581AB4		1,000	7.75%, 04/02/12		1,146
		172967AV3		5,000	Citigroup, Inc. 6.25%, 12/01/05		5,015
		218698AA6		6,500	Corestates Capital Trust I 8.00%, 12/15/26 (e)		6,949
		28257PAC9		500	Eircom Funding Corp. (Ireland) 8.25%, 08/15/13		543
					Ford Motor Credit Co.
		345397NJ8		250	6.25%, 12/08/05		250
		345397SM6		4,100	7.38%, 10/28/09		3,960
		345397ST1		1,680	7.88%, 06/15/10		1,635
		302941AC3		500	FTI Consulting, Inc. 7.63%, 06/15/13 (e)		510
					General Electric Capital Corp.
		36962GM68		1,000	4.38%, 11/21/11		979
		36962GXZ2		1,100	6.75%, 03/15/32		1,294
		36962GF41		5,000	Series A, 2.80%, 01/15/07		4,900
		36962GB78		500	Series A, 3.50%, 05/01/08		487
		36962GZZ0		885	Series A, 4.25%, 01/15/08		880
		36962GXS8		1,750	Series A, 5.88%, 02/15/12		1,839
		36962GYY4		700	Series A, 6.00%, 06/15/12		745
		36962GWB6		1,750	Series A, 6.13%, 02/22/11		1,856
		41011WBX7		2,000	John Hancock Global Funding II 3.50%, 01/30/09 (e)		1,923
		57629WAV2		6,000	MassMutual Global Funding II 3.50%, 03/15/10 (e)		5,677
					New York Life Global Funding
		64952WAB9		1,000	3.88%, 01/15/09 (e)		976
		64952WAA1		1,250	5.38%, 09/15/13 (e)		1,286
					Principal Life Global Funding I
		7425A0BA7		2,500	2.80%, 06/26/08 (e)		2,386
		7425A0AM2		1,000	5.13%, 06/28/07 (e)		1,005
					Textron Financial Corp.
		88319QH22		1,615	4.60%, 05/03/10		1,599
		892332AL1		700	Toyota Motor Credit Corp. 2.88%, 08/01/08		670
							63,302
Diversified Telecommunication Services — 1.5%
		079860AD4		100	BellSouth Corp. 6.88%, 10/15/31		111
		111021AD3		2,000	British Telecommunications plc (United Kingdom) 8.38%, 12/15/10		2,316
		17453BAP6		750	Citizens Communications Co. 6.25%, 01/15/13		720
		362320AW3		400	GTE Corp. 7.90%, 02/01/27		427
		45768YAF9		500	Insight Midwest LP 10.50%, 11/01/10		525
		530715AB7		1,000	Liberty Media Corp. 7.88%, 07/15/09		1,052
		576323AD1		500	Mastec, Inc. 7.75%, 02/01/08		500
					MCI, Inc.
		552691AA5		111	6.91%, 05/01/07		112
		552691AC1		111	7.69%, 05/01/09		115

10

	Cusip		Principal Amount		Security Description	Value
		552691AE7		95	8.73%, 05/01/14		106
		650094CD5		500	New York Telephone Co. 6.13%, 01/15/10		514
		670768AA8		756	Nynex Corp. 9.55%, 05/01/10		838
		74913GAE5		1,000	Qwest Corp. 7.88%, 09/01/11		1,043
					Sprint Capital Corp.
		852060AM4		1,600	6.00%, 01/15/07		1,627
		852060AJ1		1,000	7.63%, 01/30/11		1,119
		852060AS1		370	8.38%, 03/15/12		435
		852060AT9		800	8.75%, 03/15/32		1,073
		87971MAC7		1,250	TELUS Corp. (Canada) 8.00%, 06/01/11		1,430
		913026AT7		270	United Telephone Co. of Florida Series HH, 8.38%, 01/15/25		338
		923474AA8		1,500	Verizon Florida, Inc. Series F, 6.13%, 01/15/13		1,557
		078167AZ6		2,500	Verizon Pennsylvania, Inc. 8.35%, 12/15/30		3,062
							19,020
Electric Utilities — 1.7%
		010392EJ3		890	Alabama Power Co. Series Y, 2.80%, 12/01/06		873
		025537AA9		600	American Electric Power Co., Inc. Series A, 6.13%, 05/15/06		606
					Carolina Power & Light Co.
		144141CT3		1,250	5.13%, 09/15/13		1,259
		144141CK2		1,000	5.95%, 03/01/09		1,035
		12561WAB1		1,000	Cleco Corp. 7.00%, 05/01/08		1,035
		209111EG4		1,000	Consolidated Edison Co. of New York 4.70%, 06/15/09		1,002
		210371AG5		1,555	Constellation Energy Group, Inc. 6.35%, 04/01/07		1,590
					Dominion Resources, Inc.
		25746UAA7		1,250	Series A, 8.13%, 06/15/10		1,409
		25746UAJ8		400	Series B, 6.25%, 06/30/12		424
		233293AE9		396	DPL, Inc. 8.25%, 03/01/07		416
		233331AG2		1,000	DTE Energy Co. Series A, 6.65%, 04/15/09		1,056
					Duke Energy Corp.
		264399EL6		2,500	4.20%, 10/01/08		2,461
		264399EF9		1,000	5.63%, 11/30/12		1,032
		30161NAA9		2,400	Exelon Corp. 6.75%, 05/01/11		2,572
		30257FAA1		487	FPL Energy National Wind 6.13%, 03/25/19 (e)		481
					Nevada Power Co.
		641423BH0		125	6.50%, 04/15/12		130
		641423AZ1		375	8.25%, 06/01/11		416
		664397AF3		1,000	Northeast Utilities 3.30%, 06/01/08		960
		668074AM9		900	NorthWestern Corp 5.88%, 11/01/14		909
		69512EGB5		250	Pacificorp 7.24%, 08/16/23		290
		826418BB0		750	Sierra Pacific Power Co. 6.25%, 04/15/12		763
		882587AX6		600	Texas-New Mexico Power Co. 6.13%, 06/01/08		610
		873168AL2		500	TXU Corp. 5.60%, 11/15/14 (e)		475
							21,804
Electronic Equipment & Instruments — 0.1%
		053807AK9		500	Avnet, Inc. 9.75%, 02/15/08		550
		33938EAN7		1,000	Flextronics International Ltd. (Singapore) 6.25%, 11/15/14		995
							1,545
Energy Equipment & Services — 0.5%
		204386AE6		650	Compagnie Generale de Geophysique S.A. (France) 7.50%, 05/15/15 (e)		676
		38821GAG6		500	Grant Prideco Inc 6.13%, 08/15/15 (e)		505
		676255AL6		500	Offshore Logistics, Inc. 6.13%, 06/15/13		492
		688343AB8		2,570	Oslo Seismic Services, Inc. 8.28%, 06/01/11		2,685
		716599AB1		500	Petroleum Geo-Services ASA (Norway) 10.00%, 11/05/10		560

11

	Cusip		Principal Amount		Security Description	Value
		74153QAF9		875	Pride International, Inc. 7.38%, 07/15/14		950
							5,868
Food & Staples Retailing — 0.3%
		008685AC3		500	Ahold Finance USA, Inc. 8.25%, 07/15/10		545
		013104AE4		1,650	Albertson’s, Inc. 6.95%, 08/01/09		1,639
		246688AD7		500	Delhaize America, Inc. 7.38%, 04/15/06		507
					Kroger Co. (The)
		501044BY6		600	7.80%, 08/15/07		630
		501044BX8		1,000	8.05%, 02/01/10		1,102
							4,423
Food Products — 0.6%
		219023AB4		500	Corn Products International, Inc. 8.25%, 07/15/07		529
		22111YAA3		500	Cosan S.A. Industria e Comercio (Brazil) 9.00%, 11/01/09 (e)		530
		256605AN6		500	Dole Food Co., Inc. 7.25%, 06/15/10		497
		386088AH1		4,580	Grand Metropolitan Investment Corp. (United Kingdom) 7.45%, 04/15/35		5,902
		832248AH1		500	Smithfield Foods, Inc. Series B, 7.75%, 05/15/13		525
		902494AL7		400	Tyson Foods, Inc. 7.25%, 10/01/06		410
							8,393
Gas Utilities — 0.4%
		030981AC8		650	Amerigas Partners LP 7.25%, 05/20/15 (e)		679
		435765AA0		500	Holly Energy Partners LP 6.25%, 03/01/15 (e)		495
		49337EAA8		1,000	KeySpan Gas East Corp. 7.88%, 02/01/10		1,121
		69422PAB5		500	Pacific Energy Partners LP 7.13%, 06/15/14		519
		726503AD7		500	Plains All American Pipeline LP 7.75%, 10/15/12		568
					SEMCO Energy, Inc.
		78412DAJ8		500	7.13%, 05/15/08		509
		78412DAL3		250	7.75%, 05/15/13		262
		842434CE0		835	Southern California Gas Co. 4.38%, 01/15/11		823
							4,976
Health Care Equipment & Supplies — 0.4%
		075816AA6		3,000	Beckman Coulter, Inc. 7.05%, 06/01/26		3,480
		338032AZ8		1,000	Fisher Scientific International, Inc. 6.75%, 08/15/14		1,048
		35802QAB4		350	Fresenius Medical Care Capital Trust 7.88%, 06/15/11		376
		714046AD1		750	PerkinElmer, Inc. 8.88%, 01/15/13		821
							5,725
Health Care Providers & Services — 0.2%
		222862AD6		900	Coventry Health Care, Inc. 5.88%, 01/15/12		914
		404119AA7		1,000	HCA, Inc. 8.75%, 09/01/10		1,104
		860370AE5		500	Stewart Enterprises, Inc. 6.25%, 02/15/13 (e)		475
							2,493
Hotels, Restaurants & Leisure — 0.4%
		700690AN0		500	Caesars Entertainment, Inc. 7.50%, 09/01/09		540
		460915AR2		500	Intrawest Corp. (Canada) 7.50%, 10/15/13		512
		50419QAD4		500	La Quinta Properties, Inc.
					8.88%, 03/15/11		535
					7.00%, 08/15/12		411
		552953AF8		1,000	MGM Mirage, Inc. 6.00%, 10/01/09		988
		608328AP5		750	Mohegan Tribal Gaming Authority 7.13%, 08/15/14		776
		847788AK2		750	Speedway Motorsports, Inc. 6.75%, 06/01/13		770
		857689AV5		750	Station Casinos, Inc. 6.00%, 04/01/12		749
							5,281

12

	Cusip		Principal Amount		Security Description	Value
Household Durables — 0.1%
		48666KAH2		1,000	KB Home 5.75%, 02/01/14	947
					Standard-Pacific Corp.
		85375CAS0		500	6.50%, 08/15/10		484
		85375CAT8		500	7.00%, 08/15/15		477
							1,908
Industrial Conglomerates — 0.2%
		456866AL6		300	Ingersoll-Rand Co., Ltd. 7.20%, 06/01/25		342
		754603AB4		1,300	Raychem Corp. 7.20%, 10/15/08		1,383
		902118BC1		1,000	Tyco International Group S.A. (Bermuda) 6.38%, 10/15/11		1,066
							2,791
Insurance — 1.6%
		026874AT4		1,000	American International Group, Inc. 4.25%, 05/15/13		955
					ASIF Global Financing
		00209WAA6		1,200	2.50%, 01/30/07 (e)		1,168
		04519HAA6		1,125	2.65%, 01/17/06 (e)		1,120
		00209LAA0		1,000	3.90%, 10/22/08 (e)		975
		084664AF8		1,350	Berkshire Hathaway Finance Corp. 4.20%, 12/15/10		1,318
		228800AC2		500	Crum & Forster Holdings Corp. 10.38%, 06/15/13		546
		303901AN2		500	Fairfax Financial Holdings Ltd. (Canada) 7.75%, 04/26/12		480
		008117AH6		250	Lion Connecticut Holdings, Inc. 7.63%, 08/15/26		307
		59217EAG9		500	Metropolitan Life Global Funding I 5.20%, 09/18/13 (e)		509
		552845AF6		500	MGIC Investment Corp. 6.00%, 03/15/07		508
		553038AA8		5,000	MIC Financing Trust I 8.38%, 02/01/27 (e)		5,169
		615322AV6		1,350	Monumental Global Funding II 4.38%, 07/30/09 (e)		1,329
		61532QAA9		2,000	Monumental Global Funding III 5.20%, 01/30/07 (e)		2,012
		6944P0AA3		2,015	Pacific Life Global Funding 3.75%, 01/15/09 (e)		1,966
		74367FAB4		2,100	Protective Life Secured Trust 4.00%, 04/01/11		2,019
		866930AB6		419	SunAmerica, Inc. 8.13%, 04/28/23		540
		891027AF1		400	Torchmark Corp. 7.88%, 05/15/23		495
		98372PAF5		275	XL Capital Ltd. (Cayman Islands) 5.25%, 09/15/14		265
							21,681
Internet Software & Services — 0.0% (g)
		302088AH2		676	EXDS, Inc. 10.75%, 12/15/09 (d)		—	(h)
Leisure Equipment & Products — 0.1%
		117043AE9		400	Brunswick Corp. 7.38%, 09/01/23		457
		482732AE4		500	K2, Inc. 7.38%, 07/01/14		500
							957
Machinery — 0.1%
		147446AB4		500	Case New Holland, Inc. 9.25%, 08/01/11		529
		686685AB4		491	Ormat Funding Corp. 8.25%, 12/30/20		494
		920253AC5		500	Valmont Industries, Inc. 6.88%, 05/01/14		510
							1,533
Marine — 0.2%
		22409VAC6		750	CP Ships Ltd. (United Kingdom) 10.38%, 07/15/12		851
					Stena AB (Sweden)
		858577AH2		400	7.50%, 11/01/13		389
		858577AE9		300	9.63%, 12/01/12		325
		90400XAC8		500	Ultrapetrol Bahamas Ltd. (Bahamas) 9.00%, 11/24/14		461
							2,026

13

	Cusip		Principal Amount		Security Description	Value
Media — 1.6%
		960402AQ8		750	CBS Corp. 8.63%, 08/01/12		868
		16117PAL4		500	Charter Communications Holdings LLC 10.25%, 01/15/10		415
		20029PAF6		4,000	Comcast Cable Communications 8.38%, 05/01/07		4,220
		00209TAB1		240	Comcast Cable Communications Holdings, Inc. 9.46%, 11/15/22		323
					CSC Holdings, Inc.
		126304AJ3		1,500	7.25%, 07/15/08		1,506
		126304AM6		750	Series B, 8.13%, 07/15/09		756
		25459HAC9		500	DirecTV Holdings LLC 6.38%, 06/15/15 (e)		496
		27876GAN8		500	Echostar DBS Corp. 5.75%, 10/01/08		493
		58445MAJ1		200	Mediacom LLC 9.50%, 01/15/13		199
		652478AR9		800	News America Holdings, Inc. 7.75%, 01/20/24		918
		652482AS9		600	News America, Inc. 6.75%, 01/09/38		653
		755267AC5		250	Reader’s Digest Association, Inc. (The) 6.50%, 03/01/11		254
		77509NAH6		500	Rogers Cable, Inc. (Canada) 6.25%, 06/15/13		486
		879240AN9		1,500	Tele-Communications — TCI Group 9.80%, 02/01/12		1,845
		884903AS4		1,800	Thomson Corp. (The) (Canada) 4.25%, 08/15/09		1,763
					Time Warner Entertainment Co. LP
		88731EAD2		1,000	8.88%, 10/01/12		1,196
		88731EAC4		750	10.15%, 05/01/12		941
					Time Warner, Inc.
		00184AAG0		470	7.70%, 05/01/32		556
		887315AX7		375	8.18%, 08/15/07		397
		887315AM1		1,000	9.15%, 02/01/23		1,292
		925524AJ9		700	Viacom, Inc. 7.70%, 07/30/10		774
		92658TAG3		500	Videotron Ltee (Canada) 6.88%, 01/15/14		513
							20,864
Metals & Mining — 0.3%
		001546AE0		500	AK Steel Corp. 7.88%, 02/15/09		485
		65163QAA6		2,700	Newmont Gold Co. 8.91%, 01/05/09		2,825
		781903AG4		750	Russel Metals, Inc. (Canada) 6.38%, 03/01/14		731
		912909AA6		421	U.S. Steel Corp. 9.75%, 05/15/10		462
							4,503
Multi-Utilities — 0.5%
		00130HAQ8		625	AES Corp. (The) 9.50%, 06/01/09		681
		13134VAA1		1,500	Calpine Canada Energy Finance ULC (Canada) 8.50%, 05/01/08		896
		202795GX2		664	Commonwealth Edison Co. 6.95%, 07/15/18		688
		281023AG6		1,000	Edison Mission Energy 9.88%, 04/15/11		1,185
		30257CAA8		653	FPL Energy Wind Funding LLC 6.88%, 06/27/17 (e)		657
		60467PAH7		500	Mirant Americas Generation LLC 8.30%, 05/01/11 (d)		624
		69362DAB4		500	PSEG Energy Holdings LLC 7.75%, 04/16/07		511
		69362BAF9		1,400	PSEG Power LLC 7.75%, 04/15/11		1,568
							6,810
Office Electronics — 0.0% (g)
		72447WAN9		300	Pitney Bowes, Inc. 3.88%, 06/15/13		281
Oil, Gas & Consumable Fuels — 0.9%
		05565QAK4		1,500	BP Capital Markets plc 2.75%, 12/29/06		1,468
					Chesapeake Energy Corp.
		165167BE6		250	6.88%, 01/15/16		256
		165167BC0		500	7.50%, 09/15/13		532
		17302XAF3		500	Citgo Petroleum Corp. 6.00%, 10/15/11		500
		718507BQ8		3,000	ConocoPhillips Co. 8.75%, 05/25/10		3,508
		283695BM5		500	El Paso Natural Gas Co. Series A, 7.63%, 08/01/10		520
		440543AB2		500	Hornbeck Offshore Services, Inc. 6.13%, 12/01/14		496

14

	Cusip		Principal Amount		Security Description	Value
		726505AB6		250	Plains Exploration & Production Co. 7.13%, 06/15/14		263
		730448AQ0		750	Pogo Producing Co. 6.63%, 03/15/15 (e)		761
					Premcor Refining Group, Inc. (The)
		74047PAH7		250	7.50%, 06/15/15		268
		74047PAC8		500	9.50%, 02/01/13		564
		754052AA6		773	Ras Laffan Liquefied Natural Gas Co., Ltd. (Qatar) 7.63%, 09/15/06 (e)		780
		904000AB2		825	Ultramar Diamond Shamrock Corp. 6.75%, 10/15/37		882
		902905AS7		1,349	USX Corp. 6.65%, 02/01/06		1,359
							12,157
Paper & Forest Products — 0.6%
					Abitibi-Consolidated, Inc. (Canada)
		003669AC2		500	6.00%, 06/20/13		439
		003669AG3		500	FRN, 7.37%, 06/15/11		500
		102183AK6		750	Bowater, Inc. 6.50%, 06/15/13		699
		11815HAC8		812	Buckeye Technologies, Inc. 9.25%, 09/15/08		812
		146900AC9		750	Cascades, Inc. (Canada) 7.25%, 02/15/13		729
		65653RAD5		350	Catalyst Paper Corp. (Canada) 8.63%, 06/15/11		352
		257561AW0		500	Domtar, Inc. 7.13%, 08/15/15		458
		460146BQ5		1,050	International Paper Co. 5.85%, 10/30/12		1,077
		583334AA5		500	MeadWestvaco Corp. 6.85%, 04/01/12		545
		732827AB6		750	Pope & Talbot, Inc. 8.38%, 06/01/13		720
		87971KAA5		500	Tembec Industries, Inc. (Canada) 8.63%, 06/30/09		340
		905530AR2		700	Union Camp Corp. 6.50%, 11/15/07		722
					Weyerhaeuser Co.
		962166BM5		97	6.13%, 03/15/07		99
		962166AQ7		500	7.50%, 03/01/13		559
							8,051
Pharmaceuticals — 0.1%
					AmerisourceBergen Corp.
		03073EAC9		500	5.63%, 09/15/12 (e)		492
		03073EAE5		500	5.88%, 09/15/15 (e)		494
		09067JAB5		750	Biovail Corp. (Canada) 7.88%, 04/01/10		778
							1,764
Real Estate — 0.8%
					EOP Operating LP
		268766BW1		700	6.75%, 02/15/12		757
		268766AM4		750	7.25%, 02/15/18		856
		26884AAR4		250	ERP Operating LP 4.75%, 06/15/09		248
		345550AD9		750	Forest City Enterprises, Inc. 7.63%, 06/01/15		795
					Host Marriott LP REIT
		44108EAY4		250	6.38%, 03/15/15		243
		44108EAW8		500	7.00%, 08/15/12		507
					istar Financial, Inc. REIT
		45031UAB7		250	6.00%, 12/15/10,		257
		45031UAF8		250	Series B, 4.88%, 01/15/09		248
		833606AA4		5,055	Socgen Real Estate Co. LLC (France) VAR, 7.64%, 12/31/49 (e)		5,321
		848503AM0		600	Spieker Properties, Inc. 7.25%, 05/01/09		643
					Ventas Realty LP
		92276MAH8		250	6.63%, 10/15/14		251
		92276MAD7		500	9.00%, 05/01/12		567
							10,693

15

		Cusip		Principal Amount		Security Description	Value
Road & Rail — 1.2%
						Burlington Northern Santa Fe Corp.
			12189TAM6		775	6.13%, 03/15/09		808
			12189TAS3		500	7.13%, 12/15/10		553
						Burlington Northern Santa Fe Railway Co.
			12189PAH5		923	7.91%, 01/15/20		1,077
			126408BK8		1,800	CSX Corp. 7.45%, 05/01/07		1,873
						FedEx Corp.
			31331FAQ4		3,577	7.85%, 01/30/15		3,844
			313309AJ5		1,000	9.65%, 06/15/12		1,255
						Hertz Corp.
			428040BM0		4,000	6.50%, 05/15/06		4,025
			428040BK4		2,500	6.63%, 05/15/08		2,456
								15,891
Semiconductors & Semiconductor Equipment — 0.1%
			35687MAE7		750	Freescale Semiconductor, Inc. 6.88%, 07/15/11		788
						MagnaChip Semiconductor S.A. (Luxembourg)
			55932RAC1		300	6.88%, 12/15/11 (e)		288
			55932RAA5		300	FRN, 7.12%, 12/15/11 (e)		297
			85771TAA2		500	STATS ChipPAC Ltd. (Singapore) 6.75%, 11/15/11 (e)		485
								1,858
Specialty Retail — 0.0% (g)
			155560AA3		1,000	Quality Stores, Inc. 10.63%, 04/01/07 (d)		—	(h)
Supranational — 0.0% (g)
			219868AQ9		600	Corp. Andina de Fomento (Supranational) 5.20%, 05/21/13		602
Textiles, Apparel & Luxury Goods — 0.0% (g)
			115736AC4		500	Brown Shoe Co., Inc. 8.75, 05/01/12		528
Thrifts & Mortgage Finance — 1.3%
						Countrywide Home Loans, Inc.
			22237LNR9		1,000	VAR, 3.25%, 05/21/08		962
			22237LEG3		1,000	Series E, 7.20%, 10/30/06		1,025
			22237LMD1		750	Series K, 5.50%, 02/01/07		758
			939322AP8		2,375	Washington Mutual, Inc. 4.20%, 01/15/10		2,318
						World Savings Bank FSB
			041206703		10,000	3.87%, 12/15/05		10,000
			98153BAE4		2,000	4.50%, 06/15/09		1,983
								17,046
Tobacco — 0.0% (g)
			76182KAP0		500	RJ Reynolds Tobacco Holdings, Inc. 6.50%, 07/15/10 (e)		499
Wireless Telecommunication Services — 0.2%
			00209AAE6		1,250	New Cingular Wireless Services, Inc. 7.88%, 03/01/11		1,423
			77531QAD0		500	Rogers Wireless, Inc. (Canada) 6.38%, 03/01/14		503
								1,926
						Total Corporate Bonds (Cost $434,715)		441,856
Loan Participations— 0.2%
			0709999A9		250	Basell Term Loan B VAR, 6.36%, 9/30/2013		255
			0709999B9		250	Basell Term Loan C VAR, 6.86%, 9/30/2014		255
						Celanese AG (Germany)
			15099C9A3		246	VAR, 6.31%, 04/01/11		250
	15099C9D7		15099C9C9		252	VAR, 6.31%, 04/30/11		256
			1700329A9		500	Chiquita Brands International, Inc. Zero Coupon, 06/28/12		509
			26816L961		495	Dynegy Holdings, Inc. VAR, 7.84%, 05/28/10		496

16

	Cusip		Principal Amount		Security Description	Value
		7659959W7		499	Riddell Bell Holdings, Inc. 5.04%, 09/30/11		506
					Total Loan Participations		2,527
					(Cost $2,493)
U.S. Government Agency Mortgages — 8.0%
					Federal Home Loan Mortgage Corp. Gold Pool
		31294KSM8		8,386	4.00%, 08/01/18		8,062
		31293KEB8		802	6.00%, 02/01/29		818
		31294JYS1		10,023	6.50%, 07/01/14 - 03/01/32		10,365
		31280JVM3		4172	7.00%, 06/01/11 - 08/01/29 (m)		4,366
		31280GWH9		1085	7.50%, 09/01/10 - 10/01/30		1,143
		31357LZZ3		477	8.00%, 02/01/08 - 03/01/30		510
		31283JFD8		126	8.50%, 01/01/08 - 06/01/10		130
		3128GJVN4		36	9.00%, 02/01/10		36
					Federal Home Loan Mortgage Corp. Pool
		31344PVV3		13	7.50%, 02/01/17 - 06/01/17		13
		31340LSU2		73	8.00%, 08/01/08 - 02/01/10		77
		31340TP46		4	8.25%, 09/01/08		4
		313401EV9		9	8.75%, 04/01/08		9
		31341BTH1		63	9.25%, 05/01/12		66
		313401GK1		17	10.25%, 06/01/09		18
		31291WAP7		53	12.00%, 08/01/15 - 07/01/19		57
		31345FTZ8		8	12.50%, 01/01/14		8
		313401NE7		1	13.00%, 06/01/14		1
		313401KF7		1	13.50%, 01/01/11 - 07/01/19		1
		313401KE0		6	14.50%, 12/01/10 - 12/01/11		7
		313401JP7		1	14.75%, 03/01/10		2
		313401KL4		3	15.00%, 03/01/11		4
					Federal National Mortgage Association Pool
		31402YKH6		16,578	3.50%, 09/01/18 - 06/01/19		15,412
		31404GGN5		22,191	4.00%, 09/01/13 - 12/01/18 (m)		21,503
		31401WKE8		1,290	4.50%, 07/01/18		1,265
		31400SDP1		11,137	5.00%, 05/01/18 - 12/01/32		11,038
		31381BDB2		10,685	5.50%, 12/01/28 - 08/01/34		10,692
		31380HUA3		2,975	6.00%, 01/01/14 - 01/01/34		3,041
		31371GRV4		6441	6.50%, 05/01/13 - 08/01/29		6,673
		31385WXQ7		20	7.00%, 03/01/15 - 03/01/28		21
		31400PWG6		903	7.50%, 02/01/12 - 03/01/27		946
		31402C2P6		465	8.00%, 01/01/16		498
		31374GL70		1,377	8.50%, 11/01/11 - 12/01/25		1,453
		31367SFC9		31	9.00%, 03/01/17 - 04/01/25		33
		31373T3P3		108	12.50%, 01/01/16		120
					Government National Mortgage Association Pool
		36210AUB1		1,592	6.00%, 11/15/28		1,633
		36208TZY9		2036	6.50%, 02/15/28 - 10/15/29		2,123
		36224VRE7		434	7.00%, 01/15/23 - 04/15/28		458
		36223KZV5		349	7.25%, 07/15/21 - 01/15/28		371
		362045AJ5		699	7.50%, 06/15/07 - 09/15/29		742
		36207QHJ9		28	7.75%, 02/15/27		29
		362048B58		464	8.00%, 10/15/07 - 08/20/28		495
		36206APN7		24	8.50%, 11/15/25		27
		36216BQC6		423	9.00%, 04/15/16 - 01/15/25		465
		362207WU2		6	10.00%, 11/15/20		7

17

	Cusip		Principal Amount		Security Description	Value
		362142F63		4	13.00%, 01/15/15		5
					Total U.S. Government Agency Mortgages		104,747
					(Cost $104,635)
U.S. Government Agency Securities — 4.9%
		3133M5W71		1,500	Federal Home Loan Bank 5.09%, 10/07/08		1,527
		3128X2WN1		2,900	Federal Home Loan Mortgage Corp. 2.85%, 02/23/07		2,841
		302992DS8		758	Federal Housing Authority 7.43%, 08/01/20		773
					Federal National Mortgage Association
		31359MDJ9		5,000	5.75%, 02/15/08		5,147
		31359MMQ3		7,500	6.13%, 03/15/12		8,142
		31359MGT4		1,935	6.25%, 02/01/11		2,068
		313586UV9		2,000	8.20%, 03/10/16		2,573
		76116FAA5		65,000	Residual Funding — STRIPS PO, 10/15/19		33,285
					Resolution Funding Corp. Interest STRIPS
		76116ECL2		10,000	PO, 04/15/19		5,237
		76116ECM0		5,000	PO, 10/15/19		2,551
					Total U.S. Government Agency Securities		64,144
					(Cost $55,963)
U.S. Treasury Obligations — 18.6%
					U.S. Treasury Bonds
		912810EP9		6,100	7.13%, 02/15/23		7,915
		912810EM6		2,700	7.25%, 08/15/22		3,528
		912810DX3		1,500	7.50%, 11/15/16		1,899
		912810EL8		8,275	8.00%, 11/15/21		11,455
		912810ED6		29,985	8.13%, 08/15/19 - 08/15/21		41,628
		912810EF1		6,000	8.75%, 05/15/20		8,660
		912810DZ8		10,925	8.88%, 08/15/17		15,318
		912810EB0		14,000	9.00%, 11/15/18 (m)		20,170
		912810EA2		15,125	9.13%, 05/15/18 (m)		21,817
		912810DB1		6,385	10.38%, 11/15/12		7,179
		912810DP0		1,250	11.25%, 02/15/15		1,906
		912810CS5		41,595	12.75%, 11/15/10 (m)		42,021
					U.S. Treasury Inflation Indexed Bonds
		912810FD5		1,209	3.63%, 04/15/28		1,581
		9128274Y5		2,384	3.88%, 01/15/09		2,586
					U.S. Treasury Notes
		912828BX7		10,000	1.88%, 01/31/06		9,938
		9128274F6		9,000	5.63%, 05/15/08		9,317
		912827X80		20,000	6.88%, 05/15/06		20,339
					U.S. Treasury STRIPS
		912833CZ1		5,000	IO, 02/15/11		4,000
		912833JY7		7,500	IO, 05/15/12		5,675
		912833DD9		1,000	IO, 02/15/13		729
		912833KA7		308	IO, 05/15/13		222
		912833KD1		3,500	IO, 11/15/14		2,343
		912833KF6		2,750	IO, 11/15/15		1,753
		912833KH2		3,575	IO, 05/15/16		2,222
		912833KR0		1,040	IO, 05/15/18		584
					Total U.S. Treasury Obligations (Cost $224,305)		244,785

18

	Cusip		Principal Amount		Security Description	Value
Municipal Bond — 0.3%
Illinois — 0.3%
		452151LF8		3,460	State of Illinois, Taxable Pension GO, 5.10%, 06/01/33		3,414
					Total Municipal Bonds (Cost $3,460)
Foreign Government Securities — 0.3%
					United Mexico States (Mexico)
		91086QAM0		430	4.63%, 10/08/08		428
		91086QAK4		1,300	6.38%, 01/16/13		1,383
		91086QAL2		700	6.63%, 03/03/15		760
		91086QAN8		1,350	7.50%, 04/08/33		1,563
					Total Foreign Government Securities		4,134
					(Cost $3,800)

		Shares
Common Stocks — 0.3%
Diversified Telecommunication Services — 0.0% (g)
	00374N107		1		AboveNet, Inc. (a)	29
	852061100		—	(h)	Sprint Corp.	—	(h)
						29
Industrial Conglomerates — 0.0% (g)
	731745204		9		Polymer Group, Inc. (i)	217
Media — 0.0% (g)
	18273W911		3		Classic HoldCo. LLC	241
Multi-Utilities & Unregulated Power — 0.2%
	629377508		76		NRG Energy, Inc. (a)	3,221
Trading Companies & Distributors — 0.1%
	640820106		67		NES Rentals Holdings, Inc. (a)	737
					Total Common Stocks (Cost $6,483)	4,445
Preferred Stocks — 0.0% (g)
Media — 0.0% (g)
	18273W937		—	(h)	Classic HoldCo., LLC.	204
Construction Materials — 0.0% (g)
	677007304		40		Oglebay Norton Co., 14.80% (a)	600
					Total Preferred Stocks (Cost $525)	804

		No. of Warrants
Warrants — 0.0% (g)
Diversified Telecommunication Services — 0.0% (g)
					Abovenet Communications, Inc.
	00374N123		—	(h)	09/08/06 (a)	—	(h)
	00374N115		—	(h)	09/08/10 (a)	3
					Total Warrants (Cost $224)	3
					Total Long Term Investments (Cost $1,229,285)	1,264,912

19

	Cusip		Shares		Security Description	Value
Short-Term Investment — 3.9%
Investment Company — 3.9%
		4812C0340		50,974	JPMorgan Liquid Assets Money Market Fund (b) (Cost $50,974)		50,974
			Principal Amount
Investments of Cash Collateral for Securities Loaned — 11.2%
Certificates of Deposit — 1.8%
		050428163	$	4,997	Bank of New York 3.74%, 11/02/05		4,997
		041206747		14,600	Canadian Imperial Bank of Commerce 3.83%, 10/17/05		14,600
		041206748		4,600	Deutsche Bank Financial, Inc. 4.10%, 10/03/05		4,600
							24,197
Corporate Notes — 8.8%
		041206726		14,999	Bear Stearns Cos, Inc, (The) FRN, 4.14%, 10/03/05		14,999
		050324169		10,000	Berkshire Hathaway Finance Corp. FRN, 3.60%, 10/11/05		10,000
					CC USA, Inc.
		041206723		7,499	FRN, 4.10%, 10/03/05		7,499
		041206724		5,000	4.10%, 10/03/05		5,000
		041206717		10,000	General Electric Capital Corp. FRN, 4.08%, 10/03/05		10,000
		050225159		12,000	Greenwich Capital Financial Products FRN, 4.24%, 10/03/05		12,000
		041206720		5,000	K2 (USA) LLC FRN, 3.99%, 10/03/05		5,000
		041206710		7,000	Lehman Brothers Holdings, Inc. FRN, 4.09%, 10/03/05		7,000
		041206711		14,000	Morgan Stanley FRN, 4.12%, 10/03/05		14,000
		041206740		15,000	Northern Rock plc FRN, 3.81%, 10/13/05		15,000
		041206735		4,500	Sigma Finance, Inc. FRN, 4.11%, 10/03/05		4,500
		041206701		10,000	U.S. Bank N.A. 3.67%, 10/28/05		10,000
							114,998
Repurchase Agreement — 0.6%
		050930372		8,466	Morgan Stanley, 3.96%, dated 09/30/05, due 10/03/05, repurchase price $8,469, collateralized by U.S. Government Agency Mortgages.		8,466
					Total Investments of Cash Collateral for Securities Loaned		198,635
					(Cost $8,466)
Total Investments — 111.3%
(Cost $1,428,505)							1,463,547
Liabilities in Excess of Other Assets — (11.3)%							(149,144	)
Net Assets — 100.0%							$1,314,403

20

Percentages indicated are based on net assets.

Abbreviations:

(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 JPMorgan Investment Advisors Inc.
(d)	Defaulted Security.
(e)	All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees.
(g)	Amount rounds to less than 0.1%.
(h)	Amount rounds to less than $1,000.
(i)	Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
CMO	Collateralized Mortgage Obligation
FRN	Floating Rate Note. The rate shown is the rate in effect as of September 30, 2005.
GO	General Obligation Bond
IF	Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index.
IO	Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities are generally higher than prevailing market yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. 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.
REIT	Real Estate Investment Trust
SUB	Step-Up Bond. The rate shown is the rate in effect as of March 31, 2005.
STRIPS	Separate trading or registered interest and principal of securities. The STRIPS program lets investors hold and trade the individual interest and principal components of eligible notes and bonds as separate securities.
VAR	Variable. The interest rate shown is the rate in effect at September 30, 2005.

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	54,123
Aggregate gross unrealized depreciation		(19,081	)
Net unrealized appreciation/depreciation	$	35,042
Federal income tax cost of investments	$	1,428,505

21

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Long-Term Investments — 96.7%
Asset Backed Securities — 3.1%
	$	1,595	American Express Credit Account Master Trust
			Series 2004-3, Class A, 4.35%, 12/15/11	$	1,583
			AmeriCredit Automobile Receivables Trust
		770	Series 2001-D, Class A4, 4.41%, 11/12/08		771
		1,512	Series 2002-A, Class A4, 4.61%, 01/12/09		1,515
		798	Series 2003-BX, Class A4A, 2.72%, 01/06/10		787
		1,504	Series 2002-D, Class A4, 3.40%, 04/13/09		1,493
		798	Capital One Master Trust
			Series 2001-5, Class A, 5.30%, 06/15/09		804
			Citibank Credit Card Issuance Trust
		798	Series 2002-A1, Class A1, 4.95%, 02/09/09		802
		3,390	Series 2002-C2, Class C2, 6.95%, 02/18/14		3,714
		1,400	Series 2005-B1, Class B1, 4.40%, 09/15/10		1,387
		1,328	CNH Equipment Trust
			Series 2003-B, Class A4B, 3.38%, 02/15/11		1,302
		1,509	Conseco Finance
			Series 2001-B, Class 1M1, 7.27%, 04/15/09		1,531
		8,773	Countrywide Asset-Backed Certificates
			Series 2004-AB2, Class A2, FRN, 4.10%, 10/25/33		8,788
		889	GE Capital Mortgage Services, Inc.
			Series 1999-HE, Class M, 6.71%, 04/25/29		896
		930	Household Automotive Trust
			Series 2005-1 Class A4, 4.35%, 06/18/12		919
			MBNA Credit Card Master Note Trust
		2,393	Series 2002-C1, Class C1, 6.80%, 07/15/14		2,607
		997	Series 2003-C1, Class C1, FRN, 5.47%, 06/15/12		1,054
			MBNA Master Credit Card Trust USA
		1,755	Series 1999-J, Class C, 7.85%, 02/15/12 (e)		1,947
		1,595	Series 2000-D, Class C, 8.40%, 09/15/09 (e)		1,681
		935	Onyx Acceptance Grantor Trust
			Series 2002-C, Class A4, 4.07%, 04/15/09		934
		398	Residential Asset Mortgage Products, Inc.
			Series 2001-RS3, Class AI4, SUB, 6.29%, 10/25/31		397
		1,559	Textron Financial Corp. Receivables Trust
			Series 2000-C, Class A3, 6.61%, 02/15/15 (e)		1,570
			WFS Financial Owner Trust
		964	Series 2002-1, Class A4A, 4.87%, 09/20/09		966
		1,148	Series 2002-2, Class A4, SUB, 4.50%, 02/20/10		1,149
		38	Series 2003-1, Class A3, 2.03%, 08/20/07		38
		176	Series 2003-2, Class A3, 1.76%, 01/21/08		175
		1,595	Series 2003-2, Class A4, 2.41%, 12/20/10		1,568
		1,958	Series 2003-4, Class A4, 3.15%, 05/20/11		1,922
		1,093	Series 2004-1, Class A3, 2.19%, 06/20/08		1,085
			Total Asset Backed Securities
			(Cost $42,787)		43,385

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount			Security Description	Value
Collateralized Mortgage Obligations — 46.5%
Agency CMO — 40.0%
		7,000		Federal Home Loan Bank System
				Series 2012-9M, Class A 4.72%, 09/20/12		6,943
				Federal Home Loan Mortgage Corp.
		-	(h)	Series 1072, Class A, IO, HB, 1008.50%, 05/15/06		-	(h)
		18		Series 1079, Class S, IF, 20.40%, 05/15/21		18
		26		Series 1084, Class F, FRN, 4.76%, 05/15/21		26
		18		Series 1084, Class S, IF, HB, 27.25%, 05/15/21		19
		-	(h)	Series 1098, Class M, IO, HB, 1008.00%, 06/15/06		-	(h)
		136		Series 11, Class D, 9.50%, 07/15/19		136
		231		Series 114, Class H, 6.95%, 01/15/21		230
		102		Series 1144, Class KB, 8.50%, 09/15/21		102
		-	(h)	Series 1172, Class L, HB, IO, VAR, 1180.80%, 11/15/21		1
		2		Series 1196, Class B, IF, IO, HB, 706.80%, 01/15/22		3
		209		Series 1206, Class IA, 7.00%, 03/15/22		209
		2,954		Series 1212, Class IZ, 8.00%, 02/15/22		2,956
		146		Series 1250, Class J, 7.00%, 05/15/22		146
		-	(h)	Series 1298, Class L, IO, HB, 981.87%, 06/15/07		-	(h)
		377		Series 1343, Class LA, 8.00%, 08/15/22		388
		441		Series 1404, Class FA, 4.50%, 11/15/07		439
		67		Series 1465, Class SA, IF, IO, 5.19%, 02/15/08		2
		1,675		Series 1466, Class PZ, 7.50%, 02/15/23		1,738
		22		Series 1470, Class F, FRN, 3.76%, 02/15/23		22
		644		Series 1491, Class I, 7.50%, 04/15/23		683
		46		Series 1506, Class F, FRN, 4.41%, 05/15/08		46
		8		Series 1506, Class S, IF, 14.26%, 05/15/08		8
		2,392		Series 1512, Class J, 6.50%, 05/15/08		2,422
		290		Series 1513, Class AG, FRN, 3.34%, 05/15/08		287
		548		Series 1513, Class N, 6.50%, 05/15/08		554
		634		Series 1518, Class G, IF, 5.39%, 05/15/23		628
		106		Series 1518, Class G, IF, IO, 4.69%, 05/15/08		3
		601		Series 1541, Class O, FRN, 3.39%, 07/15/23		588
		236		Series 1544, Class J, IF, 8.96%, 07/15/08		242
		138		Series 1549, Class K, 8.50%, 07/15/08		142
		1,299		Series 1558, Class D, 6.50%, 07/15/23		1,322
		455		Series 1586, Class M, 5.00%, 09/15/08		453
		1,214		Series 1587, Class SL, IF, 13.71%, 10/15/08		1,233
		137		Series 1600, Class SC, FRN, 8.60%, 10/15/08		140
		11		Series 1602, Class SA, IF, 10.36%, 10/15/23		12
		178		Series 1604, Class SA, IF, 10.76%, 11/15/08		185
		331		Series 1606, Class SC, IF, 14.95%, 11/15/08		358
		3,021		Series 1607, Class H, 6.25%, 10/15/13		3,094
		1,196		Series 1608, Class L, 6.50%, 09/15/23		1,246
		1,432		Series 1609, Class L, IF, 9.07%, 11/15/23		1,538
		1,301		Series 1611, Class JA, FRN, 4.88%, 08/15/23		1,308
		1,186		Series 1611, Class JB, IF, 9.06%, 08/15/23		1,181
		6,631		Series 1624, Class KZ, 6.00%, 12/15/08		6,731
		220		Series 1625, Class SD, IF, 8.50%, 12/15/08		231
		107		Series 1665, Class FA, FRN, 3.74%, 06/15/23		106

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Principal Amount		Security Description	Value
	23	Series 1671, Class L, 7.00%, 02/15/24		23
	29	Series 1685, Class Z, 6.00%, 11/15/23		30
	314	Series 1689, Class SD, IF, 9.87%, 10/15/23		324
	399	Series 1698, Class SC, IF, 10.65%, 03/15/09		426
	272	Series 1700, Class GA, PO, 02/15/24		250
	1,595	Series 1706, Class K, 7.00%, 03/15/24		1,675
	288	Series 1745, Class D, 7.50%, 08/15/24		290
	699	Series 1798, Class F, 5.00%, 05/15/23		694
	36	Series 1807, Class G, 9.00%, 10/15/20		38
	352	Series 1900, Class TA, PO, 08/15/08		339
	3,036	Series 1927, Class PH, 7.50%, 01/15/27		3,150
	148	Series 1967, Class PC, PO, 10/15/08		143
	1,388	Series 1981, Class Z, 6.00%, 05/15/27		1,413
	425	Series 1987, Class PE, 7.50%, 09/15/27		438
	77	Series 2017, Class SE, IF, 14.19%, 12/15/08		82
	1,338	Series 2025, Class PE, 6.30%, 01/15/13		1,368
	204	Series 2033, Class SN, IF, IO, 19.05%, 03/15/24		53
	571	Series 2038, Class PN, IO, 7.00%, 03/15/28		97
	1	Series 204, Class E, IF, IO, HB, 1093.68%, 05/15/23		1
	1,436	Series 2040, Class PE, 7.50%, 03/15/28		1,509
	1,052	Series 2056, Class TD, 6.50%, 05/15/18		1,089
	3,797	Series 2063, Class PG, 6.50%, 06/15/28		3,903
	586	Series 2064, Class TE, 7.00%, 06/15/28		609
	2,521	Series 2075, Class PH, 6.50%, 08/15/28		2,593
	1,196	Series 2075, Class PM, 6.25%, 08/15/28		1,234
	661	Series 2089, Class PJ, IO, 7.00%, 10/15/28		116
	559	Series 2097, Class PV, 6.00%, 09/15/09		568
	588	Series 2102, Class TC, 6.00%, 12/15/13		603
	1,774	Series 2125, Class JZ, 6.00%, 02/15/29		1,810
	10	Series 2137, Class TM, 6.50%, 01/15/28		10
	255	Series 2163, Class PC, IO, 7.50%, 06/15/29		49
	1,994	Series 2169, Class TB, 7.00%, 06/15/29		2,112
	798	Series 2172, Class QC, 7.00%, 07/15/29		845
	16	Series 2196, Class TL, 7.50%, 11/15/29		17
	979	Series 2201, Class C, 8.00%, 11/15/29		1,026
	1,547	Series 2210, Class Z, 8.00%, 01/15/30		1,637
	726	Series 2224, Class CB, 8.00%, 03/15/30		756
	1,191	Series 2256, Class MC, 7.25%, 09/15/30		1,225
	1,628	Series 2259, Class ZM, 7.00%, 10/15/30		1,692
	1,237	Series 2271, Class PC, 7.25%, 12/15/30		1,281
	798	Series 2283, Class K, 6.50%, 12/15/23		844
	789	Series 2296, Class PD, 7.00%, 03/15/31		820
	91	Series 2299, Class G, 7.00%, 05/15/14		91
	344	Series 2306, Class K, PO, 05/15/24		301
	837	Series 2306, Class SE, IF, IO, 6.36%, 05/15/24		125
	1,268	Series 2312, Class KV, 6.50%, 05/15/14		1,274
	458	Series 2317, Class VG, 6.50%, 04/15/31		461
	959	Series 2333, Class HC, 6.00%, 07/15/31		967
	1,166	Series 2344, Class QG, 6.00%, 08/15/16		1,196
	12,471	Series 2344, Class ZD, 6.50%, 08/15/31		13,014

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Principal Amount		Security Description	Value
	1,983	Series 2344, Class ZJ, 6.50%, 08/15/31		2,045
	1,645	Series 2345, Class NE, 6.50%, 08/15/31		1,692
	1,944	Series 2345, Class PQ, 6.50%, 08/15/16		2,010
	625	Series 2345, Class PV, 6.50%, 01/15/24		629
	1,595	Series 2347, Class VP, 6.50%, 03/15/20		1,642
	1,828	Series 2349, Class NW, 6.50%, 10/15/16		1,842
	1,040	Series 2351, Class PZ, 6.50%, 08/15/31		1,096
	926	Series 2353, Class PC, 6.50%, 09/15/15		928
	10,345	Series 2353, Class TD, 6.00%, 09/15/16		10,654
	1,415	Series 2355, Class BP, 6.00%, 09/15/16		1,452
	258	Series 2357, Class VX, 6.50%, 12/15/17		259
	1,616	Series 2360, Class PG, 6.00%, 09/15/16		1,654
	776	Series 2362, Class PD, 6.50%, 06/15/20		791
	758	Series 2362, Class PJ, 6.50%, 10/15/28		767
	1,328	Series 2366, Class MD, 6.00%, 10/15/16		1,363
	314	Series 2367, Class VD, 6.00%, 01/15/19		314
	174	Series 2382, Class TL, IO, 6.50%, 02/15/31		8
	1,228	Series 2391, Class QE, 5.50%, 05/15/15		1,235
	1,994	Series 2391, Class QR, 5.50%, 12/15/16		2,032
	1,875	Series 2391, Class VQ, 6.00%, 10/15/12		1,923
	1,595	Series 2392, Class PV, 6.00%, 12/15/20		1,623
	712	Series 2410, Class HC, 5.50%, 02/15/09		714
	1,356	Series 2410, Class NG, 6.50%, 02/15/32		1,408
	1,957	Series 2410, Class OE, 6.38%, 02/15/32		2,007
	3,988	Series 2410, Class QS, IF, 9.70%, 02/15/32		3,902
	736	Series 2410, Class QX, IF, IO, 4.88%, 02/15/32		57
	379	Series 2412, Class SE, FRN, 8.43%, 02/15/09		385
	1,595	Series 2412, Class SP, IF, 8.56%, 02/15/32		1,458
	816	Series 2423, Class MC, 7.00%, 03/15/32		846
	1,590	Series 2423, Class MT, 7.00%, 03/15/32		1,649
	4,785	Series 2434, Class TC, 7.00%, 04/15/32		5,004
	957	Series 2435, Class CJ, 6.50%, 04/15/32		1,010
	1,595	Series 2435, Class VH, 6.00%, 07/15/19		1,649
	1,196	Series 2441, Class GF, 6.50%, 04/15/32		1,254
	1,956	Series 2444, Class ES, IF, IO, 4.18%, 03/15/32		169
	1,883	Series 2450, Class GZ, 7.00%, 05/15/32		1,976
	783	Series 2450, Class SW, IF, IO, 4.23%, 03/15/32		74
	1,172	Series 2454, Class VB, 6.50%, 10/15/15		1,188
	1,595	Series 2455, Class GK, 6.50%, 05/15/32		1,667
	1,937	Series 2460, Class VZ, 6.00%, 11/15/29		1,980
	2,733	Series 2461, Class VB, 6.50%, 04/15/18		2,777
	5,583	Series 2462, Class JG, 6.50%, 06/15/32		5,815
	3,988	Series 2466, Class DH, 6.50%, 06/15/32		4,153
	3,988	Series 2466, Class PG, 6.50%, 04/15/32		4,161
	1,595	Series 2474, Class NR, 6.50%, 07/15/32		1,668
	1,958	Series 2484, Class LZ, 6.50%, 07/15/32		2,063
	46	Series 2496, Class LD, 8.50%, 11/15/15		46
	3,988	Series 2498, Class UD, 5.50%, 06/15/16		4,033
	3,988	Series 2500, Class GD, 5.50%, 12/15/15		4,018
	2,393	Series 2500, Class MC, 6.00%, 09/15/32		2,462

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Principal Amount		Security Description	Value
	3,988	Series 2500, Class TD, 5.50%, 02/15/16		4,025
	2,393	Series 2512, Class PG, 5.50%, 10/15/22		2,463
	1,076	Series 2513, Class YO, PO, 02/15/32		947
	2,393	Series 2515, Class DE, 4.00%, 03/15/32		2,237
	330	Series 2519, Class BT, 8.50%, 09/15/31		351
	1,901	Series 2527, Class VU, 5.50%, 10/15/13		1,929
	1,196	Series 2535, Class BK, 5.50%, 12/15/22		1,222
	1,675	Series 2537, Class TE, 5.50%, 12/15/17		1,717
	2,662	Series 2543, Class YX, 6.00%, 12/15/32		2,743
	2,871	Series 2557, Class WJ, 5.00%, 07/15/14		2,879
	2,393	Series 2565, Class MB, 6.00%, 05/15/30		2,455
	3,190	Series 2575, Class ME, 6.00%, 02/15/33		3,284
	1,672	Series 2586, Class WI, IO, 6.50%, 03/15/33		358
	4,631	Series 2594, Class VA, 6.00%, 03/15/14		4,739
	1,983	Series 2594, Class VP, 6.00%, 02/15/14		2,026
	1,595	Series 2594, Class VQ, 6.00%, 08/15/20		1,638
	2,838	Series 2597, Class AD, 6.50%, 03/15/32		3,000
	3,894	Series 2597, Class DS, IF, IO, 3.78%, 02/15/33		259
	8,581	Series 2599, Class DS, IF, IO, 3.23%, 02/15/33		503
	8,685	Series 2610, Class DS, IF, IO, 3.33%, 03/15/33		537
	5,128	Series 2611, Class SH, IF, IO, 3.88%, 10/15/21		420
	1,595	Series 2617, Class GR, 4.50%, 05/15/18		1,540
	1,552	Series 2619, Class IM, IO, 5.00%, 10/15/21		232
	1,000	Series 2628, Class WA, 4.00%, 07/15/28		950
	1,500	Series 2630, Class KN, 2.50%, 04/15/13		1,449
	798	Series 2631, Class LC, 4.50%, 06/15/18		771
	798	Series 2640, Class VE, 3.25%, 07/15/22		687
	474	Series 2643, Class HI, IO, 4.50%, 12/15/16		56
	2,862	Series 2643, Class KG, 4.00%, 05/15/18		2,851
	1,758	Series 2651, Class VZ, 4.50%, 07/15/18		1,675
	1,055	Series 2656, Class SH, IF, 10.30%, 02/15/25		1,134
	1,222	Series 2668, Class SB, IF, 3.85%, 10/15/15		1,184
	798	Series 2672, Class ME, 5.00%, 11/15/22		795
	1,994	Series 2675, Class CK, 4.00%, 09/15/18		1,860
	1,549	Series 2682, Class YS, IF, 3.46%, 10/15/33		1,117
	957	Series 2684, Class PO, 10/15/33		555
	798	Series 2686, Class GB, 5.00%, 05/15/20		799
	637	Series 2691, Class WS, IF, 3.35%, 10/15/33		447
	1,000	Series 2695, Class DE, 4.00%, 01/15/17		956
	921	Series 2705, Class SC, IF, 3.35%, 11/15/33		657
	921	Series 2705, Class SD, IF, 6.11%, 11/15/33		758
	117	Series 2727, PO, 01/15/34		76
	5,822	Series 2727, Class BS, IF, 3.42%, 01/15/34		3,851
	482	Series 2733, Class GF, FRN, 0.00%, 09/15/33		475
	475	Series 2739, Class S, IF, 4.46%, 01/15/34		407
	620	Series 2744, Class FE, FRN, 0.00%, 02/15/34		482
	1,595	Series 2744, Class PC, 5.50%, 01/15/31		1,625
	1,991	Series 2744, Class PD, 5.50%, 08/15/33		2,070
	1,595	Series 2744, Class TU, 5.50%, 05/15/32		1,605
	1,641	Series 2749, Class PK, IO, 5.00%, 09/15/22		119

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Principal Amount			Security Description	Value
	766		Series 2753, Class S, IF, 4.46%, 02/15/34		579
	622		Series 2755, Class SA, IF, 6.66%, 05/15/30		616
	288		Series 2769, PO, 03/15/34		174
	1,625		Series 2776, Class SK, IF, 3.42%, 04/15/34		1,216
	1,196		Series 2846, PO, 08/15/34		934
	398		Series 2925, Class ZM, 5.00%, 01/15/35		394
	61		Series 46, Class B, 7.80%, 09/15/20		61
	1		Series 85, Class C, 8.60%, 01/15/21		1
	24		Series 47, Class F, 10.00%, 06/15/20		24
	2		Series 411, Class I, HB, 84.00%, 05/15/20		2
	50		Series 99, Class Z, 9.50%, 01/15/21		50
			Federal Home Loan Mortgage Corp. Structured Pass Through Securities
	603		Series T-41, Class 3A, 7.50%, 07/25/32		634
	535		Series T-51, Class 2A, VAR, 7.50%, 08/25/42		557
	5,057		Series T-54, Class 2A, 6.50%, 02/25/43		5,195
	1,767		Series T-54, Class 3A, 7.00%, 02/25/43		1,852
	435		Series T-58, Class A, PO, 09/25/43		374
	1,002		Federal Home Loan Mortgage Corp.- Government National Mortgage Association
			Series 24, Class ZE, 6.25%, 11/25/23		1,026
			Federal National Mortgage Association
	2,000		Series 2005-68 Class PG, 5.50%, 08/25/35		2,026
	37		Series 1988-7, Class Z, 9.25%, 04/25/18		40
	166		Series 1989-70, Class G, 8.00%, 10/25/19		176
	70		Series 1989-78, Class H, 9.40%, 11/25/19		76
	59		Series 1989-83, Class H, 5.50%, 08/25/35		63
	58		Series 1989-89, Class H, 9.00%, 11/25/19		63
	21		Series 1990-1, Class D, 8.80%, 01/25/20		22
	155		Series 1990-102, Class J, 6.50%, 08/25/20		158
	68		Series 1990-120, Class H, 9.00%, 10/25/20		71
	14		Series 1990-134, Class SC, IF, 15.83%, 11/25/20		18
	1		Series 1990-140, Class H, IO, HB, 651.60%, 12/25/20		13
	37		Series 1990-60, Class K, 5.50%, 06/25/20		37
	29		Series 1990-63, Class H, 9.50%, 06/25/20		32
	33		Series 1990-7, Class B, 8.50%, 01/25/20		35
	38		Series 1990-93, Class G, 5.50%, 08/25/20		37
	-	(h)	Series 1990-94, Class H, HB, 504.00%, 08/25/20		5
	-	(h)	Series 1990-94, Class H, IO, HB, 1008.00%, 04/25/06		-	(h)
	-	(h)	Series 1990-95, Class J, IO, 1118.04%, 08/25/20		8
	-	(h)	Series 1991-20, Class M, IO, HB, 908.75%, 03/25/06		-	(h)
	-	(h)	Series 1991-4, Class N, IO, HB, 758.75%, 01/25/06		-	(h)
	95		Series 1991-42, Class S, IF, 10.95%, 05/25/21		105
	-	(h)	Series 1991-7, Class K, IO, HB, 910.80%, 02/25/21		1
	99		Series 1992-143, Class MA, 5.50%, 09/25/22		100
	199		Series 1992-33, Class F, FRN, 3.74%, 03/25/22		198
	79		Series 1992-44, Class K, 7.25%, 04/25/07		81
	372		Series 1993-122, Class M, 6.50%, 07/25/23		383
	128		Series 1993-165, Class SD, IF, 9.00%, 09/25/23		132
	70		Series 1993-170, Class SE, IF, 15.25%, 09/25/08		76
	98		Series 1993-175, Class SA, IF, 13.00%, 09/25/08		105
	539		Series 1993-178, Class PK, 6.50%, 09/25/23		545

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Principal Amount		Security Description	Value
	798	Series 1993-18, Class PK, 6.50%, 02/25/08		811
	3,988	Series 1993-183, Class KA, 6.50%, 10/25/23		4,212
	4,215	Series 1993-189, Class PL, 6.50%, 10/25/23		4,356
	669	Series 1993-190, Class S, IF, 10.76%, 10/25/08		687
	130	Series 1993-196, Class FA, FRN, 3.66%, 10/25/08		128
	527	Series 1993-225, Class SG, IF, 11.25%, 12/25/13		559
	101	Series 1993-225, Class VO, IF, 9.54%, 12/25/22		103
	950	Series 1993-247, Class SA, IF, 18.80%, 12/25/23		1,182
	590	Series 1993-25, Class J, 7.50%, 03/25/23		618
	2,283	Series 1993-250, Class Z, 7.00%, 12/25/23		2,356
	4,207	Series 1993-257, Class C, PO, 06/25/23		3,806
	3,832	Series 1993-37, Class PX, 7.00%, 03/25/23		3,996
	1,145	Series 1993-41, Class PH, 6.00%, 03/25/23		1,150
	1,370	Series 1993-54, Class Z, 7.00%, 04/25/23		1,424
	287	Series 1993-62, Class SA, IF, 14.10%, 04/25/23		338
	66	Series 1993-72, Class F, FRN, 3.66%, 05/25/08		65
	166	Series 1994-12, Class FC, FRN, 3.81%, 01/25/09		164
	73	Series 1994-13, Class SK, IF, 14.34%, 02/25/09		80
	374	Series 1994-17, Class JB, 6.50%, 02/25/09		27
	103	Series 1994-20, Class Z, 6.50%, IO, 02/25/09		104
	1,157	Series 1994-34, Class DZ, 6.00%, 03/25/09		1,175
	573	Series 1994-40, Class VC, 6.50%, 02/25/10		581
	607	Series 1994-55, Class G, 6.75%, 12/25/23		611
	56	Series 1994-9, Class E, PO, 11/25/23		49
	2,439	Series 1996-14, Class SE, IF, IO, 6.55%, 08/25/23		413
	142	Series 1996-20, Class L, PO, 09/25/08		135
	277	Series 1996-24, Class E, PO, 03/25/09		264
	122	Series 1996-27, Class FC, FRN, 4.34%, 03/25/17		122
	1,210	Series 1996-32, Class PH, 7.00%, 01/25/26		1,237
	343	Series 1996-39, Class J, PO, 09/25/08		329
	16	Series 1996-46, Class PE, PO, 09/25/06		16
	234	Series 1996-59, Class J, 6.50%, 08/25/22		240
	1,702	Series 1996-59, Class K, 6.50%, 07/25/23		1,732
	1,544	Series 1997-20, IO, FRN, 1.84%, 03/25/27		86
	1,319	Series 1997-20, Class IB, IO, FRN, 1.84%, 03/25/27		71
	591	Series 1997-27, Class J, 7.50%, 04/18/27		621
	525	Series 1997-29, Class J, 7.50%, 04/20/27		548
	1,082	Series 1997-39, Class PD, 7.50%, 05/20/27		1,126
	475	Series 1997-81, Class PI, IO, 7.00%, 12/18/27		89
	347	Series 1998-27, Class B, PO, 12/25/08		331
	946	Series 1998-36, Class ZB, 6.00%, 07/18/28		963
	71	Series 1998-4, Class C, PO, 04/25/23		62
	2,980	Series 2000-2, Class ZE, 7.50%, 02/25/30		3,141
	3,664	Series 2001-33, Class ID, IO, 6.00%, 07/25/31		705
	3,190	Series 2001-36, Class DE, 7.00%, 08/25/31		3,323
	1,479	Series 2001-4, Class PC, 7.00%, 03/25/21		1,546
	767	Series 2001-44, Class PD, 7.00%, 09/25/31		795
	1,663	Series 2001-48, Class Z, 6.50%, 09/25/21		1,767
	855	Series 2001-49, Class Z, 6.50%, 09/25/31		883
	2,514	Series 2001-5, Class OW, 6.00%, 03/25/16		2,572

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Principal Amount		Security Description	Value
	3,029	Series 2001-50, Class VB, 6.50%, 12/25/16		3,082
	2,179	Series 2001-52, Class XM, 6.50%, 11/25/10		2,227
	2,791	Series 2001-61, Class VB, 7.00%, 12/25/16		2,899
	1,137	Series 2001-61, Class VQ, 6.50%, 08/25/15		1,161
	1,221	Series 2001-71, Class GU, 6.00%, 05/25/14		1,241
	2,393	Series 2001-71, Class MB, 6.00%, 12/25/16		2,462
	3,646	Series 2001-71, Class QE, 6.00%, 12/25/16		3,739
	11,246	Series 2001-74, Class MB, 6.00%, 12/25/16		11,763
	2,791	Series 2001-78, Class VB, 6.00%, 12/25/15		2,803
	1,356	Series 2001-80, Class PE, 6.00%, 07/25/29		1,386
	636	Series 2001-81, Class LO, PO, 01/25/32		529
	1,802	Series 2002-1, Class HC, 6.50%, 02/25/22		1,866
	646	Series 2002-1, Class SA, IF, 12.74%, 02/25/32		696
	4,865	Series 2002-18, Class PC, 5.50%, 04/25/17		4,976
	1,564	Series 2002-2, Class UC, 6.00%, 02/25/17		1,593
	1,994	Series 2002-21, Class PE, 6.50%, 04/25/32		2,062
	1,595	Series 2002-24, Class AJ, 6.00%, 04/25/17		1,638
	1,595	Series 2002-28, Class PK, 6.50%, 05/25/32		1,659
	2,393	Series 2002-3, Class OG, 6.00%, 02/25/17		2,475
	2,861	Series 2002-37, Class Z, 6.50%, 06/25/32		2,959
	3,190	Series 2002-56, Class UC, 5.50%, 09/25/17		3,255
	2,012	Series 2002-59, Class AC, 6.00%, 03/25/28		2,056
	115	Series 2002-59, Class VA, 6.50%, 04/25/32		115
	3,190	Series 2002-59, Class VB, 6.50%, 04/25/32		3,228
	5,583	Series 2002-61, Class PE, 5.50%, 05/25/16		5,641
	3,190	Series 2002-74, Class LD, 5.00%, 01/25/16		3,190
	3,988	Series 2002-74, Class PD, 5.00%, 11/25/15		3,990
	6,460	Series 2002-74, Class VB, 6.00%, 11/25/31		6,598
	767	Series 2002-8, Class SR, IF, 8.29%, 03/25/09		781
	1,743	Series 2002-84, Class VB, 5.50%, 04/25/15		1,759
	443	Series 2002-91, Class UH, IO, 5.50%, 06/25/22		60
	1,595	Series 2002-94, Class BK, 5.50%, 01/25/18		1,641
	1,196	Series 2003-106, Class US, IF, 3.33%, 11/25/23		940
	6,286	Series 2003-116, Class SB, IF, IO, 3.77%, 11/25/33		485
	798	Series 2003-128, Class KE, 4.50%, 01/25/14		788
	1,671	Series 2003-130, Class SX, IF, 5.78%, 01/25/34		1,521
	798	Series 2003-22, Class UD, 4.00%, 04/25/33		683
	640	Series 2003-34, Class GB, 6.00%, 03/25/33		659
	1,199	Series 2003-34, Class GE, 6.00%, 05/25/33		1,235
	524	Series 2003-39, IO, VAR, 6.00%, 05/25/33		102
	1,595	Series 2003-47, Class PE, 5.75%, 06/25/33		1,615
	918	Series 2003-52, Class SX, IF, 11.46%, 10/25/31		952
	664	Series 2003-64, Class SX, IF, 4.52%, 07/25/33		467
	1,696	Series 2003-71, Class DS, IF, 2.54%, 08/25/33		1,398
	3,198	Series 2003-8, Class SB, IF, IO, 3.82%, 03/25/16		203
	7,576	Series 2003-80, Class SY, IF, IO, 3.82%, 06/25/23		657
	1,595	Series 2003-83, Class PG, 5.00%, 06/25/23		1,584
	600	Series 2003-91, Class SD, IF, 6.12%, 09/25/33		569
	2,209	Series 2004-10, Class SC, IF, 13.28%, 02/25/34		2,410
	1,266	Series 2004-14, Class SD, IF, 3.33%, 03/25/34		931

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Principal Amount			Security Description	Value
	1,000		Series 2004-21, Class AE, 4.00%, 04/25/19		925
	264		Series 2004-21, Class CO, PO, 04/25/34		157
	1,595		Series 2004-25, Class PC, 5.50%, 01/25/34		1,596
	1,439		Series 2004-25, Class SA, IF, 8.99%, 04/25/34		1,475
	1,037		Series 2004-36, Class PC, 5.50%, 02/25/34		1,045
	2,044		Series 2004-36, Class SA, IF, 8.99%, 05/25/34		2,110
	1,131		Series 2004-76, Class CL, 4.00%, 10/25/19		1,054
	962		Series 2005-52, Class PA, 6.50%, 06/25/35		1,010
	52		Series G-14, Class L, 8.50%, 06/25/21		55
	256		Series G-18, Class Z, 8.75%, 06/25/21		274
	86		Series G-22, Class G, 6.00%, 12/25/16		88
	189		Series G-35, Class M, 8.75%, 10/25/21		203
	-	(h)	Series G92-27, Class SQ, FRN, HB, 6904.32%, 05/25/22		33
	771		Series G92-35, Class E, 7.50%, 07/25/22		803
	49		Series G92-42, Class Z, 7.00%, 07/25/22		51
	1,137		Series G92-44, Class ZQ, 8.00%, 07/25/22		1,215
	818		Series G92-54, Class ZQ, 7.50%, 09/25/22		859
	169		Series G93-5, Class Z, 6.50%, 02/25/23		172
	196		Series G95-1, Class C, 8.80%, 01/25/25		211
			Federal National Mortgage Association Interest STRIPS
	64		Series 218, Class 2, IO, 7.50%, 04/01/23		12
	728		Series 329, Class 1, PO, 12/01/32		575
	1,518		Series 340, Class 1, PO, 09/01/33		1,148
	9		Series 50, Class 2, IO, 10.50%, 03/01/19		2
			Federal National Mortgage Association Whole Loan
	754		Series 2002-W5, Class A10, IO, FRN, 4.27%, 11/25/30		54
	3,438		Series 2002-W5, Class A7, 6.25%, 08/25/30		3,478
	2,412		Series 2003-W1, Class 1A1, 6.50%, 12/25/42		2,483
	675		Series 2003-W4, Class 2A, 6.50%, 10/25/42		679
	798		Series 2003-W8, Class 1A3, 4.75%, 12/25/42		791
	2,111		Series 2004-W2, Class 2A2, 7.00%, 02/25/44		2,206
			Government National Mortgage Association
	1,002		Series 1990-30, Class H, IF, IO, 4.83%, 08/16/29		74
	640		Series 1994-3, Class PQ, 7.49%, 07/16/24		669
	2,294		Series 1994-4, Class KQ, 7.99%, 07/16/24		2,406
	2,393		Series 1994-7, Class PQ, 6.50%, 10/16/24		2,510
	866		Series 1995-3, Class DQ, 8.05%, 06/16/25		905
	248		Series 1995-7, Class CQ, 7.50%, 09/16/25		257
	1,832		Series 1996-16, Class E, 7.50%, 08/16/26		1,902
	393		Series 1998-26, Class K, 7.50%, 09/17/25		411
	3,877		Series 1999-10, Class ZC, 6.50%, 04/20/29		4,063
	6,039		Series 1999-4, Class ZB, 6.00%, 02/20/29		6,088
	708		Series 1999-41, Class Z, 8.00%, 11/16/29		751
	568		Series 1999-44, Class PC, 7.50%, 12/20/29		594
	1,595		Series 2000-14, Class PD, 7.00%, 02/16/30		1,667
	585		Series 2000-16, Class ZN, 7.50%, 02/16/30		612
	3,262		Series 2000-37, Class B, 8.00%, 12/20/30		3,432
	267		Series 2000-38, Class AH, 7.15%, 12/20/30		275
	1,326		Series 2000-6, Class Z, 7.50%, 02/20/30		1,380
	1,371		Series 2000-9, Class PB, 7.50%, 06/16/26		1,392

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
		229	Series 2000-9, Class Z, 8.00%, 06/20/30		235
		2,816	Series 2000-9, Class ZJ, 8.50%, 02/16/30		3,091
		116	Series 2001-32, Class WA, IF, 10.63%, 07/20/31		124
		1,595	Series 2001-64, Class MQ, 6.50%, 12/20/31		1,662
		2,082	Series 2001-7, Class PK, 6.50%, 03/20/31		2,141
		1,300	Series 2002-31, Class S, IF, IO, 4.93%, 01/16/31		90
		5,999	Series 2002-36, Class VB, 6.50%, 07/20/19		6,047
		1,595	Series 2002-40, Class UK, 6.50%, 06/20/32		1,670
		8,773	Series 2002-45, Class QE, 6.50%, 06/20/32		9,159
		1,595	Series 2002-47, Class PG, 6.50%, 07/16/32		1,667
		1,595	Series 2002-47, Class PY, 6.00%, 07/20/32		1,641
		1,104	Series 2002-47, Class VB, 6.50%, 09/20/17		1,110
		2,448	Series 2002-47, Class ZA, 6.50%, 07/20/32		2,539
		1,342	Series 2002-48, Class VM, 6.50%, 09/20/16		1,358
		280	Series 2002-51, Class SG, IF, 16.05%, 04/20/31		313
		1,436	Series 2002-54, Class GB, 6.50%, 08/20/32		1,487
		4,327	Series 2002-67, Class VA, 6.00%, 03/20/13		4,383
		762	Series 2002-7, Class PG, 6.50%, 01/20/32		785
		638	Series 2002-79, Class KV, 6.00%, 11/20/13		654
		1,097	Series 2002-88, Class LI, IO, 5.50%, 11/20/28		41
		5,591	Series 2002-88, Class VA, 6.00%, 12/20/17		5,748
		550	Series 2003-24, PO, 03/16/33		463
		2,167	Series 2003-4, Class NI, IO, 5.50%, 01/20/32		336
		1,287	Series 2003-4, Class NY, 5.50%, 12/20/13		1,309
		1,196	Series 2003-40, Class TJ, 6.50%, 03/20/33		1,290
		1,873	Series 2003-52, Class AP, PO, 06/16/33		1,495
		13	Series 2003-66, Class EO, PO, 08/20/33		13
		1,200	Series 2003-95, Class SC, IF, IO, 3.21%, 09/17/31		46
		371	Series 2004-28, Class S, IF, 9.29%, 04/16/34		381
		745	Series 2004-73, Class AE, IF, 7.04%, 08/17/34		733
			Vendee Mortgage Trust
		2,774	Series 1994-1, Class 1, VAR, 5.63%, 02/15/24		2,775
		4,561	Series 1996-1, Class 1Z, 6.75%, 02/15/26		4,753
		1,601	Series 1996-2, Class 1Z, 6.75%, 06/15/26		1,664
		5,766	Series 1997-1, Class 2Z, 7.50%, 02/15/27		6,229
		1,595	Series 1998-1, Class 2E, 7.00%, 09/15/27		1,657
					555,161
Non-Agency — 6.5%
		602	Banc Of America Funding Corp.
			Series 2004-1, PO, 03/25/34		518
			Banc Of America Mortgage Securities
		1,041	Series 2003-11, PO, 02/25/34		908
		435	Series 2003-8 Class A, PO, 11/25/33		323
		731	Series 2004-6, Class A, PO, 07/25/34		526
		461	Bank Of America Alternative Loan Trust
			Series 2003-11, PO, 01/25/34		377
			Bear Stearns Commercial Mortgage Securities
		344	Series 2000-WF1, Class A1, 7.64%, 02/15/32		361
		945	Series 2004-T16, Class A2, 3.70%, 02/13/46		922
		1,100	Series 2005-PWR9, Class AAB, 4.80%, 09/15/42		1,089

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Principal Amount			Security Description	Value
	234		BHN II Mortgage Fund
			Series 1997-1, Class A2, 7.92%, 07/25/09 (d) (i)		6
	1,017		Cendant Mortgage Corp.
			Series 2004-1, Class P, PO, 02/25/34		690
			Citigroup Mortgage Loan Trust, Inc.
	1,641		Series 2003-UP3, Class A3, 7.00%, 09/25/33		1,680
	725		Series 2003-UST1, PO, 12/25/18		599
	2,218		Series 2003-UST1, Class A1, FRN, 5.50%, 12/25/18		2,233
			Countrywide Alternative Loan Trust
	4,785		Series 2002-8, Class A4, 6.50%, 07/25/32		4,785
	2,300		Series 2004-2CB, Class 1A9, 5.75%, 03/25/34		2,209
			Countrywide Home Loan Mortgage Pass Through Trust
	4,080		Series 2003-26, Class 1A6, 3.50%, 08/25/33		3,725
	713		Series 2003-J13, PO, 01/25/34		596
	2,065		Series 2003-J7, Class 4A3, IF, 4.85%, 08/25/18		2,020
	592		Series 2004-HYB3, Class 2A, VAR, 4.12%, 06/20/34		579
	887		Series 2005-R1, Class 2A, PO, 03/25/35 (e)		714
	282		CS First Boston Mortgage Securities Corp.
			Series 1997-2, Class A, 7.50%, 06/25/20 (e)		285
	768		Deutsche Mortgage Securities, Inc.
			Series 2004-1, Class 2A, PO, 10/25/18		691
	3,190		Equitable Life Assurance Society of the U.S. (The)		3,239
			Series 174, Class A1, 7.24%, 05/15/09 (e)
			First Horizon Asset Securities, Inc.
	2,655		Series 2004-AR1, Class 2A2, FRN, 5.03%, 04/25/35		2,646
	4,360		Series 2004-AR7, Class 2A1, FRN, 4.94%, 02/25/35		4,344
	798		Series 2004-AR7, Class 2A2, FRN, 4.94%, 02/25/35		794
	165		GSR Mortgage Loan Trust		165
			Series 2004-13F, Class 2A3, 6.00%, 11/25/34
			JP Morgan Commercial Mortgage Finance Corp.
	2,421		PO, 05/28/35		1,807
	1,595		Series 1997-C4, Class B, VAR, 7.47%, 12/25/28		1,616
	2,231		MASTR Adjustable Rate Mortgages Trust
			Series 2004-13, Class 2A1, FRN, 3.82%, 04/21/34		2,184
			MASTR Alternative Loans Trust
	851		Series 2003-9, Class 8A1, 6.00%, 01/25/34		862
	1,048		Series 2004-10, Class 1A1, 4.50%, 09/25/19		1,019
	399		Series 2004-7 30, PO, 08/25/34		302
			MASTR Asset Securitization Trust
	865		Series 2003-4, Class 2A2, 5.00%, 05/25/18		866
	701		Series 2004-8, PO, 08/25/19		549
	2,291		Merrill Lynch Mortgage Investors, Inc.
			Series 1997-C2, Class A2, 6.54%, 12/10/29		2,363
			Merrill Lynch Mortgage Trust
	1,850		Series 2005-MCP1, Class ASB, VAR, 4.67%, 06/12/43		1,866
	143		Series 144-SFHA, 7.43%, 08/01/24		143
	-	(h)	Morgan Stanley Mortgage Trust
			Series 35, Class 2, IF, HB, 9575.28%, 04/20/21		12
	915		Mortgage IT Trust
			Series 2005-1, Class 1A1, FRN, 4.15%, 02/25/35		915

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
			Nomura Asset Acceptance Corp.
		1,158	Series 2003-A1, Class A1, 5.50%, 05/25/33		1,162
		1,181	Series 2003-A1, Class A2, 6.00%, 05/25/33		1,189
		264	Series 2003-A1, Class A5, 7.00%, 04/25/33		264
		1,095	Series 2004-R2, Class A1, VAR, 6.50%, 10/25/34 (e)		1,114
		1	Paine Webber CMO Trust
			Series H, Class 4, 8.75%, 04/01/18		1
			Residential Accredit Loans, Inc.
		1,586	Series 2002-QS16, Class A3, IF, 8.61%, 10/25/17		1,682
		6,727	Series 2002-QS8, Class A5, 6.25%, 06/25/17		6,765
		1,700	Series 2003-QS3, Class A2, IF, 8.07%, 02/25/18		1,756
		3,091	Series 2003-QS3, Class A8, IF, IO, 3.77%, 02/25/18		216
		7,324	Series 2003-QS9, Class A3, IF, IO, 3.72%, 05/25/18		517
		798	Series 2004-QS8, Class A2, 5.00%, 06/25/34		787
			Residential Funding Mortgage Securities I
		798	Series 2003-S12, Class 4A5, 4.50%, 12/25/32		760
		2,824	Series 2003-S7, Class A17, 4.00%, 05/25/33		2,732
		36	Rural Housing Trust
			Series 1987-1, Class 3B, 7.33%, 04/01/26		36
		411	Salomon Brothers Mortgage Securities VII
			Series 2003-UP2, Class 1, PO, 12/25/18		380
		284	Structured Mortgage Asset Residential Trust
			Series 1993-2A, Class AE, 7.60%, 03/25/09		290
		3,190	Wachovia Bank Commercial Mortgage Trust
			Series 2004-C15, Class A2, 4.04%, 10/15/41		3,100
		1,000	Wamu Alternative Mortgage Pass-Through Certificates
			Series 2005-4, Class CB7, 5.50%, 06/25/35		995
		490	Washington Mutual Mortgage Securities Corp.
			Series 2003-MS7, Class P, PO, 03/25/33		423
		1,196	Washington Mutual, Inc.
			Series 2003-AR7, Class A6, VAR, 3.03%, 08/25/33		1,144
		455	Series 2003-S10, Class A6, PO, 10/25/18		377
		1,000	Series 2004-S3, Class 2A3, FRN, 8.31%, 07/25/34		972
			Wells Fargo Mortgage Backed Securities Trust
		826	Series 2003-11 1A, PO, 10/25/18		718
		1,595	Series 2003-13, Class A7, 4.50%, 11/25/18		1,510
		702	Series 2003-17, Class 2A4, 5.50%, 01/25/34		702
		1,385	Series 2004-7, Class 2A2, 5.00%, 07/25/19		1,374
		4,810	Series 2004-BB, Class A4, FRN, 4.58%, 01/25/35		4,756
		1,388	Series 2004-EE, Class 3A1, FRN, 3.99%, 01/25/35		1,357
		1,994	Series 2004-S, Class A5, FRN, 3.54%, 09/25/34		1,922
					90,529
			Total Collateralized Mortgage Obligations
			(Cost $650,650)		645,690
Corporate Bonds — 21.6%
Aerospace & Defense — 0.1%
		1,055	Systems 2001 AT LLC
			7.16%, 12/15/11 (e)		1,112
Air Freight & Logistics — 0.3%
		3,378	FedEx Corp.
			6.72%, 01/15/22		3,704

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Airlines — 0.7%
		419	American Airlines, Inc.
			Series 1999-1, 7.02%, 04/15/11		425
			Continental Airlines, Inc.
		198	Series 1999-2, Class A1, 7.26%, 09/15/21		199
		798	Series 1999-2, Class A2, 7.06%, 03/15/11		806
		855	Delta Air Lines, Inc.
			Series 2001-1, 6.62%, 03/18/11 (d)		800
			Southwest Airlines Co.
		381	Series 2001-1, 5.10%, 11/01/07		382
		1,296	Series 2001-1, 5.50%, 11/01/06		1,310
			United Airlines, Inc.
		479	Series 2000-1, 7.73%, 07/01/10 (d)		457
		1,325	Series 2000-2, 7.19%, 10/01/12 (d)		1,299
		1,868	Series 2001-1, 6.07%, 09/01/14 (d)		1,803
		2,059	Series 2001-1, 7.78%, 07/01/15 (d)		1,963
					9,444
Automobiles — 0.3%
			DaimlerChrysler NA Holding Corp.
		1,595	4.75%, 01/15/08		1,587
		2,791	7.20%, 09/01/09		2,978
					4,565
Capital Markets — 3.9%
		4,785	Bear Stearns Cos., Inc. (The)
			3.25%, 03/25/09		4,561
			Credit Suisse First Boston USA, Inc.
		439	4.70%, 06/01/09		438
		1,595	5.50%, 08/15/13		1,643
		6,460	6.13%, 11/15/11		6,863
			Goldman Sachs Group, Inc.
		1,061	3.88%, 01/15/09		1,035
		798	4.75%, 07/15/13		780
		1,675	5.25%, 10/15/13		1,690
		1,914	6.60%, 01/15/12		2,075
		4,387	6.88%, 01/15/11		4,775
		399	7.35%, 10/01/09		435
			Lehman Brothers Holdings, Inc.
		798	4.00%, 01/22/08		787
		700	4.80%, 03/13/14		688
		1,795	6.63%, 01/18/12		1,953
			Merrill Lynch & Co., Inc.
		1,595	3.70%, 04/21/08		1,560
		700	5.00%, 01/15/15		696
		798	5.45%, 07/15/14		820
		798	Series B, 3.13%, 07/15/08		766
		1,196	Series C, 4.13%, 01/15/09		1,176
			Morgan Stanley
		957	4.25%, 05/15/10		933
		578	4.75%, 04/01/14		558
		4,466	6.60%, 04/01/12		4,838

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
		4,885	6.75%, 04/15/11		5,314
			National Rural Utilities Cooperative Finance Corp.
		6,724	6.00%, 05/15/06		6,788
		823	7.30%, 09/15/06		845
		2,393	State Street Corp. 7.65%, 06/15/10		2,703
					54,720
Chemicals — 0.1%
		1,196	Don Chemicals Co. (The)
			6.13%, 02/01/11		1,275
Commercial Banks —2.9%
			Bank of America Corp.
		2,393	3.88%, 01/15/08		2,358
		1,595	7.40%, 01/15/11		1,781
		6,580	7.80%, 02/15/10		7,344
		598	Branch Banking & Trust Co. Wilson North Carolina		596
			4.88%, 01/15/13
		3,988	First Bank NA
			6.50%, 02/01/08		4,150
		3,988	Firstar Bank NA
			7.13%, 12/01/09		4,358
		1,595	Keycorp
			Series G, 4.70%, 05/21/09		1,593
		1,595	Marshall & Ilsley Corp.
			Series E, 5.75%, 09/01/06		1,612
		917	Mellon Funding Corp.
			3.25%, 04/01/09		877
			Popular North America, Inc.
		798	4.25%, 04/01/08		788
		798	6.13%, 10/15/06		806
		1,495	Royal Bank of Canada (Canada)
			3.88%, 05/04/09		1,464
		901	Suntrust Bank
			6.38%, 04/01/11		970
		798	Wachovia Bank NA
			7.80%, 08/18/10		906
			Wachovia Corp.
		2,791	3.50%, 08/15/08		2,702
		2,712	3.63%, 02/17/09		2,626
			Wells Fargo Bank NA
		2,784	3.13%, 04/01/09		2,650
		319	6.45%, 02/01/11		343
		2,472	7.55%, 06/21/10		2,764
					40,688
Commercial Services & Supplies — 0.1%
		1,117	PHH Corp.
			7.13%, 03/01/13		1,203

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Computer & Peripherals — 0.1%
		1,117	International Business Machines Corp.
			5.39%, 01/22/09		1,141
Consumer Finance — 1.8%
		1,595	American Express Credit Corp.
			3.00%, 05/16/08		1,537
			American General Finance Corp.
		518	Series H, 4.50%, 11/15/07		516
		359	Series H, 5.38%, 10/01/12		363
		279	Capital One Bank
			5.75%, 09/15/10		288
			General Motors Acceptance Corp.
		1,650	6.13%, 09/15/06		1,655
		3,700	7.25%, 03/02/11		3,441
			HSBC Finance Corp.
		798	4.75%, 05/15/09		796
		5,583	5.88%, 02/01/09		5,762
		798	6.38%, 11/27/12		857
		798	6.50%, 11/15/08		838
		1,783	6.75%, 05/15/11		1,939
		1,196	7.20%, 07/15/06		1,220
		2,752	8.00%, 07/15/10		3,105
			International Lease Finance Corp.
		698	4.50%, 05/01/08		692
		598	5.88%, 05/01/13		623
		1,037	SLM Corp.
			Series A, 5.38%, 01/15/13		1,064
					24,696
Diversified Financial Services — 4.3%
			Associates Corp. Of N. America
		798	6.38%, 11/15/05		800
		4,367	8.15%, 08/01/09		4,887
			CIT Group, Inc.
		1,914	6.50%, 02/07/06		1,928
		650	7.75%, 04/02/12		745
			Citigroup, Inc.
		479	3.50%, 02/01/08		467
		798	4.25%, 07/29/09		787
		1,994	5.63%, 08/27/12		2,073
		319	6.20%, 03/15/09		334
			Ford Motor Credit Co.
		1,595	5.80%, 01/12/09		1,488
		3,200	6.88%, 02/01/06		3,213
		6,200	7.38%, 10/28/09		5,989
		3,900	7.88%, 06/15/10		3,795
		798	Toyota Motor Credit Corp.
			2.88%, 08/01/08		763
			General Electric Capital Corp.
		798	2.80%, 01/15/07		782
		1,795	3.50%, 05/01/08		1,750

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
		1,675	4.25%, 01/15/08		1,665
		1,396	4.63%, 09/15/09		1,395
		2,791	5.38%, 03/15/07		2,826
		4,103	5.88%, 02/15/12		4,311
		4,785	6.00%, 06/15/12		5,093
		2,034	6.13%, 02/22/11		2,157
		212	7.88%, 12/01/06		220
			John Hancock Global Funding II
		957	3.50%, 01/30/09 (e)		920
		957	7.90%, 07/02/10 (e)		1,087
			MassMutual Global Funding II
		1,300	3.25%, 06/15/07 (e)		1,271
		1,595	3.50%, 03/15/10 (e)		1,509
			New York Life Global Funding
		877	3.88%, 01/15/09 (e)		856
		1,994	5.38%, 09/15/13 (e)		2,052
			Principal Life Global Funding I
		798	2.80%, 06/26/08 (e)		762
		239	6.13%, 03/01/06 (e)		241
		3,015	6.25%, 02/15/12 (e)		3,236
		798	Washington Mutual Financial Corp.
			6.88%, 05/15/11		875
					60,277
Diversified Telecommunication Services — 1.9%
		558	Ameritech Capital Funding Corp.
			6.15%, 01/15/08		573
		859	Bellsouth Telecommunications
			6.30%, 12/15/15		896
		3,270	British Telecommunications plc (United Kingdom)
			8.38%, 12/15/10		3,786
		2,313	France Telecom S.A. (France)
			7.75%, 03/01/11		2,626
		694	New York Telephone Co.
			6.00%, 04/15/08		712
		2,233	Nynex Capital Funding Co.
			Series B, SUB, 8.23%, 10/15/09		2,469
		225	Nynex Corp.
			9.55%, 05/01/10		250
			Sprint Capital Corp.
		4,267	6.00%, 01/15/07		4,338
		997	7.13%, 01/30/06		1,005
		319	7.63%, 01/30/11		357
		718	8.38%, 03/15/12		845
		1,117	TELUS Corp. (Canada)
			8.00%, 06/01/11		1,278
		798	Verizon Florida, Inc.
			Series F, 6.13%, 01/15/13		829
		4,187	Verizon Global Funding Corp.
			7.25%, 12/01/10		4,627
		1,595	Verizon Virginia, Inc.
			Series A, 4.63%, 03/15/13		1,527
					26,118

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Electric Utilities — 0.9%
		319	Alabama Power Co.
			4.70%, 12/01/10		317
		265	American Electric Power Co., Inc.
			Series A, 6.13%, 05/15/06		268
		917	Carolina Power & Light Co.
			5.13%, 09/15/13		923
		2,153	Constellation Energy Group, Inc.
			6.35%, 04/01/07		2,201
		1,276	Dominion Resources, Inc.
			Series B, 6.25%, 06/30/12		1,353
		798	DTE Energy Co.
			Series A, 6.65%, 04/15/09		843
			Duke Energy Corp.
		1,795	4.20%, 10/01/08		1,767
		1,595	5.63%, 11/30/12		1,647
		1,595	Exelon Generation Co., LLC
			6.95%, 06/15/11		1,740
		231	Kiowa Power Partners LLC
			4.81%, 12/30/13 (e)		224
		893	Ohio Valley Electric Corp.
			5.94%, 02/12/06 (e)		898
		60	Virginia Electric & Power Co.
			Series A, 5.38%, 02/01/07		60
					12,241
Food & Staples Retailing — 0.1%
		1,196	Kroger Co. (The)		1,318
			8.05%, 02/01/10
Gas Utilities — 0.1%
		3,230	Enron Corp.
			6.75%, 07/01/05 (d)		-	(h)
		638	KeySpan Gas East Corp.
			7.88%, 02/01/10		715
		1,037	Southern California Gas Co.
			4.80%, 10/01/12		1,035
					1,750
Hotels, Restaurants & Leisure — 0.0% (g)
		319	Harrah’s Operating Co., Inc.
			8.00%, 02/01/11		357
Industrial Conglomerates — 0.2%
		1,795	Honeywell International, Inc.
			5.13%, 11/01/06		1,806
			Tyco International Group S.A. (Bermuda)
		598	6.38%, 10/15/11		637
		997	6.75%, 02/15/11		1,077
					3,520

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Insurance — 1.6%
		1,515	American International Group, Inc.
			4.25%, 05/15/13		1,447
			ASIF Global Financing
		2,393	2.65%, 01/17/06 (e)		2,382
		1,795	3.90%, 10/22/08 (e)		1,751
		2,393	4.90%, 01/17/13 (e)		2,349
		1,595	Jackson National Life Global Funding
			6.13%, 05/30/12 (e)		1,708
		873	Metropolitan Life Global Funding I
			5.20%, 09/18/13 (e)		889
		3,190	Metropolitan Life Insurance Co.
			7.00%, 11/01/05 (e)		3,198
		1,196	MGIC Investment Corp.
			6.00%, 03/15/07		1,216
		1,755	Monumental Global Funding II
			4.38%, 07/30/09 (e)		1,727
		1,276	Monumental Global Funding III
			5.20%, 01/30/07 (e)		1,284
		479	Nationwide Financial Services
			6.25%, 11/15/11		513
		917	Pacific Life Global Funding
			3.75%, 01/15/09 (e)		895
			Protective Life Secured Trust
		853	4.00%, 10/07/09		833
		1,595	4.00%, 04/01/11		1,533
		299	XL Capital Ltd. (Cayman Islands)
			5.25%, 09/15/14		288
					22,013
IT Services — 0.1%
		1,595	First Data Corp.
			3.90%, 10/01/09		1,554
Media — 0.7%
		418	Comcast Cable Communications Holdings, Inc.
			8.38%, 03/15/13		495
		479	Comcast Corp.
			5.50%, 03/15/11		488
		718	COX Communications, Inc.
			7.75%, 11/01/10		794
			Time Warner Cos., Inc.
		1,117	7.48%, 01/15/08		1,180
		1,695	8.18%, 08/15/07		1,796
		80	Liberty Media Corp.
			5.70%, 05/15/13		73
		2,951	Tele-Communications-TCI Group
			9.80%, 02/01/12		3,629
		877	Time Warner Entertainment Co. LP
			10.15%, 05/01/12		1,100
					9,555

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Multi-Utilities — 0.1%
		869	PSEG Power LLC
			7.75%, 04/15/11		973
Oil, Gas & Consumable Funds — 0.2%
		1,874	Conoco Phillips
			8.75%, 05/25/10		2,191
		435	Ras Laffan Liquefied Natural Gas Co., Ltd. (Qatar)
			7.63%, 09/15/06 (e)		439
					2,630
Paper & Forest Products — 0.2%
			International Paper Co.
		1,316	4.00%, 04/01/10		1,253
		514	4.25%, 01/15/09		503
		558	Union Camp Corp.
			6.50%, 11/15/07		576
			Weyerhaeuser Co.
		282	6.13%, 03/15/07		287
		160	6.75%, 03/15/12		173
					2,792
Real Estate — 0.2%
		2,193	EOP Operating LP
			6.75%, 02/15/12		2,372
		319	ERP Operating LP
			4.75%, 06/15/09		316
					2,688
Road & Rail — 0.1%
			Burlington Northern Santa Fe Corp.
		785	6.13%, 03/15/09		819
		798	7.13%, 12/15/10		882
					1,701
Supranational — 0.0%(g)
		160	Corp. Andina de Fomento
			5.20%, 05/21/13		160
		80	Inter-American Development Bank
			8.40%, 09/01/09		91
					251
Thrifts & Mortgage Finance — 0.6%
			Countrywide Home Loans, Inc.
		917	3.25%, 05/21/08		883
		3,190	Series L, 4.00%, 03/22/11		3,030
		997	Series E, 7.20%, 10/30/06		1,022
			Washington Mutual Bank FA
		299	5.65%, 08/15/14		307
		1,196	6.88%, 06/15/11		1,304
		1,085	Washington Mutual, Inc.
			4.20%, 01/15/10		1,059
		1,196	World Savings Bank FSB
			4.50%, 06/15/09		1,186
					8,791

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount			Security Description	Value
Wireless Telecommunication Services — 0.2%
				New Cingular Wireless Services, Inc.
		598		7.50%, 05/01/07		624
		1,436		7.88%, 03/01/11		1,635
						2,259
				Total Corporate Bonds
				(Cost $301,694)		303,336
U.S. Government Agency Mortgages — 3.5%
				Federal Home Loan Mortgage Corp. Conventional Pools
		-	(h)	8.00%, 04/01/07		-	(h)
		74		12.00%, 08/01/15		81
		32		12.00%, 07/01/19		35
		771		ARM, 4.78%, 01/01/27		791
		76		ARM, 5.50%, 07/01/26		78
				Federal Home Loan Mortgage Corp. Gold Pools
		2,779		4.00%, 08/01/18		2,685
		995		4.50%, 10/01/18		976
		340		5.50%, 06/01/17		346
		2,114		6.00%, 01/01/34		2,159
		1,108		6.50%, 12/01/13		1146
		639		7.00%, 08/01/10		669
		849		7.50%, 08/01/08		888
		170		8.00%, 07/01/20		182
		613		8.50%, 01/01/10		660
				Federal National Mortgage Conventional Association Pools
		3,942		4.00%, 09/01/13		3,815
		1,001		4.50%, 03/01/19		981
		608		5.00%, 12/01/16		608
		578		5.00%, 06/01/18		577
		1,897		5.50%, 12/01/33		1,898
		2,690		6.00%, 12/01/32		2735
		4,956		6.50%, 08/01/31		5124
		789		7.00%, 08/01/32		829
		835		7.50%, 10/01/12		883
		1,602		8.00%, 11/01/12		1712
		692		8.50%, 02/01/30		752
		437		9.00%, 12/01/30		475
		137		9.50%, 12/01/18		152
		98		10.00%, 02/01/24		109
		71		12.50%, 01/01/16		79
		259		ARM, 4.14%, 09/01/27		261
		285		ARM, 4.36%, 03/01/29		286
		114		ARM, 4.55%, 03/01/19		116
		2,705		ARM, 4.89%, 01/01/35		2,703
		32		ARM, 5.16%, 08/01/19		32
		50		ARM, 5.81%, 06/01/26		52
				Government National Mortgage Association Pools
		3,181		6.00%, 10/15/17		3266
		2,533		6.50%, 02/15/33		2636

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
		2,582	7.00%, 06/15/33		2730
		1,183	7.50%, 06/15/32		1256
		1,681	8.00%, 10/15/06		1797
		467	8.50%, 04/15/06		512
		204	9.00%, 10/15/05		220
		411	9.50%, 10/15/09		455
		156	12.00%, 11/15/19		178
			Total U.S. Government Agency Mortgages
			(Cost $46,987)		47,925
U.S. Government Agency Securities — 1.0%
		798	Federal Home Loan Bank System
			6.21%, 06/02/09		846
			Federal Home Loan Mortgage Corp.
		1,157	4.13%, 07/12/10		1,138
		387	6.88%, 09/15/10		427
		682	7.20%, 07/18/06		697
		827	Federal Housing Authority
			7.43%, 01/01/22		827
			Federal National Mortgage Association
		1,994	5.25%, 01/15/09		2,040
		3,190	5.50%, 03/15/11		3,332
		957	6.13%, 03/15/12		1,039
		2,672	6.25%, 02/01/11		2,856
		500	6.63%, 09/15/09		537
		479	6.63%, 11/15/10		524
			Total U.S. Government Agency Securities
			(Cost $14,170)		14,263
U.S. Treasury Obligations — 20.3%
			U.S. Treasury Bonds
		1,595	9.88%, 11/15/15 (m)		2,302
		33,546	10.38%, 11/15/12 (m)		37,716
		23,927	11.75%, 11/15/14 (m)		30,660
		41,314	12.00%, 08/15/13 (m)		49,972
		5,742	12.50%, 08/15/14 (m)		7,425
		14,626	12.75%, 11/15/10 (m)		14,776
			U.S. Treasury Inflation Indexed Bonds
		1,318	3.38%, 01/15/07		9,743
		8,710	4.25%, 01/15/10		(h	)
			U.S. Treasury Notes
		2,500	3.63%, 07/15/09		2,450
		750	5.63%, 05/15/08		776
		2,484	5.75%, 08/15/10		2,649
		1,715	6.13%, 08/15/07		1,775
		1,316	6.50%, 10/15/06		1,347
		11,565	6.50%, 02/15/10		12,601
			U.S. Treasury STRIPS
		4,785	PO, 05/15/08		4,296
		2,393	PO, 02/15/09		2,081
		10,049	PO, 05/15/09		8,650

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
		5,982	PO, 11/15/09		5,020
		1,994	PO, 02/15/10		1,665
		7,178	PO, 02/15/11		5,743
		6,620	PO, 05/15/11		5,245
		239	PO, 02/15/12		183
		14,755	PO, 05/15/12		11,164
		399	PO, 08/15/12		298
		5,910	PO, 11/15/12		4,369
		7,976	PO, 02/15/13		5,813
		2,596	PO, 08/15/13 (m)		1,848
		798	PO, 11/15/13		561
		10,773	PO, 02/15/14 (m)		7,473
		6,684	PO, 05/15/14 (m)		4,582
		15,798	PO, 08/15/14 (m)		10,703
		9,437	PO, 11/15/14 (m)		6,318
		498	PO, 08/15/15		322
		9,133	PO, 11/15/15		5,822
		18,889	PO, 02/15/16		11,884
		2,393	PO, 05/15/16		1,487
		1,595	PO, 08/15/16		979
			Total U.S. Treasury Obligations
			(Cost $285,190)		282,061
Foreign Government Securities — 0.4%
		2,393	Province of Quebec (Canada)
			5.75%, 02/15/09		2,483
			United Mexican States (Mexico)
		1,475	4.63%, 10/08/08		1,468
		850	6.63%, 03/03/15		923
		1,093	6.38%, 01/16/13		1,163
					6,037
			Total Foreign Government Securities
			(Cost $5,838)		6,037
			Total Long-Term Investments
			(Cost $1,347,316)		1,347,316

	Shares
Short-Term Investment — 3.9%
Investment Company — 3.9%
		54,235	JPMorgan Liquid Assets Money Market Fund (b)
			3.65%, 12/31/49
			(Cost $54,235)	54,235

	Principal Amount
Investments of Cash Collateral for Securities Loaned — 7.1%
Certificates of Deposit — 1.7%
		$  4,997	Bank of New York
			3.74%, 05/02/08	4,997
		5,000	Canadian Imperial Bank NY
			3.83%, 10/31/06	5,000
		12,867	Natexis Banques Populaires
			4.12%, 11/23/05	12,867
				22,864

JPMorgan Intermediate Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount
Corporate Notes — 3.1%
		7,500	World Savings Bank FSB
			FRN, 3.86%, 06/20/08		7,500
			CC USA Inc.
		5,000	FRN, 4.10%, 11/03/05		5,000
			Lehman Holdings
		2,500	FRN, 4.02%, 11/07/05		2,500
			Northern Rock Plc
		10,000	FRN, 3.81%, 01/13/06		10,000
			Sigma Finance, Inc.
		8,749	FRN, 4.11%, 02/27/06		8,749
			Wells Fargo & Co.
		10,000	FRN, 4.07%, 12/16/05		10,000
					43,749
Repurchase Agreements — 2.3%
		17,263	Banc of America Securities LLC, 3.95%, dated 09/30/05,
			due 10/03/05, repurchase price $17,269, collateralized
			by U.S. Government Agency Mortgages.		17,263
		5,000	Merrill Lynch Securities, 4.00%, dated 09/30/05, due
			10/03/05, repurchase price $5,002, collateralized by
			investment grade corporate collateralized securities.		5,000
		10,000	Merrill Lynch Securities, 4.02%, date 09/30/05, due
			10/03/05, repurchase price $10,003, collateralized by
			investment grade corporate collateralized securities.		10,000
					32,263
			Total Investments of Cash Collateral for Securities Loaned
			(Cost $98,876)		98,876
Total Investments — 107.8%
(Cost $1,500,427)				$	1,495,808
Liabilities in Excess of Other Assets — (7.8)%					(107,970	)
Net Assets — 100%				$	1,387,838

Percentages indicated are based on net assets.

Abbreviations:

(b)	Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors, Inc.
(d)	Defaulted Security.
(e)	All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees.
(g)	Amount rounds to less than 0.1%.
(h)	Amount rounds to less than one thousand.
(i)	Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(m)	All or portion of thi security is segregated for current or potential of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

ARM     Adjustable Rate Mortgage.

CMO     Collaterized Mortgage Obligation.

FRN     Floating Rate Note. The rate shown is the rate in effect as of September 30, 2005.

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 IO’s 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 REMIC 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.

IO     Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities are generally higher than prevailing market yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. 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.

STRIPS     Separate Trading of Registered Interest and Principal Securities.

SUB     Step-Up Bond. The rate shown is the rate in effect as of September 30, 2005.

VAR     Variable. The interest rate shown is the rate in effect at September 30, 2005.

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	22,187
Aggregate gross unrealized depreciation		(26,806	)
Net unrealized appreciation/depreciation	$	(4,619	)
Federal income tax cost of investments	$	1,500,427

JPMorgan Mortgage-Backed Securities Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal
	Amount		Security Description	Value
Long-Term Investments — 88.7%
Asset Backed Securities — 0.7%
	$	8,319	Countrywide Asset-Backed Certificates
			Series 2004-AB2, Class A2, FRN, 4.10%, 10/25/33	$	8,333
		377	Residential Asset Mortgage Products, Inc.
			Series 2001-RS3, Class AI4, SUB, 6.29%, 10/25/31		377
			Total Asset Backed Securities
			(Cost $8,696)		8,710
Collateralized Mortgage Obligations — 67.2%
Agency CMO — 45.9%
		7,500	Federal Home Loan Bank System
			Series 2012, Class A, 4.72%, 09/20/12		7,439
			Federal Home Loan Mortgage Corp.
		193	Series 11, Class D, 9.50%, 07/15/19		193
		68	Series 22, Class C, 9.50%, 04/15/20		68
		89	Series 23, Class F, 9.60%, 04/15/20		89
		75	Series 30, Class D, 9.50%, 02/15/20		80
		2	Series 41, Class I, HB, 84.00%, 05/15/20		2
		56	Series 47, Class F, 10.00%, 06/15/20		56
		512	Series 77, Class H, 8.50%, 09/15/20		511
		13	Series 81, Class A, 8.13%, 11/15/20		13
		37	Series 84, Class F, 9.20%, 10/15/20		37
		35	Series 99, Class Z, 9.50%, 01/15/21		35
		2,443	Series 111, Class SB, IF, IO, 3.73%, 01/15/29		174
		-(h)	Series 180, Class J, IO, HB, 1010.00%, 09/15/21		-(h)
		-(h)	Series 186, Class I, IO, HB, 1009.50%, 08/15/21		-(h)
		-(h)	Series 189, Class K, IO, HB, 1009.50%, 10/15/21		-(h)
		1	Series 204, Class E, IF, IO, HB, 1130.40%, 05/15/23		3
		-(h)	Series 1045, Class G, IO, HB, 1065.60%, 02/15/21		-(h)
		17	Series 1065, Class J, 9.00%, 04/15/21		17
		-(h)	Series 1072, Class A, IO, HB, 1008.50%, 05/15/06		-(h)
		60	Series 1079, Class S, IF, 21.04%, 05/15/21		62
		-(h)	Series 1082, Class D, IO, HB, 1007.78%, 05/15/21		-(h)
		52	Series 1084, Class F, FRN, 4.76%, 05/15/21		52
		37	Series 1084, Class S, IF, 28.07%, 05/15/21		38
		-(h)	Series 1098, Class M, IO, HB, 1008.00%, 06/15/06		-(h)
		44	Series 1133, Class H, 7.00%, 09/15/21		45
		65	Series 1144, Class KB, 8.50%, 09/15/21		64
		-(h)	Series 1172, Class L, IO, HB, VAR, 1180.80%, 11/15/21		1
		124	Series 1179, Class H, 7.50%, 11/15/21		124
		2	Series 1196, Class B, IF, IO, HB, 727.40%, 01/15/22		4
		26	Series 1205, Class G, 7.00%, 03/15/07		26
		315	Series 1246, Class J, 7.50%, 05/15/07		316
		174	Series 1254, Class N, 8.00%, 04/15/22		174
		1,223	Series 1263, Class H, 7.50%, 05/15/07 (m)		1,224
		-(h)	Series 1298, Class L, IO, HB, 981.87%, 06/15/07		-(h)
		238	Series 1343, Class LA, 8.00%, 08/15/22		246
		119	Series 1343, Class LB, 7.50%, 08/15/22		121
		426	Series 1374, Class Z, 7.00%, 10/15/22		440
		125	Series 1395, Class G, 6.00%, 10/15/22		125

Principal
Amount		Security Description	Value
	1,179	Series 1401, Class J, 7.00%, 10/15/22		1,196
	139	Series 1404, Class FA, 4.50%, 11/15/07		139
	50	Series 1465, Class SA, IF, IO, 5.19%, 02/15/08		2
	1,466	Series 1466, Class PZ, 7.50%, 02/15/23		1,522
	42	Series 1470, Class F, FRN, 3.76%, 02/15/23		42
	288	Series 1492, Class VC, , 8.00%, 09/15/11		290
	43	Series 1505, Class QB, IF, 11.87%, 05/15/23		49
	21	Series 1506, Class F, FRN, 4.41%, 05/15/08		21
	2,268	Series 1512, Class J, 6.50%, 05/15/08		2,297
	722	Series 1513, Class N, 6.50%, 05/15/08		731
	442	Series 1518, Class G, IF, 5.39%, 05/15/23		437
	379	Series 1526, Class L, 6.50%, 06/15/23		390
	148	Series 1539, Class PL, 6.50%, 05/15/08		150
	29	Series 1540, Class IA, 7.00%, 06/15/13		30
	511	Series 1541, Class O, FRN, 3.39%, 07/15/23		499
	2,269	Series 1543, Class VM, 6.90%, 04/15/23		2,345
	349	Series 1544, Class J, IF, 8.96%, 07/15/08		358
	87	Series 1549, Class K, 8.50%, 07/15/08		90
	1,009	Series 1560, Class PN, 7.00%, 12/15/12		1,033
	115	Series 1570, Class F, FRN, 4.26%, 08/15/23		115
	289	Series 1570, Class SA, IF, 16.70%, 08/15/23		348
	1,214	Series 1578, Class K, 6.90%, 09/15/23		1,258
	138	Series 1578, Class V, IO, 7.00%, 09/15/23		23
	2,612	Series 1591, Class PV, 6.25%, 10/15/23		2,674
	988	Series 1596, Class D, 6.50%, 10/15/13		1,015
	22	Series 1602, Class SA, IF, 10.36%, 10/15/23		23
	98	Series 1606, Class M, FRN, 4.11%, 11/15/08		98
	314	Series 1606, Class SC, IF, 14.95%, 11/15/08		339
	754	Series 1609, Class LG, IF, 9.07%, 11/15/23		810
	737	Series 1611, Class JA, FRN, 4.88%, 08/15/23		741
	94	Series 1625, Class SG, IF, 10.74%, 12/15/08		98
	45	Series 1625, Class SH, IF, 8.50%, 12/15/08		46
	3,241	Series 1628, Class LZ, 6.50%, 12/15/23		3,380
	1,000	Series 1638, Class H, 6.50%, 12/15/23		1,057
	1,513	Series 1644, Class K, 6.75%, 12/15/23		1,589
	745	Series 1647, Class PK, 6.50%, 12/15/08		758
	432	Series 1649, Class S, IF, 12.44%, 12/15/08		455
	9	Series 1671, Class QC, IF, 10.00%, 02/15/24		9
	1,744	Series 1677, Class Z, 7.50%, 07/15/23		1,835
	15	Series 1686, Class SH, FRN, 10.66%, 02/15/24		17
	53	Series 1688, Class W, 7.25%, 03/15/14		57
	149	Series 1689, Class SD, IF, 9.87%, 10/15/23		153
	756	Series 1695, Class EB, 7.00%, 03/15/24		795
	126	Series 1698, Class SC, IF, 10.65%, 03/15/09		135
	184	Series 1699, Class FC, FRN, 4.41%, 03/15/24		186
	273	Series 1745, Class D, 7.50%, 08/15/24		275
	662	Series 1798, Class F, 5.00%, 05/15/23		658
	390	Series 1807, Class A, 6.00%, 11/15/08		395
	46	Series 1807, Class G, 9.00%, 10/15/20		48
	9,389	Series 1813, Class J, IF, IO, 2.50%, 11/15/23		562
	1,214	Series 1829, Class ZB, 6.50%, 03/15/26		1,249
	83	Series 1844, Class E, 6.50%, 10/15/13		84
	2,233	Series 1863, Class Z, 6.50%, 07/15/26		2,293
	9	Series 1865, Class D, PO, 02/15/24		7
	583	Series 1899, Class ZE, 8.00%, 09/15/26		603
	153	Series 1900, Class T, PO, 08/15/08		147

Principal
Amount		Security Description	Value
	576	Series 1963, Class Z, 7.50%, 01/15/27		595
	163	Series 1985, Class PR, IO, 8.00%, 07/15/27		29
	269	Series 1987, Class PE, 7.50%, 09/15/27		277
	317	Series 2025, Class PE, 6.30%, 01/15/13		324
	126	Series 2033, Class SN, IF, IO, 19.05%, 03/15/24		33
	169	Series 2038, Class PN, IO, 7.00%, 03/15/28		29
	756	Series 2040, Class PE, 7.50%, 03/15/28		795
	210	Series 2042, Class T, 7.00%, 03/15/28		214
	1,306	Series 2055, Class OE, 6.50%, 05/15/13		1,344
	649	Series 2060, Class Z, 6.50%, 05/15/28		671
	1,786	Series 2061, Class DC, IO, 6.50%, 06/15/28		312
	3,985	Series 2075, Class PH, 6.50%, 08/15/28		4,098
	1,177	Series 2086, Class GB, 6.00%, 09/15/28		1,201
	259	Series 2089, Class PJ, IO, 7.00%, 10/15/28		45
	4,182	Series 2102, Class TC, 6.00%, 12/15/13 (m)		4,286
	2,691	Series 2102, Class TU, 6.00%, 12/15/13 (m)		2,758
	2,510	Series 2115, Class PE, 6.00%, 01/15/14		2,571
	1,121	Series 2125, Class JZ, 6.00%, 02/15/29		1,144
	179	Series 2132, Class PD, 6.00%, 11/15/27		181
	434	Series 2132, Class SB, IF, 14.55%, 03/15/29		487
	646	Series 2132, Class ZL, 6.50%, 03/15/29		667
	70	Series 2135, Class UK, IO, 6.50%, 03/15/14		10
	60	Series 2141, Class IO, IO, 7.00%, 04/15/29		11
	211	Series 2161, Class PG, 6.00%, 04/15/28		213
	198	Series 2163, Class PC, IO, 7.50%, 06/15/29		38
	459	Series 2178, Class PB, 7.00%, 08/15/29		475
	402	Series 2189, Class SA, IF, 10.25%, 02/15/28		428
	742	Series 2201, Class C, 8.00%, 11/15/29		778
	2,098	Series 2209, Class TC, 8.00%, 01/15/30		2,235
	880	Series 2210, Class Z, 8.00%, 01/15/30		931
	413	Series 2224, Class CB, 8.00%, 03/15/30		430
	295	Series 2247, Class Z, 7.50%, 08/15/30		300
	340	Series 2254, Class Z, 9.00%, 09/15/30		374
	1,329	Series 2256, Class MC, 7.25%, 09/15/30		1,367
	2,019	Series 2259, Class ZM, 7.00%, 10/15/30		2,099
	2,081	Series 2271, Class PC, 7.25%, 12/15/30		2,156
	756	Series 2283, Class K, 6.50%, 12/15/23		800
	748	Series 2296, Class PD, 7.00%, 03/15/31		777
	37	Series 2299, Class G, 7.00%, 05/15/14 (m)		37
	1,127	Series 2303, Class ZN, 8.50%, 04/15/29		1,362
	284	Series 2306, Class K, PO, 05/15/24		249
	709	Series 2306, Class SE, IF, IO, 6.36%, 05/15/24		106
	1,142	Series 2312, Class KV, 6.50%, 05/15/14		1,148
	521	Series 2317, Class VG, 6.50%, 04/15/31 (m)		524
	390	Series 2322, Class VN, 6.50%, 07/15/16		392
	3,664	Series 2323, Class VO, 6.00%, 10/15/22		3,718
	80	Series 2342, Class PW, 6.50%, 08/15/17		80
	4,422	Series 2344, Class QG, 6.00%, 08/15/16		4,536
	4,237	Series 2344, Class ZD, 6.50%, 08/15/31		4,422
	570	Series 2344, Class ZJ, 6.50%, 08/15/31		587
	468	Series 2345, Class NE, 6.50%, 08/15/31		481
	1,513	Series 2347, Class VP, 6.50%, 03/15/20		1,557
	991	Series 2349, Class NW, 6.50%, 10/15/16		998
	366	Series 2353, Class PC, 6.50%, 09/15/15		367
	1,698	Series 2353, Class TD, 6.00%, 09/15/16		1,749
	1,678	Series 2355, Class BP, 6.00%, 09/15/16		1,721

Principal
Amount		Security Description	Value
	1,328	Series 2358, Class PD, 6.00%, 09/15/16		1,361
	2,269	Series 2359, Class PM, 6.00%, 09/15/16		2,332
	530	Series 2359, Class ZB, 8.50%, 06/15/31		603
	3,174	Series 2360, Class PG, 6.00%, 09/15/16		3,249
	1,557	Series 2362, Class PD, 6.50%, 06/15/20		1,586
	239	Series 2362, Class PJ, 6.50%, 10/15/28		242
	898	Series 2363, Class PF, 6.00%, 09/15/16		920
	1,575	Series 2366, Class MD, 6.00%, 10/15/16		1,615
	238	Series 2367, Class VD, 6.00%, 01/15/19		238
	414	Series 2368, Class AS, IF, 11.13%, 10/15/31		428
	1,201	Series 2368, Class TG, 6.00%, 10/15/16		1,233
	422	Series 2372, Class F, FRN, 4.27%, 10/15/31		424
	437	Series 2383, Class FD, FRN, 4.27%, 11/15/31		441
	792	Series 2388, Class UZ, 8.50%, 06/15/31		847
	675	Series 2389, Class VA, 6.00%, 02/15/11		688
	333	Series 2391, Class QE, 5.50%, 05/15/15		335
	6,428	Series 2391, Class QR, 5.50%, 12/15/16		6,549
	654	Series 2391, Class QT, 5.50%, 05/15/15		656
	1,891	Series 2392, Class PV, 6.00%, 12/15/20		1,924
	719	Series 2394, Class MC, 6.00%, 12/15/16		737
	1,513	Series 2399, Class TH, 6.50%, 01/15/32		1,572
	1,013	Series 2410, Class HC, 5.50%, 02/15/09		1,015
	1,350	Series 2410, Class OE, 6.38%, 02/15/32		1,385
	1,513	Series 2410, Class QS, IF, 9.70%, 02/15/32		1,480
	873	Series 2410, Class QX, IF, IO, 4.88%, 02/15/32		67
	862	Series 2412, Class SE, FRN, 8.43%, 02/15/09		876
	684	Series 2419, Class V, 6.50%, 12/15/12		687
	1,290	Series 2423, Class MC, 7.00%, 03/15/32		1,338
	1,508	Series 2423, Class MT, 7.00%, 03/15/32		1,564
	1,797	Series 2425, Class OB, 6.00%, 03/15/17		1,845
	1,513	Series 2434, Class TC, 7.00%, 04/15/32		1,582
	3,587	Series 2436, Class MC, 7.00%, 04/15/32		3,736
	1,113	Series 2444, Class ES, IF, IO, 4.18%, 03/15/32		96
	966	Series 2450, Class GZ, 7.00%, 05/15/32		1,013
	1,261	Series 2450, Class SW, IF, IO, 4.23%, 03/15/32		119
	569	Series 2458, Class OD, 6.00%, 04/15/16		575
	2,484	Series 2458, Class QE, 5.50%, 06/15/17		2,537
	1,377	Series 2460, Class VZ, 6.00%, 11/15/29		1,408
	1,846	Series 2461, Class VB, 6.50%, 04/15/18		1,876
	1,258	Series 2462, Class NB, 6.50%, 06/15/22		1,346
	364	Series 2470, Class SL, IF, 9.00%, 01/15/27		384
	3,276	Series 2474, Class SJ, IF, IO, 3.88%, 07/15/17		218
	1,075	Series 2480, Class PV, 6.00%, 07/15/11		1,105
	110	Series 2496, Class LD, 8.50%, 11/15/15		110
	3,025	Series 2498, Class UD, 5.50%, 06/15/16		3,059
	2,269	Series 2500, Class GD, 5.50%, 12/15/15		2,286
	3,025	Series 2500, Class TD, 5.50%, 02/15/16		3,053
	1,436	Series 2513, Class VA, 6.00%, 08/15/13		1,440
	2,720	Series 2513, Class YO, PO, 02/15/32		2,396
	2,269	Series 2515, Class DE, 4.00%, 03/15/32		2,121
	568	Series 2517, Class SE, IF, 6.83%, 10/15/09		585
	651	Series 2519, Class BT, 8.50%, 09/15/31		694
	1,803	Series 2527, Class VU, 5.50%, 10/15/13		1,829
	1,513	Series 2533, Class HB, 5.50%, 12/15/17		1,553
	1,210	Series 2535, Class BK, 5.50%, 12/15/22		1,236
	756	Series 2541, Class GX, 5.50%, 02/15/17		767

Principal
Amount		Security Description	Value
	4,228	Series 2553, Class GF, FRN, 4.17%, 02/15/17		4,246
	2,269	Series 2557, Class WJ, 5.00%, 07/15/14		2,276
	1,513	Series 2565, Class MB, 6.00%, 05/15/30		1,552
	753	Series 2571, Class SK, IF, HB, 18.25%, 09/15/23		926
	2,500	Series 2586, Class WI, IO, 6.50%, 03/15/33		535
	3,608	Series 2594, Class VA, 6.00%, 03/15/14		3,692
	1,254	Series 2594, Class VP, 6.00%, 02/15/14		1,281
	2,307	Series 2597, Class DS, IF, IO, 3.78%, 02/15/33		153
	3,738	Series 2599, Class DS, IF, IO, 3.23%, 02/15/33		219
	3,149	Series 2610, Class DS, IF, IO, 3.33%, 03/15/33		195
	7,293	Series 2611, Class SH, IF, IO, 3.88%, 10/15/21		597
	1,513	Series 2611, Class UH, 4.50%, 05/15/18		1,457
	3,403	Series 2617, Class GR, 4.50%, 05/15/18		3,286
	710	Series 2624, Class IU, IO, 5.00%, 06/15/33		171
	14,412	Series 2626, Class NS, IF, IO, 2.78%, 06/15/23		928
	4,500	Series 2630, Class KN, 2.50%, 04/15/13		4,348
	3,025	Series 2631, Class LC, 4.50%, 06/15/18		2,924
	689	Series 2633, Class EO, PO, 08/15/33		466
	4,816	Series 2637, Class SA, IF, IO, 2.33%, 06/15/18		211
	536	Series 2638, Class IA, IO, 5.00%, 02/15/15		8
	717	Series 2640, Class UG, IO, 5.00%, 01/15/32		206
	1,820	Series 2640, Class UR, IO, 4.50%, 08/15/17		221
	1,212	Series 2643, Class HI, IO, 4.50%, 12/15/16		144
	2,143	Series 2643, Class KG, 4.00%, 05/15/18		2,134
	2,001	Series 2656, Class SH, IF, 10.30%, 02/15/25		2,151
	4,708	Series 2668, Class SB, IF, 3.85%, 10/15/15		4,562
	1,513	Series 2672, Class ME, 5.00%, 11/15/22		1,507
	783	Series 2672, Class SJ, IF, 3.81%, 09/15/16		718
	9,831	Series 2675, Class CK, 4.00%, 09/15/18 (m)		9,170
	1,997	Series 2682, Class YS, IF, 3.46%, 10/15/33		1,440
	360	Series 2683, Class SG, IF, 8.10%, 09/15/33		344
	583	Series 2683, Class VA, 5.50%, 02/15/21		593
	1,966	Series 2684, Class TO, PO, 10/15/33		1,141
	6,126	Series 2686, Class GB, 5.00%, 05/15/20		6,133
	4,426	Series 2686, Class NS, IF, IO, 3.83%, 10/15/21		354
	1,511	Series 2691, Class WS, IF, 3.35%, 10/15/33		1,060
	887	Series 2694, Class BA, 4.00%, 06/15/31		872
	2,269	Series 2702, Class PC, 5.00%, 01/15/23		2,259
	874	Series 2705, Class SC, IF, 3.35%, 11/15/33		623
	2,068	Series 2705, Class SD, IF, 6.11%, 11/15/33		1,702
	3,781	Series 2715, Class OG, 5.00%, 01/15/23		3,752
	5,372	Series 2716, Class UN, 4.50%, 12/15/23		5,076
	3,025	Series 2720, Class PC, 5.00%, 12/15/23		3,005
	3,220	Series 2721, Class PI, IO, 5.00%, 05/15/16		260
	4,538	Series 2727, Class BS, IF, 3.42%, 01/15/34		3,001
	198	Series 2727, PO, 01/15/34		129
	593	Series 2733, Class GF, FRN, 0.00%, 09/15/33		585
	811	Series 2739, Class S, IF, 4.46%, 01/15/34		695
	882	Series 2744, Class FE, FRN, 0.00%, 02/15/34		686
	2,178	Series 2744, Class PC, 5.50%, 01/15/31		2,219
	5,701	Series 2744, Class PD, 5.50%, 08/15/33		5,929
	3,025	Series 2744, Class TU, 5.50%, 05/15/32		3,045
	2,816	Series 2749, Class PK, IO, 5.00%, 09/15/22		205
	726	Series 2753, Class S, IF, 4.46%, 02/15/34		549
	2,064	Series 2755, Class SA, IF, 6.66%, 05/15/30		2,043
	1,082	Series 2756, Class NA, 5.00%, 02/15/24		1,078

Principal
Amount		Security Description	Value
	559	Series 2769, PO, 03/15/34		338
	911	Series 2774, Class QO, PO, 02/15/34		701
	1,850	Series 2776, Class SK, IF, 3.42%, 04/15/34		1,383
	604	Series 2777, Class DV, 6.50%, 11/15/17		630
	503	Series 2778, Class BS, IF, 6.33%, 04/15/34		444
	3,327	Series 2780, Class JG, 4.50%, 04/15/19		3,220
	2,450	Series 2780, Class YC, 5.00%, 04/15/19		2,441
	1,154	Series 2801, Class BS, IF, 6.56%, 05/15/34		1,114
	819	Series 2827, Class NT, IF, 8.00%, 01/15/22		896
	667	Series 2827, Class SQ, IF, 7.50%, 01/15/19		687
	1,891	Series 2846, PO, 08/15/34		1,476
	846	Series 2925, Class ZM, 5.00%, 01/15/35		838
	199	Series 2929, Class JZ, 5.00%, 02/15/35		195
	378	Series 2929, Class ZM, 5.00%, 06/15/33		377
	2,118	Series 2989, PO, 06/15/23		1,711
		Federal Home Loan Mortgage Corp. STRIPS
	9	Series 1, Class B, IO, 8.00%, 10/15/18		2
	6	Series 16, Class B, IO, 10.00%, 06/01/20		2
	52	Series 134, Class B, IO, 9.00%, 04/01/22		11
		Federal Home Loan Mortgage Corp. Structured Pass Through Securities
	1,830	Series T-41, Class 3A, 7.50%, 07/25/32 (m)		1,924
	421	Series T-51, Class 1A, VAR, 6.50%, 09/25/43		432
	507	Series T-51, Class 2A, VAR, 7.50%, 08/25/42		528
	3,896	Series T-54, Class 2A, 6.50%, 02/25/43		4,002
	1,117	Series T-54, Class 3A, 7.00%, 02/25/43		1,171
	928	Series T-58, Class A, PO, 09/25/43		797
		Federal National Mortgage Association
	326	Series 1988-7, Class Z, 9.25%, 04/25/18		349
	17	Series 1988-11, Class D, PO, 05/25/18		15
	15	Series 1988-29, Class B, 9.50%, 12/25/18		16
	51	Series 1989-19, Class A, 10.30%, 04/25/19		55
	32	Series 1989-21, Class G, 10.45%, 04/25/19		35
	88	Series 1989-27, Class Y, 6.90%, 06/25/19		90
	79	Series 1989-70, Class G, 8.00%, 10/25/19		83
	38	Series 1989-78, Class H, 9.40%, 11/25/19		41
	37	Series 1989-89, Class H, 9.00%, 11/25/19		40
	35	Series 1990-60, Class K, 5.50%, 06/25/20		35
	35	Series 1990-93, Class G, 5.50%, 08/25/20		35
	1	Series 1990-95, Class J, IO, HB, 1118.04%, 08/25/20		15
	162	Series 1990-102, Class J, 6.50%, 08/25/20		167
	17	Series 1990-134, Class SC, IF, 15.83%, 11/25/20		22
	1	Series 1990-140, Class K, IO, HB, 652.15%, 12/25/20		19
	–(h)	Series 1991-4, Class H, IO, HB, 778.65%, 01/25/06		–(h)
	–(h)	Series 1991-4, Class N, IO, HB, 758.75%, 01/25/06		–(h)
	–(h)	Series 1991-7, Class K, IO, HB, 910.80%, 02/25/21		3
	–(h)	Series 1991-20, Class M, IO, HB, 908.75%, 03/25/06		–(h)
	–(h)	Series 1991-33, Class J, IO, HB, 1008.00%, 04/25/06		–(h)
	–(h)	Series 1991-60, Class PM, IO, HB, 1009.00%, 06/25/21		10
	–(h)	Series 1991-71, Class E, IO, HB, 1087.97%, 06/25/06		–(h)
	–(h)	Series 1991-133, Class L, IO, HB, 1182.75%, 09/25/06		–(h)
	1,651	Series 1992-7, Class Q, 8.00%, 01/25/18		1,709
	175	Series 1992-33, Class F, FRN, 3.74%, 03/25/22		174
	140	Series 1992-38, Class Z, 7.50%, 02/25/22		143
	508	Series 1992-73, Class H, 7.50%, 05/25/22		524
	77	Series 1992-101, Class J, 7.50%, 06/25/22		78
	147	Series 1992-170, Class K, 7.00%, 09/25/07		149

Principal
Amount		Security Description	Value
	1,393	Series 1992-188, Class PZ, 7.50%, 10/25/22		1,461
	292	Series 1993-8, Class H, 7.00%, 01/25/08		297
	1,342	Series 1993-25, Class J, 7.50%, 03/25/23		1,406
	632	Series 1993-27, Class S, IF, 3.98%, 02/25/23		618
	280	Series 1993-31, Class K, 7.50%, 03/25/23		292
	568	Series 1993-51, Class B, PO, 02/25/23		551
	2,842	Series 1993-54, Class Z, 7.00%, 04/25/23		2,952
	152	Series 1993-62, Class SA, IF, 14.10%, 04/25/23		178
	29	Series 1993-72, Class F, FRN, 3.66%, 05/25/08		29
	138	Series 1993-97, Class FA, FRN, 5.09%, 05/25/23		141
	109	Series 1993-108, Class D, PO, 02/25/23		99
	141	Series 1993-131, Class Z, 7.00%, 07/25/08		144
	240	Series 1993-162, Class F, FRN, 4.79%, 08/25/23		245
	107	Series 1993-164, Class SA, IF, 12.55%, 09/25/08		113
	50	Series 1993-165, Class SD, IF, 9.00%, 09/25/23		52
	1,044	Series 1993-167, Class GA, 7.00%, 09/25/23		1,071
	62	Series 1993-175, Class SA, IF, 13.00%, 09/25/08		66
	518	Series 1993-179, Class SB, IF, 17.69%, 10/25/23		643
	475	Series 1993-190, Class S, IF, 10.76%, 10/25/08		489
	97	Series 1993-192, Class SC, IF, 7.82%, 10/25/08		98
	31	Series 1993-196, Class FA, FRN, 3.66%, 10/25/08		30
	68	Series 1993-196, Class SA, IF, 15.70%, 10/25/08		74
	31	Series 1993-196, Class SB, IF, 9.25%, 10/25/08		32
	57	Series 1993-204, Class PE, IO, 6.50%, 05/25/23		5
	967	Series 1993-220, Class SG, IF, 8.31%, 11/25/13		985
	222	Series 1993-225, Class SG, IF, 11.25%, 12/25/13		236
	59	Series 1993-225, Class VO, IF, 9.54%, 12/25/22		60
	85	Series 1993-228, Class G, PO, 09/25/23		72
	51	Series 1993-230, Class FA, FRN, 4.44%, 12/25/23		52
	19	Series 1993-233, Class SC, IF, 8.71%, 12/25/08		20
	475	Series 1993-234, Class SC, IF, 11.36%, 12/25/08		503
	2,166	Series 1993-250, Class Z, 7.00%, 12/25/23		2,234
	1,039	Series 1993-257, Class C, PO, 06/25/23		940
	278	Series 1994-13, Class SK, IF, 14.34%, 02/25/09		301
	1,687	Series 1994-34, Class DZ, 6.00%, 03/25/09		1,714
	756	Series 1994-37, Class L, 6.50%, 03/25/24		781
	174	Series 1995-2, Class Z, 8.50%, 03/25/25		185
	1,735	Series 1996-14, Class SE, IF, IO, 6.55%, 08/25/23		294
	243	Series 1996-20, Class L, PO, 09/25/08		232
	258	Series 1996-24, Class B, PO, 10/25/08		249
	74	Series 1996-59, Class J, 6.50%, 08/25/22		76
	732	Series 1997-20, IO, FRN, 1.84%, 03/25/27		41
	131	Series 1997-24, Class Z, 8.00%, 04/18/27		135
	140	Series 1997-27, Class J, 7.50%, 04/18/27		147
	132	Series 1997-81, Class PI, IO, 7.00%, 12/18/27		25
	430	Series 1998-36, Class J, 6.00%, 07/18/28		434
	2,692	Series 1998-36, Class ZB, 6.00%, 07/18/28		2,740
	1,170	Series 1998-43, Class SA, IF, IO, 12.69%, 04/25/23		361
	849	Series 1999-57, Class Z, 7.50%, 12/25/19		897
	838	Series 1999-62, Class PB, 7.50%, 12/18/29		887
	141	Series 2000-52, IO, 8.50%, 01/25/31		32
	1,363	Series 2001-5, Class OW, 6.00%, 03/25/16		1,394
	1,218	Series 2001-7, Class PF, 7.00%, 03/25/31		1,266
	2,161	Series 2001-28, Class VB, 6.00%, 02/25/20		2,173
	1,915	Series 2001-31, Class VD, 6.00%, 05/25/31		1,966
	1,604	Series 2001-33, Class ID, IO, 6.00%, 07/25/31		309

Principal
Amount		Security Description	Value
	1,739	Series 2001-36, Class DE, 7.00%, 08/25/31		1,812
	909	Series 2001-44, Class PD, 7.00%, 09/25/31		943
	1,888	Series 2001-44, Class PU, 7.00%, 09/25/31		1,959
	1,312	Series 2001-49, Class DQ, 6.00%, 11/25/15		1,330
	1,170	Series 2001-49, Class LZ, 8.50%, 07/25/31		1,387
	1,312	Series 2001-52, Class XN, 6.50%, 11/25/15		1,354
	2,424	Series 2001-59, Class VB, 6.00%, 11/25/15		2,436
	1,513	Series 2001-61, Class VB, 7.00%, 12/25/16		1,572
	1,590	Series 2001-61, Class Z, 7.00%, 11/25/31		1,675
	2,634	Series 2001-71, Class QE, 6.00%, 12/25/16		2,701
	1,245	Series 2001-72, Class SX, 8.55%, 12/25/31		1,186
	756	Series 2001-74, Class MB, 6.00%, 12/25/16		791
	756	Series 2001-78, Class VB, 6.00%, 12/25/15		759
	1,140	Series 2002-1, Class HC, 6.50%, 02/25/22		1,180
	525	Series 2002-1, Class SA, IF, 12.74%, 02/25/32		565
	840	Series 2002-1, Class UD, IF, 11.05%, 12/25/23		891
	1,513	Series 2002-3, Class PG, 5.50%, 02/25/17		1,545
	878	Series 2002-7, Class QM, 6.00%, 02/25/20		884
	873	Series 2002-8, Class SR, IF, 8.29%, 03/25/09		888
	1,043	Series 2002-9, Class ST, IF, 10.13%, 03/25/17		1,104
	560	Series 2002-9, Class VE, 6.50%, 12/25/12		569
	3,025	Series 2002-11, Class QG, 5.50%, 03/25/17		3,097
	4,504	Series 2002-13, Class SJ, IF, IO, 1.60%, 03/25/32		204
	320	Series 2002-13, Class ST, IF, 10.00%, 03/25/32		366
	758	Series 2002-16, Class VD, 6.50%, 06/25/18		759
	6,806	Series 2002-18, Class PC, 5.50%, 04/25/17		6,961
	2,269	Series 2002-19, Class PE, 6.00%, 04/25/17		2,335
	649	Series 2002-36, Class HZ, 7.00%, 12/25/29		657
	678	Series 2002-37, Class Z, 6.50%, 06/25/32		701
	2,269	Series 2002-55, Class QE, 5.50%, 09/25/17		2,308
	9,744	Series 2002-56, Class UC, 5.50%, 09/25/17 (m)		9,943
	1,134	Series 2002-59, Class AC, 6.00%, 03/25/28		1,159
	218	Series 2002-59, Class VA, 6.50%, 04/25/32		218
	1,513	Series 2002-59, Class VB, 6.50%, 04/25/32		1,531
	1,361	Series 2002-63, Class LB, 5.50%, 10/25/17		1,392
	872	Series 2002-73, Class S, IF, 6.68%, 11/25/09		899
	3,025	Series 2002-74, Class LD, 5.00%, 01/25/16		3,025
	2,269	Series 2002-74, Class PD, 5.00%, 11/25/15		2,270
	1,313	Series 2002-74, Class VA, 6.00%, 11/25/31		1,326
	2,269	Series 2002-74, Class VB, 6.00%, 11/25/31		2,318
	2,183	Series 2002-77, Class S, IF, 7.46%, 12/25/32		2,002
	213	Series 2002-91, Class UH, IO, 5.50%, 06/25/22		29
	3,032	Series 2003-8, Class SB, IF, IO, 3.82%, 03/25/16		193
	1,779	Series 2003-16, Class PI, IO, 5.00%, 11/25/12		77
	1,513	Series 2003-22, Class UD, 4.00%, 04/25/33		1,294
	1,513	Series 2003-27, Class DW, 4.50%, 04/25/17		1,476
	993	Series 2003-39, IO, VAR, 6.00%, 05/25/33		193
	3,517	Series 2003-41, Class PE, 5.50%, 05/25/23		3,630
	2,887	Series 2003-52, Class PA, 6.50%, 06/25/35		3,029
	494	Series 2003-52, Class SX, IF, 11.46%, 10/25/31		512
	1,134	Series 2003-65, Class CI, IO, 4.50%, 03/25/15		172
	575	Series 2003-67, Class VQ, 7.00%, 01/25/19		615
	3,495	Series 2003-68, Class QP, 3.00%, 07/25/22		3,286
	1,048	Series 2003-73, Class GA, 3.50%, 05/25/31		997
	360	Series 2003-74, Class SH, IF, 3.28%, 08/25/33		262
	501	Series 2003-79, Class NM, 4.00%, 05/25/22		487

Principal
Amount		Security Description	Value
	14,920	Series 2003-80, Class SY, IF, IO, 3.82%, 06/25/23		1,293
	1,513	Series 2003-81, Class LC, 4.50%, 09/25/18		1,464
	4,383	Series 2003-83, Class PG, 5.00%, 06/25/23		4,354
	756	Series 2003-86, Class PX, 4.50%, 02/25/17		745
	1,137	Series 2003-91, Class SD, 6.12%, 09/25/33		1,078
	939	Series 2003-92, Class SH, IF, 4.59%, 09/25/18		885
	1,891	Series 2003-106, Class US, IF, 3.33%, 11/25/23		1,486
	1,153	Series 2003-106, PO, 08/25/17		990
	1,500	Series 2003-113, Class PC, 4.00%, 03/25/15		1,463
	9,060	Series 2003-116, Class SB, IF, IO, 3.77%, 11/25/33		699
	1,134	Series 2003-122, Class TE, 5.00%, 12/25/22		1,126
	1,513	Series 2003-128, Class KE, 4.50%, 01/25/14		1,494
	2,853	Series 2003-130, Class SX, IF, 5.78%, 01/25/34		2,596
	1,782	Series 2003-132, Class OA, PO, 08/25/33		1,412
	5,519	Series 2004-4, Class QI, IF, IO, 3.27%, 06/25/33		394
	1,380	Series 2004-4, Class QM, IF, 6.54%, 06/25/33		1,308
	3,578	Series 2004-10, Class SC, IF, 13.28%, 02/25/34		3,904
	1,800	Series 2004-14, Class SD, IF, 3.33%, 03/25/34		1,323
	2,204	Series 2004-21, Class CO, PO, 04/25/34		1,308
	1,494	Series 2004-22, Class A, 4.00%, 04/25/19		1,379
	1,513	Series 2004-25, Class PB, 5.50%, 05/25/32		1,540
	1,134	Series 2004-25, Class PC, 5.50%, 01/25/34		1,135
	4,641	Series 2004-25, Class SA, IF, 8.99%, 04/25/34		4,756
	1,134	Series 2004-36, Class PB, 5.50%, 05/25/32		1,175
	2,721	Series 2004-36, Class SA, IF, 8.99%, 05/25/34		2,809
	927	Series 2004-36, Class SN, IF, 6.54%, 07/25/33		906
	994	Series 2004-51, Class SY, IF, 6.58%, 07/25/34		884
	2,269	Series 2004-53, Class NC, 5.50%, 07/25/24		2,331
	432	Series 2004-61, Class SK, IF, 8.50%, 11/25/32		492
	1,891	Series 2004-92, Class JO, PO, 12/25/34		1,564
	5,000	Series 2005-68, Class PG, 5.50%, 08/25/35		5,065
	781	Series G92-4, Class F, FRN, 4.06%, 12/25/21		778
	463	Series G92-7, Class JQ, 8.50%, 01/25/22		495
	100	Series G92-12, Class B, 7.70%, 02/25/22		105
	152	Series G92-14, Class Z, 7.00%, 02/25/22		158
	409	Series G92-15, Class Z, 7.00%, 01/25/22		420
	–(h)	Series G92-27, Class SQ, IF, HB, 7182.00%, 05/25/22		50
	102	Series G92-42, Class Z, 7.00%, 07/25/22		107
	3,592	Series G92-44, Class ZQ, 8.00%, 07/25/22		3,841
	517	Series G92-54, Class ZQ, 7.50%, 09/25/22		543
	808	Series G92-61, Class Z, 7.00%, 10/25/22		842
	103	Series G92-62, Class B, PO, 10/25/22		90
	618	Series G93-1, Class KA, 7.90%, 01/25/23		654
	415	Series G93-17, Class SI, IF, 6.00%, 04/25/23		428
	167	Series G94-13, Class J, 7.00%, 06/17/22		168
	543	Series G97-2, Class ZA, 8.50%, 02/17/27		575
	208	Federal National Mortgage Association Grantor Trust
		Series 2001-T10, PO, 12/25/41		163
		Federal National Mortgage Association Interest STRIPS
	55	Series 23, Class 2, IO, 10.00%, 09/01/17		14
	22	Series 59, Class 2, IO, 9.50%, 07/01/17		5
	2,268	Series 213, Class 2, IO, 8.00%, 03/01/23		457
	75	Series 265, Class 2, 9.00%, 03/01/24		81
	153	Series 285, Class 1, PO, 02/01/27		131
	1,382	Series 340, Class 1, PO, 09/01/33		1,045
		Federal National Mortgage Association Whole Loan

Principal
Amount		Security Description	Value
	715	Series 2002-W5, Class A10, IF, IO, 4.27%, 11/25/30		51
	2,402	Series 2003-W1, Class 1A1, 6.50%, 12/25/42		2,473
	1,296	Series 2003-W1, Class 2A, 7.50%, 12/25/42		1,364
	481	Series 2003-W4, Class 2A, 6.50%, 10/25/42		484
	2,723	Series 2003-W8, Class 1A3, 4.75%, 12/25/42		2,699
	4,351	Series 2004-W2, Class 2A2, 7.00%, 02/25/44		4,547
		Government National Mortgage Association
	435	Series 1994-4, Class KQ, 7.99%, 07/16/24		456
	3,592	Series 1994-7, Class PQ, 6.50%, 10/16/24		3,768
	869	Series 1996-16, Class E, 7.50%, 08/16/26 (m)		902
	176	Series 1997-2, Class E, 7.50%, 02/20/27		182
	234	Series 1997-11, Class D, 7.50%, 07/20/27		243
	372	Series 1998-26, Class K, 7.50%, 09/17/25		389
	2,110	Series 1999-4, Class ZB, 6.00%, 02/20/29		2,128
	755	Series 1999-41, Class Z, 8.00%, 11/16/29		802
	95	Series 1999-43, Class TA, IF, 9.35%, 11/16/29		104
	431	Series 1999-44, Class PC, 7.50%, 12/20/29		450
	1,952	Series 1999-44, Class ZG, 8.00%, 12/20/29		2,055
	1,258	Series 2000-6, Class Z, 7.50%, 02/20/30		1,308
	1,656	Series 2000-7, Class ST, IF, 21.03%, 01/16/30		2,186
	2,601	Series 2000-9, Class PB, 7.50%, 06/16/26		2,641
	802	Series 2000-9, Class Z, 8.00%, 06/20/30		822
	2,428	Series 2000-9, Class ZJ, 8.50%, 02/16/30		2,665
	2,526	Series 2000-10, Class ZP, 7.50%, 02/16/30		2,685
	1,659	Series 2000-12, Class ST, IF, 21.03%, 02/16/30		2,216
	462	Series 2000-16, Class ZN, 7.50%, 02/16/30		483
	7,117	Series 2000-21, Class S, IF, IO, 4.53%, 09/16/25		174
	2,166	Series 2000-21, Class Z, 9.00%, 03/16/30		2,411
	716	Series 2000-26, Class Z, 7.75%, 09/20/30		737
	255	Series 2000-36, Class HC, 7.33%, 11/20/30		265
	103	Series 2000-36, Class IK, IO, 9.00%, 11/16/30		19
	768	Series 2000-38, Class AH, 7.15%, 12/20/30		790
	110	Series 2001-32, Class WA, IF, 10.63%, 07/20/31		118
	905	Series 2001-35, Class SA, IF, IO, 4.48%, 08/16/31		61
	887	Series 2001-36, Class S, IF, IO, 4.28%, 08/16/31		53
	355	Series 2001-55, Class SF, IF, 13.89%, 11/20/31		388
	1,909	Series 2001-60, Class VP, 6.50%, 07/20/17		1,948
	1,134	Series 2002-4, Class TD, 7.00%, 01/20/32		1,186
	1,082	Series 2002-7, Class PG, 6.50%, 01/20/32		1,115
	3,479	Series 2002-24, Class AG, IF, IO, 4.18%, 04/16/32		283
	965	Series 2002-24, Class SB, IF, 6.27%, 04/16/32		897
	1,010	Series 2002-24, Class Z, 8.50%, 04/16/32		1,122
	6,782	Series 2002-31, Class SE, IF, IO, 3.73%, 04/16/30		474
	274	Series 2002-33, Class SY, IF, 9.00%, 02/26/23		299
	2,370	Series 2002-36, Class VB, 6.50%, 07/20/19		2,389
	1,513	Series 2002-40, Class UK, 6.50%, 06/20/32		1,584
	624	Series 2002-41, Class LS, IF, 9.00%, 06/16/32		707
	1,134	Series 2002-45, Class QE, 6.50%, 06/20/32		1,184
	1,134	Series 2002-47, Class PG, 6.50%, 07/16/32		1,185
	1,280	Series 2002-47, Class VB, 6.50%, 09/20/17		1,287
	269	Series 2002-51, Class SG, IF, 16.05%, 04/20/31		301
	945	Series 2002-54, Class GB, 6.50%, 08/20/32		979
	3,757	Series 2002-67, Class VA, 6.00%, 03/20/13		3,806
	1,676	Series 2002-70, Class AV, 6.00%, 03/20/12		1,722
	2,854	Series 2002-70, Class PS, IF, IO, 3.90%, 08/20/32		211
	1,552	Series 2002-71, Class VJ, 6.00%, 12/20/14		1,571

	Principal
	Amount		Security Description	Value
		3,024	Series 2002-79, Class KV, 6.00%, 11/20/13		3,100
		2,358	Series 2002-80, Class EB, 7.00%, 01/20/32		2,475
		1,040	Series 2002-88, Class LI, IO, 5.50%, 11/20/28		39
		1,326	Series 2002-88, Class VA, 6.00%, 12/20/17		1,363
		2,671	Series 2003-4, Class NI, IO, 5.50%, 01/20/32		414
		1,221	Series 2003-4, Class NY, 5.50%, 12/20/13		1,242
		7,937	Series 2003-11, Class SK, IF, IO, 3.93%, 02/16/33		610
		229	Series 2003-24, PO, 03/16/33		192
		17	Series 2003-66, Class EO, PO, 08/20/33		17
		4,146	Series 2003-76, Class LS, IF, IO, 3.40%, 09/20/31		265
		560	Series 2003-90, PO, 10/20/33		474
		2,114	Series 2003-95, Class SC, IF, IO, 3.21%, 09/17/31		81
		1,702	Series 2003-98, Class PC, 5.00%, 02/20/29		1,707
		7,815	Series 2003-112, Class SA, IF, IO, 2.78%, 12/16/33		403
		11,285	Series 2004-11, Class SW, IF, IO, 1.70%, 02/20/34		321
		948	Series 2004-28, Class S, IF, 9.29%, 04/16/34		974
		995	Series 2004-73, Class AE, IF, 7.04%, 08/17/34		979
			Vendee Mortgage Trust
		2,594	Series 1996-1, Class 1Z, 6.75%, 02/15/26		2,703
		1,519	Series 1996-2, Class 1Z, 6.75%, 06/15/26		1,579
		2,735	Series 1997-1, Class 2Z, 7.50%, 02/15/27		2,954
		2,269	Series 1998-1, Class 2E, 7.00%, 09/15/27		2,357
		1,348	Series 2001-1, Class 2J, 7.00%, 05/15/10		1,392
		418	Series 2002-2, Class J, 6.00%, 01/15/09		421
					588,822
Non-Agency — 21.3%
		542	ABN Amro Mortgage Corp.
			Series 2003-7, Class A3, 4.50%, 07/25/18		527
			Banc of America Funding Corp.
		3,781	Series 2003-3, Class 1A33, 5.50%, 10/25/33		3,723
		1,142	Series 2004-1, PO, 03/25/34		982
			Banc of America Mortgage Securities
		635	Series 2003-8 Class APO, PO, 11/25/33		472
		275	Series 2003-9, Class 1A2, PO, 12/25/33		202
		22,173	Series 2004-3, Class 15IO, IO, VAR, 0.21%, 04/25/19		155
		931	Series 2004-4, Class APO, PO, 05/25/34		704
		1,159	Series 2004-6, Class APO, PO, 07/25/34		834
		3,781	Series 2004-E, Class 2A5, FRN, 4.12%, 06/25/34		3,656
			Bank of America Alternative Loan Trust
		807	Series 2003-3, Class A, PO, 05/25/33		685
		1,166	Series 2003-11, PO, 01/25/34		953
		3,025	Bear Stearns Adjustable Rate Mortgage Trust
			Series B2004-4, Class A4, VAR, 3.52%, 06/25/34		2,947
		245	Bear Stearns Commercial Mortgage Securities
			Series 2000-WF1, Class A1, 7.64%, 02/15/32		256
		1,643	Cendant Mortgage Corp.
			Series 2003-9, Class 1P, PO, 11/25/33		1,127
			Citicorp Mortgage Securities, Inc.
		821	Series 2002-11, Class 1A14, 6.00%, 11/25/32		819
		1,228	Series 2003-8, Class A, PO, 08/25/33		938
			Citigroup Mortgage Loan Trust, Inc.
		1,345	Series 2003-1, Class PO3, PO, 10/25/33		925
		446	Series 2003-1, Class WA2, 6.50%, 10/25/33		453

Principal
Amount		Security Description	Value
	837	Series 2003-1, Class WPO2, PO, 10/25/33		658
	1,339	Series 2003-UP3, Class A3, 7.00%, 09/25/33		1,371
	672	Series 2003-UST1, Class PO1, PO, 12/25/18		522
	527	Series 2003-UST1, Class PO2, PO, 12/25/18		465
	305	Series 2003-UST1, Class PO3, PO, 12/25/18		271
	3,155	Series 2003-UST1, Class A1, 5.50%, 12/25/18		3,176
		Countrywide Alternative Loan Trust
	1,513	Series 2002-8, Class A4, 6.50%, 07/25/32		1,513
	1,403	Series 2003-J1, Class PO, PO, 10/25/33		1,240
	1,650	Series 2004-2CB, Class 1A9, 5.75%, 03/25/34		1,586
	4,720	Series 2005-22T1, Class A2, IF, IO, 1.24%, 06/25/35		65
	5,211	Series 2005-26CB, Class A10, 6.11%, 07/25/35		5,106
	22,530	Series 2005-J1, Class 1A4, IF, IO, 1.27%, 02/25/35		281
		Countrywide Home Loan Mortgage Pass Through Trust
	419	Series 2003-18, Class A12, 5.50%, 07/25/33		411
	3,868	Series 2003-26, Class 1A6, 3.50%, 08/25/33		3,532
	226	Series 2003-34, Class A11, 5.25%, 09/25/33		226
	310	Series 2003-44, Class A9, PO, 10/25/33		201
	1,964	Series 2003-J2 A17, IF, IO, 3.57%, 04/25/33		117
	3,426	Series 2003-J7, Class 4A3, IF, 4.85%, 08/25/18		3,353
	1,393	Series 2003-J10, Class 2A1, 5.00%, 11/25/18		1,388
	1,071	Series 2004-3, PO, 04/25/34		936
	1,253	Series 2004-7 Class 2A1, FRN, 4.09%, 06/25/34		1,208
	1,981	Series 2004-HYB1, Class 2A, VAR, 4.26%, 05/20/34		1,944
	2,243	Series 2004-HYB3, Class 2A, VAR, 4.12%, 06/20/34		2,194
		First Horizon Asset Securities, Inc.
	1,513	Series 2004-4, Class 2A2, 4.50%, 07/25/19		1,455
	6,194	Series 2004-AR1, Class 2A2, FRN, 5.03%, 04/25/35		6,173
	8,891	Series 2004-AR7, Class 2A1, FRN, 4.94%, 02/25/35 (m)		8,858
	1,000	Series 2004-AR7, Class 2A2, FRN, 4.94%, 02/25/35		995
		GMAC Mortgage Corp. Loan Trust
	3,052	Series 2004-J2, Class A2, FRN, 4.33%, 06/25/34		3,054
	5,512	Series 2005-AR3, Class 3A3, VAR, 4.90%, 06/19/35		5,504
	5,000	Series 2005-AR3, Class 3A4, VAR, 4.90%, 06/19/35		4,962
		GSR Mortgage Loan Trust
	333	Series 2004-3F, Class 3A8, 13.50%, 02/25/34		445
	1,575	Series 2004-10F, Class 2A1, 5.00%, 08/25/19		1,571
	740	Series 2004-13F, Class 2A3, 6.00%, 11/25/34		739
	497	Series 2004-13F, Class 3A3, 6.00%, 11/25/34		496
	326	Kidder Peabody Mortgage Assets Trust
		Series B, Class A1, PO, 04/22/18		282
		MASTR Adjustable Rate Mortgages Trust
	8,716	PO, 05/28/35		6,506
	4,069	Series 2004-13, Class 2A1, FRN, 3.82%, 04/21/34		3,983
	9,500	Series 2004-13, Class 3A6, FRN, 3.79%, 11/21/34		9,193
		MASTR Alternative Loans Trust
	1,596	Series 2003-8, Class 3A1, 5.50%, 12/25/33		1,600
	1,261	Series 2003-9, Class 8A1, 6.00%, 01/25/34		1,277
	619	Series 2004-1, Class 30, PO, 02/25/34		545
	1,361	Series 2004-3, Class 30, PO, 04/25/34		1,149
	1,392	Series 2004-3, Class 30X1, IO, 6.00%, 04/25/34		256
	1,572	Series 2004-5, Class 30, PO, 06/25/34		1,411
	890	Series 2004-5, Class 30X1, IO, 6.00%, 06/25/34		146
	6,808	Series 2004-6, Class 7A1, 6.00%, 07/25/34		6,871
	898	Series 2004-6, Class 30X1, IO, 5.50%, 07/25/34		155
	630	Series 2004-7, Class 30, PO, 08/25/34		476

Principal
Amount		Security Description	Value
	2,387	Series 2004-7, Class AX1, IO, 5.50%, 08/25/34		421
	3,313	Series 2004-10, Class 1A1, 4.50%, 09/25/19		3,222
		MASTR Asset Securitization Trust
	932	Series 2003-10, Class 15, PO, 11/25/18		793
	571	Series 2003-11, Class 15, PO, 12/25/18		497
	2,001	Series 2003-4, Class 2A2, 5.00%, 05/25/18		2,002
	892	Series 2003-4, Class 5A1, 5.50%, 05/25/33		874
	630	Series 2004-1 Class 30, PO, 02/25/34		521
	1,030	Series 2004-3, PO, 03/25/34		811
	2,602	Series 2004-6, Class 2A9, 5.25%, 11/25/16		2,585
	1,994	Series 2004-8, PO, 08/25/19		1,561
		Merrill Lynch Trust
	641	7.43%, 08/01/24		641
	8	Series 7, Class B, PO, 04/20/18		8
	303	Series 47, Class Z, 8.99%, 10/20/20		311
	–(h)	Morgan Stanley Mortgage Trust
		Series 35, Class 2, IF, HB, 9878.40%, 04/20/21		12
	3,929	MortgageIT Trust
		Series 2005-1, Class 1A1, FRN, 4.15%, 02/25/35		3,929
		Nomura Asset Acceptance Corp.
	1,295	Series 2003-A1, Class A1, 5.50%, 05/25/33		1,299
	896	Series 2003-A1, Class A2, 6.00%, 05/25/33		902
	334	Series 2003-A1, Class A5, 7.00%, 04/25/33		334
	852	Series 2003-A1, Class A7, 5.00%, 04/25/18		852
	3,376	Series 2004-R2, Class A1, VAR, 6.50%, 10/25/34 (e)		3,435
	1,364	Prime Mortgage Trust
		Series 2004-1, Class 2A3, 5.25%, 08/25/34		1,361
		Residential Accredit Loans, Inc.
	627	Series 2002-QS16, Class A3, IF, 8.61%, 10/25/17		665
	1,106	Series 2003-QR19, Class CB4, 5.75%, 10/25/33		1,072
	1,612	Series 2003-QS3, Class A2, IF, 8.07%, 02/25/18		1,665
	3,639	Series 2003-QS3, Class A8, IF, IO, 3.77%, 02/25/18		254
	4,231	Series 2003-QS9, Class A3, IF, IO, 3.72%, 05/25/18		299
	4,671	Series 2003-QS12, Class A2A, IF, IO, 3.77%, 06/25/18		335
	1,401	Series 2003-QS12, Class A5, IO, 5.00%, 06/25/18		278
	28,555	Series 2003-QS13, Class A6, IF, IO, 0.60%, 07/25/33		574
	5,025	Series 2003-QS18, Class A1, 5.00%, 09/25/18		4,987
	2,466	Series 2004-QS8, Class A2, 5.00%, 06/25/34		2,431
	3,080	Series 2004-QS10, Class A6, 6.00%, 07/25/34		3,135
		Residential Asset Securitization Trust
	836	Series 2003-A13, Class A3, 5.50%, 01/25/34		826
	1,038	Series 2003-A14, Class A1, 4.75%, 02/25/19		1,018
		Residential Funding Mortgage Securities I
	2,901	Series 2003-S7, Class A17, 4.00%, 05/25/33		2,806
	943	Series 2003-S11, Class A1, 2.50%, 06/25/18		905
	1,891	Series 2003-S12, Class 4A5, 4.50%, 12/25/32		1,801
	2,269	Series 2003-S13, Class A3, 5.50%, 06/25/33		2,224
	1,934	Series 2003-S14, Class A4, PO, 07/25/18		1,694
		Residential Funding Securities Corp.
	254	Series 2002-RM1, Class AP1, PO, 12/25/17		235
	509	Series 2003-RM2, Class AP-3, PO, 05/25/33		436
		Salomon Brothers Mortgage Securities VII
	41	Series 2000-UP1, Class A2, 8.00%, 08/25/27		41
	780	Series 2003-UP2, Class 1, PO, 12/25/18		720
		Structured Adjustable Rate Mortgage Loan Trust

	Principal
	Amount		Security Description	Value
		4,285	Series 2004-6, Class 5A4, VAR, 5.01%, 06/25/34		4,235
			Structured Asset Securities Corp.
		288	Series 2002-10H, Class 1AP, PO, 05/25/32		244
		1,513	Series 2003-8, Class 1A2, 5.00%, 04/25/18		1,496
		12,107	Series 2004-20, Class 1A3, 5.25%, 11/25/34 (m)		11,885
			Wamu Alternative Mortgage Pass-Through Certificates
		2,174	Series 2005-4, Class CB7, 5.50%, 06/25/35		2,163
		1,614	Series 2005-4, Class DP, PO, 06/25/20		1,182
		5,825	Series 2005-6, Class 2A4, 5.50%, 08/25/35		5,835
			Washington Mutual Alternative Mortgage Pass-Through Certificates
		4,817	Series 2002-MS12, Class A, 6.50%, 05/25/32		4,872
		47,412	Series 2005-2, Class 1A4, IF, IO, 1.22%, 04/25/35		738
		1,063	Washington Mutual MSC Mortgage Pass-Through Certificates
			Series 2004-RA4, Class 1P, PO, 04/25/19		875
			Washington Mutual, Inc.
		3,500	Series 2003-AR4, Class A6, VAR, 3.42%, 05/25/33		3,420
		1,496	Series 2003-AR5, Class A5, VAR, 3.84%, 06/25/33		1,480
		1,134	Series 2003-AR7, Class A6, VAR, 3.03%, 08/25/33		1,085
		408	Series 2003-AR8, Class A, FRN, 4.03%, 08/25/33		403
		2,262	Series 2003-S8, Class A4, 4.50%, 09/25/18		2,194
		2,269	Series 2003-S8, Class A6, 4.50%, 09/25/18		2,199
		647	Series 2003-S9, Class P, PO, 10/25/33		468
		3,584	Series 2003-S10, Class A5, 5.00%, 10/25/18		3,537
		542	Series 2003-S10, Class A6, PO, 10/25/18		449
		1,102	Series 2004-AR3, Class A2, VAR, 4.24%, 06/25/34		1,087
			Wells Fargo Mortgage Backed Securities Trust
		1,739	Series 2003-8, Class A9, 4.50%, 08/25/18		1,676
		2,385	Series 2003-11, Class 1A, PO, 10/25/18		2,073
		5,294	Series 2003-11, Class 1A4, 4.75%, 10/25/18		5,214
		2,050	Series 2003-13, Class A7, 4.50%, 11/25/18		1,941
		39,783	Series 2003-16, Class 2A, IO, VAR, 0.11%, 12/25/18		184
		1,435	Series 2003-17, Class 2A4, 5.50%, 01/25/34		1,433
		2,520	Series 2003-17, Class A, PO, 01/25/34		2,017
		687	Series 2004-1, Class A11, 0.00%, 01/25/34		433
		6,567	Series 2004-7, Class 2A2, 5.00%, 07/25/19		6,515
		8,470	Series 2004-BB, Class A4, FRN, 4.58%, 01/25/35		8,375
		7,899	Series 2004-EE, Class 3A1, FRN, 3.99%, 01/25/35		7,721
		1,001	Series 2004-Q, Class 1A3, FRN, 4.92%, 09/25/34		973
		5,377	Series 2004-S, Class A5, FRN, 3.54%, 09/25/34		5,184
		4,808	Series 2005-AR10, Class 2A4, FRN, 4.11%, 06/25/35		4,716
					273,298
			Total Collateralized Mortgage Obligations
			(Cost $866,942)		862,120
U.S. Government Agency Mortgages — 18.6%
			Federal Home Loan Mortgage Conventional Pools
		33	7.50%, 03/01/09-05/01/17		36
		13	8.00%, 04/01/09		14
		7	8.50%, 05/01/07-02/01/08		7
		181	8.75%, 06/01/17		187
		69	10.50%, 05/01/19		72
		113	12.00%, 08/01/15-07/01/19		123
		341	ARM, 4.81%, 01/01/30		347
			Federal Home Loan Mortgage Corp. Gold Pools

	Principal
	Amount		Security Description	Value
		847	3.50%, 05/01/19		787
		25,985	4.00%, 05/01/04-05/01/19 (m)		25,045
		1,252	4.50%, 10/01/18		1,228
		5,136	5.50%, 06/01/17-10/01/33		5,147
		11,727	6.00%, 01/01/14-12/01/33		11,996
		16,330	6.50%, 08/01/12-11/01/34 (m)		16,839
		11,078	7.00%, 12/01/14-04/01/35		11,574
		1,702	7.50%, 07/01/08-12/01/15		1,784
		241	8.50%, 08/01/30		262
		552	10.50%, 07/20/21		616
			Federal National Mortgage Association Conventional Pools
		30,380	4.00%, 07/01/18-04/01/34		29,063
		5,636	4.50%, 11/01/14-05/01/29		5,509
		7,268	5.00%, 12/01/16-09/01/35		7,235
		16,727	5.50%, 06/01/12-03/01/34		16,827
		20,034	6.00%, 06/01/08-09/01/33 (m)		20,472
		139	6.25%, 07/01/23		142
		14,568	6.50%, 09/01/13-08/01/33		15,038
		10,450	7.00%, 12/01/16-02/01/33		10,943
		1,138	7.50%, 03/01/17-09/01/21		1,204
		6,383	8.00%, 04/01/11-07/01/28		6,832
		1,460	8.50%, 12/01/07-06/01/30		1,570
		2,310	9.00%, 02/01/10-06/01/31		2,526
		51	9.50%, 07/01/28		56
		209	10.00%, 07/01/19-02/01/24		232
		277	10.20%, 06/25/21		310
		130	10.25%, 07/15/13		143
		156	10.50%, 11/01/18		174
		144	11.00%, 04/01/19-08/20/20		161
		93	12.50%, 01/01/16		103
		2,774	ARM, 4.03%, 06/01/34		2,736
		2,087	ARM, 4.06%, 02/01/34		2,061
		136	ARM, 4.14%, 09/01/27		138
		2,714	ARM, 4.18%, 10/01/34		2,697
		551	ARM, 4.36%, 03/01/29		553
		111	ARM, 4.55%, 03/01/19		113
		16,414	ARM, 4.89%, 01/01/35 (m)		16,402
		2,510	ARM, 5.01%, 04/01/34		2,528
		222	ARM, 5.45%, 11/01/32		225
			Government National Mortgage Association Various Pools
		1,458	3.50%, 09/20/33		1,310
		2,246	6.00%, 04/20/17-06/15/18		2,321
		451	6.38%, 08/15/26		469
		4,836	6.50%, 03/15/23-04/15/33		5,037
		3,679	7.00%, 09/15/14-06/15/33		3,881
		1,136	7.50%, 11/15/17-01/15/33		1,207
		2,257	8.00%, 01/15/08-11/20/28		2,416
		115	8.50%, 07/15/08-05/20/25		125
		34	9.00%, 02/15/30-01/15/31		37
		67	11.00%, 01/15/21		74
			Total U.S. Government Agency Mortgages
			(Cost $237,796)		238,934
U.S. Government Agency Securities — 1.0%

	Principal
	Amount		Security Description	Value
			Federal Home Loan Mortgage Corp.
		2,269	6.63%, 09/15/09 (m)		2,441
		756	6.88%, 09/15/10		834
		379	Federal Housing Authority
			7.43%, 08/01/20		387
			Federal National Mortgage Association
		756	5.50%, 03/15/11		790
		4,613	6.13%, 03/15/12		5,008
		1,513	6.63%, 09/15/09 (m)		1,626
		1,513	7.25%, 01/15/10		1,671
			Total U.S. Government Agency Securities
			(Cost $12,491)		12,757
U.S. Treasury Obligations — 1.2%
			U.S. Treasury Bonds
		1,513	10.38%, 11/15/12		1,701
		1,437	11.75%, 11/15/14		1,841
		3,592	12.00%, 08/15/13		4,345
		378	U.S. Treasury Notes
			6.50%, 02/15/10		412
			U.S. Treasury STRIPS
		756	PO, 02/15/09		657
		227	PO, 05/15/11		180
		945	PO, 05/15/12		715
		1,513	PO, 02/15/13		1,103
		567	PO, 02/15/14		393
		1,361	PO, 05/15/14		933
		1,891	PO, 08/15/14		1,281
		1,323	PO, 11/15/14		886
		189	PO, 02/15/16		119
			Total U.S. Treasury Obligations
			(Cost $14,641)		14,566
			Total Long Term Investments
			(Cost $1,140,566)		1,137,087
	Shares
Short-Term Investment — 12.9%
Investment Company — 12.9%
		165,248	JPMorgan Liquid Assets Money Market Fund (b)		165,248
			(Cost $165,248)
	Principal Amount
Investments of Cash Collateral for Securities Loaned — 1.3%
Repurchase Agreements — 1.3%
			Banc of America Securities LLC, 3.95%, dated 09/30/05, due
			10/03/05, repurchase price $3,001, collateralized by U.S.
	$	3,000	Government Agency Mortgages.		3,000
			Barclays Capital, 3.97%, dated 09/30/05, due 10/03/05, repurchase
		3,000	price $3,001, collateralized by U.S. Government Agency Mortgages.		3,000

	Principal
	Amount		Security Description	Value
			repurchase price $3,001, collateralized by U.S. Government Agency
		3,000	Securities.	$	3,000
			Merrill Lynch Securities, 3.88%, dated 09/30/05, due 10/03/05,
			repurchase price $1,961, collateralized by U.S. Government Agency
		1,960	Securities.		1,960
			Morgan Stanley, 3.90%, dated 09/30/05, due 10/03/05, repurchase
		3,000	price $3,001, collateralized by U.S. Government Agency Mortgages.		3,000
			UBS Securities LLC, 3.90%, dated 09/30/05, due 10/03/05,
			repurchase price $3,001, collateralized by U.S. Government Agency
		3,000	Securities.		3,000
			Total Investments of Cash Collateral for Securities Loaned
			(Cost $16,960)		16,960
Total Investments — 102.9%
(Cost $1,322,774)				$	1,319,295
Liabilities in Excess of Other Assets — (2.9)%					(36,916	)
Net Assets — 100.0%				$	1,282,379

Percentages indicated are based on net assets.

Abbreviations:

(b)	Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors, Inc.
(e)	All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees.
(h)	Amount rounds to less than one thousand.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
ARM	Adjustable Rate Mortgage
CMO	Collateralized Mortgage Obligation
FRN	Floating Rate Note. The rate shown is the rate in effect as of September 30, 2005.
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 IO’s 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 REMIC 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.
IO	Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities are

	generally higher than prevailing market yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. 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.
STRIPS	Separate Trading of Registered Interest and Principal Securities.
SUB	Step-Up Bond. The rate shown is the rate in effect as of September 30, 2005.
VAR	Variable. The interest rate shown is the rate in effect at September 30, 2005.

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	17,368
Aggregate gross unrealized depreciation		(20,847	)
Net unrealized appreciation/depreciation	$	(3,479	)
Federal income tax cost of investments	$	1,322,774

JPMorgan Short Duration Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Principal Amount	Security Description	Value
Long-Term Investments — 100.2%
Asset Backed Securities — 5.8%
	Advanta Mortgage Loan Trust
$217	Series 1999-2, Class A6, 6.82%, 04/25/14	$	218
5	Series 1999-3, Class A4, 7.75%, 10/25/26		5
437	Series 2000-2, Class A6, SUB, 7.72%, 03/25/15		447
1,300	American Express Credit Account Master Trust
	Series 2001-2, Class A, 5.53%, 10/15/08		1,307
	AmeriCredit Automobile Receivables Trust
3,212	Series 2001-D, Class A4, 4.41%, 11/12/08		3,214
632	Series 2002-A, Class A4, 4.61%, 01/12/09		633
421	Series 2002-B, Class A4, 4.46%, 04/12/09		421
148	Series 2002-C, Class A4, 3.55%, 02/12/09		147
500	Amortizing Residential Collateral Trust
	Series 2002-BC6, Class M1, FRN, 4.58%, 08/25/32		504
178	Bayview Financial Acquisition Trust
	Series 2002-CA, Class M1, FRN, 4.58%, 05/25/32 (e)		178
50	BMW Vehicle Owner Trust
	Series 2003-A, Class A3, 1.94%, 02/25/07		50
964	Capital Auto Receivables Asset Trust
	Series 2003-1, Class A3A, 2.75%, 04/16/07		957
	Capital One Master Trust
1,105	Series 1998-1, Class A, 6.31%, 06/15/11		1,150
1,000	Series 2001-5, Class A, 5.30%, 06/15/09		1,007
1,225	Series 2001-8A, Class A, 4.60%, 08/15/09		1,226
	Capital One Multi-Asset Execution Trust
326	Series 2003-B2, Class B2, 3.50%, 02/17/09		324
45	Series 2003-C2, Class C2, 4.32%, 04/15/09		45
	Chase Credit Card Master Trust
104	Series 2001-2, Class A, FRN, 3.89%, 09/15/08		104
1,000	Series 2003-1, Class C, FRN, 4.87%, 04/15/08		1,003
66	Chase Funding Mortgage Loan Asset-Backed Certificates
	Series 2002-2, Class 1A4, 4.88%, 08/25/28		66
65	Chase Manhattan Auto Owner Trust
	Series 2002-A, Class CTFS, 4.17%, 09/15/08		65
200	Chemical Master Credit Card Trust 1
	Series 1996-2, Class A, 5.98%, 09/15/08		201
5,000	CIT Rv Trust
	Series 1998-A, Class B, 6.29%, 01/15/17		5,076
	Citibank Credit Card Issuance Trust
700	Series 2000-A1, Class A1, 6.90%, 10/15/07		701
410	Series 2001-C3, Class C3, 6.65%, 05/15/08		415
3,000	Series 2002-A1, Class A1, 4.95%, 02/09/09		3,016
80	Series 2002-B1, Class B1, FRN, 4.29%, 06/25/09		80
120	Series 2002-C1, Class C1, FRN, 4.74%, 02/09/09		121
50	Series 2002-C3, Class C3, FRN, 5.01%, 12/15/09		51
4,000	Series 2003-A5, Class A5, 2.50%, 04/07/08		3,962
820	Series 2004-A1, Class A1, 2.55%, 01/20/09		800
1,000	Series 2005-B1, Class B1, 4.40%, 09/15/10		991
	Citibank Credit Card Master Trust I
285	Series 1999-2, Class B, 6.15%, 03/10/11		298
1,500	Series 1999-5, Class A, 6.10%, 05/15/08		1,515
856	Series 1999-5, Class B, 6.30%, 05/15/08		865

2

Principal Amount	Security Description	Value
2,065	CNH Equipment Trust
	Series 2003-B, Class A3B, 2.47%, 01/15/08		2,048
1,726	Community Program Loan Trust
	Series 1987-A, Class A4, 4.50%, 10/01/18		1,709
275	CS First Boston Mortgage Securities Corp.
	Series 2002-HE4, Class AF, 5.51%, 08/25/32		276
	Daimler Chrysler Auto Trust
77	Series 2002-B, Class A4, 3.53%, 12/06/07		76
170	Series 2002-C, Class A4, 3.09%, 01/08/08		168
	Discover Card Master Trust I
200	Series 1996-3, Class A, 6.05%, 08/18/08		201
300	Series 2000-9, Class A, 6.35%, 07/15/08		302
425	Series 2002-2, Class A, 5.15%, 10/15/09		429
32	Equity One ABS, Inc.
	Series 2002-1, Class AF2, SUB, 5.52%, 08/25/32		32
465	Federal Home Loan Mortgage Corp. Structured Pass Through Securities
	Series T-20, Class A6, SUB, 7.49%, 09/25/29		468
	Fleet Credit Card Master Trust II
490	Series 2001-B, Class A, 5.60%, 12/15/08		494
985	Series 2003-A, Class A, 2.40%, 07/15/08		980
	Ford Credit Auto Owner Trust
850	Series 2002-D, Class B, 3.56%, 02/15/07		846
3,000	Series 2004-A, Class A3, 2.93%, 03/15/08		2,964
61	Harley-Davidson Motorcycle Trust
	Series 2002-1, Class A2, 4.50%, 01/15/10		61
1,340	Household Automotive Trust
	Series 2001-2, Class A4, 5.39%, 08/17/08		1,341
260	Household Private Label Credit Card Master Note Trust I
	Series 2002-1, Class A, 5.50%, 01/18/11		263
	MBNA Credit Card Master Note Trust
770	Series 2001-A1, Class A1, 5.75%, 10/15/08		777
215	Series 2001-C1, Class C1, FRN, 4.82%, 10/15/08		216
575	Series 2001-C3, Class C3, 6.55%, 12/15/08		584
130	Series 2002-B1, Class B1, 5.15%, 07/15/09		131
85	Series 2002-C1, Class C1, 6.80%, 07/15/14		93
40	Series 2003-A1, Class A1, 3.30%, 07/15/10		39
1,000	Series 2003-C1, Class C1, FRN, 5.47%, 06/15/12		1,057
	MBNA Master Credit Card Trust USA
65	Series 1999-B, Class C, 6.65%, 08/15/11 (e)		68
345	Series 1999-D, Class B, 6.50%, 11/15/08		350
167	Series 2000-D, Class A, FRN, 3.97%, 09/15/09		168
1,000	Series 2000-D, Class C, 8.40%, 09/15/09 (e)		1,054
21	Nissan Auto Receivables Owner Trust
	Series 2003-A, Class A3, 1.89%, 12/15/06		21
884	Onyx Acceptance Grantor Trust
	Series 2004-B, Class A3, 3.09%, 09/15/08		878
93	PNC Student Loan Trust I
	Series 1997-2, Class A7, 6.73%, 01/25/07		93
1,750	Prime Credit Card Master Trust
	Series 2000-1, Class A, 6.70%, 10/15/09		1,756
2,000	Providian Gateway Master Trust
	Series 2002-B, Class A, FRN, 4.47%, 06/15/09 (e)		2,003
125	Residential Asset Mortgage Products, Inc.
	Series 2001-RS3, Class AI4, SUB, 6.29%, 10/25/31		125
	Residential Asset Securities Corp.

Principal Amount	Security Description	Value
293	Series 2000-KS3, Class A16, 7.81%, 07/25/31		295
200	Series 2000-KS5, Class AII, FRN, 4.07%, 12/25/31		200
144	Series 2001-KS1, Class AI6, 6.35%, 03/25/32		146
152	Residential Funding Mortgage Securities II
	Series 2000-HI1, Class AI7, SUB, 8.29%, 02/25/25		152
152	SSB Auto Loan Trust
	Series 2002-1, Class A4, 2.89%, 02/15/09		152
	Standard Credit Card Master Trust
500	Series 1995-9, Class A, 6.55%, 10/07/07		500
50	Series 1995-9, Class B, 6.65%, 10/07/07		50
390	Series A, 7.25%, 04/07/08		396
98	Vanderbilt Mortgage Finance
	Series 1996-A, Class A5, 7.43%, 04/07/26		99
	WFS Financial Owner Trust
103	Series 2002-1, Class A4A, 4.87%, 09/20/09		103
8,000	Series 2003-2, Class A4, 2.41%, 12/20/10		7,863
1,277	Series 2003-4, Class A4, 3.15%, 05/20/11		1,253
	Total Asset Backed Securities
	(Cost $64,876)		64,443
Collateralized Mortgage Obligations — 9.1%
Agency CMO — 8.3%
	Federal Home Loan Mortgage Corp.
67	Series 2, Class Z, 9.30%, 03/15/19		72
39	Series 12, Class A, 9.25%, 11/15/19		39
74	Series 16, Class D, 10.00%, 10/15/19		74
93	Series 17, Class I, 9.90%, 10/15/19		93
141	Series 23, Class F, 9.60%, 04/15/20		141
78	Series 26, Class F, 9.50%, 02/15/20		78
18	Series 81, Class A, 8.13%, 11/15/20		18
64	Series 85, Class C, 8.60%, 01/15/21		64
63	Series 99, Class Z, 9.50%, 01/15/21		63
11	Series 159, Class H, 4.50%, 09/15/21		11
17	Series 189, Class D, 6.50%, 10/15/21		17
-(h)	Series 1045, Class G, IO, HB, 1065.60%, 02/15/21		-(h)
18	Series 1053, Class G, 7.00%, 03/15/21		18
47	Series 1056, Class KZ, 6.50%, 03/15/21		47
22	Series 1074, Class H, 8.50%, 05/15/21		22
82	Series 1082, Class C, 9.00%, 05/15/21		82
28	Series 1087, Class I, 8.50%, 06/15/21		28
19	Series 1114, Class E, 8.00%, 07/15/06		19
100	Series 1125, Class Z, 8.25%, 08/15/21		100
91	Series 1142, Class IA, 7.00%, 10/15/21		91
13	Series 1169, Class G, 7.00%, 11/15/21		13
17	Series 1170, Class H, 7.50%, 11/15/06		17
66	Series 1173, Class E, 6.50%, 11/15/21		66
60	Series 1204, Class H, 7.50%, 02/15/07		60
140	Series 1211, Class L, 7.00%, 03/15/07		140
23	Series 1221, Class I, 7.00%, 03/15/07		23
789	Series 1314, Class L, 8.00%, 07/15/07		791
23	Series 1338, Class Q, PO, 08/15/07		23
158	Series 1343, Class LA , 8.00%, 08/15/22		162
68	Series 1386, Class E, IF, 8.53%, 10/15/07		68

Principal Amount	Security Description	Value
116	Series 1389, Class PS, IF, 9.72%, 10/15/07		120
207	Series 1417, Class FA, FRN, 3.56%, 11/15/07		206
53	Series 1424, Class F, FRN, 3.31%, 11/15/22		53
914	Series 1445, Class L, 7.00%, 12/15/07		931
818	Series 1480, Class LZ, 7.50%, 03/15/23		841
27	Series 1515, Class SA, IF, 8.61%, 05/15/08		28
623	Series 1539, Class PL, 6.50%, 05/15/08		628
470	Series 1550, Class SC, IF, 8.88%, 07/15/08		491
325	Series 1565, Class G, 6.00%, 08/15/08		329
39	Series 1575, Class SA, IF, 8.06%, 08/15/08		40
58	Series 1580, Class P, 6.50%, 09/15/08		59
33	Series 1604, Class MB, IF, 10.46%, 11/15/08		34
631	Series 1606, Class H, 6.00%, 11/15/08		639
173	Series 1610, Class PM, 6.25%, 04/15/22		174
405	Series 1612, Class PH, 6.00%, 11/15/08		411
30	Series 1612, Class SD, IF, 11.00%, 11/15/08		31
31	Series 1614, Class J, 6.25%, 11/15/22		31
28	Series 1625, Class SG, IF, 10.74%, 12/15/08		29
776	Series 1626, Class PT, 6.00%, 12/15/08		787
185	Series 1641, Class FA, FRN, 4.76%, 12/15/13		188
25	Series 1655, Class HB, 6.50%, 10/15/08		25
67	Series 1659, Class TZ, 6.75%, 01/15/09		68
224	Series 1673, Class H, 6.00%, 11/15/22		226
1,596	Series 1688, Class J, 6.00%, 12/15/13		1,616
102	Series 1693, Class H, 6.00%, 12/15/08		102
536	Series 1701, Class PH, 6.50%, 03/15/09		546
456	Series 1702, Class TJ, 7.00%, 04/15/13		471
551	Series 1754, Class Z, 8.50%, 09/15/24		576
1,202	Series 1779, Class Z, 8.50%, 04/15/25		1,213
30	Series 1807, Class G, 9.00%, 10/15/20		32
49	Series 1838, Class H, 6.50%, 04/15/11		50
39	Series 2353, Class VA, 6.50%, 06/15/12		39
35	Series 2496, Class B, 5.50%, 11/15/15		35
31	Series 2497, Class GD, 5.50%, 07/15/14		31
71	Series 2497, Class UG, 5.50%, 05/15/15		71
175	Series 2512, Class PX, 5.00%, 06/15/18		175
1,000	Series 2617, Class UM, 4.00%, 05/15/15		973
164	Series 2668, Class AD, 4.00%, 01/15/15		162
922	Series 2685, Class MX, 4.00%, 07/15/16		902
1,800	Series 2762, Class LD, 5.00%, 10/15/27		1,803
1,966	Series 2780, Class YP, 7.50%, 08/15/18		2,088
1,067	Series 2851, Class BD, 4.00%, 02/15/20		1,044
9,079	Series 2875, Class HA, 4.00%, 11/15/18		8,795
3,500	Series 2962, Class WJ, 5.50%, 06/15/24		3,567
3,225	Series 2993, Class MN, 5.00%, 06/15/23		3,231
	Federal Home Loan Mortgage Corp. — Government National Mortgage Association
2,132	Series 31, Class Z , 8.00%, 04/25/24		2,298
533	Series 56, Class Z , 7.50%, 09/20/26		553
	Federal National Mortgage Association
51	Series 1988-7, Class Z, 9.25%, 04/25/18		54
58	Series 1988-13, Class C, 9.30%, 05/25/18		62
51	Series 1988-15, Class A, 9.00%, 06/25/18		54
62	Series 1988-16, Class B, 9.50%, 06/25/18		67
35	Series 1989-2, Class D, 8.80%, 01/25/19		37
123	Series 1989-27, Class Y, 6.90%, 06/25/19		126

Principal Amount	Security Description	Value
31	Series 1989-54, Class E, 8.40%, 08/25/19		33
29	Series 1989-66, Class J, 7.00%, 09/25/19		30
22	Series 1989-70, Class G, 8.00%, 10/25/19		24
493	Series 1989-72, Class E, 9.35%, 10/25/19		535
61	Series 1989-89, Class H, 9.00%, 11/25/19		65
31	Series 1989-96, Class H, 9.00%, 12/25/19		33
39	Series 1990-7, Class B, 8.50%, 01/25/20		42
31	Series 1990-12, Class G, 4.50%, 02/25/20		31
857	Series 1990-19, Class G, 9.75%, 02/25/20		927
113	Series 1990-58, Class J, 7.00%, 05/25/20		117
110	Series 1990-61, Class H, 7.00%, 06/25/20		115
57	Series 1990-106, Class J, 8.50%, 09/25/20		61
23	Series 1990-109, Class J, 7.00%, 09/25/20		23
71	Series 1990-111, Class Z, 8.75%, 09/25/20		74
33	Series 1990-117, Class E, 8.95%, 10/25/20		35
32	Series 1990-123, Class G, 7.00%, 10/25/20		33
35	Series 1990-132, Class Z, 7.00%, 11/25/20		36
1,290	Series 1990-137, Class X, 9.00%, 12/25/20		1,400
11	Series 1991-53, Class J, 7.00%, 05/25/21		11
42	Series 1991-72, Class G, 8.00%, 07/25/06		42
32	Series 1991-114, Class C, 8.50%, 09/25/06		33
151	Series 1991-130, Class C, 9.00%, 09/25/21		161
46	Series 1992-18, Class HC, 7.50%, 03/25/07		46
289	Series 1992-68, Class M, 8.00%, 05/25/07		295
711	Series 1992-81, Class ZB, 8.50%, 04/25/22		738
12	Series 1992-96, Class B, PO, 05/25/22		11
789	Series 1992-138, Class G, 7.50%, 08/25/22		802
30	Series 1993-10, Class PH, 6.50%, 12/25/07		30
933	Series 1993-68, Class PL, 7.00%, 05/25/08		951
549	Series 1993-71, Class PH, 6.50%, 05/25/08		557
501	Series 1993-78, Class H, 6.50%, 06/25/08		510
504	Series 1993-101, Class PJ, 7.00%, 06/25/08		514
3,098	Series 1993-129, Class H, 6.50%, 08/25/08		3,155
560	Series 1993-134, Class H, 6.50%, 08/25/08		573
70	Series 1993-140, Class H, 6.50%, 03/25/13		71
1,248	Series 1993-154, Class H, 6.00%, 08/25/08		1,265
23	Series 1993-165, Class SN, IF, 9.47%, 09/25/23		24
53	Series 1993-170, Class K, 6.25%, 07/25/08		53
20	Series 1993-192, Class SC, IF, 7.82%, 10/25/08		20
41	Series 1993-196, Class FA, FRN, 3.66%, 10/25/08		40
25	Series 1993-204, Class VD, 5.95%, 06/25/06		25
500	Series 1993-220, Class PJ, 6.00%, 11/25/13		516
13	Series 1993-225, Class MC, PO, 11/25/23		13
20	Series 1993-231, Class SB, IF, 8.58%, 12/25/08		21
1	Series 1993-233, Class SC, IF, 8.71%, 12/25/08		1
180	Series 1993-235, Class G, PO, 09/25/23		156
452	Series 1994-1, Class K, 6.50%, 06/25/13		453
2,160	Series 1994-7, Class PG, 6.50%, 01/25/09		2,202
129	Series 1994-12, Class C, 6.25%, 01/25/09		130
43	Series 1994-20, Class Z, 6.50%, 02/25/09		43
228	Series 1994-32, Class Z, 6.50%, 03/25/09		231
259	Series 1994-33, Class H, 6.00%, 03/25/09		264
7	Series 1994-41, Class PJ, 6.50%, 06/25/23		7
1,314	Series 1994-62, Class PH, 6.90%, 11/25/23		1,336
2,503	Series 1995-13, Class D, 6.50%, 09/25/08		2,550
221	Series 1995-13, Class K, 6.50%, 10/25/08		225

Principal Amount	Security Description	Value
34	Series 1995-23, Class OB, PO, 10/25/07		33
262	Series 1997-42, Class PB, 7.50%, 03/18/12		263
14	Series 1997-46, Class PN, 6.50%, 07/18/12		14
43	Series 1997-55, Class B, 7.00%, 02/18/27		44
5	Series 1997-67, Class GA, 4.00%, 02/25/09		5
11	Series 1999-19, Class TD, 6.50%, 04/25/13		11
135	Series 2001-4, Class EP, PO, 03/25/28		133
221	Series 2001-7, Class PQ, 6.00%, 10/25/15		223
1,428	Series 2001-61, Class VA, 7.00%, 07/25/12		1,456
1,425	Series 2001-69, Class VA, 5.50%, 11/25/12		1,446
5,000	Series 2003-84, Class GC, 4.50%, 05/25/15		4,934
10,000	Series 2003-113, Class PC, 4.00%, 03/25/15		9,751
2,900	Series 2005-40, Class YA, 5.00%, 09/25/20		2,904
5,235	Series 2005-68, Class JK, 5.25%, 05/25/35		5,236
48	Series G-11, Class Z, 8.50%, 05/25/21		52
26	Series G-22, Class ZT, 8.00%, 12/25/16		28
66	Series G-41, Class PT, 7.50%, 10/25/21		69
93	Series G92-35, Class E, 7.50%, 07/25/22		97
46	Series G92-40, Class ZC, 7.00%, 07/25/22		48
475	Series G92-44, Class ZQ, 8.00%, 07/25/22		508
103	Series G92-54, Class ZQ, 7.50%, 09/25/22		108
	Federal National Mortgage Association STRIPS
125	Series 25, Class 1, 6.00%, 02/01/13		126
800	Series 108, Class 1, PO, 03/25/20		731
9	Series 268, Class 2, IO, 9.00%, 02/01/23		2
32	Series B, Class 1, IO, 6.00%, 05/01/09		32
16	Federal National Mortgage Association Whole Loan
	Series 1995-W3, Class A, 9.00%, 04/25/25		17
	Government National Mortgage Association
351	Series 1997-12, Class D, 7.50%, 09/20/27		358
2,170	Series 2002-71, Class VJ, 6.00%, 12/20/14		2,196
	Vendee Mortgage Trust
69	Series 1994-3C, Class 3, 9.78%, 03/15/21		75
			92,171
Non-Agency — 0.8%
595	ABN Amro Mortgage Corp.
	Series 2003-7, Class A3, 4.50%, 07/25/18		579
800	Bear Stearns Commercial Mortgage Securities
	Series 2004-T16, Class A2, 3.70%, 02/13/46		781
139	Citicorp Mortgage Securities, Inc.
	Series 1994-3, Class A4, 6.50%, 02/25/24		139
349	Commercial Mortgage Acceptance Corp.
	Series 1998-C2, Class A2, 6.03%, 09/15/30		358
1,398	Countrywide Alternative Loan Trust
	Series 2003-J3, Class 2A1, 6.25%, 12/25/33		1,418
	GMAC Mortgage Corp. Loan Trust
82	Series 2003-J1, Class A3, 5.25%, 03/25/18		83
800	Series 2003-J4, Class 2A1, 4.75%, 09/25/18		788
95	Impac CMB Trust
	Series 2003-3, Class M1, FRN, 4.68%, 01/25/33		95
39	Kidder Peabody Mortgage Assets Trust
	Series A, Class A1, 6.50%, 02/22/17		40
2,645	MASTR Asset Securitization Trust
	Series 2003-4, Class 2A2, 5.00%, 05/25/18		2,647

Principal Amount	Security Description	Value
23	Merrill Lynch Trust
	Series 44, Class G, 9.00%, 08/20/20		23
	Paine Webber CMO Trust
7	Series J, Class 3, 8.80%, 05/01/18		7
34	Series L, Class 4, 8.95%, 07/01/18		36
1,000	Residential Accredit Loans, Inc.
	Series 2003-QR24, Class A7, 4.00%, 07/25/33		955
35	Salomon Brothers Mortgage Securities VII
	Series 2000-UP1, Class A2, 8.00%, 08/25/27		36
18	Structured Mortage Asset Residential Trust
	Series 1993-2A, Class AE, 7.60%, 03/25/09		18
282	Wells Fargo Mortgage Backed Securities Trust
	Series 2003-K, Class 1A2, FRN, 4.49%, 11/25/33		273
			8,276
	Total Collateralized Mortgage Obligations
	(Cost $99,845)		100,447
Corporate Bonds — 27.6%
Airlines — 0.3%
756	American Airlines, Inc.
	FRN, 4.58%, 03/23/09		759
1,194	Southwest Airlines Co.
	Series 2001-1, 5.10%, 11/01/07		1,196
1,206	United AirLines, Inc.
	Series 2001-1, 6.20%, 09/01/08 (d)		1,161
			3,116
Automobiles — 0.4%
4,000	Daimler Chrysler NA Holding Corp.
	4.05%, 06/04/08		3,906
Capital Markets — 4.8%
	Bear Stearns Cos., Inc. (The)
5,000	3.00%, 03/30/06		4,969
2,975	4.00%, 01/31/08		2,934
610	6.75%, 12/15/07		637
600	7.00%, 03/01/07		620
5,800	Credit Suisse First Boston, Inc.
	7.75%, 05/15/06 (e)		5,914
	Credit Suisse First Boston USA, Inc.
1,115	4.70%, 06/01/09		1,113
551	6.90%, 10/01/07		572
	Goldman Sachs Group LP
2,700	6.75%, 02/15/06 (e)		2,723
1,100	7.20%, 03/01/07 (e)		1,140
	Goldman Sachs Group, Inc.
2,000	3.88%, 01/15/09		1,950
2,000	6.65%, 05/15/09		2,123
500	Series A, 6.50%, 02/25/09 (e)		527

Principal Amount	Security Description	Value
	Lehman Brothers Holdings, Inc.
1,385	6.63%, 02/05/06		1,396
1,000	8.25%, 06/15/07		1,057
941	8.50%, 05/01/07		994
	Lehman Brothers, Inc.
1,000	6.63%, 02/15/08		1,043
4,920	7.38%, 01/15/07		5,072
1,267	7.63%, 06/01/06		1,291
	Merrill Lynch & Co., Inc.
244	6.25%, 01/15/06		245
1,058	7.00%, 03/15/06		1,070
2,000	7.01%, 04/10/06		2,026
2,058	Class B, 8.00%, 06/01/07		2,178
3,850	Morgan Stanley
	5.80%, 04/01/07		3,913
	Morgan Stanley Group, Inc.
515	6.88%, 03/01/07		530
1,500	8.33%, 01/15/07		1,568
	National Rural Utilities Cooperative Finance Corp.
465	3.25%, 10/01/07		452
645	6.00%, 05/15/06		651
1,000	7.30%, 09/15/06		1,026
	TIAA Global Markets, Inc.
450	4.13%, 11/15/07 (e)		445
3,330	5.00%, 03/01/07 (e)		3,342
			53,521
Commercial Banks — 5.8%
	Bank of America Corp.
2,400	6.50%, 03/15/06		2,423
235	Class E, 7.13%, 04/30/06		238
	BankAmerica Corp.
2,926	6.20%, 02/15/06		2,946
685	6.63%, 08/01/07		709
362	6.63%, 10/15/07		376
477	7.13%, 05/01/06		484
1,790	7.13%, 03/01/09		1,922
388	7.13%, 10/15/11		429
7,045	7.20%, 04/15/06		7,138
103	Bankers Trust Corp.
	Series A, 6.70%, 10/01/07		107
2,300	Banponce Corp.
	6.75%, 12/15/05		2,310
	Bayerische Landesbank/New York
1,050	Series YDPN, 5.88%, 12/01/08		1,094
1,000	2.50%, 03/30/06		992
500	BB&T Corp.
	7.25%, 06/15/07		521
	FleetBoston Financial Corp.
470	6.50%, 03/15/08		489
1,930	7.13%, 04/15/06		1,958
250	8.63%, 01/15/07		262
700	HBOS plc ( United Kingdom)
	3.13%, 01/12/07 (e)		688

Principal Amount	Security Description	Value
660	HSBC Bank USA NA
	7.00%, 11/01/06		677
	KEY Bank NA
1,500	7.13%, 08/15/06		1,530
1,465	7.55%, 09/15/06		1,502
2,000	Series I, 7.13%, 08/15/06		2,040
	Keycorp
860	6.75%, 03/15/06		869
1,000	7.50%, 06/15/06		1,019
3,850	Series G, 3.05%, 11/22/06		3,771
5,000	Marshall & Ilsley Bank
	3.80%, 02/08/08		4,915
1,380	Marshall & Ilsley Corp.
	Series E, 5.75%, 09/01/06		1,395
300	Mellon Bank NA
	7.00%, 03/15/06		303
540	National City Bank of Indiana
	2.38%, 08/15/06		530
2,800	Royal Bank of Canada (Canada)
	3.88%, 05/04/09		2,741
750	Sovran Financial Corp.
	9.25%, 06/15/06		770
	Suntrust Bank
520	2.50%, 11/01/06		506
2,250	7.25%, 09/15/06		2,294
3,000	US Bank NA
	3.70%, 08/01/07		2,960
4,766	Wachovia Corp.
	7.50%, 07/15/06		4,870
	Wells Fargo & Co.
3,921	7.13%, 08/15/06		4,006
2,000	Series G, 6.88%, 08/08/06		2,036
			63,820
Consumer Finance — 3.2%
	American General Finance Corp.
120	Series H, 3.00%, 11/15/06		118
500	Series H, 4.50%, 11/15/07		498
	Beneficial Corp.
1,500	Series E, 6.47%, 11/17/08		1,566
1,000	Series H, 6.94%, 12/15/06		1,024
500	Series H, 7.00%, 02/12/07		511
940	CitiFinancial
	6.13%, 12/01/05		943
	Ford Motor Credit Co.
2,000	6.46%, 12/27/05		2,002
2,050	6.50%, 02/15/06		2,055
2,800	6.50%, 01/25/07		2,803
4,000	6.88%, 02/01/06		4,016
	HSBC Finance Corp.
1,400	3.38%, 02/21/06		1,396
3,000	6.50%, 01/24/06		3,021
506	6.88%, 03/01/07		521
1,000	7.20%, 07/15/06		1,020

Principal Amount	Security Description	Value
1,975	7.25%, 05/15/06		2,008
1,400	International Lease Finance Corp.
	4.50%, 05/01/08		1,387
3,450	John Deere BV (Netherlands)
	5.88%, 04/06/06		3,476
	John Deere Capital Corp.
3,500	3.88%, 03/07/07		3,470
435	6.85%, 03/15/06		440
1,800	Series D, 3.63%, 05/25/07		1,773
450	Series D, 5.50%, 09/01/06		453
1,300	SLM Corp.
	Series A, 3.50%, 09/30/06		1,284
			35,785
Diversified Financial Services — 8.3%
3,075	AIG SunAmerica Global Financing IV
	5.85%, 02/01/06 (e)		3,089
10,000	AIG SunAmerica Global Financing IX
	5.10%, 01/17/07 (e)		10,067
1,000	AIG SunAmerica Global Financing VII
	5.85%, 08/01/08 (e)		1,029
570	American Honda Finance Corp.
	3.85%, 11/06/08 (e)		558
	Associates Corp. Of N. America
340	8.55%, 07/15/09		385
1,975	Series H, 7.50%, 05/10/06		2,011
	Caterpillar Financial Services Corp
4,000	3.80%, 02/08/08		3,930
1,300	4.50%, 09/01/08		1,295
	CIT Group, Inc.
1,600	4.13%, 02/21/06		1,600
1,500	6.50%, 02/07/06		1,511
	Citicorp, Inc.
5,000	7.04%, 04/25/06		5,070
1,154	7.13%, 05/15/06		1,172
2,365	7.75%, 06/15/06		2,415
441	Series C, 6.75%, 10/15/07		459
545	Series C, 7.00%, 07/01/07		567
	Citigroup, Inc.
374	5.75%, 05/10/06		377
710	8.63%, 02/01/07		746
	General Electric Capital Corp.
950	8.30%, 09/20/09		1,072
2,000	8.63%, 06/15/08		2,189
2,182	8.75%, 05/21/07		2,326
2,217	8.85%, 03/01/07		2,337
2,800	Series A, 3.50%, 05/01/08		2,730
2,000	Series A, 4.25%, 01/15/08		1,988
2,000	Series A, 5.00%, 02/15/07		2,014
3,000	Series A, 5.00%, 06/15/07		3,026
3,300	Series A, 8.70%, 03/01/07		3,474
4,150	Series A, SUB, 8.13%, 04/01/08		4,482
2,000	General Motors Acceptance Corp.

Principal Amount	Security Description	Value
	6.13%, 01/22/08		1,931
	John Hancock Global Funding II
1,000	3.50%, 01/30/09 (e)		961
168	5.63%, 06/27/06 (e)		169
	MassMutual Global Funding II
600	2.55%, 07/15/08 (e)		567
3,765	3.25%, 06/15/07 (e)		3,680
1,000	5.08%, 03/05/07 (e)		1,009
1,000	MBIA Global Funding LLC
	2.88%, 11/30/06 (e)		975
4,000	New York Life Global Funding
	3.88%, 01/15/09 (e)		3,903
2,100	Pitney Bowes Credit Corp.
	5.75%, 08/15/08		2,170
	Pricoa Global Funding I
1,510	3.90%, 12/15/08 (e)		1,473
3,000	4.35%, 06/15/08 (e)		2,972
	Principal Life Global Funding I
1,000	5.13%, 06/28/07 (e)		1,005
310	6.13%, 03/01/06 (e)		312
	USAA Capital Corp.
175	Series B, 4.64%, 12/15/09 (e)		174
635	Series B, 5.59%, 12/20/06 (e)		642
985	Series B, 7.05%, 11/08/06 (e)		1,009
	Wells Fargo Financial, Inc.
4,900	6.13%, 02/15/06		4,929
1,900	6.85%, 07/15/09		2,060
242	7.20%, 05/01/07		253
			92,113
Diversified Telecommunication Services — 0.3%
1,500	SBC Communications Capital Corp.
	Series D, 6.79%, 07/13/07		1,547
1,050	SBC Communications, Inc.
	5.75%, 05/02/06		1,058
500	Southwestern Bell Telephone
	Series C, 5.95%, 10/15/07		509
500	Sprint Capital Corp.
	6.00%, 01/15/07		508
			3,622
Electric Utilities — 0.4%
500	Constellation Energy Group, Inc.
	6.13%, 09/01/09		521
3,000	Duke Energy Corp.
	4.20%, 10/01/08		2,954
750	Ohio Valley Electric Corp.
	5.94%, 02/12/06 (e)		754
			4,229

Principal Amount	Security Description	Value
Food & Staples Retailing — 0.4%
	Kroger Co. (The)
250	7.63%, 09/15/06		256
225	8.15%, 07/15/06		231
3,700	Wal-Mart (Canada)
	5.58%, 05/01/06 (e)		3,728
			4,215
Food Products — 0.3%
	General Mills, Inc.
1,000	9.14%, 12/15/05		1,009
1,500	Series B, 8.13%, 11/20/06		1,553
1,000	Sara Lee Corp.
	Series C, 6.30%, 11/07/05		1,001
			3,563
Insurance — 0.8%
	ASIF Global Financing
1,185	2.50%, 01/30/07(e)		1,153
900	3.90%, 10/22/08 (e)		878
1,000	Jackson National Life Global Funding
	3.50%, 01/22/09 (e)		964
500	Metropolitan Life Global Funding
	2.60%, 06/19/08 (e)		473
	Monumental Global Funding II
125	3.45%, 11/30/07 (e)		123
650	6.05%, 01/19/06 (e)		653
1,000	Monumental Global Funding III
	5.20%, 01/30/07 (e)		1,006
1,085	Pacific Life Global Funding
	3.75%, 01/15/09 (e)		1,058
2,000	Protective Life US Funding Trust
	5.88%, 08/15/06 (e)		2,020
400	Travelers Property Casualty Corp.
	6.75%, 11/15/06		407
			8,735
IT Services — 0.1%
1,200	First Data Corp.
	3.90%, 10/01/09		1,169
Machinery — 0.0% (g)
247	Caterpillar, Inc.
	9.00%, 04/15/06		252
Media — 0.2%
350	Time Warner Cos., Inc.
	8.11%, 08/15/06		360

Principal Amount	Security Description	Value
480	Lenfest Communications, Inc.
	8.38%, 11/01/05		481
945	Walt Disney Co.
	Series B, 6.75%, 03/30/06		956
			1,797
Oil, Gas & Consumable Fuels — 0.4%
282	Union Oil Co. Of California
	6.50%, 05/01/08		294
1,000	Union Texas Petroleum Holdings, Inc.
	8.50%, 04/15/07		1,059
2,680	USX Corp. Consolidated
	6.65%, 02/01/06		2,700
			4,053
Paper & Forest Products — 0.2%
690	International Paper Co.
	4.25%, 01/15/09		675
	Willamette Industries, Inc.
750	Series C, 6.45%, 06/18/09		781
1,000	Series C, 6.45%, 07/14/09		1,046
			2,502
Road & Rail — 0.1%
1,440	Burlington Nothern Santa Fe Corp.
	6.13%, 03/15/09		1,502
Supranational — 0.2%
544	International Bank for Reconstruction and Development
	Zero Coupon, 08/15/08		475
1,500	5.05%, 05/29/08		1,516
			1,991
Telecommunication Services — 0.3%
2,870	GTE Co.
	Series PA-892, 6.46%, 04/15/08		2,981
Thrifts & Mortgage Finance — 1.1%
4,365	American Savings Bank
	6.63%, 02/15/06 (e)		4,378
	Countrywide Home Loans, Inc.
1,788	Series E, 6.94%, 07/16/07		1,850
120	Series E, 7.20%, 10/30/06		123
2,889	Series K, 5.50%, 02/01/07		2,921
443	Golden State Bancorp, Inc.
	10.00%, 10/01/06		465

Principal Amount	Security Description	Value
	Washington Mutual, Inc.
1,820	4.20%, 01/15/10		1,776
300	5.63%, 01/15/07		304
			11,817
	Total Corporate Bonds
	(Cost $307,735)		304,689
U.S. Government Agency Mortgages — 3.3%
	Federal Home Loan Mortgage Corp. Conventional Pools
10	7.50%, 05/01/08		10
2,944	8.00%, 06/01/07-05/01/19		3,010
217	8.25%, 08/01/06-08/01/17		226
228	8.50%, 12/01/07-11/01/19		235
637	8.75%, 05/01/09- 05/01/11		655
51	9.00%, 09/01/09-11/01/09		53
217	ARM, 4.57%, 12/01/17		217
376	ARM, 4.78%, 01/01/27		386
468	ARM, 4.99%, 12/01/27		478
33	ARM, 5.33%, 09/01/25		34
29	ARM, 6.29%, 01/01/27		29
	Federal Home Loan Mortgage Corp. Gold Pools
59	5.50%, 09/01/06-01/01/09		60
295	6.00%, 07/01/08-01/01/19		303
349	6.25%, 07/01/09		355
1,018	6.50%, 10/01/08-05/01/21		1,052
1,727	7.00%, 03/01/07-03/01/14		1,799
2,327	7.50%, 12/01/06-07/01/18		2,442
729	8.00%, 10/01/06-01/01/12		770
451	8.50%, 01/01/06-11/01/15		459
2	9.00%, 12/01/05-01/01/06		2
	Federal National Mortgage Association Conventional Pools
2,224	4.00%, 06/01/13		2,168
214	5.00%, 12/01/13		214
2,895	5.50%, 10/01/08-08/01/34		2,913
1,567	6.00%, 01/01/09-07/01/19		1,609
5,284	6.50%, 02/01/08-03/01/26		5,460
1,045	7.00%, 11/01/07-08/01/21		1,093
1,824	7.50%, 01/01/07-06/01/16		1,892
1,390	8.00%, 10/01/06-12/01/30		1,466
782	8.50%, 04/01/06-03/01/27		824
444	9.00%, 11/01/05-02/01/31		484
133	9.50%, 12/01/09-07/01/28		146
64	10.00%, 02/01/24		71
86	ARM, 3.48%, 01/01/19		87
108	ARM, 3.89%, 07/01/27		109
65	ARM, 4.12%, 11/01/16		66
26	ARM, 4.39%, 05/01/25		27
198	ARM, 4.55%, 03/01/19		201
14	ARM, 4.60%, 10/01/25		14
63	ARM, 4.86%, 08/01/17		64
7	ARM, 4.87%, 10/01/27		7
32	ARM, 5.16%, 08/01/19		32

Principal Amount	Security Description	Value
165	ARM, 5.18%, 06/01/27		168
	Government National Mortgage Association Various Pools
188	6.00%, 04/15/14-11/20/14		194
679	6.50%, 07/15/08- 07/15/09		699
56	7.00%, 03/15/07-01/15/09		58
72	7.50%, 09/20/28		76
349	8.00%, 07/15/06-06/15/28		370
246	8.50%, 03/20/25-04/20/25		270
372	9.00%,10/15/05-10/15/26		390
1489	9.50%, 07/15/20-12/15/25		1651
130	12.00%, 11/15/19		148
411	ARM, 3.75%, 08/20/16- 09/20/22		415
31	ARM, 4.00%, 08/20/18		31
413	ARM, 4.12%, 11/20/15- 11/20/25		420
15	ARM, 4.25%, 08/20/21		16
532	ARM, 4.38%, 01/20/16-01/20/28		539
	Total U.S. Government Agency Mortgages
	(Cost $35,989)		36,967
U.S. Government Agency Securities — 28.4%
225	Federal Farm Credit Bank
	5.79%, 03/15/06		227
	Federal Home Loan Bank System
4,000	2.35%, 01/16/07		3,899
500	2.38%, 12/26/06		488
8,000	2.38%, 02/15/06		7,954
11,000	2.50%, 03/30/06		10,908
20,000	2.75%, 05/15/06		19,815
14,000	2.88%, 09/15/06		13,808
2,000	2.88%, 02/15/07		1,959
4,000	3.00%, 01/08/08		3,880
30,000	3.00%, 05/15/06		29,768
2,000	3.13%, 06/29/07		1,941
5,000	3.50%, 08/15/06		4,964
100	6.03%, 01/30/08		104
125	6.32%, 02/21/06		126
835	6.67%, 06/23/06		849
	Federal Home Loan Mortgage Corp.
6,000	2.88%, 05/15/07		5,863
4,000	3.00%, 01/22/08		3,881
1,200	3.00%, 09/18/07		1,170
1,704	4.35%, 11/21/06		1,704
20,000	5.50%, 07/15/06		20,179
750	SUB, 3.13%, 02/09/07		738
	Federal National Mortgage Association
15,000	2.00%, 03/29/06		14,833
180	2.28%, 01/16/07		175
20,000	2.38%, 02/15/07		19,472
2,992	2.50%, 05/12/06		2,960
30,000	2.50%, 06/15/06		29,631
500	2.65%, 06/30/08		477
10,000	3.00%, 06/04/08		9,633
2,860	3.00%, 06/12/08		2,731
70,000	3.13%, 07/15/06		69,360

Principal Amount	Security Description	Value
29,000	5.50%, 02/15/06		29,157
1,000	6.92%, 03/19/07		1,035
	Total U.S. Government Agency Securities
	(Cost $316,393)		313,689
U.S. Treasury Obligations — 25.5%
	U.S. Treasury Inflation Indexed Bonds
1,210	3.63%, 01/15/08		1,281
3,576	3.88%, 01/15/09		3,879
988	4.25%, 01/15/10		1,105
	U.S. Treasury Notes
29,676	2.38%, 08/31/06		29,220
10,000	2.50%, 10/31/06		9,829
20,000	2.63%, 11/15/06		19,672
5,000	2.75%, 08/15/07		4,874
10,000	3.13%, 05/15/07		9,836
30,000	3.25%, 08/15/08 (m)		29,243
5,000	3.50%, 05/31/07		4,946
23,000	3.63%, 04/30/07		22,806
53,000	4.38%, 05/15/07 (m)		53,176
22,000	5.63%, 05/15/08 (m)		22,776
5,000	6.13%, 08/15/07		5,174
22,785	6.50%, 10/15/06		23,320
7,000	6.63%, 05/15/07		7,271
19,500	6.88%, 05/15/06		19,831
13,000	7.00%, 07/15/06		13,284
	Total U.S. Treasury Obligations
	(Cost $286,383)		281,523
Foreign Government Securities — 0.5%
5,061	Government Trust Certificate (Turkey)
	Zero Coupon, 05/15/06		4,935
400	Province of Ontario (Canada)
	6.00%, 02/21/06		403
325	Province of Quebec (Canada)
	6.50%, 01/17/06		327
	Total Foreign Government Securities
	(Cost $5,685)		5,665
	Total Long Term Investments
	(Cost $1,116,906)		1,107,423
Shares
Short-Term Investment — 0.2%
Investment Company — 0.2%
2,015	JPMorgan U.S. Government Money Market Fund (b)
	Total Short Term Investments
	(Cost $2,015)		2,015

Principal Amount	Security Description	Value
Principal Amount
Investments of Cash Collateral for Securities Loaned — 17.9%
Certificates of Deposit — 3.0%
$  9,995	Bank of New York
	3.74%, 05/02/08		9,995
5,000	Canadian Imperial Bank
	3.83%, 10/31/06		5,000
7,900	Deutsche Bank N.Y.
	4.10%, 10/03/05		7,900
10,000	Natexis Banques Populaires (France)
	4.12%, 11/23/05		10,000
			32,895
Corporate Notes — 10.1%
7,500	CC USA, Inc.
	FRN, 4.10%, 11/03/05		7,500
15,000	Greenwich Capital, Inc.
	FRN, 4.24%, 10/07/05		15,000
10,000	General Electric Capital Corp.
	FRN, 4.08%, 03/29/06		10,000
4,999	K2 (USA) LLC
	FRN, 3.99%, 10/11/05		4,999
13,000	Lehman Brothers Holdings, Inc.
	FRN, 4.09%, 01/03/06		13,000
2,000	Lehman Brothers Holdings, Inc.
	FRN, 4.02%, 10/07/05		2,000
16,000	Morgan Stanley, Inc.
	FRN, 4.12%, 10/06/05		16,000
10,000	Northern Rock plc
	FRN, 3.81%, 01/13/06		10,000
3,000	Sigma Finance, Inc.
	FRN, 4.11%, 02/27/06		3,000
10,000	U.S. Bank N.A.
	FRN, 3.67%, 07/28/06		10,000
10,000	Wells Fargo & Co.
	FRN, 4.07%, 12/16/05		10,000
10,000	World Savings Bank FSB
	FRN, 3.87%, 09/15/06		10,000
			111,499
Repurchase Agreements — 4.8%
8,000	Deutsche Bank Securities, Inc., 4.00%, dated
	09/30/05, due 10/03/05, repurchase price $8,003,
	collateralized by Investment Grade Corporate Notes
	and Bonds		8,000
45,000	Goldman Sachs & Co., 3.75%, dated 09/30/05,
	due 10/26/05, repurchase price $45,122,
	collateralized by U.S. Government Agency Mortgages		45,000
55	UBS Securities LLC, 3.90%, dated 09/30/05, due
	10/03/05, repurchase price $55, collateralized by

Principal Amount	Security Description	Value
	U.S. Government Agency Securities	$	55
			53,055
	Total Investments Cash Collateral for Securities Loaned
	(Cost $197,449)		197,449
Total Investments — 118.3%
(Cost $1,316,370)		$	1,306,887
Liabilities in Excess of Other Assets — (18.3)%			(201,920	)
Net Assets — 100.0%		$	1,104,967

Percentages indicated are based on net assets.

Abbreviations:

(b)	Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors, Inc.
(d)	Defaulted Security.
(e)	All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees.
(g)	Amount rounds to less than 0.1%.
(h)	Amount rounds to less than one thousand.
ARM	Adjustable Rate Mortgage
CMO	Collateralized Mortgage Obligation
FRN	Floating Rate Note. The rate shown is the rate in effect as of September 30, 2005.
HB	High Coupon Bond
IF	Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index.
IO	Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities are generally higher than prevailing market yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. 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.
STRIPS	Separate Trading of Registered Interest and Principal Securities.
SUB	Step-Up Bond. The rate shown is the rate in effect as of September 30, 2005.

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation
Aggregate gross unrealized depreciation Net unrealized appreciation/depreciation	$	2,819 (12,302	)
	$	(9,483	)
Federal income tax cost of investments	$	1,316,370

JPMorgan Treasury & Agency Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Long-Term Investments —96.5%
U.S. Government Agency Securities — 29.6%
			Federal Farm Credit Bank
	$	800	5.75%, 01/25/08	$	823
		3,000	5.83%, 02/11/08		3,094
		360	6.20%, 11/30/09		383
		500	6.27%, 01/26/16		558
		300	6.52%, 09/24/07		312
		1,720	6.82%, 03/16/09		1,847
		855	6.90%, 09/01/10		944
			Federal Home Loan Bank
		16,000	2.45%, 03/23/07		15,567
		250	5.49%, 12/22/08		258
		8,000	5.61%, 02/11/09		8,275
		5,000	5.75%, 05/15/12		5,315
		1,265	5.93%, 04/09/08		1,310
		675	6.20%, 06/02/09		712
		1,000	6.50%, 11/13/09		1,074
		100	7.03%, 07/14/09		109
		690	7.38%, 02/12/10		768
		1,555	Tennessee Valley Authority New Valley
			Generation I, 7.30%, 03/15/19		1,797
			Total U.S. Government Agency Securities
			(Cost $42,932)		43,146
U.S. Treasury Obligations — 66.9%
			U.S. Treasury Bonds
		38,250	10.38%, 11/15/12 (m)		43,004
		17,966	12.75%, 11/15/10		18,150
					61,154
			U.S. Treasury Notes
		12,500	2.50%, 10/31/06		12,287
		1,000	3.50%, 02/15/10		971
		6,000	4.00%, 04/15/10		5,945
		4,010	5.75%, 11/15/05		4,020
		3,730	6.63%, 05/15/07		3,875
		9,000	6.88%, 05/15/06		9,153
					36,251
			Total U.S. Treasury Obligations
			(Cost $101,211)		97,405
			Total Long Term Investments
			(Cost $144,143)		140,551

See Notes To Financial Statments

	Principal Amount		Security Description	Value
	Shares
Short-Term Investment — 1.4%
Investment Company — 1.4%
		2,041	JPMorgan 100% U.S. Treasury
			Securities Money Market Fund (b)
			(Cost $2,041)		2,041
	Principal Amount
Investments of Cash Collateral for Securities Loaned — 25.9%
Repurchase Agreements — 25.9%
	$	7,000	Banc of America Securities LLC, 3.95%,
			date 09/30/05, due 10/03/05, repurchase price
			$7,002, collateralized by U.S. Government Agency Mortgages
					7,000
		6,250	HSBC Securities, Inc., 3.88%, date 09/30/05,
			due 10/03/05, repurchase price $6,252
			collateralized by U.S. Government Agency
			Securities		6,250
		3,463	Lehman Brothers, Inc., 3.88%, date 09/30/05,
			due 10/03/05, repurchase price $3,464,
			collateralized by U.S. Government Agency
			Securities		3,463
		7,000	Merrill Lynch Securities, 3.88%,
			date 09/30/05, due 10/03/05, repurchase price
			$7,002, collateralized by U.S. Government Agency
			Securities		7,000
		7,000	Morgan Stanley, 3.96%, date 09/30/05,
			date 09/30/05, due 10/03/05, repurchase price
			$7,002, collateralized by U.S. Government Agency
			Mortgages		7,000
		7,000	UBS Securities LLC, 3.90%, date 09/30/05,
			due 10/03/05, repurchase price $7,002,
			collateralized by U.S. Government Agency
			Securities		7,000
			Total Investments of Cash Collateral for
			Securities Loaned (Cost $37,713)		37,713
Total Investments — 123.8
(Cost $183,897)					180,305
Liabilities in Excess of Other Assets — (23.8)%					(34,642	)
Net Assets (100%)				$	145,663

Percentages indicated are based on net assets.

Abbreviations:

(b) Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors Inc.

See Notes To Financial Statments

(m) All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA’s, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	694
Aggregate gross unrealized depreciation		(4,286	)
Net unrealized appreciation/depreciation	$	(3,592	)
Federal income tax cost of investments	$	183,897

See Notes To Financial Statments

JPMorgan Ultra Short Term Bond Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount		Security Description	Value
Long-Term Investments — 91.8%
Asset Backed Securities — 20.0%
	$	725	ABFS Mortgage Loan Trust
			Series 1998-4, Class A2, FRN, 4.78%, 01/25/30 (m)	$	726
			ACE Securities Corp.
		11,710	Series 2001-HE1, Class M1, FRN, 4.80%, 11/20/31		11729
		4,529	Series 2002-HE3, Class M1, FRN, 5.03%, 10/25/32		4,597
		596	Advanta Mortgage Loan Trust
			Series 1999-4, Class A, FRN, 4.21%, 11/25/29		597
		1,584	Aegis Asset-Backed Securities Trust
			Series 2004-1, Class A, FRN, 4.18%, 04/25/34		1,587
		1,365	American Residential Home Equity Loan Trust
			Series 1998-1, Class M1, FRN, 4.51%, 05/25/29		1,368
		4,714	AmeriCredit Automobile Receivables Trust
			Series 2002-D, Class A4, 3.40%, 04/13/09		4,680
			Amortizing Residential Collateral Trust
		127	Series 2002-BC4, Class A, FRN, 4.12%, 07/25/32		126
		10,000	Series 2002-BC6, Class M1, FRN, 4.58%, 08/25/32		10,079
		10,378	Series 2002-BC9, Class M1, FRN, 4.93%, 12/25/32		10,536
			Amresco Residential Securities Mortgage Loan Trust
		677	Series 1997-1, Class M1A, FRN, 4.17%, 03/25/27		677
		1,663	Series 1997-2, Class M1A, FRN, 4.39%, 06/25/27		1,663
		6,175	Series 1998-1, Class M1A, FRN, 4.48%, 01/25/28		6,176
		3,825	Series 1998-3, Class M1A, FRN, 4.46%, 09/25/28		3,826
		5,000	Asset Backed Securities Corp. Home Equity
			Series 2003-HE7, Class M2, FRN, 5.52%, 12/15/33		5,124
		320	Bank One Heloc Trust
			Series 1999-1, Class A, FRN, 4.06%, 07/20/20		321
			Bayview Financial Acquisition Trust
		533	Series 1998-A, Class A, FRN, 4.18%, 02/25/38 (e)		534
		1,782	Series 2002-CA, Class M1, FRN, 4.58%, 05/25/32 (e)		1,783
		1,919	Series 2003-BA, Class A1, FRN, 4.31%, 04/25/33 (e)		1,921
		7,655	Series 2003-F, Class A, FRN, 4.34%, 09/28/43		7,681
			Bear Stearns Asset Backed Securities, Inc.
		8,014	Series 2003-SD1, Class A, FRN, 4.28%, 12/25/33		8,038
		9,290	Series 2005-1, Class A, FRN, 4.18%, 03/25/35		9,294
			Capital One Master Trust
		2,000	Series 2001-1, Class C, FRN, 4.94%, 12/15/10 (e)		2,034
		5,000	Series 2002-4A, Class C, FRN, 5.32%, 03/15/10 (e)		5,079
		465	Cendant Mortgage Corp.
			Series 2001-A, Class A2, FRN, 4.33%, 01/25/32 (e)		466
			Centex Home Equity
		3,000	Series 2002-A, Class MV1, FRN, 4.68%, 01/25/32		3,009
		124	Series 2002-B, Class AV, FRN, 4.09%, 04/25/32		124
			Chase Credit Card Master Trust
		250	Series 2000-3, Class B, FRN, 4.12%, 01/15/08		250
		5,000	Series 2003-1, Class C, FRN, 4.87%, 04/15/08		5,012
		1,376	Chase Funding Loan Acquisition Trust
			Series 2001-AD1, Class 2M1, FRN, 4.68%, 11/25/30		1,381
		8,000	Citibank Credit Card Issuance Trust

Principal Amount		Security Description	Value
		Series 2002-C1, Class C1, FRN, 4.74%, 02/09/09		8,080
	880	Conseco Finance
		Series 2001-B, Class 1M1, 7.27%, 04/15/09		893
		Countrywide Asset-Backed Certificates
	841	Series 2002-1, Class A, FRN, 4.11%, 08/25/32		841
	5,000	Series 2002-3, Class M1, FRN, 4.58%, 03/25/32		5,014
	1,009	Series 2002-BC1, Class A, FRN, 4.16%, 04/25/32		1,010
	1,430	Series 2002-BC2, Class A, FRN, 4.10%, 04/25/32		1,430
	2,387	Series 2003-BC2, Class 2A1, FRN, 4.13%, 06/25/33		2,392
	10,000	Series 2003-BC5, Class M1, FRN, 4.53%, 09/25/33		10,062
		Countrywide Home Equity Loan Trust
	2,476	Series 2001-A, Class A, FRN, 4.01%, 04/15/27		2,477
	17,381	Series 2004-A, Class A, FRN, 3.99%, 04/15/30		17,392
	10,000	Series 2005-E, Class 2A, FRN, 3.89%, 09/15/35		9,995
		Credit-Based Asset Servicing and Securitization
	604	Series 2003-CB4, Class AV1, FRN, 4.20%, 04/25/33		606
	8,631	Series 2004-CB2, Class AV3, FRN, 4.14%, 09/25/33		8,630
	3,000	Series 2004-CB2, Class M1, FRN, 4.35%, 07/25/33		3,000
		Crown CLO
	5,000	Series 2002-1A, Class A2, FRN, 4.19%, 01/22/13 (e)		5,005
	5,000	Series 2002-1A, Class C, FRN, 5.64%, 01/22/13 (e)		5,031
		First Franklin Mortgage Loan Asset Backed Certificates
	2,264	Series 2002-FF1, Class M1, FRN, 4.53%, 04/25/32		2,271
	20,000	Series 2002-FF4, Class M1, FRN, 4.88%, 02/25/33		20,120
		Fleet Commercial Loan Master LLC
	5,000	Series 2000-1A, Class B2, FRN, 4.37%, 11/16/07 (e)		5,000
	4,500	Series 2002-1A, Class A2, FRN, 4.14%, 11/16/09 (e)		4,515
	1,900	Series 2002-1A, Class C1, FRN, 5.89%, 11/16/09 (e)		1,900
	5,000	Series 2003-1A, Class A2, FRN, 4.14%, 11/16/10 (e)		5,020
		GMAC Mortgage Corp. Loan Trust
	353	Series 2002-GH1, Class A, FRN, 4.13%, 08/25/33		353
	8,000	Series 2002-HE3, Class A3, FRN, 4.11%, 09/25/32		8,031
	7,447	Greenpoint Mortgage Funding Trust
		Series 2005-HE3, Class A, FRN, 3.95%, 09/15/30		7,446
	231	Home Equity Mortgage Trust
		Series 2004-1, Class A1, FRN, 4.19%, 06/25/34		231
	8,109	Household Automotive Trust
		Series 2002-2, Class A4, FRN, 4.09%, 07/17/09		8,120
	3,000	Household Private Label Credit Card Master Note Trust I
		Series 2002-3, Class B, FRN, 5.02%, 09/15/09		3,003
	3,681	Irwin Home Equity
		Series 2004-1, Class 1A1, FRN, 4.15%, 12/25/24		3,684
	733	Lehman Home Equity Loan Trust
		Series 1998-1, Class A1, 7.00%, 05/25/28		731
	1,505	Long Beach Mortgage Loan Trust
		Series 2003-3, Class A, FRN, 4.15%, 07/25/33		1,506
		MBNA Credit Card Master Note Trust
	5,000	Series 2001-B1, Class B1, FRN, 4.14%, 10/15/08 (m)		5,005
	3,500	Series 2001-C1, Class C1, FRN, 4.82%, 10/15/08		3,516
	5,000	Series 2003-C2, Class C2, FRN, 5.37%, 06/15/10		5,145

	Principal Amount		Security Description	Value
		7,500	MBNA Master Credit Card Trust USA
			Series 2000-K, Class C, FRN, 4.57%, 03/17/08 (e)		7,500
			Morgan Stanley ABS Capital I
		749	Series 2003-NC6, Class A2, FRN, 4.19%, 06/25/33		750
		6,000	Series 2003-NC6, Class M1, FRN, 4.63%, 06/25/33		6,061
		2,500	National City Credit Card Master Trust
			Series 2002-1, Class B, FRN, 4.27%, 01/15/09		2,512
		5,637	Nellie Mae, Inc.
			Series 1996-1, Class CTFS, FRN, 4.39%, 12/15/18		5,625
		6,563	New Century Home Equity Loan Trust
			Series 2003-5, Class AII, FRN, 4.23%, 11/25/33		6,575
		7,000	Nomura Home Equity Loan, Inc.
			Series 2005-FM1, Class 2A3, 4.21%, 05/25/35		7,000
		4,484	Option One Mortgage Loan Trust
			Series 2002-4, Class M1, FRN, 4.43%, 07/25/32		4,499
		21	PNC Student Loan Trust I
			Series 1997-2, Class A7, 6.73%, 01/25/07		21
		3,500	Providian Gateway Master Trust
			Series 2002-B, Class A, FRN, 4.47%, 06/15/09 (e)		3,505
			Residential Asset Mortgage Products, Inc.
		5,241	Series 2003-RS2, Class AII, FRN, 4.17%, 03/25/33		5,254
		10,000	Series 2004-RS1, Class MII1, FRN, 4.51%, 01/25/34		10,002
		6,069	Residential Asset Securities Corp.
			Series 2003-KS10, Class AIIB, FRN, 4.14%, 12/25/33		6,079
			Residential Funding Mortgage Securities II
		7,156	Series 2001-HI2, Class AI7, SUB, 6.94%, 04/25/26		7,233
		5,000	Series 2001-HI4, Class A7, SUB, 6.74%, 10/25/26		5,109
		2,611	Series 2003-HS1, Class AII, FRN, 4.12%, 12/25/32		2,614
		104	Saxon Asset Securities Trust
			Series 2000-1, Class MV2, FRN, 4.65%, 02/25/30		105
		10,000	Sears Credit Account Master Trust
			Series 2001-3, Class A, FRN, 4.02%, 09/15/10		10,004
			SLM Student Loan Trust
		5,000	Series 1997-3, Class CTFS, FRN, 4.35%, 10/25/12 (m)		5,004
		1,000	Series 1998-1, Class CTFS, FRN, 4.49%, 04/25/14		1,021
		994	Structured Asset Investment Loan Trust
			Series 2003-BC2, Class A3, FRN, 4.18%, 04/25/33		995
		349	Structured Asset Securities Corp.
			Series 2002-HF1, Class A, FRN, 4.12%, 01/25/33		350
		2,406	Wachovia Asset Securitization, Inc.
			Series 2002-HE1, Class A, FRN, 4.20%, 09/27/32		2,409
		3,600	WFS Financial Owner Trust
			Series 2002-2, Class A4, SUB, 4.50%, 02/20/10		3,603
			Total Asset Backed Securities
			(Cost $380,456)		381,703
Collateralized Mortgage Obligations — 52.8%
Agency CMO — 20.3%
		480	American Housing Trust
			Series VII, Class 1D, 9.25%, 11/25/20		481

Principal Amount		Security Description	Value
		Federal Home Loan Mortgage Corp.
	166	Series 1071, Class F, FRN, 4.76%, 04/15/21		166
	2	Series 1106, Class E, 7.50%, 07/15/06		2
	158	Series 1343, Class LA, 8.00%, 08/15/22		162
	153	Series 1370, Class JA, FRN, 4.96%, 09/15/22		154
	132	Series 1379, Class W, FRN, 3.94%, 10/15/22		132
	424	Series 1449, Class HA, 7.50%, 12/15/07		424
	21	Series 1506, Class PH, 6.75%, 04/15/08		21
	22	Series 1508, Class KA, FRN, 3.36%, 05/15/23		22
	337	Series 1575, Class F, FRN, 4.81%, 08/15/08		339
	201	Series 1600, Class FB, FRN, 3.54%, 10/15/08		200
	871	Series 1604, Class MB, IF, 10.46%, 11/15/08		900
	140	Series 1607, Class SA, IF, 14.92%, 10/15/13		161
	1,044	Series 1625, Class SC, IF, 10.74%, 12/15/08		1,115
	687	Series 1628, Class LC, 6.50%, 05/15/09		687
	3,557	Series 1650, Class K, 6.50%, 01/15/24		3,735
	2,078	Series 1689, Class M, PO, 03/15/24		1,814
	906	Series 1771, Class PK, 8.00%, 02/15/25		950
	1,665	Series 1974, Class ZA, 7.00%, 07/15/27		1,728
	292	Series 1981, Class Z, 6.00%, 05/15/27		297
	60	Series 2006, Class I, IO, 8.00%, 10/15/12		8
	1,148	Series 2033, Class PR, PO, 03/15/24		1,007
	1,316	Series 2057, Class PE, 6.75%, 05/15/28		1,354
	68	Series 2193, Class PS, IF, IO, 8.00%, 12/15/25		3
	336	Series 2261, Class ZY, 7.50%, 10/15/30		344
	165	Series 2289, Class NA, VAR, 11.99%, 05/15/20		186
	656	Series 2338, Class FN, FRN, 4.27%, 08/15/28		658
	1,182	Series 2345, Class PQ, 6.50%, 08/15/16		1,222
	330	Series 2366, Class VG, 6.00%, 06/15/11		335
	1,440	Series 2391, Class QT, 5.50%, 05/15/15		1,446
	1,134	Series 2416, Class SA, IF, 8.34%, 02/15/32		1,183
	711	Series 2416, Class SH, IF, 8.42%, 02/17/32		744
	319	Series 2477, Class FZ, FRN, 4.32%, 06/15/31		322
	4,982	Series 2485, Class CB, 4.00%, 08/15/07		4,945
	174	Series 2496, Class BA, 5.00%, 11/15/15		174
	1,307	Series 2517, Class FE, FRN, 4.27%, 10/15/09		1,313
	30,775	Series 2594, Class OF, FRN, 4.22%, 06/15/32 (m)		30,528
	13,800	Series 2628, Class IP, IO, 4.50%, 10/15/16		2,116
	13,373	Series 2649, Class FK, FRN, 4.32%, 07/15/33		13,026
	9,755	Series 2666, Class OI, IO, 5.50%, 12/15/18		1,039
	19,437	Series 2750, Class FG, FRN, 4.17%, 02/15/34		19,528
	2,370	Series 2773, Class TB, 4.00%, 04/15/19		2,177
	5,154	Series 2927, Class GA, 5.50%, 10/15/34		5,225
	5,000	Series 2929, Class PC, 5.00%, 01/15/28		4,979
		Federal Home Loan Mortgage Corp. Structured Pass Through Securities
	389	Series T-51, Class 1A, PO, 09/25/42		329
	7,390	Series T-51, Class 1A, VAR, 6.50%, 09/25/43		7,581
	2,893	Series T-54, Class 2A, 6.50%, 02/25/43		2,972

Principal Amount		Security Description	Value
	6,305	Series T-54, Class 4A, FRN, 4.63%, 02/25/43		6,594
	4,781	Federal Home Loan Mortgage Corp.-Government National Mortgage Association
		Series 1, Class S, IF, IO, 5.09%, 10/25/22		140
		Federal National Mortgage Association
	178	Series 1988-15, Class B, FRN, 4.39%, 06/25/18		180
	18	Series 1989-77, Class J, 8.75%, 11/25/19		19
	5	Series 1989-89, Class H, 9.00%, 11/25/19		5
	392	Series 1990-64, Class Z, 10.00%, 06/25/20		431
	1,076	Series 1990-145, Class A, FRN, 3.72%, 12/25/20 (m)		1,071
	465	Series 1991-142, Class PL, 8.00%, 10/25/21		490
	439	Series 1991-150, Class G, 8.00%, 11/25/06		445
	644	Series 1991-156, Class F, FRN, 5.14%, 11/25/21		653
	2	Series 1992-91, Class SQ, IF, HB, 5666.40%, 05/25/22		179
	1,507	Series 1992-112, Class GB, 7.00%, 07/25/22		1,567
	20	Series 1992-154, Class SA, IF, IO, 5.40%, 08/25/22		2
	1,000	Series 1992-179, Class FB, FRN, 5.34%, 10/25/07		1,011
	193	Series 1992-187, Class FA, FRN, 3.56%, 10/25/07		192
	322	Series 1992-190, Class F, FRN, 5.14%, 11/25/07		324
	648	Series 1993-27, Class S, IF, 3.98%, 02/25/23		634
	63	Series 1993-93, Class FC, FRN, 3.61%, 05/25/08		62
	1,284	Series 1993-110, Class H, 6.50%, 05/25/23		1,320
	163	Series 1993-119, Class H, 6.50%, 07/25/23		168
	1,279	Series 1993-146, Class E, PO, 05/25/23		1,112
	534	Series 1993-165, Class FH, FRN, 4.99%, 09/25/23		547
	651	Series 1993-186, Class F, FRN, 3.56%, 09/25/08		646
	159	Series 1993-197, Class SC, IF, 8.30%, 10/25/08		164
	136	Series 1993-225, Class VO, IF, 9.54%, 12/25/22		139
	2,827	Series 1994-30, Class JA, 5.00%, 07/25/23		2,829
	3,286	Series 1994-62, Class PH, 6.90%, 11/25/23		3,340
	26	Series 1994-89, Class FA, FRN, 4.29%, 03/25/09		26
	3,360	Series 1997-46, Class PT, 7.00%, 07/18/12		3,470
	350	Series 1997-74, Class E, 7.50%, 10/20/27		369
	6,386	Series 2001-9, Class F, FRN, 4.04%, 02/17/31		6,402
	2,120	Series 2001-33, Class ID, IO, 6.00%, 07/25/31		408
	1,616	Series 2002-16, Class VD, 6.50%, 06/25/18		1,619
	1,115	Series 2002-18, Class PC, 5.50%, 04/25/17		1,140
	6,922	Series 2002-27, Class FW, FRN, 4.33%, 05/25/09		6,950
	10,540	Series 2002-77, Class FY, FRN, 4.23%, 12/25/17		10,618
	1,187	Series 2002-79, PO, 04/25/09		1,065
	6,731	Series 2002-92, Class FB, FRN, 4.48%, 04/25/30		6,799
	16,326	Series 2003-17, Class FN, FRN, 4.13%, 03/25/18		16,399
	8,760	Series 2003-19, Class VA, 5.50%, 09/25/10		8,875
	24,448	Series 2003-34, Class BS, IF, IO, 3.82%, 05/25/22		2,012
	5,000	Series 2003-35, Class MD, 5.00%, 11/25/16		4,999
	6,340	Series 2003-60, Class SA, IF, IO, 3.82%, 07/25/21		497
	12,018	Series 2003-60, Class SB, IF, IO, 3.82%, 07/25/21		942
	8,750	Series 2003-70, Class BE, 3.50%, 12/25/25		8,374
	3,290	Series 2003-72, Class JF, FRN, 4.23%, 08/25/33		3,188
	1,757	Series 2003-74, Class BN, 4.50%, 04/25/09		1,754

	Principal Amount		Security Description	Value
		25,786	Series 2003-87, Class HF, FRN, 4.23%, 03/25/16 (m)		25,872
		8,446	Series 2004-17, Class BF, FRN, 4.18%, 01/25/34		8,444
		12,374	Series 2004-33, Class FW, FRN, 4.23%, 08/25/25		12,422
		13,507	Series 2004-54, Class FL, FRN, 4.23%, 07/25/34		13,579
		475	Series G92-44, Class ZQ, 8.00%, 07/25/22		508
		6,177	Series G94-9, Class PJ, 6.50%, 08/17/24		6,403
			Federal National Mortgage Association Grantor Trust
		3,273	Series 2001-T8, Class A1, 7.50%, 07/25/41		3,441
		7,494	Series 2002-T6, Class A4, FRN, 4.66%, 03/25/41		7,524
		4,514	Series 2004-T1, Class 1A2, 6.50%, 01/25/44		4,649
			Federal National Mortgage Association STRIPS
		10,656	Series 343, Class 23, 4.00%, 10/01/18		1,650
		17,456	Series 343, Class 27, 4.50%, 09/01/18		2,890
			Federal National Mortgage Association Whole Loan
		1,713	Series 2003-W1, Class 2A, 7.50%, 12/25/42		1,804
		12,907	Series 2003-W4, Class 5A, FRN, 4.91%, 10/25/42		13,125
		11,154	Series 2003-W15, Class 3A, FRN, 4.59%, 12/25/42		11,345
		4,076	Series 2004-W2, Class 1A3F, FRN, 4.18%, 02/25/44		4,063
		6,088	Series 2004-W2, Class 4A, FRN, 4.78%, 02/25/44		6,238
		8,001	Series 2005-W1, Class 1A2, 6.50%, 10/25/44		8,177
			Government National Mortgage Association
		4,049	Series 1999-27, Class ZA, 7.50%, 04/17/29		4,213
		133	Series 2000-35, Class F, FRN, 4.32%, 12/16/25		134
		2,632	Series 2002-31, Class FC, FRN, 4.08%, 09/26/21		2,637
		20,192	Series 2003-21, Class PI, IO, 5.50%, 06/20/32		2,652
		9,068	Series 2003-105, Class A, 4.50%, 11/16/27		8,985
		7,994	Series 2004-11, Class PC, 3.00%, 02/20/34		7,763
					386,922
Non-Agency — 32.5%
		2,500	Banc of America Large Loan
			Series 2004-BBA4, Class D, FRN, 2.53%, 06/15/18 (e)		2,508
			Banc of America Mortgage Securities
		310	Series 2003-5, Class 2A8, FRN, 4.28%, 07/25/18		312
		10,165	Series 2005-A, Class 3A1, FRN, 5.06%, 02/25/35		10,063
			Bayview Commercial Asset Trust
		16,169	Series 2004-1, Class A, FRN, 4.19%, 04/25/34 (e)		16,184
		3,754	Series 2004-3, Class A2, FRN, 4.25%, 01/25/35 (e)		3,760
		9,912	Series 2005-2A, Class A2, FRN, 4.18%, 08/25/35 (e)		9,912
		1,982	Series 2005-2A, Class M1, FRN, 4.26%, 08/25/35 (e)		1,982
		5,000	Bear Stearns Adjustable Rate Mortgage Trust
			Series B2004-4, Class A5, VAR, 3.51%, 06/25/34		4,805
			Bear Stearns Alt-A Trust
		8,427	Series 2002-2, Class M1, FRN, 4.53%, 01/25/33		8,441
		7,416	Series 2002-2, Class M2, FRN, 4.83%, 01/25/33		7,428
		3,697	Bear Stearns Asset Backed Securities, Inc.
			Series 2004-AC6, Class M1, FRN, 4.50%, 11/25/34		3,710
		3,000	Bear Stearns Commercial Mortgage Securities
			Series 2004-BA5A, Class E, FRN, 4.21%, 09/15/19 (e)		3,003
			BHN II Mortgage Trust
		28	7.54%, 05/31/17 (d) (i)		1

Principal Amount		Security Description	Value
	224	FRN, 0.00%, 03/25/11 (d) (i)		6
	9,540	Cendant Mortgage Corp.
		Series 2003-8, Class 1A2, 5.25%, 10/25/33		9,512
	4,012	Chase Mortgage Finance Corp.
		Series 2003-S7, Class A4, FRN, 4.23%, 08/25/18		4,008
	45	Chemical Mortgage Acceptance Corp.
		Series 1988-2, Class A, VAR, 7.41%, 05/25/18		46
	494	Citicorp Mortgage Securities, Inc.
		Series 1988-17, Class A1, VAR, 4.15%, 11/25/18		493
	155	Collateralized Mortgage Obligation Trust
		Series 50, Class B, PO, 10/01/18		134
	10,194	Countrywide Alternative Loan Trust
		Series 2004-33, Class 3A3, VAR, 4.87%, 12/25/34		10,073
		Countrywide Home Loan Mortgage Pass Through Trust
	7,232	Series 2003-21, Class A1, FRN, 4.11%, 05/25/33		7,121
	26,918	Series 2003-R4, Class 1A2F, FRN, 4.38%, 03/25/24 (e)		26,947
	11,898	Series 2004-HYB8, Class 1A1, FRN, 4.15%, 01/20/35		11,906
	4,452	Series 2005-1, Class 1A2, FRN, 2.90%, 03/25/35		4,455
	16,627	Series 2005-1, Class 2A1, FRN, 4.12%, 03/25/35		16,614
		CS First Boston Mortgage Securities Corp.
	5,165	Series 2001-CK1, Class A2, 6.25%, 12/16/35		5,306
	459	Series 2002-AR2, Class 1B2, VAR, 6.04%, 02/25/32		458
	5,726	Series 2003-AR22, Class 2A3, VAR, 4.11%, 09/25/33		5,699
	8,720	Series 2003-AR24, Class 2A4, VAR, 4.06%, 10/25/33		8,708
	4,850	Series 2004-5, Class 1A8, 6.00%, 09/25/34		4,868
	3,637	Series 2005-4, Class 3A16, 5.50%, 06/25/35		3,670
	1,024	FFCA Secured Lending Corp.
		Series 1999-1A, Class B2, FRN, 4.79%, 09/18/25 (e)		985
	3,261	First Horizon Alternative Mortgage Securities
		Series 2005-AA7, Class 1A2, FRN, 5.45%, 09/25/35		3,279
	6,970	First Horizon Asset Securities, Inc.
		Series 2004-AR7, Class 2A1,FRN, 4.94%, 02/25/35		6,944
		First Republic Mortgage Loan Trust
	695	Series 2000-FRB1, Class B1, FRN, 4.33%, 06/25/30		696
	4,446	Series 2000-FRB2, Class A1, FRN, 4.02%, 10/15/30		4,415
	6,095	GSR Mortgage Loan Trust
		Series 2003-3F, Class 3A2, FRN, 4.23%, 04/25/33		6,101
		Impac CMB Trust
	1,792	Series 2002-8, Class A, FRN, 4.29%, 03/25/33		1,793
	965	Series 2003-3, Class M1, FRN, 4.68%, 01/25/33		965
	4,380	Series 2003-12, Class M1, FRN, 4.48%, 12/25/33		4,383
	2,256	Series 2004-1, Class A1, FRN, 4.16%, 03/25/34		2,264
	1,128	Series 2004-1, Class A2, FRN, 4.28%, 03/25/34		1,132
	9,384	Series 2004-3, Class 3A, FRN, 4.15%, 03/25/34		9,383
	2,933	Series 2004-3, Class M2, FRN, 4.35%, 06/25/34		2,938
	6,262	Series 2004-6, Class 1A2, FRN, 4.22%, 10/25/34		6,272
	13,993	Series 2005-5, Class A1, FRN, 4.15%, 07/25/35		13,999
	8,218	Lehman Brothers Floating Rate Commercial Mortgage Trust
		Series 2003-LLFA, Class E, FRN, 4.65%, 12/14/14 (e)		8,247

Principal Amount		Security Description	Value
		MASTR Adjustable Rate Mortgages Trust
	7,062	Series 2003-3, Class 3A3, VAR, 4.78%, 09/25/33		7,008
	17,279	Series 2003-5, Class 5A1, VAR, 4.26%, 10/25/33		16,852
	1,011	Series 2004-2, Class 3A1, FRN, 4.22%, 03/25/34		1,011
	6,150	Series 2004-7, Class 6A1, FRN, 4.27%, 08/25/34		6,167
	6,464	Series 2004-13, Class 2A1, FRN, 3.82%, 04/21/34		6,328
		MASTR Asset Securitization Trust
	16,739	Series 2003-12, Class 2A1, 4.50%, 12/25/13		16,529
	4,324	Series 2004-6, Class 4A1, 5.00%, 07/25/19		4,278
	4,853	MASTR Seasoned Securities Trust
		Series 2003-1, Class 3A2, FRN, 4.23%, 02/25/33		4,858
		Mellon Residential Funding Corp.
	6,037	Series 2001-TBC1, Class B1, FRN, 4.65%, 11/15/31		6,141
	1,068	Series 2002-TBC1, Class B1, FRN, 4.77%, 09/15/30		1,074
	534	Series 2002-TBC1, Class B2, FRN, 5.17%, 09/15/30		537
	3,500	Series 2002-TBC2, Class B1, FRN, 4.62%, 08/15/32		3,517
	1,069	Merrill Lynch Trust
		Series 47, Class Z, 8.99%, 10/20/20		1,098
		MLCC Mortgage Investors, Inc.
	4,815	Series 2004-1, Class 2A3, VAR, 4.75%, 12/25/34		4,754
	17,918	Series 2004-D, Class A1, FRN, 4.16%, 08/25/34		17,929
	5,000	Morgan Stanley Capital I
		Series 2003-T11, Class A2, 4.34%, 06/13/41		4,914
		Morgan Stanley Dean Witter Capital I
	4,775	Series 2003-HYB1, Class A4, FRN, 4.20%, 03/25/33		4,757
	3,307	Series 2003-HYB1, Class B1, FRN, 4.25%, 03/25/33		3,297
		Morgan Stanley Mortgage Loan Trust
	3,530	Series 2004-5AR, Class 3A3, VAR, 4.50%, 07/25/34		3,457
	6,000	Series 2004-5AR, Class 3A5, VAR, 4.50%, 07/25/34		5,909
	15,287	Series 2004-11AR, Class 1A2A, FRN, 4.14%, 01/25/35		15,297
	720	Nationslink Funding Corp.
		Series 1999-SL, Class A1V, FRN, 4.08%, 11/10/30		722
		Nomura Asset Acceptance Corp.
	14,901	Series 2003-A3, Class A, IO, VAR, 5.15%, 03/25/06		230
	2,079	Series 2003-A3, Class A1, SUB, 5.00%, 08/25/33		2,036
	6,900	Series 2004-AP1, Class A, IO, VAR, 5.00%, 03/25/34		111
	2,101	Series 2004-AR1, Class 5A1, FRN, 4.21%, 08/25/34		2,102
	11,959	Series 2004-R1, Class A1, 6.50%, 03/25/34 (e)		12,270
	7,829	Series 2004-R3, Class AF, FRN, 4.28%, 02/25/35 (e)		7,836
	3,989	Series 2005-AR1, Class 2A1, FRN, 4.11%, 03/25/35		3,989
		Residential Accredit Loans, Inc.
	48	Series 2002-QS14, Class A8, FRN, 4.38%, 09/25/32		48
	7,396	Series 2004-QS3, Class CB, 5.00%, 03/25/19		7,322
	4,033	Series 2004-QS6, Class A1, 5.00%, 05/25/19		4,003
	4,500	Residential Funding Mortgage Securities I
		Series 2005-SA2, Class 2A2, VAR, 4.98%, 06/25/35		4,475

	Principal Amount		Security Description	Value
		35	Salomon Brothers Mortgage Securities VII
			Series 2000-UP1, Class A2, 8.00%, 08/25/27		36
		155	Securitized Asset Sales, Inc.
			Series 1993-7, Class TA3, 6.25%, 12/25/23		155
			Sequoia Mortgage Trust
		1,793	Series 11, Class A, FRN, 4.25%, 12/20/32		1,801
		2,585	Series 12, Class A, FRN, 4.25%, 01/20/33		2,594
		4,472	Series 2003-3, Class A2, FRN, 4.37%, 07/20/33		4,468
			Structured Asset Mortgage Investments, Inc.
		9,924	Series 2002-AR2, Class A3, FRN, 4.29%, 07/19/32		9,984
		2,704	Series 2004-AR1, Class 1A1, FRN, 4.14%, 03/19/34		2,694
			Structured Asset Securities Corp.
		14	Series 2001-8A, Class 1A1, 8.00%, 05/25/31		14
		7,007	Series 2003-8, Class 2A9, FRN, 4.33%, 04/25/33		7,005
		6,134	Series 2003-40A, Class 4A, VAR, 5.41%, 01/25/34		6,139
		2,187	Series 2004-4XS, Class A, IO, VAR, 5.00%, 01/25/06		27
		8,625	Thornburg Mortgage Securities Trust
			Series 2004-2, Class A4, FRN, 4.17%, 06/25/44		8,617
			Washington Mutual, Inc.
		4,072	Series 2002-AR15, Class A5, VAR, 4.38%, 12/25/32		4,030
		4,973	Series 2003-AR3, Class A5, VAR, 3.93%, 04/25/33		4,879
		5,328	Series 2003-S12, Class 2A, 4.75%, 11/25/18		5,225
		14,696	Series 2004-AR3, Class A1, VAR, 3.92%, 06/25/34		14,265
		6,855	Series 2004-AR11, Class A, VAR, 4.60%, 10/25/34		6,754
		11,375	Series 2004-AR14, Class A1, VAR, 4.27%, 01/25/35		11,177
			Wells Fargo Mortgage Backed Securities Trust
		5,278	Series 2003-F, Class A1, FRN, 4.89%, 06/25/33		5,232
		10,118	Series 2003-K, Class 1A2, FRN, 4.49%, 11/25/33		9,801
		25,900	Series 2003-K, Class 2A2, FRN, 4.52%, 11/25/33		25,446
		7,086	Series 2004-2, Class A1, 5.00%, 01/25/19		7,011
		9,030	Series 2004-7, Class 2A2, 5.00%, 07/25/19		8,959
		3,006	Series 2004-8, Class A1, 5.00%, 08/25/19		2,962
		8,704	Series 2004-EE, Class 3A1, FRN, 3.99%, 01/25/35		8,508
		3,784	Series 2004-H, Class A2, FRN, 4.53%, 06/25/34		3,635
		10,000	Series 2004-S, Class A4, FRN, 3.54%, 09/25/34		9,820
		288	Westpac Securitisation Trust (Australia)
			Series 1999-1G, Class A, FRN, 4.01%, 05/19/30		288
					618,311
			Total Collateralized Mortgage Obligations
			(Cost $1,012,763)		1,005,233
Corporate Bonds — 1.8%
Airlines — 0.3%
		4,160	American Airlines, Inc.
			Series 2002-1, FRN, 4.58%, 03/23/09		4,173
		694	Delta Air Lines, Inc.
			4.40%, 01/25/08 (d)		694
		495	United AirLines, Inc.
			Series 2000-1, 7.78%, 07/01/15 (d)		472
					5,339

	Principal Amount		Security Description	Value
Capital Markets — 0.6%
		6,355	Lehman Brothers Holdings, Inc.
			Series 1, FRN, 4.33%, 02/17/15		6,241
		5,000	Merrill Lynch & Co., Inc.
			VAR, 6.25%, 10/01/14		4,926
		1,150	Morgan Stanley
			5.80%, 04/01/07		1,169
					12,336
Commercial Banks — 0.5%
		3,000	Banponce Corp.
			6.75%, 12/15/05		3,013
			Popular North America, Inc.
		4,000	4.25%, 04/01/08		3,948
		1,250	Series E, 6.13%, 10/15/06		1,263
		1,195	UnionBanCal Corp.
			5.75%, 12/01/06		1,207
					9,431
Consumer Finance — 0.4%
		1,000	HSBC Finance Corp.
			7.88%, 03/01/07		1,044
		350	SLM Corp.
			FRN, 4.65%, 01/31/14		348
		5,335	Standard Credit Card Master Trust
			Series A, 7.25%, 04/07/08 (m)		5,413
					6,805
Electric Utilities — 0.0% (g)
		400	DTE Energy Co.
			7.05%, 06/01/11		436
		400	Exelon Generation Co., LLC
			6.95%, 06/15/11		436
					872
Insurance — 0.0% (g)
		400	MGIC Investment Corp.
			6.00%, 03/15/07		407
			Total Corporate Bonds
			(Cost $35,355)		35,190
U.S. Government Agency Mortgages — 16.9%
			Federal Home Loan Mortgage Corp. Conventional Pools
		27	ARM, 3.47%, 12/01/21		27
		135	ARM, 3.63%, 03/01/18		136
		214	ARM, 3.74%, 08/01/18		214
		70	ARM, 3.76%, 07/01/30		70
		59	ARM, 3.93%, 02/01/19		59
		201	ARM, 3.98%, 01/01/21		202
		67	ARM, 4.12%, 06/01/18		67
		1,095	ARM, 4.25%, 12/01/26		1,127
		187	ARM, 4.27%, 11/01/18		190
		12	ARM, 4.35%, 01/01/20		12
		2,621	ARM, 4.46%, 06/01/30		2,657

Principal Amount		Security Description	Value
	535	ARM, 4.49%, 10/01/29		548
	518	ARM, 4.53%, 02/01/23		529
	230	ARM, 4.54%, 08/01/19		233
	639	ARM, 4.66%, 07/01/19		651
	195	ARM, 4.73%, 06/01/22		199
	1028	ARM, 4.78%, 05/01/18-01/01/27 (m)		1051
	389	ARM, 4.95%, 04/01/30		399
	503	ARM, 4.81%, 01/01/30		511
	993	ARM, 4.91%, 12/01/26		1,016
	6,718	ARM, 4.94%, 04/01/32		6,880
	97	ARM, 4.97%, 12/01/29		99
	1,237	ARM, 4.99%, 12/01/27 (m)		1,263
	508	ARM, 5.01%, 07/01/28		521
	2,758	ARM, 5.03%, 01/01/23		2,825
	2,103	ARM, 5.03%, 07/01/30 (m)		2,158
	240	ARM, 5.07%, 04/01/24		245
	2,791	ARM, 5.08%, 01/01/23 (m)		2,852
	765	ARM, 5.15%, 08/01/27		786
	1	ARM, 5.16%, 02/01/19		1
	227	ARM, 5.43%, 06/01/25-11/01/27		232
	30	ARM, 5.65%, 11/01/28		31
		Federal Home Loan Mortgage Corp. Gold Pools
	8,229	5.00%, 09/01/12		8,237
	8,714	5.50%, 09/01/12-10/01/12		8,860
	2310	6.00%, 11/01/08- 04/01/17(m)		2366
	10,299	6.50%, 09/01/10-04/01/32 (m)		10,627
	1388	7.00%, 04/01/09-08/01/11 (m)		1436
	482	7.50%, 08/01/09-05/01/28		502
	1,021	8.00%, 12/01/09-06/01/17		1,081
	218	8.50%, 07/01/28		238
	119	9.00%, 02/01/25		131
		Federal National Mortgage Association Pools
	62,700	4.50%, 01/01/13-03/01/19		61,908
	24,062	5.00%, 11/01/12-11/01/13		24,157
	55,936	5.50%, 01/01/12-11/01/34		56,176
	4	5.75%, 09/01/06		4
	18,718	6.00%, 07/01/09-08/01/34 (m)		19,165
	936	6.50%, 09/01/08-08/01/16		964
	518	6.50%, 11/01/31 (m)		534
	8,268	7.00%, 01/01/08-03/01/27 (m)		8,643
	240	7.25%, 09/01/22		254
	841	7.50%, 08/01/10-10/01/30		881
	1,729	8.00%, 02/01/16-11/01/27		1,847
	527	8.50%, 11/01/14-10/01/24		562
	242	9.00%, 08/01/21-08/01/25		263
	115	12.00%, 11/01/30		132
	107	ARM, 3.25%, 09/01/17		108
	23	ARM, 3.35%, 07/01/27		23
	101	ARM, 3.51%, 06/01/20		103
	153	ARM, 3.57%, 06/01/29		153

Principal Amount		Security Description	Value
	116	ARM, 3.60%, 10/01/16		117
	80	ARM, 3.62%, 06/01/17		80
	262	ARM, 3.73%, 09/01/14		263
	408	ARM, 3.76%, 04/01/19-03/01/33		411
	1,052	ARM, 3.88%, 09/01/26-08/01/31		1,057
	218	ARM, 3.89%, 08/01/19		219
	40	ARM, 3.92%, 07/01/17-11/01/17		40
	123	ARM, 3.93%, 07/01/19		123
	113	ARM, 3.95%, 11/01/16		114
	600	ARM, 3.99%, 11/01/18		602
	324	ARM, 4.01%, 07/01/17		327
	237	ARM, 4.03%, 03/01/18		239
	2,099	ARM, 4.09%, 08/01/18-09/01/19		2,094
	40	ARM, 4.10%, 11/01/29		41
	521	ARM, 4.12%, 06/01/15-01/01/29		526
	631	ARM, 4.13%, 08/01/19		633
	1,516	ARM, 4.23%, 11/01/18		1,541
	15,145	ARM, 4.24%, 04/01/33		15,062
	29	ARM, 4.25%, 03/01/17		29
	332	ARM, 4.29%, 10/01/14		332
	219	ARM, 4.30%, 03/01/23-04/01/24		223
	44	ARM, 4.34%, 12/01/26		46
	319	ARM, 4.38%, 04/01/21		323
	363	ARM, 4.43%, 12/01/20-07/01/25		368
	85	ARM, 4.55%, 01/01/28		86
	65	ARM, 4.64%, 06/01/18		67
	88	ARM, 4.71%, 11/01/21		90
	465	ARM, 4.74%, 07/01/27		471
	7,245	ARM, 4.77%, 01/01/25-05/01/35		7,413
	513	ARM, 4.80%, 01/01/31 (m)		523
	795	ARM, 4.81%, 12/01/28		809
	19	ARM, 4.83%, 02/01/31		20
	287	ARM, 4.84%, 05/01/18		293
	9,771	ARM, 4.88%, 06/01/09-05/01/33		10,098
	549	ARM, 4.90%, 11/01/30		568
	809	ARM, 4.91%, 07/01/20 (m)		819
	95	ARM, 4.94%, 05/01/29		97
	373	ARM, 4.97%, 11/01/23-11/01/28		383
	1,115	ARM, 5.00%, 03/01/15		1,122
	1,855	ARM, 5.01%, 05/01/09-02/01/34		1,836
	180	ARM, 5.04%, 04/01/30		185
	544	ARM, 5.08%, 03/01/29		561
	283	ARM, 5.15%, 06/01/26		290
	163	ARM, 5.17%, 05/01/20		166
	282	ARM, 5.23%, 04/01/19		278
	234	ARM, 5.32%, 03/01/38		239
	48	ARM, 5.33%, 01/01/16		47
	303	ARM, 5.47%, 07/01/30		309
	89	ARM, 5.54%, 07/01/30		91
	1,558	ARM, 5.56%, 08/01/26		1,602

	Principal Amount		Security Description	Value
		4,144	ARM, 5.72%, 08/01/15 (m)		4,191
		73	ARM, 5.91%, 05/01/31		75
		313	ARM, 6.00%, 01/01/20		316
		661	ARM, 6.18%, 05/01/31		656
		61	ARM, 7.77%, 05/01/30		62
			Government National Mortgage Association Various Pools
		280	7.00%, 06/15/24		296
		376	7.25%, 08/20/22-03/20/23		397
		481	7.40%, 10/20/21-03/20/22		510
		77	7.50%, 10/20/23		82
		270	7.85%, 12/20/20-12/20/21		286
		455	8.00%, 07/20/25-10/15/27		486
		123	9.00%, 11/15/24		134
		1,093	9.50%, 07/15/25		1,209
		6,476	ARM, 3.75%, 07/20/17-09/20/27		6,559
		33	ARM, 4.00%, 08/20/19		33
		4,835	ARM, 4.12%, 10/20/16-12/20/27		4,917
		630	ARM, 4.25%, 08/20/18-03/20/28		640
		10,582	ARM, 4.38%, 01/20/16-05/20/28		10,670
		296	ARM, 4.50%, 02/20/18-04/20/32		299
		170	ARM, 4.62%, 01/20/16-03/20/18		171
		16	ARM, 5.00%, 07/20/15		16
			Total U.S. Government Agency Mortgages
			(Cost $324,719)		322,424
U.S. Government Agency Security — 0.3%
		5,000	Federal National Mortgage Association
			FRN, 3.67%, 02/17/09		4,981
			(Cost $5,000)
			Total Long Term Investments
			(Cost $1,758,293)		1,749,531
		Shares
Short-Term Investment — 7.6%
Investment Company — 7.6%
		144,539	JPMorgan Liquid Assets Money Market Fund (b)
			3.65%, 12/31/49		144,539
			(Cost $144,539)
Total Investments — 99.4%
			(Cost $1,902,832)	$	1,894,070
Other Assets in Excess of Liabilities — 0.6%					11,231
Net Assets — 100.0%				$	1,905,301

Percentages indicated are based on net assets.
Abbreviations:

(b)	Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors, Inc.
(d)	Defaulted Security.
(e)	All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees.
(g)	Amount rounds to less than 0.1%.
(i)	Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

ARM	Adjustable Rate Mortgage
CMO	Collateralized Mortgage Obligation
FRN	Floating Rate Note. The rate shown is the rate in effect as of September 30, 2005.
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 IO’s 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 REMIC 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.
IO	Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities are generally higher than prevailing market yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. 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.
STRIPS	Separate Trading of Registered Interest and Principal Securities.
SUB	Step-Up Bond. The rate shown is the rate in effect as of September 30, 2005.
VAR	Variable. The interest rate shown is the rate in effect at September 30, 2005.

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	7,421
Aggregate gross unrealized depreciation		(16,183	)
Net unrealized appreciation/depreciation	$	(8,762	)
Federal income tax cost of investments	$	1,902,832

JPMorgan Intrepid Mid Cap Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares		Security Description	Value
Long-Term Investments — 97.7%
Common Stocks — 97.7%
Aerospace & Defense — 2.0%
		77	L-3 Communications Holdings, Inc.	$	6,120
		74	Lockheed Martin Corp.		4,535
		132	Precision Castparts Corp.		6,991
					17,646
Auto Components — 0.6%
		361	Goodyear Tire & Rubber Co. (The) (a)		5,633
Biotechnology — 0.6%
		72	Invitrogen Corp. (a)		5,403
Building Products — 0.7%
		89	USG Corp. (a)		6,085
Capital Markets — 2.5%
		126	A.G. Edwards, Inc.		5,518
		74	Affiliated Managers Group, Inc. (a)		5,352
		130	American Capital Strategies Ltd.		4,766
		398	E*Trade Financial Corp. (a)		7,005
					22,641
Chemicals — 1.1%
		100	Eastman Chemical Co.		4,673
		96	FMC Corp. (a)		5,515
					10,188
Commercial Banks — 0.6%
		245	Colonial BancGroup, Inc. (The)		5,481
Commercial Services & Supplies — 2.3%
		130	Equifax, Inc.		4,547
		258	H&R Block, Inc.		6,187
		136	R.R. Donnelley & Sons Co.		5,042
		136	West Corp. (a)		5,070
					20,846
Communications Equipment — 0.7%
		158	Harris Corp.		6,623
Computers & Peripherals — 1.6%
		96	Apple Computer, Inc. (a)		5,141
		114	NCR Corp. (a)		3,647
		411	Western Digital Corp. (a)		5,308
					14,096
Construction Materials — 0.5%
		40	Eagle Materials, Inc.		4,879
Consumer Finance — 1.3%
		233	AmeriCredit Corp. (a)		5,567
		348	Providian Financial Corp. (a)		6,150
					11,717
Diversified Financial Services — 2.5%
		130	CB Richard Ellis Services, Inc., Class A (a)		6,396
		156	CIT Group, Inc.		7,062
		184	Principal Financial Group		8,702
					22,160

	Shares		Security Description	Value
Diversified Telecommunication Services — 1.3%
		272	AT&T Corp.		5,391
		188	CenturyTel, Inc.		6,587
					11,978
Electric Utilities — 2.8%
		419	CenterPoint Energy, Inc.		6,231
		100	Exelon Corp.		5,349
		91	PPL Corp.		2,936
		46	TXU Corp.		5,161
		89	WPS Resources Corp.		5,130
					24,807
Electronic Equipment & Instruments — 1.9%
		117	Amphenol Corp., Class A		4,706
		198	Arrow Electronics, Inc. (a)		6,216
		241	Avnet, Inc. (a)		5,883
					16,805
Energy Equipment & Services — 0.7%
		187	Patterson-UTI Energy, Inc.		6,747
Food & Staples Retailing — 0.7%
		200	Suervalu, Inc.		6,232
Food Products — 1.5%
		349	Archer-Daniels-Midland Co.		8,604
		142	Pilgrim's Pride Corp., Class B		5,180
					13,784
Gas Utilities — 0.8%
		48	AGL Resources, Inc.		1,770
		210	UGI Corp.		5,923
					7,693
Health Care Providers & Services — 7.6%
		63	Aetna, Inc.		5,433
		78	Cigna Corp.		9,164
		84	Coventry Health Care, Inc. (a)		7,244
		84	HCA, Inc.		4,012
		137	Humana, Inc. (a)		6,569
		127	LifePoint Hospitals, Inc. (a)		5,554
		77	Lincare Holdings, Inc. (a)		3,157
		115	Omnicare, Inc.		6,449
		78	Sierra Health Services, Inc. (a)		5,358
		95	UnitedHealth Group, Inc.		5,342
		69	WellChoice, Inc. (a)		5,220
		69	WellPoint, Inc. (a)		5,197
					68,699
Hotels, Restaurants & Leisure — 2.6%
		193	Darden Restaurants, Inc.		5,873
		183	GTECH Holdings Corp.		5,873
		148	MGM Mirage (a)		6,465
		168	Penn National Gaming, Inc. (a)		5,218
					23,429

	Shares		Security Description	Value
Household Durables — 5.6%
		77	Black & Decker Corp.		6,354
		163	D.R. Horton, Inc.		5,912
		78	KB Home		5,697
		112	Lennar Corp., Class A		6,675
		36	Meritage Homes Corp. (a)		2,748
		8	NVR, Inc. (a)		6,637
		79	Ryland Group, Inc.		5,371
		134	Standard-Pacific Corp.		5,571
		122	Toll Brothers, Inc. (a)		5,441
					50,406
Household Products — 0.7%
		108	Energizer Holdings, Inc. (a)		6,151
Industrial Conglomerates — 0.7%
		85	Teleflex, Inc.		5,980
Insurance — 4.4%
		103	AmerUs Group Co.		5,921
		169	Assurant, Inc.		6,437
		135	First American Corp.		6,156
		214	HCC Insurance Holdings, Inc.		6,097
		55	Loews Corp.		5,110
		47	Philadelphia Consolidated Holding Co. (a)		3,965
		162	W.R. Berkley Corp.		6,408
					40,094
Internet Software & Services — 1.3%
		501	EarthLink, Inc. (a)		5,364
		213	McAfee, Inc. (a)		6,697
					12,061
IT Services — 0.7%
		129	Computer Sciences Corp. (a)		6,108
Machinery — 2.6%
		72	Cummins, Inc.		6,341
		98	Joy Global, Inc.		4,950
		140	Oshkosh Truck Corp.		6,051
		115	Terex Corp. (a)		5,702
					23,044
Media — 1.9%
		138	John Wiley & Sons, Inc., Class A		5,777
		89	R.H. Donnelley Corp. (a)		5,643
		230	Telewest Global, Inc. (a)		5,287
					16,707
Metals & Mining — 1.8%
		129	Nucor Corp.		7,604
		63	Phelps Dodge Corp.		8,231
					15,835
Multi-Utilities — 4.7%
		428	AES Corp. (The) (a)		7,036
		386	CMS Energy Corp. (a)		6,342
		132	Constellation Energy Group, Inc.		8,119
		139	Energen Corp.		6,002

	Shares		Security Description	Value
		184	Oneok, Inc.		6,256
		174	Sempra Energy		8,193
					41,948
Multiline Retail — 1.9%
		135	Federated Department Stores, Inc.		9,009
		108	Nordstrom, Inc.		3,700
		33	Sears Holdings Corp. (a)		4,056
					16,765
Oil, Gas & Consumable Fuels — 8.7%
		58	Amerada Hess Corp.		7,906
		63	Burlington Resources, Inc.		5,144
		112	Forest Oil Corp. (a)		5,856
		122	Frontier Oil Corp.		5,402
		80	Kerr-McGee Corp.		7,766
		72	Marathon Oil Corp.		4,982
		137	Newfield Exploration Co. (a)		6,746
		99	Noble Energy, Inc.		4,624
		60	Occidental Petroleum Corp.		5,109
		97	Overseas Shipholding Group, Inc.		5,641
		96	Sunoco, Inc.		7,513
		93	Tesoro Corp.		6,221
		45	Valero Energy Corp.		5,048
					77,958
Pharmaceuticals — 2.6%
		122	Barr Pharmaceuticals, Inc. (a)		6,678
		202	Endo Pharmaceuticals Holdings, Inc. (a)		5,390
		405	King Pharmaceuticals, Inc. (a)		6,224
		76	Kos Pharmaceuticals, Inc. (a)		5,060
					23,352
Real Estate — 5.4%
		135	AMB Property Corp., REIT		6,079
		134	CBL & Associates Properties, Inc., REIT		5,487
		161	General Growth Properties, Inc., REIT		7,252
		87	Macerich Co. (The), REIT		5,645
		66	Simon Property Group, Inc., REIT		4,883
		245	Trizec Properties, Inc., REIT		5,640
		184	Ventas, Inc., REIT		5,909
		88	Vornado Realty Trust, REIT		7,609
					48,504
Road & Rail — 2.8%
		89	Burlington Northern Santa Fe Corp.		5,297
		153	CSX Corp.		7,126
		219	Norfolk Southern Corp.		8,863
		103	Yellow Roadway Corp. (a)		4,283
					25,569
Semiconductors & Semiconductor Equipment — 4.5%
		319	Freescale Semiconductor, Inc., Class B (a)		7,511
		205	Lam Research Corp. (a)		6,247
		650	LSI Logic Corp. (a)		6,400
		268	MEMC Electronic Materials, Inc. (a)		6,108

	Shares		Security Description	Value
		299	National Semiconductor Corp.		7,874
		197	Nvidia Corp. (a)		6,756
					40,896
Software — 2.6%
		310	BMC Software, Inc. (a)		6,550
		642	Compuware Corp. (a)		6,097
		718	Parametric Technology Corp. (a)		5,007
		244	Sybase, Inc. (a)		5,724
					23,378
Specialty Retail — 3.4%
		96	Abercrombie & Fitch Co.		4,776
		249	American Eagle Outfitters, Inc.		5,861
		49	AutoZone, Inc. (a)		4,054
		140	Barnes & Noble, Inc.		5,264
		148	Michaels Stores, Inc.		4,891
		125	Sherwin-Williams Co. (The)		5,501
					30,347
Textiles, Apparel & Luxury Goods — 0.6%
		97	V.F. Corp.		5,636
Thrifts & Mortgage Finance — 3.2%
		87	Downey Financial Corp.		5,317
		83	Golden West Financial Corp.		4,941
		87	MGIC Investment Corp.		5,558
		156	PMI Group, Inc. (The)		6,220
		121	Radian Group, Inc.		6,446
					28,482
Tobacco — 0.7%
		150	Loews Corp. - Carolina Group		5,952
			Total Long-Term Investments
			(Cost $748,561)		878,745
Short-Term Investment — 1.4%
Investment Company — 1.4%
		12,917	JPMorgan Liquid Assets Money Market Fund (b) (m)
			(Cost $12,917)		12,917

	Principal
	Amount		Security Description	Value
Investments of Cash Collateral for Securities Loaned — 17.2%
Certificates of Deposit — 0.6%
	$	2,500	Deutsche Bank N.Y. 4.10%, 10/03/05		2,500
		1,173	Natexis Banques Populaires 4.12%, 10/03/05		1,173
		1,955	World Savings Bank FSB 3.87%, 12/15/05		1,955
					5,628
Corporate Notes — 2.7%
		2,500	CC USA, Inc. 4.10%, 10/03/05		2,500
		782	Citigroup Global Markets Holdings, Inc. 3.94%, 12/12/05		782
		1,173	General Electric Co. 3.70%, 10/24/05		1,173
		2,737	Greenwich Capital Holdings, Inc. 4.25%, 10/11/05		2,737
		1,173	HBOS Treasury Services plc 3.71%, 10/03/05		1,173
		1,250	K2 (USA) LLC 3.99%, 10/03/05		1,250
		782	Lehman Brothers Holdings 4.02%, 10/03/05		782
		1,564	Lehman Brothers Holdings 4.14%, 10/03/05		1,564
		587	MBIA Global Funding LLC 3.93%, 10/26/05		587
		5,500	Morgan Stanley 4.12%, 10/03/05		5,500
		782	Sigma Finance, Inc. 4.10%, 10/03/05		782
		5,000	Wachovia Bank N.A. 3.80%, 10/03/05		5,000
					23,830
Repurchase Agreements — 13.9%
		30,000	Banc of America Securities LLC, 3.77%, dated 09/30/05, due
			11/01/05, repurchase price $30,101, collateralized by U.S.
			Government Agency Securities		30,000
		25,000	HSBC Securities, Inc., 3.88%, dated 09/30/05, due
			10/03/05, repurchase price $25,008, collateralized by U.S.
			Government Agency Securities		25,000
		25,000	Lehman Brothers, Inc., 3.88%, dated 09/30/05, due
			10/03/05, repurchase price $25,008, collateralized by U.S.
			Government Agency Securities of		25,000
		5,000	Lehman Brothers, Inc., 4.06%, dated 09/30/05, due
			10/03/05, repurchase price $5,002, collateralized by
			common stocks		5,000
		14,760	Merrill Lynch Securities, 3.88%, dated 09/30/05, due
			10/03/05, repurchase price $14,765, collateralized by U.S.
			Government Agency Securities		14,760
		25,000	Morgan Stanley, 3.96%, dated 09/30/05, due 10/03/05,
			repurchase price $25,008, collateralized by U.S.
			Government Agency Mortgages		25,000
					124,760
			Total Investments of Cash Collateral for Securities on Loan
			(Cost $154,218)		154,218
Total Investments — 116.3%
(Cost $915,696)				$	1,045,880
Liabilities in Excess of Other Assets — (16.3)%					(146,286	)
Net Assets — 100.0%				$	899,594

Percentages indicated are based on net assets.
Abbreviations:

(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 JPMorgan Investment Advisors Inc.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA’s, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

REIT Real Estate Investment Trust

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	139,664
Aggregate gross unrealized depreciation		(9,480	)
Net unrealized appreciation/depreciation	$	130,184
Federal income tax cost of investments	$	915,696

JPMorgan Equity Index Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares		Security Description	Value
Long-Term Investments — 99.7%
Common Stocks — 99.7%
Aerospace & Defense — 2.2%
		138	Boeing Co.	$	9,386
		34	General Dynamics Corp.		4,045
		20	Goodrich Corp.		907
		144	Honeywell International, Inc.		5,398
		20	L-3 Communications Holdings, Inc.		1,580
		61	Lockheed Martin Corp.		3,739
		60	Northrop Grumman Corp.		3,267
		76	Raytheon Co.		2,888
		30	Rockwell Collins, Inc.		1,437
		172	United Technologies Corp.		8,942
					41,589
Air Freight & Logistics — 0.9%
		51	FedEx Corp.		4,441
		11	Ryder System, Inc.		370
		186	United Parcel Service, Inc., Class B		12,885
					17,696
Airlines — 0.1%
		117	Southwest Airlines Co.		1,732
Auto Components — 0.2%
		10	Cooper Tire & Rubber Co.		157
		25	Dana Corp.		238
		95	Delphi Corp.		261
		30	Goodyear Tire & Rubber Co. (The) (a)		462
		32	Johnson Controls, Inc.		2,011
		22	Visteon Corp.		212
					3,341
Automobiles — 0.4%
		312	Ford Motor Co.		3,076
		95	General Motors Corp.		2,914
		46	Harley-Davidson, Inc.		2,237
					8,227
Beverages — 2.2%
		131	Anheuser-Busch Cos., Inc.		5,628
		14	Brown-Forman Corp., Class B		832
		350	Coca-Cola Co. (The)		15,095
		51	Coca-Cola Enterprises, Inc.		989
		33	Constellation Brands, Inc., Class A (a)		858
		10	Molson Coors Brewing Co., Class B		616
		23	Pepsi Bottling Group, Inc.		667
		281	PepsiCo, Inc.		15,940
					40,625
Biotechnology — 1.5%
		208	Amgen, Inc. (a)		16,546
		33	Applera Corp.- Applied Biosystems Group		764
		57	Biogen Idec, Inc. (a)		2,249
		18	Chiron Corp. (a)		800
		43	Genzyme Corp. (a)		3,095

	Shares		Security Description	Value
		77	Gilead Sciences, Inc. (a)		3,742
		41	MedImmune, Inc. (a)		1,395
					28,591
Building Products — 0.2%
		31	American Standard Cos., Inc.		1,437
		72	Masco Corp.		2,223
					3,660
Capital Markets — 2.9%
		131	Bank of New York Co., Inc. (The)		3,854
		19	Bear Stearns Cos., Inc. (The)		2,078
		175	Charles Schwab Corp. (The)		2,524
		62	E*Trade Financial Corp. (a)		1,098
		14	Federated Investors, Inc., Class B		474
		25	Franklin Resources, Inc.		2,098
		78	Goldman Sachs Group, Inc.		9,516
		38	Janus Capital Group, Inc.		542
		46	Lehman Brothers Holdings, Inc.		5,336
		70	Mellon Financial Corp.		2,250
		156	Merrill Lynch & Co., Inc.		9,566
		183	Morgan Stanley		9,862
		31	Northern Trust Corp.		1,579
		56	State Street Corp.		2,725
		22	T. Rowe Price Group, Inc.		1,426
					54,928
Chemicals — 1.5%
		37	Air Products & Chemicals, Inc.		2,058
		12	Ashland, Inc.		690
		162	Dow Chemical Co. (The)		6,766
		14	Eastman Chemical Co.		644
		31	Ecolab, Inc.		990
		167	El Du Pont de Nemours & Co.		6,559
		20	Engelhard Corp.		564
		19	Hercules, Inc. (a)		232
		14	International Flavors & Fragrances, Inc.		490
		45	Monsanto Co.		2,837
		29	PPG Industries, Inc.		1,693
		54	Praxair, Inc.		2,608
		24	Rohm & Haas Co.		1,006
		11	Sigma-Aldrich Corp.		728
					27,865
Commercial Banks — 5.4%
		59	AmSouth Bancorp		1,490
		676	Bank of America Corp.		28,473
		92	BB&T Corp.		3,599
		28	Comerica, Inc.		1,658
		21	Compass Bancshares, Inc.		959
		94	Fifth Third Bancorp		3,438
		21	First Horizon National Corp.		766
		39	Huntington Bancshares, Inc.		873
		69	Keycorp		2,222
		14	M&T Bank Corp.		1,438
		35	Marshall & Ilsley Corp.		1,517
		96	National City Corp.		3,201

	Shares		Security Description	Value
		81	North Fork Bancorp, Inc.		2,053
		49	PNC Financial Services Group, Inc.		2,840
		78	Regions Financial Corp.		2,412
		61	SunTrust Banks, Inc.		4,238
		52	Synovus Financial Corp.		1,455
		308	U.S. Bancorp		8,639
		266	Wachovia Corp.		12,636
		284	Wells Fargo & Co.		16,642
		15	Zions Bancorp		1,080
					101,629
Commercial Services & Supplies — 0.9%
		37	Allied Waste Industries, Inc. (a)		310
		25	Apollo Group, Inc., Class A (a)		1,634
		19	Avery Dennison Corp.		974
		176	Cendant Corp.		3,635
		23	Cintas Corp.		954
		22	Equifax, Inc.		766
		55	H&R Block, Inc.		1,311
		21	Monster Worldwide, Inc. (a)		630
		39	Pitney Bowes, Inc.		1,608
		36	R.R. Donnelley & Sons Co.		1,340
		29	Robert Half International, Inc.		1,014
		95	Waste Management, Inc.		2,707
					16,883
Communications Equipment — 2.8%
		20	ADC Telecommunications, Inc. (a) (m)		448
		27	Andrew Corp. (a)		305
		71	Avaya, Inc. (a)		735
		97	CIENA Corp. (a)		257
		1,076	Cisco Systems, Inc. (a)		19,288
		34	Comverse Technology, Inc. (a)		890
		248	Corning, Inc. (a)		4,790
		277	JDS Uniphase Corp. (a)		616
		748	Lucent Technologies, Inc. (a)		2,432
		416	Motorola, Inc.		9,181
		274	QUALCOMM, Inc.		12,281
		26	Scientific-Atlanta, Inc.		967
		75	Tellabs, Inc. (a)		792
					52,982
Computers & Peripherals — 3.7%
		140	Apple Computer, Inc. (a)		7,488
		404	Dell, Inc. (a)		13,802
		406	EMC Corp. (a)		5,251
		44	Gateway, Inc. (a)		120
		482	Hewlett-Packard Co.		14,082
		269	International Business Machines Corp.		21,548
		20	Lexmark International, Inc., Class A (a)		1,220
		31	NCR Corp. (a)		998
		62	Network Appliance, Inc. (a)		1,470
		15	QLogic Corp. (a)		522

	Shares		Security Description	Value
		574	Sun Microsystems, Inc. (a)		2,250
					68,751
Construction & Engineering — 0.1%
		15	Fluor Corp.		940
Construction Materials — 0.1%
		17	Vulcan Materials Co.		1,278
Consumer Finance — 1.4%
		209	American Express Co.		11,998
		49	Capital One Financial Corp.		3,864
		212	MBNA Corp.		5,217
		50	Providian Financial Corp. (a)		877
		70	SLM Corp.		3,770
					25,726
Containers & Packaging — 0.2%
		18	Ball Corp.		675
		18	Bemis Co.		444
		25	Pactiv Corp. (a)		442
		14	Sealed Air Corp. (a)		662
		19	Temple-Inland, Inc.		777
					3,000
Distributors — 0.1%
		29	Genuine Parts Co.		1,257
Diversified Financial Services — 3.5%
		34	CIT Group, Inc.		1,534
		870	Citigroup, Inc.		39,615
		591	JPMorgan Chase & Co. (q)		20,063
		43	Moody's Corp.		2,173
		47	Principal Financial Group		2,230
					65,615
Diversified Telecommunication Services — 3.1%
		64	Alltel Corp.		4,184
		135	AT&T Corp.		2,673
		308	BellSouth Corp.		8,112
		22	CenturyTel, Inc.		765
		58	Citizens Communications Co.		783
		257	Qwest Communications International, Inc. (a)		1,052
		556	SBC Communications, Inc.		13,331
		494	Sprint Corp.		11,740
		465	Verizon Communications, Inc.		15,216
					57,856
Electric Utilities — 2.5%
		27	Allegheny Energy, Inc. (a)		842
		34	Ameren Corp.		1,835
		66	American Electric Power Co., Inc.		2,627
		52	CenterPoint Energy, Inc.		775
		33	Cinergy Corp.		1,487
		41	Consolidated Edison, Inc.		1,997
		30	DTE Energy Co.		1,373
		55	Edison International		2,593
		35	Entergy Corp.		2,597

	Shares		Security Description	Value
		113	Exelon Corp.		6,032
		56	FirstEnergy Corp.		2,894
		66	FPL Group, Inc.		3,157
		63	PG&E Corp.		2,465
		17	Pinnacle West Capital Corp.		733
		64	PPL Corp.		2,065
		42	Progress Energy, Inc.		1,892
		126	Southern Co. (The)		4,495
		35	TECO Energy, Inc.		630
		40	TXU Corp.		4,561
		68	Xcel Energy, Inc.		1,329
					46,379
Electrical Equipment — 0.5%
		29	American Power Conversion Corp.		745
		16	Cooper Industries Ltd. (Bermuda), Class A		1,078
		70	Emerson Electric Co.		4,993
		31	Rockwell Automation, Inc.		1,617
					8,433
Electronic Equipment & Instruments — 0.3%
		83	Agilent Technologies, Inc. (a)		2,724
		29	Jabil Circuit, Inc. (a)		895
		24	Molex, Inc.		651
		88	Sanmina-SCI Corp. (a)		380
		164	Solectron Corp. (a)		640
		45	Symbol Technologies, Inc.		435
		14	Tektronix, Inc.		359
					6,084
Energy Equipment & Services — 1.6%
		57	Baker Hughes, Inc.		3,422
		54	BJ Services Co.		1,953
		86	Halliburton Co.		5,863
		27	Nabors Industries Ltd. (Bermuda) (a)		1,904
		29	National Oilwell Varco, Inc. (a)		1,920
		23	Noble Corp. (Cayman Islands)		1,575
		18	Rowan Cos., Inc.		651
		99	Schlumberger Ltd. (Netherlands)		8,356
		55	Transocean, Inc. (a)		3,393
		23	Weatherford International Ltd. (a)		1,600
					30,637
Food & Staples Retailing — 2.3%
		62	Albertson's, Inc.		1,590
		81	Costco Wholesale Corp.		3,476
		137	CVS Corp.		3,969
		122	Kroger Co. (The) (a)		2,509
		76	Safeway, Inc.		1,933
		23	SUPERVALU, Inc.		712
		107	Sysco Corp.		3,343
		420	Wal-Mart Stores, Inc.		18,423
		172	Walgreen Co.		7,478
					43,433

	Shares		Security Description	Value
Food Products — 1.1%
		110	Archer-Daniels-Midland Co.		2,700
		31	Campbell Soup Co.		926
		87	ConAgra Foods, Inc.		2,158
		62	General Mills, Inc.		2,970
		31	Hershey Foods Corp.		1,740
		57	HJ Heinz Co.		2,096
		43	Kellogg Co.		1,989
		23	McCormick & Co., Inc.		735
		132	Sara Lee Corp.		2,503
		42	Tyson Foods, Inc., Class A		764
		30	Wm. Wrigley Jr. Co.		2,175
					20,756
Gas Utilities — 0.2%
		29	KeySpan Corp.		1,079
		7	Nicor, Inc.		312
		46	NiSource, Inc.		1,112
		6	Peoples Energy Corp.		253
					2,756
Health Care Equipment & Supplies — 2.1%
		9	Bausch & Lomb, Inc.		730
		105	Baxter International, Inc.		4,178
		42	Becton, Dickinson & Co.		2,206
		42	Biomet, Inc.		1,458
		99	Boston Scientific Corp. (a)		2,323
		18	C.R. Bard, Inc.		1,170
		21	Fisher Scientific International, Inc. (a)		1,273
		56	Guidant Corp.		3,827
		27	Hospira, Inc. (a)		1,103
		204	Medtronic, Inc.		10,931
		9	Millipore Corp. (a)		546
		22	PerkinElmer, Inc.		447
		61	St. Jude Medical, Inc. (a)		2,872
		49	Stryker Corp.		2,417
		27	Thermo Electron Corp. (a)		841
		19	Waters Corp. (a)		805
		42	Zimmer Holdings, Inc. (a)		2,868
					39,995
Health Care Providers & Services — 3.0%
		49	Aetna, Inc.		4,204
		17	AmerisourceBergen Corp.		1,351
		72	Cardinal Health, Inc.		4,558
		76	Caremark Rx, Inc. (a)		3,782
		22	Cigna Corp.		2,551
		18	Coventry Health Care, Inc. (a)		1,555
		25	Express Scripts, Inc. (a)		1,556
		76	HCA, Inc.		3,646
		42	Health Management Associates, Inc., Class A		976
		27	Humana, Inc. (a)		1,309
		38	IMS Health, Inc.		957

	Shares		Security Description	Value
		23	Laboratory Corp. of America Holdings (a)		1,108
		13	Manor Care, Inc.		511
		52	McKesson Corp.		2,463
		51	Medco Health Solutions, Inc. (a)		2,809
		28	Quest Diagnostics, Inc.		1,416
		79	Tenet Healthcare Corp. (a)		886
		213	UnitedHealth Group, Inc.		11,949
		103	WellPoint, Inc. (a)		7,831
					55,418
Hotels, Restaurants & Leisure — 1.4%
		73	Carnival Corp.		3,631
		23	Darden Restaurants, Inc.		687
		31	Harrah’s Entertainment, Inc.		2,015
		55	Hilton Hotels Corp.		1,231
		57	International Game Technology		1,550
		29	Marriott International, Inc., Class A		1,815
		210	McDonald’s Corp.		7,047
		65	Starbucks Corp. (a)		3,240
		37	Starwood Hotels & Resorts Worldwide, Inc.		2,095
		19	Wendy’s International, Inc.		878
		48	Yum! Brands, Inc.		2,326
					26,515
Household Durables — 0.7%
		14	Black & Decker Corp.		1,112
		22	Centex Corp.		1,395
		46	D.R. Horton, Inc.		1,660
		25	Fortune Brands, Inc.		1,998
		13	KB Home		956
		32	Leggett & Platt, Inc.		641
		13	Maytag Corp.		245
		46	Newell Rubbermaid, Inc.		1,050
		36	Pulte Homes, Inc.		1,550
		10	Snap-On, Inc.		352
		12	Stanley Works (The)		570
		11	Whirlpool Corp.		852
					12,381
Household Products — 1.9%
		26	Clorox Co.		1,418
		87	Colgate-Palmolive Co.		4,616
		80	Kimberly-Clark Corp.		4,773
		430	Procter & Gamble Co.		25,554
					36,361
Industrial Conglomerates — 4.3%
		129	3M Co.		9,447
		1,784	General Electric Co.		60,081
		23	Textron, Inc.		1,615
		341	Tyco International Ltd. (Bermuda)		9,488
					80,631

	Shares		Security Description	Value
Insurance — 4.5%
		49	ACE Ltd. (Cayman Islands)		2,285
		84	Aflac, Inc.		3,826
		111	Allstate Corp. (The)		6,112
		18	AMBAC Financial Group, Inc.		1,297
		437	American International Group, Inc.		27,065
		54	AON Corp.		1,720
		33	Chubb Corp.		2,990
		29	Cincinnati Financial Corp.		1,232
		50	Hartford Financial Services Group, Inc.		3,890
		23	Jefferson-Pilot Corp.		1,161
		29	Lincoln National Corp.		1,510
		23	Loews Corp.		2,109
		90	Marsh & McLennan Cos., Inc.		2,738
		23	MBIA, Inc.		1,368
		127	Metlife, Inc.		6,345
		33	Progressive Corp. (The)		3,478
		86	Prudential Financial, Inc.		5,834
		21	Safeco Corp.		1,124
		114	St. Paul Travelers Cos., Inc. (The)		5,102
		18	Torchmark Corp.		928
		50	UnumProvident Corp.		1,028
		24	XL Capital Ltd. (Cayman Islands), Class A		1,608
					84,750
Internet & Catalog Retail — 0.4%
		187	eBay, Inc. (a)		7,699
Internet Software & Services — 0.4%
		211	Yahoo!, Inc. (a)		7,143
IT Services — 1.0%
		21	Affiliated Computer Services, Inc., Class A (a)		1,154
		98	Automatic Data Processing, Inc.		4,203
		31	Computer Sciences Corp. (a)		1,472
		24	Convergys Corp. (a)		339
		87	Electronic Data Systems Corp.		1,960
		130	First Data Corp.		5,195
		32	Fiserv, Inc. (a)		1,452
		56	Paychex, Inc.		2,079
		22	Sabre Holdings Corp., Class A		448
		57	Unisys Corp. (a)		381
					18,683
Leisure Equipment & Products — 0.2%
		16	Brunswick Corp.		618
		48	Eastman Kodak Co.		1,176
		30	Hasbro, Inc.		592
		68	Mattel, Inc.		1,134
					3,520

	Shares		Security Description	Value
Machinery — 1.4%
		114	Caterpillar, Inc.		6,692
		8	Cummins, Inc.		688
		40	Danaher Corp.		2,153
		41	Deere & Co.		2,485
		34	Dover Corp.		1,390
		25	Eaton Corp.		1,577
		35	Illinois Tool Works, Inc.		2,893
		57	Ingersoll-Rand Co., Ltd. (Bermuda), Class A		2,171
		16	ITT Industries, Inc.		1,773
		10	Navistar International Corp. (a)		337
		29	PACCAR, Inc.		1,959
		21	Pall Corp.		576
		20	Parker-Hannifin Corp.		1,296
					25,990
Media — 3.5%
		91	Clear Channel Communications, Inc.		3,004
		370	Comcast Corp., Class A (a)		10,860
		10	Dow Jones & Co., Inc.		378
		41	Gannett Co., Inc.		2,827
		71	Interpublic Group of Cos., Inc. (a)		829
		12	Knight Ridder, Inc.		685
		63	McGraw-Hill Cos., Inc. (The)		3,023
		7	Meredith Corp.		352
		24	New York Times Co., Class A		727
		412	News Corp., Class A		6,428
		31	Omnicom Group, Inc.		2,564
		790	Time Warner, Inc.		14,310
		45	Tribune Co.		1,513
		39	Univision Communications, Inc., Class A (a)		1,028
		267	Viacom, Inc., Class B		8,809
		338	Walt Disney Co.		8,165
					65,502
Metals & Mining — 0.7%
		147	Alcoa, Inc.		3,586
		14	Allegheny Technologies, Inc.		439
		30	Freeport-McMoRan Copper & Gold, Inc., Class B		1,451
		75	Newmont Mining Corp.		3,543
		26	Nucor Corp.		1,551
		16	Phelps Dodge Corp.		2,120
		19	United States Steel Corp.		814
					13,504
Multi-Utilities — 1.0%
		110	AES Corp. (The) (a)		1,806
		96	Calpine Corp. (a)		248
		37	CMS Energy Corp. (a)		607
		30	Constellation Energy Group, Inc.		1,845
		57	Dominion Resources, Inc.		4,941
		156	Duke Energy Corp.		4,549
		48	Dynegy, Inc., Class A (a)		227
		40	Public Service Enterprise Group, Inc.		2,590

	Shares		Security Description	Value
		43	Sempra Energy		2,029
					18,842
Multiline Retail — 1.1%
		19	Big Lots, Inc. (a)		211
		11	Dillards, Inc., Class A		226
		54	Dollar General Corp.		991
		28	Family Dollar Stores, Inc.		552
		45	Federated Department Stores, Inc.		2,984
		42	J.C. Penney Co., Inc.		1,999
		58	Kohl’s Corp. (a)		2,911
		37	Nordstrom, Inc.		1,279
		17	Sears Holdings Corp. (a)		2,141
		149	Target Corp.		7,733
					21,027
Office Electronics — 0.1%
		162	Xerox Corp. (a)		2,205
Oil, Gas & Consumable Fuels — 8.6%
		13	Amerada Hess Corp.		1,849
		40	Anadarko Petroleum Corp.		3,809
		55	Apache Corp.		4,164
		64	Burlington Resources, Inc.		5,216
		379	Chevron Corp.		24,537
		234	ConocoPhillips		16,380
		76	Devon Energy Corp.		5,236
		111	El Paso Corp.		1,543
		40	EOG Resources, Inc.		3,027
		1,061	Exxon Mobil Corp.		67,436
		19	Kerr-McGee Corp.		1,886
		16	Kinder Morgan, Inc.		1,546
		62	Marathon Oil Corp.		4,247
		28	Murphy Oil Corp.		1,378
		67	Occidental Petroleum Corp.		5,749
		23	Sunoco, Inc.		1,798
		51	Valero Energy Corp.		5,816
		96	Williams Cos., Inc.		2,413
		61	XTO Energy, Inc.		2,756
					160,786
Paper & Forest Products — 0.4%
		44	Georgia-Pacific Corp.		1,492
		83	International Paper Co.		2,460
		19	Louisiana-Pacific Corp.		517
		31	MeadWestvaco Corp.		855
		41	Weyerhaeuser Co.		2,835
					8,159
Personal Products — 0.6%
		13	Alberto-Culver Co.		568
		79	Avon Products, Inc.		2,139
		151	Gillette Co. (The)		8,809
					11,516

	Shares		Security Description	Value
Pharmaceuticals — 6.6%
		262	Abbott Laboratories		11,094
		22	Allergan, Inc.		2,017
		329	Bristol-Myers Squibb Co.		7,921
		191	Eli Lilly & Co.		10,214
		57	Forest Laboratories, Inc. (a)		2,230
		501	Johnson & Johnson		31,686
		41	King Pharmaceuticals, Inc. (a)		626
		370	Merck & Co., Inc.		10,056
		37	Mylan Laboratories, Inc.		709
		1,241	Pfizer, Inc.		30,979
		249	Schering-Plough Corp.		5,231
		18	Watson Pharmaceuticals, Inc. (a)		642
		226	Wyeth		10,446
					123,851
Real Estate — 0.8%
		16	Apartment Investment & Management Co. (REIT)		623
		36	Archstone-Smith Trust (REIT)		1,421
		69	Equity Office Properties Trust (REIT)		2,261
		48	Equity Residential (REIT)		1,830
		31	Plum Creek Timber Co., Inc. (REIT)		1,174
		42	Prologis (REIT)		1,842
		14	Public Storage, Inc. (REIT)		932
		31	Simon Property Group, Inc. (REIT)		2,284
		20	Vornado Realty Trust (REIT)		1,719
					14,086
Road & Rail — 0.6%
		63	Burlington Northern Santa Fe Corp.		3,759
		37	CSX Corp.		1,697
		68	Norfolk Southern Corp.		2,762
		44	Union Pacific Corp.		3,184
					11,402
Semiconductors & Semiconductor Equipment — 3.3%
		67	Advanced Micro Devices, Inc. (a)		1,690
		63	Altera Corp. (a)		1,198
		63	Analog Devices, Inc.		2,328
		273	Applied Materials, Inc.		4,632
		51	Applied Micro Circuits Corp. (a)		154
		48	Broadcom Corp., Class A (a)		2,232
		68	Freescale Semiconductor, Inc., Class B (a)		1,608
		1,026	Intel Corp.		25,282
		33	KLA-Tencor Corp.		1,622
		52	Linear Technology Corp.		1,941
		66	LSI Logic Corp. (a)		648
		55	Maxim Integrated Products, Inc.		2,354
		104	Micron Technology, Inc. (a)		1,379
		58	National Semiconductor Corp.		1,520
		23	Novellus Systems, Inc. (a)		585
		28	Nvidia Corp. (a)(c)		973
		31	PMC-Sierra, Inc. (a)		270
		33	Teradyne, Inc. (a)		547

	Shares		Security Description	Value
		273	Texas Instruments, Inc.		9,262
		59	Xilinx, Inc.		1,638
					61,863
Software — 3.6%
		83	Adobe Systems, Inc.		2,470
		38	Autodesk, Inc.		1,785
		37	BMC Software, Inc. (a)		774
		29	Citrix Systems, Inc. (a)		721
		78	Computer Associates International, Inc.		2,169
		65	Compuware Corp. (a)		621
		51	Electronic Arts, Inc. (a)		2,907
		31	Intuit, Inc. (a)		1,367
		15	Mercury Interactive Corp. (a)		577
		1,551	Microsoft Corp.		39,902
		64	Novell, Inc. (a)		479
		635	Oracle Corp. (a)		7,865
		46	Parametric Technology Corp. (a)		320
		88	Siebel Systems, Inc.		908
		202	Symantec Corp. (a)		4,569
					67,434
Specialty Retail — 2.2%
		30	Autonation, Inc. (a)		606
		9	AutoZone, Inc. (a)		779
		50	Bed Bath & Beyond, Inc. (a)		2,000
		68	Best Buy Co., Inc.		2,966
		28	Circuit City Stores, Inc.		475
		98	Gap, Inc. (The)		1,700
		360	Home Depot, Inc.		13,741
		59	Limited Brands, Inc.		1,201
		131	Lowe's Cos., Inc.		8,452
		53	Office Depot, Inc. (a)		1,582
		12	OfficeMax, Inc.		377
		23	RadioShack Corp.		561
		19	Sherwin-Williams Co. (The)		844
		124	Staples, Inc.		2,637
		24	Tiffany & Co.		954
		78	TJX Cos., Inc.		1,606
					40,481
Textiles, Apparel & Luxury Goods — 0.4%
		64	Coach, Inc. (a)		2,006
		20	Jones Apparel Group, Inc.		568
		18	Liz Claiborne, Inc.		710
		32	Nike, Inc., Class B		2,626
		9	Reebok International Ltd.		501
		15	V.F. Corp.		872
					7,283
Thrifts & Mortgage Finance — 1.5%
		100	Countrywide Financial Corp.		3,301
		163	Fannie Mae		7,302
		116	Freddie Mac		6,567

	Shares		Security Description	Value
		43	Golden West Financial Corp.		2,554
		16	MGIC Investment Corp.		1,006
		61	Sovereign Bancorp, Inc.		1,342
		148	Washington Mutual, Inc.		5,806
					27,878
Tobacco — 1.5%
		349	Altria Group, Inc.		25,750
		14	Reynolds American, Inc.		1,195
		28	UST, Inc.		1,158
					28,103
Trading Companies & Distributors — 0.0% (g)
		13	Grainger (W.W.), Inc.		801
			Total Long-Term Investments
			(Cost $1,053,724)		1,866,458

Short-Term Investment — 0.6%
Investment Company — 0.6%
		10,687	JPMorgan Liquid Assets Money Market Fund (b)(m)
			(Cost $10,687)		10,687
	Principal
	Amount
Investments of Cash Collateral for Securities on Loan — 3.8%
Corporate Note — 0.0% (g)
	$	390	World Savings Bank FSB 3.86%, 10/20/05		390
Repurchase Agreements — 3.8%
		15,000	Banc of America Securities LLC, 3.77%, dated 09/30/05, due
			11/01/05, repurchase price $15,050, collateralized by U.S.
			Government Agency Securities		15,000
		15,000	Barclays Capital, 3.87%, dated 09/30/05, due 10/03/05,
			repurchase price $15,005, collateralized by U.S.
			Government Agency Securities		15,000
		7,590	Goldman Sachs & Co., Inc., 3.75%, dated 09/30/05, due
			10/26/05, repurchase price $7,611, collateralized by U.S.
			Government Agency Securities		7,590
		7,916	Lehman Brothers, Inc., 4.06%, dated 09/30/05, due
			10/03/05, repurchase price $7,919, collateralized by
			equity securities		7,916
		10,445	Merrill Lynch Securities, 3.88%, dated 09/30/05, due
			10/03/05, repurchase price $10,448, collateralized by U.S.
			Government Agency Securities		10,445
		15,000	Morgan Stanley, 3.96%, dated 09/30/05, due 10/03/05,
			repurchase price $15,005, collateralized by U.S.
			Government Agency Securities		15,000
					70,951
			Total Investments of Cash Collateral for Securities on Loan
			(Cost $71,341)		71,341
Total Investments — 104.1%
(Cost $1,135,752)				$	1,948,486
Other Liabilities in Excess of Assets — (4.1)%					(76,497	)
Net Assets — 100.0%				$	1,871,989

Percentages indicated are based on net assets.

Abbreviations:

(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 JPMorgan Investment Advisors Inc.
(g)	Amount rounds to less than 0.1%.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA’s, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
(q)	Investment in affiliate.

REIT Real Estate Investment Trust

Futures Contracts

(Amounts in thousands, except number of contracts)

			Notional Value		Unrealized
			at 09/30/05		Depreciation
Number of Contracts	Description	Expiration Date	(USD)		(USD)
68	Russell 2000 Index	December, 2005	$	22,851	$	(8	)

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	900,182
Aggregate gross unrealized depreciation		(87,448	)
Net unrealized appreciation/depreciation	$	812,734
Federal income tax cost of investments	$	1,135,752

JPMorgan International Equity Index Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares		Security Description	Value
Long-Term Investments — 99.0%
Common Stocks — 97.8%
Argentina — 0.3%
		112	BBVA Banco Frances S.A. (a) (l)	$	283
		7	BBVA Banco Frances S.A. ADR (l)		55
		34	Grupo Financiero Galicia S.A. ADR (a) (l)		294
		482	Petrobras Energia Participaciones S.A., Class B (a) (l)		762
		16	Siderar SAIC, Class A (l)		167
		44	Telecom Argentina S.A. ADR (a) (l)		568
		125	Transportadora de Gas del Sur S.A., Class B (a) (l)		162
		8	YPF S.A., Class D (l)		559
					2,850
Australia — 3.2%
		8	Alinta Ltd. (l)		76
		73	Alumina Ltd. (l)		342
		68	Amcor Ltd. (l)		346
		116	AMP Ltd. (l)		658
		19	Ansell Ltd. (l)		166
		20	Aristocrat Leisure Ltd. (l)		184
		115	Australia & New Zealand Banking Group Ltd. (l)		2,113
		45	Australian Gas Light Co., Ltd. (l)		510
		8	Australian Stock Exchange Ltd. (l)		166
		19	Australian Wealth Management Ltd. (a) (l)		19
		61	AXA Asia Pacific Holdings Ltd. (l)		225
		220	BHP Billiton Ltd. (l)		3,750
		56	BlueScope Steel Ltd. (l)		409
		53	Boral Ltd. (l)		326
		71	Brambles Industries Ltd. (l)		478
		8	Caltex Australia Ltd. (l)		128
		31	Centro Properties Group (l)		143
		10	Centro Retail Group (l)		12
		49	Coca-Cola Amatil Ltd. (l)		297
		3	Cochlear Ltd. (l)		87
		86	Coles Myer Ltd. (l)		677
		77	Commonwealth Bank of Australia (l)		2,253
		30	Computershare Ltd. (l)		151
		13	CSL Ltd. (l)		389
		88	CSR Ltd. (l)		208
		18	DCA Group Ltd. (l)		55
		17	Downer EDI Ltd. (l)		77
		157	Foster’s Group Ltd. (l)		696
		31	Futuris Corp., Ltd. (l)		49
		206	GPT Group (l)		612
		7	Harvey Norman Holdings Ltd. (l)		16
		23	Iluka Resources Ltd. (l)		152
		90	Insurance Australia Group Ltd. (l)		374
		37	James Hardie Industries N.V. (l)		252
		41	John Fairfax Holdings Ltd. (l)		143
		16	Leighton Holdings Ltd. (l)		177
		34	Lend Lease Corp., Ltd. (l)		360
		29	Lion Nathan Ltd. (l)		187

	Shares		Security Description	Value
		40	Macquarie Airports (l)		101
		14	Macquarie Bank Ltd. (l)		786
		20	Macquarie Communications Infrastructure Group (l)		91
		57	Macquarie Goodman Group (l)		186
		133	Macquarie Infrastructure Group (l)		406
		32	Mayne Group Ltd. (l)		131
		9	Mirvac Group (l)		28
		26	Multiplex Group (l)		60
		95	National Australia Bank Ltd. (l)		2,383
		20	Newcrest Mining Ltd. (l)		325
		48	OneSteel Ltd. (l)		141
		14	Orica Ltd. (l)		224
		63	Origin Energy Ltd. (l)		349
		21	Pacific Brands Ltd. (l)		46
		22	PaperlinX Ltd. (l)		54
		29	Patrick Corp., Ltd. (l)		153
		2	Perpetual Trustees Australia Ltd. (l)		127
		5	Publishing & Broadcasting Ltd. (l)		66
		46	Qantas Airways Ltd. (l)		118
		46	QBE Insurance Group Ltd. (l)		654
		63	Rinker Group Ltd. (l)		802
		20	Rio Tinto Ltd. (l)		893
		50	Santos Ltd. (l)		480
		9	Sonic Healthcare Ltd. (l)		107
		150	Stockland (l)		706
		33	Suncorp-Metway Ltd. (l)		495
		45	TABCORP Holdings Ltd. (l)		597
		134	Telstra Corp., Ltd. (l)		415
		13	Toll Holdings Ltd. (l)		137
		49	Transurban Group (l)		271
		5	UNiTAB Ltd. (l)		51
		21	Wesfarmers Ltd. (l)		655
		79	Westfield Group (l)		1,009
		122	Westpac Banking Corp. (l)		1,961
		25	Woodside Petroleum Ltd. (l)		697
		59	Woolworths Ltd. (l)		751
					33,719
Austria — 1.5%
		12	Bank Austria Creditanstalt AG (l)		1,355
		6	Boehler-Uddeholm AG (l)		1,016
		3	BWT AG (l)		117
		51	Erste Bank der Oesterreichischen Sparkassen AG (l)		2,746
		8	Flughafen Wien AG (l)		559
		51	IMMOFINANZ Immobilien Anlagen AG (a) (l)		491
		4	Mayr-Melnhof Karton AG (l)		597
		57	OMV AG (l)		3,379
		9	RHI AG (a)(l)		273
		139	Telekom Austria AG (l)		2,765
		4	Verbund — Oesterreichische Elektrizitaetswirtschafts AG, Class A (l)		1,304
		29	Wienerberger AG (l)		1,133
					15,735

	Shares		Security Description	Value
Belgium — 1.9%
		17	AGFA-Gevaert N.V. (l)		399
		4	Bekaert S.A. (l)		338
		22	Belgacom S.A. (l)		751
		6	Colruyt S.A. (a) (l)		806
		1	Compagnie Maritime Belge S.A. (l)		24
		2	Cumerio (l)		41
		-(h)	D’ieteren S.A. (l)		95
		9	Delhaize Group (l)		559
		81	Dexia (l)		1,822
		6	Electrabel S.A. (l)		3,212
		2	Euronav N.V. (l)		51
		159	Fortis (l)		4,614
		13	Groupe Bruxelles Lambert S.A. (l)		1,230
		26	InBev N.V. (l)		1,018
		25	KBC Groupe S.A. (l)		2,009
		2	Mobistar S.A. (l)		199
		1	Omega Pharma S.A. (l)		61
		13	Solvay S.A., Class A (l)		1,545
		16	UCB S.A. (l)		844
		3	Umicore (l)		340
					19,958
Bermuda — 0.1%
		9	Frontline Ltd. (l)		418
		30	Giordano International Ltd. (l)		21
		13	Golar LNG Ltd. (a) (l)		164
		99	Johnson Electric Holdings Ltd. (l)		95
		30	Shangri-La Asia Ltd. (l)		49
		4	Ship Finance International Ltd. (l)		73
		9	Yue Yuen Industrial Holdings (l)		23
					843
Brazil — 0.0% (g)
		12,479	Centrais Eletricas Brasileiras S.A. (l)		249
Canada — 0.1%
		58	Daiwa House Industry Co., Ltd. (l)		765
Cayman Islands — 0.0% (g)
		42	Hutchison Telecommunications International Ltd. (a) (l)		61
		34	Kingboard Chemicals Holdings Ltd. (l)		84
		22	Solomon Systech International Ltd. (l)		8
					153
Chile — 0.5%
		33	Cia Cervecerias Unidas S.A. ADR (l)		864
		156	Cia de Telecomunicaciones de Chile S.A. ADR (l)		1,694
		14	Cristalerias de Chile S.A. ADR (l)		173
		24	Embotelladora Andina S.A. ADR (l)		388
		195	Enersis S.A. ADR (l)		2,230
		30	Masisa S.A. ADR (l)		380
					5,729
China — 0.3%
		375	Datang International Power Generation Co., Ltd., Class H (l)		288
		314	Huaneng Power International, Inc., Class H (l)		233
		1,067	PetroChina Co., Ltd., Class H (l)		892
		1,903	Sinopec Yizheng Chemical Fibre Co., Ltd., Class H (l)		300
		1,583	Yanzhou Coal Mining Co., Ltd., Class H (l)		1,259
		995	Zhejiang Expressway Co., Ltd. (l)		701
					3,673

	Shares		Security Description	Value
Denmark — 1.2%
		-(h)	AP Moller — Maersk A/S (l)		2,076
		4	Carlsberg A/S (l)		206
		1	Coloplast A/S (l)		63
		9	Danisco A/S (l)		593
		77	Danske Bank A/S (l)		2,344
		2	DSV A/S (l)		221
		3	East Asiatic Co., Ltd. A/S, Class A (l)		231
		6	FLSmidth & Co. A/S, Class B (l)		175
		42	GN Store Nord (l)		555
		10	H Lundbeck A/S (l)		243
		3	NKT Holding A/S (l)		124
		41	Novo-Nordisk A/S, Class B (l)		2,011
		9	Novozymes A/S, B Shares (l)		490
		33	TDC A/S (l)		1,774
		3	Topdanmark A/S (a) (l)		204
		32	Vestas Wind Systems A/S (a) (l)		782
					12,092
Finland — 0.7%
		14	Elisa OYJ, A Shares (l)		236
		20	Fortum OYJ (l)		399
		5	Neste Oil OYJ (a) (l)		184
		246	Nokia OYJ (l)		4,149
		49	Nokia OYJ ADR (l)		823
		-(h)	Nokian Renkaat OYJ (l)		-(h)
		18	Outokumpu OYJ (l)		237
		28	Sampo OYJ, A Shares (l)		451
		30	Stora Enso OYJ (Registered) (l)		411
		8	Tietoenator OYJ (l)		270
		24	UPM-Kymmene OYJ (l)		485
					7,645
France — 9.4%
		18	Accor S.A. (l)		916
		14	Air France-KLM (l)		227
		16	Air Liquide (a) (l)		2,899
		133	Alcatel S.A. (a) (l)		1,780
		14	Alstom (a) (l)		664
		6	Atos Origin (a) (l)		394
		10	Autoroutes du Sud de la France (l)		592
		155	AXA S.A. (l)		4,254
		83	BNP Paribas (l)		6,288
		17	Bouygues S.A. (l)		797
		10	Business Objects S.A. (a) (l)		331
		17	Cap Gemini S.A. (a) (l)		665
		64	Carrefour S.A. (l)		2,952
		6	Casino Guichard Perrachon S.A. (l)		457
		32	Cie de Saint-Gobain (l)		1,847
		8	Cie Generale d’Optique Essilor International S.A. (l)		695
		3	CNP Assurances (l)		170
		14	Compagnie Generale des Etablissements Michelin, Class B (l)		827
		63	Credit Agricole S.A. (l)		1,847
		8	Dassault Systemes S.A. (l)		394

	Shares		Security Description	Value
		160	France Telecom S.A. (l)		4,611
		25	Groupe Danone (l)		2,728
		8	Imerys S.A. (l)		602
		33	L’Oreal S.A. (l)		2,537
		17	Lafarge S.A. (l)		1,528
		12	Lagardere S.C.A. (l)		849
		26	LVMH Moet Hennessy Louis Vuitton S.A. (l)		2,122
		3	Neopost S.A. (l)		256
		10	PagesJaunes Groupe S.A. (l)		282
		7	Pernod-Ricard S.A. (l)		1,306
		23	Peugeot S.A. (l)		1,537
		8	PPR S.A. (l)		811
		13	Publicis Groupe (l)		416
		19	Renault S.A. (l)		1,775
		21	Safran S.A. (l)		449
		121	Sanofi-Aventis (l)		9,996
		22	Schneider Electric S.A. (l)		1,732
		66	SCOR (l)		136
		6	Societe BIC S.A. (l)		382
		2	Societe Des Autoroutes Paris-Rhin-Rhone (l)		110
		34	Societe Generale (l)		3,839
		13	Societe Television Francaise 1 (l)		333
		16	Sodexho Alliance S.A. (l)		614
		92	Suez S.A. (l)		2,666
		221	Suez S.A. (a) (l)		3
		14	Technip S.A. (l)		843
		12	Thales S.A. (l)		552
		27	Thomson (l)		569
		62	Total S.A. (l)		17,006
		195	Total S.A. (a) (l)		2
		4	Unibail (l)		643
		7	Valeo S.A. (l)		292
		33	Veolia Environnement (l)		1,392
		14	Vinci S.A. (l)		1,225
		114	Vivendi Universal S.A. (l)		3,744
		1	Zodiac S.A. (l)		61
					96,945
Germany — 12.7%
		10	Adidas-Salomon AG (l)		1,683
		70	Allianz AG (Registered) (l)		9,431
		14	Altana AG (l)		806
		3	AMB Generali Holding AG (l)		240
		2	AXA Konzern AG (l)		240
		107	BASF AG (l)		8,097
		139	Bayer AG (l)		5,118
		115	Bayerische Hypo-und Vereinsbank AG (a) (l)		3,242
		7	Beiersdorf AG (l)		762
		4	Celesio AG (l)		366
		84	Commerzbank AG (l)		2,315

	Shares		Security Description	Value
		29	Continental AG (l)		2,353
		180	DaimlerChrysler AG (l)		9,569
		106	Deutsche Bank AG (Registered) (l)		9,893
		20	Deutsche Boerse AG (l)		1,884
		45	Deutsche Lufthansa AG (Registered) (l)		594
		104	Deutsche Post AG (l)		2,445
		564	Deutsche Telekom AG (Registered) (l)		10,280
		5	Douglas Holdings AG (l)		185
		129	E.On AG (l)		11,897
		7	Epcos AG (a) (l)		97
		9	Fresenius Medical Care AG (l)		839
		6	Heidelberger Druckmaschinen (l)		213
		10	Hochtief AG (l)		452
		31	Hypo Real Estate Holding AG (l)		1,572
		134	Infineon Technologies AG (a) (l)		1,324
		8	IVG Immobilien AG (l)		157
		12	KarstadtQuelle AG (a) (l)		163
		-(h)	Lanxess (a) (l)		8
		15	Linde AG (l)		1,091
		29	MAN AG (l)		1,497
		13	Merck KGaA (l)		1,096
		28	Metro AG (l)		1,389
		11	MLP AG (l)		240
		38	Muenchener Rueckversicherungs-Gesellschaft AG (Registered) (l)		4,327
		7	Premiere AG (a) (l)		198
		16	ProSiebenSat.1 Media AG (l)		270
		3	Puma AG (l)		823
		82	RWE AG (l)		5,436
		45	SAP AG (l)		7,825
		36	Schering AG (l)		2,307
		5	SGL Carbon AG (a) (l)		73
		167	Siemens AG (Registered) (l)		12,942
		6	Suedzucker AG (l)		134
		70	ThyssenKrupp AG (l)		1,472
		32	TUI AG (l)		690
		55	Volkswagen AG (l)		3,372
		2	Wincor Nixdorf AG (l)		224
					131,631
Greece — 1.0%
		56	Alpha Bank AE (l)		1,573
		20	Coca Cola Hellenic Bottling Co. S.A. (l)		566
		42	EFG Eurobank Ergasias S.A. (l)		1,310
		14	Emporiki Bank of Greece S.A. (a) (l)		408
		7	Folli — Follie S.A. (Registered) (l)		216
		24	Hellenic Petroleum S.A. (l)		372
		23	Hellenic Technodomiki Tev S.A. (l)		121
		56	Hellenic Telecommunications Organization S.A. (a) (l)		1,117
		22	Intracom S.A. (l)		154
		7	Lambrakis Press S.A. (a) (l)		24
		52	National Bank of Greece S.A. (l)		2,072
		16	OPAP S.A. (l)		486

	Shares		Security Description	Value
		41	Piraeus Bank S.A. (l)		849
		1	Public Power Corp. (l)		18
		30	Public Power Corp. GDR (l)		658
		17	Titan Cement Co. S.A. (l)		551
					10,495
Hong Kong — 1.0%
		234	BOC Hong Kong Holdings Ltd. (l)		469
		74	Cathay Pacific Airways Ltd. (l)		132
		85	Cheung Kong Ltd. (l)		964
		252	China Mobile Hong Kong Ltd. (l)		1,239
		2	China Mobile Hong Kong Ltd. ADR (l)		49
		118	Citic Pacific Ltd. (l)		330
		143	CLP Holdings Ltd. (l)		853
		950	Denway Motors Ltd. (l)		348
		45	Esprit Holdings Ltd. (l)		337
		54	Hang Seng Bank Ltd. (l)		721
		11	Henderson Land Development Co., Ltd. ADR (l)		55
		278	Hong Kong & China Gas (l)		574
		36	Hong Kong Exchanges and Clearing Ltd. (l)		123
		18	HongKong Electric Holdings (l)		92
		22	Hopewell Holdings (l)		57
		115	Hutchison Whampoa International Ltd. (l)		1,194
		4	Kerry Properties Ltd. (l)		9
		692	Lenovo Group Ltd. (l)		335
		102	Li & Fung Ltd. (l)		236
		64	New World Development Co., Ltd. (l)		84
		7	Orient Overseas International Ltd. (l)		25
		212	PCCW Ltd. (l)		139
		180	Sino Land Co. (l)		220
		71	Sun Hung Kai Properties Ltd. (l)		733
		62	Swire Pacific Ltd., Class A (l)		571
		298	Tan Chong International Ltd. (l)		65
		72	Techtronic Industries Co. (l)		184
		25	Television Broadcasts Ltd. (l)		151
		83	Wharf Holdings Ltd. (l)		326
					10,615
Hungary — 0.6%
		8	Gedeon Richter Rt. (l)		1,375
		111	Magyar Telekom Rt. (l)		572
		20	Mol Magyar Olaj- es Gazipari Rt. (l)		2,214
		49	OTP Bank Rt. (l)		1,926
					6,087
India — 0.6%
		21	Bajaj Auto Ltd. GDR (l)		801
		22	Grasim Industries Ltd. GDR (l)		648
		418	Gujarat Ambuja Cements Ltd. GDR (l)		706
		126	Hindalco Industries Ltd. GDR (l)		420
		11	ICICI Bank Ltd. ADR (l)		304
		222	ITC Ltd. GDR (l)		685
		26	Larsen & Toubro Ltd. GDR (l)		840
		23	Mahanagar Telephone Nigam ADR (l)		149
		47	Ranbaxy Laboratories Ltd. GDR (l)		564
		8	Reliance Industries Ltd. GDR (l)		270

	Shares		Security Description	Value
		11	Ultra Tech Cement Ltd. GDR (l)		234
		25	Uniphos Enterprises Ltd. GDR (a) (l)		22
		127	United Phosphorus Ltd. ADR (l)		605
					6,248
Ireland — 0.8%
		126	Allied Irish Banks plc (l)		2,685
		98	Bank of Ireland (l)		1,549
		18	CRH plc (l)		500
		12	DCC plc (l)		231
		8	Elan Corp. plc (a) (l)		69
		23	Elan Corp. plc ADR (a) (l)		205
		4	Fyffes plc (l)		11
		11	Grafton Group plc (a) (l)		109
		70	Independent News & Media plc (l)		204
		28	Irish Life & Permanent plc (l)		517
		18	Kerry Group plc, Class A (l)		413
		-(h)	Kingspan Group plc (l)		4
		35	Ryanair Holdings plc (a) (l)		285
		41	Smith & Nephew plc (l)		348
		385	Waterford Wedgwood plc (a) (l)		30
					7,160
Israel — 0.6%
		228	Bank Hapoalim Ltd. (l)		885
		123	Bank Leumi Le-Israel BM (l)		414
		14	ECI Telecom Ltd. (a) (l)		120
		-(h)	Elco Holdings Ltd. (l)		-(h)
		-(h)	Industrial Buildings Corp. (l)		-(h)
		302	Israel Chemicals Ltd. (l)		1,186
		-(h)	Israel Corp., Ltd. (The) (l)		18
		-(h)	Koor Industries Ltd. (a) (l)		-(h)
		7	Koor Industries Ltd. ADR (a) (l)		70
		151	Makhteshim-Agan Industries Ltd. (l)		862
		-(h)	Osem Investment Ltd. (l)		-(h)
		67	Teva Pharmaceutical Industries Ltd. ADR (l)		2,239
					5,794
Italy — 7.8%
		85	Alleanza Assicurazioni S.p.A. (l)		1,051
		47	Arnoldo Mondadori Editore S.p.A. (l)		467
		208	Assicurazioni Generali S.p.A. (l)		6,555
		7	Autogrill S.p.A. (l)		96
		53	Autostrade S.p.A. (l)		1,370
		32	Banca Antonveneta S.p.A. (l)		997
		51	Banca Fideuram S.p.A. (l)		294
		756	Banca Intesa S.p.A. (l)		3,531
		219	Banca Intesa S.p.A. RNC (l)		953
		206	Banca Monte dei Paschi di Siena S.p.A. (l)		916
		296	Banca Nazionale del Lavoro S.p.A. (a) (l)		950
		87	Banca Popolare di Milano Scrl (l)		892
		64	Banca Popolare di Verona e Novara Scrl (l)		1,208
		39	Banche Popolari Unite Scrl (l)		793
		26	Benetton Group S.p.A. (l)		274
		46	Bulgari S.p.A. (l)		515
		282	Capitalia S.p.A. (l)		1,546

	Shares		Security Description	Value
		142	Edison S.p.A. (a) (l)		316
		800	Enel S.p.A. (l)		6,879
		589	ENI S.p.A. (l)		17,474
		84	Fiat S.p.A. (a) (l)		751
		56	FinecoGroup S.p.A. (l)		512
		55	Finmeccanica S.p.A. (l)		1,095
		59	Gruppo Editoriale L’Espresso S.p.A. (l)		333
		33	Italcementi S.p.A. (l)		513
		23	Luxottica Group S.p.A. (l)		562
		9	Marzotto S.p.A. (l)		46
		160	Mediaset S.p.A. (l)		1,897
		132	Mediobanca S.p.A. (l)		2,602
		30	Mediolanum S.p.A. (l)		208
		469	Pirelli & C S.p.A. (l)		498
		83	Riunione Adriatica di Sicurta S.p.A. (l)		1,906
		258	Sanpaolo IMI S.p.A. (l)		4,006
		357	Seat Pagine Gialle S.p.A. (a) (l)		176
		70	Sirti S.p.A. (a) (l)		207
		140	Snam Rete Gas S.p.A. (l)		815
		193	SNIA S.p.A. (a) (l)		24
		39	Sorin S.p.A. (a) (l)		108
		764	Telecom Italia Media S.p.A. (a) (l)		502
		2,230	Telecom Italia S.p.A. (l)		7,250
		1,476	Telecom Italia S.p.A. (RNC) (l)		4,111
		145	Terna S.p.A. (l)		375
		59	Tiscali S.p.A. (a) (l)		204
		918	UniCredito Italiano S.p.A. (l)		5,182
		9	Valentino Fashion Group S.p.A. (l)		240
					81,200
Japan — 24.9%
		54	77 Bank Ltd. (l)		396
		9	Acom Co., Ltd. (l)		677
		1	Aderans Co., Ltd. (l)		33
		8	Advantest Corp. (l)		613
		69	Aeon Co., Ltd. (l)		1,387
		3	Aeon Credit Service Co., Ltd. (l)		186
		8	Aiful Corp. (l)		698
		17	Aisin Seiki Co., Ltd. (l)		470
		71	Ajinomoto Co., Inc. (l)		741
		2	Alfresa Holdings Corp. (l)		79
		27	All Nippon Airways Co., Ltd. (l)		84
		22	Alps Electric Co., Ltd. (l)		357
		38	Amada Co., Ltd. (l)		306
		16	Amano Corp. (l)		256
		9	Anritsu Corp. (l)		48
		8	Aoyama Trading Co., Ltd. (l)		232
		53	Asahi Breweries Ltd. (l)		675
		100	Asahi Glass Co., Ltd. (l)		1,054
		147	Asahi Kasei Corp. (l)		809
		-(h)	Asatsu-DK, Inc. (l)		9
		61	Astellas Pharmaceutical, Inc. (l)		2,297

Shares		Security Description	Value
	6	Autobacs Seven Co., Ltd. (l)		216
	102	Bank of East Asia Ltd. (l)		300
	47	Bank of Fukuoka Ltd. (l)		337
	15	Bank of Kyoto Ltd. (l)		150
	143	Bank of Yokohama Ltd. (l)		1,091
	9	Benesse Corp. (l)		342
	75	Bridgestone Corp. (l)		1,623
	5	Canon Sales Co., Inc. (l)		103
	85	Canon, Inc. (l)		4,628
	32	Casio Computer Co., Ltd. (l)		464
	11	Central Glass Co., Ltd. (l)		63
	-(h)	Central Japan Railway Co. (l)		937
	68	Chiba Bank Ltd. (l)		554
	15	Chiyoda Corp. (l)		276
	72	Chubu Electric Power Co., Inc. (l)		1,770
	28	Chugai Pharmaceutical Co., Ltd. (l)		531
	2	Circle K Sunkus Co., Ltd. (l)		57
	42	Citizen Watch Co., Ltd. (l)		345
	19	COMSYS Holdings Corp. (l)		223
	21	Credit Saison Co., Ltd. (l)		915
	7	CSK Corp. (l)		288
	80	Dai Nippon Printing Co., Ltd. (l)		1,302
	49	Daicel Chemical Industries Ltd. (l)		321
	32	Daido Steel Co., Ltd. (l)		206
	76	Daiichi Sankyo Co., Ltd. (l)		1,561
	25	Daikin Industries Ltd. (l)		681
	30	Daimaru, Inc. (l)		355
	105	Dainippon Ink and Chemicals, Inc. (l)		346
	17	Dainippon Screen Manufacturing Co., Ltd. (l)		111
	10	Daito Trust Construction Co., Ltd. (l)		444
	151	Daiwa Securities Group, Inc. (l)		1,190
	68	Denki Kagaku Kogyo KK (l)		248
	64	Denso Corp. (l)		1,852
	-(h)	Dentsu, Inc. (l)		473
	24	Dowa Mining Co., Ltd. (l)		198
	-(h)	E*Trade Securities Co., Ltd. (l)		142
	-(h)	eAccess Ltd. (l)		71
	-(h)	East Japan Railway Co. (l)		2,315
	37	Ebara Corp. (l)		159
	30	Eisai Co., Ltd. (l)		1,292
	13	Electric Power Development Co. (l)		445
	4	Elpida Memory, Inc. (a) (l)		106
	4	FamilyMart Co., Ltd. (l)		134
	18	Fanuc Ltd. (l)		1,460
	6	Fast Retailing Co., Ltd. (l)		490
	12	Fuji Electric Holdings Co., Ltd. (l)		48
	51	Fuji Photo Film Co., Ltd. (l)		1,680
	-(h)	Fuji Television Network, Inc. (l)		190
	49	Fujikura Ltd. (l)		299
	203	Fujitsu Ltd. (l)		1,348

Shares		Security Description	Value
	63	Furukawa Electric Co., Ltd. (a) (l)		323
	-(h)	Goodwill Group, Inc. (l)		60
	84	Gunma Bank Ltd. (l)		538
	31	Gunze Ltd. (l)		159
	2	Hakuhodo DY Holdings, Inc. (l)		133
	24	Hankyu Department Stores (l)		193
	3	Hikari Tsushin, Inc. (l)		159
	18	Hino Motors Ltd. (l)		123
	4	Hirose Electric Co., Ltd. (l)		511
	7	Hitachi Cable Ltd. (l)		28
	2	Hitachi Capital Corp. (l)		34
	8	Hitachi Chemical Co., Ltd. (l)		159
	6	Hitachi Construction Machinery Co., Ltd. (l)		121
	362	Hitachi Ltd. (l)		2,305
	117	Hokuhoku Financial Group, Inc. (l)		444
	88	Honda Motor Co., Ltd. (l)		4,992
	15	House Foods Corp. (l)		234
	51	Hoya Corp. (l)		1,721
	10	Ibiden Co., Ltd. (l)		406
	-(h)	INPEX Corp. (l)		240
	26	Isetan Co., Ltd. (l)		409
	60	Ishihara Sangyo Kaisha Ltd. (l)		127
	104	Ishikawajima-Harima Heavy Industries Co., Ltd. (a) (l)		211
	2	Ito En Ltd. (l)		70
	165	Itochu Corp. (l)		1,141
	2	Itochu Techno-Science Corp. (l)		86
	3	Jafco Co., Ltd. (l)		179
	86	Japan Airlines Corp. (l)		228
	-(h)	Japan Real Estate Investment Corp. (l)		89
	-(h)	Japan Retail Fund Investment Corp. (l)		16
	-(h)	Japan Tobacco, Inc. (l)		1,453
	61	JFE Holdings, Inc. (l)		1,991
	29	JGC Corp. (l)		530
	57	Joyo Bank Ltd. (l)		349
	29	JS Group Corp. (l)		500
	14	JSR Corp. (l)		300
	115	Kajima Corp. (l)		547
	31	Kamigumi Co., Ltd. (l)		252
	-(h)	Kanebo Ltd. (a) (l)		-(h)
	41	Kaneka Corp. (l)		535
	93	Kansai Electric Power Co., Inc. (l)		2,059
	62	Kao Corp. (l)		1,538
	166	Kawasaki Heavy Industries Ltd. (l)		422
	63	Kawasaki Kisen Kaisha Ltd. (l)		457
	-(h)	KDDI Corp. (l)		1,566
	96	Keihin Electric Express Railway Co., Ltd. (l)		604
	12	Keio Corp. (l)		66
	4	Keisei Electric Railway Co., Ltd. (l)		22
	3	Keyence Corp. (l)		758
	24	Kikkoman Corp. (l)		230

Shares		Security Description	Value
	26	Kinden Corp. (l)		226
	201	Kintetsu Corp. (l)		679
	100	Kirin Brewery Co., Ltd. (l)		1,100
	262	Kobe Steel Ltd. (l)		798
	21	Kokuyo Co., Ltd. (l)		284
	106	Komatsu Ltd. (l)		1,449
	10	Komori Corp. (l)		170
	11	Konami Corp. (l)		260
	52	Konica Minolta Holdings, Inc. (l)		479
	2	Kose Corp. (l)		55
	23	Koyo Seiko Co., Ltd. (l)		344
	128	Kubota Corp. (l)		893
	47	Kuraray Co., Ltd. (l)		416
	18	Kurita Water Industries Ltd. (l)		335
	19	Kyocera Corp. (l)		1,310
	52	Kyowa Hakko Kogyo Co., Ltd. (l)		402
	26	Kyushu Electric Power Co., Inc. (l)		580
	5	Lawson, Inc. (l)		174
	2	Mabuchi Motor Co., Ltd. (l)		79
	17	Makita Corp. (l)		350
	149	Marubeni Corp. (l)		695
	40	Marui Co., Ltd. (l)		684
	11	Matsui Securities Co., Ltd. (l)		128
	2	Matsumotokiyoshi Co., Ltd. (l)		62
	240	Matsushita Electric Industrial Co., Ltd. (l)		4,089
	36	Matsushita Electric Works Ltd. (l)		357
	1	MEDICEO Holdings Co., Ltd. (l)		18
	43	Meiji Dairies Corp. (l)		237
	41	Meiji Seika Kaisha Ltd. (l)		213
	-(h)	Meitec Corp. (l)		13
	-(h)	Millea Holdings, Inc. (l)		2,725
	45	Minebea Co., Ltd. (l)		185
	210	Mitsubishi Chemical Corp. (l)		707
	129	Mitsubishi Corp. (l)		2,555
	210	Mitsubishi Electric Corp. (l)		1,347
	124	Mitsubishi Estate Co., Ltd. (l)		1,710
	52	Mitsubishi Gas Chemical Co., Inc. (l)		347
	329	Mitsubishi Heavy Industries Ltd. (l)		1,169
	25	Mitsubishi Logistics Corp. (l)		293
	138	Mitsubishi Materials Corp. (l)		490
	82	Mitsubishi Rayon Co., Ltd. (l)		367
	7	Mitsubishi Securities Co., Ltd. (l)		79
	1	Mitsubishi Tokyo Financial Group, Inc. (l)		10,678
	154	Mitsui & Co., Ltd. (l)		1,934
	49	Mitsui Chemicals, Inc. (l)		290
	109	Mitsui Engineering & Shipbuilding Co., Ltd. (l)		261
	91	Mitsui Fudosan Co., Ltd. (l)		1,370
	70	Mitsui Mining & Smelting Co., Ltd. (l)		406
	114	Mitsui OSK Lines Ltd. (l)		916
	144	Mitsui Sumitomo Insurance Co., Ltd. (l)		1,676

Shares		Security Description	Value
	60	Mitsui Trust Holdings, Inc. (l)		838
	64	Mitsukoshi Ltd. (l)		311
	2	Mitsumi Electric Co., Ltd. (l)		17
	1	Mizuho Financial Group, Inc. (l)		6,016
	24	Murata Manufacturing Co., Ltd. (l)		1,353
	23	Namco Bandai Holdings, Inc. (l)		385
	195	NEC Corp. (l)		1,062
	3	NEC Electronics Corp. (l)		107
	-(h)	NET One Systems Co., Ltd. (l)		91
	41	NGK Insulators Ltd. (l)		519
	29	NGK Spark Plug Co., Ltd. (l)		429
	11	NHK Spring Co., Ltd. (l)		81
	1	Nichii Gakkan Co. (l)		34
	50	Nichirei Corp. (l)		205
	12	Nidec Corp. (l)		675
	87	Nikko Cordial Corp. (l)		1,014
	28	Nikon Corp. (l)		355
	12	Nintendo Co., Ltd. (l)		1,377
	-(h)	Nippon Building Fund, Inc. REIT (l)		94
	19	Nippon Electric Glass Co., Ltd. (l)		345
	111	Nippon Express Co., Ltd. (l)		549
	33	Nippon Light Metal Co., Ltd. (l)		91
	15	Nippon Meat Packers, Inc. (l)		166
	85	Nippon Mining Holdings, Inc. (l)		669
	148	Nippon Oil Corp. (l)		1,298
	-(h)	Nippon Paper Group, Inc. (l)		378
	56	Nippon Sheet Glass Co., Ltd. (l)		252
	24	Nippon Shokubai Co., Ltd. (l)		253
	706	Nippon Steel Corp. (l)		2,658
	1	Nippon Telegraph & Telephone Corp. (l)		2,862
	122	Nippon Yusen KK (l)		820
	46	Nishi-Nippon City Bank Ltd. (l)		229
	40	Nishimatsu Construction Co., Ltd. (l)		167
	10	Nissan Chemical Industries Ltd. (l)		126
	253	Nissan Motor Co., Ltd. (l)		2,912
	78	Nisshin Steel Co., Ltd. (l)		271
	29	Nisshinbo Industries, Inc. (l)		250
	14	Nissin Food Products Co., Ltd. (l)		372
	2	Nitori Co., Ltd. (l)		138
	19	Nitto Denko Corp. (l)		1,088
	11	NOK Corp. (l)		333
	207	Nomura Holdings, Inc. (l)		3,218
	-(h)	Nomura Real Estate Office Fund, Inc. REIT (l)		125
	1	Nomura Research Institute Ltd. (l)		70
	61	NSK Ltd. (l)		340
	55	NTN Corp. (l)		328
	-(h)	NTT Data Corp. (l)		582
	2	NTT DoCoMo, Inc. (l)		3,444
	-(h)	NTT Urban Development Corp. (l)		103
	71	Obayashi Corp. (l)		494

Shares		Security Description	Value
	-(h)	Obic Co., Ltd. (l)		71
	93	Oji Paper Co., Ltd. (l)		510
	46	Oki Electric Industry Co., Ltd. (l)		157
	33	Okumura Corp. (l)		203
	30	Olympus Corp. (l)		657
	29	Omron Corp. (l)		699
	19	Onward Kashiyama Co., Ltd. (l)		301
	4	Oracle Corp. (l)		197
	4	Oriental Land Co., Ltd. (l)		220
	10	Orix Corp. (l)		1,860
	278	Osaka Gas Co., Ltd. (l)		973
	17	Pioneer Corp. (l)		246
	11	Promise Co., Ltd. (l)		822
	-(h)	Rakuten, Inc. (l)		377
	1	Resona Holdings, Inc. (a) (l)		1,319
	79	Ricoh Co., Ltd. (l)		1,241
	13	Rohm Co., Ltd. (l)		1,089
	2	Ryohin Keikaku Co., Ltd. (l)		136
	22	Sanden Corp. (l)		100
	8	Sanken Electric Co., Ltd. (l)		92
	4	Sankyo Co., Ltd. (l)		222
	4	Santen Pharmaceutical Co., Ltd. (l)		91
	175	Sanyo Electric Co., Ltd. (l)		432
	37	Sapporo Holdings Ltd. (l)		195
	26	Secom Co., Ltd. (l)		1,277
	14	Sega Sammy Holdings, Inc. (l)		573
	10	Seiko Epson Corp. (l)		271
	27	Seino Transportation Co., Ltd. (l)		244
	55	Sekisui Chemical Co., Ltd. (l)		392
	61	Sekisui House Ltd. (l)		755
	88	Seven & I Holdings Co., Ltd. (a) (l)		2,908
	1	SFCG Co., Ltd. (l)		153
	110	Sharp Corp. (l)		1,601
	7	Shimachu Co., Ltd. (l)		175
	1	Shimamura Co., Ltd. (l)		152
	15	Shimano, Inc. (l)		417
	69	Shimizu Corp. (l)		450
	40	Shin-Etsu Chemical Co., Ltd. (l)		1,767
	27	Shinko Securities Co., Ltd. (l)		101
	93	Shinsei Bank Ltd. (l)		589
	39	Shionogi & Co., Ltd. (l)		534
	49	Shiseido Co., Ltd. (l)		703
	48	Shizuoka Bank Ltd. (l)		500
	135	Showa Denko KK (l)		435
	11	Showa Shell Sekiyu KK (l)		145
	14	Skylark Co., Ltd. (l)		208
	6	SMC Corp. (l)		856
	-(h)	Snow Brand Milk Products Co., Ltd. (a) (l)		2
	28	Softbank Corp. (l)		1,540
	1	Softbank Investment Corp. (l)		230

Shares		Security Description	Value
	21	Sojitz Corp. (a) (l)		123
	85	Sompo Japan Insurance, Inc. (l)		1,133
	104	Sony Corp. (l)		3,439
	12	Stanley Electric Co., Ltd. (l)		180
	1	Sumitomo Bakelite Co., Ltd. (l)		7
	161	Sumitomo Chemical Co., Ltd. (l)		996
	106	Sumitomo Corp. (l)		1,124
	84	Sumitomo Electric Industries Ltd. (l)		1,138
	70	Sumitomo Heavy Industries Ltd. (l)		497
	434	Sumitomo Metal Industries Ltd. (l)		1,528
	65	Sumitomo Metal Mining Co., Ltd. (l)		604
	-(h)	Sumitomo Mitsui Financial Group, Inc. (l)		4,327
	60	Sumitomo Osaka Cement Co., Ltd. (l)		193
	42	Sumitomo Realty & Development Co., Ltd. (l)		629
	12	Sumitomo Rubber Industries, Inc. (l)		143
	148	Sumitomo Trust & Banking Co., Ltd. (l)		1,228
	20	Suruga Bank Ltd. (l)		218
	5	Suzuken Co., Ltd. (l)		157
	24	T&D Holdings, Inc. (l)		1,450
	115	Taiheiyo Cement Corp. (l)		433
	80	Taisei Corp. (l)		331
	22	Taisho Pharmaceutical Co., Ltd. (l)		396
	13	Taiyo Nippon Sanso Corp. (l)		82
	5	Taiyo Yuden Co., Ltd. (l)		55
	25	Takara Holdings, Inc. (l)		157
	36	Takashimaya Co., Ltd. (l)		461
	99	Takeda Pharmaceutical Co., Ltd. (l)		5,944
	12	Takefuji Corp. (l)		944
	14	Takuma Co., Ltd. (l)		113
	18	Tanabe Seiyaku Co., Ltd. (l)		182
	15	TDK Corp. (l)		1,043
	107	Teijin Ltd. (l)		624
	40	Teikoku Oil Co., Ltd. (l)		431
	17	Terumo Corp. (l)		548
	8	THK Co., Ltd. (l)		205
	3	TIS, Inc. (l)		64
	118	Tobu Railway Co., Ltd. (l)		473
	1	Toda Corp. (l)		5
	23	Toho Co., Ltd. (l)		373
	59	Tohoku Electric Power Co., Inc. (l)		1,316
	15	Tokuyama Corp. (l)		148
	9	Tokyo Broadcasting System, Inc. (l)		197
	126	Tokyo Electric Power Co., Inc. (l)		3,180
	18	Tokyo Electron Ltd. (l)		971
	303	Tokyo Gas Co., Ltd. (l)		1,232
	11	Tokyo Steel Manufacturing Co., Ltd. (l)		175
	14	Tokyo Style Co., Ltd. (l)		151
	114	Tokyu Corp. (l)		607
	40	Tokyu Land Corp. (l)		256
	22	TonenGeneral Sekiyu KK (l)		255

	Shares		Security Description	Value
		74	Toppan Printing Co., Ltd. (l)		787
		151	Toray Industries, Inc. (l)		807
		302	Toshiba Corp. (l)		1,337
		71	Tosoh Corp. (l)		302
		43	Toto Ltd. (l)		344
		22	Toyo Seikan Kaisha Ltd. (l)		327
		4	Toyo Suisan Kaisha Ltd. (l)		68
		97	Toyobo Co., Ltd. (l)		240
		7	Toyoda Gosei Co., Ltd. (l)		125
		13	Toyota Industries Corp. (l)		433
		321	Toyota Motor Corp. (l)		14,789
		17	Toyota Tsusho Corp. (l)		311
		12	Trend Micro, Inc. (l)		367
		119	Ube Industries Ltd. (l)		322
		6	Uni-Charm Corp. (l)		270
		5	Uniden Corp. (l)		74
		22	UNY Co., Ltd. (l)		289
		6	Ushio, Inc. (l)		122
		2	USS Co., Ltd. (l)		117
		18	Wacoal Corp. (l)		240
		-(h)	West Japan Railway Co. (l)		677
		-(h)	Yahoo! Japan Corp. (l)		515
		-(h)	Yahoo! Japan Corp. (l)		510
		14	Yakult Honsha Co., Ltd. (l)		352
		6	Yamada Denki Co., Ltd. (l)		468
		23	Yamaha Corp. (l)		391
		13	Yamaha Motor Co., Ltd. (l)		259
		51	Yamato Transport Co., Ltd. (l)		834
		24	Yamazaki Baking Co., Ltd. (l)		207
		17	Yaskawa Electric Corp. (a) (l)		131
		32	Yokogawa Electric Corp. (l)		499
					258,151
Luxembourg — 0.5%
		55	Arcelor (l)		1,283
		34	Stolt Offshore S.A. (a) (l)		392
		2	Stolt-Nielsen S.A. (a) (l)		67
		232	Tenaris S.A. (l)		3,195
					4,937
Mexico — 0.7%
		26	Alfa S.A. de C.V., Class A (l)		159
		1,259	America Movil S.A. de C.V. (l)		1,659
		114	Cemex S.A. de C.V. COP (l)		597
		19	Controlodora Comercial Mexicana (l)		30
		32	Fomento Economico Mexicano S.A. de C.V. (l)		223
		95	Grupo Carso S.A. de C.V. (l)		210
		220	Grupo Mexico S.A. de C.V., Class B (l)		434
		64	Grupo Modelo S.A., Class C (l)		209
		121	Grupo Televisa S.A. COP (l)		432
		34	Industrias Penoles S.A. de C.V. (l)		151
		65	Kimberly-Clark de Mexico S.A. de C.V., Class M (l)		244
		358	Telefonos de Mexico S.A. de C.V., Class A (l)		366
		987	Telefonos de Mexico S.A. de C.V., Class L (l)		1,052

	Shares		Security Description	Value
		29	Vitro S.A. de C.V. (l)		33
		226	Wal-Mart de Mexico S.A. de C.V., Series V (l)		1,154
					6,953
Netherlands — 2.5%
		101	ABN Amro Holdings N.V. (l)		2,432
		87	Aegon N.V. (l)		1,296
		15	Akzo Nobel N.V. (l)		656
		34	ASML Holding N.V. (a) (l)		563
		4	Buhrmann N.V. (l)		53
		5	DSM N.V. (l)		203
		5	Euronext N.V. (l)		225
		24	European Aeronautic Defence & Space Co. (l)		867
		6	Getronics N.V. (l)		77
		67	Hagemeyer N.V. (a) (l)		198
		22	Heineken N.V. (l)		705
		118	ING Groep N.V. CVA (l)		3,521
		92	Koninklijke Ahold N.V. (a) (l)		701
		75	Koninklijke Philips Electronics N.V. (l)		2,000
		-(h)	OCE N.V. (l)		4
		38	Qiagen N.V. (a) (l)		499
		2	Randstad Holdings N.V. (l)		64
		38	Reed Elsevier N.V. (l)		518
		131	Royal Dutch Shell plc (l)		4,311
		127	Royal KPN N.V. (l)		1,138
		9	Royal Numico N.V. (a) (l)		395
		2	SBM Offshore N.V. (l)		182
		72	STMicroelectronics N.V. (l)		1,239
		20	TNT N.V. (l)		487
		34	Unilever N.V. CVA (l)		2,437
		8	Vedior N.V. CVA (l)		112
		14	VNU N.V. (l)		435
		1	Wereldhave N.V. (l)		122
		19	Wolters Kluwer N.V., Class C CVA (l)		356
					25,796
New Zealand — 0.4%
		206	Auckland International Airport Ltd. (l)		325
		138	Carter Holt Harvey Ltd. (l)		240
		51	Contact Energy Ltd. (l)		270
		96	Fisher & Paykel Appliances Holdings Ltd. (l)		235
		123	Fisher & Paykel Healthcare Corp. (l)		319
		109	Fletcher Building Ltd. (l)		596
		81	Sky City Entertainment Group Ltd. (l)		269
		45	Sky Network Television Ltd. (l)		192
		441	Telecom Corp. of New Zealand Ltd. (l)		1,840
		65	Tower Ltd. (a) (l)		103
		33	Vector Ltd. (l)		71
		23	Warehouse Group Ltd. (l)		61
		22	Waste Management NZ Ltd. (l)		95
					4,616
Norway — 1.4%
		1	Aker ASA, A Shares (a) (l)		19
		134	DNB NOR ASA (l)		1,386
		16	Hafslund ASA, Class A (l)		163

	Shares		Security Description	Value
		41	Hafslund ASA, Class B (l)		414
		27	Norsk Hydro ASA (l)		2,985
		26	Norske Skogindustrier ASA (l)		390
		50	Orkla ASA (l)		1,902
		10	Petroleum Geo-Services ASA (a) (l)		311
		18	Schibsted ASA (l)		550
		8	Smedvig ASA, Class A (l)		191
		131	Statoil ASA (l)		3,238
		46	Storebrand ASA (l)		455
		22	Tandberg ASA (l)		298
		4	Tandberg Television ASA (a) (l)		46
		167	Telenor ASA (l)		1,493
		2	Tomra Systems ASA (l)		14
		39	Yara International ASA (l)		713
					14,568
Phillippines — 0.5%
		4,586	Ayala Land, Inc. (l)		655
		703	Bank of the Philippine Islands (l)		652
		1,657	Filinvest Land, Inc. (a) (l)		37
		92	Manila Electric Co., Class B (a) (l)		34
		480	Metropolitan Bank & Trust (l)		236
		1,740	Petron Corp. (l)		97
		72	Philippine Long Distance Telephone Co. (l)		2,160
		252	San Miguel Corp., Class B (l)		416
		9,202	SM Prime Holdings (l)		1,182
					5,469
Portugal — 0.7%
		180	Banco BPI S.A. (Registered) (l)		800
		437	Banco Commercial Portugues S.A. (l)		1,217
		22	Banco Espirito Santo S.A. (Registered) (l)		355
		65	Brisa-Auto Estradas de Portugal S.A. (l)		560
		81	Cimpor Cimentos de Portugal S.A. (l)		446
		356	Energias de Portugal S.A. (l)		994
		23	Jeronimo Martins (l)		329
		182	Portugal Telecom SGPS S.A. (Registered) (l)		1,660
		23	PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS S.A. (l)		241
		403	Sonae SGPS S.A. (l)		690
					7,292
Singapore — 0.5%
		35	Ascendas Real Estate Investment Trust REIT (l)		45
		25	CapitaCommercial Trust REIT (l)		22
		115	CapitaLand Ltd. (l)		214
		48	Chartered Semiconductor Manufacturing Ltd. (a) (l)		33
		43	City Developments Ltd. (l)		237
		98	ComfortDelgro Corp., Ltd. (l)		87
		5	Creative Technology Ltd. (l)		41
		6	Datacraft Asia Ltd. (a) (l)		6
		66	DBS Group Holdings Ltd. (l)		617
		34	Haw Par Corp., Ltd. (l)		106
		14	Jardine Cycle & Carriage Ltd. (l)		93
		46	Keppel Corp., Ltd. (l)		346
		53	Neptune Orient Lines Ltd. (l)		96
		110	Oversea-Chinese Banking Corp. (l)		408

	Shares		Security Description	Value
		106	Parkway Holdings Ltd. (l)		136
		95	SembCorp Industries Ltd. (l)		169
		5	SembCorp. Marine Ltd. (l)		9
		34	Singapore Airlines Ltd. (l)		231
		2	Singapore Land Ltd. (l)		6
		41	Singapore Post Ltd. (l)		29
		131	Singapore Press Holdings Ltd. (l)		359
		29	Singapore Technologies Engineering Ltd. (l)		44
		377	Singapore Telecommunications Ltd. (l)		547
		45	STATS ChipPAC Ltd. (a) (l)		28
		78	United Overseas Bank Ltd. (l)		649
		13	United Overseas Land Ltd. (l)		18
		17	Venture Corp., Ltd. (l)		150
		9	Want Want Holdings Ltd. (l)		9
					4,735
South Africa — 0.6%
		6	AngloGold Ashanti Ltd. (l)		264
		6	Anglo Platinum Ltd. (l)		365
		6	AVI Ltd. (l)		15
		13	Barloworld Ltd. (l)		235
		2	Bidvest Group Ltd. (l)		33
		6	Consol Ltd. (a) (l)		12
		37	Edgars Consolidated Stores Ltd. (l)		183
		153	FirstRand Ltd. (l)		408
		27	Gold Fields Ltd. (l)		400
		5	Harmony Gold Mining Co., Ltd. (a) (l)		56
		1	Impala Platinum Holdings Ltd. (l)		105
		9	Imperial Holdings Ltd. (a) (l)		183
		1	Investec Ltd. (l)		42
		11	Liberty Group Ltd. (l)		112
		30	Metropolitan Holdings Ltd. (l)		53
		15	Mittal Steel South Africa Ltd. (l)		134
		16	MTN Group Ltd. (l)		132
		15	Nampak Ltd. (l)		37
		4	Naspers Ltd., Class N (l)		58
		14	Nedcor Ltd. (l)		204
		15	Sanlam Ltd. (l)		31
		14	Sappi Ltd. (l)		165
		37	Sasol Ltd. (l)		1,436
		15	Shoprite Holdings Ltd. (l)		40
		12	Standard Bank Group Ltd. (l)		132
		7	Telkom South Africa Ltd. (l)		131
		8	Tiger Brands Ltd. (l)		178
					5,144
South Korea — 0.6%
		2	Cheil Communications, Inc. (l)		464
		12	Daelim Industrial Co. (l)		841
		25	Daewoo Shipbuilding & Marine Engineering Co., Ltd. (l)		570
		10	Daishin Securities Co., Ltd. (l)		164
		8	Hyundai Mobis (l)		692
		6	LG Chem Ltd. (l)		255
		8	LG Electronics, Inc. (l)		560
		4	POSCO (l)		816

	Shares		Security Description	Value
		1	Samsung Electronics Co., Ltd. (l)		793
		8	Samsung Fire & Marine Insurance Co., Ltd. (l)		875
		1	Shinsegae Co., Ltd. (l)		289
		1	SK Telecom Co., Ltd. (l)		228
					6,547
Spain — 4.9%
		27	Abertis Infraestructuras S.A. (l)		798
		1	Acciona S.A. (l)		148
		34	Acerinox S.A. (l)		476
		47	ACS Actividades Cons y Serv (l)		1,369
		35	Altadis S.A., Class A (l)		1,553
		5	Altadis S.A. (l)		235
		7	Antena 3 de Television S.A. (l)		135
		407	Banco Bilbao Vizcaya Argentaria S.A. (l)		7,145
		76	Banco Popular Espanol S.A. (l)		931
		778	Banco Santander Central Hispano S.A. (l)		10,243
		10	Cintra Concesiones de Infraestructuras de Transporte S.A. (a) (l)		144
		14	Corp. Financiera Alba (l)		582
		33	Corp. Mapfre S.A. (l)		561
		122	Endesa S.A. (l)		3,278
		10	Fomento de Construcciones y Contratas S.A. (l)		595
		5	Gamesa Corp.Tecnologica S.A. (l)		75
		34	Gas Natural SDG S.A. (l)		1,001
		6	Grupo Ferrovial S.A. (l)		469
		100	Iberdrola S.A. (l)		2,789
		51	Iberia Lineas Aereas de Espana (l)		131
		31	Inditex S.A. (l)		896
		21	Indra Sistemas S.A. (l)		454
		7	Metrovacesa S.A. (l)		507
		4	Promotora de Informaciones S.A. (l)		76
		117	Repsol YPF S.A. (l)		3,779
		16	Sacyr Vallehermoso S.A. (l)		435
		17	Sociedad General de Aguas de Barcelona S.A., Class A (l)		412
		4	Sogecable S.A. (a) (l)		159
		11	Telefonica Publicidad e Informacion S.A. (l)		98
		543	Telefonica S.A. (l)		8,912
		21	Telefonica S.A. ADR (l)		1,026
		9	Telefonica S.A. BDR (l)		150
		46	Telepizza (l)		105
		31	Union Fenosa S.A. (l)		1,021
		22	Zeltia S.A. (l)		157
					50,845
Sweden — 1.8%
		20	Assa Abloy AB, Class B (l)		288
		40	Atlas Copco AB, Class A (l)		783
		10	D Carnegie AB (l)		132
		23	Electrolux AB, Class B (l)		535
		-(h)	Elekta AB, Class B (l)		16
		13	Eniro AB (l)		150
		12	Fabege Fastifheter RSC (l)		169
		26	Gambro AB, A Shares (l)		392
		4	Getinge AB, B Shares (l)		52

	Shares		Security Description	Value
		34	Hennes & Mauritz AB, Class B (l)		1,203
		12	Hoganas AB, Class B (l)		275
		4	Holmen AB, B Shares (l)		124
		3	Modern Times Group AB, Class B (a) (l)		102
		222	Nordea Bank AB (l)		2,223
		14	Sandvik AB (l)		718
		-(h)	SAS AB, Class B (a) (l)		4
		4	Scania AB, Class B (l)		143
		35	Securitas AB, Class B (l)		546
		67	Skandia Forsakrings AB (l)		351
		67	Skandinaviska Enskilda Banken AB, Class A (l)		1,235
		27	Skanska AB, Class B (l)		397
		29	SKF AB, B Shares (l)		382
		2	Ssab Svenskt Stal AB, Class A (l)		57
		3	Ssab Svenskt Stal AB, Class B (l)		100
		20	Svenska Cellulosa AB, Class B (l)		684
		51	Svenska Handelsbanken AB, Class A (l)		1,171
		12	Swedish Match AB (l)		141
		16	Tele2 AB, B Shares (l)		158
		1,098	Telefonaktiebolaget LM Ericsson, Class B (l)		4,038
		8	Telelogic AB, Class B (a) (l)		19
		132	TeliaSonera AB (l)		628
		8	Trelleborg AB, Class B (l)		138
		3	Volvo AB, Class A (l)		135
		19	Volvo AB, Class B (l)		845
		4	WM-data AB, Class B (l)		10
					18,344
Switzerland — 1.7%
		53	ABB Ltd. (a) (l)		385
		7	Adecco S.A. (Registered) (l)		308
		3	Clariant AG (a) (l)		41
		10	Compagnie Financiere Richemont AG , Class A (l)		385
		3	Converium Holding AG (a) (l)		28
		29	Credit Suisse Group (Registered) (l)		1,293
		-(h)	Givaudan S.A. (Registered) (l)		125
		-(h)	Holcim Ltd. (Registered) (l)		2
		1	Kudelski S.A. (a) (l)		45
		-(h)	Kuoni Reisen Holding (Registered) (a) (l)		14
		2	Logitech International S.A. (a) (l)		66
		2	Lonza Group AG (Registered) (l)		126
		1	Micronas Semiconductor Holding AG (Registered) (a)(l)		26
		10	Nestle S.A. (Registered) (l)		2,986
		-(h)	Nobel Biocare Holding AG (l)		65
		63	Novartis AG (Registered) (l)		3,228
		-(h)	Phonak Holding AG (l)		5
		3	Roche Holding AG (l)		442
		17	Roche Holding AG (l)		2,325
		-(h)	Serono S.A. , Class B (l)		8
		-(h)	SGS S.A. (l)		317
		-(h)	Sulzer AG (Registered) (l)		22
		12	Swatch Group AG (l)		338

	Shares		Security Description	Value
		8	Swiss Reinsurance (Registered) (l)		527
		1	Swisscom AG (Registered) (l)		331
		3	Syngenta AG (a) (l)		366
		33	UBS AG (Registered) (l)		2,805
		-(h)	Unaxis Holding AG (Registered) (a) (l)		42
		3	Zurich Financial Services AG (Registered) (a) (l)		551
					17,202
Taiwan — 0.5%
		400	Asustek Computer, Inc. (l)		1,077
		2,171	Far Eastern Textile Co., Ltd. (l)		1,312
		490	Quanta Computer, Inc. (l)		805
		1,311	Taishin Financial Holdings Co., Ltd. (l)		771
		928	Taiwan Mobile Co., Ltd. (l)		884
					4,849
Thailand — 0.5%
		200	Advance Agro PCL (a) (l)		120
		65	Advanced Information Service PCL (l)		170
		246	Bangkok Bank PCL (l)		685
		152	Electricity Generating PCL (l)		279
		751	Hana Microelectronics PCL (l)		454
		604	ICC International PCL, Class F (l)		610
		416	Kasikornbank PCL (l)		683
		576	Nation Multimedia Group PCL (l)		163
		101	PTT Exploration & Production PCL, Class F (l)		1,153
		424	Shin Corp. PCL, Class F (l)		424
		137	Siam Cement PCL (l)		852
					5,593
Turkey — 0.7%
		56	Akbank TAS (l)		370
		48	Akcansa Cimento A.S. (l)		256
		3	Aksa Akrilik Kimya Sanayii (l)		29
		156	Aksigorta A.S. (l)		942
		4	Alarko Holding A.S. (a) (l)		138
		16	Anadolu Efes Biracilik Ve Malt Sanayii A.S. (l)		430
		38	Arcelik (l)		220
		41	Aygaz A.S. (l)		104
		167	Cimsa Cimento Sanayi VE Tica (l)		1,164
		75	Eregli Demir ve Celik Fabrikalari TAS (l)		496
		37	Ford Otomotiv Sanayi A.S. (l)		257
		40	Migros Turk TAS (l)		336
		46	Tofas Turk Otomobil Fabrik (l)		85
		49	Trakya Cam Sanayi A.S. (l)		177
		3	Tupras Turkiye Petrol Rafine (l)		58
		157	Turkiye Garanti Bankasi A.S. (a) (l)		467
		116	Turkiye Is Bankasi (l)		804
		99	Vestel Elektronik Sanayi (a) (l)		354
		130	Yapi ve Kredi Bankasi (a) (l)		536
					7,223
United Kingdom — 10.1%
		30	3i Group plc (l)		417
		34	Aegis Group plc (l)		84
		5	Aggreko plc (l)		22
		10	Alliance Unichem plc (l)		158
		12	Amec plc (l)		78

Shares		Security Description	Value
	29	Amvescap plc (l)		190
	104	Anglo American plc (l)		3,121
	52	ARM Holdings plc (l)		107
	7	Arriva plc (l)		70
	7	Associated British Ports Holdings plc (l)		66
	73	AstraZeneca plc (l)		3,399
	104	Aviva plc (l)		1,139
	57	BAA plc (l)		632
	144	BAE Systems plc (l)		873
	16	Balfour Beatty plc (l)		93
	285	Barclays plc (l)		2,878
	17	Barratt Developments plc (l)		231
	14	BBA Group plc (l)		72
	3	Bellway plc (l)		52
	3	Berkeley Group Holdings plc Unit (a) (l)		48
	165	BG Group plc (l)		1,566
	107	BHP Billiton plc (l)		1,737
	19	BOC Group plc (l)		388
	42	Boots Group plc (l)		452
	3	Bovis Homes Group plc (l)		33
	954	BP plc (l)		11,262
	18	BPB plc (l)		228
	44	Brambles Industries plc (l)		272
	6	Britannic Group plc (l)		71
	20	British Airways plc (a) (l)		105
	71	British American Tobacco plc (l)		1,487
	33	British Land Co. plc (l)		545
	53	British Sky Broadcasting plc (l)		523
	1	Brixton plc (l)		4
	374	BT Group plc (l)		1,468
	14	Bunzl plc (l)		143
	102	Cable & Wireless plc (l)		258
	101	Cadbury Schweppes plc (l)		1,016
	25	Capita Group plc (l)		167
	8	Carnival plc (l)		416
	11	Cattles plc (l)		58
	185	Centrica plc (l)		805
	4	Close Brothers Group plc (l)		63
	36	Cobham plc (l)		102
	112	Compass Group plc (l)		406
	26	Cookson Group plc (a) (l)		152
	186	Corus Group plc (l)		169
	8	Daily Mail & General Trust (l)		98
	3	Davis Service Group plc (l)		26
	5	De La Rue plc (l)		32
	81	Depfa Bank plc (l)		1,298
	133	Diageo plc (l)		1,912
	95	Dixons Group plc (l)		253
	5	DX Services plc (l)		32
	18	Eircom Group plc (l)		43

Shares		Security Description	Value
	35	Electrocomponents plc (l)		150
	10	Emap plc (l)		139
	43	EMI Group plc (l)		185
	200	Energis plc (a) (l)		3
	13	Enterprise Inns plc (l)		192
	10	Exel plc (l)		219
	9	Filtrona plc (a) (l)		44
	9	First Choice Holidays plc (l)		34
	15	Firstgroup plc (l)		89
	16	FKI plc (l)		31
	74	Friends Provident plc (l)		244
	28	Gallaher Group plc (l)		438
	49	GKN plc (l)		254
	261	GlaxoSmithKline plc (l)		6,669
	1	Great Portland Estates plc (l)		4
	43	Group 4 Securicor plc (a) (l)		114
	44	GUS plc (l)		662
	8	Hammerson plc (l)		136
	44	Hanson plc (l)		453
	95	Hays plc (l)		207
	174	HBOS plc (l)		2,623
	93	Hilton Group plc (l)		519
	11	HMV Group plc (l)		40
	497	HSBC Holdings plc (l)		8,041
	19	ICAP plc (l)		124
	11	IMI plc (l)		80
	56	Imperial Chemical Industries plc (l)		298
	33	Imperial Tobacco Group plc (l)		942
	3	Inchcape plc (l)		118
	25	Intercontinental Hotels Group plc (l)		323
	86	International Power plc (a) (l)		378
	4	Intertek Group plc (l)		48
	223	Invensys plc (a) (l)		57
	8	iSOFT Group plc (l)		63
	191	ITV plc (l)		381
	61	J Sainsbury plc (l)		303
	8	Johnson Matthey plc (l)		160
	13	Kelda Group plc (l)		163
	32	Kesa Electricals plc (l)		144
	98	Kingfisher plc (l)		375
	31	Land Securities Group plc (l)		822
	304	Legal & General Group plc (l)		609
	6	Liberty International plc (l)		100
	247	Lloyds TSB Group plc (l)		2,032
	38	LogicaCMG plc (l)		117
	10	London Stock Exchange plc (l)		98
	13	Man Group plc (l)		366
	9	Marconi Corp. plc (a) (l)		48
	89	Marks & Spencer Group plc (l)		590

Shares		Security Description	Value
	15	Meggitt plc (l)		87
	15	MFI Furniture plc (l)		28
	28	Misys plc (l)		101
	41	Mitchells & Butlers plc (l)		266
	5	National Express Group plc (l)		78
	122	National Grid plc (l)		1,141
	11	Next plc (l)		258
	25	Old Mutual plc (l)		62
	37	Pearson plc (l)		434
	45	Peninsular & Oriental Steam Navigation Co. (l)		266
	11	Persimmon plc (l)		159
	68	Pilkington plc (l)		166
	6	Premier Farnell plc (l)		16
	10	Provident Financial plc (l)		108
	104	Prudential plc (l)		941
	9	Punch Taverns plc (l)		127
	48	Rank Group plc (l)		252
	26	Reckitt Benckiser plc (l)		806
	61	Reed Elsevier plc		561
	94	Rentokil Initial plc (l)		274
	62	Reuters Group plc (l)		413
	38	Rexam plc (l)		349
	49	Rio Tinto plc (l)		2,015
	66	Rolls-Royce Group plc (a) (l)		438
	122	Royal & Sun Alliance Insurance Group plc (l)		208
	141	Royal Bank of Scotland Group plc (l)		4,001
	122	Royal Dutch Shell PLC (l)		4,209
	38	SABMiller plc (l)		742
	65	Sage Group plc (l)		266
	13	Schroders plc (l)		211
	33	Scottish & Newcastle plc (l)		269
	36	Scottish & Southern Energy plc (l)		652
	98	Scottish Power plc (l)		985
	15	Serco Group plc (l)		69
	13	Severn Trent plc (l)		235
	66	Signet Group plc (l)		120
	9	Slough Estates plc (l)		87
	34	Smiths Group plc (l)		567
	7	SSL International plc (l)		32
	34	Stagecoach Group plc (l)		67
	20	Tate & Lyle plc (l)		161
	41	Taylor Woodward plc (l)		232
	339	Tesco plc (l)		1,851
	27	Tomkins plc (l)		139
	4	Travis Perkins plc (l)		92
	10	Trinity Mirror plc (l)		109
	121	Unilever plc (l)		1,268
	10	United Business Media plc (l)		97
	27	United Utilities plc (l)		312
	2,891	Vodafone Group plc (l)		7,521

	Shares		Security Description	Value
		8	Whitbread plc (l)		128
		10	William Hill plc (l)		102
		15	Wimpey George plc (l)		112
		25	Wolseley plc (l)		531
		61	Woolworths Group plc (l)		36
		50	WPP Group plc (l)		508
		29	Yell Group plc (l)		243
					107,057
			Total Common Stocks (Cost $662,454)		1,014,928
iShares — 0.2%
Germany — 0.1%
		38	MSCI Germany Index Fund (l)		738
Hong Kong — 0.0% (g)
		1	MSCI Hong Kong Index (l)		11
Pacific ex-Japan — 0.1%
		13	MSCI Pacific ex-Japan Index Fund (l)		1,317
Singapore — 0.0% (g)
		8	MSCI Singapore Index Fund (l)		62
			Total iShares (Cost $1,909)		2,128
Preferred Stocks — 1.0%
Brazil — 0.6%
		65	Aracruz Celulose S.A. (l)		262
		11	Banco Bradesco S.A. (l)		548
		5	Banco Itau Holding Financeira S.A. (l)		1,156
		7,316	Brasil Telecom Participacoes S.A. (l)		62
		5,986	Cia Brasileira de Distribuicao Grupo Pao de Acucar (l)		172
		788	Cia de Bebidas das Americas (l)		293
		2,930	Cia Energetica de Minas Gerais S.A. (l)		111
		39	Cia Vale do Rio Doce (l)		1,509
		33	Contax Participacoes S.A. (l)		21
		110	Petroleo Brasileiro S.A. (l)		1,760
		33	Tele Norte Leste Participacoes (l)		546
		8	Telesp Celular Participacoes S.A. (a) (l)		33
		23	Uniao De Bancos Brasileiros (l)		96
		13	Votorantim Celulosee e Papel S.A. (l)		173
					6,742
Germany — 0.4%
		2	Fresenius Medical Care AG (l)		139
		11	Henkel KGaA (l)		1,011
		2	Porsche AG (l)		1,511
		12	RWE AG (l)		711
		17	Volkswagen AG (l)		761
					4,133
Singapore — 0.0% (g)
		34	Oversea-Chinese Banking Corp. (a) (l)		21
			Total Preferred Stocks (Cost $5,188)		10,875

	Number of
	Rights
Rights — 0.0% (g)
Brazil — 0.0% (g)
		11	Rio Bond expiring 12/31/09 (l)	-(h)
Ireland — 0.0% (g)
		8	Eircom Group plc expiring 10/30/05 (l)	6
Norway — 0.0% (g)
		26	Norske Skogindustrier ASA expiring 10/13/05 (l)	46
			Total Rights (Cost $-(h))	52

	Number of
	Warrants
Warrants — 0.0% (g)
Singapore — 0.0% (g)
		5	City Developments Ltd. expiring 5/10/06 (a) (l) (Cost $-)	20
			Total Long-Term Investments (Cost $669,551)	1,028,003

	Shares
Short-Term Investments — 0.6%
Investment Company — 0.5%
		4,797	JPMorgan Liquid Assets Money Market Fund (b)	4,797

	Principal Amount
U.S. Treasury Obligation — 0.1%
	$	820	U.S. Treasury Bills 3.11%, 12/08/05 (k) (n)		815
			Total Short-Term Investments (Cost $5,612)		5,612
Investments of Cash Collateral for Securities Loaned — 15.1%
Repurchase Agreements — 15.1%
		30,000	Banc of America Securities LLC, 3.77%, dated 09/30/05, due 11/01/05, repurchase price $30,101, collateralized by U.S. Government Agency Mortgages		30,000
		22,000	Barclays Capital, 3.87%, dated 09/30/05, due 10/03/05, repurchase price $22,007, collateralized by U.S. Government Agency Securities		22,000
		22,000	HSBC Securities, Inc., 3.88%, dated 09/30/05, due 10/03/05, repurchase price $22,007, collateralized by U.S. Government Agency Securities		22,000
		31,000	Lehman Brothers, Inc., 4.06%, dated 09/30/05, due 10/03/05, repurchase price $31,010, collateralized by equity securities		31,000
		7,795	Merrill Lynch Securities, 3.88%, dated 09/30/05, due 10/03/05, repurchase price $7,798, collateralized by U.S. Government Agency Securities		7,795
		22,000	Morgan Stanley, 3.96%, dated 09/30/05, due 10/03/05, repurchase price $22,007, collateralized by U.S. Government Agency Securities		22,000
		22,000	UBS Securities LLC, 3.90%, dated 09/30/05, due 10/03/05, repurchase price $22,007, collateralized by U.S. Government Agency Securities		22,000
			Total Investments of Cash Collateral for Securities Loaned (Cost $156,795)		156,795
Total Investments — 114.7% (Cost $831,958)				$	1,190,410
Liabilities in Excess of Other Assets — (14.7)%					(152,682	)
Net Assets — 100.0%				$	1,037,728

Percentages indicated are based on net assets.

Abbreviations:

(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 JPMorgan Investment Advisors Inc.
(g)	Amount rounds to less than 0.1%.
(h)	Amount rounds to less than one thousand.
(k)	Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts.
(l)	All or a portion of this security is segregated for current or potential of forward foreign currency contracts.
(n)	The rate shown is the effective yield at the date of purchase.

ADR	American Depositary Receipt
BDR	Brazilian Depositary Receipt
COP	Certificate of Participation
CVA	Dutch Certification
GDR	Global Depositary Receipt
REIT	Real Estate Investment Trust
RNC	Risparmio Non-Convertible Savings Shares

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	388,922
Aggregate gross unrealized depreciation		(30,470	)
Net unrealized appreciation/depreciation	$	358,452
Federal income tax cost of investments	$	831,958

Foreign Currency Exchange Contracts
(Amounts in thousands, except number of contracts)

									Net
									Unrealized
							Value at		Appreciation
					Settlement		09/30/05		(Depreciation)
Contracts to Sell			Settlement Date		Value (USD)		(USD)		(USD)
	19,000,000	JPY		10/3/2005	$	168	$	167	$	1

Futures Contracts
(Amounts in thousands, except number of contracts)

				Notional		Unrealized
				Value at		Appreciation
Number of				09/30/05		(Depreciation)
Contracts		Description	Expiration Date	(USD)		(USD)
	110	Dow Jones Euro Stoxx	December, 2005	$	4,543	$	113
	18	FTSE 100 Index	December, 2005		1,741		29
	26	Topix Index	December, 2005		3,226		299
						$	441

Summary of Investments by Industry, September 30, 2005
The following represents the allocations by industry for common stocks and other investments based on net assets:

Industry
Finance	26.6	%
Consumer Discretionary	12.1
Industrials	10.8
Materials	8.9
Energy	7.9
Telecommunication Services	7.8
Utilities	6.7
Information Technology	5.7
Health Care	5.6
Consumer Staples	5.5
iShares	0.2
Investments of Cash Collateral for Securities on Loan	15.1
Short-Term Investments	0.6
Total	113.5	%

JPMorgan Equity Income Fund	JPMorgan Equity Income Fund
Schedule of Portfolio Investments As of September 30, 2005 (Unaudited) (Amounts in thousands)

	Shares		Security Description	Value
Long-Term Investments — 96.6%
Common Stocks — 96.6%
Aerospace & Defense — 0.9%
		77	United Technologies Corp.	$	4,012
Beverages — 3.1%
		100	Anheuser-Busch Cos., Inc.		4,317
		214	Coca-Cola Co. (The)		9,260
					13,577
Capital Markets — 2.3%
		156	Bank of New York Co., Inc. (The)		4,600
		100	Morgan Stanley		5,415
					10,015
Chemicals — 2.6%
		68	Air Products & Chemicals, Inc.		3,771
		90	Dow Chemical Co. (The)		3,759
		35	International Flavors & Fragrances, Inc.		1,247
		41	PPG Industries, Inc.		2,433
					11,210
Commercial Banks — 10.9%
		253	Bank of America Corp.		10,642
		110	Compass Bancshares, Inc.		5,051
		73	Fifth Third Bancorp		2,670
		198	North Fork Bancorp, Inc.		5,049
		45	SunTrust Banks, Inc.		3,146
		124	TCF Financial Corp.		3,307
		306	U.S. Bancorp		8,581
		155	Wells Fargo & Co.		9,049
					47,495
Commercial Services & Supplies — 2.8%
		200	Cendant Corp.		4,124
		101	Pitney Bowes, Inc.		4,228
		126	Waste Management, Inc.		3,602
					11,954
Construction Materials — 1.4%
		41	Cemex S.A. de C.V. ADR (Mexico)		2,145
		53	Vulcan Materials Co.	3,918
					6,063
Consumer Finance — 1.4%
		253	MBNA Corp.		6,244
Containers & Packaging — 0.9%
		93	Temple-Inland, Inc.		3,817
Diversified Financial Services — 2.9%
		273	Citigroup, Inc.		12,418
Diversified Telecommunication Services — 8.1%
		231	Alltel Corp.		15,035
		102	BellSouth Corp.		2,693
		152	Consolidated Communications Holdings, Inc. (a)		2,063
		161	Fairpoint Communications, Inc.		2,354

Page 1

JPMorgan Equity Income Fund

	Shares		Security Description	Value
		181	SBC Communications, Inc.		4,336
		274	Verizon Communications, Inc.		8,961
					35,442
Electric Utilities — 2.1%
		54	American Electric Power Co., Inc.		2,140
		33	ITC Holdings Corp.		962
		130	Northeast Utilities		2,597
		84	PG&E Corp.		3,309
					9,008
Electrical Equipment — 0.9%
		54	Emerson Electric Co.		3,884
Food Products — 2.2%
		109	Fresh Del Monte Produce, Inc. (Cayman Islands)		2,975
		123	HJ Heinz Co.		4,498
		98	Sara Lee Corp.		1,865
					9,338
Gas Utilities — 2.5%
		297	AGL Resources, Inc.		11,003
Health Care Equipment & Supplies — 0.5%
		32	Guidant Corp.		2,170
Hotels, Restaurants & Leisure — 0.9%
		63	Harrah’s Entertainment, Inc.		4,100
Household Products — 0.8%
		59	Clorox Co.		3,294
Industrial Conglomerates — 4.2%
		483	General Electric Co.		16,266
		100	Reddy Ice Group, Inc.		2,053
					18,319
Insurance — 7.5%
		82	Allstate Corp. (The)		4,534
		170	Chubb Corp.		15,188
		65	Hartford Financial Services Group, Inc.		5,031
		63	IPC Holdings Ltd. (Bermuda)		2,047
		111	Old Republic International Corp.		2,966
		68	St. Paul Travelers Cos., Inc. (The)		3,051
					32,817
Machinery — 1.0%
		35	Caterpillar, Inc.		2,080
		36	Eaton Corp.		2,288
					4,368
Marine — 0.8%
			Seaspan Corp.
		170	(China)		3,293
Media — 3.3%
		115	Clear Channel Communications, Inc.		3,786
		407	Regal Entertainment Group, Class A		8,160
		129	Westwood One, Inc.		2,560
					14,506

Page 2

JPMorgan Equity Income Fund

	Shares		Security Description	Value
Multiline Retail — 0.2%
		10	Federated Department Stores, Inc.		667
Oil, Gas & Consumable Fuels — 9.4%
		121	Chevron Corp.		7,848
		121	ConocoPhillips		8,487
		226	Exxon Mobil Corp.		14,335
		61	Kinder Morgan, Inc.		5,818
		68	Royal Dutch Shell plc		4,463
					40,951
Paper & Forest Products — 1.8%
		159	MeadWestvaco Corp.		4,381
		53	Weyerhaeuser Co.		3,630
					8,011
Pharmaceuticals — 4.3%
		52	Eli Lilly & Co.		2,805
		137	Johnson & Johnson		8,657
		92	Pfizer, Inc.		2,297
		110	Wyeth		5,108
					18,867
Real Estate — 4.7%
		106	Global Signal, Inc. REIT (m)		4,729
		76	iStar Financial, Inc. REIT		3,081
		41	Public Storage, Inc. REIT		2,754
		66	Rayonier, Inc. REIT		3,812
		70	Regency Centers Corp. REIT		3,998
		81	W.P. Carey & Co. LLC		2,183
					20,557
Software — 0.8%
		141	Microsoft Corp.		3,636
Specialty Retail — 1.2%
		259	Limited Brands, Inc.		5,284
Textiles, Apparel & Luxury Goods — 2.6%
		196	V.F. Corp.		11,351
Thrifts & Mortgage Finance — 3.7%
		156	Freddie Mac		8,814
		193	New York Community Bancorp, Inc.		3,161
		106	Washington Mutual, Inc.		4,165
					16,140
Tobacco — 3.9%
		106	Altria Group, Inc.		7,835
		227	Loews Corp. — Carolina Group		8,984
					16,819
			Total Common Stocks (Cost $306,072)		420,630
Convertible Bond — 0.5%
Media — 0.5%
		3,000	Liberty Media Corp. (Cost $2,897)		2,325

Page 3

JPMorgan Equity Income Fund

	Shares		Security Description	Value
Convertible Preferred Stocks — 1.5%
Health Care Equipment & Supplies — 0.7%
		50	Baxter International, Inc.		2,850
Media — 0.8%
		40	Tribune Co.		3,270
			Total Convertible Preferred Stocks
			(Cost $5,912)		6,120
			Total Long-Term Investments (Cost $314,881)		429,075
Short-Term Investment — 2.0%
Investment Company — 2.0%
		8,637	JPMorgan Liquid Assets Money Market Fund (b) (Cost $8,637)		8,637
Principal
Amount
Investments of Cash Collateral for Securities on Loan — 7.4%
Certificate of Deposit — 0.1%
	$	224	Natexis Banques Populaires, 4.12%, 10/03/05		224
		374	World Savings Bank FSB, 3.87%, 12/15/05		374
					598
Corporate Notes — 0.4%
		150	Citigroup Global Markets Holdings, Inc., 3.94%, 12/12/05		150
		224	General Electric Co., 3.70%, 10/24/05		224
		523	Greenwich Capital Holdings, Inc., 4.25%, 10/11/05		523
		235	HBOS Treasury Services plc, 3.71%, 10/03/05		235
			Lehman Brothers Holdings,
		150	4.02%, 10/03/05		150
		299	4.14%, 10/03/05		299
		118	MBIA Global Funding LLC, 3.93%, 10/26/05		118
		149	Sigma Finance, Inc., 4.10%, 10/03/05		149
					1,848
Repurchase Agreements — 6.9%
		6,000	Banc of America Securities LLC, 3.95%, dated 09/30/05, due 10/03/05, repurchase price $6,002, collateralized by U.S. Government Agency Securities		6,000
		6,000	HSBC Securities, Inc., 3.88%, dated 09/30/05, due 10/03/05, repurchase price $6,002, collateralized by U.S. Government Agency Securities		6,000
		6,000	Lehman Brothers, Inc., 3.88%, dated 09/30/05, due 10/03/05, repurchase price $6,002, collateralized by U.S. Government Agency Securities		6,000
		5,736	Merrill Lynch Securities, 3.88%, dated 09/30/05, due 10/03/05, repurchase price $5,738, collateralized by U.S. Government Agency Securities		5,736
		6,000	Morgan Stanley, 3.96%, dated 09/30/05, due 10/03/05, repurchase price $6,002, collateralized by U.S. Government Agency Securities		6,000
					29,736
			Total Investments of Cash Collateral for Securities on Loan (Cost $32,182)		32,182
Total Investments — 108.0%
(Cost $355,700)				$	469,894
Liabilities in Excess of Other Assets — (8.0)%					(34,650	)
Net Assets — 100.0%				$	435,244

Percentages indicated are based on net assets.

Page 4

JPMorgan Equity Income Fund

Abbreviations:

(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 JPMorgan Investment Advisors Inc.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA’s, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

ADR	American Depositary Receipt
REIT	Real Estate Investment Trust

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	122,724
Aggregate gross unrealized depreciation		(8,530	)
Net unrealized appreciation/depreciation	$	114,194
Federal income tax cost of investments	$	355,700

Page 5

JPMorgan Large Cap Growth Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Shares	Security Description	Value
Long-Term Investments — 99.0%
Common Stocks — 99.0%
Aerospace & Defense — 3.7%
439	Boeing Co.	$	29,823
146	General Dynamics Corp.		17,410
253	Lockheed Martin Corp.		15,449
			62,682
Air Freight & Logistics — 1.0%
309	Expeditors International of Washington, Inc.		17,534
Biotechnology — 5.1%
465	Amgen, Inc. (a)		37,066
296	Genentech, Inc. (a)		24,897
263	Gilead Sciences, Inc. (a)		12,838
368	MedImmune, Inc. (a)		12,384
			87,185
Capital Markets — 0.9%
173	Franklin Resources, Inc.		14,491
Chemicals — 0.8%
294	Praxair, Inc.		14,090
Commercial Services & Supplies — 2.3%
125	Apollo Group, Inc., Class A (a)		8,295
154	Corporate Executive Board Co.		12,009
234	Education Management Corp. (a)		7,555
315	Robert Half International, Inc.		11,197
			39,056
Communications Equipment — 7.0%
1,045	Cisco Systems, Inc. (a)		18,735
1,506	Corning, Inc. (a)		29,110
529	Juniper Networks, Inc. (a)		12,583
883	Motorola, Inc.		19,513
754	QUALCOMM, Inc.		33,748
75	Research In Motion Ltd. (Canada) (a)		5,137
			118,826
Computers & Peripherals — 4.4%

Page 1

Shares	Security Description	Value
477	Apple Computer, Inc. (a)		25,556
1,100	Dell, Inc. (a)		37,631
904	EMC Corp. (a)		11,691
			74,878
Diversified Financial Services — 3.0%
87	Chicago Mercantile Exchange Holdings, Inc.		29,507
345	Lazard Ltd. (Bermuda), Class A		8,721
258	Moody’s Corp.		13,163
			51,391
Diversified Telecommunication Services — 1.0%
677	Sprint Corp.		16,109
Electrical Equipment — 0.8%
345	Roper Industries, Inc.		13,555
Electronic Equipment & Instruments — 0.0% (g)
18	Symbol Technologies, Inc.		171
Energy Equipment & Services — 1.2%
60	Schlumberger Ltd. (Neth. Antilles)		5,037
471	Smith International, Inc.		15,704
			20,741
Food & Staples Retailing — 2.4%
193	Costco Wholesale Corp.		8,308
912	CVS Corp.		26,471
207	Sysco Corp.		6,486
			41,265
Health Care Equipment & Supplies — 3.1%
91	Bausch & Lomb, Inc.		7,358
192	Fisher Scientific International, Inc. (a)		11,882
93	Guidant Corp.		6,389
416	Medtronic, Inc.		22,279
67	Zimmer Holdings, Inc. (a)		4,609
			52,517
Health Care Providers & Services — 7.7%
184	Aetna, Inc.		15,824
300	DaVita, Inc. (a)		13,821
495	HCA, Inc.		23,706

Page 2

Shares	Security Description	Value
280	Laboratory Corp. of America Holdings (a)		13,651
385	Medco Health Solutions, Inc. (a)		21,126
763	UnitedHealth Group, Inc.		42,874
			131,002
Hotels, Restaurants & Leisure — 2.4%
377	Carnival Corp. (Panama)		18,837
348	Marriott International, Inc., Class A		21,911
			40,748
Household Durables — 1.0%
363	Toll Brothers, Inc. (a)		16,229
Household Products — 3.1%
890	Procter & Gamble Co.		52,901
Industrial Conglomerates — 4.0%
2,028	General Electric Co.		68,266
Insurance — 0.7%
183	Prudential Financial, Inc.		12,357
Internet & Catalog Retail — 0.7%
295	eBay, Inc. (a)		12,161
Internet Software & Services — 3.4%
109	Google, Inc., Class A (a)		34,382
372	VeriSign, Inc. (a)		7,956
463	Yahoo!, Inc. (a)		15,656
			57,994
IT Services — 4.1%
246	Affiliated Computer Services, Inc., Class A (a)		13,416
509	Automatic Data Processing, Inc.		21,925
434	Cognizant Technology Solutions Corp., Class A (a)		20,201
373	Iron Mountain, Inc. (a)		13,695
			69,237
Machinery — 0.6%
187	Danaher Corp.		10,072
Media — 1.5%

Page 3

Shares	Security Description	Value
141	Getty Images, Inc. (a)		12,093
361	XM Satellite Radio Holdings, Inc., Class A (a)		12,949
			25,042
Metals & Mining — 0.4%
153	United States Steel Corp.		6,469
Multiline Retail — 2.3%
306	Kohl’s Corp. (a)		15,340
455	Target Corp.		23,624
			38,964
Oil, Gas & Consumable Fuels — 3.8%
325	EOG Resources, Inc.		24,342
402	Newfield Exploration Co. (a)		19,714
176	Valero Energy Corp.		19,865
			63,921
Personal Products — 1.3%
390	Gillette Co. (The)		22,703
Pharmaceuticals — 6.2%
484	Abbott Laboratories		20,520
826	Johnson & Johnson		52,272
198	Sepracor, Inc. (a)		11,662
434	Wyeth		20,058
			104,512
Road & Rail — 0.6%
183	Burlington Northern Santa Fe Corp.		10,937
Semiconductors & Semiconductor Equipment — 4.4%
555	Altera Corp. (a)		10,608
154	Analog Devices, Inc.		5,721
1,131	Intel Corp.		27,889
105	KLA-Tencor Corp.		5,115
235	Linear Technology Corp.		8,851
363	Marvell Technology Group Ltd. (Bermuda) (a)		16,742
-(h)	Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan), ADR		—	(h)
			74,926
Software — 5.3%
538	Adobe Systems, Inc.		16,068

Page 4

Shares	Security Description	Value
389	Autodesk, Inc.		18,084
2,164	Microsoft Corp.		55,680
			89,832
Specialty Retail — 4.5%
159	Home Depot, Inc.		6,053
650	Lowe’s Cos., Inc.		41,847
298	Michaels Stores, Inc.		9,842
855	Staples, Inc.		18,218
			75,960
Textiles, Apparel & Luxury Goods — 0.8%
426	Coach, Inc. (a)		13,344
Tobacco — 2.0%
451	Altria Group, Inc.		33,258
Wireless Telecommunication Services — 1.5%
1,031	Crown Castle International Corp. (a)		25,394
	Total Long-Term Investments
	(Cost $1,352,126)		1,680,720
Short-Term Investment — 1.0%
Investment Company — 1.0%
16,777	JPMorgan Liquid Assets Money Market Fund (b) (m)
	(Cost $16,777)		16,777
Principal
Amount
Investments of Cash Collateral for Securities on Loan — 6.1%
Certificate of Deposit — 0.2%
$1,085	Natexis Banques Populaires, 4.12%, 10/03/05		1,085
1,809	World Savings Bank FSB, 3.87%, 12/15/05		1,809
			2,894
Corporate Notes — 0.9%
731	Citigroup Global Markets Holdings, Inc., 3.94%, 12/12/05		731
2,085	General Electric Co., 3.70%, 10/24/05		2,085
2,533	Greenwich Capital Holdings, Inc., 4.25%, 10/11/05		2,533
1,085	HBOS Treasury Services plc, 3.71%, 10/03/05		1,085
	Lehman Brothers Holdings
724	4.02%, 10/03/05		724

Page 5

Shares	Security Description	Value
1,447	4.14%, 10/03/05		1,447
543	MBIA Global Funding LLC, 3.93%, 10/26/05		543
5,500	Morgan Stanley, 4.12%, 10/03/05		5,500
724	Sigma Finance, Inc., 4.10%, 10/03/05		724
			15,372
Repurchase Agreements — 5.0%
15,000	Banc of America Securities LLC, 3.77%, dated 09/30/05,
	due 11/01/05, repurchase price $15,050, collateralized by
	U.S. Government Agency Mortgages		15,000
19,000	Barclays Capital, 3.87%, dated 09/30/05, due 10/03/05,
	repurchase price $19,006, collateralized by U.S.
	Government Agency Securities		19,000
20,000	HSBC Securities, Inc., 3.88%, dated 09/30/05, due
	10/03/05, repurchase price $20,006, collateralized by
	U.S. Government Agency Securities		20,000
9,000	Lehman Brothers, Inc., 4.06%, dated 09/30/05, due
	10/03/05, repurchase price $9,003, collateralized by
	various equity securities		9,000
21,836	Merrill Lynch Securities, 3.88%, dated 09/30/05, due
	10/03/05, repurchase price $21,843, collateralized by
	U.S. Government Agency Securities		21,836
			84,836
	Investments of Cash Collateral for Securities on Loan
	(Cost $103,102)		103,102
Total Investments — 106.1%
(Cost $1,472,005)			$1,800,599
Liabilities in Excess of Other Assets — (6.1)%			(103,834	)
Net Assets — 100.0% $			1,696,765

Percentages indicated are based on net assets.

Abbreviations:

(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 JPMorgan Investment Advisors Inc.
(g)	Amount rounds to less than 0.1%.
(h)	Amount rounds to less than one thousand.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA’s, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

ADR American Depositary Receipt

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Page 6

Aggregate gross unrealized appreciation	$	343,181
Aggregate gross unrealized depreciation		(14,587	)
Net unrealized appreciation/depreciation	$	328,594
Federal income tax cost of investments	$	1,472,005

Page 7

JPMorgan Multi-Cap Market Neutral Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares		Security Description	Value
Long-Term Investments — 94.0%
Common Stocks — 94.0%
Aerospace & Defense — 1.7%
		145	Armor Holdings, Inc. (a) (m)	$	6,218
		81	Lockheed Martin Corp. (m)		4,931
		94	Northrop Grumman Corp. (m)		5,092
		118	Precision Castparts Corp. (m)		6,277
		109	Raytheon Co. (m)		4,153
					26,671
Air Freight & Logistics — 0.3%
		89	CNF, Inc. (m)		4,672
Airlines — 0.4%
		228	Continental Airlines, Inc., Class B (a) (m)		2,201
		172	Skywest, Inc. (m)		4,618
					6,819
Auto Components — 0.8%
		261	ArvinMeritor, Inc. (m)		4,359
		414	Goodyear Tire & Rubber Co. (The) (a) (m)		6,462
		75	TRW Automotive Holdings Corp. (a) (m)		2,212
					13,033
Automobiles — 0.3%
		518	Ford Motor Co. (m)		5,105
Beverages — 0.9%
		239	Coca-Cola Enterprises, Inc. (m)		4,655
		168	Pepsi Bottling Group, Inc. (m)		4,795
		176	PepsiAmericas, Inc. (m)		3,991
					13,441
Biotechnology — 2.1%
		61	Amgen, Inc. (a) (m)		4,891
		141	Applera Corp.- Applied Biosystems Group (m)		3,282
		119	Cephalon, Inc. (a) (m)		5,523
		73	Invitrogen Corp. (a) (m)		5,467
		76	Medarex, Inc. (a) (m)		725
		281	Millennium Pharmaceuticals, Inc. (a) (m)		2,622
		92	Nabi Biopharmaceuticals (a) (m)		1,202
		104	Telik, Inc. (a) (m)		1,705
		113	United Therapeutics Corp. (a) (m)		7,880
					33,297
Capital Markets — 0.6%
		11	Bear Stearns Cos., Inc. (The) (m)		1,191
		56	Lehman Brothers Holdings, Inc. (m)		6,500
		19	Merrill Lynch & Co., Inc. (m)		1,178
		161	QLT, Inc. (Canada) (a) (m)		1,231
					10,100
Chemicals — 1.7%
		149	Chempura Corp. (m)		1,849
		63	H.B. Fuller Co. (m)		1,971
		328	Hercules, Inc. (a) (m)		4,011
		109	Lubrizol Corp. (m)		4,726
		186	Lyondell Chemical Co. (m)		5,330
		244	Olin Corp. (m)		4,634
		88	Rohm & Haas Co. (m)		3,604
					26,125

	Shares		Security Description	Value
Commercial Banks — 2.5%
		116	Bank of America Corp. (m)		4,896
		93	Comerica, Inc. (m)		5,479
		255	First Bancorp (m)		4,320
		99	First Horizon National Corp. (m)		3,586
		132	Keycorp		4,248
		128	National City Corp. (m)		4,288
		100	Popular, Inc. (m)		2,427
		86	UnionBanCal Corp. (m)		5,994
		34	Wachovia Corp. (m)		1,620
		28	Zions Bancorp (m)		2,010
					38,868
Commercial Services & Supplies — 2.0%
		150	Administaff, Inc. (m)		5,957
		103	Career Education Corp. (a) (m)		3,673
		276	Cendant Corp. (m)		5,698
		79	Labor Ready, Inc. (a) (m)		2,022
		85	Manpower, Inc. (m)		3,762
		133	Monster Worldwide, Inc. (a) (m)		4,099
		163	R.R. Donnelley & Sons Co. (m)		6,038
					31,249
Communications Equipment — 2.4%
		125	ADC Telecommunications, Inc. (a) (m)		2,853
		158	Arris Group, Inc. (a) (m)		1,868
		511	Avaya, Inc. (a) (m)		5,266
		257	CommScope, Inc. (a) (m)		4,454
		286	Emulex Corp. (a) (m)		5,789
		438	Powerwave Technologies, Inc. (a) (m)		5,692
		233	Tekelec (a) (m)		4,888
		660	Tellabs, Inc. (a) (m)		6,942
					37,752
Computers & Peripherals — 2.1%
		556	Brocade Communications Systems, Inc. (a) (m)		2,270
		221	Hewlett-Packard Co. (m)		6,443
		151	Komag, Inc. (a) (m)		4,839
		927	Maxtor Corp. (a) (m)		4,078
		321	Seagate Technology (Cayman Islands) (a) (m)		5,089
		1,097	Sun Microsystems, Inc. (a) (m)		4,298
		433	Western Digital Corp. (a) (m)		5,593
					32,610
Construction & Engineering — 0.4%
		273	Shaw Group, Inc. (The) (a) (m)		6,726
Construction Materials — 0.5%
		63	Eagle Materials, Inc. (m)		7,701
Consumer Finance — 0.3%
		33	CompuCredit Corp. (a) (m)		1,446
		132	First Marblehead Corp. (The) (m)		3,357
					4,803

	Shares		Security Description	Value
Containers & Packaging — 0.5%
		140	Crown Holdings, Inc. (a) (m)		2,226
		286	Owens-Illinois, Inc. (a) (m)		5,891
					8,117
Distributors — 0.3%
		152	WESCO International, Inc. (a) (m)		5,134
Diversified Financial Services — 0.3%
		113	CIT Group, Inc.		5,111
Diversified Telecommunication Services — 0.8%
		123	CenturyTel, Inc. (m)		4,306
		934	Qwest Communications International, Inc. (a) (m)		3,831
		196	Sprint Corp. (m)		4,670
					12,807
Electric Utilities — 3.4%
		24	Allete, Inc. (m)		1,104
		117	Alliant Energy Corp. (m)		3,406
		143	American Electric Power Co., Inc.		5,658
		474	CenterPoint Energy, Inc. (m)		7,042
		173	Edison International (m)		8,157
		233	Pepco Holdings, Inc. (m)		5,415
		129	PG&E Corp. (m)		5,052
		105	Progress Energy, Inc. (m)		4,711
		138	Puget Energy, Inc. (m)		3,242
		282	TECO Energy, Inc. (m)		5,083
		16	TXU Corp. (m)		1,794
		62	WPS Resources Corp. (m)		3,599
					54,263
Electronic Equipment & Instruments — 2.6%
		207	Arrow Electronics, Inc. (a) (m)		6,484
		281	Avnet, Inc. (a) (m)		6,872
		293	Celestica, Inc. (Canada) (a) (m)		3,311
		349	Flextronics International Ltd. (Singapore) (a) (m)		4,485
		232	Ingram Micro, Inc., Class A (a) (m)		4,297
		111	Itron, Inc. (a) (m)		5,048
		854	Sanmina-SCI Corp. (a) (m)		3,664
		1,488	Solectron Corp. (a) (m)		5,818
					39,979
Energy Equipment & Services — 3.8%
		263	Global Industries Ltd. (a) (m)		3,876
		195	Grant Prideco, Inc. (a) (m)		7,936
		87	Helmerich & Payne, Inc. (m)		5,268
		92	Lone Star Technologies, Inc. (a) (m)		5,127
		142	NS Group, Inc. (a) (m)		5,584
		160	Oil States International, Inc. (a) (m)		5,797
		147	Patterson-UTI Energy, Inc. (m)		5,317
		242	Superior Energy Services, Inc. (a) (m)		5,581
		114	Unit Corp. (a) (m)		6,310
		244	Veritas DGC, Inc. (a) (m)		8,926
					59,722
Food & Staples Retailing — 1.7%
		145	Albertson’s, Inc. (m)		3,726

	Shares		Security Description	Value
		249	Kroger Co. (The) (a) (m)		5,132
		78	Pantry, Inc. (The) (a) (m)		2,913
		93	Performance Food Group Co. (a) (m)		2,945
		299	Safeway, Inc. (m)		7,664
		152	SUPERVALU, Inc. (m)		4,736
					27,116
Food Products — 0.9%
		184	Archer-Daniels-Midland Co. (m)		4,548
		59	Dean Foods Co. (a) (m)		2,307
		161	Pilgrim’s Pride Corp., Class B (m)		5,869
		80	Tyson Foods, Inc., Class A (m)		1,444
					14,168
Gas Utilities — 0.3%
		150	UGI Corp. (m)		4,235
Health Care Equipment & Supplies — 1.7%
		126	Baxter International, Inc. (m)		5,025
		46	Becton, Dickinson & Co. (m)		2,407
		181	Boston Scientific Corp. (a) (m)		4,225
		61	Hillenbrand Industries, Inc. (m)		2,860
		70	Intuitive Surgical, Inc. (a)		5,138
		80	Mentor Corp. (m)		4,395
		78	Varian, Inc. (a) (m)		2,689
					26,739
Health Care Providers & Services — 4.4%
		60	Aetna, Inc. (m)		5,167
		79	AmerisourceBergen Corp. (m)		6,111
		74	Caremark Rx, Inc. (a) (m)		3,690
		74	Cigna Corp. (m)		8,678
		96	Community Health Systems, Inc. (a) (m)		3,726
		125	Express Scripts, Inc. (a) (m)		7,787
		75	Genesis HealthCare Corp. (a) (m)		3,032
		30	HCA, Inc. (m)		1,419
		122	Health Net, Inc. (a) (m)		5,753
		120	Humana, Inc. (a) (m)		5,757
		169	Kindred Healthcare, Inc. (a) (m)		5,023
		76	Magellan Health Services, Inc. (a) (m)		2,684
		93	McKesson Corp. (m)		4,396
		36	Triad Hospitals, Inc. (a) (m)		1,637
		128	United Surgical Partners International, Inc. (a) (m)		5,015
					69,875
Home Furnishings — 0.2%
		253	Tempur-Pedic International, Inc. (a) (m)		2,996
Hotels, Restaurants & Leisure — 2.4%
		66	Ameristar Casinos, Inc. (m)		1,365
		46	Brinker International, Inc. (a) (m)		1,722
		138	CBRL Group, Inc. (m)		4,661
		191	Darden Restaurants, Inc. (m)		5,814
		123	Domino’s Pizza, Inc. (m)		2,880
		180	GTECH Holdings Corp. (m)		5,767
		143	Jack in the Box, Inc. (a) (m)		4,266
		216	La Quinta Corp. (a) (m)		1,874

	Shares		Security Description	Value
		87	Marriott International, Inc., Class A (m)		5,503
		96	Penn National Gaming, Inc. (a) (m)		2,981
		51	Pinnacle Entertainment, Inc. (a) (m)		930
					37,763
Household Durables — 3.5%
		217	American Greetings Corp., Class A (m)		5,955
		54	Beazer Homes USA, Inc. (m)		3,189
		75	Furniture Brands International, Inc. (m)		1,355
		63	Hovnanian Enterprises, Inc., Class A (a) (m)		3,232
		47	KB Home (m)		3,468
		69	Lennar Corp., Class A (m)		4,130
		58	MDC Holdings, Inc. (m)		4,596
		30	Meritage Homes Corp. (a) (m)		2,303
		3	NVR, Inc. (a) (m)		2,481
		95	Pulte Homes, Inc. (m)		4,067
		30	Ryland Group, Inc. (m)		2,080
		105	Standard-Pacific Corp. (m)		4,340
		95	Technical Olympic USA, Inc. (m)		2,476
		90	Toll Brothers, Inc. (a) (m)		4,026
		112	WCI Communities, Inc. (a) (m)		3,178
		146	Yankee Candle Co., Inc. (m)		3,587
					54,463
Household Products — 1.0%
		89	Clorox Co. (m)		4,935
		59	Energizer Holdings, Inc. (a) (m)		3,355
		62	Kimberly-Clark Corp. (m)		3,662
		181	Spectrum Brands, Inc. (a) (m)		4,271
					16,223
Industrial Conglomerates — 0.3%
		70	Textron, Inc. (m)		5,020
Insurance — 5.9%
		105	ACE Ltd. (Cayman Islands) (m)		4,928
		124	Allmerica Financial Corp. (a) (m)		5,095
		74	Allstate Corp. (The) (m)		4,079
		134	American Financial Group, Inc. (m)		4,562
		96	Assurant, Inc. (m)		3,662
		65	Chubb Corp. (m)		5,820
		72	CNA Financial Corp. (a) (m)		2,154
		240	Conseco, Inc. (a) (m)		5,061
		104	First American Corp. (m)		4,756
		44	Genworth Financial, Inc., Class A (m)		1,428
		76	Hartford Financial Services Group, Inc. (m)		5,871
		91	Lincoln National Corp. (m)		4,751
		51	MBIA, Inc. (m)		3,068
		104	Metlife, Inc. (m)		5,164
		118	Nationwide Financial Services, Inc. (m)		4,728
		111	Ohio Casualty Corp. (m)		3,000
		28	Philadelphia Consolidated Holding Co. (a) (m)		2,388
		104	Safeco Corp. (m)		5,559
		110	St. Paul Travelers Cos., Inc. (The) (m)		4,944

	Shares		Security Description	Value
		78	UICI (m)		2,799
		166	UnumProvident Corp. (m)		3,412
		137	W.R. Berkley Corp. (m)		5,425
					92,654
Internet & Catalog Retail — 0.2%
		122	Priceline.com, Inc. (a) (m)		2,362
Internet Software & Services — 1.7%
		58	Digital Insight Corp. (a) (m)		1,515
		107	Digital River, Inc. (a)		3,728
		152	Infospace, Inc. (a) (m)		3,636
		256	Internet Security Systems (a) (m)		6,150
		189	McAfee, Inc. (a) (m)		5,930
		202	VeriSign, Inc. (a) (m)		4,322
		30	Websense, Inc. (a) (m)		1,532
					26,813
IT Services — 2.6%
		114	Accenture Ltd., Class A (Bermuda) (a) (m)		2,902
		141	BISYS Group, Inc. (The) (a) (m)		1,891
		76	CACI International, Inc., Class A (a) (m)		4,585
		117	Computer Sciences Corp. (a) (m)		5,540
		177	CSG Systems International, Inc. (a) (m)		3,853
		79	DST Systems, Inc. (a) (m)		4,332
		121	Fiserv, Inc. (a) (m)		5,551
		217	IAC/InteractiveCorp. (m)		5,505
		227	Netflix, Inc. (a) (m)		5,910
					40,069
Leisure Equipment & Products — 0.1%
		93	Eastman Kodak Co. (m)		2,264
Machinery — 3.4%
		294	AGCO Corp. (a) (m)		5,346
		71	Cummins, Inc. (m)		6,221
		55	Eaton Corp. (m)		3,473
		84	Gardner Denver, Inc. (a) (m)		3,752
		94	Ingersoll-Rand Co., Ltd. (Bermuda), Class A (m)		3,608
		170	Navistar International Corp. (a) (m)		5,506
		74	PACCAR, Inc. (m)		5,039
		54	Parker-Hannifin Corp. (m)		3,442
		103	SPX Corp. (m)		4,714
		133	Terex Corp. (a) (m)		6,566
		207	Timken Co. (m)		6,135
					53,802
Media — 2.0%
		54	Entercom Communications Corp. (a) (m)		1,713
		59	Gannett Co., Inc. (m)		4,041
		196	Liberty Global, Inc. (a) (m)		5,248
		32	Media General, Inc., Class A (m)		1,855
		57	Omnicom Group, Inc. (m)		4,768
		81	R.H. Donnelley Corp. (a) (m)		5,122
		67	Scholastic Corp. (a) (m)		2,494
		46	Tribune Co. (m)		1,574

	Shares		Security Description	Value
		130	Viacom, Inc., Class B (m)		4,303
					31,118
Metals & Mining — 1.5%
		768	AK Steel Holding Corp. (a) (m)		6,584
		49	Freeport-McMoRan Copper & Gold, Inc., Class B (m)		2,359
		56	Phelps Dodge Corp. (m)		7,323
		156	United States Steel Corp. (m)		6,608
					22,874
Multi-Utilities — 1.5%
		527	Aquila, Inc. (a) (m)		2,088
		446	CMS Energy Corp. (a) (m)		7,342
		92	Energen Corp. (m)		3,997
		161	Energy East Corp. (m)		4,068
		174	Oneok, Inc. (m)		5,917
					23,412
Multiline Retail — 0.7%
		103	Dollar Tree Stores, Inc. (a) (m)		2,240
		76	Federated Department Stores, Inc. (m)		5,080
		88	J.C. Penney Co., Inc. (m)		4,169
					11,489
Oil & Gas Drilling — 0.2%
		62	Diamond Offshore Drilling, Inc. (m)		3,816
Oil, Gas & Consumable Fuels — 4.9%
		77	Anadarko Petroleum Corp. (m)		7,382
		116	ConocoPhillips (m)		8,081
		142	Devon Energy Corp. (m)		9,759
		308	El Paso Corp. (m)		4,280
		46	Houston Exploration Co. (a) (m)		3,115
		62	Kerr-McGee Corp. (m)		5,975
		92	Marathon Oil Corp. (m)		6,312
		32	Newfield Exploration Co. (a) (m)		1,556
		87	Overseas Shipholding Group, Inc. (m)		5,061
		65	Pogo Producing Co. (m)		3,819
		95	Stone Energy Corp. (a) (m)		5,769
		123	Swift Energy Co. (a) (m)		5,634
		24	Valero Energy Corp. (m)		2,705
		160	Vintage Petroleum, Inc. (m)		7,312
					76,760
Paper & Forest Products — 0.7%
		135	Georgia-Pacific Corp. (m)		4,591
		217	Louisiana-Pacific Corp. (m)		6,012
					10,603
Personal Products — 0.1%
		76	NU Skin Enterprises, Inc., Class A (m)		1,456
Pharmaceuticals — 2.7%
		189	Alpharma, Inc., Class A (m)		4,713
		202	Angiotech Pharmaceuticals, Inc. (Canada) (a) (m)		2,836
		281	Biovail Corp. (Canada) (a) (m)		6,568
		57	Bristol-Myers Squibb Co. (m)		1,380
		114	Endo Pharmaceuticals Holdings, Inc. (a) (m)		3,053
		326	King Pharmaceuticals, Inc. (a) (m)		5,014

	Shares		Security Description	Value
		114	Merck & Co., Inc. (m)		3,090
		66	MGI Pharma, Inc. (a) (m)		1,544
		126	Pfizer, Inc. (m)		3,156
		110	Schering-Plough Corp. (m)		2,319
		167	Valeant Pharmaceuticals International (m)		3,362
		100	Watson Pharmaceuticals, Inc. (a) (m)		3,665
		39	Wyeth (m)		1,827
					42,527
Real Estate — 0.8%
		34	Camden Property Trust REIT (m)		1,882
		52	CBL & Associates Properties, Inc. REIT (m)		2,119
		42	General Growth Properties, Inc. REIT (m)		1,880
		57	Highwoods Properties, Inc. REIT (m)		1,677
		40	Liberty Property Trust REIT (m)		1,696
		21	Mack-Cali Realty Corp. REIT (m)		947
		83	Trizec Properties, Inc. REIT (m)		1,904
					12,105
Road & Rail — 1.3%
		76	Burlington Northern Santa Fe Corp. (m)		4,562
		120	CSX Corp. (m)		5,584
		239	Laidlaw International, Inc. (m)		5,766
		129	Yellow Roadway Corp. (a) (m)		5,341
					21,253
Semiconductors & Semiconductor Equipment — 3.7%
		369	Agere Systems, Inc. (a) (m)		3,843
		136	Broadcom Corp., Class A (a) (m)		6,379
		139	Cymer, Inc. (a) (m)		4,366
		280	Freescale Semiconductor, Inc., Class B (a) (m)		6,591
		214	Intel Corp. (m)		5,284
		190	Lam Research Corp. (a) (m)		5,780
		810	LSI Logic Corp. (a) (m)		7,979
		87	Nvidia Corp. (a) (m)		2,967
		357	Omnivision Technologies, Inc. (a) (m)		4,508
		231	Photronics, Inc. (a) (m)		4,482
		943	Skyworks Solutions, Inc. (a) (m)		6,617
					58,796
Software — 3.6%
		56	Amdocs Ltd. (United Kingdom) (a) (m)		1,561
		577	BEA Systems, Inc. (a) (m)		5,182
		267	BMC Software, Inc. (a) (m)		5,630
		351	Cadence Design Systems, Inc. (a) (m)		5,671
		503	Compuware Corp. (a)		4,777
		95	Fair Isaac Corp. (m)		4,242
		73	Hyperion Solutions Corp. (a) (m)		3,540
		41	Intuit, Inc. (a) (m)		1,820
		126	Mercury Interactive Corp. (a) (m)		4,995
		712	Parametric Technology Corp. (a) (m)		4,959
		189	Serena Software, Inc. (a) (m)		3,763
		268	Sybase, Inc. (a) (m)		6,270
		163	THQ, Inc. (a) (m)		3,479
					55,889

	Shares		Security Description	Value
Specialty Retail — 3.9%
		64	Abercrombie & Fitch Co. (m)		3,214
		227	American Eagle Outfitters, Inc. (m)		5,347
		300	Autonation, Inc. (a) (m)		5,998
		132	Barnes & Noble, Inc. (m)		4,961
		202	Charming Shoppes, Inc. (a) (m)		2,160
		90	Children’s Place Retail Stores, Inc. (a) (m)		3,225
		221	Claire’s Stores, Inc. (m)		5,324
		84	Foot Locker, Inc. (m)		1,840
		103	Genesco, Inc. (a) (m)		3,818
		98	Men’s Wearhouse, Inc. (a) (m)		2,622
		187	Pacific Sunwear of California, Inc. (a) (m)		4,008
		312	Payless Shoesource, Inc. (a) (m)		5,425
		112	Rent-A-Center, Inc. (a) (m)		2,165
		94	Sherwin-Williams Co. (The) (m)		4,157
		173	Sports Authority, Inc. (The) (a) (m)		5,099
		59	United Auto Group, Inc. (m)		1,949
					61,312
Textiles, Apparel & Luxury Goods — 1.4%
		77	Columbia Sportswear Co. (a) (m)		3,552
		107	Jones Apparel Group, Inc. (m)		3,064
		150	Phillips-Van Heusen Corp. (m)		4,646
		102	Polo Ralph Lauren Corp. (m)		5,114
		100	V.F. Corp. (m)		5,825
					22,201
Thrifts & Mortgage Finance — 1.9%
		141	Accredited Home Lenders Holding Co. (a) (m)		4,962
		366	Doral Financial Corp. (m)		4,781
		190	Flagstar Bancorp, Inc. (m)		3,066
		121	IndyMac Bancorp, Inc. (m)		4,801
		58	MGIC Investment Corp. (m)		3,723
		69	Radian Group, Inc. (m)		3,671
		119	Washington Mutual, Inc. (m)		4,679
					29,683
Tobacco — 0.8%
		140	Loews Corp. — Carolina Group (m)		5,558
		70	Reynolds American, Inc. (m)		5,850
		32	UST, Inc. (m)		1,326
					12,734
Trading Companies & Distributors — 0.6%
		88	Applied Industrial Technologies, Inc. (m)		3,158
		172	Hughes Supply, Inc. (m)		5,611
					8,769
Wireless Telecommunication Services — 0.7%
		547	Dobson Communications Corp. (a) (m)		4,197
		79	NII Holdings, Inc. (a) (m)		6,664
					10,861
			Total Long-Term Investments (Cost $1,346,594)		1,478,325

	Shares
Short-Term Investment — 2.2%
Investment Company — 2.2%
		34,871	JPMorgan Liquid Assets Money Market Fund (b)(m) (Cost $34,871)		34,871
Total Investments — 96.2% (Cost $1,381,465)					1,513,196
Other Assets In Excess of Liabilities — 3.8%					60,406
Net Assets — 100.0%				$	1,573,602
Short Positions — 93.7%
Common Stocks — 93.7%
Aerospace & Defense — 0.8%
		86	Aviall, Inc. (a)		2,920
		148	BE Aerospace, Inc. (a)		2,444
		112	Engineered Support Systems, Inc.		4,579
		150	Hexcel Corp. (a)		2,745
					12,688
Air Freight & Logistics — 0.8%
		96	EGL, Inc. (a)		2,594
		95	Expeditors International of Washington, Inc.		5,384
		42	FedEx Corp.		3,668
		38	Forward Air Corp.		1,402
					13,048
Airlines — 0.6%
		359	Airtran Holdings, Inc. (a)		4,551
		256	JetBlue Airways Corp. (a)		4,508
					9,059
Auto Components — 1.3%
		118	American Axle & Manufacturing Holdings, Inc.		2,728
		185	Cooper Tire & Rubber Co.		2,825
		1,015	Delphi Corp.		2,802
		308	Gentex Corp.		5,352
		677	Visteon Corp.		6,623
					20,330
Automobiles — 0.2%
		110	Winnebago Industries, Inc.		3,185
Banks — 0.1%
		73	People’s Bank		2,101
Beverages — 1.1%
		118	Anheuser-Busch Cos., Inc.		5,069
		46	Brown-Forman Corp., Class B		2,717
		187	Constellation Brands, Inc., Class A (a)		4,860
		79	Molson Coors Brewing Co., Class B		5,078
					17,724
Biotechnology — 1.3%
		74	Affymetrix, Inc. (a)		3,418
		119	Alkermes, Inc. (a)		1,997
		75	Charles River Laboratories International, Inc. (a)		3,281
		143	ImClone Systems, Inc. (a)		4,498
		124	Martek Biosciences Corp. (a)		4,349
		99	Vertex Pharmaceuticals, Inc. (a)		2,213
					19,756

	Shares
Capital Markets — 4.6%
		61	Affiliated Managers Group, Inc. (a)	4,443
		135	American Capital Strategies Ltd.	4,943
		124	Ameritrade Holding Corp. (a)	2,667
		393	Charles Schwab Corp. (The)	5,669
		223	Eaton Vance Corp.	5,537
		175	Federated Investors, Inc., Class B	5,825
		160	Investors Financial Services Corp.	5,257
		407	Janus Capital Group, Inc.	5,886
		57	Legg Mason, Inc.	6,272
		25	Morgan Stanley	1,346
		65	National Financial Partners Corp.	2,944
		141	Raymond James Financial, Inc.	4,524
		101	SEI Investments Co.	3,779
		116	State Street Corp.	5,664
		59	T. Rowe Price Group, Inc.	3,884
		158	Waddell & Reed Financial, Inc.	3,064
				71,704
Casinos & Gaming — 0.2%
		124	Shuffle Master, Inc. (a)	3,280
Chemicals — 1.5%
		75	Air Products & Chemicals, Inc.	4,117
		31	Ashland, Inc.	1,718
		103	Cabot Corp.	3,400
		88	Cytec Industries, Inc.	3,800
		163	Ecolab, Inc.	5,194
		123	El Du Pont de Nemours & Co.	4,820
				23,049
Commercial Banks — 2.6%
		124	East-West Bancorp, Inc.	4,220
		146	Fifth Third Bancorp	5,347
		166	Greater Bay Bancorp	4,096
		219	North Fork Bancorp, Inc.	5,577
		86	South Financial Group, Inc. (The)	2,306
		153	Synovus Financial Corp.	4,228
		189	TD Banknorth, Inc.	5,702
		220	UCBH Holdings, Inc.	4,024
		48	Westamerica Bancorp	2,461
		70	Wilmington Trust Corp.	2,540
		5	Wintrust Financial Corp.	229
				40,730
Commercial Services & Supplies — 3.0%
		61	Apollo Group, Inc., Class A (a)	4,019
		127	ChoicePoint, Inc. (a)	5,484
		112	Cintas Corp.	4,593
		302	Corinthian Colleges, Inc. (a)	4,006
		260	DeVry, Inc. (a)	4,959
		115	Herman Miller, Inc.	3,494
		88	Laureate Education, Inc. (a)	4,300
		147	Navigant Consulting, Inc. (a)	2,818

	Shares
		112	Robert Half International, Inc.	3,986
		103	Stericycle, Inc. (a)	5,860
		47	Strayer Education, Inc.	4,430
				47,949
Communications Equipment — 3.3%
		1,470	3Com Corp. (a)	5,996
		103	Belden CDT, Inc.	2,006
		213	Comverse Technology, Inc. (a)	5,601
		70	Foundry Networks, Inc. (a)	883
		196	Ixia (a)	2,890
		3,371	JDS Uniphase Corp. (a)	7,484
		148	Juniper Networks, Inc. (a)	3,531
		1,498	Lucent Technologies, Inc. (a)	4,869
		2,015	Nortel Networks Corp. (Canada) (a)	6,570
		139	QUALCOMM, Inc.	6,227
		79	Research In Motion Ltd. (Canada) (a)	5,433
				51,490
Computers & Peripherals — 2.1%
		432	ATI Technologies, Inc. (Canada) (a)	6,021
		138	Avid Technology, Inc. (a)	5,719
		111	Diebold, Inc.	3,840
		413	EMC Corp. (a)	5,350
		145	Palm, Inc. (a)	4,120
		220	UNOVA, Inc. (a)	7,683
				32,733
Construction & Engineering — 1.7%
		249	Dycom Industries, Inc. (a)	5,040
		109	Fluor Corp.	6,992
		77	Granite Construction, Inc.	2,954
		112	Jacobs Engineering Group, Inc. (a)	7,542
		283	Quanta Services, Inc. (a)	3,609
				26,137
Construction Materials — 0.1%
		21	Lafarge North America, Inc.	1,430
Consumer Finance — 0.2%
		63	SLM Corp.	3,383
Containers & Packaging — 0.9%
		194	Bemis Co.	4,790
		241	Packaging Corp. of America	4,669
		429	Smurfit-Stone Container Corp. (a)	4,442
				13,901
Diversified Financial Services — 0.7%
		16	Chicago Mercantile Exchange Holdings, Inc.	5,315
		638	Knight Capital Group, Inc. (a)	5,303
				10,618
Diversified Telecommunication Services — 0.9%
		58	Alltel Corp.	3,766
		205	BellSouth Corp.	5,402
		370	Citizens Communications Co.	5,007
				14,175

	Shares
Electric Utilities — 3.3%
		195	Allegheny Energy, Inc. (a)	5,997
		107	Ameren Corp.	5,743
		93	Black Hills Corp.	4,036
		60	Consolidated Edison, Inc.	2,926
		164	Duquesne Light Holdings, Inc.	2,829
		142	El Paso Electric Co. (a)	2,955
		105	Exelon Corp.	5,614
		131	FPL Group, Inc.	6,226
		166	Hawaiian Electric Industries, Inc.	4,619
		106	Idacorp, Inc.	3,200
		122	PNM Resources, Inc.	3,504
		132	Southern Co. (The)	4,721
				52,370
Electrical Equipment — 1.4%
		154	Alamosa Holdings, Inc. (a)	2,637
		228	American Power Conversion Corp.	5,906
		107	Ametek, Inc.	4,609
		76	Hubbell, Inc., Class B	3,576
		125	Roper Industries, Inc.	4,913
				21,641
Electronic Equipment & Instruments — 1.6%
		106	Agilent Technologies, Inc. (a)	3,483
		3	Cognex Corp.	90
		181	Flir Systems, Inc. (a)	5,340
		187	Molex, Inc.	5,001
		86	National Instruments Corp.	2,125
		429	Symbol Technologies, Inc.	4,151
		209	Tektronix, Inc.	5,281
				25,471
Energy — 0.1%
		147	Reliant Energy, Inc. (a)	2,263
Energy Equipment & Services — 3.3%
		77	Atwood Oceanics, Inc. (a)	6,456
		81	Carbo Ceramics, Inc.	5,367
		128	FMC Technologies, Inc. (a)	5,407
		88	Halliburton Co.	6,027
		324	Hanover Compressor Co. (a)	4,491
		80	National Oilwell Varco, Inc. (a)	5,295
		71	Schlumberger Ltd. (Netherlands)	5,979
		165	Smith International, Inc.	5,501
		102	Weatherford International Ltd. (a)	6,993
				51,516
Food & Staples Retailing — 2.4%
		207	CVS Corp.	6,002
		61	Great Atlantic & Pacific Tea Co., Inc. (a)	1,717
		1,114	Rite Aid Corp. (a)	4,324
		159	Sysco Corp.	4,994
		123	United Natural Foods, Inc. (a)	4,338
		77	Wal-Mart Stores, Inc.	3,353

	Shares
		114	Walgreen Co.	4,968
		57	Whole Foods Market, Inc.	7,672
				37,368
Food Products — 1.4%
		170	Campbell Soup Co.	5,050
		232	ConAgra Foods, Inc.	5,734
		77	Hershey Foods Corp.	4,330
		87	Sara Lee Corp.	1,655
		83	Wm. Wrigley Jr. Co.	5,973
				22,742
Gas Utilities — 0.2%
		132	Piedmont Natural Gas Co.	3,317
Health Care Equipment & Supplies — 5.3%
		143	Advanced Medical Optics, Inc. (a)	5,415
		48	Alcon, Inc. (Switzerland)	6,137
		102	Arthrocare Corp. (a)	4,102
		104	Biomet, Inc.	3,626
		24	Cooper Cos., Inc. (The)	1,868
		138	Cyberonics, Inc. (a)	4,127
		35	Diagnostic Products Corp.	1,829
		84	Fisher Scientific International, Inc. (a)	5,193
		56	Invacare Corp. (m)	2,319
		91	Medtronic, Inc.	4,888
		113	Millipore Corp. (a)	7,113
		67	Mine Safety Appliances Co.	2,609
		309	Nektar Therapeutics (a)	5,232
		126	Patterson Cos., Inc. (a)	5,050
		65	PolyMedica Corp.	2,257
		77	Resmed, Inc. (a)	6,127
		121	St. Jude Medical, Inc. (a)	5,646
		106	Stryker Corp.	5,224
		79	Thermo Electron Corp. (a)	2,450
		110	Wright Medical Group, Inc. (a)	2,712
				83,924
Health Care Providers & Services — 3.1%
		44	Advisory Board Co. (a)	2,292
		101	American Healthways, Inc. (a)	4,274
		205	Andrx Corp. (a)	3,168
		87	Centene Corp. (a)	2,183
		112	Covance, Inc. (a)	5,371
		102	DaVita, Inc. (a)	4,699
		143	Henry Schein, Inc. (a)	6,106
		80	Omnicare, Inc.	4,525
		99	Psychiatric Solutions, Inc. (a)	5,379
		77	Sunrise Senior Living, Inc. (a)	5,133
		189	VCA Antech, Inc. (a)	4,822
				47,952
Hotels, Restaurants & Leisure — 2.6%
		53	Cheesecake Factory, Inc. (The) (a)	1,647
		82	Gaylord Entertainment Co. (a)	3,885

	Shares
		105	PF Chang’s China Bistro, Inc. (a)	4,703
		213	Ruby Tuesday, Inc.	4,625
		233	Scientific Games Corp., Class A (a)	7,212
		88	Starbucks Corp. (a)	4,417
		76	Station Casinos, Inc.	5,011
		202	WMS Industries, Inc. (a)	5,677
		97	Wynn Resorts Ltd. (a)	4,379
				41,556
Household Durables — 1.5%
		54	Fortune Brands, Inc.	4,403
		54	Harman International Industries, Inc.	5,543
		189	Leggett & Platt, Inc.	3,817
		56	Mohawk Industries, Inc. (a)	4,502
		160	Snap-On, Inc.	5,772
				24,037
Household Products — 0.3%
		67	Procter & Gamble Co.	3,983
Industrial Conglomerates — 0.6%
		64	3M Co.	4,727
		46	Brink’s Co. (The)	1,892
		52	Carlisle Cos., Inc.	3,292
				9,911
Insurance — 1.4%
		59	Aflac, Inc.	2,691
		194	Gallagher (Arthur J.) & Co.	5,601
		36	Hilb, Rogal & Hobbs Co.	1,360
		8	Markel Corp. (a)	2,480
		202	Marsh & McLennan Cos., Inc.	6,147
		91	Reinsurance Group of America	4,074
				22,353
Internet & Catalog Retail — 0.7%
		53	Amazon.com, Inc. (a)	2,408
		120	Coldwater Creek, Inc. (a)	3,030
		126	eBay, Inc. (a)	5,179
				10,617
Internet Software & Services — 1.3%
		374	Akamai Technologies, Inc. (a)	5,965
		522	CNET Networks, Inc. (a)	7,088
		185	Digitas, Inc. (a)	2,104
		336	Openwave Systems, Inc. (a)	6,037
				21,194
IT Services — 2.0%
		305	Acxiom Corp.	5,713
		129	Automatic Data Processing, Inc.	5,559
		152	Ceridian Corp. (a)	3,162
		45	Cognizant Technology Solutions Corp., Class A (a)	2,114
		151	Hewitt Associates, Inc., Class A (a)	4,114
		177	Iron Mountain, Inc. (a)	6,488
		121	SRA International, Inc., Class A (a)	4,301
				31,451

	Shares
Leisure Equipment & Products — 0.3%
		128	SCP Pool Corp.	4,465
Machinery — 2.6%
		122	Actuant Corp., Class A	5,703
		31	Caterpillar, Inc.	1,807
		93	Clarcor, Inc.	2,661
		145	Donaldson Co., Inc.	4,428
		59	ESCO Technologies, Inc. (a)	2,956
		145	Graco, Inc.	4,957
		77	Kaydon Corp.	2,194
		50	Manitowoc Co., Inc.	2,507
		185	Pall Corp.	5,084
		176	Trinity Industries, Inc.	7,135
		69	Watts Water Technologies, Inc., Class A	1,987
				41,419
Marine — 0.2%
		72	Alexander & Baldwin, Inc.	3,853
Media — 3.2%
		411	Blockbuster, Inc.	1,954
		342	DIRECTV Group, Inc. (The) (a)	5,123
		106	E.W. Scripps Co., Class A	5,272
		31	EchoStar Communications Corp., Class A	926
		386	Interpublic Group of Cos., Inc. (a)	4,497
		128	Lamar Advertising Co., Class A (a)	5,807
		151	New York Times Co., Class A	4,496
		114	Pixar (a)	5,083
		208	Regal Entertainment Group, Class A	4,174
		174	Univision Communications, Inc., Class A (a)	4,625
		6	Washington Post Co. (The), Class B	4,845
		187	Westwood One, Inc.	3,728
				50,530
Metals & Mining — 1.4%
		174	Alcoa, Inc.	4,250
		126	Arch Coal, Inc.	8,505
		55	Consol Energy, Inc.	4,231
		224	Worthington Industries, Inc.	4,712
				21,698
Multi-Utilities — 1.2%
		986	Calpine Corp. (a)	2,555
		961	Dynegy, Inc., Class A (a)	4,527
		162	Equitable Resources, Inc.	6,331
		95	Public Service Enterprise Group, Inc.	6,122
				19,535
Multiline Retail — 1.1%
		317	Big Lots, Inc. (a)	3,480
		181	Family Dollar Stores, Inc.	3,600
		97	Kohl’s Corp. (a)	4,875
		39	Sears Holdings Corp. (a)	4,894
				16,849
Office Electronics — 0.4%
		148	Zebra Technologies Corp., Class A (a)	5,794

	Shares
Oil, Gas & Consumable Fuels — 5.0%
		16	Amerada Hess Corp.	2,254
		73	Chesapeake Energy Corp.	2,794
		80	Cimarex Energy Co. (a)	3,634
		48	Comstock Resources, Inc. (a)	1,581
		118	Denbury Resources, Inc. (a)	5,946
		138	Encore Acquisition Co. (a)	5,377
		31	Kinder Morgan, Inc.	2,966
		15	Marathon Oil Corp.	1,006
		102	Murphy Oil Corp.	5,081
		112	Noble Energy, Inc.	5,233
		109	Pioneer Natural Resources Co.	5,960
		125	Plains Exploration & Production Co. (a)	5,339
		170	Quicksilver Resources, Inc. (a)	8,126
		195	Range Resources Corp.	7,516
		60	Southwestern Energy Co. (a)	4,419
		130	Western Gas Resources, Inc.	6,665
		121	XTO Energy, Inc.	5,498
				79,395
Paper & Forest Products — 0.4%
		148	Bowater, Inc.	4,177
		47	International Paper Co.	1,392
				5,569
Personal Products — 0.6%
		120	Alberto-Culver Co.	5,360
		136	Estee Lauder Cos., Inc., Class A	4,725
				10,085
Pharmaceuticals — 1.5%
		120	American Pharmaceutical Partners, Inc. (a)	5,457
		183	Medicines Co. (a)	4,216
		149	Par Pharmaceutical Cos, Inc. (a)	3,968
		215	Perrigo Co.	3,083
		109	Sepracor, Inc. (a)	6,445
				23,169
Real Estate — 1.0%
		47	Apartment Investment & Management Co. REIT	1,817
		24	Archstone-Smith Trust REIT	951
		13	Boston Properties, Inc. REIT	889
		22	BRE Properties, Inc. REIT	967
		34	Centerpoint Properties Trust REIT	1,536
		30	Duke Realty Corp. REIT	1,003
		56	Equity Office Properties Trust REIT	1,847
		29	Federal Realty Investment Trust REIT	1,759
		34	Kilroy Realty Corp. REIT	1,895
		72	New Plan Excel Realty Trust REIT	1,650
		39	Taubman Centers, Inc. REIT	1,242
				15,556
Road & Rail — 0.2%
		198	Werner Enterprises, Inc.	3,430

	Shares
Semiconductors & Semiconductor Equipment — 4.9%
		346	Advanced Micro Devices, Inc. (a)	8,731
		224	Altera Corp. (a)	4,276
		484	Amkor Technology, Inc. (a)	2,119
		79	Analog Devices, Inc.	2,929
		2,102	Atmel Corp. (a)	4,331
		102	ATMI, Inc. (a)	3,171
		353	Credence Systems Corp. (a)	2,818
		404	Cypress Semiconductor Corp. (a)	6,078
		214	Fairchild Semiconductor International, Inc. (a)	3,178
		132	Formfactor, Inc. (a)	3,020
		420	Micron Technology, Inc. (a)	5,583
		228	Microsemi Corp. (a)	5,824
		1,206	RF Micro Devices, Inc. (a)	6,814
		221	Semtech Corp. (a)	3,642
		66	Sirf Technology Holdings, Inc. (a)	2,001
		444	Teradyne, Inc. (a)	7,332
		186	Xilinx, Inc.	5,189
				77,036
Software — 2.5%
		212	Adobe Systems, Inc.	6,322
		56	Ansys, Inc. (a)	2,149
		154	Autodesk, Inc.	7,157
		71	Cognos, Inc. (Canada) (a)	2,773
		97	Electronic Arts, Inc. (a)	5,542
		101	Factset Research Systems, Inc.	3,571
		122	Jack Henry & Associates, Inc.	2,371
		314	Siebel Systems, Inc.	3,248
		788	TIBCO Software, Inc. (a)	6,591
				39,724
Specialty Retail — 3.7%
		209	AnnTaylor Stores Corp. (a)	5,539
		139	Cabela’s, Inc. (a)	2,552
		233	CarMax, Inc. (a)	7,270
		78	Guitar Center, Inc. (a)	4,332
		214	Linens ‘N Things, Inc. (a)	5,717
		162	Marvel Entertainment, Inc. (a)	2,891
		113	OfficeMax, Inc.	3,569
		413	Pier 1 Imports, Inc.	4,658
		99	Regis Corp.	3,742
		153	ServiceMaster Co. (The)	2,078
		78	Tiffany & Co.	3,087
		121	Tractor Supply Co. (a)	5,545
		85	Urban Outfitters, Inc. (a)	2,504
		134	Williams-Sonoma, Inc. (a)	5,133
				58,617
Textiles, Apparel & Luxury Goods — 0.7%
		192	Coach, Inc. (a)	6,020
		136	Fossil, Inc. (a)	2,481
		152	Quiksilver, Inc. (a)	2,193
				10,694

	Shares
Thrifts & Mortgage Finance — 1.4%
		87	Freddie Mac	4,928
		465	Hudson City Bancorp, Inc.	5,533
		134	Independence Community Bank Corp.	4,567
		105	New York Community Bancorp, Inc.	1,722
		148	NewAlliance Bancshares, Inc.	2,171
		118	Sovereign Bancorp, Inc.	2,595
				21,516
Trading Companies & Distributors — 0.4%
		93	Fastenal Co.	5,692
Wireless Telecommunication Services — 0.5%
		326	American Tower Corp., Class A (a)	8,134
Total Short Positions — 93.7% (Cost $1,364,848)				1,474,896

Percentages indicated are based on net assets.

Abbreviations:

(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 JPMorgan Investment Advisors Inc.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA’s, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

REIT Real Estate Investment Trust

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	184,767
Aggregate gross unrealized depreciation		(53,036	)
Net unrealized appreciation/depreciation	$	131,731
Federal income tax cost of investments	$	1,381,465

JPMorgan Large Cap Value Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares		Security Description	Value
Long-Term Investments — 98.9%
Common Stocks — 98.9%
Aerospace & Defense — 0.7%
		142	Lockheed Martin Corp.	$	8,643
Auto Components — 0.2%
		90	Lear Corp.		3,044
Beverages — 1.0%
		180	Coca-Cola Co. (The)		7,778
		274	Coca-Cola Enterprises, Inc.		5,344
					13,122
Capital Markets — 4.5%
		53	Goldman Sachs Group, Inc.		6,444
		125	Mellon Financial Corp.		4,003
		189	Merrill Lynch & Co., Inc.		11,583
		451	Morgan Stanley		24,332
		219	State Street Corp.		10,723
					57,085
Chemicals — 2.1%
		87	Air Products & Chemicals, Inc.		4,775
		141	Lyondell Chemical Co.		4,036
		223	Nalco Holding Co. (a)		3,763
		281	Praxair, Inc.		13,448
					26,022
Commercial Banks — 6.4%
		665	Bank of America Corp.		27,978
		109	BB&T Corp.		4,272
		385	North Fork Bancorp, Inc.		9,806
		159	SunTrust Banks, Inc.		11,042
		786	U.S. Bancorp		22,066
		106	Wells Fargo & Co.		6,185
					81,349
Commercial Services & Supplies — 1.3%
		428	Cendant Corp.		8,840
		277	Waste Management, Inc.		7,917
					16,757

Page 1

	Shares		Security Description	Value
Communications Equipment — 1.0%
		190	Cisco Systems, Inc. (a)	$	3,401
		503	Corning, Inc. (a)		9,725
					13,126
Computers & Peripherals — 0.8%
		160	Lexmark International, Inc., Class A (a)		9,737
Consumer Finance — 1.8%
		934	MBNA Corp.		23,006
Containers & Packaging — 0.6%
		438	Pactiv Corp. (a)		7,670
Diversified Financial Services — 8.2%
		438	CIT Group, Inc.		19,784
		1,618	Citigroup, Inc.		73,633
		407	Lazard Ltd. (Bermuda), Class A		10,285
					103,702
Diversified Telecommunication Services — 5.1%
		482	SBC Communications, Inc.		11,556
		904	Sprint Corp.		21,499
		958	Verizon Communications, Inc.		31,314
					64,369
Electric Utilities — 3.7%
		127	American Electric Power Co., Inc.		5,042
		187	Consolidated Edison, Inc.		9,064
		81	Edison International		3,844
		299	Pinnacle West Capital Corp.		13,167
		490	PPL Corp.		15,854
					46,971
Energy Equipment & Services — 0.9%
		81	GlobalSantaFe Corp. (Cayman Islands)		3,691
		59	Halliburton Co.		4,063
		113	Rowan Cos., Inc.		4,024
					11,778
Food Products — 1.0%
		157	Kellogg Co.		7,228

Page 2

	Shares		Security Description	Value
		169	Kraft Foods, Inc., Class A	$	5,176
					12,404
Health Care Equipment & Supplies — 1.6%
		708	Boston Scientific Corp. (a)		16,546
		60	Guidant Corp.		4,154
					20,700
Health Care Providers & Services — 1.7%
		42	Cardinal Health, Inc.		2,639
		38	Coventry Health Care, Inc. (a)		3,269
		197	WellPoint, Inc. (a)		14,952
					20,860
Hotels, Restaurants & Leisure — 1.6%
		185	Carnival Corp. (Panama)		9,231
		337	McDonald's Corp.		11,270
					20,501
Household Durables — 0.3%
		68	Lennar Corp., Class A		4,088
Household Products — 0.4%
		94	Kimberly-Clark Corp.		5,572
Industrial Conglomerates — 3.7%
		104	3M Co.		7,652
		450	General Electric Co.		15,138
		873	Tyco International Ltd. (Bermuda)		24,324
					47,114
Insurance — 6.3%
		187	AMBAC Financial Group, Inc.		13,497
		178	Assurant, Inc.		6,759
		412	Genworth Financial, Inc., Class A		13,286
		146	Hartford Financial Services Group, Inc.		11,261
		354	RenaissanceRe Holdings Ltd. (Bermuda)		15,498
		512	Willis Group Holdings Ltd. (Bermuda)		19,241
					79,542
IT Services — 1.4%
		171	Affiliated Computer Services, Inc., Class A (a)		9,309

Page 3

	Shares		Security Description	Value
		409	Sabre Holdings Corp., Class A	$	8,295
					17,604
Machinery — 0.5%
		95	Eaton Corp.		6,044
Media — 5.7%
		290	Dex Media, Inc.		8,056
		2,663	Liberty Media Corp., Class A (a)		21,436
		336	News Corp., Class A		5,245
		675	Time Warner, Inc.		12,219
		756	Viacom, Inc., Class B		24,957
					71,913
Metals & Mining — 1.9%
		370	Alcoa, Inc.		9,038
		347	United States Steel Corp.		14,708
					23,746
Multi-Utilities — 2.7%
		237	Dominion Resources, Inc.		20,441
		325	SCANA Corp.		13,724
					34,165
Multiline Retail — 1.6%
		552	Dollar General Corp.		10,118
		205	Kohl's Corp. (a)		10,282
					20,400
Office Electronics — 0.6%
		560	Xerox Corp. (a)		7,645
Oil, Gas & Consumable Fuels — 13.2%
		69	Anadarko Petroleum Corp.		6,559
		157	Apache Corp.		11,795
		470	Chevron Corp.		30,410
		339	ConocoPhillips		23,676
		1,273	Exxon Mobil Corp.		80,864
		159	Occidental Petroleum Corp.		13,558
					166,862
Paper & Forest Products — 0.6%

Page 4

	Shares		Security Description	Value
		285	MeadWestvaco Corp.	$	7,866
Pharmaceuticals — 3.9%
		193	Eli Lilly & Co.		10,351
		191	Merck & Co., Inc.		5,192
		911	Pfizer, Inc.		22,757
		242	Wyeth		11,188
					49,488
Real Estate — 2.3%
		259	Mack-Cali Realty Corp., REIT		11,653
		235	Prologis, REIT		10,426
		288	United Dominion Realty Trust, Inc., REIT		6,835
					28,914
Road & Rail — 0.9%
		149	Union Pacific Corp.		10,676
Software — 1.5%
		363	Computer Associates International, Inc.		10,084
		356	Microsoft Corp.		9,157
					19,241
Specialty Retail — 0.5%
		314	Staples, Inc.		6,697
Textiles, Apparel & Luxury Goods — 1.2%
		544	Jones Apparel Group, Inc.		15,515
Thrifts & Mortgage Finance — 3.6%
		194	Fannie Mae		8,686
		478	Freddie Mac		27,012
		239	Washington Mutual, Inc.		9,390
					45,088
Tobacco — 1.9%
		319	Altria Group, Inc.		23,514
			Total Long-Term Investments
			(Cost $1,122,853)		1,252,540
Short-Term Investment — 1.4%

Page 5

	Shares		Security Description	Value
Investment Company — 1.4%
		18,441	JPMorgan Liquid Assets Money Market Fund (b) (m)
			(Cost $18,441)		18,441
	Principal Amount
Investments of Cash Collateral for Securities on Loan — 6.7%
Certificates of Deposit — 0.4%
		$  2,500	Deutsche Bank N.Y. 4.10%, 10/03/05		2,500
		739	Natexis Banques Populaires 4.12%, 10/03/05		739
		1,232	World Savings Bank FSB 3.87%, 12/15/05		1,232
					4,471
Corporate Notes — 0.7%
		493	Citigroup Global Markets Holdings, Inc. 3.94%, 12/12/05		493
		739	General Electric Co. 3.70%, 10/24/05		739
		1,725	Greenwich Capital Holdings, Inc. 4.25%, 10/11/05		1,725
		739	HBOS Treasury Services plc 3.71%, 10/03/05		739
		493	Lehman Brothers Holdings 4.02%, 10/03/05		493
		986	Lehman Brothers Holdings 4.14%, 10/03/05		985
		2,500	K2 (USA) LLC 3.99%, 10/03/05		2,500
		370	MBIA Global Funding LLC 3.93%, 10/26/05		370
		493	Sigma Finance, Inc. 4.10%, 10/03/05		493
					8,537
Repurchase Agreements — 5.6%
		15,000	Barclays Capital, 3.87%, dated 09/30/05, due 10/03/05,		15,000
			repurchase price $15,005, collateralized by U.S.
			Government Agency Securities
		15,000	HSBC Securities, Inc., 3.88%, dated 09/30/05, due		15,000
			10/03/05, repurchase price $15,005, collateralized by U.S.
			Government Agency Securities
		15,000	Lehman Brothers, Inc., 3.88%, dated 09/30/05, due		15,000
			10/03/05, repurchase price $15,005, collateralized by U.S.
			Government Agency Securities
		12,178	Merrill Lynch Securities, 3.88%, dated 09/30/05, due		12,178
			10/03/05, repurchase price $12,182, collateralized by U.S.
			Government Agency Securities
		15,000	UBS Securities LLC, 3.90%, dated 09/30/05, due 10/03/05,
			repurchase price $15,005, collateralized by U.S.
			Government Agency Securities		15,000
					72,178
			Total Investments of Cash Collateral for Securities on Loan
			(Cost $85,186)		85,186

Page 6

	Shares	Security Description	Value
Total Investments — 107.0%
(Cost $1,226,480)			$	1,356,167
Liabilities in Excess of Other Assets — (7.0)%				(89,137	)
Net Assets — 100.0%			$	1,267,030

Percentages indicated are based on net assets.

Abbreviations:

(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 JPMorgan Investment Advisors Inc.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA’s, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

REIT Real Estate Investment Trust

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	179,080
Aggregate gross unrealized depreciation		(49,393	)
Net unrealized appreciation/depreciation	$	129,687
Federal income tax cost of investments	$	1,226,480

Page 7

JPMorgan Market Expansion Index Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Shares		Security Description	Value
Long-Term Investments — 99.6%
Common Stocks — 99.6%
Aerospace & Defense — 1.6%
	11	AAR Corp. (a)	$	184
	15	Alliant Techsystems, Inc. (a)		1,109
	4	Applied Signal Technology, Inc.		80
	48	Armor Holdings, Inc. (a)		2,071
	10	Ceradyne, Inc. (a)		349
	7	Cubic Corp. Cubic Corp.		125
	8	Curtiss-Wright Corp.		508
	14	DRS Technologies, Inc.		687
	6	EDO Corp.		190
	9	Esterline Technologies Corp. (a)		348
	20	GenCorp, Inc. (a)		379
	7	Kaman Corp., Class A		147
	7	Mercury Computer Systems, Inc. (a)		185
	14	Moog, Inc., Class A (a)		403
	54	Precision Castparts Corp.		2,889
	4	Sequa Corp., Class A (a)		210
	11	Teledyne Technologies, Inc. (a)		379
	5	Triumph Group, Inc. (a)		189
				10,432
Air Freight & Logistics — 0.8%
	28	C.H. Robinson Worldwide, Inc.		1,785
	48	CNF, Inc.		2,545
	12	Expeditors International of Washington, Inc.		706
	2	Forward Air Corp.		65
				5,101
Airlines — 0.5%
	24	Alaska Air Group, Inc. (a)		705
	10	Frontier Airlines, Inc. (a)		93
	11	Mesa Air Group, Inc. (a)		87
	77	Skywest, Inc.		2,056
				2,941
Auto Components — 0.8%
	105	ArvinMeritor, Inc.		1,758
	7	Bandag, Inc.		289
	28	BorgWarner, Inc.		1,608
	8	EnPro Industries, Inc. (a)		278
	31	Lear Corp.		1,047
	6	Midas, Inc. (a)		120
	11	Modine Manufacturing Co.		417
	5	Standard Motor Products, Inc.		37

Page 1

Shares		Security Description	Value
	10	Superior Industries International, Inc.	$	206
				5,760
Automobiles — 0.4%
	5	Coachmen Industries, Inc.		58
	22	Fleetwood Enterprises, Inc. (a)		266
	11	Monaco Coach Corp.		159
	58	Thor Industries, Inc.		1,959
	13	Winnebago Industries, Inc.		391
				2,833
Beverages — 0.1%
	42	PepsiAmericas, Inc.		958
Biotechnology — 1.4%
	24	Arqule, Inc. (a)		189
	30	Cephalon, Inc. (a)		1,404
	16	Charles River Laboratories International, Inc. (a)		716
	10	Enzo Biochem, Inc. (a)		155
	17	Gen-Probe, Inc. (a)		853
	30	Invitrogen Corp. (a)		2,252
	60	Millennium Pharmaceuticals, Inc. (a)		556
	43	Protein Design Labs, Inc. (a)		1,191
	28	Regeneron Pharmaceuticals, Inc. (a)		266
	24	Savient Pharmaceuticals, Inc. (a)		89
	9	Techne Corp. (a)		497
	55	Vertex Pharmaceuticals, Inc. (a)		1,232
				9,400
Building Products — 0.5%
	9	Apogee Enterprises, Inc.		155
	6	ElkCorp		223
	11	Griffon Corp. (a)		259
	8	NCI Building Systems, Inc. (a)		335
	17	Simpson Manufacturing Co., Inc.		651
	6	Universal Forest Products, Inc.		358
	22	York International Corp.		1,233
				3,214
Capital Markets — 1.7%
	54	A.G. Edwards, Inc.		2,365
	57	Investment Technology Group, Inc. (a)		1,684
	21	Jefferies Group, Inc.		932
	21	LaBranche & Co., Inc. (a)		186
	28	Legg Mason, Inc.		3,053
	8	Piper Jaffray Cos. (a)		239
	38	Raymond James Financial, Inc.		1,219

Page 2

\

Shares		Security Description	Value
	24	SEI Investments Co.	$	921
	6	SWS Group, Inc.		91
	16	Waddell & Reed Financial, Inc.		301
				10,991
Chemicals — 2.1%
	10	A. Schulman, Inc.		179
	7	Arch Chemicals, Inc.		166
	7	Cambrex Corp.		142
	19	Ferro Corp.		341
	8	FMC Corp. (a)		430
	51	Georgia Gulf Corp.		1,216
	38	H.B. Fuller Co.		1,182
	21	Headwaters, Inc. (a)		793
	49	Lubrizol Corp.		2,110
	73	Lyondell Chemical Co.		2,076
	12	MacDermid, Inc.		312
	4	Material Sciences Corp. (a)		55
	77	Olin Corp.		1,458
	11	OM Group, Inc. (a)		223
	29	Omnova Solutions, Inc. (a)		125
	2	Penford Corp.		25
	30	PolyOne Corp. (a)		183
	3	Quaker Chemical Corp.		46
	56	RPM International, Inc.		1,035
	6	Scotts Miracle-Gro Co. (The), Class A		543
	17	Sensient Technologies Corp.		319
	18	Valspar Corp.		413
	13	Wellman, Inc.		79
				13,451
Commercial Banks — 3.6%
	27	Amegy Bancorp, Inc.		614
	28	Associated Banc-Corp.		866
	48	Bank of Hawaii Corp.		2,353
	8	Boston Private Financial Holdings, Inc.		222
	12	Central Pacific Financial Corp.		409
	18	Chittenden Corp.		480
	13	City National Corp.		916
	9	Colonial BancGroup, Inc. (The)		196
	90	Commerce Bancorp, Inc.		2,763
	12	Community Bank System, Inc.		264
	38	Cullen/Frost Bankers, Inc.		1,859
	25	East-West Bancorp, Inc.		842
	97	First Bancorp		1,639
	18	First Midwest Bancorp, Inc.		680
	10	First Republic Bank		338
	33	FirstMerit Corp.		891
	14	Gold Banc Corp., Inc.		208
	17	Hudson United Bancorp		739
	10	Irwin Financial Corp.		201
	28	Mercantile Bankshares Corp.		1,489

Page 3

Shares		Security Description	Value
	9	Nara Bancorp, Inc.	$	133
	7	PrivateBancorp, Inc.		257
	7	Prosperity Bancshares, Inc.		221
	12	Provident Bankshares Corp.		422
	24	Republic Bancorp, Inc.		332
	14	Sterling Bancshares, Inc.		202
	18	Susquehanna Bancshares, Inc.		434
	8	SVB Financial Group (a)		374
	16	Texas Regional Bancshares, Inc.		463
	30	Trustco Bank Corp.		371
	17	UCBH Holdings, Inc.		314
	16	Umpqua Holdings Corp.		397
	17	United Bancshares, Inc.		597
	24	Whitney Holding Corp.		646
	9	Wintrust Financial Corp.		465
				23,597
Commercial Services & Supplies — 4.1%
	16	ABM Industries, Inc.		328
	9	Administaff, Inc.		351
	2	Angelica Corp.		38
	9	Banta Corp.		465
	13	Bowne & Co., Inc.		188
	19	Brady Corp., Class A		578
	74	Career Education Corp. (a)		2,637
	6	CDI Corp.		182
	12	Central Parking Corp.		172
	18	Chemed Corp.		786
	8	Coinstar, Inc. (a)		140
	4	Consolidated Graphics, Inc. (a)		193
	33	Copart, Inc. (a)		786
	20	Corinthian Colleges, Inc. (a)		269
	16	Corporate Executive Board Co.		1,272
	5	CPI Corp.		87
	18	Deluxe Corp.		738
	31	Dun & Bradstreet Corp. (a)		2,052
	17	Education Management Corp. (a)		551
	7	G&K Services, Inc., Class A		262
	7	Heidrick & Struggles, Inc. (a)		225
	5	Herman Miller, Inc.		151
	16	HNI Corp.		987
	6	Imagistics International, Inc. (a)		259
	11	ITT Educational Services, Inc. (a)		539
	11	John H. Harland Co.		485
	13	Kelly Services, Inc., Class A		397
	12	Korn/Ferry International (a)		199
	14	Labor Ready, Inc. (a)		353
	7	Laureate Education, Inc. (a)		327
	63	Manpower, Inc.		2,795
	5	Mobile Mini, Inc. (a)		198
	12	NCO Group, Inc. (a)		255
	10	On Assignment, Inc. (a)		85
	6	Pre-Paid Legal Services, Inc.		247
	24	PRG-Schultz International, Inc. (a)		73

Page 4

Shares		Security Description	Value
	45	Republic Services, Inc.	$	1,605
	23	Rollins, Inc.		452
	9	School Specialty, Inc. (a)		438
	21	Sotheby's Holdings, Inc., Class A (a)		356
	6	SOURCECORP, Inc. (a)		119
	20	Spherion Corp. (a)		151
	11	Standard Register Co. (The)		167
	11	Stericycle, Inc. (a)		650
	22	Tetra Tech, Inc. (a)		376
	28	United Rentals, Inc. (a)		556
	12	United Stationers, Inc. (a)		553
	4	Vertrue, Inc. (a)		140
	8	Viad Corp.		222
	5	Volt Information Sciences, Inc. (a)		100
	26	Waste Connections, Inc. (a)		913
	16	Watson Wyatt & Co. Holdings		444
				26,892
Communications Equipment — 1.4%
	8	Audiovox Corp. (a)		109
	10	Avocent Corp. (a)		312
	4	Bel Fuse, Inc., Class B		134
	6	Black Box Corp.		269
	6	Brooktrout, Inc. (a)		82
	28	C-COR, Inc. (a)		187
	77	CommScope, Inc. (a)		1,328
	8	Comtech Telecommunications Corp. (a)		315
	10	Digi International, Inc. (a)		110
	12	Ditech Communications Corp. (a)		83
	14	F5 Networks, Inc. (a)		593
	23	Harmonic, Inc. (a)		134
	62	Harris Corp.		2,585
	10	Inter-Tel, Inc.		211
	9	Netgear, Inc. (a)		205
	12	Network Equipment Technologies, Inc. (a)		56
	11	PC-Tel, Inc. (a)		100
	12	Plantronics, Inc.		380
	57	Polycom, Inc. (a)		914
	39	Powerwave Technologies, Inc. (a)		501
	18	Symmetricom, Inc. (a)		139
	5	Tollgrade Communications, Inc. (a)		45
	8	ViaSat, Inc. (a)		214
				9,006
Computers & Peripherals — 1.2%
	43	Adaptec, Inc. (a)		166
	86	Brocade Communications Systems, Inc. (a)		353
	19	Diebold, Inc.		638
	10	Hutchinson Technology, Inc. (a)		260
	13	Imation Corp.		577
	62	McData Corp., Class A (a)		326

Page 5

Shares		Security Description	Value
	59	SanDisk Corp. (a)	$	2,826
	11	SBS Technologies, Inc. (a)		110
	9	Synaptics, Inc. (a)		176
	199	Western Digital Corp. (a)		2,572
				8,004
Construction & Engineering — 0.6%
	5	EMCOR Group, Inc. (a)		319
	9	Insituform Technologies, Inc., Class A (a)		147
	13	Jacobs Engineering Group, Inc. (a)		900
	45	Quanta Services, Inc. (a)		569
	46	Shaw Group, Inc. (The) (a)		1,126
	16	URS Corp. (a)		665
				3,726
Construction Materials — 0.5%
	13	Florida Rock Industries, Inc.	$	860
	23	Martin Marietta Materials, Inc.		1,810
	8	Texas Industries, Inc.		460
				3,130
Consumer Discretionary — 0.0% (g)
	6	Ethan Allen Interiors, Inc.		193
Consumer Finance — 0.4%
	48	AmeriCredit Corp. (a)		1,135
	10	Cash America International, Inc.		198
	33	MoneyGram International, Inc.		727
	8	Rewards Network, Inc. (a)		55
	7	World Acceptance Corp. (a)		180
				2,295
Containers & Packaging — 0.2%
	8	Aptargroup, Inc.		390
	9	Caraustar Industries, Inc. (a)		98
	5	Chesapeake Corp.		90
	11	Myers Industries, Inc.		123
	9	Rock-Tenn Co., Class A		134
	26	Sonoco Products Co.		716
				1,551
Distributors — 0.2%
	49	Adesa, Inc.		1,080
Diversified Financial Services — 0.04%

Page 6

Shares		Security Description	Value
	6	Financial Federal Corp.	$	240
	19	GATX Corp.		764
	37	Leucadia National Corp.		1,592
				2,596
Diversified Telecommunication Services — 0.1%
	97	Cincinnati Bell, Inc. (a)		427
	8	Commonwealth Telephone Enterprises, Inc.		295
	22	General Communication, Inc., Class A (a)		216
				938
Electric Utilities — 2.8%
	16	Allete, Inc.		731
	68	Alliant Energy Corp.		1,991
	–(h)	Black Hills Corp.		6
	6	Central Vermont Public Service Corp.		113
	5	CH Energy Group, Inc.		249
	17	Cleco Corp.		400
	35	Great Plains Energy, Inc.		1,058
	6	Green Mountain Power Corp.		198
	19	Hawaiian Electric Industries, Inc.		526
	111	Northeast Utilities		2,210
	24	OGE Energy Corp.		688
	133	Pepco Holdings, Inc.		3,097
	17	PNM Resources, Inc.		484
	68	Puget Energy, Inc.		1,588
	4	UIL Holdings Corp.		218
	14	Unisource Energy Corp.		452
	20	Westar Energy, Inc.		493
	49	Wisconsin Energy Corp.		1,936
	32	WPS Resources Corp.		1,845
				18,283
Electrical Equipment — 0.9%
	9	A.O. Smith Corp.		269
	17	Acuity Brands, Inc.		496
	16	Ametek, Inc.		702
	13	Artesyn Technologies, Inc. (a)		121
	11	Baldor Electric Co.		275
	10	C&D Technology, Inc.		91
	23	Hubbell, Inc., Class B		1,082
	11	MagneTek, Inc. (a)		36
	11	Regal-Beloit Corp.		367
	27	Roper Industries, Inc.		1,070
	22	Thomas & Betts Corp. (a)		768
	16	Vicor Corp.Vicor Corp		241
	4	Woodward Governor Co.		310
				5,828

Page 7

Shares		Security Description	Value
Electronic Equipment & Instruments — 2.8%
	29	Aeroflex, Inc. (a)	$	272
	12	Agilysis, Inc.		199
	72	Amphenol Corp., Class A		2,897
	94	Arrow Electronics, Inc. (a)		2,934
	91	Avnet, Inc. (a)		2,223
	5	BEI Technologies, Inc.		162
	11	Bell Microproducts, Inc. (a)		107
	15	Benchmark Electronics, Inc. (a)		458
	20	CDW Corp.		1,199
	15	Checkpoint Systems, Inc. (a)		354
	17	Cognex Corp.		521
	17	Coherent, Inc. (a)		488
	11	CTS Corp.		130
	7	Daktronics, Inc.		159
	7	Dionex Corp. (a)		373
	9	Electro Scientific Industries, Inc. (a)		197
	18	Gerber Scientific, Inc. (a)		145
	9	Global Imaging Systems, Inc (a)		306
	21	Itron, Inc. (a)		938
	5	Keithley Instruments, Inc.		74
	34	KEMET Corp. (a)		283
	8	Littelfuse, Inc. (a)		215
	12	Methode Electronics, Inc.		133
	8	MTS Systems Corp.		298
	15	Newport Corp. (a)		215
	8	Park Electrochemical Corp.		218
	13	Paxar Corp. (a)		215
	9	Photon Dynamics, Inc. (a)		182
	6	Planar Systems, Inc. (a)		45
	16	Plexus Corp. (a)		270
	7	Radisys Corp. (a)		138
	6	Rogers Corp. (a)		238
	4	Scansource, Inc. (a)		176
	13	Technitrol, Inc.		201
	10	Trimble Navigation, Ltd. (a)		328
	12	Veeco Instruments, Inc. (a)		195
	32	Vishay Intertechnology, Inc. (a)		386
	7	X-Rite, Inc.		83
				17,955
Energy Equipment & Services — 4.3%
	21	Cal Dive International, Inc. (a)		1,344
	16	Cooper Cameron Corp. (a)		1,186
	7	Dril-Quip, Inc. (a)		326
	52	ENSCO International, Inc.		2,412
	71	Grant Prideco, Inc. (a)		2,899
	44	Helmerich & Payne, Inc.		2,662
	14	Hydril (a)		948
	29	Input/Output, Inc. (a)		229
	42	Lone Star Technologies, Inc. (a)		2,331
	27	Maverick Tube Corp. (a)		805
	15	Oceaneering International, Inc. (a)		777

Page 8

Shares		Security Description	Value
	9	Offshore Logistics, Inc. (a)	$	336
	88	Patterson-UTI Energy, Inc.		3,175
	34	Pride International, Inc. (a)		977
	10	SEACOR Holdings, Inc. (a)		704
	35	Smith International, Inc.		1,165
	10	Tetra Technologies, Inc. (a)		320
	16	Tidewater, Inc.		782
	46	Unit Corp. (a)		2,566
	50	Veritas DGC, Inc. (a)		1,813
	9	W-H Energy Services, Inc. (a)		303
				28,060
Food & Staples Retailing — 1.1%
	33	BJ's Wholesale Club, Inc. (a)		927
	20	Casey's General Stores, Inc.		458
	35	Longs Drug Stores Corp.		1,491
	4	Nash Finch Co.		160
	49	Performance Food Group Co. (a)		1,534
	15	Ruddick Corp.		352
	16	Whole Foods Market, Inc.		2,215
				7,137
Food Products — 1.6%
	7	American Italian Pasta Co.		76
	14	Corn Products International, Inc.		277
	77	Dean Foods Co. (a)		2,988
	24	Flowers Foods, Inc.		650
	14	Hain Celestial Group, Inc. (a)		277
	51	Hormel Foods Corp.		1,676
	3	J & J Snack Foods Corp.		161
	14	JM Smucker Co. (The)		656
	13	Lancaster Colony Corp.		553
	9	Lance, Inc.		163
	5	Peet's Coffee & Tea, Inc. (a)		144
	8	Ralcorp Holdings, Inc.		336
	6	Sanderson Farms, Inc.		229
	51	Smithfield Foods, Inc. (a)		1,527
	17	Tootsie Roll Industries, Inc.		524
	10	TreeHouse Foods, Inc. (a)		280
				10,517
Gas Utilities — 1.4%
	46	AGL Resources, Inc.		1,694
	77	Atmos Energy Corp.		2,176
	3	Cascade Natural Gas Corp.		73
	8	Laclede Group, Inc. (The)		270
	11	New Jersey Resources Corp.		497
	11	Northwest Natural Gas Co.		404
		Southern Union Co. (a)		3

Page 9

Shares		Security Description	Value
	15	Southwest Gas Corp.	$	406
	90	UGI Corp.		2,531
	34	WGL Holdings, Inc.		1,082
				9,136
Health Care Equipment & Supplies — 4.8%
	4	Analogic Corp.		219
	20	Beckman Coulter, Inc.		1,065
	9	Biolase Technology, Inc.		61
	12	Biosite, Inc. (a)		730
	12	Conmed Corp. (a)		323
	21	Cooper Cos., Inc. (The)		1,630
	60	Cytyc Corp. (a)		1,619
	5	Datascope Corp.		147
	38	Dentsply International, Inc.		2,067
	8	DJ Orthopedics, Inc. (a)		237
	46	Edwards Lifesciences Corp. (a)		2,062
	8	Greatbatch, Inc.		231
	17	Haemonetics Corp. (a)		817
	48	Hillenbrand Industries, Inc.		2,270
	14	Hologic, Inc. (a)		833
	5	ICU Medical, Inc. (a)		133
	8	Idexx Laboratories, Inc. (a)		512
	17	Immucor, Inc. (a)		476
	14	Inamed Corp. (a)		1,059
	12	Integra LifeSciences Holdings Corp. (a)		443
	8	Intermagnetics General Corp. (a)		221
	14	Intuitive Surgical, Inc. (a)		994
	11	Invacare Corp.		438
	4	Kensey Nash Corp. (a)		134
	49	Mentor Corp.		2,713
	10	Merit Medical Systems, Inc. (a)		183
	5	Osteotech, Inc. (a)		29
	20	Patterson Cos., Inc. (a)		810
	6	Possis Medical, Inc. (a)		71
	13	Resmed, Inc. (a)		1,038
	65	Respironics, Inc. (a)		2,724
	40	Steris Corp.		957
	6	SurModics, Inc. (a)		231
	7	Sybron Dental Specialties, Inc. (a)		303
	13	Theragenics Corp. (a)		39
	42	Varian Medical Systems, Inc. (a)		1,652
	31	Varian, Inc. (a)		1,056
	12	Viasys Healthcare, Inc. (a)		292
	4	Vital Signs, Inc.		192
				31,011
Health Care Providers & Services — 5.0%
	6	Amedisys, Inc. (a)		218
	6	AMERIGROUP Corp. (a)		107
	11	Amsurg Corp. (a)		300
	17	Apria Healthcare Group, Inc. (a)		537
	21	Cerner Corp. (a)		1,850

Page 10

Shares		Security Description	Value
	63	Community Health Systems, Inc. (a)	$	2,449
	11	Cross Country Healthcare, Inc. (a)		208
	9	CryoLife, Inc. (a)		63
	13	Dendrite International, Inc. (a)		256
	9	Gentiva Health Services, Inc. (a)		170
	70	Health Net, Inc. (a)		3,295
	26	Henry Schein, Inc. (a)		1,116
	10	Hooper Holmes, Inc.		41
	7	LabOne, Inc. (a)		296
	17	LifePoint Hospitals, Inc. (a)		756
	44	Lincare Holdings, Inc. (a)		1,786
	11	NDCHealth Corp.		212
	14	Odyssey HealthCare, Inc. (a)		231
	48	Omnicare, Inc.		2,679
	44	Owens & Minor, Inc.		1,289
	35	Pacificare Health Systems, Inc. (a)		2,779
	8	Parexel International Corp. (a)		162
	21	Pediatrix Medical Group, Inc. (a)		1,647
	30	Pharmaceutical Product Development, Inc. (a)		1,731
	14	Priority Healthcare Corp., Class B (a)		389
	6	RehabCare Group, Inc. (a)		113
	26	Renal Care Group, Inc. (a)		1,253
	5	SFBC International, Inc. (a)		241
	6	Sierra Health Services, Inc. (a)		433
	13	Sunrise Senior Living, Inc. (a)		837
	53	Triad Hospitals, Inc. (a)		2,383
	40	United Surgical Partners International, Inc. (a)		1,560
	29	Universal Health Services, Inc., Class B		1,370
				32,757
Health Care Services — 0.0% (g)
	9	Healthcare Services Group, Inc.		167
Hotels, Restaurants & Leisure — 2.4%
	19	Applebees International, Inc.		388
	11	Argosy Gaming Co. (a)		538
	6	Aztar Corp. (a)		187
	13	Bally Total Fitness Holding Corp. (a)		60
	12	Bob Evans Farms, Inc.		265
	24	Boyd Gaming Corp.		1,040
	29	Brinker International, Inc. (a)		1,098
	54	CBRL Group, Inc.		1,823
	29	CEC Entertainment, Inc. (a)		906
	21	Cheesecake Factory, Inc. (The) (a)		641
	74	GTECH Holdings Corp.		2,383
	8	IHOP Corp.		322
	14	International Speedway Corp., Class A		745
	50	Jack in the Box, Inc. (a)		1,484
	23	Krispy Kreme Doughnuts, Inc. (a)		142
	8	Landry's Restaurants, Inc.		233
	7	Lone Star Steakhouse & Saloon, Inc.		191
	9	Marcus Corp.		189

Page 11

Shares		Security Description	Value
	6	O'Charley's, Inc. (a)	$	87
	20	Outback Steakhouse, Inc.		729
	8	Panera Bread Co., Class A (a)		391
	7	Papa John's International, Inc. (a)		327
	12	Pinnacle Entertainment, Inc. (a)		224
	5	Red Robin Gourmet Burgers, Inc. (a)		243
	15	Ryan's Restaurant Group, Inc. (a)		169
	13	Sonic Corp. (a)		356
	9	Steak N Shake Co. (The) (a)		162
	26	Triarc Cos., Inc., Class B		390
				15,873
Household Durables — 3.1%
	66	American Greetings Corp., Class A		1,821
	8	Applica, Inc. (a)		13
	4	Basset Furniture Industries, Inc.		70
	11	Blyth, Inc.		235
	28	Champion Enterprises, Inc. (a)		413
	4	Department 56, Inc. (a)		52
	10	Fedders Corp.		21
	82	Furniture Brands International, Inc.		1,478
	10	Harman International Industries, Inc.		1,054
	25	Hovnanian Enterprises, Inc., Class A (a)		1,300
	16	Interface, Inc., Class A (a)		135
	20	Lay-Z-Boy, Inc.		268
	52	Lennar Corp., Class A		3,121
	–(h)	Lennar Corp., Class B		–(h)
	5	Libbey, Inc.		74
	13	Meritage Homes Corp. (a)		992
	5	Mohawk Industries, Inc. (a)		406
	2	National Presto Industries, Inc.		94
	1	NVR, Inc. (a)		565
	5	Russ Berrie & Co., Inc.		74
	14	Ryland Group, Inc.		973
	3	Skyline Corp.		110
	61	Standard-Pacific Corp.		2,530
	52	Toll Brothers, Inc. (a)		2,332
	78	Tupperware Corp.		1,778
				19,909
Household Products — 0.6%
	17	Church & Dwight Co., Inc.		640
	30	Energizer Holdings, Inc. (a)		1,697
	49	Spectrum Brands, Inc. (a)		1,144
	5	WD-40 Co.		135
				3,616
Industrial Conglomerates — 0.3%
	6	Carlisle Cos., Inc.		389
	4	Standex International Corp.		109

Page 12

Shares		Security Description	Value
	14	Teleflex, Inc.	$	978
	12	Tredegar Corp.		160
				1,636
Insurance — 4.3%
	14	Allmerica Financial Corp. (a)		564
	39	American Financial Group, Inc.		1,328
	36	AmerUs Group Co.		2,081
	15	Brown & Brown, Inc.		751
	12	Delphi Financial Group, Inc.		578
	24	Everest Re Group Ltd. (Bermuda)		2,307
	35	Fidelity National Financial, Inc.		1,568
	57	First American Corp.		2,608
	5	Hilb, Rogal & Hobbs Co.		204
	14	Horace Mann Educators Corp.		267
	8	Infinity Property & Casualty Corp.		286
	14	Mercury General Corp.		838
	37	Ohio Casualty Corp.		999
	62	Old Republic International Corp.		1,658
	8	Philadelphia Consolidated Holding Co. (a)		685
	9	Presidential Life Corp.		170
	12	ProAssurance Corp. (a)		547
	34	Protective Life Corp.		1,417
	10	RLI Corp.		457
	1	SCPIE Holdings, Inc. (a)		20
	11	Selective Insurance Group		532
	25	Stancorp Financial Group, Inc.		2,123
	6	Stewart Information Services Corp.		293
	14	UICI		504
	7	United Fire & Casualty Co.		308
	23	Unitrin, Inc.		1,072
	76	W.R. Berkley Corp.		2,989
	9	Zenith National Insurance Corp.		549
				27,703
Internet & Catalog Retail — 0.1%
	21	Insight Enterprises, Inc. (a)		388
	7	J. Jill Group, Inc. (The) (a)		113
	13	Napster, Inc. (a)		53
				554
Internet Software & Services — 0.9%
	16	Digital Insight Corp. (a)		408
	34	Internet Security Systems (a)		807
	7	j2 Global Communications, Inc. (a)		301
	101	McAfee, Inc. (a)		3,188
	29	WebEx Communications, Inc. (a)		714
	9	Websense, Inc. (a)		466
	11	Zix Corp. (a)		23
				5,907

Page 13

Shares		Security Description	Value
IT Services — 2.4%
	20	Acxiom Corp.	$	366
	33	Alliance Data Systems Corp. (a)		1,301
	12	Anteon International Corp. (a)		526
	80	BISYS Group, Inc. (The) (a)		1,078
	33	CACI International, Inc., Class A (a)		2,017
	5	Carreker Corp. (a)		32
	35	Ceridian Corp. (a)		718
	21	Ciber, Inc. (a)		152
	45	Cognizant Technology Solutions Corp., Class A (a)		2,078
	76	CSG Systems International, Inc. (a)		1,642
	50	DST Systems, Inc. (a)		2,719
	36	Gartner, Inc., Class A (a)		418
	9	Global Payments, Inc.		704
	5	Intrado, Inc. (a)		96
	4	iPayment, Inc. (a)		152
	23	Keane, Inc. (a)		260
	11	Mantech International Corp., Class A (a)		287
	9	MAXIMUS, Inc.		304
	11	MIVA, Inc.		65
	40	MPS Group, Inc. (a)		472
	8	Pegasus Solutions, Inc. (a)		71
	11	SRA International, Inc., Class A (a)		375
	5	Startek, Inc.		63
				15,896
Leisure Equipment & Products — 0.5%
	7	Action Performance Cos., Inc.		90
	7	Arctic Cat, Inc.		153
	25	Callaway Golf Co.		379
	9	JAKKS Pacific, Inc. (a)		141
	16	K2, Inc. (a)		186
	4	Meade Instruments Corp. (a)		10
	59	Nautilus Group, Inc.		1,298
	20	Polaris Industries, Inc.		967
	6	SCP Pool Corp.		195
	9	Sturm Ruger & Co., Inc.		85
				3,504
Machinery — 4.1%
	83	AGCO Corp. (a)		1,504
	13	Albany International Corp.		479
	6	Astec Industries, Inc. (a)		179
	7	ASV, Inc. (a)		162
	9	Barnes Group, Inc.		325
	54	Briggs & Stratton Corp.		1,863
	18	Clarcor, Inc.		524
	52	Crane Co.		1,560

Page 14

Shares		Security Description	Value
	32	Flowserve Corp. (a)		1,158
	33	Gardner Denver, Inc. (a)		1,457
	16	Harsco Corp.		1,025
	13	IDEX Corp.		549
	20	JLG Industries, Inc.		722
	32	Joy Global, Inc.		1,599
	11	Kennametal, Inc.		545
	4	Lindsay Manufacturing Co.		87
	4	Lydall, Inc. (a)		39
	19	Manitowoc Co., Inc.		953
	20	Milacron, Inc. (a)		35
	13	Mueller Industries, Inc.		366
	14	Nordson Corp.		532
	57	Oshkosh Truck Corp.		2,462
	31	Pentair, Inc.		1,142
	47	Reliance Steel & Aluminum Co.		2,486
	5	Robbins & Myers, Inc.		107
	22	SPX Corp.		1,001
	9	Stewart & Stevenson Services, Inc.		219
	6	Tecumseh Products Co., Class A		128
	75	Timken Co.		2,219
	17	Toro Co.		616
	8	Valmont Industries, Inc.		230
	11	Wabash National Corp.		220
	5	Wolverine Tube, Inc. (a)		34
				26,829
Marine — 0.1%
	9	Kirby Corp. (a)		460
Media — 1.6%
	4	4Kids Entertainment, Inc. (a)		61
	4	Arbitron, Inc.		170
	30	Belo Corp., Class A		676
	44	Catalina Marketing Corp.		1,008
	23	Emmis Communications Corp., Class A (a)		507
	37	Entercom Communications Corp. (a)		1,165
	28	Harte-Hanks, Inc.		739
	18	Lee Enterprises, Inc.		774
	9	Media General, Inc., Class A		504
	54	Reader's Digest Association, Inc.		859
	32	Scholastic Corp. (a)		1,197
	5	Thomas Nelson, Inc.		92
	40	Valassis Communications, Inc. (a)		1,547
	1	Washington Post Co. (The), Class B		606
	22	Westwood One, Inc.		441
				10,346
Metals & Mining — 2.4% 11 Aleris International, Inc. (a)				314

Page 15

Shares		Security Description	Value
	7	AM Castle & Co. (a)	$	124
	11	AMCOL International Corp.		212
	5	Brush Engineered Materials, Inc. (a)		72
	33	Carpenter Technology Corp.		1,948
	9	Century Aluminum Co. (a)		205
	8	Chaparral Stell Co. (a)		213
	9	Cleveland-Cliffs, Inc.		751
	22	Commercial Metals Co.		738
	17	Massey Energy Co.		866
	48	Peabody Energy Corp.		4,032
	34	Quanex Corp.		2,260
	9	RTI International Metals, Inc. (a)		344
	8	Ryerson Tull, Inc.		180
	66	Steel Dynamics, Inc.		2,226
	3	Steel Technologies, Inc.		89
	49	Worthington Industries, Inc.		1,024
				15,598
Multi-Utilities — 2.6%
	147	Aquila, Inc. (a)		582
	19	Avista Corp.		371
	20	Energen Corp.		850
	94	Energy East Corp.		2,372
	9	Equitable Resources, Inc.		340
	57	MDU Resources Group, Inc.		2,035
	40	National Fuel Gas Co.		1,367
	80	Oneok, Inc.		2,734
	31	Questar Corp.		2,704
	51	SCANA Corp.		2,144
	51	Sierra Pacific Resources (a)		762
	31	Vectren Corp.		871
				17,132
Multiline Retail — 0.7%
	23	99 Cents Only Stores (a)		215
	56	Dollar Tree Stores, Inc. (a)		1,211
	14	Fred's, Inc.		181
	19	Neiman-Marcus Group, Inc., Class A		1,910
	54	Saks, Inc. (a)		997
	9	ShopKo Stores, Inc. (a)		236
				4,750
Oil, Gas & Consumable Fuels — 3.7%
	26	Forest Oil Corp. (a)		1,373
	16	Frontier Oil Corp.		697
	57	Newfield Exploration Co. (a)		2,796
	36	Noble Energy, Inc.		1,708
	36	Overseas Shipholding Group, Inc.		2,104
	7	Penn Virginia Corp.		409
	6	Petroleum Development Corp. (a)		248

Page 16

Shares		Security Description	Value
	19	Pioneer Natural Resources Co.	$	1,016
	20	Plains Exploration & Production Co. (a)		836
	49	Pogo Producing Co.		2,892
	8	Remington Oil & Gas Corp. (a)		334
	15	Southwestern Energy Co. (a)		1,082
	12	St. Mary Land & Exploration Co.		455
	27	Stone Energy Corp. (a)		1,677
	42	Swift Energy Co. (a)		1,930
	18	Tesoro Corp.		1,214
	68	Vintage Petroleum, Inc.		3,092
	9	World Fuel Services Corp.		285
				24,148
Paper & Forest Products — 0.3%
	11	Buckeye Technologies, Inc. (a)		92
	4	Deltic Timber Corp.		176
	14	Glatfelter		195
	6	Neenah Paper, Inc.		172
	5	Pope & Talbot, Inc.		54
	17	Potlatch Corp.		863
	5	Schweitzer-Mauduit International, Inc.		106
	18	Wausau-Mosinee Paper Corp.		221
				1,879
Personal Products — 0.0% (g)
	5	Nature's Sunshine Products, Inc.		126
Pharmaceuticals — 1.3%
	18	Alpharma, Inc., Class A		455
	36	Barr Pharmaceuticals, Inc. (a)		2,003
	6	Bradley Pharmaceuticals, Inc. (a)		61
	13	Connetics Corp. (a)		225
	91	IVAX Corp. (a)		2,407
	58	Medicis Pharmaceutical Corp., Class A		1,883
	40	MGI Pharma, Inc. (a)		932
	7	Noven Pharmaceuticals, Inc. (a)		101
	7	Sepracor, Inc. (a)		416
	9	Valeant Pharmaceuticals International		190
				8,673
Real Estate — 3.5%
	12	Acadia Realty Trust REIT		219
	33	AMB Property Corp. REIT		1,487
	16	Capital Automotive REIT		611
	15	Colonial Properties Trust REIT		674
	21	Commercial Net Lease Realty REIT		411
	42	Developers Diversified Realty Corp. REIT		1,964
	8	EastGroup Properties, Inc. REIT		357
	9	Entertainment Properties Trust REIT		383

Page 17

Shares		Security Description	Value
	9	Essex Property Trust, Inc. REIT	$	795
	11	Gables Residential Trust REIT		501
	14	Glenborough Realty Trust, Inc. REIT		273
	19	Highwoods Properties, Inc. REIT		561
	25	Hospitality Properties Trust REIT		1,073
	13	Kilroy Realty Corp. REIT		739
	19	Lexington Corporate Properties Trust REIT		445
	34	Liberty Property Trust REIT		1,459
	24	Macerich Co. (The) REIT		1,528
	24	Mack-Cali Realty Corp. REIT		1,067
	5	M/I Homes, Inc.		266
	20	New Century Financial Corp. REIT		719
	38	New Plan Excel Realty Trust REIT		873
	4	Parkway Properties, Inc. REIT		206
	19	Rayonier, Inc. REIT		1,119
	24	Regency Centers Corp. REIT		1,387
	18	Shurgard Storage Centers, Inc. REIT		1,001
	6	Sovran Self Storage, Inc. REIT		272
	53	United Dominion Realty Trust, Inc. REIT		1,265
	33	Weingarten Realty Investors REIT		1,262
				22,917
Road & Rail — 1.1%
	30	Arkansas Best Corp.		1,056
	29	Heartland Express, Inc.		595
	46	Hunt (J.B.) Transport Services, Inc.		883
	32	Kansas City Southern Industries, Inc. (a)		743
	19	Knight Transportation, Inc.		458
	6	Landstar System, Inc.		239
	7	Old Dominion Freight Line (a)		246
	51	Swift Transportation Co., Inc. (a)		904
	46	Yellow Roadway Corp. (a)		1,903
				7,027
Semiconductors & Semiconductor Equipment — 3.3%
	9	Actel Corp. (a)		126
	10	Advanced Energy Industries, Inc. (a)		112
	54	Axcelis Technologies, Inc. (a)		282
	19	Brooks Automation, Inc. (a)		247
	10	Cabot Microelectronics Corp. (a)		286
	7	Cohu, Inc.		158
	4	Cymer, Inc. (a)		133
	12	DSP Group, Inc. (a)		303
	14	ESS Technology, Inc. (a)		48
	16	Exar Corp. (a)		226
	66	Fairchild Semiconductor International, Inc. (a)		980
	15	FEI Co. (a)		280
	8	Helix Technology Corp.		122
	70	Integrated Device Technology, Inc. (a)		756
	48	International Rectifier Corp. (a)		2,164
	48	Intersil Corp., Class A		1,038
	27	Kopin Corp. (a)		189

Page 18

Shares		Security Description	Value
	98	Lam Research Corp. (a)	$	2,987
	42	Lattice Semiconductor Corp. (a)		178
	36	LTX Corp. (a)		151
	80	MEMC Electronic Materials, Inc. (a)		1,834
	56	Micrel, Inc. (a)		626
	103	Microchip Technology, Inc.		3,103
	13	Pericom Semiconductor Corp. (a)		116
	52	Photronics, Inc. (a)		1,001
	11	Power Integrations, Inc. (a)		248
	6	Rudolph Technologies, Inc. (a)		77
	36	Semtech Corp. (a)		601
	28	Silicon Laboratories, Inc. (a)		847
	127	Skyworks Solutions, Inc. (a)		893
	5	Standard Microsystems Corp. (a)		163
	8	Supertex, Inc. (a)		253
	51	Triquint Semiconductor, Inc. (a)		178
	9	Ultratech, Inc. (a)		145
	5	Varian Semiconductor Equipment Associates, Inc. (a)		212
				21,275
Software — 2.8%
	95	Activision, Inc. (a)		1,934
	6	Advent Software, Inc. (a)		170
	9	Altiris, Inc. (a)		138
	176	Cadence Design Systems, Inc. (a)		2,838
	21	Captaris, Inc. (a)		79
	5	Catapult Communications Corp. (a)		100
	6	EPIQ Systems, Inc. (a)		137
	51	Fair Isaac Corp.		2,264
	8	Hyperion Solutions Corp. (a)		384
	11	JDA Software Group, Inc. (a)		173
	29	Macromedia, Inc. (a)		1,176
	37	Macrovision Corp. (a)		699
	13	Manhattan Associates, Inc. (a)		290
	10	Mapinfo Corp. (a)		122
	30	Mentor Graphics Corp. (a)		256
	11	Micros Systems, Inc. (a)		461
	11	MRO Software, Inc. (a)		185
	13	NYFIX, Inc. (a)		73
	6	Phoenix Technologies Ltd. (a)		44
	10	Radiant Systems, Inc. (a)		106
	23	Reynolds & Reynolds Co. (The)		622
	59	Serena Software, Inc. (a)		1,177
	9	Sonic Solutions, Inc. (a)		193
	9	SPSS, Inc. (a)		206
	6	SS&C Technologies, Inc.		230
	86	Sybase, Inc. (a)		2,011
	40	Synopsys, Inc. (a)		747
	7	Talx Corp.		227
	12	THQ, Inc. (a)		249
	25	Transaction Systems Architechs, Inc. (a)		708
	14	Verity, Inc. (a)		154
				18,153

Page 19

Shares		Security Description	Value
Specialty Retail — 5.4%
	19	Aaron Rents, Inc.	$	410
	39	Abercrombie & Fitch Co.		1,925
	55	Advance Auto Parts, Inc. (a)		2,118
	25	Aeropostale, Inc. (a)		525
	98	American Eagle Outfitters, Inc.		2,316
	63	Barnes & Noble, Inc.		2,374
	73	Borders Group, Inc.		1,620
	5	Building Material Holding Corp.		511
	12	Burlington Coat Factory Warehouse Corp.		471
	12	Cato Corp. (The), Class A		239
	25	Children's Place Retail Stores, Inc. (a)		875
	15	Christopher & Banks Corp.		211
	76	Claire's Stores, Inc.		1,842
	8	Cost Plus, Inc. (a)		146
	10	Dress Barn, Inc. (a)		218
	7	Electronics Boutique Holdings Corp. (a)		435
	18	Finish Line, Inc., Class A		267
	64	Foot Locker, Inc.		1,406
	20	GameStop Corp., Class B (a)		571
	30	Genesco, Inc. (a)		1,111
	10	Goody's Family Clothing, Inc.		79
	9	Group 1 Automotive, Inc. (a)		251
	13	Guitar Center, Inc. (a)		716
	8	Gymboree Corp. (a)		114
	7	Hancock Fabrics, Inc.		50
	7	Haverty Furniture Cos., Inc.		88
	13	Hibbett Sporting Goods, Inc. (a)		283
	18	HOT Topic, Inc. (a)		272
	6	Jo-Ann Stores, Inc. (a)		108
	20	Men's Wearhouse, Inc. (a)		536
	65	Michaels Stores, Inc.		2,134
	22	Movie Gallery, Inc.		233
	25	O'Reilly Automotive, Inc. (a)		706
	37	Pacific Sunwear of California, Inc. (a)		796
	100	Payless Shoesource, Inc. (a)		1,741
	21	PEP Boys-Manny Moe & Jack		297
	45	PETsMART, Inc.		974
	12	Regis Corp.		453
	81	Rent-A-Center, Inc. (a)		1,567
	14	Select Comfort Corp. (a)		276
	16	Sonic Automotive, Inc.		356
	10	Stage Stores, Inc.		278
	13	Stein Mart, Inc.		270
	7	TBC Corp. (a)		234
	14	Too, Inc. (a)		372
	33	Williams-Sonoma, Inc. (a)		1,278
	34	Zale Corp. (a)		911
				34,964
Textiles, Apparel & Luxury Goods — 0.9%

Page 20

Shares		Security Description	Value
	4	Ashworth, Inc. (a)	$	29
	7	Brown Shoe Co., Inc.		220
	2	Haggar Corp.		45
	11	K-Swiss, Inc., Class A		333
	12	Kellwood Co.		313
	5	Oxford Industries, Inc.		220
	31	Phillips-Van Heusen		974
	46	Polo Ralph Lauren Corp.		2,302
	10	Russell Corp.		145
	13	Stride Rite Corp.		171
	28	Timberland Co., Class A (a)		951
	9	Wolverine World Wide, Inc.		182
				5,885
Thrifts & Mortgage Finance — 2.8%
	33	Accredited Home Lenders Holding Co. (a)		1,147
	8	Anchor Bancorp Wisconsin, Inc.		235
	89	Astoria Financial Corp.		2,354
	21	BankAtlantic Bancorp, Inc., Class A		350
	12	Bankunited Financial Corp., Class A		269
	20	Brookline Bancorp, Inc.		321
	14	Commercial Federal Corp.		493
	13	Dime Community Bancshares		192
	10	Downey Financial Corp.		610
	17	FirstFed Financial Corp. (a)		923
	75	Flagstar Bancorp, Inc.		1,201
	30	Fremont General Corp.		660
	56	IndyMac Bancorp, Inc.		2,200
	12	MAF Bancorp, Inc.		488
	100	New York Community Bancorp, Inc.		1,639
	28	PMI Group, Inc. (The)		1,136
	39	Radian Group, Inc.		2,082
	–(h)	Sovereign Bancorp, Inc.		–(h)
	12	Sterling Financial Corp.		268
	35	Washington Federal, Inc.		789
	22	Webster Financial Corp.		982
				18,339
Tobacco — 0.1%
	22	Alliance One International, Inc.		79
	10	Universal Corp.		388
				467
Trading Companies & Distributors — 0.5%
	36	Applied Industrial Technologies, Inc.		1,301
	3	Fastenal Co.		161
	56	Hughes Supply, Inc.		1,841
	3	Lawson Products, Inc.		113
				3,416

Page 21

Shares		Security Description	Value
Water Utilities — 0.2%
	5	American States Water Co.	$	172
	36	Aqua America, Inc.		1,384
				1,556
Wireless Telecommunication Services — 0.3%
	43	Telephone & Data Systems, Inc.		1,663
		Total Long-Term Investments
		(Cost $528,106)		649,141

Short-Term Investments — 0.5%
Investment Company — 0.5%
	3,474	JPMorgan Liquid Assets Money Market Fund (b) (m)
		(Cost $3,474)	3,474

Principal
Amount
U.S. Treasury Obligations — 0.0% (g)
			U.S. Treasury Bills (k) (m) (n)
	$	190	3.16%, 10/06/05	190
		150	3.37%, 11/03/05	149
			Total U.S. Treasury Obligations
			(Cost $339)	339
Investments of Cash Collateral for Securities on Loan — 31.0%
Certificates of Deposit — 1.1%
		5,400	Canadian Imperial Bank NY, 3.83%, 10/17/05	5,400
		594	Natexis Banques Populaires, 4.12%, 10/03/05	594
		990	World Savings Bank FSB, 3.87%, 12/15/05	990
				6,984
Commercial Paper — 4.0%
		8,979	Concord Minutemen C.C. LLC, Series C, 3.84%, 10/20/05	8,979
		8,974	Corporate Receivables Corp., 3.79%, 10/25/05	8,975
		7,976	Fairway Finance Corp., 3.80%, 10/26/05	7,976
				25,930

Page 22

Principal
Amount
Corporate Notes — 6.3%
	5,000	Berkshire Hathaway Finance, 3.60%, 10/11/05		5,000
	7,499	CC USA, Inc., 4.10%, 10/03/05		7,499
	389	Citigroup Global Markets Holdings, Inc., 3.94%, 12/12/05		389
	594	General Electric Co., 3.70%, 10/24/05		594
	6,000	Greenwich Capital Finance Products, 4.24%, 10/03/05		6,000
	1,386	Greenwich Capital Holdings, Inc., 4.25%, 10/11/05		1,386
	583	HBOS Treasury Services plc, 3.71%, 10/03/05		583
	5,000	K2 (USA) LLC, 3.99%, 10/03/05		5,000
		Lehman Brothers Holdings,
	396	4.02%, 10/03/05		396
	7,000	4.09%, 10/03/05		7,000
	792	4.14%, 10/03/05		792
	5,500	Morgan Stanley, 4.12%, 10/03/05		5,500
	291	MBIA Global Funding LLC, 3.93%, 10/26/05		292
	396	Sigma Finance, Inc., 4.10%, 10/03/05		396
				40,827
Repurchase Agreements — 19.7%
	37,500	Banc of America Securities LLC, 3.77%, dated 09/30/05, due
		11/01/05, repurchase price $37,626, collateralized by U.S.
		Government Agency Securities		37,500
	38,000	Barclays Capital, 3.87%, dated 09/30/05, due 10/03/05,
		repurchase price $38,012, collateralized by U.S.
		Government Agency Securities		38,000
	30,000	Goldman Sachs & Co., 3.75%, dated 09/30/05, due 10/03/05,
		repurchase price $30,081, collateralized by U.S.
		Government Agency Securities		30,000
	15,000	Lehman Brothers, Inc., 4.06%, dated 09/30/05, due
		10/03/05, repurchase price $15,005, collateralized by
		common stocks		15,000
	7,643	Merrill Lynch Securities, 3.88%, dated 09/30/05, due
		10/03/05, repurchase price $7,645, collateralized by U.S.
		Government Agency Securities		7,643
				128,143
		Total Investments of Cash Collateral for Securities on Loan
		(Cost $201,884)		201,884
Total Investments — 131.1%
(Cost $733,803)			$	854,838
Liabilities in Excess of Other Assets — (31.1)%				(202,821	)
Net Assets — 100.0%			$	652,017

Page 23

Percentages indicated are based on net assets.

Abbreviations:
(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 JPMorgan Investment Advisors Inc.
(g)	Amount rounds to less than 0.1%.
(h)	Amount rounds to less than one thousand.
(k)	Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA’s, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
(n)	The rate shown is the effective yield at the date of purchase.

REIT Real Estate Investment Trust

Futures Contracts
(Amounts in thousands, except number of contracts)

			Notional
			Value at		Unrealized
Number of			09/30/05		Appreciation
Contracts	Description	Expiration Date	(USD)		(USD)
34	S&P Mid Cap 400	December, 2005	$	2,450	$	10
34	IMM MINI RUSL	December, 2005		1,075		1
					$	11

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	133,624
Aggregate gross unrealized depreciation		(12,589	)
Net unrealized appreciation/depreciation	$	121,035
Federal income tax cost of investments	$	733,803

Page 24

JPMorgan Diversified Mid Cap Growth Fund	JPMorgan Diversified Mid Cap Growth Fund
Schedule of Portfolio Investments As of September 30, 2005 (Unaudited) (Amounts in thousands)

	Shares		Security Description	Value
Long-Term Investments — 99.9%
Common Stocks — 99.9%
Aerospace & Defense — 2.7%
		149	L-3 Communications Holdings, Inc.	$	11,817
		409	Precision Castparts Corp.		21,702
		276	Rockwell Collins, Inc.		13,351
					46,870
Air Freight & Logistics — 1.0%
		270	C.H. Robinson Worldwide, Inc.		17,298
Airlines — 0.7%
		840	Southwest Airlines Co.		12,479
Biotechnology — 3.3%
		191	Genzyme Corp. (a)		13,683
		166	Invitrogen Corp. (a)		12,511
		619	MedImmune, Inc. (a)		20,843
		392	Protein Design Labs, Inc. (a)		10,979
					58,016
Capital Markets — 3.6%
		191	Affiliated Managers Group, Inc. (a)		13,796
		891	Ameritrade Holding Corp. (a)		19,135
		440	Federated Investors, Inc., Class B		14,618
		222	T. Rowe Price Group, Inc.		14,471
					62,020
Commercial Banks — 2.5%
		554	Commerce Bancorp, Inc.		16,987
		347	East-West Bancorp, Inc.		11,819
		193	Zions Bancorp		13,775
					42,581
Commercial Services & Supplies — 2.2%
		292	HNI Corp.		17,571
		530	West Corp. (a)		19,822
					37,393
Communications Equipment — 0.7%
		347	Scientific-Atlanta, Inc.		13,001
Computers & Peripherals — 3.5%
		644	NCR Corp. (a)		20,561
		521	Network Appliance, Inc. (a)		12,377
		160	SanDisk Corp. (a)		7,720
		1,231	Seagate Technology (Cayman Islands) (a)		19,510
					60,168
Construction & Engineering — 1.1%
		276	Jacobs Engineering Group, Inc. (a)		18,600
Consumer Finance — 0.7%
		537	AmeriCredit Corp. (a)		12,815
Diversified Financial Services — 1.9%
		343	CIT Group, Inc.		15,506
		724	Lazard Ltd. (Bermuda), Class A		18,305
					33,811

Page 1

JPMorgan Diversified Mid Cap Growth Fund

	Shares		Security Description	Value
Electrical Equipment — 0.8%
		311	Ametek,		13,368
Electronic Equipment & Instruments — 4.4%
		771	Amphenol Corp., Class A		31,106
		468	Arrow Electronics, (a)		14,687
		494	Flir Systems, Inc. (a)		14,613
		527	Jabil Circuit, (a)		16,286
					76,692
Energy Equipment & Services — 5.7%
		340	ENSCO International, Inc.		15,836
		605	Grant Prideco, (a)		24,595
		282	National Oilwell Varco, (a)		18,569
		234	Noble Corp. (Cayman Islands)		16,009
		405	Patterson-UTI Energy,		14,627
		192	Tidewater,		9,330
					98,966
Health Care Equipment & Supplies — 2.6%
		167	Bausch & Lomb,		13,502
		272	Fisher Scientific International, (a)		16,905
		238	Millipore Corp. (a)		14,962
					45,369
Health Care Providers & Services — 9.9%
		216	Aetna,		18,632
		300	Caremark Rx, (a)		14,991
		212	Coventry Health Care, (a)		18,278
		642	DaVita, (a)		29,595
		370	LifePoint Hospitals, (a)		16,176
		431	Manor Care,		16,555
		305	McKesson Corp.		14,477
		220	Medco Health Solutions, (a)		12,063
		554	Omnicare,		31,168
					171,935
Hotels, Restaurants & Leisure — 6.5%
		184	Four Seasons Hotels, Inc. (Canada)		10,556
		211	Harrah’s Entertainment, Inc.		13,764
		326	International Speedway Corp., Class A		17,083
		257	Panera Bread Co., Class A (a)		13,128
		287	Royal Caribbean Cruises Ltd. (Liberia)		12,385
		590	Scientific Games Corp., Class A (a)		18,302
		571	Sonic Corp. (a)		15,617
		184	Station Casinos, Inc.		12,214
					113,049
Household Durables — 1.9%
		338	D.R. Horton, Inc.		12,239
		87	Harman International Industries, Inc.		8,846
		270	Toll Brothers, Inc. (a)		12,079
					33,164
Household Products — 1.1%
		328	Energizer Holdings, Inc. (a)		18,592
Insurance — 0.8%
		372	Willis Group Holdings Ltd. (Bermuda)		13,969

Page 2

JPMorgan Diversified Mid Cap Growth Fund

	Shares		Security Description	Value
Internet Software & Services — 1.8%
		613	McAfee, Inc. (a)		19,263
		577	VeriSign, Inc. (a)		12,320
					31,583
IT Services — 1.9%
		493	Alliance Data Systems Corp. (a)		19,299
		361	CheckFree Corp. (a)		13,668
					32,967
Leisure Equipment & Products — 0.7%
		308	Brunswick Corp.		11,619
Machinery — 3.7%
		372	Graco, Inc.		12,735
		281	Harsco Corp.		18,448
		169	ITT Industries, Inc.		19,159
		310	Oshkosh Truck Corp.		13,388
					63,730
Materials — 0.9%
		853	Rockwood Holdings, Inc. (a)		16,250
Media — 2.6%
		158	Getty Images, Inc. (a)		13,590
		516	Rogers Communications, Inc. (Canada), Class B		20,337
		336	XM Satellite Radio Holdings, Inc., Class A (a)		12,053
					45,980
Metals & Mining — 1.5%
		347	Consol Energy, Inc.		26,462
Oil, Gas & Consumable Fuels — 4.3%
		207	EOG Resources, Inc.		15,497
		280	Newfield Exploration Co. (a)		13,728
		394	Range Resources Corp.		15,224
		240	Southwestern Energy Co. (a)		17,645
		270	Talisman Energy, Inc. (Canada)		13,187
					75,281
Pharmaceuticals — 0.8%
		227	Sepracor, Inc. (a)		13,406
Road & Rail — 1.8%
		861	Hunt (J.B.) Transport Services, Inc.		16,369
		381	Norfolk Southern Corp.		15,470
					31,839
Semiconductors & Semiconductor Equipment — 6.7%
		311	Broadcom Corp., Class A (a)		14,591
		342	KLA-Tencor Corp.		16,686
		503	Lam Research Corp. (a)		15,326
		372	Linear Technology Corp.		13,972
		311	Marvell Technology Group Ltd. (Bermuda) (a)		14,349
		811	Microchip Technology, Inc.		24,441
		527	Nvidia Corp. (a)		18,055
					117,420
Software — 4.0%
		584	Adobe Systems, Inc.		17,430
		706	Citrix Systems, Inc. (a)		17,751
		551	Computer Associates International, Inc.		15,329

Page 3

JPMorgan Diversified Mid Cap Growth Fund

	Shares		Security Description	Value
		1,329	Compuware Corp. (a)		12,629
		281	Salesforce.com, Inc. (a)		6,506
					69,645
Specialty Retail — 8.4%
		391	Abercrombie & Fitch Co.		19,491
		132	Advance Auto Parts, Inc. (a)		5,109
		511	Bed Bath & Beyond, Inc. (a)		20,540
		425	CarMax, Inc. (a)		13,301
		584	Circuit City Stores, Inc.		10,027
		391	Men’s Wearhouse, Inc. (a)		10,437
		426	Michaels Stores, Inc.		14,087
		514	Ross Stores, Inc.		12,172
		565	Sherwin-Williams Co. (The)		24,915
		304	Weight Watchers International, Inc. (a)		15,670
					145,749
Textiles, Apparel & Luxury Goods — 1.1%
		397	Polo Ralph Lauren Corp.		19,949
Trading Companies & Distributors — 0.8%
		220	Fastenal Co.		13,443
Wireless Telecommunication Services — 1.3%
		268	NII Holdings, Inc. (a)		22,599
			Total Long-Term Investments (Cost $1,428,085)		1,738,078
Short-Term Investment — 0.6%
Investment Company — 0.6%
		11,351	JPMorgan Liquid Assets Money Market Fund (b) (m) (Cost $11,351)		11,350
Total Investments — 100.5%
(Cost $1,439,436)				$	1,749,428
Liabilities in Excess of Other Assets — (0.5)%					(9,564	)
Net Assets — 100.0%				$	1,739,864

Abbreviations:

(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 JPMorgan Investment Advisors Inc.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA’s, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	342,328
Aggregate gross unrealized depreciation		(32,336	)
Net unrealized appreciation/depreciation	$	309,992
Federal income tax cost of investments	$	1,439,436

Page 4

JPMorgan Diversified Mid Cap Value Fund	JPMorgan Diversified Mid Cap Value Fund
Schedule of Portfolio Investments As of September 30, 2005 (Unaudited) (Amounts in thousands)

	Shares		Security Description	Value
Long-Term Investments — 95.7%
Common Stocks — 95.7%
Aerospace & Defense — 1.5%
		129	Alliant Techsystems, Inc. (a)		9,600
		132	L-3 Communications Holdings, Inc.		10,398
					19,998
Auto Components — 0.8%
		104	BorgWarner, Inc.		5,872
		160	Lear Corp.		5,425
					11,297
Beverages — 1.7%
		241	Brown-Forman Corp., Class B		14,331
		319	Constellation Brands, Inc., Class A (a)		8,299
					22,630
Building Products — 0.7%
		217	American Standard Cos., Inc.		10,120
Capital Markets — 2.5%
		659	E*Trade Financial Corp. (a)		11,589
		116	Legg Mason, Inc.		12,691
		190	Northern Trust Corp.		9,615
					33,895
Chemicals — 5.1%
		288	Albemarle Corp.		10,850
		167	Ashland, Inc.		9,236
		115	Engelhard Corp.		3,215
		161	International Flavors & Fragrances, Inc.		5,734
		204	Lubrizol Corp.		8,835
		143	PPG Industries, Inc.		8,435
		414	RPM International, inc.		7,621
		110	Sigma-Aldrich Corp.		7,047
		377	Valspar Corp.		8,434
					69,407
Commercial Banks — 6.2%
		352	Compass Bancshares, Inc.		16,128
		168	Cullen/Frost Bankers, inc.		8,294
		89	M&T Bank Corp.		9,440
		264	Mercantile Bankshares Corp.		14,241
		420	North Fork Bancorp, Inc.		10,721
		306	TCF Financial Corp.		8,194
		166	TD Banknorth, inc.		4,994
		176	Zions Bancorp		12,561
					84,573
Commercial Services & Supplies — 0.9%
		150	Pitney Bowes, Inc.		6,253
		178	Republic Services, inc.		6,278
					12,531
Computers & Peripherals — 1.0%
		76	Lexmark International, Inc., Class A (a)		4,646
		279	NCR Corp. (a)		8,896
					13,542

Page 1

JPMorgan Diversified Mid Cap Value Fund

	Shares		Security Description	Value
Construction Materials — 1.3%
		103	Florida Rock Industries, Inc.		6,604
		155	Vulcan Materials Co.		11,503
					18,107
Containers & Packaging — 0.9%
		185	Ball Corp.		6,797
		343	Pactiv Corp. (a)		6,002
					12,799
Diversified Financial Services — 0.8%
		226	Principal Financial Group		10,696
Diversified Telecommunication Services — 2.1%
		228	Alltel Corp.		14,838
		410	CenturyTel, Inc.		14,356
					29,194
Electric Utilities — 4.7%
		108	Allete, Inc.		4,940
		165	American Electric Power Co., Inc.		6,534
		138	Black Hills Corp.		5,994
		405	DPL, Inc.		11,251
		269	PG&E Corp.		10,566
		435	PPL Corp.		14,070
		454	Westar Energy, Inc.		10,965
					64,320
Electrical Equipment — 1.3%
		232	Ametek, Inc.		9,986
		103	Cooper Industries Ltd. (Bermuda), Class A		7,094
					17,080
Electronic Equipment & Instruments — 1.2%
		517	Arrow Electronics, Inc. (a)		16,197
Energy Equipment & Services — 1.1%
		108	Cal Dive International, Inc. (a)		6,861
		144	Unit Corp. (a)		7,938
					14,799
Food Products — 3.0%
		411	Dean Foods Co. (a)		15,972
		494	Del Monte Foods Co. (a)		5,303
		322	Hormel Foods Corp.		10,626
		170	JM Smucker Co. (The)	8,237
					40,138
Gas Utilities — 1.8%
		449	AGL Resources, Inc.		16,644
		260	UGI Corp.		7,330
					23,974
Health Care Providers & Services — 4.2%
		239	Coventry Health Care, Inc. (a)		20,567
		197	Magellan Health Services, Inc. (a)		6,907
		203	Manor Care, Inc.		7,782
		209	Omnicare, Inc.		11,775
		130	Quest Diagnostics, Inc.		6,575
		86	Triad Hospitals, Inc. (a)		3,893
					57,499

Page 2

JPMorgan Diversified Mid Cap Value Fund

	Shares		Security Description	Value
Hotels, Restaurants & Leisure — 2.9%
		303	Applebees International, Inc.		6,275
		486	Hilton Hotels Corp.		10,854
		147	International Game Technology		3,961
		110	Las Vegas Sands Corp. (a)		3,620
		282	Outback Steakhouse, Inc.		10,310
		60	Station Casinos, Inc.		3,982
					39,002
Household Durables — 2.3%
		102	Centex Corp.		6,568
		141	Fortune Brands, Inc.		11,500
		132	Lennar Corp., Class A		7,882
		75	Mohawk Industries, Inc. (a)		5,987
					31,937
Household Products — 0.6%
		148	Clorox Co.		8,209
Industrial Conglomerates — 1.2%
		176	Carlisle Cos., Inc.		11,195
		96	Walter Industries, Inc.		4,691
					15,886
Insurance — 7.9%
		373	Assurant, Inc.		14,189
		233	Cincinnati Financial Corp.		9,767
		82	Everest Re Group Ltd. (Bermuda)		8,018
		291	Fidelity National Financial, Inc.		12,948
		216	Genworth Financial, Inc., Class A		6,954
		148	IPC Holdings Ltd. (Bermuda)		4,839
		158	MBIA, Inc.		9,600
		747	Old Republic International Corp.		19,913
		94	PartnerRe Ltd. (Bermuda)		6,014
		208	Protective Life Corp.		8,574
		152	Willis Group Holdings Ltd. (Bermuda)		5,704
					106,520
IT Services — 0.5%
		136	Affiliated Computer Services, Inc., Class A (a)		7,404
Machinery — 1.8%
		240	Crane Co.		7,135
		165	Dover Corp.		6,718
		154	Harsco Corp.		10,111
					23,964
Media — 3.6%
		480	Belo Corp., Class A		10,977
		334	Dex Media, inc.		9,285
		206	E.W. Scripps Co., Class A		10,294
		330	Interactive Data Corp. (a)		7,470
		107	Knight Ridder, Inc.		6,249
		221	Regal Entertainment Group, Class A		4,433
					48,708
Metals & Mining — 0.6%
		102	Consol Energy, Inc.		7,802

Page 3

JPMorgan Diversified Mid Cap Value Fund

	Shares		Security Description	Value
Multi-Utilities — 3.5%
		165	Energen Corp.		7,134
		401	Energy East Corp.		10,099
		221	MDU Resources Group, Inc.		7,862
		197	Oneok, Inc.		6,695
		52	Questar Corp.		4,591
		254	SCANA Corp.		10,720
					47,101
Multiline Retail — 1.7%
		462	Family Dollar Stores, Inc.		9,186
		66	Federated Department Stores, Inc.		4,437
		229	Saks, Inc. (a)		4,244
		226	Tuesday Morning Corp.		5,844
					23,711
Oil, Gas & Consumable Fuels — 4.3%
		169	Devon Energy Corp.		11,589
		114	Houston Exploration Co. (a)		7,673
		162	Kinder Morgan, Inc.		15,607
		111	Marathon Oil Corp.		7,654
		149	Newfield Exploration Co. (a)		7,321
		144	Pioneer Natural Resources Co.		7,892
					57,736
Paper & Forest Products — 0.5%
		224	MeadWestvaco Corp.		6,181
Personal Products — 0.7%
		265	Estee Lauder Cos., Inc. (The), Class A		9,230
Real Estate — 6.5%
		233	AMB Property Corp. REIT		10,466
		408	American Financial Realty Trust REIT		5,794
		85	AvalonBay Communities, Inc. REIT		7,293
		96	Boston Properties, Inc. REIT		6,799
		240	Brookfield Properties Co. (Canada)		7,083
		233	Cousins Properties, Inc. REIT		7,047
		222	Kimco Realty Corp. REIT		6,963
		283	Liberty Property Trust REIT		12,048
		149	PS Business Parks, Inc., Class A REIT		6,810
		169	Rayonier, Inc. REIT		9,755
		315	United Dominion Realty Trust, Inc. REIT		7,473
					87,531
Software — 1.2%
		334	Computer Associates International, Inc.		9,280
		322	Take-Two Interactive Software, Inc. (a)		7,104
					16,384
Specialty Retail — 5.4%
		510	Autonation, Inc. (a)		10,175
		159	AutoZone, Inc. (a)		13,195
		767	Limited Brands, Inc.		15,672
		166	Sherwin-Williams Co. (The)		7,307
		281	Tiffany & Co.		11,179
		769	TJX Cos., Inc.		15,755
					73,283

Page 4

JPMorgan Diversified Mid Cap Value Fund

	Shares		Security Description	Value
Textiles, Apparel & Luxury Goods — 2.0%
		188	Columbia Sportswear Co. (a)		8,714
		324	V.F. Corp.		18,759
					27,473
Thrifts & Mortgage Finance — 4.5%
		246	Golden West Financial Corp.		14,592
		706	Hudson City Bancorp, Inc.		8,399
		206	Independence Community Bank Corp.		7,009
		101	MGIC Investment Corp.		6,459
		186	Radian Group, Inc.		9,882
		643	Sovereign Bancorp, Inc.		14,165
					60,506
Trading Companies & Distributors — 0.5%
		194	Hughes Supply, inc.		6,311
Wireless Telecommunication Services — 0.7%
		249	Telephone & Data Systems, Inc.		9,498
			Total Long-Term Investments (Cost $1,060,277)		1,297,173
Short-Term Investments — 4.2%
Investment Company — 4.2%
		56,304	JPMorgan Liquid Assets Money Market Fund (b) (m) (Cost $56,304)		56,304
Total Investments — 99.9%
(Cost $1,116,581)				$	1,353,477
Other Assets Less Liabilities — 0.1%					1,608
Net Assets — 100.0%				$	1,355,085

Percentages indicated are based on net assets.

Abbreviations:

(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 JPMorgan Investment Advisors Inc.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA’s, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

REIT Real Estate Investment Trust

As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	265,860
Aggregate gross unrealized depreciation		(28,964	)
Net unrealized appreciation/depreciation	$	236,896
Federal income tax cost of investments	$	1,116,581

Page 5

JPMorgan Small Cap Growth Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares			Security Description	Value
Long-Term Investments — 99.6%
Common Stocks — 99.6%
Aerospace & Defense — 1.5%
		223		Argon St., Inc. (a)	$	6,537
		80		Engineered Support Systems, Inc.		3,270
						9,807
Air Freight & Logistics — 0.7%
		59		UTI Worldwide, Inc.		4,557
Airlines — 0.9%
		217		Skywest, Inc.		5,823
Biotechnology — 5.1%
		139		Alexion Pharmaceuticals, Inc. (a)		3,838
		276		Encysive Pharmaceuticals, Inc. (a)		3,257
		109		Idenix Pharmaceuticals, Inc. (a)		2,746
		460		Illumina, Inc. (a)		5,893
		116		Myogen, Inc. (a)		2,718
		165		Myriad Genetics, Inc. (a)		3,600
		224		Nabi Biopharmaceuticals (a)		2,936
		167		Rigel Pharmaceuticals, Inc. (a)		3,964
		139		Telik, Inc. (a)		2,269
		37		United Therapeutics Corp. (a)		2,551
						33,772
Building Products — 0.9%
		149		Simpson Manufacturing Co., Inc.		5,842
Capital Markets — 2.3%
		70		Affiliated Managers Group, Inc. (a)		5,098
		74		Greenhill & Co., Inc.		3,102
		160		National Financial Partners Corp.		7,218
						15,418
Commercial Banks — 3.5%
		200		Columbia Banking System, Inc.		5,251
		289		East-West Bancorp, Inc.		9,850
		104		EuroBancshares, Inc. (a)		1,550
		171		Texas Capital Bancshares, Inc. (a)		3,617
		114		West Coast Bancorp		2,845
						23,113
Commercial Services & Supplies — 3.2%
		508		Educate, Inc. (a)		7,625
		275		LECG Corp. (a)		6,335
		218		Morningstar, Inc (a)		6,979
						20,939
Communications Equipment — 4.3%
		618		Atheros Communications, Inc. (a)		6,030
		237		Avocent Corp. (a)		7,485
		—	(h)	Enterasys Networks, Inc. (a)		—	(h)
		291		Packeteer, Inc. (a)		3,649
		629		Symmetricom, Inc. (a)		4,866
		260		ViaSat, Inc. (a)		6,676
						28,706

Page 1

	Shares		Security Description	Value
Computers & Peripherals — 0.6%
		90	Avid Technology, Inc. (a)		3,736
Construction Materials — 1.6%
		86	Eagle Materials, Inc.		10,474
Diversified Financial Services — 1.0%
		292	Marlin Business Services, Inc. (a)		6,729
Electrical Equipment — 1.2%
		482	General Cable Corp. (a)		8,094
Electronic Equipment & Instruments — 1.3%
		555	Aeroflex, Inc. (a)		5,199
		102	Global Imaging Systems, Inc (a)		3,464
					8,663
Energy Equipment & Services — 3.0%
		357	Pioneer Drilling Co (a)		6,978
		303	Superior Energy Services, Inc. (a)		7,002
		155	Universal Compression Holdings, Inc. (a)		6,162
					20,142
Food & Staples Retailing — 0.6%
		159	Casey’s General Stores, Inc.		3,687
Health Care Equipment & Supplies — 4.1%
		80	Advanced Medical Optics, Inc. (a)		3,049
		257	Arthrocare Corp. (a)		10,319
		277	DJ Orthopedics, Inc. (a)		8,019
		134	Kyphon, Inc. (a)		5,876
					27,263
Health Care Providers & Services — 7.9%
		211	Amedisys, Inc. (a)		8,214
		184	Chemed Corp.		7,970
		139	Covance, Inc. (a)		6,674
		261	Gentiva Health Services, Inc. (a)		4,722
		111	Psychiatric Solutions, Inc. (a)		6,026
		44	Sunrise Senior Living, Inc. (a)		2,910
		284	Symbion, Inc. (a)		7,350
		219	United Surgical Partners International, Inc. (a)		8,556
					52,422
Hotels, Restaurants & Leisure — 4.5%
		215	California Pizza Kitchen, Inc. (a)		6,287
		157	Gaylord Entertainment Co. (a)		7,457
		203	Orient-Express Hotels Ltd. (Bermuda)		5,768
		140	Speedway Motorsports, Inc.		5,092
		196	WMS Industries, Inc. (a)		5,506
					30,110
Household Durables — 1.4%
		610	Champion Enterprises, Inc. (a)		9,022
Insurance — 2.7%
		147	American Physicians Capital, Inc. (a)		7,227
		241	Direct General Corp.		4,753
		122	James River Group, Inc. (a)		2,154
		74	ProAssurance Corp. (a)		3,430

Page 2

	Shares		Security Description	Value
					17,564
Internet Software & Services — 2.4%
		487	Digitas, Inc. (a)		5,529
		129	Equinix, Inc. (a)		5,380
		194	WebEx Communications, Inc. (a)		4,748
					15,657
IT Services — 1.8%
		194	Alliance Data Systems Corp. (a)		7,588
		671	Sapient Corp. (a)		4,193
					11,781
Leisure Equipment & Products — 2.8%
		364	K2, Inc. (a)		4,155
		270	MarineMax, Inc. (a)		6,890
		222	SCP Pool Corp.		7,754
					18,799
Machinery — 1.1%
		164	Oshkosh Truck Corp.		7,063
Media — 1.4%
		63	Advo, Inc.		1,974
		791	Lions Gate Entertainment Corp. (Canada) (a)		7,542
					9,516
Metals & Mining — 1.8%
		241	Allegheny Technologies, Inc.		7,451
		187	Century Aluminum Co. (a)		4,204
					11,655
Multi-Utility — 1.7%
		296	Foundation Coal Holdings, Inc.		11,381
Oil & Gas Equipment & Services — 1.0%
		182	Hornbeck Offshore Services, Inc. (a)		6,648
Oil, Gas & Consumable Fuels — 4.4%
		1,012	Brigham Exploration Co. (a)		12,998
		165	Newfield Exploration Co. (a)		8,089
		187	Remington Oil & Gas Corp. (a)		7,748
					28,835
Pharmaceuticals — 3.1%
		355	Adolor Corp. (a)		3,794
		185	AtheroGenics, Inc. (a)		2,961
		948	AVANIR Pharmaceuticals, Class A (a)		2,928
		258	Cypress Bioscience, Inc. (a)		1,395
		119	Keryx Biopharmaceuticals, Inc. (a)		1,870
		234	Nastech Pharmaceutical Co., Inc. (a)		3,313
		206	Theravance, Inc. (a)		4,343
					20,604
Restaurants — 0.3%
		125	Ruth’s Chris Steak House (a)		2,305
Semiconductors & Semiconductor Equipment — 6.0%
		227	Advanced Analogic Technologies, Inc. (a)		2,537
		77	ATMI, Inc. (a)		2,390
		430	Cirrus Logic, Inc. (a)		3,260

Page 3

	Shares		Security Description	Value
		181	Diodes, Inc. (a)		6,545
		298	DSP Group, Inc. (a)		7,634
		323	Mattson Technology, Inc. (a)		2,424
		259	Microsemi Corp. (a)		6,615
		122	Sirf Technology Holdings, Inc. (a)		3,680
		104	Varian Semiconductor Equipment Associates, Inc. (a)		4,387
					39,472
Software — 7.6%
		533	Epicor Software Corp. (a)		6,932
		168	Hyperion Solutions Corp. (a)		8,165
		98	Kronos, Inc. (a)		4,393
		167	Progress Software Corp. (a)		5,299
		274	Serena Software, Inc. (a)		5,468
		142	Talx Corp.		4,666
		473	VeriFone Holdings, Inc. (a)		9,518
		136	Verint Systems, Inc. (a)		5,576
					50,017
Specialty Retail — 7.0%
		341	Aaron Rents, Inc.		7,201
		574	Charming Shoppes, Inc. (a)		6,126
		210	Children’s Place, Inc. (a)		7,483
		166	DSW, Inc. (a)		3,515
		194	GameStop Corp. (a)		6,102
		80	Guitar Center, Inc. (a)		4,391
		290	New York & Co., Inc. (a)		4,760
		252	Too, Inc. (a)		6,907
					46,485
Textiles, Apparel & Luxury Goods — 4.1%
		150	Phillips-Van Heusen		4,647
		186	Portalplayer, Inc. (a)		5,107
		194	Skechers U.S.A., Inc., Class A (a)		3,180
		250	Volcom, Inc. (a)		7,005
		334	Warnaco Group, Inc. (The) (a)		7,316
					27,255
Thrifts & Mortgage Finance — 0.3%
		163	R&G Financial Corp., Class B		2,241
Wireless Telecommunication Services — 0.5%
		131	Nextel Partners, Inc., Class A (a)		3,276
			Total Long-Term Investments (Cost $571,417)		658,873
Short-Term Investment — 1.6%
Investment Company — 1.6%
		10,359	JPMorgan Liquid Assets Money Market Fund (b) (m)		10,359
			(Cost $10,359)

	Principal Amount
Investments of Cash Collateral for Securities on Loan — 31.5%
Certificates of Deposit — 1.3%
	$	4,997	Bank of New York, 3.74%, 11/02/05	4,997
		1,474	Natexis Banques Populaires, 4.12%, 10/03/05	1,474
		2,456	World Savings Bank FSB, 3.87%, 12/15/05	2,456
				8,927

Page 4

	Principal Amount
Corporate Notes — 8.4%
		5,000	Berkshire Hathaway Finance, FRN, 3.60%, 10/11/05		5,000
		2,197	Citigroup Global Markets Holdings, Inc., FRN, 3.94%, 12/12/05		2,197
		5,000	General Electric Capital Corp., FRN, 4.04%, 10/03/05		5,000
		3,098	General Electric Co., FRN, 3.70%, 10/24/05		3,098
		4,904	Greenwich Capital Holdings, Inc., FRN, 4.25%, 10/11/05		4,904
		7,698	HBOS Treasury Services plc, FRN, 3.71%, 10/03/05 Lehman Brothers Holdings		7,698
		1,044	FRN, 4.02%, 10/03/05		1,044
		5,291	FRN, 4.14%, 10/03/05		5,291
		11,000	Morgan Stanley, FRN, 4.12%, 10/03/05		11,000
		3,818	MBIA Global Funding LLC, FRN, 3.93%, 10/26/05		3,818
		982	Sigma Finance, Inc., FRN, 4.10%, 10/03/05		982
		5,000	Wachovia Bank N.A, FRN, 3.80%, 10/03/05		5,000
					55,032
Repurchase Agreements — 21.8%
		37,500	Banc of America Securities LLC, 3.77%, dated 9/30/05, due 11/01/05, repurchase price $37,626, collateralized by U.S. Government Agency Mortgages		37,500
		10,000	Barclays Capital, 3.87%, dated 9/30/05, due 10/03/05, repurchase price $10,003, collateralized by U.S. Government Agencies		10,000
		40,000	Goldman Sachs & Co., 3.75%, dated 9/30/05, due 10/26/05, repurchase price $40,108, collateralized by U.S. Government Agency Mortgages		40,000
		30,000	Lehman Brothers, Inc., 4.06%, dated 9/30/05, due 10/03/05, repurchase price $30,010, collateralized by various equity and stock exchange securities		30,000
		26,718	Merrill Lynch Securities, 3.88%, dated 9/30/05, due 10/03/05, repurchase price $26,727, collateralized by U.S. Government Agencies		26,718
					144,218
			Total Investments of Cash Collateral for Securities on Loan (Cost $208,177)		208,177
Total Investments — 132.7% (Cost $789,953)				$	877,409
Liabilities in Excess of Other Assets — (32.7)%					(216,040	)
Net Assets — 100.0%				$	661,369

Percentages indicated are based on net assets.

Abbreviations:

(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 JPMorgan Investment Advisors Inc.
(h) Amount rounds to less than one thousand.
(m) All or a portion of this security is segregated for current or potential holdings of futures, swaps, options,

TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
FRN Floating Rate Note

As of September, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Page 5

Aggregate gross unrealized appreciation	$	109,319
Aggregate gross unrealized depreciation		(21,863	)
Net unrealized appreciation/depreciation	$	87,456
Federal income tax cost of investments	$	789,953

Page 6

JPMorgan Small Cap Value Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares		Security Description	Value
Long-Term Investments — 97.7%
Common Stocks — 97.7%
Aerospace & Defense — 0.4%
		99	Kaman Corp., Class A	$	2,033
		52	Moog, Inc., Class A (a)		1,535
					3,568
Airlines — 1.5%
		178	Alaska Air Group, Inc. (a)		5,181
		103	CNF, Inc.		5,418
		264	Continental Airlines, Inc., Class B (a)		2,553
					13,152
Auto Components — 0.4%
		84	Cooper Tire & Rubber Co.		1,278
		66	Modine Manufacturing Co.		2,436
					3,714
Automobiles — 0.1%
		115	National RV Holdings, Inc. (a)		605
Beverages — 0.3%
		114	PepsiAmericas, Inc.		2,600
Biotechnology — 0.4%
		138	Illumina, Inc. (a)		1,764
		4	Indevus Pharmaceuticals, Inc. (a)		11
		45	Myogen, Inc. (a)		1,064
		27	OSI Pharmaceuticals, Inc. (a)		781
					3,620
Building Products — 1.1%
		102	Apogee Enterprises, Inc.		1,736
		276	Griffon Corp. (a)		6,792
		127	Patrick Industries, Inc. (a)		1,363
					9,891
Capital Markets — 0.7%
		80	A.G. Edwards, Inc.		3,522
		107	Eaton Vance Corp.		2,646
					6,168
Chemicals — 2.8%
		224	H.B. Fuller Co.		6,947
		95	NL Industries, Inc.		1,791
		95	OM Group, Inc. (a)		1,906
		90	Penford Corp.		1,205
		94	Pioneer Cos., Inc. (a)		2,252
		274	Sensient Technologies Corp.		5,192
		146	Stepan Co.		3,661
		287	W.R. Grace & Co. (a)		2,565
					25,519
Commercial Banks — 11.1%
		28	1st Source Corp.		641
		35	Amcore Financial, Inc.		1,092
		173	Associated Banc-Corp.		5,276
		8	BancFirst Corp.		663
		141	Bank of Hawaii Corp.		6,940

JPMorgan Small Cap Value Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares		Security Description	Value
		33	BOK Financial Corp.		1,594
		5	Camden National Corp.		200
		30	City Holding Co.		1,055
		63	Colonial BancGroup, Inc. (The)		1,402
		5	Columbia Bancorp		217
		123	Commerce Bancshares, Inc.		6,317
		76	Community Bank System, Inc.		1,722
		12	Community Trust Bancorp, Inc.		373
		70	Compass Bancshares, Inc.		3,217
		148	Cullen/Frost Bankers, Inc.		7,322
		31	Eastern Virginia Bankshares, Inc.		604
		6	First Citizens BancShares, Inc., Class A		956
		96	First Commonwealth Financial Corp.		1,274
		9	First Community Bancshares, Inc.		255
		14	First Financial Bankshares, Inc.		474
		16	First Indiana Corp.		542
		24	First State Bancorp, Inc.		502
		236	FirstMerit Corp.		6,328
		3	FNB Corp.		94
		45	Fulton Financial Corp.		746
		433	Greater Bay Bancorp		10,657
		15	IBERIABANK Corp.		808
		6	LSB Bancshares, Inc.		97
		79	Mercantile Bank Corp.		3,379
		26	Mid-State Bancshares		721
		20	Old National Bancorp		427
		65	Pacific Capital Bancorp		2,161
		11	Santander Bancorp		281
		3	SCBT Financial Corp.		92
		33	Simmons First National Corp., Class A		941
		23	Southwest Bancorp, Inc.		510
		98	Susquehanna Bancshares, Inc.		2,358
		267	TCF Financial Corp.		7,134
		139	UMB Financial Corp.		9,149
		83	Umpqua Holdings Corp.		2,028
		6	Virginia Financial Group, Inc.		202
		73	Washington Trust Bancorp, Inc.		1,977
		96	WesBanco, Inc.		2,626
		135	Whitney Holding Corp.		3,650
					99,004
Commercial Services & Supplies — 2.6%
		101	Administaff, Inc.		3,994
		43	CDI Corp.		1,258
		94	Compx International, Inc.		1,537
		24	Deluxe Corp.		952
		99	Equifax, Inc.		3,452
		108	G&K Services, Inc., Class A		4,270
		79	Geo Group, Inc. (The) (a)		2,093
		91	HNI Corp.		5,456
					23,012

JPMorgan Small Cap Value Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares		Security Description	Value
Computers & Peripherals — 1.1%
		251	Electronics for Imaging, Inc. (a)		5,749
		53	Imation Corp.		2,285
		32	Intergraph Corp. (a)		1,440
		3	Interphase Corp. (a)		12
					9,486
Construction & Engineering — 2.7%
		63	EMCOR Group, Inc. (a)		3,754
		411	Quanta Services, Inc. (a)		5,240
		245	Shaw Group, Inc. (The) (a)		6,037
		170	Washington Group International, Inc. (a)		9,145
					24,176
Construction Materials — 1.3%
		68	Eagle Materials, Inc.		8,217
		21	Martin Marietta Materials, Inc.		1,640
		37	Texas Industries, Inc.		2,023
					11,880
Consumer Finance — 1.3%
		363	AmeriCredit Corp. (a)		8,655
		105	World Acceptance Corp. (a)		2,661
					11,316
Containers & Packaging — 1.1%
		120	Crown Holdings, Inc. (a)		1,916
		121	Graphic Packaging Corp. (a)		339
		221	Silgan Holdings, Inc.		7,344
					9,599
Diversified Financial Services — 0.1%
		36	Marlin Business Services, Inc. (a)		820
Diversified Telecommunication Services — 0.8%
		109	CenturyTel, Inc.		3,809
		95	Commonwealth Telephone Enterprises, Inc.		3,563
					7,372
Electric Utilities — 2.4%
		388	CenterPoint Energy, Inc.		5,776
		228	El Paso Electric Co. (a)		4,758
		78	Idacorp, Inc.		2,350
		386	Puget Energy, Inc.		9,070
					21,954
Electrical Equipment — 0.5%
		251	LSI Industries, Inc.		4,769
Electronic Equipment & Instruments — 2.9%
		134	Agilysis, Inc.		2,258
		256	Cognex Corp.		7,698
		167	Coherent, Inc. (a)		4,902
		190	CTS Corp.		2,304
		190	Kemet Corp. (a)		1,595
		157	Park Electrochemical Corp.		4,176
		230	Parlex Corp. (a)		1,529
		82	Paxar Corp. (a)		1,378
		12	Planar Systems, Inc. (a)		96
					25,936

JPMorgan Small Cap Value Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares		Security Description	Value
Energy Equipment & Services — 2.2%
		172	Helmerich & Payne, Inc.		10,387
		42	Lufkin Industries, Inc.		1,834
		270	Pride International, Inc. (a)		7,683
					19,904
Entertainment — 0.1%
		73	Bluegreen Corp. (a)		1,285
Food & Staples Retailing — 1.4%
		168	BJ’s Wholesale Club, Inc. (a)		4,656
		59	Pantry, Inc. (The) (a)		2,220
		111	Pathmark Stores, Inc. (a)		1,254
		558	Rite Aid Corp. (a)		2,166
		59	Weis Markets, Inc.		2,373
					12,669
Food Products — 1.4%
		63	Farmer Bros Co.		1,278
		69	J & J Snack Foods Corp.		3,965
		164	Pilgrim’s Pride Corp., Class B		5,966
		1	Seaboard Corp.		1,785
					12,994
Gas Utilities — 1.4%
		295	Nicor, Inc.		12,390
Health Care Equipment & Supplies — 1.3%
		84	Analogic Corp.		4,219
		50	Datascope Corp.		1,542
		189	Steris Corp.		4,496
		31	Vital Signs, Inc.		1,411
					11,668
Health Care Providers & Services — 2.9%
		218	Alderwoods Group, Inc. (a)		3,572
		30	Centene Corp. (a)		741
		70	Kindred Healthcare, Inc. (a)		2,095
		21	LCA Vision, Inc.		779
		132	Magellan Health Services, Inc. (a)		4,647
		182	Manor Care, Inc.		6,983
		161	Per-Se Technologies, Inc. (a)		3,318
		106	RehabCare Group, Inc. (a)		2,165
		255	Stewart Enterprises, Inc.		1,689
					25,989
Hotels, Restaurants & Leisure — 1.8%
		58	Brinker International, Inc. (a)		2,194
		79	California Pizza Kitchen, Inc. (a)		2,298
		119	Domino’s Pizza, Inc.		2,770
		187	Jack in the Box, Inc. (a)		5,599
		152	Marcus Corp.		3,036
					15,897
Household Durables — 2.2%
		243	American Greetings, Class A		6,650
		152	Brookfield Homes Corp.		8,424
		275	Furniture Brands International, Inc.		4,951
					20,025

JPMorgan Small Cap Value Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares		Security Description	Value
Industrial Conglomerates — 0.8%
		107	Teleflex, Inc.		7,551
Insurance — 4.7%
		173	Alfa Corp.		2,879
		72	AmerUs Group Co.		4,119
		74	Clark, Inc.		1,245
		111	Delphi Financial Group, Inc.		5,214
		15	Endurance Specialty Holdings Ltd. (Bermuda)		512
		45	FBL Financial Group, Inc., Class A		1,342
		193	Harleysville Group, Inc.		4,632
		254	Horace Mann Educators Corp.		5,014
		69	LandAmerica Financial Group, Inc.		4,454
		13	Nationwide Financial Services, Inc.		505
		58	ProAssurance Corp. (a)		2,716
		78	Protective Life Corp.		3,204
		12	PXRE Group Ltd. (Bermuda)		160
		68	Stancorp Financial Group, Inc.		5,709
					41,705
Internet Software & Services — 0.7%
		68	Digital Insight Corp. (a)		1,780
		298	United Online, Inc.		4,133
					5,913
IT Services — 1.3%
		139	Acxiom Corp.		2,606
		324	BISYS Group, Inc. (The) (a)		4,347
		212	CSG System International, Inc. (a)		4,605
					11,558
Leisure Equipment & Products — 0.6%
		145	Arctic Cat, Inc.		2,978
		112	Hasbro, Inc.		2,209
					5,187
Machinery — 4.1%
		66	CIRCOR International, Inc.		1,814
		48	Cummins, Inc.		4,179
		235	Flowserve Corp. (a)		8,549
		53	Lindsay Manufacturing Co.		1,171
		154	Mueller Industries, Inc.		4,271
		14	NACCO Industries, Inc., Class A		1,545
		170	Stewart & Stevenson Services, Inc.		4,043
		9	Tennant Co.		361
		186	Terex Corp. (a)		9,204
		40	Valmont Industries, Inc.		1,163
					36,300
Marine — 0.1%
		26	Alexander & Baldwin, Inc.		1,400
Media — 1.8%
		370	Belo Corp., Class A		8,452
		124	John Wiley & Sons, Inc., Class A		5,188
		156	Reader’s Digest Association, Inc.		2,496
					16,136

JPMorgan Small Cap Value Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares		Security Description	Value
Metals & Mining — 2.3%
		146	Brush Engineered Materials, Inc. (a)		2,322
		279	Century Aluminum Co. (a)		6,267
		251	Oregon Steel Mills, Inc. (a)		6,997
		151	Steel Dynamics, Inc.		5,111
					20,697
Multi-Utilities — 1.6%
		60	MDU Resources Group, Inc.		2,132
		150	Oneok, Inc.		5,107
		289	Sierra Pacific Resources (a)		4,293
		103	Vectren Corp.		2,917
					14,449
Multiline Retail — 0.4%
		135	ShopKo Stores, Inc. (a)		3,440
Oil, Gas & Consumable Fuels — 3.5%
		218	Forest Oil Corp. (a)		11,368
		95	Holly Corp.		6,072
		181	Houston Exploration Co. (a)		12,199
		125	Meridian Resource Corp. (a)		523
		18	Tesoro Corp.		1,217
					31,379
Paper & Forest Products — 0.6%
		83	Buckeye Technologies, Inc. (a)		674
		307	Glatfelter		4,320
					4,994
Personal Products — 0.4%
		295	Playtex Products, Inc. (a)		3,246
Pharmaceuticals — 1.2%
		137	Adolor Corp. (a)		1,461
		65	Alpharma, Inc., Class A		1,607
		136	Cardiome Pharma Corp.		1,195
		55	Cypress Bioscience, Inc. (a)		296
		161	King Pharmaceuticals, Inc. (a)		2,482
		125	Medicis Pharmaceutical Corp., Class A		4,064
					11,105
Real Estate — 10.1%
		116	American Home Mortgage Investment Corp. REIT		3,521
		124	Annaly Mortgage Management, Inc. REIT		1,608
		290	Anworth Mortgage Asset Corp. REIT		2,397
		169	Apartment Investment & Management Co. REIT		6,554
		114	Arden Realty, Inc. REIT		4,702
		157	Boykin Lodging Co. REIT (a)		1,945
		76	Brandywine Realty Trust REIT		2,372
		141	Capstead Mortgage Corp. REIT		976
		118	Colonial Properties Trust REIT		5,231
		371	Equity Inns, Inc. REIT		5,013
		272	Highwoods Properties, Inc. REIT		8,012
		194	Home Properties, Inc. REIT		7,622
		142	Innkeepers USA Trust REIT		2,191
		19	Jones Lang LaSalle, Inc.		889

JPMorgan Small Cap Value Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares		Security Description	Value
		110	Kilroy Realty Corp. REIT		6,152
		346	Lexington Corporate Properties Trust REIT		8,155
		278	Luminent Mortgage Capital, Inc. REIT (m)		2,097
		9	Pennsylvania Real Estate Investment Trust REIT		371
		52	Prentiss Properties Trust REIT		2,095
		134	Sunstone Hotel Investors, Inc. REIT		3,258
		212	Taubman Centers, Inc. REIT		6,730
		89	Trammell Crow Co. (a)		2,204
		94	Trizec Properties, Inc. REIT		2,172
		409	Winston Hotels, Inc. REIT		4,086
					90,353
Road & Rail — 0.9%
		315	Laidlaw International, Inc.		7,618
		26	SCS Transportation, Inc. (a)		401
					8,019
Semiconductors & Semiconductor Equipment — 1.1%
		169	Axcelis Technologies, Inc. (a)		881
		67	Cohu, Inc.		1,573
		191	Exar Corp. (a)		2,680
		139	Integrated Device Technology, Inc. (a)		1,497
		419	Lattice Semiconductor Corp. (a)		1,794
		164	Monolithic System Technology, Inc. (a)		896
		181	Triquint Semiconductor, Inc. (a)		638
					9,959
Software — 2.5%
		124	Advent Software, Inc. (a)		3,351
		36	Ansoft Corp. (a)		1,048
		572	Atari, Inc. (a)		824
		292	BEA Systems, Inc. (a)		2,625
		61	Cadence Design Systems, Inc. (a)		992
		381	EPIQ Systems, Inc. (a)		8,303
		614	Parametric Technology Corp. (a)		4,282
		29	Progress Software Corp. (a)		912
					22,337
Specialty Retail — 3.1%
		303	Borders Group Inc.		6,706
		108	CSK Auto Corp. (a)		1,600
		55	HOT Topic, Inc. (a)		843
		362	Marvel Entertainment, Inc. (a)		6,464
		601	Payless Shoesource, Inc. (a)		10,452
		78	Rex Stores Corp. (a)		1,070
		29	Trans World Entertainment Corp. (a)		227
					27,362
Steel — 0.1%
		37	Chaparral Steal Co. (a)		941
Textiles, Apparel & Luxury Goods — 1.7%
		14	Kellwood Co.		357
		76	Russell Corp.		1,070
		101	Skechers U.S.A., Inc., Class A (a)		1,654
		271	Stride Rite Corp.Stride Rite Corp.		3,469

JPMorgan Small Cap Value Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares		Security Description	Value
		225	Unifirst Corp.		7,880
		23	Wolverine World Wide, Inc.		488
					14,918
Thrifts & Mortgage Finance — 2.7%
		329	Astoria Financial Corp.		8,692
		5	Berkshire Hills Bancorp, Inc.		170
		30	Capital Crossing Bank (a)		1,049
		43	Corus Bankshares, Inc.		2,341
		155	Federal Agricultural Mortgage Corp.		3,765
		16	First Financial Holdings, Inc.		482
		57	FirstFed Financial Corp. (a)		3,062
		12	OceanFirst Financial Corp.		297
		3	Provident Financial Holdings, Inc.		87
		91	R&G Financial Corp., Class B		1,249
		89	Washington Federal, Inc.		2,017
		16	WSFS Financial Corp.		913
					24,124
Tobacco — 0.0% (g)
		123	Alliance One International, Inc.		435
Trading Companies & Distributors — 0.3%
		81	Applied Industrial Technologies, Inc.		2,892
		1	Lawson Products, Inc.		26
		1	Watsco, Inc.		69
					2,987
Wireless Telecommunication Services — 0.8%
		889	Dobson Communications Corp. (a)		6,381
			Total Long-Term Investments (Cost $718,182)		874,308
Short-Term Investments — 2.6%
Investment Company — 2.4%
		21,652	JPMorgan Liquid Assets Money Market Fund (b) (m)		21,652

		Principal Amount
U.S. Treasury Securities — 0.2%
	$	1,985	U.S. Treasury Notes, 1.88%%, 11/30/05 (k) (m)	1,985
			Total Short-Term Investments (Cost $23,632)	23,637
Investments of Cash Collateral for Securities on Loan— 29.0%
Certificates of Deposit — 0.5%
		1,520	Natexis Banques Populaires 4.12%, 10/03/05	1,520
		2,534	World Savings Bank FSB 3.87%, 12/15/05	2,534
				4,054
Commercial Paper — 2.5%
		12,956	Lake Constance Funding LLC, 3.68%, 10/11/05	12,956
		9,905	PB Finance Delaware, 3.77%, 11/16/05	9,905
				22,861
Corporate Notes — 6.2%
		5,000	Berkshire Hathaway Finance, 3.60%, 10/11/05	5,000
		9,999	CC USA, Inc., 4.10%, 10/03/05	9,999
		3,949	Citigroup Global Markets Holdings, Inc., 3.94%, 12/12/05	3,949
		2,920	General Electric Co., 3.70%, 10/24/05	2,920
		3,548	Greenwich Capital Holdings, Inc., 4.25%, 10/11/05	3,548
		1,520	HBOS Treasury Services plc 3.71%, 10/03/05	1,520
		7,000	Lehman Brothers Holdings 4.14%, 10/03/05	7,000
		760	MBIA Global Funding LLC, 3.93%, 10/26/05	760

JPMorgan Small Cap Value Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Principal Amount
		10,000	Morgan Stanley, 4.12%, 10/03/05		10,000
		5,163	Sigma Finance, Inc. 4.10%, 10/03/05		5,163
		5,000	Wachovia Bank N.A 3.80%, 10/03/05		5,000
					54,859
Repurchase Agreements — 19.8%
		50,000	Banc of America Securities LLC, 3.77%, dated 9/30/05, due 11/01/05, repurchase price $50,168, collateralized by U.S. Government Agency Mortgages	50,000
		42,000	Goldman Sachs & Co., 3.75%, dated 9/30/05, due 10/26/05, repurchase price $42,114, collateralized by U.S. Government Agency Mortgages		42,000
		50,000	Lehman Brothers, Inc. 4.06%, dated 9/30/05, due 10/03/05, repurchase price $50,017, collateralized by various equity securities		50,000
		35,124	Merrill Lynch, 3.88%, dated 9/30/05, due 10/03/05, repurchase price $35,135, collateralized by U.S. Government Agency Mortgages		35,124
					177,124
			Total Investments of Cash Collateral for Securities on Loan (Cost $258,898)		258,898
Total Investments — 129.3%
(Cost $1,000,712)				$	1,156,843
Liabilities in Excess of Other Assets — (29.3)%					(262,262	)
Net Assets — 100.0%				$	894,581

Percentages indicated are based on net assets.

Abbreviations:

(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 JPMorgan Investment Advisors Inc.
(g)	Amount rounds to less than 0.1%.
(k)	Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts.
(m)	All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

REIT Real Estate Investment Trust

Futures Contracts
(Amounts in thousands, except number of contracts)

			Notional
			Value at	Unrealized
			09/30/05	Depreciation
Number of Contracts	Description	Expiration Date	(USD)	(USD)
68	Russell 2000 Index	December, 2005	$22,851	$(8)

As of September, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	175,740
Aggregate gross unrealized depreciation		(19,609	)
Net unrealized appreciation/depreciation	$	156,131
Federal income tax cost of investments	$	1,000,712

JPMorgan Technology Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

	Shares			Security Description	Value
Long-Term Investments — 100.2%
Common Stocks — 100.2%
Communications Equipment — 17.0%
		87		Cisco Systems, Inc. (a)	$	1,553
		33		Corning, Inc. (a)		644
		41		Motorola, Inc.		901
		22		QUALCOMM, Inc.		971
						4,069
Computers & Peripherals — 19.6%
		7		Apple Computer, Inc. (a)		359
		20		Dell, Inc. (a)		677
		53		EMC Corp. (a)		691
		14		International Business Machines Corp.		1,083
		17		NCR Corp. (a)		546
		17		Network Appliance, Inc. (a)		392
		7		SanDisk Corp. (a)		352
		202		Sun Microsystems, Inc. (a)		792
						4,892
Electronic Equipment & Instruments — 0.0% (g)
		—	(h)	Symbol Technologies, Inc.		4
Internet Software & Services — 7.1%
		27		CNET Networks, Inc. (a)		363
		1		Google, Inc., Class A (a)		253
		12		VeriSign, Inc. (a)		265
		27		Yahoo!, Inc. (a)		910
						1,791
IT Services — 5.8%
		12		Automatic Data Processing, Inc.		495
		4		Computer Sciences Corp. (a)		199
		12		First Data Corp.		460
		8		Paychex, Inc.		300
						1,454
Leisure Equipment & Products — 1.1%
		11		Eastman Kodak Co.		272
Media — 2.4%
		12		Comcast Corp., Class A (a)		338
		7		XM Satellite Radio Holdings, Inc., Class A (a)		255
						593
Office Electronics — 0.7%
		13		Xerox Corp. (a)		172
Semiconductors & Semiconductor Equipment — 18.6%
		7		Analog Devices, Inc.		256
		15		Applied Materials, Inc.		254
		21		Atheros Communications, Inc. (a)		202
		7		Broadcom Corp., Class A (a)		333
		81		Intel Corp.		1,987
		3		KLA-Tencor Corp.		141
		3		Maxim Integrated Products, Inc.		128
		10		Novellus Systems, Inc. (a)		238

Page 1

	Shares		Security Description	Value
		8	Nvidia Corp. (a)		278
		9	Silicon Laboratories, Inc. (a)		274
		7	STMicroelectronics N.V. (N.Y. Shares) (Netherlands)		128
		18	Texas Instruments, Inc.		617
					4,836
Software — 27.9%
		17	Adobe Systems, Inc.		508
		9	Amdocs Ltd. (United Kingdom) (a)		241
		14	Check Point Software Technologies (Israel) (a)		336
		12	Citrix Systems, Inc. (a)		307
		39	Computer Associates International, Inc.		1,087
		35	Compuware Corp. (a)		333
		3	Electronic Arts, Inc. (a)		142
		10	McAfee, Inc. (a)		314
		4	Mercury Interactive Corp. (a)		143
		65	Microsoft Corp.		1,663
		48	Oracle Corp. (a)		589
		33	Parametric Technology Corp. (a)		231
		24	Salesforce.com, Inc. (a)		550
		5	SAP AG ADR (Germany)		221
		13	Sybase, Inc. (a)		305
					6,970
			Total Long-Term Investments
			(Cost $22,321)		25,053

	Principal Amount
Investments of Cash Collateral for Securities Loaned — 11.9%
Repurchase Agreements — 11.9%
	$	500	Banc of America Securities LLC, 3.95%, dated 9/30/05, due 10/03/05, repurchase price $500, collateralized by U.S.Government Agency Mortgages		500
		500	Barclays Capital, 3.87%, dated 9/30/05, due 10/03/05, repurchase price $500, collateralized by U.S. Government Agency Mortgages		500
		500	HSBC Securities, Inc., 3.88%,dated 9/30/05, due 10/03/05, repurchase price $500, collateralized by U.S. Government Agency Mortgages		500
		500	Lehman Brothers, Inc., 3.88%, dated 9/30/05, due 10/03/05, repurchase price $500, collateralized by U.S. Government Agency Mortgages		500
		486	Merrill Lynch Securities, 3.88%, dated 9/30/05, due 10/03/05, repurchase price $486, collateralized by U.S. Government Agency Securities		486
		500	Morgan Stanley, 3.96%, dated 9/30/05, due 10/03/05. repurchase price $500, collateralized by U.S. Government Agency Securities		500
			Total Investments of Cash Collateral for Securities Loaned (Cost $2,986)		2,986
Total Investments — 112.1%
(Cost $25,307)				$	28,039
Liabilities in Excess of Other Assets — (12.1)%					(3,034	)
Net Assets — 100.0%				$	25,005

Page 2

Percentages indicated are based on net assets.

Abbreviations:

(a) Non-income producing security.
(g) Amount rounds to less than 0.1%.
(h) Amount rounds to less than one thousand.

ADR American Depositary Receipt

As of September, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation	$	3,571
Aggregate gross unrealized depreciation		(839	)
Net unrealized appreciation/depreciation	$	2,732
Federal income tax cost of investments	$	25,307

Page 3

JPMorgan Investor Balanced Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Shares	Security Description	Value
Investment Companies — 99.8% (b)
13,302	JPMorgan Core Bond Fund	$	142,329
24,933	JPMorgan Core Plus Bond Fund		194,729
2,749	JPMorgan Equity Income Fund		43,599
15,568	JPMorgan Government Bond Fund		159,726
16,366	JPMorgan High Yield Bond Fund		135,185
8,228	JPMorgan Intermediate Bond Fund		86,070
1,706	JPMorgan International Equity Fund		53,971
4,984	JPMorgan International Equity Index Fund		109,756
4,978	JPMorgan Intrepid America Fund		120,214
1,580	JPMorgan Intrepid Mid Cap Fund		35,792
6,352	JPMorgan Large Cap Growth Fund		97,313
7,058	JPMorgan Large Cap Value Fund		112,793
22,969	JPMorgan Liquid Assets Money Market Fund		22,969
5,526	JPMorgan Market Expansion Index Fund		69,847
10,935	JPMorgan Multi-Cap Market Neutral Fund (a)		120,501
1,759	JPMorgan Real Return Fund		17,414
3,574	JPMorgan Short Duration Bond Fund		37,415
1,289	JPMorgan Small Cap Growth Fund (a)		17,466
2,059	JPMorgan Ultra Short Term Bond Fund		20,160
12,000	JPMorgan U.S. Equity Fund		131,758
895	JPMorgan U.S. Real Estate Fund		17,105
	Total Investment Companies
	(Cost $1,605,871)		1,746,112
Total Investments — 99.8%
(Cost $1,605,871)		$	1,746,112
Other Assets in Excess of Liabilities — 0.2%			3,402
Net Assets — 100.0%		$	1,749,514
Percentages indicated are based on net assets.
Abbreviations:
(a) Non-income producing security.
(b) Investment in affiliate. Fund registered under the Investment Company Act of 1940, as amended and advised by J.P. Morgan Investment Management Inc., JPMorgan Investment Advisors Inc. or Security Capital Research & Management Incorporated.
As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation		$	143,417
Aggregate gross unrealized depreciation			(3,176	)
Net unrealized appreciation/depreciation		$	140,241
Federal income tax cost of investments		$	1,605,871

JPMorgan Investor Conservative Growth Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Shares	Security Description	Value
Investment Companies — 99.8% (b)
8,149	JPMorgan Core Bond Fund	$	87,191
12,207	JPMorgan Core Plus Bond Fund		95,340
1,839	JPMorgan Equity Income Fund		29,165
7,774	JPMorgan Government Bond Fund		79,758
6,596	JPMorgan High Yield Bond Fund		54,481
6,856	JPMorgan Intermediate Bond Fund		71,709
530	JPMorgan International Equity Fund		16,772
776	JPMorgan International Equity Index Fund		17,091
1,527	JPMorgan Intrepid America Fund		36,867
725	JPMorgan Intrepid Mid Cap Fund		16,437
2,036	JPMorgan Large Cap Growth Fund		31,185
1,387	JPMorgan Large Cap Value Fund		22,161
14,948	JPMorgan Liquid Assets Money Market Fund		14,948
5,082	JPMorgan Multi-Cap Market Neutral Fund (a)		56,009
774	JPMorgan Real Return Fund		7,661
7,724	JPMorgan Short Duration Bond Fund		80,870
4,196	JPMorgan Ultra Short Term Bond Fund		41,078
3,229	JPMorgan U.S. Equity Fund		35,460
410	JPMorgan U.S. Real Estate Fund		7,828
	Total Investment Companies
	(Cost $762,206)		802,011
Total Investments — 99.8%
(Cost $762,206)		$	802,011
Other Assets in Excess of Liabilities — 0.2%			1,728
Net Assets — 100.0%		$	803,739
Percentages indicated are based on net assets.
Abbreviations:
(a) Non-income producing security.
(b) Investment in affiliate. Fund registered under the Investment Company Act of 1940, as amended and advised by J.P. Morgan Investment Management Inc., JPMorgan Investment Advisors Inc. or Security Capital Research & Management Incorporated.
As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation		$	43,997
Aggregate gross unrealized depreciation			(4,192	)
Net unrealized appreciation/depreciation		$	39,805
Federal income tax cost of investments		$	762,206

JPMorgan Investor Growth Fund
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Shares	Security Description	Value
Investment Companies — 99.9% (b)
1,712	JPMorgan Core Bond Fund	$	18,322
905	JPMorgan Diversified Mid Cap Growth Fund (a)		23,275
907	JPMorgan Diversified Mid Cap Value Fund		17,844
5,467	JPMorgan High Yield Bond Fund		45,155
2,328	JPMorgan International Equity Fund		73,633
5,106	JPMorgan International Equity Index Fund		112,431
3,645	JPMorgan Intrepid America Fund		88,038
3,262	JPMorgan Intrepid Mid Cap		73,912
10,867	JPMorgan Large Cap Growth Fund		166,482
10,752	JPMorgan Large Cap Value Fund		171,824
15,748	JPMorgan Liquid Assets Money Market Fund		15,748
3,797	JPMorgan Market Expansion Index Fund		47,990
7,383	JPMorgan Multi-Cap Market Neutral Fund (a)		81,356
1,206	JPMorgan Real Return Fund		11,941
2,671	JPMorgan Small Cap Growth Fund (a)		36,188
1,335	JPMorgan Small Cap Value Fund		35,423
15,226	JPMorgan U.S. Equity Fund		167,186
644	JPMorgan U.S. Real Estate Fund		12,302
	Total Investment Companies
	(Cost $1,032,944)		1,199,050
Total Investments — 99.9%
(Cost $1,032,944)		$	1,199,050
Other Assets in Excess of Liabilities — 0.1%			1,340
Net Assets — 100.0%		$	1,200,390
Percentages indicated are based on net assets.
Abbreviations:
(a) Non-income producing security.
(b) Investment in affiliate. Fund registered under the Investment Company Act of 1940, as amended and advised by J.P. Morgan Investment Management Inc., JPMorgan Investment Advisors Inc. or Security Capital Research & Management Incorporated.
As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation		$	166,242
Aggregate gross unrealized depreciation			(136	)
Net unrealized appreciation/depreciation		$	166,106
Federal income tax cost of investments		$	1,032,944

JPMorgan Investor Growth & Income
Schedule of Portfolio Investments
As of September 30, 2005 (Unaudited)
(Amounts in thousands)

Shares	Security Description	Value
Investment Companies — 99.9% (b)
7,215	JPMorgan Core Bond Fund	$	77,202
17,261	JPMorgan Core Plus Bond Fund		134,810
534	JPMorgan Diversified Mid Cap Growth Fund (a)		13,743
698	JPMorgan Diversified Mid Cap Value Fund		13,735
7,641	JPMorgan Government Bond Fund		78,396
16,864	JPMorgan High Yield Bond Fund		139,299
1,986	JPMorgan Intermediate Bond Fund		20,769
2,950	JPMorgan International Equity Fund		93,296
5,289	JPMorgan International Equity Index Fund		116,473
4,457	JPMorgan Intrepid America Fund		107,631
3,304	JPMorgan Intrepid Mid Cap Fund		74,872
14,239	JPMorgan Large Cap Growth Fund		218,149
13,122	JPMorgan Large Cap Value Fund		209,683
14,632	JPMorgan Liquid Assets Money Market Fund		14,632
5,797	JPMorgan Market Expansion Index Fund		73,280
11,401	JPMorgan Multi-Cap Market Neutral Fund (a)		125,639
1,850	JPMorgan Real Return Fund		18,310
2,713	JPMorgan Small Cap Growth Fund (a)		36,763
1,388	JPMorgan Small Cap Value Fund		36,824
19,264	JPMorgan U.S. Equity Fund		211,515
978	JPMorgan U.S. Real Estate Fund		18,689
	Total Investment Companies
	(Cost $1,613,158)		1,833,710
Total Investments — 99.9%
(Cost $1,613,158)			1,833,710
Other Assets in Excess of Liabilities — 0.1%			1,740
Net Assets — 100.0%		$	1,835,450
Percentages indicated are based on net assets.
Abbreviations:
(a) Non-income producing security.
(b) Investment in affiliate. Fund registered under the Investment Company Act of 1940, as amended and advised by J.P. Morgan Investment Management Inc., JPMorgan Investment Advisors Inc. or Security Capital Research & Management Incorporated.
As of September 30, 2005, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation		$	220,641
Aggregate gross unrealized depreciation			(89	)
Net unrealized appreciation/depreciation		$	220,552
Federal income tax cost of investments		$	1,613,158

ITEM 2. CONTROLS AND PROCEDURES.

(a)

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-Q 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-Q 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)

J.P. Morgan Investor Services, Co. now serves as the sub-administrator. The sub-administrator prepares financial reports and administrative filings on behalf of the Registrant. All pre-existing policies and procedures remain substantially the same.

ITEM 3. EXHIBITS.

CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO.

SIGNATURES

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.

JPMorgan Trust II
By:	/s/ George C. W. Gatch
	George C. W. Gatch
	President and Principal Executive Officer
	November 23, 2005
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.
By:	/s/ George C. W. Gatch
	George C. W. Gatch
	President and Principal Executive Officer
	November 23, 2005
By:	/s/ Stephanie Dorsey
	Stephanie Dorsey
	Treasurer and Principal Financial Officer
	November 23, 2005