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: 811-21638

JPMorgan Institutional Trust

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

	Principal Amount		Security Description	Value
Long-Term Investments — 97.3%
Asset Backed Securities — 3.3%
	$	405	American Express Credit Account Master Trust
			Series 2004-3, Class A, 4.35%, 12/15/11	$	402
			AmeriCredit Automobile Receivables Trust
		196	Series 2001-D, Class A4, 4.41%, 11/12/08		196
		384	Series 2002-A, Class A4, 4.61%, 01/12/09		384
		382	Series 2002-D, Class A4, 3.40%, 04/13/09		379
		202	Series 2003-BX, Class A4A, 2.72%, 01/06/10		199
		202	Capital One Master Trust
			Series 2001-5, Class A, 5.30%, 06/15/09		203
			Citibank Credit Card Issuance Trust
		202	Series 2002-A1, Class A1, 4.95%, 02/09/09		203
		860	Series 2002-C2, Class C2, 6.95%, 02/18/14		942
		500	Series 2005-B1, Class B1, 4.40%, 09/15/10		496
		337	CNH Equipment Trust
			Series 2003-B, Class A4B, 3.38%, 02/15/11		330
		383	Conseco Finance
			Series 2001-B, Class 1M1, 7.27%, 04/15/09		388
		2,227	Countrywide Asset-Backed Certificates
			Series 2004-AB2, Class A2, FRN, 4.10%, 10/25/33		2,231
		226	GE Capital Mortgage Services, Inc.
			Series 1999-HE, Class M, 6.71%, 04/25/29		228
		600	Household Automotive Trust
			Series 2005-1 Class A4, 4.35%, 06/18/12		593
			MBNA Credit Card Master Note Trust
		607	Series 2002-C1, Class C1, 6.80%, 07/15/14		661
		253	Series 2003-C1, Class C1, FRN, 5.47%, 06/15/12		268
			MBNA Master Credit Card Trust USA
		445	Series 1999-J, Class C, 7.85%, 02/15/12 (e)		494
		405	Series 2000-D, Class C, 8.40%, 09/15/09 (e)		427
		237	Onyx Acceptance Grantor Trust
			Series 2002-C, Class A4, 4.07%, 04/15/09		237
		101	Residential Asset Mortgage Products, Inc.
			Series 2001-RS3, Class AI4, SUB, 6.29%, 10/25/31		101
		395	Textron Financial Corp. Receivables Trust
			Series 2000-C, Class A3, 6.61%, 02/15/15 (e)		398
			WFS Financial Owner Trust
		244	Series 2002-1, Class A4A, 4.87%, 09/20/09		245
		292	Series 2002-2, Class A4, SUB, 4.50%, 02/20/10		292
		10	Series 2003-1, Class A3, 2.03%, 08/20/07		10
		44	Series 2003-2, Class A3, 1.76%, 01/21/08		44
		405	Series 2003-2, Class A4, 2.41%, 12/20/10		398
		497	Series 2003-4, Class A4, 3.15%, 05/20/11		488
		277	Series 2004-1, Class A3, 2.19%, 06/20/08		275
			Total Asset Backed Securities
			(Cost $11,616)		11,512

	Principal Amount			Security Description	Value
Collateralized Mortgage Obligations — 48.6%
Agency CMO — 39.7%
		3,000		Federal Home Loan Bank System
				Series 9M-2012, Class A, 4.72%, 09/20/12		2,976
				Federal Home Loan Mortgage Corp.
		34		Series 11, Class D, 9.50%, 07/15/19		34
		1		Series 41, Class I, HB, 84.00%, 05/15/20		1
		15		Series 46, Class B, 7.80%, 09/15/20		15
		6		Series 47, Class F, 10.00%, 06/15/20		6
		-(h	)	Series 85, Class C, 8.60%, 01/15/21		-(h	)
		13		Series 99, Class Z, 9.50%, 01/15/21		13
		59		Series 114, Class H, 6.95%, 01/15/21		58
		-(h	)	Series 1072, Class A, IO, HB, 1008.50%, 05/15/06		-(h	)
		5		Series 1079, Class S, IF, 21.04%, 05/15/21		5
		7		Series 1084, Class F, FRN, 4.76%, 05/15/21		7
		5		Series 1084, Class S, IF, 28.07%, 05/15/21		5
		-(h	)	Series 1098, Class M, IO, HB, 1008.00%, 06/15/06		-(h	)
		26		Series 1144, Class KB, 8.50%, 09/15/21		26
		-(h	)	Series 1172, Class L, IO, HB, VAR, 1180.80%, 11/15/21		-(h	)
		-(h	)	Series 1196, Class B, IF, IO, HB, 727.20%, 01/15/22		1
		53		Series 1206, Class IA, 7.00%, 03/15/22		53
		749		Series 1212, Class IZ, 8.00%, 02/15/22		750
		37		Series 1250, Class J, 7.00%, 05/15/22		37
		-(h	)	Series 1298, Class L, IO, HB, 981.87%, 06/15/07		-(h	)
		96		Series 1343, Class LA, 8.00%, 08/15/22		99
		112		Series 1404, Class FA, 4.50%, 11/15/07		112
		17		Series 1465, Class SA, IF, IO, 5.19%, 02/15/08		1
		425		Series 1466, Class PZ, 7.50%, 02/15/23		441
		6		Series 1470, Class F, FRN, 3.76%, 02/15/23		6
		164		Series 1491, Class I, 7.50%, 04/15/23		174
		12		Series 1506, Class F, FRN, 4.41%, 05/15/08		12
		2		Series 1506, Class S, IF, 14.26%, 05/15/08		2
		27		Series 1506, Class SD, IF, IO 4.69%, 05/15/08		1
		607		Series 1512, Class J, 6.50%, 05/15/08		614
		74		Series 1513, Class AG, FRN, 3.34%, 05/15/08		73
		139		Series 1513, Class N, 6.50%, 05/15/08		141
		161		Series 1518, Class G, IF, 5.39%, 05/15/23		159
		153		Series 1541,Class O, FRN, 3.39%, 07/15/23		149
		60		Series 1544, Class J, IF, 8.96%, 07/15/08		61
		35		Series 1549, Class K, 8.50%, 07/15/08		36
		330		Series 1558, Class D, 6.50%, 07/15/23		335
		115		Series 1586, Class M, 5.00%, 09/15/08		115
		308		Series 1587, Class SL, IF, 13.71%, 10/15/08		313
		35		Series 1600, Class SC, IF, 8.60%, 10/15/08		35
		3		Series 1602, Class SA, IF, 10.36%, 10/15/23		3
		45		Series 1604, Class SA, IF, 10.76%, 11/15/08		47

Principal Amount		Security Description	Value
	84	Series 1606, Class SC, IF, 14.95%, 11/15/08		91
	767	Series 1607, Class H, 6.25%, 10/15/13		785
	304	Series 1608, Class L, 6.50%, 09/15/23		317
	363	Series 1609, Class LG, IF, 9.07%, 11/15/23		390
	331	Series 1611, Class JA, FRN, 4.88%, 08/15/23		332
	301	Series 1611, Class JB, IF, 9.06%, 08/15/23		300
	56	Series 1625, Class SD, IF, 8.50%, 12/15/08		59
	27	Series 1665, Class FA, FRN, 3.74%, 06/15/23		27
	6	Series 1671, Class L, 7.00%, 02/15/24		6
	7	Series 1685, Class Z, 6.00%, 11/15/23		7
	80	Series 1689, Class SD, IF, 9.87%, 10/15/23		82
	101	Series 1698, Class SC, IF, 10.65%, 03/15/09		108
	69	Series 1700, Class GA, PO, 02/15/24		63
	405	Series 1706, Class K, 7.00%, 03/15/24		425
	73	Series 1745, Class D, 7.50%, 08/15/24		74
	177	Series 1798, Class F, 5.00%, 05/15/23		176
	9	Series 1807, Class G, 9.00%, 10/15/20		10
	89	Series 1900, Class TA, PO, 08/15/08		86
	771	Series 1927, Class PH, 7.50%, 01/15/27		800
	38	Series 1967, Class PC, PO, 10/15/08		36
	353	Series 1981, Class Z, 6.00%, 05/15/27		359
	108	Series 1987, Class PE, 7.50%, 09/15/27		111
	19	Series 2017, Class SE, IF, 14.19%, 12/15/08		21
	340	Series 2025, Class PE, 6.30%, 01/15/13		347
	52	Series 2033, Class SN, IF, IO, 19.05%, 03/15/24		13
	145	Series 2038, Class PN, IO, 7.00%, 03/15/28		24
	364	Series 2040, Class PE, 7.50%, 03/15/28		383
	267	Series 2056, Class TD, 6.50%, 05/15/18		276
	964	Series 2063, Class PG, 6.50%, 06/15/28		990
	148	Series 2064, Class TE, 7.00%, 06/15/28		154
	640	Series 2075, Class PH, 6.50%, 08/15/28		658
	304	Series 2075, Class PM, 6.25%, 08/15/28		314
	168	Series 2089, Class PJ, IO, 7.00%, 10/15/28		29

Principal Amount		Security Description	Value
	142	Series 2097, Class PV, 6.00%, 09/15/09		144
	149	Series 2102, Class TC, 6.00%, 12/15/13		153
	451	Series 2125, Class JZ, 6.00%, 02/15/29		460
	3	Series 2137, Class TM, 6.50%, 01/15/28		3
	65	Series 2163, Class PC, IO, 7.50%, 06/15/29		12
	506	Series 2169, Class TB, 7.00%, 06/15/29		536
	202	Series 2172, Class QC, 7.00%, 07/15/29		214
	4	Series 2196, Class TL, 7.50%, 11/15/29		4
	248	Series 2201, Class C, 8.00%, 11/15/29		260
	392	Series 2210, Class Z, 8.00%, 01/15/30		415
	184	Series 2224, Class CB, 8.00%, 03/15/30		192
	302	Series 2256, Class MC, 7.25%, 09/15/30		311
	413	Series 2259, Class ZM, 7.00%, 10/15/30		430
	314	Series 2271, Class PC, 7.25%, 12/15/30		326
	202	Series 2283, Class K, 6.50%, 12/15/23		214
	200	Series 2296, Class PD, 7.00%, 03/15/31		208
	23	Series 2299, Class G, 7.00%, 05/15/14		23
	87	Series 2306, Class K, PO, 05/15/24		77
	213	Series 2306, Class SE, IF, IO, 6.36%, 05/15/24		32
	322	Series 2312, Class KV, 6.50%, 05/15/14		324
	116	Series 2317, Class VG, 6.50%, 04/15/31		117
	244	Series 2333, Class HC, 6.00%, 07/15/31		246
	296	Series 2344, Class QG, 6.00%, 08/15/16		304
	3,165	Series 2344, Class ZD, 6.50%, 08/15/31		3,303
	503	Series 2344, Class ZJ, 6.50%, 08/15/31		519
	417	Series 2345, Class NE, 6.50%, 08/15/31		429
	493	Series 2345, Class PQ, 6.50%, 08/15/16		510
	159	Series 2345, Class PV, 6.50%, 01/15/24		160
	405	Series 2347, Class VP, 6.50%, 03/15/20		417
	464	Series 2349, Class NW, 6.50%, 10/15/16		468
	263	Series 2351, Class PZ, 6.50%, 08/15/31		277
	235	Series 2353, Class PC, 6.50%, 09/15/15		235
	359	Series 2355, Class BP, 6.00%, 09/15/16		369

Principal Amount		Security Description	Value
	66	Series 2357, Class VX, 6.50%, 12/15/17		66
	410	Series 2360, Class PG, 6.00%, 09/15/16		420
	197	Series 2362, Class PD, 6.50%, 06/15/20		201
	192	Series 2362, Class PJ, 6.50%, 10/15/28		194
	337	Series 2366, Class MD, 6.00%, 10/15/16		346
	80	Series 2367, Class VD, 6.00%, 01/15/19		80
	44	Series 2382, Class TL, IO, 6.50%, 02/15/31		2
	312	Series 2391, Class QE, 5.50%, 05/15/15		314
	506	Series 2391, Class QR, 5.50%, 12/15/16		516
	476	Series 2391, Class VQ, 6.00%, 10/15/12		488
	405	Series 2392, Class PV, 6.00%, 12/15/20		412
	181	Series 2410, Class HC, 5.50%, 02/15/09		181
	344	Series 2410, Class NG, 6.50%, 02/15/32		357
	497	Series 2410, Class OE, 6.38%, 02/15/32		510
	1,012	Series 2410, Class QS, IF, 9.70%, 02/15/32		990
	187	Series 2410, Class QX, IF, IO, 4.88%, 02/15/32		14
	96	Series 2412, Class SE, IF, 8.43%, 02/15/09		98
	405	Series 2412, Class SP, IF, 8.56%, 02/15/32		370
	207	Series 2423, Class MC, 7.00%, 03/15/32		215
	403	Series 2423, Class MT, 7.00%, 03/15/32		418
	1,215	Series 2434, Class TC, 7.00%, 04/15/32		1,271
	243	Series 2435, Class CJ, 6.50%, 04/15/32		257
	405	Series 2435, Class VH, 6.00%, 07/15/19		419
	304	Series 2441, Class GF, 6.50%, 04/15/32		319
	497	Series 2444, Class ES, IF, IO, 4.18%, 03/15/32		43
	478	Series 2450, Class GZ, 7.00%, 05/15/32		502
	199	Series 2450, Class SW, IF, IO, 4.23%, 03/15/32		19
	297	Series 2454, Class VB, 6.50%, 10/15/15		301
	405	Series 2455, Class GK, 6.50%, 05/15/32		423
	492	Series 2460, Class VZ, 6.00%, 11/15/29		503
	694	Series 2461, Class VB, 6.50%, 04/15/18		705
	1,417	Series 2462, Class JG, 6.50%, 06/15/32		1,476
	1,012	Series 2466, Class DH, 6.50%, 06/15/32		1,054

Principal Amount		Security Description	Value
	1,012	Series 2466, Class PG, 6.50%, 04/15/32		1,056
	405	Series 2474, Class NR, 6.50%, 07/15/32		424
	497	Series 2484, Class LZ, 6.50%, 07/15/32		524
	12	Series 2496, Class LD, 8.50%, 11/15/15		12
	1,012	Series 2498, Class UD, 5.50%, 06/15/16		1,023
	1,012	Series 2500, Class GD, 5.50%, 12/15/15		1,020
	607	Series 2500, Class MC, 6.00%, 09/15/32		624
	1,012	Series 2500, Class TD, 5.50%, 02/15/16		1,021
	607	Series 2512, Class PG, 5.50%, 10/15/22		625
	273	Series 2513, Class YO, PO, 02/15/32		241
	607	Series 2515, Class DE, 4.00%, 03/15/32		568
	84	Series 2519, Class BT, 8.50%, 09/15/31		89
	482	Series 2527, Class VU, 5.50%, 10/15/13		489
	304	Series 2535, Class BK, 5.50%, 12/15/22		310
	425	Series 2537, Class TE, 5.50%, 12/15/17		436
	675	Series 2543, Class YX, 6.00%, 12/15/32		696
	729	Series 2557, Class WJ, 5.00%, 07/15/14		731
	607	Series 2565, Class MB, 6.00%, 05/15/30		623
	810	Series 2575, Class ME, 6.00%, 02/15/33		834
	424	Series 2586, Class WI, IO, 6.50%, 03/15/33		91
	1,175	Series 2594, Class VA, 6.00%, 03/15/14		1,203
	503	Series 2594, Class VP, 6.00%, 02/15/14		514
	405	Series 2594, Class VQ, 6.00%, 08/15/20		416
	720	Series 2597, Class AD, 6.50%, 03/15/32		761
	988	Series 2597, Class DS, IF, IO, 3.78%, 02/15/33		66
	2,178	Series 2599, Class DS, IF, IO, 3.23%, 02/15/33		128
	2,204	Series 2610, Class DS, IF, IO, 3.33%, 03/15/33		136
	1,301	Series 2611, Class SH, IF, IO, 3.88%, 10/15/21		107
	405	Series 2617, Class GR, 4.50%, 05/15/18		391
	394	Series 2619, Class IM, IO, 5.00%, 10/15/21		59
	1,000	Series 2628, Class WA, 4.00%, 07/15/28		950
	202	Series 2631, Class LC, 4.50%, 06/15/18		195
	202	Series 2640, Class VE, 3.25%, 07/15/22		174

Principal Amount		Security Description	Value
	120	Series 2643, Class HI, IO, 4.50%, 12/15/16		14
	726	Series 2643, Class KG, 4.00%, 05/15/18		723
	446	Series 2651, Class VZ, 4.50%, 07/15/18		425
	268	Series 2656, Class SH, IF, 10.30%, 02/15/25		288
	310	Series 2668, Class SB, IF, 3.85%, 10/15/15		301
	202	Series 2672, Class ME, 5.00%, 11/15/22		201
	506	Series 2675, Class CK, 4.00%, 09/15/18		472
	393	Series 2682, Class YS, IF, 3.46%, 10/15/33		283
	243	Series 2684, Class TO, PO, 10/15/33		141
	202	Series 2686, Class GB, 5.00%, 05/15/20		202
	161	Series 2691, Class WS, IF, 3.35%, 10/15/33		113
	1,000	Series 2695, Class DE, 4.00%, 01/15/17		956
	234	Series 2705, Class SC, IF, 3.35%, 11/15/33		167
	234	Series 2705, Class SD, IF, 6.11%, 11/15/33		193
	1,478	Series 2727, Class BS, IF, 3.42%, 01/15/34		978
	122	Series 2733, Class GF, FRN, 0.00%, 09/15/33		120
	121	Series 2739, Class S, IF, 4.46%, 01/15/34		103
	157	Series 2744, Class FE, FRN, 0.00%, 02/15/34		122
	405	Series 2744, Class PC, 5.50%, 01/15/31		413
	505	Series 2744, Class PD, 5.50%, 08/15/33		525
	405	Series 2744, Class TU, 5.50%, 05/15/32		408
	416	Series 2749, Class PK, IO, 5.00%, 09/15/22		30
	194	Series 2753, Class S, IF, 4.46%, 02/15/34		147
	158	Series 2755, Class SA, IF, 6.66%, 05/15/30		156
	74	Series 2769, PO, 03/15/34		44
	412	Series 2776, Class SK, IF, 3.42%, 04/15/34		308
	304	Series 2846, PO, 08/15/34		237
	100	Series 2925, Class ZM, 5.00%, 01/15/35		99
		Federal Home Loan Mortgage Corp. Structured Pass Through Securities
	153	Series T-41, Class 3A, 7.50%, 07/25/32		161
	136	Series T-51, Class 2A, VAR, 7.50%, 08/25/42		141
	1,284	Series T-54, Class 2A, 6.50%, 02/25/43		1,319
	449	Series T-54, Class 3A, 7.00%, 02/25/43		470

Principal Amount			Security Description	Value
	110		Series T-58, Class A, PO, 09/25/43		95
	255		Federal Home Loan Mortgage Corp.- Government National Mortgage Association
			Series 24, Class ZE, 6.25%, 11/25/23		261
			Federal National Mortgage Association
	9		Series 1988-7, Class Z, 9.25%, 04/25/18		10
	42		Series 1989-70, Class G, 8.00%, 10/25/19		45
	18		Series 1989-78, Class H, 9.40%, 11/25/19		19
	15		Series 1989-83, Class H, 5.50%, 08/25/35		16
	15		Series 1989-89, Class H, 9.00%, 11/25/19		16
	5		Series 1990-1, Class D, 8.80%, 01/25/20		6
	8		Series 1990-7, Class B, 8.50%, 01/25/20		9
	9		Series 1990-60, Class K, 5.50%, 06/25/20		9
	7		Series 1990-63, Class H, 9.50%, 06/25/20		8
	10		Series 1990-93, Class G, 5.50%, 08/25/20		9
	-	(h)	Series 1990-94, Class H, HB, 504.00%, 08/25/20		1
	-	(h)	Series 1990-95, Class J, IO, HB, 1118.04%, 08/25/20		2
	39		Series 1990-102, Class J, 6.50%, 08/25/20		40
	17		Series 1990-120, Class H, 9.00%, 10/25/20		18
	4		Series 1990-134, Class SC, IF, 15.83%, 11/25/20		5
	-	(h)	Series 1990-140, Class K, IO, HB, 652.15%, 12/25/20		3
	-	(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		-	(h)
	-	(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)
	24		Series 1991-42, Class S, IF, 10.95%, 05/25/21		27
	51		Series 1992-33, Class F, FRN, 3.74%, 03/25/22		50
	20		Series 1992-44, Class K, 7.25%, 04/25/07		20
	25		Series 1992-143, Class MA, 5.50%, 09/25/22		25
	202		Series 1993-18, Class PK, 6.50%, 02/25/08		205
	150		Series 1993-25, Class J, 7.50%, 03/25/23		157
	974		Series 1993-37, Class PX, 7.00%, 03/25/23		1,016
	291		Series 1993-41, Class PH, 6.00%, 03/25/23		292
	348		Series 1993-54, Class Z, 7.00%, 04/25/23		361

Principal Amount		Security Description	Value
	73	Series 1993-62, Class SA, IF, 14.10%, 04/25/23		86
	17	Series 1993-72, Class F, FRN, 3.66%, 05/25/08		17
	94	Series 1993-122, Class M, 6.50%, 07/25/23		97
	32	Series 1993-165, Class SD, IF, 9.00%, 09/25/23		34
	18	Series 1993-170, Class SE, IF, 15.25%, 09/25/08		19
	25	Series 1993-175, Class SA, IF, 13.00%, 09/25/08		27
	137	Series 1993-178, Class PK, 6.50%, 09/25/23		138
	1,012	Series 1993-183, Class KA, 6.50%, 10/25/23		1,069
	1,070	Series 1993-189, Class PL, 6.50%, 10/25/23		1,105
	170	Series 1993-190, Class S, IF, 10.76%, 10/25/08		174
	33	Series 1993-196, Class FA, FRN, 3.66%, 10/25/08		33
	133	Series 1993-225, Class SG, IF, 11.25%, 12/25/13		142
	26	Series 1993-225, Class VO, IF, 9.54%, 12/25/22		26
	241	Series 1993-247, Class SA, IF, 18.80%, 12/25/23		300
	580	Series 1993-250, Class Z, 7.00%, 12/25/23		598
	1,068	Series 1993-257, Class C, PO, 06/25/23		966
	14	Series 1994-9, Class E, PO, 11/25/23		12
	42	Series 1994-12, Class FC, FRN, 3.81%, 01/25/09		42
	19	Series 1994-13, Class SK, IF, 14.34%, 02/25/09		20
	95	Series 1994-17, Class JB, IO, 6.50%, 02/25/09		7
	26	Series 1994-20, Class Z, 6.50%, 02/25/09		26
	293	Series 1994-34, Class DZ, 6.00%, 03/25/09		298
	145	Series 1994-40, Class VC, 6.50%, 02/25/10		147
	154	Series 1994-55, Class G, 6.75%, 12/25/23		155
	619	Series 1996-14, Class SE, IF, IO, 6.55%, 08/25/23		105
	36	Series 1996-20, Class L, PO, 09/25/08		34
	71	Series 1996-24, Class E, PO, 03/25/09		67
	31	Series 1996-27, Class FC, FRN, 4.34%, 03/25/17		31
	307	Series 1996-32, Class PH, 7.00%, 01/25/26		314
	87	Series 1996-39, Class J, PO, 09/25/08		83
	4	Series 1996-46, Class PE, PO, 09/25/06		4
	59	Series 1996-59, Class J, 6.50%, 08/25/22		61
	432	Series 1996-59, Class K, 6.50%, 07/25/23		440

Principal Amount		Security Description	Value
	335	Series 1997-20, Class IB, IO, FRN, 1.84%, 03/25/27		18
	392	Series 1997-20, Class IO, FRN, 1.84%, 03/25/27		22
	150	Series 1997-27, Class J, 7.50%, 04/18/27		158
	133	Series 1997-29, Class J, 7.50%, 04/20/27		139
	275	Series 1997-39, Class PD, 7.50%, 05/20/27		286
	121	Series 1997-81, Class PI, IO, 7.00%, 12/18/27		23
	18	Series 1998-4, Class C, PO, 04/25/23		16
	88	Series 1998-27, Class B, PO, 12/25/08		84
	240	Series 1998-36, Class ZB, 6.00%, 07/18/28		245
	756	Series 2000-2, Class ZE, 7.50%, 02/25/30		797
	376	Series 2001-4, Class PC, 7.00%, 03/25/21		392
	639	Series 2001-5, Class OW, 6.00%, 03/25/16		653
	930	Series 2001-33, Class ID, IO, 6.00%, 07/25/31		179
	810	Series 2001-36, Class DE, 7.00%, 08/25/31		844
	195	Series 2001-44, Class PD, 7.00%, 09/25/31		202
	422	Series 2001-48, Class Z, 6.50%, 09/25/21		449
	217	Series 2001-49, Class Z, 6.50%, 09/25/31		224
	769	Series 2001-50, Class VB, 6.50%, 12/25/16		782
	553	Series 2001-52, Class XM, 6.50%, 11/25/10		565
	709	Series 2001-61, Class VB, 7.00%, 12/25/16		737
	288	Series 2001-61, Class VQ, 6.50%, 08/25/15		294
	310	Series 2001-71, Class GU, 6.00%, 05/25/14		315
	607	Series 2001-71, Class MB, 6.00%, 12/25/16		624
	926	Series 2001-71, Class QE, 6.00%, 12/25/16		949
	2,854	Series 2001-74, Class MB, 6.00%, 12/25/16		2,985
	709	Series 2001-78, Class VB, 6.00%, 12/25/15		712
	344	Series 2001-80, Class PE, 6.00%, 07/25/29		352
	161	Series 2001-81, Class LO, PO, 01/25/32		134
	457	Series 2002-1, Class HC, 6.50%, 02/25/22		473
	164	Series 2002-1, Class SA, IF, 12.74%, 02/25/32		177
	397	Series 2002-2, Class UC, 6.00%, 02/25/17		404
	607	Series 2002-3, Class OG, 6.00%, 02/25/17		628
	195	Series 2002-8, Class SR, IF, 8.29%, 03/25/09		198

Principal Amount		Security Description	Value
	1,235	Series 2002-18, Class PC, 5.50%, 04/25/17		1,263
	506	Series 2002-21, Class PE, 6.50%, 04/25/32		523
	405	Series 2002-24, Class AJ, 6.00%, 04/25/17		416
	405	Series 2002-28, Class PK, 6.50%, 05/25/32		421
	727	Series 2002-37, Class Z, 6.50%, 06/25/32		751
	810	Series 2002-56, Class UC, 5.50%, 09/25/17		827
	511	Series 2002-59, Class AC, 6.00%, 03/25/28		522
	29	Series 2002-59, Class VA, 6.50%, 04/25/32		29
	810	Series 2002-59, Class VB, 6.50%, 04/25/32		820
	1,417	Series 2002-61, Class PE, 5.50%, 05/25/16		1,432
	810	Series 2002-74, Class LD, 5.00%, 01/25/16		810
	1,012	Series 2002-74, Class PD, 5.00%, 11/25/15		1,013
	442	Series 2002-84, Class VB, 5.50%, 04/25/15		446
	112	Series 2002-91, Class UH, IO, 5.50%, 06/25/22		15
	405	Series 2002-94, Class BK, 5.50%, 01/25/18		417
	811	Series 2003-8, Class SB, IF, IO, 3.82%, 03/25/16		51
	202	Series 2003-22, Class UD, 4.00%, 04/25/33		173
	162	Series 2003-34, Class GB, 6.00%, 03/25/33		167
	304	Series 2003-34, Class GE, 6.00%, 05/25/33		313
	133	Series 2003-39, IO, VAR, 6.00%, 05/25/33		26
	405	Series 2003-47, Class PE, 5.75%, 06/25/33		410
	233	Series 2003-52, Class SX, IF, 11.46%, 10/25/31		242
	168	Series 2003-64, Class SX, IF, 4.52%, 07/25/33		118
	431	Series 2003-71, Class DS, IF, 2.54%, 08/25/33		355
	1,258	Series 2003-73, Class GA, 3.50%, 05/25/31		1,196
	1,923	Series 2003-80, Class SY, IF, IO, 3.82%, 06/25/23		167
	405	Series 2003-83, Class PG, 5.00%, 06/25/23		402
	152	Series 2003-91, Class SD, IF, 6.12%, 09/25/33		144
	304	Series 2003-106, Class US, IF, 3.33%, 11/25/23		239
	1,595	Series 2003-116, Class SB, IF, IO, 3.77%, 11/25/33		123
	202	Series 2003-128, Class KE, 4.50%, 01/25/14		200
	500	Series 2003-128, Class NG, 4.00%, 01/25/19		469
	424	Series 2003-130, Class SX, IF, 5.78%, 01/25/34		386

Principal Amount		Security Description	Value
	561	Series 2004-10, Class SC, IF, 13.28%, 02/25/34		612
	321	Series 2004-14, Class SD, IF, 3.33%, 03/25/34		236
	1,000	Series 2004-21, Class AE, 4.00%, 04/25/19		925
	67	Series 2004-21, Class CO, PO, 04/25/34		40
	405	Series 2004-25, Class PC, 5.50%, 01/25/34		405
	365	Series 2004-25, Class SA, IF, 8.99%, 04/25/34		375
	263	Series 2004-36, Class PC, 5.50%, 02/25/34		265
	519	Series 2004-36, Class SA, IF, 8.99%, 05/25/34		536
	287	Series 2004-76, Class CL, 4.00%, 10/25/19		268
	500	Series 2005-40, Class YA, 5.00%, 09/25/20		501
	962	Series 2005-52, Class PA, 6.50%, 06/25/35		1,009
	2,000	Series 2005-68, Class PG, 5.50%, 08/25/35		2,026
	13	Series G-14, Class L, 8.50%, 06/25/21		14
	65	Series G-18, Class Z, 8.75%, 06/25/21		70
	22	Series G-22, Class G, 6.00%, 12/25/16		22
	48	Series G-35, Class M, 8.75%, 10/25/21		51
	196	Series G92-35, Class E, 7.50%, 07/25/22		204
	12	Series G92-42, Class Z, 7.00%, 07/25/22		13
	288	Series G92-44, Class ZQ, 8.00%, 07/25/22		308
	208	Series G92-54, Class ZQ, 7.50%, 09/25/22		218
	43	Series G93-5, Class Z, 6.50%, 02/25/23		44
	50	Series G95-1, Class C, 8.80%, 01/25/25		53
		Federal National Mortgage Association Interest STRIPS
	2	Series 50, Class 2, IO, 10.50%, 03/01/19		1
	16	Series 218, Class 2, IO, 7.50%, 04/01/23		3
	185	Series 329, Class 1, PO, 12/01/32		146
	385	Series 340, Class 1, PO, 09/01/33		291
		Federal National Mortgage Association Whole Loan
	872	Series 2002-W5, Class A7, 6.25%, 08/25/30		883
	191	Series 2002-W5, Class A10, IO, IF, 4.27%, 11/25/30		14
	612	Series 2003-W1, Class 1A1, 6.50%, 12/25/42		630
	171	Series 2003-W4, Class 2A, 6.50%, 10/25/42		172
	202	Series 2003-W8, Class 1A3, 4.75%, 12/25/42		200

Principal Amount		Security Description	Value
	536	Series 2004-W2, Class 2A2, 7.00%, 02/25/44		560
		Government National Mortgage Association
	162	Series 1994-3, Class PQ, 7.49%, 07/16/24		169
	582	Series 1994-4, Class KQ, 7.99%, 07/16/24		610
	607	Series 1994-7, Class PQ, 6.50%, 10/16/24		637
	220	Series 1995-3, Class DQ, 8.05%, 06/16/25		230
	63	Series 1995-7, Class CQ, 7.50%, 09/16/25		65
	465	Series 1996-16, Class E, 7.50%, 08/16/26		482
	99	Series 1998-26, Class K, 7.50%, 09/17/25		104
	984	Series 1999-10, Class ZC, 6.50%, 04/20/29		1,031
	254	Series 1999-30, Class S, IF, IO, 4.83%, 08/16/29		19
	1,533	Series 1999-4, Class ZB, 6.00%, 02/20/29		1,545
	180	Series 1999-41, Class Z, 8.00%, 11/16/29		191
	144	Series 1999-44, Class PC, 7.50%, 12/20/29		151
	337	Series 2000-6, Class Z, 7.50%, 02/20/30		350
	348	Series 2000-9, Class PB, 7.50%, 06/16/26		354
	58	Series 2000-9, Class Z, 8.00%, 06/20/30		59
	714	Series 2000-9, Class ZJ, 8.50%, 02/16/30		784
	405	Series 2000-14, Class PD, 7.00%, 02/16/30		423
	149	Series 2000-16, Class ZN, 7.50%, 02/16/30		155
	828	Series 2000-37, Class B, 8.00%, 12/20/30		871
	68	Series 2000-38, Class AH, 7.15%, 12/20/30		70
	529	Series 2001-7, Class PK, 6.50%, 03/20/31		544
	30	Series 2001-32, Class WA, IF, 10.63%, 07/20/31		32
	405	Series 2001-64, Class MQ, 6.50%, 12/20/31		422
	193	Series 2002-7, Class PG, 6.50%, 01/20/32		199
	330	Series 2002-31, Class S, IF, IO, 4.93%, 01/16/31		23
	1,522	Series 2002-36, Class VB, 6.50%, 07/20/19		1,535
	405	Series 2002-40, Class UK, 6.50%, 06/20/32		424
	405	Series 2002-47, Class PG, 6.50%, 07/16/32		423
	405	Series 2002-47, Class PY, 6.00%, 07/20/32		417
	280	Series 2002-47, Class VB, 6.50%, 09/20/17		282
	621	Series 2002-47, Class ZA, 6.50%, 07/20/32		644

	Principal Amount		Security Description	Value
		340	Series 2002-48, Class VM, 6.50%, 09/20/16		344
		71	Series 2002-51, Class SG, IF, 16.05%, 04/20/31		79
		364	Series 2002-54, Class GB, 6.50%, 08/20/32		377
		1,098	Series 2002-67, Class VA, 6.00%, 03/20/13		1,112
		162	Series 2002-79, Class KV, 6.00%, 11/20/13		166
		278	Series 2002-88, Class LI, IO, 5.50%, 11/20/28		10
		1,419	Series 2002-88, Class VA, 6.00%, 12/20/17		1,458
		550	Series 2003-4, Class NI, IO, 5.50%, 01/20/32		85
		327	Series 2003-4, Class NY, 5.50%, 12/20/13		332
		140	Series 2003-24, PO, 03/16/33		117
		304	Series 2003-40, Class TJ, 6.50%, 03/20/33		328
		476	Series 2003-52, Class AP, PO, 06/16/33		380
		3	Series 2003-66, Class EO, PO, 08/20/33		3
		305	Series 2003-95, Class SC, IF, IO, 3.21%, 09/17/31		12
		94	Series 2004-28, Class S, IF, 9.29%, 04/16/34		96
		189	Series 2004-73, Class AE, IF, 7.04%, 08/17/34		186
			Vendee Mortgage Trust
		704	Series 1994-1, Class 1, VAR, 5.63%, 02/15/24		704
		1,157	Series 1996-1, Class 1Z, 6.75%, 02/15/26		1,206
		407	Series 1996-2, Class 1Z, 6.75%, 06/15/26		423
		1,464	Series 1997-1, Class 2Z, 7.50%, 02/15/27		1,582
		405	Series 1998-1, Class 2E, 7.00%, 09/15/27		421
					139,851
Non-Agency CMO — 8.9%
		152	Banc of America Funding Corp.
			Series 2004-1, PO, 03/25/34		131
			Banc of America Mortgage Securities
		111	Series 2003-8 Class A, PO, 11/25/33		82
		185	Series 2004-6, Class A, PO, 07/25/34		133
		115	Bank of America Alternative Loan Trust
			Series 2003-11, PO, 01/25/34		94
		264	Bank of America Mortgage Securities
			Series 2003-11, Class A, PO, 02/25/34		231

Principal Amount		Security Description	Value
		Bear Stearns Commercial Mortgage Securities
	87	Series 2000-WF1, Class A1, 7.64%, 02/15/32		91
	240	Series 2004-T16, Class A2, 3.70%, 02/13/46		234
	300	Series 2005-PWR9, Class AAB, 4.80%, 09/15/42		297
	59	BHN II Mortgage Trust
		Series 1997-1, Class A2, 7.92%, 07/25/09 (d) (i)		2
		Citigroup Mortgage Loan Trust, Inc.
	416	Series 2003-UP3, Class A3, 7.00%, 09/25/33		426
	102	Series 2003-UST1, Class 1, PO, 12/25/18		79
	82	Series 2003-UST1, Class 3, PO, 12/25/18		72
	563	Series 2003-UST1, Class A1, FRN, 5.50%, 12/25/18		567
		Countrywide Alternative Loan Trust
	1,215	Series 2002-8, Class A4, 6.50%, 07/25/32		1,215
	1,100	Series 2004-2CB, Class 1A9, 5.75%, 03/25/34		1,057
	474	Series 2005-26CB, Class A10, IF, 6.11%, 07/25/35		464
		Countrywide Home Loan Mortgage Pass Through Trust
	1,035	Series 2003-26, Class 1A6, 3.50%, 08/25/33		945
	524	Series 2003-J7, Class 4A3, IF, 4.85%, 08/25/18		513
	179	Series 2003-J13, PO, 01/25/34		150
	150	Series 2004-HYB3, Class 2A, VAR, 4.12%, 06/20/34		147
	670	Series 2005-R1, Class 2A, PO, 03/25/35 (e)		539
	195	Deutsche Mortgage Securities, Inc.
		Series 2004-1, Class 2A, PO, 10/25/18		175
	810	Equitable Life Assurance Society of the US (The)
		Series 174, Class A1, 7.24%, 05/15/09 (e)		823
		First Horizon Asset Securities, Inc.
	708	Series 2004-AR1, Class 2A2, FRN, 5.03%, 04/25/35		706
	1,107	Series 2004-AR7, Class 2A1, FRN, 4.94%, 02/25/35		1,102
	202	Series 2004-AR7, Class 2A2, FRN, 4.94%, 02/25/35		201
	42	GSR Mortgage Loan Trust
		Series 2004-13F, Class 2A3, 6.00%, 11/25/34		42
	405	JP Morgan Commercial Mortgage Finance Corp.
		Series 1997-C4, Class B, VAR, 7.47%, 12/25/28 (q)		410

Principal Amount			Security Description	Value
			MASTR Adjustable Rate Mortgages Trust
	775		PO, 05/28/35		578
	566		Series 2004-13, Class 2A1, FRN, 3.82%, 04/21/34		554
			MASTR Alternative Loans Trust
	1,135		Series 2003-9, Class 8A1, 6.00%, 01/25/34		1,149
	3,491		Series 2004-4, Class 10A1, 5.00%, 05/25/24		3,443
	101		Series 2004-7, Class 30, PO, 08/25/34		76
	266		Series 2004-10, Class 1A1, 4.50%, 09/25/19		259
			MASTR Asset Securitization Trust
	220		Series 2003-4, Class 2A2, 5.00%, 05/25/18		220
	177		Series 2004-8, PO, 08/25/19		139
	581		Merrill Lynch Mortgage Investors, Inc.
			Series 1997-C2, Class A2, 6.54%, 12/10/29		600
	500		Merrill Lynch Mortgage Trust
			Series 2005-MCP1, Class ASB, VAR, 4.67%, 06/12/43		504
	232		Mortgage IT Trust
			Series 2005-1, Class 1A1, FRN, 4.15%, 02/25/35		232
			Nomura Asset Acceptance Corp.
	294		Series 2003-A1, Class A1, 5.50%, 05/25/33		295
	300		Series 2003-A1, Class A2, 6.00%, 05/25/33		302
	67		Series 2003-A1, Class A5, 7.00%, 04/25/33		67
	278		Series 2004-R2, Class A1, VAR, 6.50%, 10/25/34 (e)		283
	-(h	)	Paine Webber CMO Trust
			Series H, Class 4, 8.75%, 04/01/18		-(h	)
			Residential Accredit Loans, Inc.
	1,707		Series 2002-QS8, Class A5, 6.25%, 06/25/17		1,717
	403		Series 2002-QS16, Class A3, IF, 8.61%, 10/25/17		427
	431		Series 2003-QS3, Class A2, IF, 8.07%, 02/25/18		446
	1,812		Series 2003-QS9, Class A3, IF, IO, 3.72%, 05/25/18		128
	202		Series 2004-QS8, Class A2, 5.00%, 06/25/34		199
	208		Residential Asset Securitization Trust
			Series 2003-A14, Class A1, 4.75%, 02/25/19		204
			Residential Funding Mortgage Securities I

	Principal Amount		Security Description	Value
		717	Series 2003-S7, Class A17, 4.00%, 05/25/33		694
		943	Series 2003-S11, Class 4A5, 2.50%, 06/25/18		905
		202	Series 2003-S12, Class 4A5, 4.50%, 12/25/32		192
		9	Rural Housing Trust
			Series 1987-1, Class 3B, 7.33%, 04/01/26		9
		104	Salomon Brothers Mortgage Securities VII
			Series 2003-UP2, Class 1, PO, 12/25/18		96
		72	Structured Mortage Asset Residential Trust
			Series 1993-2A, Class AE, 7.60%, 03/25/09		74
		810	Wachovia Bank Commercial Mortgage Trust
			Series 2004-C15, Class A2, 4.04%, 10/15/41		787
		400	Wamu Alternative Mortgage Pass-Through Certificates
			Series 2005-4, Series CB7, 5.50%, 06/25/35		398
		126	Washington Mutual Mortgage Securities Corp.
			Series 2003-MS7, Class P, PO, 03/25/33		109
			Washington Mutual, Inc.
		700	Series 2003-AR4, Class A6, VAR, 3.42%, 05/25/33		684
		304	Series 2003-AR7, Class A6, VAR, 3.03%, 08/25/33		291
		117	Series 2003-S10, Class A6, PO, 10/25/18		97
		367	Series 2004-AR3, Class A2, VAR, 4.24%, 06/25/34		362
		1,000	Series 2004-S3, Class 2A3, IF, 8.31%, 07/25/34		972
			Wells Fargo Mortgage Backed Securities Trust
		207	Series 2003-11, Class 1A, PO, 10/25/18		180
		405	Series 2003-13, Class A7, 4.50%, 11/25/18		384
		178	Series 2003-17, Class 2A4, 5.50%, 01/25/34		178
		352	Series 2004-7, Class 2A2, 5.00%, 07/25/19		349
		1,221	Series 2004-BB, Class A4, FRN, 4.58%, 01/25/35		1,207
		353	Series 2004-EE, Class 3A1, FRN, 3.99%, 01/25/35		345
		506	Series 2004-S, Class A5, FRN, 3.54%, 09/25/34		488
					31,551
			Total Collateralized Mortgage Obligations
			(Cost $174,143)		171,402
Corporate Bonds — 21.9%

	Principal Amount		Security Description	Value
Aerospace & Defense — 0.1%
		268	Systems 2001 AT LLC (Cayman Islands)
			7.16%, 12/15/11 (e)		282
Airlines — 0.7%
		106	American Airlines, Inc.
			Series 1999-1, 7.02%, 04/15/11		107
			Continental Airlines, Inc.
		202	Series 1999-2, 7.06%, 03/15/11		204
		50	Series 1999-2, 7.26%, 09/15/21		51
		217	Delta Air Lines, Inc.
			Series 2001-1, 6.62%, 03/18/11 (d)		203
			Southwest Airlines Co.
		96	Series 2001-1, 5.10%, 11/01/07		97
		329	Series 2001-1, 5.50%, 11/01/06		333
			United AirLines, Inc.
		121	Series 2000-1, 7.73%, 07/01/10 (d)		115
		336	Series 2000-2, 7.19%, 10/01/12 (d)		329
		474	Series 2001-1, 6.07%, 09/01/14 (d)		458
		522	Series 2001-1, 7.78%, 07/01/15 (d)		498
					2,395
Air Freight & Logistics — 0.3%
		858	FedEx Corp.
			Series 981A, 6.72%, 01/15/22		941
Automobile Manufacturers — 0.3%
			DaimlerChrysler NA Holding Corp.
		405	4.75%, 01/15/08		403
		709	7.20%, 09/01/09		756
					1,159
Capital Markets — 3.9%
		1,215	Bear Stearns Cos. (The)
			3.25%, 03/25/09		1,158
			Credit Suisse First Boston USA, Inc.
		111	4.70%, 06/01/09		111

	Principal Amount		Security Description	Value
		405	5.50%, 08/15/13		417
		1,640	6.13%, 11/15/11		1,742
			Goldman Sachs Group, Inc.
		269	3.88%, 01/15/09		262
		202	4.75%, 07/15/13		197
		425	5.25%, 10/15/13		429
		486	6.60%, 01/15/12		527
		1,000	6.88%, 01/15/11		1,088
		101	7.35%, 10/01/09		110
			Lehman Brothers Holdings, Inc.
		202	4.00%, 01/22/08		199
		455	6.63%, 01/18/12		495
		200	Series G, 4.80%, 03/13/14		197
			Merrill Lynch & Co., Inc.
		202	5.45%, 07/15/14		208
		202	Series B, 3.13%, 07/15/08		194
		405	Series B, 3.70%, 04/21/08		396
		200	Series B, 4.50%, 11/04/10		197
		304	Series C, 4.13%, 01/15/09		299
		200	Series C, 5.00%, 01/15/15		199
			Morgan Stanley
		243	4.25%, 05/15/10		237
		147	4.75%, 04/01/14		142
		1,000	6.60%, 04/01/12		1,083
		1,240	6.75%, 04/15/11		1,349
			National Rural Utilities Cooperative Finance Corp.
		1,761	6.00%, 05/15/06		1,778
		209	7.30%, 09/15/06		215
		607	State Street Corp.
			7.65%, 06/15/10		686
					13,915
Chemicals — 0.1%
		304	Dow Chemical Co. (The)

	Principal Amount		Security Description	Value
			6.13%, 02/01/11		324
Commercial Banks — 2.9%
			Bank of America Corp.
		607	3.88%, 01/15/08		598
		405	7.40%, 01/15/11		452
		1,470	7.80%, 02/15/10		1,641
		152	Branch Banking & Trust Co.
			4.88%, 01/15/13		152
		1,012	Firstar Bank NA
			7.13%, 12/01/09		1,106
		405	Keycorp
			Series G, 4.70%, 05/21/09		405
		405	Marshall & Ilsley Corp.
			Series E, 5.75%, 09/01/06		409
		233	Mellon Funding Corp.
			3.25%, 04/01/09		223
			Popular North America, Inc.
		202	4.25%, 04/01/08		199
		202	Series E, 6.13%, 10/15/06		204
		380	Royal Bank of Canada (Canada)
			3.88%, 05/04/09		372
		229	Suntrust Bank
			6.38%, 04/01/11		247
		1,012	US Bank NA
			6.50%, 02/01/08		1,053
		202	Wachovia Bank NA
			7.80%, 08/18/10		229
			Wachovia Corp.
		709	3.50%, 08/15/08		686
		688	3.63%, 02/17/09		666
		706	Wells Fargo & Co.
			3.13%, 04/01/09		672
			Wells Fargo Bank NA

	Principal Amount		Security Description	Value
		81	6.45%, 02/01/11		87
		628	7.55%, 06/21/10		702
					10,103
Commercial Services & Supplies — 0.1%
		283	PHH Corp.
			7.13%, 03/01/13		305
Computers & Peripherals — 0.1%
		283	International Business Machines Corp.
			5.39%, 01/22/09		289
Consumer Finance — 1.8%
		405	American Express Credit Corp.
			3.00%, 05/16/08		390
			American General Finance Corp.
		132	Series H, 4.50%, 11/15/07		132
		91	Series H, 5.38%, 10/01/12		92
		71	Capital One Bank
			5.75%, 09/15/10		73
			General Motors Acceptance Corp.
		565	6.13%, 09/15/06		567
		1,000	7.25%, 03/02/11		930
			HSBC Finance Corp.
		202	4.75%, 05/15/09		202
		1,417	5.88%, 02/01/09		1,462
		202	6.38%, 11/27/12		217
		202	6.50%, 11/15/08		212
		452	6.75%, 05/15/11		492
		304	7.20%, 07/15/06		310
		698	8.00%, 07/15/10		788
			International Lease Finance Corp.
		177	4.50%, 05/01/08		175
		152	5.88%, 05/01/13		158
		263	SLM Corp.
			Series A, 5.38%, 01/15/13		270
					6,470

	Principal Amount		Security Description	Value
Diversified Financial Services — 4.4%
			Associates Corp. N.A.
		202	6.38%, 11/15/05		203
		1,108	8.15%, 08/01/09		1,240
			CIT Group, Inc.
		486	6.50%, 02/07/06		490
		200	7.75%, 04/02/12		229
			Citigroup, Inc.
		121	3.50%, 02/01/08		118
		202	4.25%, 07/29/09		199
		506	5.63%, 08/27/12		526
		81	6.20%, 03/15/09		85
			Ford Motor Credit Co.
		405	5.80%, 01/12/09		378
		1,100	6.88%, 02/01/06		1,105
		1,600	7.38%, 10/28/09		1,545
		1,000	7.88%, 06/15/10		973
			General Electric Capital Corp.
		455	3.50%, 05/01/08		444
		54	7.88%, 12/01/06		56
		425	Series A, 4.25%, 01/15/08		422
		354	Series A, 4.63%, 09/15/09		354
		709	Series A, 5.38%, 03/15/07		718
		1,042	Series A, 5.88%, 02/15/12		1,095
		1,215	Series A, 6.00%, 06/15/12		1,293
		516	Series A, 6.13%, 02/22/11		547
			John Hancock Global Funding II
		243	3.50%, 01/30/09 (e)		234
		243	7.90%, 07/02/10 (e)		276
			MassMutual Global Funding II
		330	3.25%, 06/15/07 (e)		322
		405	3.50%, 03/15/10 (e)		383

	Principal Amount		Security Description	Value
			New York Life Global Funding
		223	3.88%, 01/15/09 (e)		218
		506	5.38%, 09/15/13 (e)		521
			Principal Life Global Funding I
		202	2.80%, 06/26/08 (e)		193
		61	6.13%, 03/01/06 (e)		61
		765	6.25%, 02/15/12 (e)		821
		202	Toyota Motor Credit Corp.
			2.88%, 08/01/08		193
		202	Washington Mutual Financial Corp.
			6.88%, 05/15/11		222
					15,464
Diversified Telecommunication Services — 1.9%
		142	Ameritech Capital Funding
			6.15%, 01/15/08		146
		218	Bellsouth Telecommunications
			6.30%, 12/15/15		228
		830	British Telecommunications plc (United Kingdom)
			8.38%, 12/15/10		961
		587	France Telecom S.A. (France)
			7.75%, 03/01/11		666
		176	New York Telephone Co.
			6.00%, 04/15/08		180
		567	Nynex Capital Funding Co.
			Series B, SUB, 8.23%, 10/15/09		627
		57	Nynex Corp.
			9.55%, 05/01/10		63
			Sprint Capital Corp.
		1,083	6.00%, 01/15/07		1,101
		253	7.13%, 01/30/06		255
		81	7.63%, 01/30/11		91
		182	8.38%, 03/15/12		214
		283	Telus Corp. (Canada)

	Principal Amount		Security Description	Value
			8.00%, 06/01/11		324
		202	Verizon Florida, Inc.
			Series F, 6.13%, 01/15/13		210
		1,063	Verizon Global Funding Corp.
			7.25%, 12/01/10		1,175
		405	Verizon Virginia, Inc.
			Series A, 4.63%, 03/15/13		388
					6,629
Electric Utilities — 0.9%
		81	Alabama Power Co.
			4.70%, 12/01/10		80
		67	American Electric Power Co., Inc.
			Series A, 6.13%, 05/15/06		68
		233	Carolina Power & Light Co.
			5.13%, 09/15/13		235
		547	Constellation Energy Group, Inc.
			6.35%, 04/01/07		559
		324	Dominion Resources, Inc.
			Series B, 6.25%, 06/30/12		344
		202	DTE Energy Co.
			Series A, 6.65%, 04/15/09		213
			Duke Energy Corp.
		455	4.20%, 10/01/08		448
		405	5.63%, 11/30/12		418
		405	Exelon Generation Co., LLC
			6.95%, 06/15/11		442
		59	Kiowa Power Partners LLC
			4.81%, 12/30/13 (e)		57
		227	Ohio Valley Electric Corp.
			5.94%, 02/12/06 (e)		228
		15	Virginia Electric & Power Co.
			Series A, 5.38%, 02/01/07		15
					3,107

	Principal Amount		Security Description	Value
Food & Staples Retailing — 0.1%
		304	Kroger Co. (The)
			8.05%, 02/01/10		335
Gas Utilities — 0.1%
		820	Enron Corp.
			6.75%, 07/01/05 (d)		-(h	)
		162	KeySpan Gas East Corp.
			7.88%, 02/01/10		182
		263	Southern California Gas Co.
			4.80%, 10/01/12		262
					444
Hotels, Restaurants & Leisure — 0.0% (g)
		81	Harrah’s Operating Co., Inc.
			8.00%, 02/01/11		91
Industrial Conglomerates — 0.2%
		455	Honeywell International, Inc.
			5.13%, 11/01/06		458
			Tyco International Group S.A. (Luxembourg)
		152	6.38%, 10/15/11		162
		253	6.75%, 02/15/11		273
					893
Insurance — 1.6%
		385	American International Group, Inc.
			4.25%, 05/15/13		368
			ASIF Global Financing
		607	2.65%, 01/17/06 (e)		604
		455	3.90%, 10/22/08 (e)		444
		607	4.90%, 01/17/13 (e)		596
		405	Jackson National Life Global Funding
			6.13%, 05/30/12 (e)		434
		222	Metropolitan Life Global Funding I
			5.20%, 09/18/13 (e)		226
		810	Metropolitan Life Insurance Co.

	Principal Amount		Security Description	Value
			7.00%, 11/01/05 (e)		812
		304	MGIC Investment Corp.
			6.00%, 03/15/07		309
			Monumental Global Funding II
		445	4.38%, 07/30/09 (e)		438
		324	5.20%, 01/30/07 (e)		326
		121	Nationwide Financial Services
			6.25%, 11/15/11		130
		233	Pacific Life Global Funding
			3.75%, 01/15/09 (e)		227
			Protective Life Secured Trust
		217	4.00%, 10/07/09		212
		405	4.00%, 04/01/11		389
		76	XL Capital Ltd. (Cayman Islands)
			5.25%, 09/15/14		73
					5,588
IT Services — 0.1%
		405	First Data Corp.
			3.90%, 10/01/09		394
Media — 0.7%
		106	Comcast Cable Communications Holdings, Inc.
			8.38%, 03/15/13		126
		121	Comcast Corp.
			5.50%, 03/15/11		123
		182	COX Communications, Inc.
			7.75%, 11/01/10		201
		20	Liberty Media Corp.
			5.70%, 05/15/13		18
		749	Tele-Communications-TCI Group
			9.80%, 02/01/12		921
			Time Warner Cos., Inc.
		283	7.48%, 01/15/08		299
		430	8.18%, 08/15/07		456

	Principal Amount		Security Description	Value
		223	Time Warner Entertainment Co. LP
			10.15%, 05/01/12		280
					2,424
Multi-Utilities — 0.1%
		221	PSEG Power LLC
			7.75%, 04/15/11		247
Oil, Gas & Consumable Fuels — 0.2%
		476	ConocoPhillips Co.
			8.75%, 05/25/10		557
		110	Ras Laffan Liquefied Natural Gas Co., Ltd. (Qatar)
			7.63%, 09/15/06 (e)		111
					668
Paper & Forest Products — 0.2%
			International Paper Co.
		334	4.00%, 04/01/10		318
		131	4.25%, 01/15/09		128
		142	Union Camp Corp.
			6.50%, 11/15/07		147
			Weyerhaeuser Co.
		71	6.13%, 03/15/07		72
		40	6.75%, 03/15/12		43
					708
Real Estate — 0.2%
		557	EOP Operating LP
			6.75%, 02/15/12		603
		81	ERP Operating LP
			4.75%, 06/15/09		80
					683
Road & Rail — 0.1%
			Burlington Northern Santa Fe Corp.
		235	6.13%, 03/15/09		245
		202	7.13%, 12/15/10		223
					468

	Principal Amount		Security Description	Value
Supranational — 0.0% (g)
		40	Corp Andina de Fomento
			5.20%, 05/21/13		40
		20	Inter-American Development Bank
			8.40%, 09/01/09		23
					63
Thrifts & Mortgage Finance — 0.6%
			Countrywide Home Loans, Inc.
		233	3.25%, 05/21/08		224
		253	Series E, 7.20%, 10/30/06		259
		810	Series L, 4.00%, 03/22/11		770
			Washington Mutual Bank FA
		76	5.65%, 08/15/14		78
		304	6.88%, 06/15/11		331
		275	Washington Mutual, Inc.
			4.20%, 01/15/10		268
		304	World Savings Bank FSB
			4.50%, 06/15/09		302
					2,232
Wireless Telecommunication Services — 0.2%
			New Cingular Wireless Services, Inc.
		152	7.50%, 05/01/07		159
		364	7.88%, 03/01/11		414
					573
			Total Corporate Bonds
			(Cost $78,912)		77,194
Foreign Government Securities — 0.4%
		607	Province of Quebec (Canada)
			5.75%, 02/15/09		630
			United Mexican States (Mexico)
		375	4.63%, 10/08/08		373
		277	6.38%, 01/16/13		295
		175	6.63%, 03/03/15		190

	Principal Amount			Security Description	Value
				Total Foreign Government Securities		1,488
				(Cost $1,498)
U.S. Government Agency Mortgages — 6.5%
				Federal Home Loan Mortgage Corp. Gold Pools
		1,199		4.00%, 05/01/14-08/01/18		1,162
		252		4.50%, 10/01/18		248
		87		5.50%, 06/01/17		88
		537		6.00%, 04/01/18-01/01/34		548
		1,191		6.50%, 12/01/13-11/01/22		1,238
		1,384		7.00%, 08/01/10-04/01/26		1,444
		216		7.50%, 08/01/08-08/01/25		225
		43		8.00%, 07/01/20-11/01/24		46
		154		8.50%, 01/01/10-07/01/28		167
				Federal Home Loan Mortgage Corp. Conventional Pools
		-(h	)	8.00%, 04/01/07		-(h	)
		27		12.00%, 08/01/15-07/01/19		29
		196		ARM, 4.78%, 01/01/27		201
		19		ARM, 5.50%, 07/01/26		20
				Federal National Mortgage Association Conventional Pools
		7,929		4.00%, 09/01/13-12/01/18		7,648
		254		4.50%, 03/01/19		249
		300		5.00%, 12/01/16-06/01/18		300
		481		5.50%, 12/01/33		481
		1,139		6.00%, 12/01/32-09/01/33		1,159
		1,964		6.50%, 12/01/10-08/01/31		2026
		202		7.00%, 01/01/07-08/01/32		211
		212		7.50%, 10/01/12-05/01/25		224
		407		8.00%, 11/01/12-11/01/28		435
		175		8.50%, 07/01/24-02/01/30		191
		110		9.00%, 09/01/19-12/01/30		121
		35		9.50%, 12/01/18		39
		25		10.00%, 02/01/24		28
		18		12.50%, 01/01/16		20

	Principal Amount		Security Description	Value
		66	ARM, 4.14%, 09/01/27		66
		72	ARM, 4.36%, 03/01/29		73
		29	ARM, 4.55%, 03/01/19		29
		687	ARM, 4.89%, 01/01/35		686
		8	ARM, 5.16%, 08/01/19		8
		13	ARM, 5.81%, 06/01/26		13
			Government National Mortgage Association Various Pools
		808	6.00%, 10/15/17-11/15/28		829
		642	6.50%, 07/15/09-02/15/33		669
		655	7.00%, 02/15/24-06/15/33		693
		300	7.50%, 02/15/06-06/15/32		319
		424	8.00%, 10/15/06-10/20/28		456
		119	8.50%, 04/15/06-05/20/25		130
		51	9.00%, 10/15/05-11/15/24		56
		104	9.50%, 10/15/09-12/15/25		116
		40	12.00%, 11/15/19		45
			Total U.S. Government Agency Mortgages
			(Cost $22,929)		22,736
U.S. Government Agency Securities — 0.9%
		202	Federal Home Loan Bank System
			6.21%, 06/02/09		214
			Federal Home Loan Mortgage Corp.
		405	4.13%, 07/12/10		398
		173	7.20%, 07/18/06		177
			Federal National Mortgage Association
		810	5.50%, 03/15/11		846
		243	6.13%, 03/15/12		264
		678	6.25%, 02/01/11		725
		500	6.63%, 09/15/09		537
		121	6.63%, 11/15/10		132
			Total U.S. Government Agency Securities
			(Cost $3,348)		3,293
U.S. Treasury Obligations — 15.7%

Principal Amount		Security Description	Value
		U.S. Treasury Bonds
	405	9.88%, 11/15/15 (m)		585
	8,514	10.38%, 11/15/12 (m)		9,572
	6,073	11.75%, 11/15/14		7,782
	3,000	12.00%, 08/15/13 (m)		3,629
	1,458	12.50%, 08/15/14		1,885
		U.S. Treasury Inflation Indexed Bonds
	225	3.38%, 01/15/07		232
	759	4.25%, 01/15/10		849
		U.S. Treasury Notes
	500	3.63%, 07/15/09		490
	400	3.63%, 01/15/10		391
	250	5.63%, 05/15/08		259
	631	5.75%, 08/15/10		673
	435	6.13%, 08/15/07		450
	334	6.50%, 10/15/06		342
	500	6.50%, 02/15/10		545
		U.S. Treasury STRIPS
	607	PO, 02/15/09		528
	2,551	PO, 05/15/09		2,196
	1,518	PO, 11/15/09		1,274
	506	PO, 02/15/10		422
	61	PO, 02/15/12		47
	3,745	PO, 05/15/12		2,833
	101	PO, 08/15/12		75
	1,340	PO, 11/15/12		991
	2,624	PO, 02/15/13 (m)		1,912
	1,500	PO, 05/15/13		1,080
	454	PO, 08/15/13 (m)		323
	202	PO, 11/15/13		142
	3,777	PO, 02/15/14 (m)		2,620
	1,816	PO, 05/15/14 (m)		1,245
	4,602	PO, 08/15/14 (m)		3,118

Principal Amount		Security Description	Value
	2,768	PO, 11/15/14 (m)		1,853
	127	PO, 08/15/15		82
	3,917	PO, 11/15/15 (m)		2,497
	5,766	PO, 02/15/16 (m)		3,628
	607	PO, 05/15/16		377
	405	PO, 08/15/16		249
		Total U.S. Treasury Obligations
		(Cost $56,688)		55,176
		Total Long Term Investments
		(Cost $349,134)		342,801

	Shares
Short-Term Investment — 0.7%
Investment Company — 0.7%
		2,582	JPMorgan Liquid Assets Money Market Fund (b)
			3.65%, 12/31/49	2,582
			(Cost $2,582)
Total Investments — 98.0%
(Cost $351,716)				345,383
Other Assets in Excess of Liabilities — 2.0%				7,002
Net Assets — 100.0%				$352,385

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 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.
(q)	Investment in Affiliate.
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	$	506
Aggregate gross unrealized depreciation		(6,839	)
Net unrealized appreciation/depreciation	$	(6,333	)
Federal income tax cost of investments	$	351,716

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

	Principal Amount		Security Description	Value
Long-Term Investments — 90.5%
Asset Backed Securities — 1.9%
	$	1,496	American Express Credit Account Master Trust
			Series 2004-3, Class A, 4.35%, 12/15/11	$	1,485
			AmeriCredit Automobile Receivables Trust
		696	Series 2001-C, Class A4, 5.01%, 07/14/08		698
		1,557	Series 2001-D, Class A4, 4.41%, 11/12/08		1,558
		887	Series 2002-A, Class A4, 4.61%, 01/12/09		888
		830	Series 2002-D, Class A4, 3.40%, 04/13/09		824
		440	Series 2003-BX, Class A4A, 2.72%, 01/06/10		434
			Capital One Master Trust
		1,056	Series 2001-5, Class A, 5.30%, 06/15/09		1,063
			Citibank Credit Card Issuance Trust
		3,843	Series 2002-C2, Class C2, 6.95%, 02/18/14		4,210
		2,150	Series 2005-B1, Class B1, 4.40%, 09/15/10		2,131
			CNH Equipment Trust
		1,832	Series 2003-B, Class A4B, 3.38%, 02/15/11		1,796
			Conseco Finance
		1,219	Series 2001-B, Class 1M1, 7.27%, 04/15/09		1,237
			Countrywide Asset-Backed Certificates
		13,858	Series 2004-AB2, Class A2, FRN, 4.10%, 10/25/33		13,882
			Ford Credit Auto Owner Trust
		657	Series 2004-A, Class A3, 2.93%, 03/15/08		649
			GE Capital Mortgage Services, Inc.
		1,145	Series 1999-HE, Class M, 6.71%, 04/25/29		1,153
			Green Tree Financial Corp.
		496	Series 1995-4, Class A6, 7.30%, 06/15/25		507
			Household Automotive Trust
		1,014	Series 2001-3, Class A4, 4.37%, 12/17/08		1,014
		1,225	Series 2005-1 Class A4, 4.35%, 06/18/12		1,211
			MBNA Credit Card Master Note Trust
		2,422	Series 2002-C1, Class C1, 6.80%, 07/15/14		2,639
		1,012	Series 2003-C1, Class C1, FRN, 5.47%, 06/15/12		1,070
			MBNA Master Credit Card Trust USA
		1,760	Series 1999-J, Class C, 7.85%, 02/15/12 (e)		1,952
		1,540	Series 2000-D, Class C, 8.40%, 09/15/09 (e)		1,623
			Onyx Acceptance Grantor Trust
		774	Series 2002-C, Class A4, 4.07%, 04/15/09		773
		589	Series 2002-D, Class A4, 3.10%, 07/15/09		586
		389	Series 2004-B, Class A3, 3.09%, 09/15/08		386
			Residential Asset Mortgage Products, Inc.
		549	Series 2001-RS3, Class AI4, SUB, 6.29%, 10/25/31		548
			Textron Financial Corp. Receivables Trust
		2,023	Series 2000-C, Class A3, 6.61%, 02/15/15 (e)		2,038
			WFS Financial Owner Trust
		993	Series 2002-1, Class A4A, 4.87%, 09/20/09		995
		1,489	Series 2002-2, Class A4, SUB, 4.50%, 02/20/10		1,490
		1,123	Series 2002-3, Class A4, 3.50%, 02/20/10		1,117
		1,430	Series 2002-4, Class A4A, 3.11%, 08/20/10		1,412
		44	Series 2003-1, Class A3, 2.03%, 08/20/07		44

	Principal Amount			Security Description	Value
		968		Series 2003-2, Class A4, 2.41%, 12/20/10		951
		1,296		Series 2003-4, Class A4, 3.15%, 05/20/11		1,272
		603		Series 2004-1, Class A3, 2.19%, 06/20/08		599
		440		Series 2004-2, Class A3, 2.85%, 09/22/08		436
				Total Asset Backed Securities (Cost $55,092)		54,671
Collateralized Mortgage Obligations — 45.2%
Agency CMO — 34.9%
		17,500		Federal Home Loan Bank System
				Series 9M-2012, Class A, 4.72%, 09/20/12		17,358
				Federal Home Loan Mortgage Corp.
		211		Series 11, Class D, 9.50%, 07/15/19		211
		56		Series 22, Class C, 9.50%, 04/15/20		56
		83		Series 23, Class F, 9.60%, 04/15/20		83
		1		Series 41, Class I, HB, 84.00%, 05/15/20		1
		13		Series 47, Class F, 10.00%, 06/15/20		13
		33		Series 99, Class Z, 9.50%, 01/15/21		33
		-(h	)	Series 204, Class E, IF, IO, HB, 1130.40%, 05/15/23		-(h	)
		-(h	)	Series 1045, Class G, IO, HB, 1065.60%, 02/15/21		-(h	)
		40		Series 1065, Class J, 9.00%, 04/15/21		40
		-(h	)	Series 1072, Class A, IO, HB, 1008.50%, 05/15/06		-(h	)
		13		Series 1079, Class S, IF, 21.04%, 05/15/21		13
		83		Series 1084, Class F, FRN, 4.76%, 05/15/21		83
		58		Series 1084, Class S, IF, 28.07%, 05/15/21		60
		-(h	)	Series 1098, Class M, IO, HB, 1008.00%, 06/15/06		-(h	)
		66		Series 1116, Class I, 5.50%, 08/15/21		66
		50		Series 1144, Class KB, 8.50%, 09/15/21		50
		-(h	)	Series 1172, Class L, IO, HB, VAR, 1180.80%, 11/15/21		1
		3		Series 1196, Class B, IF, IO, HB, 727.20%, 01/15/22		6
		867		Series 1212, Class IZ, 8.00%, 02/15/22		867
		114		Series 1250, Class J, 7.00%, 05/15/22		113
		-(h	)	Series 1298, Class L, IO, HB, 981.87%, 06/15/07		-(h	)
		137		Series 1343, Class LA, 8.00%, 08/15/22		141
		173		Series 1343, Class LB, 7.50%, 08/15/22		176
		336		Series 1370, Class JA, FRN, 4.96%, 09/15/22		339
		297		Series 1455, Class WB, IF, 2.77%, 12/15/22		277
		49		Series 1465, Class SA, IF, IO, 5.19%, 02/15/08		2
		1,422		Series 1466, Class PZ, 7.50%, 02/15/23		1,475
		25		Series 1470, Class F, FRN, 3.76%, 02/15/23		24
		1,640		Series 1498, Class I, FRN, 4.96%, 04/15/23		1,663
		2,016		Series 1502, Class PX, 7.00%, 04/15/23		2,077
		267		Series 1505, Class Q, 7.00%, 05/15/23		276
		31		Series 1506, Class F, FRN, 4.41%, 05/15/08		31
		6		Series 1506, Class S, IF, 14.26%, 05/15/08		7
		106		Series 1506, Class SD, IF, IO 4.69%, 05/15/08		3
		2,199		Series 1512, Class J, 6.50%, 05/15/08		2,227
		420		Series 1513, Class N, 6.50%, 05/15/08		425
		655		Series 1518, Class G, IF, 5.39%, 05/15/23		649
		231		Series 1541, Class M, IF, 16.65%, 07/15/23		272
		629		Series 1541, Class O, FRN, 3.39%, 07/15/23		615
		152		Series 1544, Class J, IF, 8.96%, 07/15/08		156
		716		Series 1558, Class D, 6.50%, 07/15/23		729
		168		Series 1561, Class TA, PO, 08/15/08		162
		59		Series 1570, Class F, FRN, 4.26%, 08/15/23		59
		2,075		Series 1573, Class PZ, 7.00%, 09/15/23		2,163

Principal Amount		Security Description	Value
	123	Series 1575, Class FB, FRN, 5.31%, 08/15/08		124
	51	Series 1575, Class SB, IF, 8.06%, 08/15/08		53
	1,319	Series 1591, Class PV, 6.25%, 10/15/23		1,351
	196	Series 1595, Class D, 7.00%, 10/15/13		201
	574	Series 1596, Class D, 6.50%, 10/15/13		590
	31	Series 1602, Class SA, IF, 10.36%, 10/15/23		33
	208	Series 1604, Class SA, IF, 10.76%, 11/15/08		215
	342	Series 1606, Class SC, IF, 14.95%, 11/15/08		370
	77	Series 1607, Class SA, IF, 14.92%, 10/15/13		88
	3,300	Series 1608, Class L, 6.50%, 09/15/23		3,437
	1,466	Series 1609, Class L, IF, 9.07%, 11/15/23		1,574
	901	Series 1611, Class JA, FRN, 4.88%, 08/15/23		906
	858	Series 1611, Class JB, IF, 9.06%, 08/15/23		855
	371	Series 1612, Class SD, IF, 11.00%, 11/15/08		382
	189	Series 1625, Class SD, IF, 8.50%, 12/15/08		199
	1,000	Series 1638, Class H, 6.50%, 12/15/23		1,057
	2,200	Series 1642, Class PJ, 6.00%, 11/15/23		2,241
	115	Series 1659, Class SB, IF, 8.50%, 01/15/09		119
	23	Series 1671, Class QC, IF, 10.00%, 02/15/24		24
	101	Series 1685, Class Z, 6.00%, 11/15/23		102
	22	Series 1686, Class SH, FRN, 10.66%, 02/15/24		25
	230	Series 1689, Class SD, IF, 9.87%, 10/15/23		237
	440	Series 1695, Class EB, 7.00%, 03/15/24		463
	397	Series 1698, Class SC, IF, 10.65%, 03/15/09		425
	161	Series 1699, Class FC, FRN, 4.41%, 03/15/24		163
	789	Series 1700, Class GA, PO, 02/15/24		726
	1,101	Series 1706, Class K, 7.00%, 03/15/24		1,156
	78	Series 1709, Class FA, FRN, 3.39%, 03/15/24		78
	241	Series 1745, Class D, 7.50%, 08/15/24		243
	2,055	Series 1798, Class F, 5.00%, 05/15/23		2,042
	302	Series 1807, Class A, 6.00%, 11/15/08		306
	39	Series 1807, Class G, 9.00%, 10/15/20		41
	565	Series 1829, Class ZB, 6.50%, 03/15/26		582
	80	Series 1844, Class E, 6.50%, 10/15/13		81
	590	Series 1863, Class Z, 6.50%, 07/15/26		606
	64	Series 1865, Class D, PO, 02/15/24		51
	364	Series 1890, Class H, 7.50%, 09/15/26		384
	1,024	Series 1899, Class ZE, 8.00%, 09/15/26		1,059
	296	Series 1900, Class TA, PO, 08/15/08		285
	56	Series 1935, Class FL, FRN, 4.51%, 02/15/27		57
	838	Series 1963, Class Z, 7.50%, 01/15/27		864
	217	Series 1967, Class PC, PO, 10/15/08		209
	142	Series 1970, Class PG, 7.25%, 07/15/27		143
	1,261	Series 1981, Class Z, 6.00%, 05/15/27		1,283
	560	Series 1987, Class PE, 7.50%, 09/15/27		577
	95	Series 2017, Class SE, IF, 14.19%, 12/15/08		102
	1,148	Series 2019, Class Z, 6.50%, 12/15/27		1,183
	978	Series 2025, Class PE, 6.30%, 01/15/13		1,000
	423	Series 2033, Class SN, IF, IO, 19.05%, 03/15/24		109
	1,176	Series 2038, Class PN, IO, 7.00%, 03/15/28		199
	1,210	Series 2040, Class PE, 7.50%, 03/15/28		1,272
	468	Series 2043, Class CJ, 6.50%, 04/15/28		485
	1,685	Series 2054, Class PV, 7.50%, 05/15/28		1,756
	1,317	Series 2055, Class OE, 6.50%, 05/15/13		1,356
	3,796	Series 2075, Class PH, 6.50%, 08/15/28		3,904

Principal Amount		Security Description	Value
	2,090	Series 2075, Class PM, 6.25%, 08/15/28		2,156
	2,054	Series 2086, Class GB, 6.00%, 09/15/28		2,095
	1,469	Series 2089, Class PJ, IO, 7.00%, 10/15/28		258
	4,490	Series 2095, Class PE, 6.00%, 11/15/28		4,616
	782	Series 2097, Class PV, 6.00%, 09/15/09		794
	2,841	Series 2102, Class TC, 6.00%, 12/15/13		2,912
	1,826	Series 2102, Class TU, 6.00%, 12/15/13		1,872
	7,448	Series 2115, Class PE, 6.00%, 01/15/14		7,630
	1,957	Series 2125, Class JZ, 6.00%, 02/15/29		1,998
	750	Series 2130, Class QR, 6.00%, 02/15/28		754
	397	Series 2132, Class SB, IF, 14.55%, 03/15/29		446
	316	Series 2134, Class PI, IO, 6.50%, 03/15/19		53
	203	Series 2135, Class UK, IO, 6.50%, 03/15/14		28
	208	Series 2141, IO, 7.00%, 04/15/29		39
	453	Series 2143, Class CD, 6.00%, 02/15/28		458
	431	Series 2163, Class PC, IO, 7.50%, 06/15/29		82
	1,760	Series 2169, Class TB, 7.00%, 06/15/29		1,864
	1,100	Series 2172, Class QC, 7.00%, 07/15/29		1,164
	1,377	Series 2176, Class OJ, 7.00%, 08/15/29		1,440
	642	Series 2189, Class SA, IF, 10.25%, 02/15/28		685
	1,350	Series 2201, Class C, 8.00%, 11/15/29		1,415
	983	Series 2209, Class TC, 8.00%, 01/15/30		1,047
	1,365	Series 2210, Class Z, 8.00%, 01/15/30		1,444
	320	Series 2224, Class CB, 8.00%, 03/15/30		334
	1,139	Series 2230, Class Z, 8.00%, 04/15/30		1,182
	950	Series 2234, Class PZ, 7.50%, 05/15/30		971
	857	Series 2247, Class Z, 7.50%, 08/15/30		872
	1,160	Series 2256, Class MC, 7.25%, 09/15/30		1,193
	2,246	Series 2259, Class ZM, 7.00%, 10/15/30		2,334
	148	Series 2261, Class ZY, 7.50%, 10/15/30		152
	282	Series 2262, Class Z, 7.50%, 10/15/30		288
	2,201	Series 2271, Class PC, 7.25%, 12/15/30		2,280
	1,816	Series 2283, Class K, 6.50%, 12/15/23		1,921
	689	Series 2295, Class VB, 6.50%, 07/15/16		691
	1,450	Series 2296, Class PD, 7.00%, 03/15/31		1,508
	101	Series 2299, Class G, 7.00%, 05/15/14		101
	319	Series 2304, Class VB, 6.50%, 07/15/16		321
	371	Series 2306, Class K, PO, 05/15/24		325
	877	Series 2306, Class SE, IF, IO, 6.36%, 05/15/24		131
	1,320	Series 2313, Class LA, 6.50%, 05/15/31		1,362
	544	Series 2317, Class VG, 6.50%, 04/15/31		547
	1,025	Series 2323, Class VO, 6.00%, 10/15/22		1,040
	2,332	Series 2325, Class PM, 7.00%, 06/15/31		2,477
	1,320	Series 2335, Class VH, 7.00%, 05/15/14		1,348
	93	Series 2342, Class PW, 6.50%, 08/15/17		93
	7,397	Series 2344, Class QG, 6.00%, 08/15/16		7,587
	12,169	Series 2344, Class ZD, 6.50%, 08/15/31		12,699
	1,326	Series 2344, Class ZJ, 6.50%, 08/15/31		1,367
	1,504	Series 2345, Class NE, 6.50%, 08/15/31		1,546
	1,761	Series 2345, Class PQ, 6.50%, 08/15/16		1,821
	629	Series 2345, Class PV, 6.50%, 01/15/24		634
	1,081	Series 2349, Class NW, 6.50%, 10/15/16		1,089
	803	Series 2351, Class PZ, 6.50%, 08/15/31		846
	766	Series 2353, Class PC, 6.50%, 09/15/15		768
	2,734	Series 2353, Class TD, 6.00%, 09/15/16		2,816

Principal Amount		Security Description	Value
	2,343	Series 2355, Class BP, 6.00%, 09/15/16		2,403
	296	Series 2357, Class VX, 6.50%, 12/15/17		297
	880	Series 2359, Class PM, 6.00%, 09/15/16		905
	1,292	Series 2359, Class ZB, 8.50%, 06/15/31		1,468
	4,456	Series 2360, Class PG, 6.00%, 09/15/16		4,562
	3,319	Series 2362, Class PD, 6.50%, 06/15/20		3,380
	975	Series 2362, Class PJ, 6.50%, 10/15/28		987
	1,005	Series 2363, Class PF, 6.00%, 09/15/16		1,030
	1,832	Series 2366, Class MD, 6.00%, 10/15/16		1,879
	1,848	Series 2367, Class ME, 6.50%, 10/15/31		1,934
	352	Series 2367, Class VD, 6.00%, 01/15/19		352
	1,673	Series 2371, Class VB, 6.00%, 08/15/15		1,695
	1,007	Series 2374, Class PV, 5.50%, 12/15/14		1,013
	199	Series 2382, Class TL, IO, 6.50%, 02/15/31		9
	968	Series 2391, Class QE, 5.50%, 05/15/15		974
	5,939	Series 2391, Class QR, 5.50%, 12/15/16		6,051
	1,035	Series 2391, Class VQ, 6.00%, 10/15/12		1,061
	2,200	Series 2392, Class PV, 6.00%, 12/15/20		2,239
	2,472	Series 2394, Class MC, 6.00%, 12/15/16		2,537
	2,200	Series 2399, Class OH, 6.50%, 01/15/32		2,289
	3,520	Series 2399, Class TH, 6.50%, 01/15/32		3,657
	4,399	Series 2410, Class NG, 6.50%, 02/15/32		4,569
	1,571	Series 2410, Class OE, 6.38%, 02/15/32		1,611
	3,190	Series 2410, Class QS, IF, 9.70%, 02/15/32		3,121
	1,366	Series 2410, Class QX, IF, IO, 4.88%, 02/15/32		105
	627	Series 2412, Class SE, IF, 8.43%, 02/15/09		637
	1,595	Series 2412, Class SP, IF, 8.56%, 02/15/32		1,458
	597	Series 2419, Class V, 6.50%, 12/15/12		599
	4,140	Series 2420, Class XK, 6.50%, 02/15/32		4,313
	2,814	Series 2423, Class MC, 7.00%, 03/15/32		2,918
	2,923	Series 2423, Class MT, 7.00%, 03/15/32		3,032
	2,091	Series 2425, Class OB, 6.00%, 03/15/17		2,147
	2,640	Series 2430, Class WF, 6.50%, 03/15/32		2,767
	3,080	Series 2434, Class TC, 7.00%, 04/15/32		3,221
	660	Series 2435, Class CJ, 6.50%, 04/15/32		697
	2,200	Series 2435, Class VH, 6.00%, 07/15/19		2,274
	3,589	Series 2436, Class MC, 7.00%, 04/15/32		3,738
	2,622	Series 2444, Class ES, IF, IO, 4.18%, 03/15/32		227
	1,404	Series 2450, Class GZ, 7.00%, 05/15/32		1,473
	2,098	Series 2450, Class SW, IF, IO, 4.23%, 03/15/32		197
	1,320	Series 2454, Class BG, 6.50%, 08/15/31		1,344
	4,428	Series 2455, Class GK, 6.50%, 05/15/32		4,628
	1,100	Series 2458, Class QE, 5.50%, 06/15/17		1,124
	2,672	Series 2460, Class VZ, 6.00%, 11/15/29		2,731
	2,111	Series 2461, Class VB, 6.50%, 04/15/18		2,145
	3,080	Series 2462, Class JG, 6.50%, 06/15/32		3,208
	2,244	Series 2466, Class PG, 6.50%, 04/15/32		2,341
	1,100	Series 2466, Class PH, 6.50%, 06/15/32		1,163
	2,200	Series 2474, Class NR, 6.50%, 07/15/32		2,301
	938	Series 2480, Class PV, 6.00%, 07/15/11		964
	1,945	Series 2484, Class LZ, 6.50%, 07/15/32		2,049
	77	Series 2496, Class LD, 8.50%, 11/15/15		77
	2,404	Series 2498, Class UD, 5.50%, 06/15/16		2,431
	2,420	Series 2500, Class GD, 5.50%, 12/15/15		2,438
	2,640	Series 2500, Class MC, 6.00%, 09/15/32		2,716

Principal Amount		Security Description	Value
	2,200	Series 2500, Class TD, 5.50%, 02/15/16		2,221
	500	Series 2503, Class BH, 5.50%, 09/15/17		511
	1,320	Series 2512, Class PG, 5.50%, 10/15/22		1,359
	940	Series 2513, Class VA, 6.00%, 08/15/13		943
	3,758	Series 2513, Class YO, PO, 02/15/32		3,310
	4,399	Series 2515, Class DE, 4.00%, 03/15/32		4,113
	2,079	Series 2518, Class PX, 5.50%, 09/15/13		2,118
	697	Series 2519, Class BT, 8.50%, 09/15/31		743
	881	Series 2521, Class PU, 5.50%, 05/15/10		895
	2,796	Series 2527, Class VU, 5.50%, 10/15/13		2,837
	1,980	Series 2535, Class BK, 5.50%, 12/15/22		2,022
	2,640	Series 2537, Class TE, 5.50%, 12/15/17		2,706
	1,320	Series 2541, Class GX, 5.50%, 02/15/17		1,339
	2,200	Series 2543, Class YX, 6.00%, 12/15/32		2,267
	2,860	Series 2544, Class HC, 6.00%, 12/15/32		2,865
	2,957	Series 2552, Class ME, 6.00%, 01/15/33		2,846
	2,640	Series 2565, Class MB, 6.00%, 05/15/30		2,708
	1,496	Series 2567, Class QD, 6.00%, 02/15/33		1,537
	883	Series 2571, Class SK, IF, 18.25%, 09/15/23		1,086
	4,399	Series 2575, Class ME, 6.00%, 02/15/33		4,528
	3,508	Series 2586, Class WI, IO, 6.50%, 03/15/33		750
	2,190	Series 2594, Class VA, 6.00%, 03/15/14		2,241
	4,739	Series 2594, Class VP, 6.00%, 02/15/14		4,842
	4,135	Series 2594, Class VQ, 6.00%, 08/15/20		4,247
	1,612	Series 2596, Class QG, 6.00%, 03/15/33		1,614
	9,405	Series 2597, Class DS, IF, IO, 3.78%, 02/15/33		625
	12,793	Series 2599, Class DS, IF, IO, 3.23%, 02/15/33		749
	14,935	Series 2610, Class DS, IF, IO, 3.33%, 03/15/33		923
	14,991	Series 2611, Class SH, IF, IO, 3.88%, 10/15/21		1,228
	1,320	Series 2611, Class UH, 4.50%, 05/15/18		1,272
	1,760	Series 2617, Class GR, 4.50%, 05/15/18		1,699
	540	Series 2619, Class HR, 3.50%, 11/15/31		515
	2,283	Series 2619, Class IM, IO, 5.00%, 10/15/21		341
	824	Series 2624, Class IU, IO, 5.00%, 06/15/33		199
	13,973	Series 2626, Class NS, IF, IO, 2.78%, 06/15/23		900
	1,000	Series 2628, Class WA, 4.00%, 07/15/28		950
	16,000	Series 2630, Class KN, 2.50%, 04/15/13		15,458
	2,640	Series 2631, Class LC, 4.50%, 06/15/18		2,552
	802	Series 2633, Class EO, PO, 08/15/33		542
	1,363	Series 2636, Class Z, 4.50%, 06/15/18		1,299
	4,285	Series 2637, Class SA, IF, IO, 2.33%, 06/15/18		188
	197	Series 2638, Class DS, IF, 4.83%, 07/15/23		172
	681	Series 2638, Class IA, IO, 5.00%, 02/15/15		11
	5,810	Series 2638, Class SA, IF, IO, 3.33%, 11/15/16		383
	968	Series 2640, Class UG, IO, 5.00%, 01/15/32		278
	1,588	Series 2640, Class UR, IO, 4.50%, 08/15/17		193
	1,358	Series 2643, Class HI, IO, 4.50%, 12/15/16		161
	4,570	Series 2643, Class KG, 4.00%, 05/15/18		4,553
	2,425	Series 2651, Class VZ, 4.50%, 07/15/18		2,310
	2,522	Series 2656, Class SH, IF, 10.30%, 02/15/25		2,711
	3,792	Series 2668, Class SB, IF, 3.85%, 10/15/15		3,675
	2,200	Series 2672, Class ME, 5.00%, 11/15/22		2,192
	759	Series 2672, Class SJ, IF, 3.81%, 09/15/16		696
	6,599	Series 2675, Class CK, 4.00%, 09/15/18		6,155
	3,094	Series 2682, Class YS, IF, 3.46%, 10/15/33		2,232

Principal Amount		Security Description	Value
	555	Series 2683, Class VA, 5.50%, 02/15/21		564
	3,520	Series 2684, Class TO, PO, 10/15/33		2,042
	1,760	Series 2686, Class GB, 5.00%, 05/15/20		1,762
	5,840	Series 2686, Class NS, IF, IO, 3.83%, 10/15/21		467
	2,285	Series 2691, Class WS, IF, 3.35%, 10/15/33		1,603
	2,000	Series 2695, Class DE, 4.00%, 01/15/17		1,912
	749	Series 2696, Class CO, PO, 10/15/18		493
	1,407	Series 2702, Class PC, 5.00%, 01/15/23		1,401
	1,525	Series 2705, Class SC, IF, 3.35%, 11/15/33		1,088
	2,880	Series 2705, Class SD, IF, 6.11%, 11/15/33		2,370
	2,000	Series 2715, Class OG, 5.00%, 01/15/23		1,985
	3,520	Series 2716, Class UN, 4.50%, 12/15/23		3,326
	1,760	Series 2720, Class PC, 5.00%, 12/15/23		1,749
	5,887	Series 2721, Class PI, IO, 5.00%, 05/15/16		475
	411	Series 2727, PO, 01/15/34		267
	9,019	Series 2727, Class BS, IF, 3.42%, 01/15/34		5,965
	531	Series 2733, Class GF, FRN, 09/15/33		524
	1,363	Series 2739, Class S, IF, 4.46%, 01/15/34		1,168
	1,254	Series 2744, Class FE, FRN, 4.09%, 02/15/34		975
	880	Series 2744, Class PC, 5.50%, 01/15/31		896
	1,991	Series 2744, Class PE, 5.50%, 02/15/34		2,042
	3,891	Series 2744, Class TU, 5.50%, 05/15/32		3,916
	4,423	Series 2749, Class PK, IO, 5.00%, 09/15/22		321
	1,044	Series 2753, Class S, IF, 4.46%, 02/15/34		789
	4,579	Series 2755, Class SA, IF, 6.66%, 05/15/30		4,533
	1,176	Series 2766, Class SX, IF, 5.42%, 03/15/34		970
	1,020	Series 2769, PO, 03/15/34		616
	572	Series 2771, Class FG, FRN, PO, 03/15/34		433
	2,726	Series 2776, Class SK, FRN, 3.42%, 04/15/34		2,038
	1,171	Series 2778, Class BS, IF, 6.33%, 04/15/34		1,033
	1,169	Series 2780, Class JG, 4.50%, 04/15/19		1,131
	367	Series 2827, Class SQ, IF, 7.50%, 01/15/19		378
	484	Series 2841, Class GO, PO, 08/15/34		367
	2,640	Series 2846, PO, 08/15/34		2,061
	779	Series 2849, PO, 08/15/34		595
	1,062	Series 2888, Class SL, IF, 4.86%, 11/15/34		1,010
	547	Series 2925, Class ZM, 5.00%, 01/15/35		542
	805	Series 2958, Class KB, 5.50%, 04/15/35		806
	17	Federal Home Loan Mortgage Corp. STRIPS
		Series 134, Class B, IO, 9.00%, 04/01/22		4
		Federal Home Loan Mortgage Corp. Structured Pass Through Securities
	2,301	Series T-41, Class 3A, 7.50%, 07/25/32		2,419
	1,474	Series T-51, Class 2A, VAR, 7.50%, 08/25/42		1,535
	7,014	Series T-54, Class 2A, 6.50%, 02/25/43		7,205
	2,437	Series T-54, Class 3A, 7.00%, 02/25/43		2,554
	960	Series T-58, Class A, PO, 09/25/43		824
		Federal Home Loan Mortgage Corp. - Government National Mortgage Association
	1,385	Series 8, Class ZA, 7.00%, 03/25/23		1,431
	531	Series 29, Class J, 7.00%, 09/25/23		534
	3,123	Series 55, Class GL, IF, IO, 0.60%, 04/25/24		20
		Federal National Mortgage Association
	33	Series 1988-7, Class Z, 9.25%, 04/25/18		35
	92	Series 1989-70, Class G, 8.00%, 10/25/19		97
	33	Series 1989-78, Class H, 9.40%, 11/25/19		36

Principal Amount			Security Description	Value
	66		Series 1989-83, Class H, 5.50%, 08/25/35		70
	64		Series 1989-89, Class H, 9.00%, 11/25/19		69
	57		Series 1990-1, Class D, 8.80%, 01/25/20		61
	12		Series 1990-60, Class K, 5.50%, 06/25/20		12
	19		Series 1990-63, Class H, 9.50%, 06/25/20		21
	24		Series 1990-93, Class G, 5.50%, 08/25/20		24
	-(h	)	Series 1990-94, Class H, HB, 504.00%, 08/25/20		7
	-(h	)	Series 1990-95, Class J, IO, HB, 1118.04%, 08/25/20		9
	88		Series 1990-102, Class J, 6.50%, 08/25/20		90
	150		Series 1990-120, Class H, 9.00%, 10/25/20		158
	14		Series 1990-134, Class SC, IF, 15.83%, 11/25/20		18
	1		Series 1990-140, Class K, IO, HB, 652.15%, 12/25/20		13
	-(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		2
	73		Series 1991-24, Class Z, 5.00%, 03/25/21		72
	-(h	)	Series 1991-33, Class J, IO, HB, 1008.00%, 04/25/06		-(h	)
	81		Series 1992-38, Class Z, 7.50%, 02/25/22		83
	13		Series 1992-101, Class J, 7.50%, 06/25/22		14
	353		Series 1992-136, Class PK, 6.00%, 08/25/22		360
	272		Series 1992-143, Class MA, 5.50%, 09/25/22		275
	90		Series 1992-152, Class N, IO, 8.00%, 08/25/07		5
	729		Series 1992-156, Class K, 7.50%, 09/25/07		743
	613		Series 1992-163, Class M, 7.75%, 09/25/22		646
	1,070		Series 1992-188, Class PZ, 7.50%, 10/25/22		1,122
	9		Series 1992-201, Class SB, IF, 14.57%, 10/25/22		9
	170		Series 1993-8, Class H, 7.00%, 01/25/08		173
	467		Series 1993-21, Class KA, 7.70%, 03/25/23		491
	650		Series 1993-25, Class J, 7.50%, 03/25/23		682
	184		Series 1993-27, Class SA, IF, 15.50%, 02/25/23		236
	497		Series 1993-55, Class K, 6.50%, 05/25/08		505
	214		Series 1993-59, Class FA, FRN, 4.59%, 05/25/08		216
	292		Series 1993-62, Class SA, IF, 14.10%, 04/25/23		344
	60		Series 1993-72, Class F, FRN, 3.66%, 05/25/08		60
	32		Series 1993-107, Class F, FRN, 3.61%, 06/25/08		32
	437		Series 1993-164, Class SC, IF, 12.55%, 09/25/08		459
	135		Series 1993-165, Class SD, IF, 9.00%, 09/25/23		140
	294		Series 1993-165, Class SK, IF, 12.50%, 09/25/23		361
	790		Series 1993-167, Class GA, 7.00%, 09/25/23		810
	123		Series 1993-175, Class SA, IF, 13.00%, 09/25/08		131
	209		Series 1993-179, Class SB, IF, 17.69%, 10/25/23		260
	139		Series 1993-179, Class SC, IF, 10.50%, 10/25/23		160
	126		Series 1993-186, Class SA, IF, 9.25%, 09/25/08		131
	369		Series 1993-190, Class S, IF, 10.76%, 10/25/08		379
	122		Series 1993-196, Class FA, FRN 3.66%, 10/25/08		121
	69		Series 1993-196, Class SB, IF, 9.25%, 10/25/08		72
	154		Series 1993-197, Class SB, IF, 10.58%, 10/25/08		157
	767		Series 1993-199, Class FA, FRN, 4.39%, 10/25/23		774
	382		Series 1993-205, Class H, PO, 09/25/23		330
	703		Series 1993-220, Class SG, IF, 8.31%, 11/25/13		716
	471		Series 1993-221, Class FH, FRN, 4.94%, 12/25/08		476
	229		Series 1993-221, Class SE, FRN, 9.50%, 12/25/08		241
	314		Series 1993-225, Class UB, 6.50%, 12/25/23		322
	64		Series 1993-225, Class VO, IF, 9.54%, 12/25/22		66
	124		Series 1993-230, Class FA, FRN, 4.44%, 12/25/23		126
	464		Series 1993-233, Class SB, IF, 12.58%, 12/25/08		493

Principal Amount		Security Description	Value
	611	Series 1993-247, Class FE, FRN, 4.84%, 12/25/23		623
	283	Series 1993-247, Class SU, IF, 10.19%, 12/25/23		309
	1,260	Series 1993-250, Class Z, 7.00%, 12/25/23		1,300
	4,563	Series 1993-257, Class C, PO, 06/25/23		4,128
	61	Series 1994-12, Class FC, FRN 3.81%, 01/25/09		60
	56	Series 1994-13, Class SK, IF, 14.34%, 02/25/09		61
	12	Series 1994-33, Class F, FRN, 4.24%, 03/25/09		12
	230	Series 1994-33, Class FA, FRN, 3.76%, 03/25/09		227
	1,374	Series 1994-34, Class DZ, 6.00%, 03/25/09		1,396
	2,200	Series 1994-37, Class L, 6.50%, 03/25/24		2,274
	6,491	Series 1994-40, Class Z, 6.50%, 03/25/24		6,775
	335	Series 1994-55, Class G, 6.75%, 12/25/23		337
	295	Series 1995-2, Class Z, 8.50%, 03/25/25		313
	293	Series 1995-19, Class Z, 6.50%, 11/25/23		314
	2,456	Series 1996-14, Class SE, IF, IO, 6.55%, 08/25/23		416
	183	Series 1996-20, Class L, PO, 09/25/08		175
	606	Series 1996-24, Class B, PO, 10/25/08		585
	268	Series 1996-24, Class E, PO, 03/25/09		255
	88	Series 1996-27, Class FC, FRN, 4.34%, 03/25/17		88
	668	Series 1996-32, Class PH, 7.00%, 01/25/26		682
	714	Series 1996-39, Class J, PO, 09/25/08		683
	20	Series 1996-46, Class PE, PO, 09/25/06		20
	215	Series 1996-59, Class J, 6.50%, 08/25/22		221
	3,099	Series 1997-20, IO, FRN, 1.84%, 03/25/27		172
	163	Series 1997-27, Class J, 7.50%, 04/18/27		171
	266	Series 1997-29, Class J, 7.50%, 04/20/27		277
	1,654	Series 1997-39, Class PD, 7.50%, 05/20/27		1,720
	1,252	Series 1997-42, Class EN, 7.25%, 07/18/27		1,288
	249	Series 1997-42, Class ZC, 6.50%, 07/18/27		256
	252	Series 1997-51, Class PM, IO, 7.00%, 05/18/12		20
	3,720	Series 1997-61, Class ZC, 7.00%, 02/25/23		3,875
	715	Series 1997-81, Class PI, IO, 7.00%, 12/18/27		134
	112	Series 1998-4, Class C, PO, 04/25/23		98
	405	Series 1998-27, Class B, PO, 12/25/08		386
	2,609	Series 1998-36, Class ZB, 6.00%, 07/18/28		2,656
	908	Series 1998-43, Class SA, IF, IO, 12.69%, 04/25/23		280
	1,152	Series 1998-66, Class SB, IF, IO, 4.32%, 12/25/28		109
	616	Series 1999-17, Class C, 6.35%, 04/25/29		634
	1,396	Series 1999-18, Class Z, 5.50%, 04/18/29		1,358
	1,719	Series 1999-38, Class SK, IF, IO, 4.22%, 08/25/23		115
	388	Series 1999-52, Class NS, IF, 12.66%, 10/25/23		460
	975	Series 1999-62, Class PB, 7.50%, 12/18/29		1,032
	3,287	Series 2000-2, Class ZE, 7.50%, 02/25/30		3,465
	1,275	Series 2000-20, Class SA, IF, IO, 5.27%, 07/25/30		114
	262	Series 2000-52, IO, 8.50%, 01/25/31		59
	1,571	Series 2001-4, Class PC, 7.00%, 03/25/21		1,642
	1,585	Series 2001-5, Class OW, 6.00%, 03/25/16		1,622
	1,382	Series 2001-7, Class PF, 7.00%, 03/25/31		1,436
	2,212	Series 2001-7, Class PR, 6.00%, 03/25/16		2,328
	2,594	Series 2001-10, Class PR, 6.00%, 04/25/16		2,721
	661	Series 2001-28, Class VB, 6.00%, 02/25/20		665
	1,804	Series 2001-30, Class PM, 7.00%, 07/25/31		1,870
	1,114	Series 2001-31, Class VD, 6.00%, 05/25/31		1,144
	4,230	Series 2001-33, Class ID, IO, 6.00%, 07/25/31		814
	2,860	Series 2001-36, Class DE, 7.00%, 08/25/31		2,979

Principal Amount		Security Description	Value
	4,512	Series 2001-44, Class MY, 7.00%, 09/25/31		4,803
	1,057	Series 2001-44, Class PD, 7.00%, 09/25/31		1,097
	1,373	Series 2001-44, Class PU, 7.00%, 09/25/31		1,424
	1,431	Series 2001-49, Class DQ, 6.00%, 11/25/15		1,450
	1,101	Series 2001-49, Class Z, 6.50%, 09/25/31		1,136
	880	Series 2001-50, Class VB, 6.50%, 12/25/16		895
	747	Series 2001-52, Class KB, 6.50%, 10/25/31		771
	961	Series 2001-52, Class XM, 6.50%, 11/25/10		983
	3,052	Series 2001-52, Class XN, 6.50%, 11/25/15		3,151
	2,200	Series 2001-61, Class VB, 7.00%, 12/25/16		2,285
	880	Series 2001-61, Class VQ, 6.50%, 08/25/15		899
	3,304	Series 2001-61, Class Z, 7.00%, 11/25/31		3,481
	1,031	Series 2001-71, Class JW, 6.00%, 08/25/21		1,040
	1,320	Series 2001-71, Class MB, 6.00%, 12/25/16		1,358
	3,610	Series 2001-71, Class QE, 6.00%, 12/25/16		3,701
	724	Series 2001-72, Class SX, IF, 8.55%, 12/25/31		690
	2,640	Series 2001-74, Class MB, 6.00%, 12/25/16		2,761
	1,760	Series 2001-78, Class VB, 6.00%, 12/25/15		1,768
	2,630	Series 2001-80, Class PE, 6.00%, 07/25/29		2,688
	994	Series 2002-1, Class HC, 6.50%, 02/25/22		1,029
	942	Series 2002-1, Class SA, IF, 12.74%, 02/25/32		1,014
	611	Series 2002-1, Class UD, IF, 11.05%, 12/25/23		647
	3,968	Series 2002-2, Class UC, 6.00%, 02/25/17		4,041
	8,139	Series 2002-3, Class OG, 6.00%, 02/25/17		8,417
	3,959	Series 2002-4, Class VC, 6.50%, 03/25/24		4,065
	1,760	Series 2002-7, Class O, 6.00%, 03/25/17		1,820
	511	Series 2002-7, Class QM, 6.00%, 02/25/20		514
	4,565	Series 2002-7, Class TG, 6.00%, 03/25/17		4,739
	1,058	Series 2002-8, Class SR, IF, 8.29%, 03/25/09		1,077
	488	Series 2002-9, Class VE, 6.50%, 12/25/12		497
	1,012	Series 2002-11, Class QG, 5.50%, 03/25/17		1,036
	7,246	Series 2002-13, Class SJ, IF, IO, 1.60%, 03/25/32		329
	133	Series 2002-13, Class ST, IF, 10.00%, 03/25/32		152
	7,859	Series 2002-18, Class PC, 5.50%, 04/25/17		8,038
	2,200	Series 2002-19, Class PE, 6.00%, 04/25/17		2,264
	370	Series 2002-21, Class LO, PO, 04/25/32		305
	3,080	Series 2002-21, Class PE, 6.50%, 04/25/32		3,184
	1,320	Series 2002-24, Class AJ, 6.00%, 04/25/17		1,355
	6,159	Series 2002-28, Class PK, 6.50%, 05/25/32		6,406
	377	Series 2002-36, Class HZ, 7.00%, 12/25/29		382
	2,368	Series 2002-37, Class Z, 6.50%, 06/25/32		2,449
	880	Series 2002-42, Class C, 6.00%, 07/25/17		924
	4,399	Series 2002-48, Class GH, 6.50%, 08/25/32		4,649
	792	Series 2002-55, Class QE, 5.50%, 09/25/17		805
	13,198	Series 2002-56, Class UC, 5.50%, 09/25/17		13,468
	191	Series 2002-59, Class VA, 6.50%, 04/25/32		190
	5,191	Series 2002-59, Class VB, 6.50%, 04/25/32		5,253
	2,508	Series 2002-61, Class PE, 5.50%, 05/25/16		2,534
	790	Series 2002-73, Class S, IF, 6.68%, 11/25/09		815
	3,520	Series 2002-74, Class LD, 5.00%, 01/25/16		3,520
	4,939	Series 2002-74, Class PD, 5.00%, 11/25/15		4,942
	3,993	Series 2002-74, Class VA, 6.00%, 11/25/31		4,032
	5,499	Series 2002-74, Class VB, 6.00%, 11/25/31		5,617
	2,722	Series 2002-77, Class S, IF, 7.46%, 12/25/32		2,496
	4,810	Series 2002-83, Class CS, 6.88%, 08/25/23		4,996

Principal Amount		Security Description	Value
	737	Series 2002-91, Class UH, IO, 5.50%, 06/25/22		99
	880	Series 2002-93, Class PD, 3.50%, 02/25/29		858
	3,629	Series 2002-94, Class BK, 5.50%, 01/25/18		3,733
	2,646	Series 2003-8, Class SB, IF, IO, 3.82%, 03/25/16		168
	3,105	Series 2003-16, Class PI, IO, 5.00%, 11/25/12		135
	2,948	Series 2003-22, Class UD, 4.00%, 04/25/33		2,521
	748	Series 2003-27, Class DW, 4.50%, 04/25/17		730
	2,053	Series 2003-34, Class AX, 6.00%, 05/25/33		2,106
	1,771	Series 2003-34, Class ED, 6.00%, 05/25/33		1,824
	1,517	Series 2003-39, IO, VAR, 6.00%, 05/25/33		294
	1,540	Series 2003-39, Class LW, 5.50%, 05/25/23		1,583
	2,200	Series 2003-41, Class PE, 5.50%, 05/25/23		2,271
	858	Series 2003-42, Class GB, 4.00%, 05/25/33		741
	880	Series 2003-47, Class PE, 5.75%, 06/25/33		891
	4,267	Series 2003-52, Class PA, 6.50%, 06/25/35		4,476
	1,726	Series 2003-52, Class SX, IF, 11.46%, 10/25/31		1,789
	915	Series 2003-64, Class SX, IF, 4.52%, 07/25/33		644
	1,232	Series 2003-65, Class CI, IO, 4.50%, 03/25/15		187
	657	Series 2003-67, Class VQ, 7.00%, 01/25/19		703
	726	Series 2003-68, Class QP, 3.00%, 07/25/22		683
	2,246	Series 2003-71, Class DS, IF, 2.54%, 08/25/33		1,850
	6,707	Series 2003-73, Class GA, 3.50%, 05/25/31		6,380
	644	Series 2003-74, Class SH, IF, 3.28%, 08/25/33		468
	17,681	Series 2003-80, Class SY, IF, IO, 3.82%, 06/25/23		1,533
	1,442	Series 2003-81, Class LC, 4.50%, 09/25/18		1,396
	5,719	Series 2003-83, Class PG, 5.00%, 06/25/23		5,681
	1,984	Series 2003-91, Class SD, IF, 6.12%, 09/25/33		1,882
	869	Series 2003-92, Class SH, IF, 4.59%, 09/25/18		818
	2,640	Series 2003-106, Class US, IF, 3.33%, 11/25/23		2,074
	464	Series 2003-106, Class WS, IF, 4.65%, 02/25/23		430
	1,500	Series 2003-113, Class PC, 4.00%, 03/25/15		1,463
	13,869	Series 2003-116, Class SB, IF, IO, 3.77%, 11/25/33		1,069
	1,760	Series 2003-122, Class TE, 5.00%, 12/25/22		1,747
	1,320	Series 2003-128, Class KE, 4.50%, 01/25/14		1,304
	1,000	Series 2003-128, Class NG, 4.00%, 01/25/19		938
	2,102	Series 2003-130, Class SX, IF, 5.78%, 01/25/34		1,913
	1,676	Series 2003-132, Class OA, PO, 08/25/33		1,328
	8,829	Series 2004-4, Class QI, IF, IO, 3.27%, 06/25/33		630
	835	Series 2004-4, Class QM, IF, 6.54%, 06/25/33		791
	4,944	Series 2004-10, Class SC, IF, 13.28%, 02/25/34		5,394
	2,464	Series 2004-14, Class SD, IF, 3.33%, 03/25/34		1,812
	2,040	Series 2004-21, Class CO, PO, 04/25/34		1,210
	870	Series 2004-22, Class A, 4.00%, 04/25/19		802
	1,320	Series 2004-25, Class PC, 5.50%, 01/25/34		1,321
	8,734	Series 2004-25, Class SA, IF, 8.99%, 04/25/34		8,951
	2,500	Series 2004-27, Class HB, 4.00%, 05/25/19		2,297
	880	Series 2004-36, Class PC, 5.50%, 02/25/34		887
	6,173	Series 2004-36, Class SA, IF, 8.99%, 05/25/34		6,372
	2,878	Series 2004-36, Class SN, IF, 6.54%, 07/25/33		2,811
	3,180	Series 2004-51, Class SY, IF, 6.58%, 07/25/34		2,828
	1,100	Series 2004-53, Class NC, 5.50%, 07/25/24		1,130
	244	Series 2004-61, Class SK, FRN, 8.50%, 11/25/32		278
	880	Series 2004-76, Class CL, 4.00%, 10/25/19		821
	440	Series 2004-81, Class AC, 4.00%, 11/25/19		409
	1,540	Series 2004-92, Class JO, PO, 12/25/34		1,273

Principal Amount			Security Description	Value
	5,500		Series 2005-7, Class PG, 5.50%, 08/25/35		5,571
	2,118		Series 2989, PO, 06/15/23		1,711
	3		Series G-17, Class S, FRN, HB, 687.60%, 06/25/21		35
	194		Series G-28, Class S, IF, 11.26%, 09/25/21		211
	156		Series G-35, Class M, 8.75%, 10/25/21		168
	64		Series G-51, Class SA, IF, 18.40%, 12/25/21		83
	334		Series G92-15, Class Z, 7.00%, 01/25/22		342
	-	(h)	Series G92-27, Class SQ, FRN, HB, 7182.00%, 05/25/22		7
	806		Series G92-35, Class E, 7.50%, 07/25/22		840
	1		Series G92-35, Class G, IO, HB, 1184.78%, 07/25/22		18
	104		Series G92-42, Class Z, 7.00%, 07/25/22		108
	4,315		Series G92-44, Class ZQ, 8.00%, 07/25/22		4,613
	121		Series G92-52, Class FD, FRN, 3.86%, 09/25/22		120
	1,053		Series G92-54, Class ZQ, 7.50%, 09/25/22		1,105
	135		Series G92-59, Class F, FRN, 3.46%, 10/25/22		133
	34		Series G92-61, Class FJ, FRN, 3.86%, 10/25/22		34
	222		Series G92-61, Class Z, 7.00%, 10/25/22		231
	201		Series G92-62, Class B, PO, 10/25/22		174
	881		Series G93-1, Class KA, 7.90%, 01/25/23		932
	264		Series G93-14, Class J, 6.50%, 03/25/23		270
	603		Series G93-17, Class SI, FRN, 6.00%, 04/25/23		622
	621		Series G93-27, Class FD, FRN, 4.72%, 08/25/23		630
	146		Series G93-37, Class H, PO, 09/25/23		128
	187		Series G93-5, Class Z, 6.50%, 02/25/23		190
	191		Series G95-1, Class C, 8.80%, 01/25/25		206
	3,469		Federal National Mortgage Association Grantor Trust
			Series 2001-48, Class Z, 6.50%, 09/25/21		3,687
			Federal National Mortgage Association Interest STRIPS
	31		Series 23, Class 2, IO, 10.00%, 09/01/17		8
	3		Series 50, Class 2, IO, 10.50%, 03/01/19		1
	101		Series 218, Class 2, IO, 7.50%, 04/01/23		20
	80		Series 265, Class 2, 9.00%, 03/01/24		87
	2,007		Series 329, Class 1, PO, 12/01/32		1,585
	2,178		Series 340, Class 1, PO, 09/01/33		1,647
	3		Series K, Class 2, IO, HB, 256.00%, 11/01/08		9
			Federal National Mortgage Association Whole Loan
	1,897		Series 2002-W5, Class A7, 6.25%, 08/25/30		1,919
	1,449		Series 2002-W5, Class A10, IF, IO, 4.27%, 11/25/30		103
	4,196		Series 2003-W1, Class 1A1, 6.50%, 12/25/42		4,319
	1,357		Series 2003-W1, Class 2A, 7.50%, 12/25/42		1,428
	708		Series 2003-W4, Class 2A, 6.50%, 10/25/42		713
	2,200		Series 2003-W8, Class 1A3, 4.75%, 12/25/42		2,181
	5,148		Series 2004-W2, Class 2A2, 7.00%, 02/25/44		5,380
			Government National Mortgage Association
	2,973		Series 1994-3, Class PQ, 7.49%, 07/16/24		3,106
	1,823		Series 1994-4, Class KQ, 7.99%, 07/16/24		1,911
	5,279		Series 1994-7, Class PQ, 6.50%, 10/16/24		5,538
	1,418		Series 1996-16, Class E, 7.50%, 08/16/26		1,472
	2,358		Series 1997-8, Class PN, 7.50%, 05/16/27		2,460
	553		Series 1997-11, Class D, 7.50%, 07/20/27		574
	1,169		Series 1998-26, Class K, 7.50%, 09/17/25		1,224
	6,424		Series 1999-4, Class ZB, 6.00%, 02/20/29		6,477
	4,002		Series 1999-10, Class ZC, 6.50%, 04/20/29		4,194
	968		Series 1999-15, Class E, 6.50%, 01/16/29		988
	1,370		Series 1999-30, Class S, IF, IO 4.83%, 08/16/29		101

Principal Amount		Security Description	Value
	73	Series 1999-33, Class SM, IF, 9.20%, 09/16/29		81
	1,335	Series 1999-40, Class ZW, 7.50%, 11/20/29		1,397
	1,952	Series 1999-41, Class Z, 8.00%, 11/16/29		2,072
	627	Series 1999-44, Class PC, 7.50%, 12/20/29		655
	3,867	Series 1999-44, Class ZC, 8.50%, 12/16/29		4,299
	1,920	Series 1999-44, Class ZG, 8.00%, 12/20/29		2,022
	1,591	Series 2000-6, Class Z, 7.50%, 02/20/30		1,655
	849	Series 2000-9, Class PB, 7.50%, 06/16/26		862
	757	Series 2000-9, Class Z, 8.00%, 06/20/30		776
	4,236	Series 2000-9, Class ZJ, 8.50%, 02/16/30		4,649
	1,289	Series 2000-12, Class ST, IF, 21.03%, 02/16/30		1,722
	1,320	Series 2000-14, Class PD, 7.00%, 02/16/30		1,380
	484	Series 2000-16, Class ZN, 7.50%, 02/16/30		506
	5,764	Series 2000-21, Class Z, 9.00%, 03/16/30		6,416
	632	Series 2000-26, Class TZ, 8.50%, 09/20/30		722
	565	Series 2000-26, Class Z, 7.75%, 09/20/30		582
	99	Series 2000-30, Class ST, IF, 11.05%, 12/16/22		114
	1,243	Series 2000-31, Class Z, 9.00%, 10/20/30		1,324
	460	Series 2000-34, Class SG, IF, IO, 4.73%, 10/20/30		22
	911	Series 2000-35, Class ZA, 9.00%, 11/20/30		974
	144	Series 2000-36, Class IK, IO, 9.00%, 11/16/30		26
	675	Series 2000-37, Class B, 8.00%, 12/20/30		710
	369	Series 2000-38, Class AH, 7.15%, 12/20/30		379
	862	Series 2001-4, Class SJ, IF, IO, 4.36%, 01/19/30		28
	1,384	Series 2001-6, Class SD, IF, IO, 4.78%, 03/16/31		88
	1,805	Series 2001-7, Class PK, 6.50%, 03/20/31		1,857
	3,534	Series 2001-8, Class Z, 6.50%, 03/20/31		3,689
	86	Series 2001-32, Class WA, IF, 10.63%, 07/20/31		91
	1,229	Series 2001-35, Class SA, IF, IO 4.48%, 08/16/31		82
	1,032	Series 2001-36, Class S, IF, IO, 4.28%, 08/16/31		62
	1,111	Series 2001-60, Class VP, 6.50%, 07/20/17		1,133
	2,183	Series 2001-64, Class MQ, 6.50%, 12/20/31		2,275
	1,260	Series 2002-3, Class SP, IF, IO, 3.62%, 01/16/32		70
	2,100	Series 2002-7, Class PG, 6.50%, 01/20/32		2,163
	4,947	Series 2002-24, Class AG, IF, IO, 4.18%, 04/16/32		403
	468	Series 2002-24, Class SB, IF, 6.27%, 04/16/32		435
	11,352	Series 2002-31, Class SE, IF, IO, 3.73%, 04/16/30		793
	3,033	Series 2002-36, Class VB, 6.50%, 07/20/19		3,058
	2,288	Series 2002-40, Class UK, 6.50%, 06/20/32		2,395
	180	Series 2002-41, Class SV, IF, 9.00%, 06/16/32		191
	1,875	Series 2002-41, Class VB, 6.50%, 04/20/18		1,889
	10,998	Series 2002-45, Class QE, 6.50%, 06/20/32		11,481
	3,124	Series 2002-47, Class PG, 6.50%, 07/16/32		3,265
	2,437	Series 2002-47, Class VB, 6.50%, 09/20/17		2,450
	7,157	Series 2002-47, Class ZA, 6.50%, 07/20/32		7,422
	289	Series 2002-51, Class SG, IF, 16.05%, 04/20/31		323
	3,637	Series 2002-52, Class GH, 6.50%, 07/20/32		3,804
	2,168	Series 2002-54, Class GB, 6.50%, 08/20/32		2,245
	6,820	Series 2002-67, Class VA, 6.00%, 03/20/13		6,908
	2,626	Series 2002-70, Class AV, 6.00%, 03/20/12		2,699
	8,300	Series 2002-70, Class PS, IF, IO, 3.90%, 08/20/32		614
	1,084	Series 2002-71, Class VJ, 6.00%, 12/20/14		1,097
	1,108	Series 2002-75, Class PB, 6.00%, 11/20/32		1,142
	1,232	Series 2002-79, Class KV, 6.00%, 11/20/13		1,263
	1,176	Series 2002-80, Class EB, 7.00%, 01/20/32		1,234

	Principal Amount		Security Description	Value
		1,886	Series 2002-88, Class LI, IO, 5.50%, 11/20/28		70
		2,302	Series 2002-88, Class VA, 6.00%, 12/20/17		2,366
		3,586	Series 2003-4, Class NI, IO, 5.50%, 01/20/32		556
		1,420	Series 2003-4, Class NY, 5.50%, 12/20/13		1,444
		5,772	Series 2003-11, Class SK, IF, IO, 3.93%, 02/16/33		444
		2,833	Series 2003-12, Class SP, IF, IO, 3.90%, 02/20/33		238
		607	Series 2003-24, PO, 03/16/33		511
		1,540	Series 2003-40, Class TC, 7.50%, 03/20/33		1,677
		1,540	Series 2003-40, Class TJ, 6.50%, 03/20/33		1,661
		880	Series 2003-46, Class MG, 6.50%, 05/20/33		927
		1,628	Series 2003-46, Class TC, 6.50%, 03/20/33		1,755
		1,680	Series 2003-52, Class AP, PO, 06/16/33		1,341
		2,511	Series 2003-58, Class BE, 6.50%, 01/20/33		2,715
		25	Series 2003-66, Class EO, PO, 08/20/33		25
		7,136	Series 2003-76, Class LS, IF, IO, 3.40%, 09/20/31		455
		760	Series 2003-90, PO, 10/20/33		643
		3,405	Series 2003-95, Class SC, IF, IO, 3.21%, 09/17/31		131
		1,430	Series 2003-98, Class PC, 5.00%, 02/20/29		1,434
		9,093	Series 2003-112, Class SA, IF, IO, 2.78%, 12/16/33		469
		13,599	Series 2004-11, Class SW, IF, IO, 1.70%, 02/20/34		387
		1,860	Series 2004-28, Class S, IF, 9.29%, 04/16/34		1,911
		822	Series 2004-73, Class AE, IF, 7.04%, 08/17/34		809
			Vendee Mortgage Trust
		1,530	Series 1994-1, Class 1, VAR, 5.63%, 02/15/24		1,531
		1,146	Series 1994-1, Class 2J, 6.50%, 02/15/13		1,161
		2,707	Series 1996-1, Class 1Z, 6.75%, 02/15/26		2,820
		1,727	Series 1996-2, Class 1Z, 6.75%, 06/15/26		1,795
		3,579	Series 1997-1, Class 2Z, 7.50%, 02/15/27		3,866
		4,839	Series 1998-1, Class 2E, 7.00%, 09/15/27		5,027
		2,835	Series 1999-1, Class 2Z, 6.50%, 01/15/29		2,916
					977,175
Non-Agency CMO — 10.3%
			Banc of America Funding Corp.
		2,288	Series 2003-3, Class 1A33, 5.50%, 10/25/33		2,253
		1,826	Series 2004-1, PO, 03/25/34		1,571
			Banc of America Mortgage Securities
		733	Series 2003-7, Class A2, 4.75%, 09/25/18		722
		1,108	Series 2003-8, Class A, PO, 11/25/33		824
		16,567	Series 2004-3, Class 15, IO, VAR, 0.21%, 04/25/19		116
		621	Series 2004-4, Class A, PO, 05/25/34		469
		1,000	Series 2004-6, Class 2A5, PO, 07/25/34		528
		2,417	Series 2004-6, Class A, PO, 07/25/34		1,740
		613	Series 2004-8, Class 5, PO, 05/25/32		495
		309	Series 2004-8, Class X, PO, 10/25/34		288
		2,200	Series 2004-E, Class 2A5, FRN, 4.12%, 06/25/34		2,127
			Banc of America Alternative Loan Trust
		829	Series 2003-2, PO, 04/25/33		707
		1,108	Series 2003-11, PO, 01/25/34		905
		868	Series 2004-6, Class 15, PO, 07/25/34		692
		880	Bear Stearns Adjustable Rate Mortgage Trust
			Series 2004-4, Class A4, VAR, 3.52%, 06/25/34		857
			Bear Stearns Commercial Mortgage Securities
		237	Series 2000-WF1, Class A1, 7.64%, 02/15/32		249
		1,375	Series 2004-T16, Class A2, 3.70%, 02/13/46		1,342

Principal Amount		Security Description	Value
	2,550	Series 2005-PWR9, Class AAB, 4.80%, 09/15/42		2,526
	879	Citicorp Mortgage Securities, Inc.
		Series 1993-14, Class A3, FRN, 5.03%, 11/25/23		881
		Citigroup Mortgage Loan Trust, Inc.
	1,073	Series 2003-1, Class 2, PO, 10/25/33		869
	482	Series 2003-1, Class 2A6, PO, 10/25/33		227
	921	Series 2003-1, Class 3, PO, 10/25/33		633
	1,811	Series 2003-UP3, Class A3, 7.00%, 09/25/33		1,854
	818	Series 2003-UST1, PO, 12/25/18		726
	1,482	Series 2003-UST1, PO, 12/25/18		1,151
	4,893	Series 2003-UST1, Class A1, 5.50%, 12/25/18		4,927
		Countrywide Alternative Loan Trust
	2,640	Series 2002-8, Class A4, 6.50%, 07/25/32		2,640
	1,043	Series 2002-17, Class A7, 2.50%, 01/25/33		1,003
	9,573	Series 2004-2CB, Class 1A9, 5.75%, 03/25/34		9,197
	6,632	Series 2005-26CB, Class A10, IF, 6.11%, 07/25/35		6,498
	8,000	Series 2005-28CB, Class 1A4, 5.50%, 08/25/35		7,950
	21,997	Series 2005-22T1, Class A2, IF, IO, 1.24%, 06/25/35		302
	41,842	Series 2005-J1, Class 1A4, IF, IO, 1.27%, 02/25/35		521
		Countrywide Home Loan Mortgage Pass Through Trust
	7,658	Series 2003-26, Class 1A6, 3.50%, 08/25/33		6,993
	526	Series 2003-34, Class A11, 5.25%, 09/25/33		525
	880	Series 2003-44, Class A9, PO, 10/25/33		572
	1,652	Series 2003-J2, Class A17, IF, IO, 3.57%, 04/25/33		98
	5,695	Series 2003-J7, Class 4A3, IF, 4.85%, 08/25/18		5,573
	3,132	Series 2004-7, Class 2A1, FRN, 4.09%, 06/25/34		3,019
	1,317	Series 2004-HYB1, Class 2A, VAR, 4.26%, 05/20/34		1,293
	1,631	Series 2004-HYB3, Class 2A, VAR, 4.12%, 06/20/34		1,596
		Credit Suisse First Boston Mortgage Securities Corp.
	109	Series 1987, Class C, PO, 04/25/17		95
	1,081	Series 2004-5, Class 5P, PO, 08/25/19		904
		First Horizon Asset Securities, Inc.
	2,300	Series 2003-3, Class 1A4, 3.90%, 05/25/33		2,190
	7,433	Series 2004-AR1, Class 2A2, FRN, 5.03%, 04/25/35		7,408
	9,448	Series 2004-AR7, Class 2A1, FRN, 4.94%, 02/25/35		9,412
		GMAC Mortgage Corp Loan Trust
	6,982	Series 2005-AR3, Class 3A3, VAR, 4.90%, 06/19/35		6,972
	6,500	Series 2005-AR3, Class 3A4, VAR, 4.90%, 06/19/35		6,450
		GSR Mortgage Loan Trust
	2,200	Series 2004-6F, Class 3A4, 6.50%, 05/25/34		2,298
	806	Series 2004-10F, Class 2A1, 5.00%, 08/25/19		804
	545	Series 2004-13F, Class 2A3, 6.00%, 11/25/34		544
	686	Series 2004-13F, Class 3A3, 6.00%, 11/25/34		685
		MASTR Adjustable Rate Mortgages Trust
	13,036	PO, 05/28/35		9,730
	6,305	Series 2004-13, Class 2A1, FRN, 3.82%, 04/21/34		6,172
	12,000	Series 2004-13, Class 3A6, FRN, 3.79%, 11/21/34		11,612
		MASTR Alternative Loans Trust
	4,653	Series 2003-9, Class 8A1, 6.00%, 01/25/34		4,711
	9,600	Series 2004-4, Class 10A1, 5.00%, 05/25/24		9,467
	2,723	Series 2004-6, Class 7A1, 6.00%, 07/25/34		2,749
	1,664	Series 2004-6, Class 30, PO, 07/25/34		1,403
	1,394	Series 2004-7, Class 30, PO, 08/25/34		1,053
	1,928	Series 2004-10, Class 1A1, 4.50%, 09/25/19		1,875

Principal Amount		Security Description	Value
		MASTR Asset Securitization Trust
	1,746	Series 2003-4, Class 2A2, 5.00%, 05/25/18		1,747
	1,119	Series 2003-12, Class 30, PO, 12/25/33		811
	734	Series 2004-1, Class 30, PO, 02/25/34		607
	787	Series 2004-6, Class 15, PO, 07/25/19		596
	812	Series 2004-8, PO, 08/25/19		636
	3,850	Merrill Lynch Mortgage Trust
		Series 2005-MCP1, Class ASB, VAR, 4.67%, 06/12/43		3,883
	360	Merrill Lynch Trust
		Series 47, Class Z, 8.99%, 10/20/20		370
	3,430	Mortgage IT Trust
		Series 2005-1, Class 1A1, FRN, 4.15%, 02/25/35		3,430
		Nomura Asset Acceptance Corp.
	1,883	Series 2003-A1, Class A1, 5.50%, 05/25/33		1,889
	1,738	Series 2003-A1, Class A2, 6.00%, 05/25/33		1,748
	389	Series 2003-A1, Class A5, 7.00%, 04/25/33		389
	400	Series 2003-A1, Class A7, 5.00%, 04/25/18		400
	2,418	Series 2004-R2, Class A1, VAR, 6.50%, 10/25/34 (e)		2,460
		Paine Webber CMO Trust
	19	Series H, Class 4, 8.75%, 04/01/18		20
	116	Series P, Class 4, 8.50%, 08/01/19		120
		Residential Accredit Loans, Inc.
	4,399	Series 2002-QS8, Class A5, 6.25%, 06/25/17		4,424
	1,640	Series 2002-QS16, Class A3, IF, 8.61%, 10/25/17		1,739
	4,422	Series 2003-QR19, Class CB4, 5.75%, 10/25/33		4,289
	3,154	Series 2003-QS3, Class A2, IF, 8.07%, 02/25/18		3,259
	2,935	Series 2003-QS3, Class A8, IF, IO, 3.77%, 02/25/18		205
	7,383	Series 2003-QS9, Class A3, IF, IO, 3.72%, 05/25/18		521
	6,249	Series 2003-QS12, Class A2A, IF, IO, 3.77%, 06/25/18		448
	1,902	Series 2003-QS12, Class A5, IO, 5.00%, 06/25/18		377
	4,385	Series 2003-QS18, Class A1, 5.00%, 09/25/18		4,352
	1,320	Series 2004-QS8, Class A2, 5.00%, 06/25/34		1,301
		Residential Asset Securitization Trust
	1,216	Series 2003-A13, Class A3, 5.50%, 01/25/34		1,201
	484	Series 2003-A14, Class A1, 4.75%, 02/25/19		475
		Residential Funding Mortgage Securities I
	7,398	Series 2003-S7, Class A17, 4.00%, 05/25/33		7,157
	1,760	Series 2003-S12, Class 4A5, 4.50%, 12/25/32		1,676
	1,320	Series 2003-S13, Class A3, 5.50%, 06/25/33		1,294
	1,258	Series 2003-S13, Class 4A5, 2.50%, 06/25/18		1,207
	1,986	Series 2003-S14, Class A4, PO, 07/25/18		1,739
	397	Residential Funding Securities Corp.
		Series 2003-RM2, Class AP3, PO, 05/25/33		340
	70	Rural Housing Trust
		Series 1987-1, Class 3B, 7.33%, 04/01/26		70
		Salomon Brothers Mortgage Securities VII
	40	Series 2000-UP1, Class A2, 8.00%, 08/25/27		40
	786	Series 2003-UP2, Class 1, PO, 12/25/18		725
	3,300	Structured Adjustable Rate Mortgage Loan Trust
		Series 2004-6, Class 5A4, VAR, 5.01%, 06/25/34		3,262
		Structured Asset Securities Corp.
	276	Series 2003-8, Class 1A2, PO, 05/25/32		234
	880	Series 2003-8, Class 1A2, 5.00%, 04/25/18		870
	1,730	Series 2004-20, Class 1A3, 5.25%, 11/25/34		1,698

	Principal Amount		Security Description	Value
		5,015	Wachovia Bank Commercial Mortgage Trust
			Series 2004-C15, Class A2, 4.04%, 10/15/41		4,874
			Wamu Alternative Mortgage Pass-Through Certificates
		1,873	Series 2002-MS, Class 12A, 6.50%, 05/25/32		1,895
		43,765	Series 2005-2, Class 1A4, IF, IO, 1.22%, 04/25/35		681
		9,906	Series 2005-2, Class 2A3, IF, IO, 1.17%, 04/25/35		145
		5,000	Series 2005-4, Class CB7, 5.50%, 06/25/35		4,976
		3,398	Series 2005-6, Class 2A4, 5.50%, 08/25/35		3,404
			Washington Mutual, Inc.
		1,500	Series 2003-AR4, Class A6, VAR, 3.42%, 05/25/33		1,466
		1,760	Series 2003-AR7, Class A6, VAR, 3.03%, 08/25/33		1,683
		867	Series 2003-AR8, Class A, FRN, 4.03%, 08/25/33		857
		1,760	Series 2003-S8, Class A6, 4.50%, 09/25/18		1,706
		1,130	Series 2003-S9, Class P, PO, 10/25/33		816
		5,735	Series 2003-S10, Class A5, 5.00%, 10/25/18		5,659
		631	Series 2003-S10, Class A6, PO, 10/25/18		523
		735	Series 2004-AR3, Class A2, VAR, 4.24%, 06/25/34		724
		6,172	Series 2004-S3, Class 2A3, FRN, 8.31%, 07/25/34		6,001
			Wells Fargo Mortgage Backed Securities Trust
		1,100	Series 2003-8, Class A9, 4.50%, 08/25/18		1,060
		1,521	Series 2003-11, Class 1A, PO, 10/25/18		1,322
		2,640	Series 2003-11, Class 1A4, 4.75%, 10/25/18		2,600
		2,200	Series 2003-13, Class A7, 4.50%, 11/25/18		2,083
		1,053	Series 2003-17, Class 2A4, 5.50%, 01/25/34		1,051
		2,674	Series 2004-7, Class 2A2, 5.00%, 07/25/19		2,653
		9,475	Series 2004-BB, Class A4, FRN, 4.58%, 01/25/35		9,369
		3,561	Series 2004-EE, Class 3A1, FRN, 3.99%, 01/25/35		3,481
		3,400	Series 2004-S, Class A5, FRN, 3.54%, 09/25/34		3,278
		1,297	Series 2005-AR10, Class 2A4, FRN, 4.11%, 06/25/35		1,272
					289,581
			Total Collateralized Mortgage Obligations (Cost $1,291,083)		1,266,756
Corporate Bonds — 11.6%
Aerospace & Defense — 0.0% (g)
		948	Systems 2001 AT LLC
			7.16%, 12/15/11 (e)		1,000
Airlines — 0.4%
		466	American Airlines, Inc.
			Series 1999-1, 7.02%, 04/15/11		472
			Continental Airlines, Inc.
		421	Series 1999-2, Class A1, 7.26%, 09/15/21		423
		1,100	Series 1999-2, Class A2, 7.06%, 03/15/11		1,112
			Delta Air Lines, Inc.
		627	Series 2000-1, 7.38%, 11/18/11 (d)		602
		1,719	Series 2000-1, 7.57%, 05/18/12 (d)		1,660
		813	Southwest Airlines Co.
			Series 2001-1, 5.10%, 11/01/07		815
			United Airlines, Inc.
		659	Series 2000-1, 7.73%, 07/01/10 (d)		630
		1,484	Series 2000-2, 7.19%, 10/01/12 (d)		1,454
		789	Series 2001-1, 6.07%, 09/01/14 (d)		761
		1,101	Series 2001-1, 6.20%, 09/01/08 (d)		1,061
		2,495	Series 2001-1, 7.78%, 07/01/15 (d)		2,378
					11,368

	Principal Amount		Security Description	Value
Automobiles — 0.2%
			DaimlerChrysler NA Holding Corp.
		1,144	4.75%, 01/15/08		1,138
		2,519	7.20%, 09/01/09		2,687
		600	General Motors Corp.
			8.80%, 03/01/21		497
					4,322
Capital Markets — 1.9%
		4,964	Bear Stearns Cos., Inc. (The)
			3.25%, 03/25/09		4,732
			Credit Suisse First Boston USA, Inc.
		484	4.70%, 06/01/09		483
		1,100	5.50%, 08/15/13		1,133
		6,856	6.13%, 11/15/11		7,284
			Goldman Sachs Group, Inc.
		1,465	3.88%, 01/15/09		1,429
		704	4.75%, 07/15/13		688
		1,205	5.25%, 10/15/13		1,216
		1,683	6.60%, 01/15/12		1,824
		440	6.65%, 05/15/09		467
		5,071	6.88%, 01/15/11		5,519
		224	7.35%, 10/01/09		244
			Lehman Brothers Holdings, Inc.
		719	4.00%, 01/22/08		709
		1,000	4.80%, 03/13/14		982
		1,728	6.63%, 01/18/12		1,880
		300	7.88%, 11/01/09		334
			Merrill Lynch & Co., Inc.
		924	3.70%, 04/21/08		903
		500	4.79%, 08/04/10		498
		660	5.45%, 07/15/14		678
		880	Series B, 3.13%, 07/15/08		845
		2,313	Series C, 4.13%, 01/15/09		2,275
			Morgan Stanley
		572	4.25%, 05/15/10		558
		1,282	4.75%, 04/01/14		1,237
		2,838	6.60%, 04/01/12		3,075
		5,929	6.75%, 04/15/11		6,450
		396	8.00%, 06/15/10		447
		7,112	National Rural Utilities Cooperative Finance Corp.
			6.00%, 05/15/06		7,180
		1,526	State Street Corp.
			7.65%, 06/15/10		1,724
					54,794
Chemicals — 0.1%
		1,320	Dow Capital BV (Netherlands)
			8.50%, 06/08/10		1,501
		470	Dow Chemical Co. (The)
			6.13%, 02/01/11		501
					2,002
Commercial Banks — 1.3%
			Bank of America Corp.
		2,112	3.88%, 01/15/08		2,081
		1,166	7.40%, 01/15/11		1,302

	Principal Amount		Security Description	Value
		5,867	7.80%, 02/15/10		6,548
		3,444	First Bank NA
			6.50%, 02/01/08		3,584
		2,420	Firstar Bank NA
			7.13%, 12/01/09		2,645
		242	HSBC Holdings plc (United Kingdom)
			7.35%, 11/27/32 (e)		292
		1,375	Huntington National Bank
			8.00%, 04/01/10		1,542
		550	Key Bank NA
			7.50%, 09/15/08		596
		1,804	Keycorp
			Series G, 4.70%, 05/21/09		1,801
		660	Popular North America, Inc.
			4.25%, 04/01/08		651
		1,753	Royal Bank of Canada (Canada)
			3.88%, 05/04/09		1,716
		880	Suntrust Bank
			6.38%, 04/01/11		947
		1,100	US Bancorp
			7.50%, 06/01/26		1,367
		836	Wachovia Bank NA
			7.80%, 08/18/10		949
			Wachovia Corp.
		2,137	3.50%, 08/15/08		2,069
		2,818	3.63%, 02/17/09		2,729
			Wells Fargo & Co.
		2,303	3.13%, 04/01/09		2,192
		660	4.20%, 01/15/10		647
		2,294	Wells Fargo Bank NA
			7.55%, 06/21/10		2,565
					36,223
Commercial Services & Supplies — 0.1%
		1,467	PHH Corp.
			7.13%, 03/01/13		1,580
Computers & Peripherals — 0.1%
			International Business Machines Corp.
		1,232	5.39%, 01/22/09		1,258
		440	6.22%, 08/01/27		482
					1,740
Consumer Finance — 1.1%
		660	American Express Credit Corp.
			3.00%, 05/16/08		636
			American General Finance Corp.
		1,254	Series H, 4.50%, 11/15/07		1,250
		880	Series H, 5.38%, 10/01/12		890
		187	Capital One Bank
			5.75%, 09/15/10		193
			General Motors Acceptance Corp.
		3,900	6.13%, 09/15/06		3,912
		4,600	7.25%, 03/02/11		4,277
			HSBC Finance Corp.
		1,100	4.75%, 05/15/09		1,097
		7,928	5.88%, 02/01/09		8,182

	Principal Amount		Security Description	Value
		220	6.38%, 11/27/12		236
		1,470	6.40%, 06/17/08		1,533
		2,494	6.50%, 11/15/08		2,619
		367	6.75%, 05/15/11		399
		440	7.20%, 07/15/06		449
		1,980	7.88%, 03/01/07		2,067
			International Lease Finance Corp.
		695	4.50%, 05/01/08		689
		551	5.88%, 05/01/13		574
		1,125	SLM Corp.
			Series A, 5.38%, 01/15/13		1,155
		792	Standard Credit Card Master Trust
			Series A, 7.25%, 04/07/08		803
					30,961
Diversified Financial Services — 2.5%
			Associates Corp. of NA
		2,051	8.15%, 08/01/09		2,296
		1,355	8.55%, 07/15/09		1,533
		1,100	Series A, 7.95%, 02/15/10		1,232
			CIT Group, Inc.
		1,540	6.50%, 02/07/06		1,551
		600	7.75%, 04/02/12		688
			Citigroup, Inc.
		550	3.50%, 02/01/08		537
		2,408	5.63%, 08/27/12		2,503
		330	6.20%, 03/15/09		346
			Ford Motor Credit Co.
		1,430	5.80%, 01/12/09		1,334
		5,750	6.88%, 02/01/06		5,774
		6,500	7.38%, 10/28/09		6,279
		660	7.38%, 02/01/11		631
		3,500	7.88%, 06/15/10		3,406
			General Electric Capital Corp.
		2,294	6.75%, 03/15/32		2,698
		440	Series A, 2.80%, 01/15/07		431
		1,760	Series A, 3.50%, 05/01/08		1,716
		2,332	Series A, 4.25%, 01/15/08		2,318
		924	Series A, 4.63%, 09/15/09		923
		5,763	Series A, 5.88%, 02/15/12		6,055
		4,083	Series A, 6.00%, 06/15/12		4,346
		3,651	Series A, 6.13%, 02/22/11		3,872
			John Hancock Global Funding II
		1,100	3.50%, 01/30/09 (e)		1,058
		1,188	7.90%, 07/02/10 (e)		1,349
			MassMutual Global Funding II
		1,804	3.25%, 06/15/07 (e)		1,763
		1,936	3.50%, 03/15/10 (e)		1,832
		1,045	New York Life Global Funding
			3.88%, 01/15/09 (e)		1,020
		3,080	5.38%, 09/15/13 (e)		3,170
		1,100	Principal Life Global Funding I
			2.80%, 06/26/08 (e)		1,050
		264	5.13%, 06/28/07 (e)		265
		4,729	6.25%, 02/15/12 (e)		5,075

	Principal Amount		Security Description	Value
		616	Toyota Motor Credit Corp.
			2.88%, 08/01/08		589
		1,760	USAA Capital Corp.
			Series B, 7.05%, 11/08/06 (e)		1,803
		748	Washington Mutual Financial Corp.
			6.88%, 05/15/11		821
					70,264
Diversified Telecommunication Services — 1.1%
		1,012	Bellsouth Capital Funding
			7.75%, 02/15/10		1,128
		1,805	Bellsouth Telecommunications
			6.30%, 12/15/15		1,882
		3,609	British Telecommunications plc (United Kingdom)
			8.38%, 12/15/10		4,179
		2,200	France Telecom S.A. (France)
			7.75%, 03/01/11		2,498
		880	GTE Corp.
			7.51%, 04/01/09		954
		2,586	Nynex Capital Funding Co.
			Series B, SUB, 8.23%, 10/15/09		2,859
			Sprint Capital Corp.
		5,013	6.00%, 01/15/07		5,096
		1,012	7.13%, 01/30/06		1,020
		1,345	7.63%, 01/30/11		1,505
		440	8.38%, 03/15/12		518
		616	8.75%, 03/15/32		826
		1,188	Telus Corp. (Canada)
			8.00%, 06/01/11		1,359
		750	Verizon Florida, Inc.
			Series F, 6.13%, 01/15/13		779
		3,629	Verizon Global Funding Corp.
			7.25%, 12/01/10		4,011
		647	Verizon Maryland, Inc.
			Series A, 6.13%, 03/01/12		676
		968	Verizon Pennsylvania, Inc.
			8.35%, 12/15/30		1,186
		937	Verizon Virginia, Inc.
			Series A, 4.63%, 03/15/13		897
					31,373
Electric Utilities — 0.5%
		318	Alabama Power Co.
			4.70%, 12/01/10		316
		453	American Electric Power Co., Inc.
			Series A, 6.13%, 05/15/06		457
		308	Appalachian Power Co.
			6.60%, 05/01/09		326
		990	Carolina Power & Light Co.
			5.13%, 09/15/13		997
			Constellation Energy Group, Inc.
		1,408	6.35%, 04/01/07		1,440
		440	7.00%, 04/01/12		484
		1,456	Dominion Resources, Inc.
			Series B, 6.25%, 06/30/12		1,544

	Principal Amount		Security Description	Value
		1,650	DTE Energy Co.
			Series A, 6.65%, 04/15/09		1,743
			Duke Energy Corp.
		2,200	4.20%, 10/01/08		2,166
		1,604	5.63%, 11/30/12		1,656
		2,211	Exelon Generation Co., LLC
			6.95%, 06/15/11		2,411
		255	Kiowa Power Partners LLC
			4.81%, 12/30/13 (e)		247
		880	Ohio Valley Electric Corp.
			5.94%, 02/12/06 (e)		885
		270	Virginia Electric & Power Co.
			Series A, 5.38%, 02/01/07		272
					14,944
Food Retailing — 0.1%
		1,320	Kroger Co. (The)
			8.05%, 02/01/10		1,455
Gas Utilities — 0.0% (g)
		802	KeySpan Gas East Corp.
			7.88%, 02/01/10		899
Hotels, Restaurants & Leisure — 0.0% (g)
		396	Harrah’s Operating Co., Inc.
			8.00%, 02/01/11		443
Industrial Conglomerates — 0.2%
		506	Raychem Corp.
			7.20%, 10/15/08		538
			Tyco International Group S.A. (Bermuda)
		2,420	6.38%, 10/15/11		2,580
		1,100	6.75%, 02/15/11		1,188
					4,306
Insurance — 0.7%
		1,716	American International Group, Inc.
			4.25%, 05/15/13		1,638
			ASIF Global Financing
		880	2.65%, 01/17/06 (e)		876
		2,640	3.90%, 10/22/08 (e)		2,575
		2,552	4.90%, 01/17/13 (e)		2,505
		1,980	Jackson National Life Global Funding
			6.13%, 05/30/12 (e)		2,120
		1,276	Metropolitan Life Global Funding I
			5.20%, 09/18/13 (e)		1,299
		710	MGIC Investment Corp.
			6.00%, 03/15/07		722
		2,640	Monumental Global Funding II
			4.38%, 07/30/09 (e)		2,599
		1,276	Monumental Global Funding III
			5.20%, 01/30/07 (e)		1,284
		528	Nationwide Financial Services
			6.25%, 11/15/11		566
		667	Pacific Life Global Funding
			3.75%, 01/15/09 (e)		651
			Protective Life Secured Trust
		956	4.00%, 10/07/09		934

	Principal Amount		Security Description	Value
		2,640	4.00%, 04/01/11		2,538
		275	XL Capital Ltd. (Cayman Islands)
			5.25%, 09/15/14		265
					20,572
IT Services — 0.0% (g)
		905	First Data Corp.
			3.90%, 10/01/09		882
Media — 0.4%
		1,675	Comcast Corp.
			5.50%, 03/15/11		1,707
		803	Cox Communications, Inc.
			7.75%, 11/01/10		889
		660	Knight-Ridder, Inc.
			7.13%, 06/01/11		714
		97	Liberty Media Corp.
			5.70%, 05/15/13		88
		3,212	Tele-Communications-TCI Group
			9.80%, 02/01/12		3,950
			Time Warner Cos., Inc.
		968	7.48%, 01/15/08		1,022
		719	8.18%, 08/15/07		762
		1,375	9.15%, 02/01/23		1,776
		1,012	Time Warner Entertainment Co. LP
			10.15%, 05/01/12		1,269
		200	Time Warner, Inc.
			7.70%, 05/01/32		237
					12,414
Multi-Utilities — 0.1%
		240	Commonwealth Edison Co
			6.95%, 07/15/18		249
		1,048	PSEG Power LLC
			7.75%, 04/15/11		1,173
					1,422
Oil & Gas — 0.1%
		350	Conoco Funding Co. (Canada)
			5.45%, 10/15/06		353
		1,980	ConocoPhillips
			8.75%, 05/25/10		2,315
					2,668
Paper & Forest Products — 0.1%
			International Paper Co.
		1,496	4.00%, 04/01/10		1,425
		701	4.25%, 01/15/09		686
		802	Union Camp Corp.
			6.50%, 11/15/07		827
			Weyerhaeuser Co.
		97	6.13%, 03/15/07		99
		550	6.75%, 03/15/12		594
					3,631
Real Estate — 0.1%
		2,116	EOP Operating LP
			6.75%, 02/15/12		2,288

	Principal Amount		Security Description	Value
		308	ERP Operating LP
			4.75%, 06/15/09		306
					2,594
Road & Rail — 0.1%
			Burlington Northern Santa Fe Corp.
		950	6.13%, 03/15/09		991
		1,120	7.13%, 12/15/10		1,238
					2,229
Supranational — 0.0% (g)
		440	Corp. Andina de Fomento
			5.20%, 05/21/13		441
Thrifts & Mortgage Finance — 0.3%
		616	Bank United
			Series A, 8.00%, 03/15/09		676
			Countrywide Home Loans, Inc.
		1,320	3.25%, 05/21/08		1,271
		1,100	Series E, 7.20%, 10/30/06		1,128
		2,470	Series L, 4.00%, 03/22/11		2,346
		770	Washington Mutual Bank FA
			6.88%, 06/15/11		839
		1,439	Washington Mutual, Inc.
			4.20%, 01/15/10		1,404
		1,100	World Savings Bank FSB
			4.50%, 06/15/09		1,091
					8,755
Wireless Telecommunication Services — 0.1%
			New Cingular Wireless Services, Inc.
		359	7.50%, 05/01/07		374
		1,883	7.88%, 03/01/11		2,144
					2,518
			Total Corporate Bonds (Cost $333,497)		325,800
Foreign Government Securities — 0.5%
			United Mexican States (Mexico)
		1,832	4.63%, 10/08/08		1,823
		475	6.38%, 01/16/13		505
		1,000	6.63%, 03/03/15		1,086
		3,864	7.50%, 04/08/33		4,473
			Province of Quebec (Canada)
		5,059	5.75%, 02/15/09		5,248
		1,100	6.50%, 01/17/06		1,108
		440	SUB, 7.37%, 03/06/26		562
					14,805
			Total Foreign Government Securities (Cost $14,811)		14,805
Municipal Bond — 0.1%
Illinois — 0.1%
		2,400	State of Illinois, Taxable, Pension Fund
			GO, 5.10%, 06/01/33 (Cost $2,423)		2,368

	Principal Amount		Security Description	Value
U.S. Government Agency Mortgages — 6.2%
			Federal Home Loan Mortgage Corp. Gold Pool
		14,196	4.00%, 05/01/14-05/01/19		13,737
		1,023	4.50%, 08/01/18		1,004
		6,261	5.50%, 06/01/17-01/01/34		6,268
		3,691	6.00%, 04/01/18-01/01/34		3,767
		14,588	6.50%, 08/01/16-11/01/34		15,083
		4,799	7.00%, 01/01/17-08/01/32		5,012
		1,465	7.50%, 09/01/10-11/01/15		1,538
		166	8.50%, 11/01/15		179
			Federal Home Loan Mortgage Corp. Pool
		-(h)	7.50%, 07/01/16		-(h)
		90	12.00%, 08/01/15-07/01/19		98
		281	ARM, 4.66%, 07/01/19		287
		285	ARM, 4.95%, 04/01/30		292
			Federal National Mortgage Association Pool
		6,465	3.50%, 09/01/18-07/01/19		6,011
		53,676	4.00%, 09/01/13-12/01/18		51,804
		3,535	4.50%, 11/01/14-03/01/19		3,475
		3,223	5.00%, 12/01/16-09/01/35		3,199
		10,547	5.50%, 06/01/12-03/01/34		10,592
		15,120	6.00%, 02/01/14-09/01/33		15,478
		8,808	6.50%, 03/01/17-08/01/31		9,103
		3,949	7.00%, 03/01/17-02/01/33		4,135
		254	7.50%, 03/01/17		269
		4,286	8.00%, 11/01/12-11/01/28		4,587
		353	9.00%, 05/01/18-04/01/26		386
		77	9.50%, 07/01/28		86
		613	10.89%, 04/15/19		678
		74	12.50%, 01/01/16		81
		37	ARM, 3.48%, 01/01/19		38
		412	ARM, 4.14%, 09/01/27		416
		445	ARM, 4.36%, 03/01/29		446
		98	ARM, 4.55%, 03/01/19		100
		7,461	ARM, 4.89%, 01/01/35		7,456
		753	ARM, 5.01%, 04/01/34		759
			Government National Mortgage Association Pool
		2,882	6.50%, 06/15/17-04/15/33		3,001
		1,145	7.00%, 02/15/33-06/15/33		1,212
		756	7.50%, 11/15/22-11/15/31		802
		2,064	8.00%, 01/15/16-09/20/28		2,211
		162	8.50%, 07/15/08-05/20/25		176
		33	9.00%, 12/15/16-10/15/30		36
			Total U.S. Government Agency Mortgages (Cost $175,270)		173,802
U.S. Government Agency Securities — 0.8%
			Federal Home Loan Mortgage Corp.
		2,000	4.00%, 09/15/17		1,908
		3,648	4.13%, 07/12/10		3,588
		990	5.75%, 01/15/12		1,051
		880	6.63%, 09/15/09		947
		1,218	6.88%, 09/15/10		1,345
			Federal National Mortgage Association
		1,760	5.50%, 03/15/11		1,838

	Principal Amount		Security Description	Value
		1,000	6.00%, 05/15/08		1,038
		1,597	6.13%, 03/15/12		1,734
		3,813	6.25%, 02/01/11		4,075
		924	6.38%, 06/15/09		981
		3,300	6.63%, 09/15/09		3,546
		1,034	7.13%, 06/15/10		1,146
		4,669	7.25%, 01/15/10		5,157
			Total U.S. Government Agency Securities (Cost $22,778)		28,354
U.S. Treasury Securities — 24.0%
			U.S. Treasury Bonds
		1,000	6.25%, 08/15/23		1,196
		3,253	7.50%, 11/15/16		4,117
		1,320	7.63%, 02/15/25		1,822
		4,883	7.88%, 02/15/21		6,642
		600	8.13%, 05/15/21		835
		3,825	8.75%, 05/15/17		5,299
		3,761	8.75%, 08/15/20		5,443
		264	8.88%, 02/15/19		378
		572	9.25%, 02/15/16		800
		2,416	9.88%, 11/15/15		3,487
		35,391	10.38%, 11/15/12 (m)		39,790
		11,564	11.75%, 11/15/14 (m)		14,818
		49,780	12.00%, 08/15/13 (m)		60,212
		9,855	12.50%, 08/15/14 (m)		12,744
		55,977	12.75%, 11/15/10 (m)		56,550
		440	13.25%, 05/15/14 (m)		573
			U.S. Treasury Inflation Indexed Bonds
		9,597	3.63%, 04/15/28 (m)		12,556
		2,622	3.88%, 01/15/09		2,845
		16,752	4.25%, 01/15/10		18,738
			U.S. Treasury Notes
		440	3.13%, 09/15/08		427
		2,700	3.38%, 02/15/08		2,651
		500	3.38%, 10/15/09		485
		847	3.50%, 11/15/06		841
		1,000	3.50%, 05/31/07		989
		2,300	3.50%, 12/15/09		2,237
		500	3.63%, 01/15/10		489
		35,000	4.00%, 04/15/10		34,681
		1,660	5.63%, 05/15/08		1,719
		7,202	5.75%, 08/15/10		7,681
		10,603	6.00%, 08/15/09		11,276
		2,420	6.13%, 08/15/07		2,504
		2,200	6.50%, 10/15/06		2,252
		34,889	6.50%, 02/15/10 (m)		38,015
		440	6.88%, 05/15/06		447
			U.S. Treasury STRIPS
		2,420	PO, 05/15/07		2,265
		8,271	PO, 05/15/08		7,426
		1,700	PO, 05/15/09		1,463
		6,533	PO, 11/15/09		5,483
		11,972	PO, 02/15/10		9,998
		8,767	PO, 02/15/11		7,014

Principal Amount		Security Description	Value
	20,830	PO, 05/15/11		16,502
	31,538	PO, 05/15/12		23,862
	8,743	PO, 11/15/12		6,464
	32,239	PO, 02/15/13		23,497
	3,000	PO, 05/15/13		2,160
	8,429	PO, 08/15/13		5,999
	34,747	PO, 02/15/14 (m)		24,103
	6,991	PO, 05/15/14 (m)		4,793
	37,846	PO, 08/15/14 (m)		25,640
	16,926	PO, 11/15/14 (m)		11,332
	14,926	PO, 02/15/15 (m)		9,865
	4,235	PO, 05/15/15		2,776
	15,887	PO, 08/15/15		10,261
	6,359	PO, 11/15/15		4,066
	32,727	PO, 11/15/15		20,863
	59,442	PO, 02/15/16		37,399
	10,463	PO, 05/15/16		6,503
	2,068	PO, 08/15/16		1,270
	11,839	PO, 11/15/16		7,180
	10,866	PO, 02/15/17		6,509
	1,050	PO, 05/15/17		621
	3,750	PO, 11/15/17		2,161
	37,041	PO, 05/15/18		20,817
	13,083	PO, 02/15/19		7,077
	792	PO, 02/15/22		369
	6,181	PO, 02/15/23		2,745
		Total U.S. Treasury Obligations (Cost $690,321)		674,022
		Total Long-Term Investments (Cost $2,591,278 )		2,540,578

	Shares
Short-Term Investment — 8.2%
Investment Company — 8.2%
		230,108	JPMorgan Liquid Assets Money Market Fund (b) (Cost $230,108)	$	230,108
Total Investments — 98.7% (Cost $2,821,387)					2,770,686
Other Assets in Excess of Liabilities — 1.3%					36,870
Net Assets — 100.0%				$	2,807,556

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.
(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 Bond
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 Shares.
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	$	3,977
Aggregate gross unrealized depreciation		(54,678	)
Net unrealized appreciation/depreciation	$	(50,701	)
Federal income tax cost of investments	$	2,821,387

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

	Shares		Security Description	Value
Long-Term Investments — 99.4%
Common Stocks — 99.4%
Aerospace & Defense — 2.2%
		31	Boeing Co.	$	2,080
		8	General Dynamics Corp.		900
		5	Goodrich Corp.		200
		32	Honeywell International, Inc.		1,196
		4	L-3 Communications Holdings, Inc.		351
		14	Lockheed Martin Corp.		828
		13	Northrop Grumman Corp.		724
		17	Raytheon Co.		640
		7	Rockwell Collins, Inc.		319
		38	United Technologies Corp.		1,981
					9,219
Air Freight & Logistics — 0.9%
		11	FedEx Corp.		979
		2	Ryder System, Inc.		81
		41	United Parcel Service, Inc., Class B		2,849
					3,909
Airlines — 0.1%
		26	Southwest Airlines Co.		384
Auto Components — 0.2%
		2	Cooper Tire & Rubber Co.		34
		6	Dana Corp.		52
		21	Delphi Corp.		58
		7	Goodyear Tire & Rubber Co. (The) (a)		102
		7	Johnson Controls, Inc.		448
		5	Visteon Corp.		47
					741
Automobiles — 0.4%
		69	Ford Motor Co.		681
		21	General Motors Corp.		645
		10	Harley-Davidson, Inc.		494
					1,820
Beverages — 2.2%
		29	Anheuser-Busch Cos., Inc.		1,247
		3	Brown-Forman Corp., Class B		182
		77	Coca-Cola Co. (The)		3,340
		11	Coca-Cola Enterprises, Inc.		218
		7	Constellation Brands, Inc., Class A (a)		191
		2	Molson Coors Brewing Co.		139
		5	Pepsi Bottling Group, Inc.		147
		62	PepsiCo, Inc.		3,528
					8,992
Biotechnology — 1.5%
		46	Amgen, Inc. (a)		3,660

	Shares		Security Description	Value
		7	Applera Corp.- Applied Biosystems Group		170
		13	Biogen Idec, Inc. (a)		497
		4	Chiron Corp. (a)		175
		10	Genzyme Corp. (a)		682
		17	Gilead Sciences, Inc. (a)		830
		9	MedImmune, Inc. (a)		308
					6,322
Building Products — 0.2%
		7	American Standard Cos., Inc.		318
		16	Masco Corp.		493
					811
Capital Markets — 2.9%
		29	Bank of New York Co., Inc. (The)		852
		4	Bear Stearns Cos., Inc. (The)		456
		39	Charles Schwab Corp. (The)		559
		14	E*Trade Financial Corp. (a)		242
		3	Federated Investors, Inc., Class B		105
		6	Franklin Resources, Inc.		465
		17	Goldman Sachs Group, Inc.		2,110
		8	Janus Capital Group, Inc.		120
		10	Lehman Brothers Holdings, Inc.		1,178
		16	Mellon Financial Corp.		498
		35	Merrill Lynch & Co., Inc.		2,120
		40	Morgan Stanley		2,182
		7	Northern Trust Corp.		350
		12	State Street Corp.		602
		5	T. Rowe Price Group, Inc.		315
					12,154
Chemicals — 1.5%
		8	Air Products & Chemicals, Inc.		457
		3	Ashland, Inc.		152
		36	Dow Chemical Co. (The)		1,497
		3	Eastman Chemical Co.		143
		7	Ecolab, Inc.		218
		37	El Du Pont de Nemours & Co.		1,454
		5	Engelhard Corp.		126
		4	Hercules, Inc. (a)		52
		3	International Flavors & Fragrances, Inc.		108
		10	Monsanto Co.		628
		6	PPG Industries, Inc.		377
		12	Praxair, Inc.		576
		5	Rohm & Haas Co.		224
		3	Sigma-Aldrich Corp.		161
					6,173
Commercial Banks — 5.4%
		13	AmSouth Bancorp		331
		150	Bank of America Corp.		6,303
		20	BB&T Corp.		795
		6	Comerica, Inc.		369
		5	Compass Bancshares, Inc.		212
		21	Fifth Third Bancorp		763
		5	First Horizon National Corp.		169

	Shares		Security Description	Value
		9	Huntington Bancshares, Inc.		193
		15	Keycorp		490
		3	M&T Bank Corp.		314
		8	Marshall & Ilsley Corp.		334
		21	National City Corp.		710
		18	North Fork Bancorp, Inc.		455
		11	PNC Financial Services Group, Inc.		630
		17	Regions Financial Corp.		534
		14	SunTrust Banks, Inc.		939
		12	Synovus Financial Corp.		321
		68	U.S. Bancorp		1,912
		59	Wachovia Corp.		2,795
		63	Wells Fargo & Co.		3,683
		3	Zions Bancorp		241
					22,493
Commercial Services & Supplies — 0.9%
		8	Allied Waste Industries, Inc. (a)		68
		5	Apollo Group, Inc., Class A (a)		364
		4	Avery Dennison Corp.		216
		39	Cendant Corp.		804
		5	Cintas Corp.		212
		5	Equifax, Inc.		169
		12	H&R Block, Inc.		290
		5	Monster Worldwide, Inc. (a)		139
		9	Pitney Bowes, Inc.		355
		8	R.R. Donnelley & Sons Co.		296
		6	Robert Half International, Inc.		225
		21	Waste Management, Inc.		600
					3,738
Communications Equipment — 2.8%
		4	ADC Telecommunications, Inc. (a)		99
		6	Andrew Corp. (a)		67
		16	Avaya, Inc. (a)		163
		22	CIENA Corp. (a)		57
		238	Cisco Systems, Inc. (a)		4,269
		8	Comverse Technology, Inc. (a)		198
		55	Corning, Inc. (a)		1,061
		61	JDS Uniphase Corp. (a)		136
		166	Lucent Technologies, Inc. (a)		538
		92	Motorola, Inc.		2,033
		61	QUALCOMM, Inc.		2,717
		6	Scientific-Atlanta, Inc.		213
		17	Tellabs, Inc. (a)		176
					11,727
Computers & Peripherals — 3.7%
		31	Apple Computer, Inc. (a)		1,658
		89	Dell, Inc. (a)		3,054
		90	EMC Corp. (a)		1,162
		10	Gateway, Inc. (a)		27
		107	Hewlett-Packard Co.		3,116
		59	International Business Machines Corp.		4,771
		4	Lexmark International, Inc., Class A (a)		270
		7	NCR Corp. (a)		221

	Shares		Security Description	Value
		14	Network Appliance, Inc. (a)		325
		3	QLogic Corp. (a)		117
		127	Sun Microsystems, Inc. (a)		498
					15,219
Construction & Engineering — 0.1%
		3	Fluor Corp.		210
Construction Materials — 0.1%
		4	Vulcan Materials Co.		284
Consumer Finance — 1.4%
		46	American Express Co.		2,654
		11	Capital One Financial Corp.		855
		47	MBNA Corp.		1,154
		11	Providian Financial Corp. (a)		194
		16	SLM Corp.		833
					5,690
Containers & Packaging — 0.2%
		4	Ball Corp.		148
		4	Bemis Co.		99
		6	Pactiv Corp. (a)		97
		3	Sealed Air Corp. (a)		145
		4	Temple-Inland, Inc.		174
					663
Distributors — 0.1%
		6	Genuine Parts Co.		278
Diversified Financial Services — 3.5%
		7	CIT Group, Inc.		339
		193	Citigroup, Inc.		8,770
		131	JPMorgan Chase & Co. (q)		4,442
		9	Moody’s Corp.		480
		10	Principal Financial Group		494
					14,525
Diversified Telecommunication Services — 3.1%
		14	Alltel Corp.		925
		30	AT&T Corp.		592
		68	BellSouth Corp.		1,794
		5	CenturyTel, Inc.		168
		13	Citizens Communications Co.		173
		57	Qwest Communications International, Inc. (a)		233
		123	SBC Communications, Inc.		2,952
		109	Sprint Nextel Corp.		2,600
		103	Verizon Communications, Inc.		3,369
					12,806
Electric Utilities — 2.5%
		6	Allegheny Energy, Inc. (a)		186
		8	Ameren Corp.		408
		15	American Electric Power Co., Inc.		581
		12	CenterPoint Energy, Inc.		171
		7	Cinergy Corp.		331
		9	Consolidated Edison, Inc.		441
		7	DTE Energy Co.		306
		12	Edison International		573

	Shares		Security Description	Value
		8	Entergy Corp.		576
		25	Exelon Corp.		1,334
		12	FirstEnergy Corp.		639
		15	FPL Group, Inc.		701
		14	PG&E Corp.		547
		4	Pinnacle West Capital Corp.		163
		14	PPL Corp.		458
		9	Progress Energy, Inc.		420
		28	Southern Co. (The)		994
		8	TECO Energy, Inc.		140
		9	TXU Corp.		1,011
		15	Xcel Energy, Inc.		294
					10,274
Electrical Equipment — 0.4%
		6	American Power Conversion Corp.		164
		3	Cooper Industries Ltd. (Bermuda), Class A		242
		15	Emerson Electric Co.		1,108
		7	Rockwell Automation, Inc.		359
					1,873
Electronic Equipment & Instruments — 0.3%
		18	Agilent Technologies, Inc. (a)		603
		6	Jabil Circuit, Inc. (a)		199
		5	Molex, Inc.		145
		20	Sanmina-SCI Corp. (a)		84
		36	Solectron Corp. (a)		142
		9	Symbol Technologies, Inc.		88
		3	Tektronix, Inc.		79
					1,340
Energy Equipment & Services — 1.6%
		13	Baker Hughes, Inc.		757
		12	BJ Services Co.		433
		19	Halliburton Co.		1,301
		6	Nabors Industries Ltd. (Bermuda) (a)		419
		6	National-Oilwell Varco, Inc. (a)		427
		5	Noble Corp. (Cayman Islands)		347
		4	Rowan Cos., Inc.		144
		22	Schlumberger Ltd. (Netherlands)		1,851
		12	Transocean, Inc. (Cayman Islands) (a)		749
		5	Weatherford International Ltd. (a)		351
					6,779
Food & Staples Retailing — 2.3%
		14	Albertson’s, Inc.		353
		18	Costco Wholesale Corp.		770
		30	CVS Corp.		879
		27	Kroger Co. (The) (a)		555
		17	Safeway, Inc.		427
		5	Supervalu, Inc.		158
		24	Sysco Corp.		739
		93	Wal-Mart Stores, Inc.		4,079
		38	Walgreen Co.		1,654
					9,614

	Shares		Security Description	Value
Food Products — 1.1%
		24	Archer-Daniels-Midland Co.		597
		7	Campbell Soup Co.		204
		19	ConAgra Foods, Inc.		478
		14	General Mills, Inc.		656
		7	Hershey Foods Corp.		386
		13	HJ Heinz Co.		464
		10	Kellogg Co.		442
		5	McCormick & Co., Inc. (Non-Voting)		161
		29	Sara Lee Corp.		555
		9	Tyson Foods, Inc., Class A		170
		7	Wm. Wrigley Jr. Co.		479
					4,592
Gas Utilities — 0.1%
		7	KeySpan Corp.		240
		2	Nicor, Inc.		68
		10	NiSource, Inc.		246
		1	Peoples Energy Corp.		54
					608
Health Care Equipment & Supplies — 2.1%
		2	Bausch & Lomb, Inc.		158
		23	Baxter International, Inc.		925
		9	Becton, Dickinson & Co.		489
		9	Biomet, Inc.		323
		22	Boston Scientific Corp. (a)		514
		4	C.R. Bard, Inc.		260
		5	Fisher Scientific International, Inc. (a)		285
		12	Guidant Corp.		846
		6	Hospira, Inc. (a)		245
		45	Medtronic, Inc.		2,419
		2	Millipore Corp. (a)		121
		5	PerkinElmer, Inc.		99
		14	St. Jude Medical, Inc. (a)		634
		11	Stryker Corp.		534
		6	Thermo Electron Corp. (a)		185
		4	Waters Corp. (a)		178
		9	Zimmer Holdings, Inc. (a)		636
					8,851
Health Care Providers & Services — 2.9%
		11	Aetna, Inc.		932
		4	AmerisourceBergen Corp.		298
		16	Cardinal Health, Inc.		1,006
		17	Caremark Rx, Inc. (a)		838
		5	Cigna Corp.		564
		4	Coventry Health Care, Inc. (a)		346
		6	Express Scripts, Inc. (a)		344
		17	HCA, Inc.		806
		9	Health Management Associates, Inc., Class A		216
		6	Humana, Inc. (a)		288
		8	IMS Health, Inc.		211
		5	Laboratory Corp. of America Holdings (a)		244
		3	Manor Care, Inc.		114

	Shares		Security Description	Value
		11	McKesson Corp.		545
		11	Medco Health Solutions, Inc. (a)		621
		6	Quest Diagnostics, Inc.		311
		17	Tenet Healthcare Corp. (a)		196
		47	UnitedHealth Group, Inc.		2,646
		23	WellPoint, Inc. (a)		1,736
					12,262
Hotels, Restaurants & Leisure — 1.4%
		16	Carnival Corp.		803
		5	Darden Restaurants, Inc.		153
		7	Harrah’s Entertainment, Inc.		446
		12	Hilton Hotels Corp.		273
		13	International Game Technology		342
		6	Marriott International, Inc., Class A		400
		47	McDonald’s Corp.		1,558
		14	Starbucks Corp. (a)		719
		8	Starwood Hotels & Resorts Worldwide, Inc.		463
		4	Wendy’s International, Inc.		194
		11	Yum! Brands, Inc.		513
					5,864
Household Durables — 0.7%
		3	Black & Decker Corp.		248
		5	Centex Corp.		309
		10	D.R. Horton, Inc.		367
		5	Fortune Brands, Inc.		441
		3	KB Home		208
		7	Leggett & Platt, Inc.		142
		3	Maytag Corp.		55
		10	Newell Rubbermaid, Inc.		233
		8	Pulte Homes, Inc.		342
		2	Snap-On, Inc.		76
		3	Stanley Works (The)		129
		2	Whirlpool Corp.		185
					2,735
Household Products — 1.9%
		6	Clorox Co.		313
		19	Colgate-Palmolive Co.		1,020
		18	Kimberly-Clark Corp.		1,059
		95	Procter & Gamble Co.		5,657
					8,049
Industrial Conglomerates — 4.3%
		29	3M Co.		2,093
		395	General Electric Co.		13,299
		5	Textron, Inc.		361
		75	Tyco International Ltd. (Bermuda)		2,101
					17,854
Insurance — 4.5%
		11	ACE Ltd. (Cayman Islands)		504
		19	Aflac, Inc.		849
		24	Allstate Corp. (The)		1,351
		4	AMBAC Financial Group, Inc.		284
		97	American International Group, Inc.		5,989

	Shares		Security Description	Value
		12	AON Corp.		382
		7	Chubb Corp.		666
		6	Cincinnati Financial Corp.		272
		11	Hartford Financial Services Group, Inc.		860
		5	Jefferson-Pilot Corp.		259
		6	Lincoln National Corp.		336
		5	Loews Corp.		465
		20	Marsh & McLennan Cos., Inc.		607
		5	MBIA, Inc.		300
		28	Metlife, Inc.		1,406
		7	Progressive Corp. (The)		772
		19	Prudential Financial, Inc.		1,289
		5	Safeco Corp.		249
		25	St. Paul Travelers Cos., Inc. (The)		1,128
		4	Torchmark Corp.		206
		11	UnumProvident Corp.		227
		5	XL Capital Ltd. (Cayman Islands), Class A		355
					18,756
Internet & Catalog Retail — 0.4%
		41	eBay, Inc. (a)		1,706
Internet Software & Services — 0.4%
		47	Yahoo!, Inc. (a)		1,580
Investment Company — 0.1%
		4	S&P 500 Depositary Receipts		461
IT Services — 1.0%
		5	Affiliated Computer Services, Inc., Class A (a)		258
		22	Automatic Data Processing, Inc.		931
		7	Computer Sciences Corp. (a)		328
		5	Convergys Corp. (a)		75
		19	Electronic Data Systems Corp.		434
		29	First Data Corp.		1,150
		7	Fiserv, Inc. (a)		321
		12	Paychex, Inc.		460
		5	Sabre Holdings Corp., Class A		99
		13	Unisys Corp. (a)		84
					4,140
Leisure Equipment & Products — 0.2%
		4	Brunswick Corp.		138
		11	Eastman Kodak Co.		260
		7	Hasbro, Inc.		130
		15	Mattel, Inc.		251
					779
Machinery — 1.4%
		25	Caterpillar, Inc.		1,479
		2	Cummins, Inc.		149
		9	Danaher Corp.		477
		9	Deere & Co.		551
		8	Dover Corp.		308
		6	Eaton Corp.		350
		8	Illinois Tool Works, Inc.		640
		13	Ingersoll-Rand Co., Ltd. (Bermuda), Class A		479
		3	ITT Industries, Inc.		395

	Shares		Security Description	Value
		2	Navistar International Corp. (a)		75
		6	PACCAR, Inc.		431
		5	Pall Corp.		128
		4	Parker-Hannifin Corp.		289
					5,751
Media — 3.5%
		20	Clear Channel Communications, Inc.		666
		82	Comcast Corp., Class A (a)		2,404
		2	Dow Jones & Co., Inc.		84
		9	Gannett Co., Inc.		625
		16	Interpublic Group of Cos., Inc. (a)		183
		3	Knight Ridder, Inc.		154
		14	McGraw-Hill Cos., Inc. (The)		667
		2	Meredith Corp.		77
		5	New York Times Co., Class A		161
		91	News Corp., Class A		1,422
		7	Omnicom Group, Inc.		569
		175	Time Warner, Inc.		3,167
		10	Tribune Co.		335
		9	Univision Communications, Inc., Class A (a)		229
		59	Viacom, Inc., Class B		1,949
		75	Walt Disney Co.		1,808
					14,500
Metals & Mining — 0.7%
		32	Alcoa, Inc.		793
		3	Allegheny Technologies, Inc.		99
		7	Freeport-McMoRan Copper & Gold, Inc., Class B		319
		17	Newmont Mining Corp.		783
		6	Nucor Corp.		346
		4	Phelps Dodge Corp.		473
		4	United States Steel Corp.		181
					2,994
Multi-Utilities — 1.0%
		24	AES Corp. (The) (a)		400
		21	Calpine Corp. (a)		55
		8	CMS Energy Corp. (a)		135
		7	Constellation Energy Group, Inc.		406
		13	Dominion Resources, Inc.		1,098
		34	Duke Energy Corp.		1,006
		11	Dynegy, Inc., Class A (a)		50
		9	Public Service Enterprise Group, Inc.		575
		10	Sempra Energy		450
					4,175
Multiline Retail — 1.1%
		4	Big Lots, Inc. (a)		47
		2	Dillards, Inc., Class A		51
		12	Dollar General Corp.		219
		6	Family Dollar Stores, Inc.		121
		10	Federated Department Stores, Inc.		658
		9	J.C. Penney Co., Inc.		442
		13	Kohl’s Corp. (a)		644
		8	Nordstrom, Inc.		284

	Shares		Security Description	Value
		4	Sears Holdings Corp. (a)		477
		33	Target Corp.		1,713
					4,656
Office Electronics — 0.1%
		36	Xerox Corp. (a)		488
Oil, Gas & Consumable Fuels — 8.6%
		3	Amerada Hess Corp.		404
		9	Anadarko Petroleum Corp.		844
		12	Apache Corp.		925
		14	Burlington Resources, Inc.		1,154
		84	Chevron Corp.		5,432
		52	ConocoPhillips		3,628
		17	Devon Energy Corp.		1,161
		25	El Paso Corp.		341
		9	EOG Resources, Inc.		670
		235	Exxon Mobil Corp.		14,925
		4	Kerr-McGee Corp.		414
		4	Kinder Morgan, Inc.		343
		14	Marathon Oil Corp.		937
		6	Murphy Oil Corp.		306
		15	Occidental Petroleum Corp.		1,269
		5	Sunoco, Inc.		401
		11	Valero Energy Corp.		1,289
		21	Williams Cos., Inc.		535
		13	XTO Energy, Inc.		612
					35,590
Paper & Forest Products — 0.4%
		10	Georgia-Pacific Corp.		331
		18	International Paper Co.		543
		4	Louisiana-Pacific Corp.		115
		7	MeadWestvaco Corp.		188
		9	Weyerhaeuser Co.		629
					1,806
Personal Products — 0.6%
		3	Alberto-Culver Co.		126
		18	Avon Products, Inc.		474
		33	Gillette Co. (The)		1,948
					2,548
Pharmaceuticals — 6.6%
		58	Abbott Laboratories		2,454
		5	Allergan, Inc.		446
		73	Bristol-Myers Squibb Co.		1,752
		42	Eli Lilly & Co.		2,260
		13	Forest Laboratories, Inc. (a)		493
		111	Johnson & Johnson		7,011
		9	King Pharmaceuticals, Inc. (a)		139
		82	Merck & Co., Inc.		2,227
		8	Mylan Laboratories, Inc.		157
		275	Pfizer, Inc.		6,857
		55	Schering-Plough Corp.		1,158
		4	Watson Pharmaceuticals, Inc. (a)		144

	Shares		Security Description	Value
		50	Wyeth		2,310
					27,408
Real Estate — 0.7%
		4	Apartment Investment & Management Co. REIT		139
		8	Archstone-Smith Trust REIT		314
		15	Equity Office Properties Trust REIT		500
		11	Equity Residential REIT		404
		7	Plum Creek Timber Co., Inc. REIT		259
		9	Prologis REIT		410
		3	Public Storage, Inc. REIT		206
		7	Simon Property Group, Inc. REIT		506
		4	Vornado Realty Trust REIT		380
					3,118
Road & Rail — 0.6%
		14	Burlington Northern Santa Fe Corp.		835
		8	CSX Corp.		377
		15	Norfolk Southern Corp.		611
		10	Union Pacific Corp.		704
					2,527
Semiconductors & Semiconductor Equipment — 3.3%
		15	Advanced Micro Devices, Inc. (a)		374
		14	Altera Corp. (a)		265
		14	Analog Devices, Inc.		517
		60	Applied Materials, Inc.		1,026
		11	Applied Micro Circuits Corp. (a)		34
		10	Broadcom Corp., Class A (a)		492
		15	Freescale Semiconductor, Inc., Class B (a)		356
		227	Intel Corp.		5,597
		7	KLA-Tencor Corp.		361
		11	Linear Technology Corp.		428
		15	LSI Logic Corp. (a)		144
		12	Maxim Integrated Products, Inc.		520
		23	Micron Technology, Inc. (a)		305
		13	National Semiconductor Corp.		336
		5	Novellus Systems, Inc. (a)		129
		6	Nvidia Corp. (a)		215
		7	PMC-Sierra, Inc. (a)		60
		7	Teradyne, Inc. (a)		121
		60	Texas Instruments, Inc.		2,049
		13	Xilinx, Inc.		363
					13,692
Software — 3.6%
		18	Adobe Systems, Inc.		545
		9	Autodesk, Inc.		397
		8	BMC Software, Inc. (a)		171
		6	Citrix Systems, Inc. (a)		161
		17	Computer Associates International, Inc.		480
		15	Compuware Corp. (a)		138
		11	Electronic Arts, Inc. (a)		643
		7	Intuit, Inc. (a)		304
		3	Mercury Interactive Corp. (a)		129
		343	Microsoft Corp.		8,833

	Shares		Security Description	Value
		14	Novell, Inc. (a)		106
		141	Oracle Corp. (a)		1,741
		10	Parametric Technology Corp. (a)		71
		19	Siebel Systems, Inc.		201
		45	Symantec Corp. (a)		1,011
					14,931
Specialty Retail — 2.2%
		7	Autonation, Inc. (a)		135
		2	AutoZone, Inc. (a)		175
		11	Bed Bath & Beyond, Inc. (a)		442
		15	Best Buy Co., Inc.		656
		6	Circuit City Stores, Inc.		105
		22	Gap, Inc. (The)		376
		80	Home Depot, Inc.		3,042
		13	Limited Brands, Inc.		265
		29	Lowe’s Cos., Inc.		1,870
		12	Office Depot, Inc. (a)		349
		3	OfficeMax, Inc.		85
		5	RadioShack Corp.		123
		4	Sherwin-Williams Co. (The)		188
		27	Staples, Inc.		585
		5	Tiffany & Co.		213
		17	TJX Cos., Inc.		356
					8,965
Textiles, Apparel & Luxury Goods — 0.4%
		14	Coach, Inc. (a)		445
		4	Jones Apparel Group, Inc.		126
		4	Liz Claiborne, Inc.		156
		7	Nike, Inc., Class B		584
		2	Reebok International Ltd.		110
		3	V.F. Corp.		194
					1,615
Thrifts & Mortgage Finance — 1.5%
		22	Countrywide Financial Corp.		732
		36	Fannie Mae		1,617
		26	Freddie Mac		1,454
		10	Golden West Financial Corp.		566
		3	MGIC Investment Corp.		221
		13	Sovereign Bancorp, Inc.		296
		33	Washington Mutual, Inc.		1,285
					6,171
Tobacco — 1.5%
		77	Altria Group, Inc.		5,698
		3	Reynolds American, Inc.		262
		6	UST, Inc.		257
					6,217
Trading Companies & Distributors — 0.0%
		3	Grainger (W.W.), Inc.		179
			Total Long-Term Investments		413,606
			(Cost $404,280)

	Shares		Security Description	Value
Short-Term Investment — 0.6%
Investment Company — 0.5%
		2,175	JPMorgan Liquid Assets Money Market Fund (b) (m)		2,175

	Principal Amount
U.S. Treasury — 0.1%
		195	U.S. Treasury Bills, 3.53%, 11/03/05 (k) (n)		195
			Total Short-Term Investments
			(Cost $2,369)		2,370
Total Investments — 100.0%
(Cost $406,649)				$	415,976
Other Assets in Excess of Liabilities — 0.0%					148
Net Assets — 100.0%				$	416,124

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.
(k)	Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts.
(n)	The rate shown is the effective yield at the date of purchase.
(q)	Investment in affiliated.

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)
7	S & P 500 Index	December, 2005		2,160	$	(5	)

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	$	28,883
Aggregate gross unrealized depreciation		(19,556	)
Net unrealized appreciation/depreciation	$	9,327
Federal income tax cost of investments	$	406,649

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 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 Institutional Trust

By:	/s/ George C. W. Gatch
	George C. W. Gatch
	President and Principal Executive Officer
	November 23, 2005

Pursuant to the requirements of 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