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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) 245 Park Avenue New York, New York 10167 (Address of principal executive offices) (Zip code) Frank J. Nasta 245 Park Avenue New York, New York 10167 (Name and Address of Agent for Service) Registrants telephone number, including area code: (800) 343-1113 Date of fiscal year end: Last day of February Date of reporting period: May 31, 2010 ITEM 1. SCHEDULE OF INVESTMENTS. JPMorgan Institutional Trust Schedule of Portfolio Investments as of May 31, 2010 (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 funds 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. J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc. JPMorgan Distribution Services, Inc. © JPMorgan Chase & Co., 2010. NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS : ARM Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May 31, 2010. CMO Collateralized Mortgage Obligation ESOP Employee Stock Ownership Program FHA Federal Housing Administration GMAC General Motors Acceptance Corp. GO General Obligation HB High Coupon Bonds (a.k.a. "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike 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 Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. HFC Housing Finance Corp. IF Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of May 31, 2010. The rate may be subject to a cap and floor. IO Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. PO Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. REMICS Real Estate Mortgage Investment Conduits STRIPS Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. SUB Step-Up Bond. The interest rate shown is the rate in effect as of May 31, 2010. VA Veterans Administration VAR Variable Rate Security. The interest rate shown is the rate in effect as of May 31, 2010. (b) Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. (c) Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. (d) Defaulted Security. (e) Security is exempt from registration under Rule 144A of
the Securities Act of 1933, as amended. Unless otherwise
indicated, this security has been determined to be liquid
under procedures established by the Board of Trustees and
may be resold in transactions exempt from registration,
normally to qualified institutional buyers. (f) Security is fair valued in accordance with procedures
established by and under the supervision and responsibility
of the Board of Trustees. The fund owns fair valued
securities with a value of approximately $615,000 which
amounts to 0.02% of total investments. (g) Amount rounds to less than 0.1%. (h) Amount rounds to less than one thousand (shares or dollars). (i) Security has been deemed illiquid pursuant to procedures
approved by the Board of Trustees and may be difficult to sell. (l) The rate shown is the current yield as of May 31, 2010. (m) All or a portion of this security is reserved and/or pledged
with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities,
delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. As of May 31, 2010, 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 $ 180,166 Aggregate gross unrealized depreciation (55,142) Net unrealized appreciation/depreciation $ 125,024 Federal income tax cost of investments $ 2,827,910
AMOUNT ($)
(Cost $52,052)
(Cost $1,244,912)
(Cost $42,078)
(Cost $458,677)
(Cost $9,337)
(Cost $185,449)
(Cost $128)
(Cost $401)
(Cost $15,814)
(Cost $601,592)
(Cost $183,540)
(Cost $33,930)
(Cost $2,827,910)
• Level 1 – quoted prices in active markets for identical securities
• Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
• Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in
those securities.
The following table represents each valuation input by sector as presented on the Schedule of Portfolio Investments (amounts in
thousands):
|
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
|
Level 3 Significant unobservable inputs |
|
Total |
|
|||||||||||
Investments
in Securities |
||||||||||||||||||
Debt
Securities |
||||||||||||||||||
Asset-Backed
Securities |
$ | | $51,795 |
$ |
$51,795 |
|||||||||||||
Collateralized Mortgage Obligations |
| 1,297,405 |
615 |
1,298,020 |
||||||||||||||
Commercial
Mortgage-Backed Securities |
| 45,334 |
|
45,334 |
||||||||||||||
Corporate
Bonds |
||||||||||||||||||
Consumer
Discretionary |
| 30,309 |
|
30,309 |
||||||||||||||
Consumer
Staples |
| 20,691 |
|
20,691 |
||||||||||||||
Energy |
| 21,402 |
|
21,402 |
||||||||||||||
Financials |
| 263,004 |
|
263,004 |
||||||||||||||
Health
Care |
| 8,926 |
|
8,926 |
||||||||||||||
Industrials |
| 14,983 |
|
14,983 |
||||||||||||||
Information
Technology |
| 16,826 |
|
16,826 |
||||||||||||||
Materials |
| 13,549 |
|
13,549 |
||||||||||||||
Telecommunication Services |
| 39,755 |
|
39,755 |
||||||||||||||
Utilities |
| 49,058 |
|
49,058 |
||||||||||||||
Total Corporate Bonds |
| 478,503 |
|
478,503 |
||||||||||||||
Foreign
Government Securities |
| 9,791 |
|
9,791 |
||||||||||||||
Mortgage
Pass-Through Securities |
| 196,714 |
|
196,714 |
||||||||||||||
Municipal
Bonds |
| 122 |
|
122 |
||||||||||||||
Supranational |
| 427 |
|
427 |
||||||||||||||
U.S.
Government Agency Securities |
| 16,475 |
|
16,475 |
||||||||||||||
U.S. Treasury
Obligations |
| 638,283 |
|
638,283 |
||||||||||||||
Short-Term
Investments |
||||||||||||||||||
Investment
Companies |
183,540 | |
|
183,540 |
||||||||||||||
Investments of Cash Collateral for Securities on Loan |
||||||||||||||||||
Investment Companies |
33,930 | |
|
33,930 |
||||||||||||||
Total Investments in Securities |
$ | 217,470 | $2,734,849 |
$615 |
$2,952,934 |
|
|
Balance as of |
Realized gain |
Change in unrealized |
Net amortization / accretion |
Net purchases (sales) |
Transfers into |
Transfers out of |
Balance as of |
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
$ 698 |
$ - |
$ - |
$ - |
$ - |
$ - |
$ (698) |
$ - |
|
Collateralized Mortgage Obligations |
4,536 |
- |
(131) |
1 |
- |
- |
(3,791) |
615 |
|
Total |
$ 5,234 |
$ - |
$ (131) |
$ 1 |
$ - |
$ - |
$ (4,489) |
$ 615 |
Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period. |
Transferred from Level 2 to Level 3 due to lack of observable market inputs. |
Transferred from Level 3 to Level 2 due to available market inputs to determine price. |
|
The change in unrealized appreciation (depreciation) attributable to securities owned at May 31, 2010, which were valued using significant unobservable inputs (Level 3) amounted to approximately $131,000. |
|
SHARES |
SECURITY DESCRIPTION |
VALUE ($) |
|||||||||||
|
Common Stocks — 98.1% |
|||||||||||||
|
Consumer Discretionary — 10.5% |
|||||||||||||
|
|
Auto Components — 0.2% |
||||||||||||
|
7 |
|
|
Goodyear Tire & Rubber Co. (The) (a) |
81 |
|
||||||||
|
19 |
|
|
Johnson Controls, Inc. |
537 |
|
||||||||
|
|
|
||||||||||||
|
|
|
618 |
|
||||||||||
|
|
Automobiles — 0.5% |
||||||||||||
|
94 |
|
|
Ford Motor Co. (a) |
1,108 |
|
||||||||
|
7 |
|
|
Harley-Davidson, Inc. |
199 |
|
||||||||
|
|
|
||||||||||||
|
|
|
1,307 |
|
||||||||||
|
|
Distributors — 0.1% |
||||||||||||
|
4 |
|
|
Genuine Parts Co. |
181 |
|
||||||||
|
|
|
||||||||||||
|
|
Diversified Consumer Services — 0.2% |
||||||||||||
|
4 |
|
|
Apollo Group, Inc., Class A (a) |
192 |
|
||||||||
|
2 |
|
|
DeVry, Inc. |
100 |
|
||||||||
|
9 |
|
|
H&R Block, Inc. |
151 |
|
||||||||
|
|
|
||||||||||||
|
|
|
443 |
|
||||||||||
|
|
Hotels, Restaurants & Leisure — 1.7% |
||||||||||||
|
12 |
|
|
Carnival Corp. |
441 |
|
||||||||
|
4 |
|
|
Darden Restaurants, Inc. |
168 |
|
||||||||
|
8 |
|
|
International Game Technology |
163 |
|
||||||||
|
7 |
|
|
Marriott International, Inc., Class A |
239 |
|
||||||||
|
30 |
|
|
McDonald's Corp. |
2,018 |
|
||||||||
|
21 |
|
|
Starbucks Corp. |
540 |
|
||||||||
|
5 |
|
|
Starwood Hotels & Resorts Worldwide, Inc. |
242 |
|
||||||||
|
5 |
|
|
Wyndham Worldwide Corp. |
118 |
|
||||||||
|
2 |
|
|
Wynn Resorts Ltd. |
163 |
|
||||||||
|
13 |
|
|
Yum! Brands, Inc. |
539 |
|
||||||||
|
|
|
||||||||||||
|
|
|
4,631 |
|
||||||||||
|
|
Household Durables — 0.4% |
||||||||||||
|
8 |
|
|
D.R. Horton, Inc. |
95 |
|
||||||||
|
4 |
|
|
Fortune Brands, Inc. |
202 |
|
||||||||
|
2 |
|
|
Harman International Industries, Inc. (a) |
63 |
|
||||||||
|
4 |
|
|
Leggett & Platt, Inc. |
97 |
|
||||||||
|
5 |
|
|
Lennar Corp., Class A |
79 |
|
||||||||
|
8 |
|
|
Newell Rubbermaid, Inc. |
130 |
|
||||||||
|
9 |
|
|
Pulte Group, Inc. (a) |
99 |
|
||||||||
|
4 |
|
|
Stanley Black & Decker, Inc. |
246 |
|
||||||||
|
2 |
|
|
Whirlpool Corp. |
219 |
|
||||||||
|
|
|
||||||||||||
|
|
|
1,230 |
|
||||||||||
|
|
Internet & Catalog Retail — 0.6% |
||||||||||||
|
10 |
|
|
Amazon.com, Inc. (a) |
1,205 |
|
||||||||
|
6 |
|
|
Expedia, Inc. |
128 |
|
||||||||
|
1 |
|
|
priceline.com, Inc. (a) |
244 |
|
||||||||
|
|
|
||||||||||||
|
|
|
1,577 |
|
||||||||||
|
|
Leisure Equipment & Products — 0.1% |
||||||||||||
|
8 |
|
|
Eastman Kodak Co. (a) (c) |
43 |
|
||||||||
|
3 |
|
|
Hasbro, Inc. |
138 |
|
||||||||
|
10 |
|
|
Mattel, Inc. |
221 |
|
||||||||
|
|
|
||||||||||||
|
|
|
402 |
|
||||||||||
|
|
Media — 3.1% |
||||||||||||
|
19 |
|
|
CBS Corp., Class B |
276 |
|
||||||||
|
80 |
|
|
Comcast Corp., Class A |
1,440 |
|
||||||||
|
26 |
|
|
DirecTV, Class A (a) |
989 |
|
||||||||
|
8 |
|
|
Discovery Communications, Inc., Class A (a) |
300 |
|
||||||||
|
7 |
|
|
Gannett Co., Inc. |
103 |
|
||||||||
|
14 |
|
|
Interpublic Group of Cos., Inc. (The) (a) |
114 |
|
||||||||
|
9 |
|
|
McGraw-Hill Cos., Inc. (The) |
246 |
|
||||||||
|
1 |
|
|
Meredith Corp. |
35 |
|
||||||||
|
3 |
|
|
New York Times Co. (The), Class A (a) |
30 |
|
||||||||
|
63 |
|
|
News Corp., Class A |
834 |
|
||||||||
|
9 |
|
|
Omnicom Group, Inc. |
330 |
|
||||||||
|
3 |
|
|
Scripps Networks Interactive, Inc., Class A |
114 |
|
||||||||
|
10 |
|
|
Time Warner Cable, Inc. |
541 |
|
||||||||
|
32 |
|
|
Time Warner, Inc. |
1,000 |
|
||||||||
|
17 |
|
|
Viacom, Inc., Class B (a) |
573 |
|
||||||||
|
54 |
|
|
Walt Disney Co. (The) |
1,818 |
|
||||||||
|
– |
(h) |
|
Washington Post Co. (The), Class B |
80 |
|
||||||||
|
|
|
||||||||||||
|
|
|
8,823 |
|
||||||||||
|
|
Multiline Retail — 0.9% |
||||||||||||
|
2 |
|
|
Big Lots, Inc. (a) |
82 |
|
||||||||
|
4 |
|
|
Family Dollar Stores, Inc. |
158 |
|
||||||||
|
7 |
|
|
J.C. Penney Co., Inc. |
182 |
|
||||||||
|
9 |
|
|
Kohl's Corp. (a) |
436 |
|
||||||||
|
12 |
|
|
Macy's, Inc. |
262 |
|
||||||||
|
5 |
|
|
Nordstrom, Inc. |
184 |
|
||||||||
|
1 |
|
|
Sears Holdings Corp. (a) (c) |
120 |
|
||||||||
|
21 |
|
|
Target Corp. |
1,151 |
|
||||||||
|
|
|
||||||||||||
|
|
|
2,575 |
|
||||||||||
|
|
Specialty Retail — 2.2% |
||||||||||||
|
2 |
|
|
Abercrombie & Fitch Co., Class A |
88 |
|
||||||||
|
3 |
|
|
AutoNation, Inc. (a) (c) |
51 |
|
||||||||
|
1 |
|
|
AutoZone, Inc. (a) |
159 |
|
||||||||
|
7 |
|
|
Bed Bath & Beyond, Inc. (a) |
330 |
|
||||||||
|
10 |
|
|
Best Buy Co., Inc. |
406 |
|
||||||||
|
5 |
|
|
GameStop Corp., Class A (a) |
105 |
|
||||||||
|
13 |
|
|
Gap, Inc. (The) |
291 |
|
||||||||
|
48 |
|
|
Home Depot, Inc. |
1,615 |
|
||||||||
|
8 |
|
|
Limited Brands, Inc. |
186 |
|
||||||||
|
41 |
|
|
Lowe's Cos., Inc. |
1,022 |
|
||||||||
|
8 |
|
|
Office Depot, Inc. (a) |
45 |
|
||||||||
|
4 |
|
|
O'Reilly Automotive, Inc. (a) |
197 |
|
||||||||
|
4 |
|
|
RadioShack Corp. |
72 |
|
||||||||
|
3 |
|
|
Ross Stores, Inc. |
182 |
|
||||||||
|
3 |
|
|
Sherwin-Williams Co. (The) |
198 |
|
||||||||
|
20 |
|
|
Staples, Inc. |
440 |
|
||||||||
|
3 |
|
|
Tiffany & Co. |
159 |
|
||||||||
|
12 |
|
|
TJX Cos., Inc. |
535 |
|
||||||||
|
4 |
|
|
Urban Outfitters, Inc. (a) |
132 |
|
||||||||
|
|
|
||||||||||||
|
|
|
6,213 |
|
||||||||||
|
|
Textiles, Apparel & Luxury Goods — 0.5% |
||||||||||||
|
9 |
|
|
Coach, Inc. |
362 |
|
||||||||
|
11 |
|
|
Nike, Inc., Class B |
792 |
|
||||||||
|
2 |
|
|
Polo Ralph Lauren Corp. |
139 |
|
||||||||
|
2 |
|
|
V.F. Corp. |
192 |
|
||||||||
|
|
|
||||||||||||
|
|
|
1,485 |
|
||||||||||
|
|
Total Consumer Discretionary |
29,485 |
|
||||||||||
|
Consumer Staples — 11.1% |
|||||||||||||
|
|
Beverages — 2.5% |
||||||||||||
|
3 |
|
|
Brown-Forman Corp., Class B |
169 |
|
||||||||
|
65 |
|
|
Coca-Cola Co. (The) |
3,324 |
|
||||||||
|
9 |
|
|
Coca-Cola Enterprises, Inc. |
234 |
|
||||||||
|
6 |
|
|
Constellation Brands, Inc., Class A (a) |
93 |
|
||||||||
|
7 |
|
|
Dr. Pepper Snapple Group, Inc. |
270 |
|
||||||||
|
4 |
|
|
Molson Coors Brewing Co., Class B |
182 |
|
||||||||
|
46 |
|
|
PepsiCo, Inc. |
2,883 |
|
||||||||
|
|
|
||||||||||||
|
|
|
7,155 |
|
||||||||||
|
|
Food & Staples Retailing — 2.6% |
||||||||||||
|
12 |
|
|
Costco Wholesale Corp. |
718 |
|
||||||||
|
39 |
|
|
CVS/Caremark Corp. |
1,351 |
|
||||||||
|
18 |
|
|
Kroger Co. (The) |
367 |
|
||||||||
|
11 |
|
|
Safeway, Inc. |
241 |
|
||||||||
|
6 |
|
|
SUPERVALU, Inc. |
80 |
|
||||||||
|
17 |
|
|
Sysco Corp. |
496 |
|
||||||||
|
28 |
|
|
Walgreen Co. |
885 |
|
||||||||
|
60 |
|
|
Wal-Mart Stores, Inc. |
3,026 |
|
||||||||
|
5 |
|
|
Whole Foods Market, Inc. (a) |
193 |
|
||||||||
|
|
|
||||||||||||
|
|
|
7,357 |
|
||||||||||
|
|
Food Products — 1.8% |
||||||||||||
|
18 |
|
|
Archer-Daniels-Midland Co. |
456 |
|
||||||||
|
5 |
|
|
Campbell Soup Co. |
190 |
|
||||||||
|
12 |
|
|
ConAgra Foods, Inc. |
301 |
|
||||||||
|
5 |
|
|
Dean Foods Co. (a) |
54 |
|
||||||||
|
9 |
|
|
General Mills, Inc. |
658 |
|
||||||||
|
9 |
|
|
H.J. Heinz Co. |
392 |
|
||||||||
|
5 |
|
|
Hershey Co. (The) |
218 |
|
||||||||
|
2 |
|
|
Hormel Foods Corp. |
78 |
|
||||||||
|
3 |
|
|
JM Smucker Co. (The) |
184 |
|
||||||||
|
7 |
|
|
Kellogg Co. |
382 |
|
||||||||
|
49 |
|
|
Kraft Foods, Inc., Class A |
1,393 |
|
||||||||
|
4 |
|
|
McCormick & Co., Inc. (Non-Voting) |
143 |
|
||||||||
|
6 |
|
|
Mead Johnson Nutrition Co. |
283 |
|
||||||||
|
19 |
|
|
Sara Lee Corp. |
263 |
|
||||||||
|
9 |
|
|
Tyson Foods, Inc., Class A |
150 |
|
||||||||
|
|
|
||||||||||||
|
|
|
5,145 |
|
||||||||||
|
|
Household Products — 2.5% |
||||||||||||
|
4 |
|
|
Clorox Co. |
247 |
|
||||||||
|
14 |
|
|
Colgate-Palmolive Co. |
1,082 |
|
||||||||
|
12 |
|
|
Kimberly-Clark Corp. |
709 |
|
||||||||
|
81 |
|
|
Procter & Gamble Co. (The) |
4,977 |
|
||||||||
|
|
|
||||||||||||
|
|
|
7,015 |
|
||||||||||
|
|
Personal Products — 0.2% |
||||||||||||
|
12 |
|
|
Avon Products, Inc. |
318 |
|
||||||||
|
3 |
|
|
Estee Lauder Cos., Inc. (The), Class A |
193 |
|
||||||||
|
|
|
||||||||||||
|
|
|
511 |
|
||||||||||
|
|
Tobacco — 1.5% |
||||||||||||
|
58 |
|
|
Altria Group, Inc. |
1,184 |
|
||||||||
|
4 |
|
|
Lorillard, Inc. |
310 |
|
||||||||
|
53 |
|
|
Philip Morris International, Inc. |
2,328 |
|
||||||||
|
5 |
|
|
Reynolds American, Inc. |
247 |
|
||||||||
|
|
|
||||||||||||
|
|
|
4,069 |
|
||||||||||
|
|
Total Consumer Staples |
31,252 |
|
||||||||||
|
Energy — 10.5% |
|||||||||||||
|
|
Energy Equipment & Services — 1.6% |
||||||||||||
|
12 |
|
|
Baker Hughes, Inc. |
459 |
|
||||||||
|
7 |
|
|
Cameron International Corp. (a) |
248 |
|
||||||||
|
2 |
|
|
Diamond Offshore Drilling, Inc. (c) |
123 |
|
||||||||
|
3 |
|
|
FMC Technologies, Inc. (a) |
199 |
|
||||||||
|
25 |
|
|
Halliburton Co. |
630 |
|
||||||||
|
3 |
|
|
Helmerich & Payne, Inc. |
112 |
|
||||||||
|
8 |
|
|
Nabors Industries Ltd., (Bermuda) (a) |
152 |
|
||||||||
|
12 |
|
|
National Oilwell Varco, Inc. |
447 |
|
||||||||
|
3 |
|
|
Rowan Cos., Inc. (a) |
79 |
|
||||||||
|
34 |
|
|
Schlumberger Ltd. |
1,885 |
|
||||||||
|
7 |
|
|
Smith International, Inc. |
262 |
|
||||||||
|
|
|
||||||||||||
|
|
|
4,596 |
|
||||||||||
|
|
Oil, Gas & Consumable Fuels — 8.9% |
||||||||||||
|
14 |
|
|
Anadarko Petroleum Corp. |
723 |
|
||||||||
|
9 |
|
|
Apache Corp. |
845 |
|
||||||||
|
3 |
|
|
Cabot Oil & Gas Corp. |
101 |
|
||||||||
|
18 |
|
|
Chesapeake Energy Corp. |
409 |
|
||||||||
|
56 |
|
|
Chevron Corp. |
4,161 |
|
||||||||
|
42 |
|
|
ConocoPhillips |
2,163 |
|
||||||||
|
6 |
|
|
Consol Energy, Inc. |
225 |
|
||||||||
|
11 |
|
|
Denbury Resources, Inc. (a) |
183 |
|
||||||||
|
13 |
|
|
Devon Energy Corp. |
800 |
|
||||||||
|
20 |
|
|
El Paso Corp. |
223 |
|
||||||||
|
7 |
|
|
EOG Resources, Inc. |
743 |
|
||||||||
|
132 |
|
|
Exxon Mobil Corp. |
8,007 |
|
||||||||
|
8 |
|
|
Hess Corp. |
435 |
|
||||||||
|
20 |
|
|
Marathon Oil Corp. |
617 |
|
||||||||
|
2 |
|
|
Massey Energy Co. |
80 |
|
||||||||
|
5 |
|
|
Murphy Oil Corp. |
286 |
|
||||||||
|
5 |
|
|
Noble Energy, Inc. |
291 |
|
||||||||
|
23 |
|
|
Occidental Petroleum Corp. |
1,879 |
|
||||||||
|
8 |
|
|
Peabody Energy Corp. |
294 |
|
||||||||
|
3 |
|
|
Pioneer Natural Resources Co. |
207 |
|
||||||||
|
4 |
|
|
Range Resources Corp. |
201 |
|
||||||||
|
10 |
|
|
Southwestern Energy Co. (a) |
365 |
|
||||||||
|
18 |
|
|
Spectra Energy Corp. |
363 |
|
||||||||
|
3 |
|
|
Sunoco, Inc. |
98 |
|
||||||||
|
4 |
|
|
Tesoro Corp. |
46 |
|
||||||||
|
16 |
|
|
Valero Energy Corp. |
296 |
|
||||||||
|
16 |
|
|
Williams Cos., Inc. (The) |
323 |
|
||||||||
|
16 |
|
|
XTO Energy, Inc. |
699 |
|
||||||||
|
|
|
||||||||||||
|
|
|
25,063 |
|
||||||||||
|
|
Total Energy |
29,659 |
|
||||||||||
|
Financials — 16.0% |
|||||||||||||
|
|
Capital Markets — 2.5% |
||||||||||||
|
7 |
|
|
Ameriprise Financial, Inc. |
285 |
|
||||||||
|
34 |
|
|
Bank of New York Mellon Corp. (The) |
922 |
|
||||||||
|
27 |
|
|
Charles Schwab Corp. (The) |
448 |
|
||||||||
|
54 |
|
|
E*Trade Financial Corp. (a) |
80 |
|
||||||||
|
2 |
|
|
Federated Investors, Inc., Class B (c) |
55 |
|
||||||||
|
4 |
|
|
Franklin Resources, Inc. |
408 |
|
||||||||
|
15 |
|
|
Goldman Sachs Group, Inc. (The) |
2,129 |
|
||||||||
|
12 |
|
|
Invesco Ltd. |
223 |
|
||||||||
|
5 |
|
|
Janus Capital Group, Inc. |
55 |
|
||||||||
|
5 |
|
|
Legg Mason, Inc. |
136 |
|
||||||||
|
39 |
|
|
Morgan Stanley |
1,063 |
|
||||||||
|
7 |
|
|
Northern Trust Corp. |
345 |
|
||||||||
|
14 |
|
|
State Street Corp. |
530 |
|
||||||||
|
7 |
|
|
T. Rowe Price Group, Inc. |
360 |
|
||||||||
|
|
|
||||||||||||
|
|
|
7,039 |
|
||||||||||
|
|
Commercial Banks — 3.2% |
||||||||||||
|
19 |
|
|
BB&T Corp. |
586 |
|
||||||||
|
5 |
|
|
Comerica, Inc. |
186 |
|
||||||||
|
22 |
|
|
Fifth Third Bancorp |
290 |
|
||||||||
|
6 |
|
|
First Horizon National Corp. (a) |
79 |
|
||||||||
|
20 |
|
|
Huntington Bancshares, Inc. |
124 |
|
||||||||
|
25 |
|
|
KeyCorp |
197 |
|
||||||||
|
2 |
|
|
M&T Bank Corp. (c) |
185 |
|
||||||||
|
15 |
|
|
Marshall & Ilsley Corp. |
120 |
|
||||||||
|
15 |
|
|
PNC Financial Services Group, Inc. |
910 |
|
||||||||
|
33 |
|
|
Regions Financial Corp. |
255 |
|
||||||||
|
14 |
|
|
SunTrust Banks, Inc. |
377 |
|
||||||||
|
54 |
|
|
U.S. Bancorp |
1,286 |
|
||||||||
|
145 |
|
|
Wells Fargo & Co. |
4,169 |
|
||||||||
|
4 |
|
|
Zions Bancorp (c) |
101 |
|
||||||||
|
|
|
||||||||||||
|
|
|
8,865 |
|
||||||||||
|
|
Consumer Finance — 0.8% |
||||||||||||
|
34 |
|
|
American Express Co. |
1,338 |
|
||||||||
|
13 |
|
|
Capital One Financial Corp. |
528 |
|
||||||||
|
15 |
|
|
Discover Financial Services |
205 |
|
||||||||
|
14 |
|
|
SLM Corp. (a) |
151 |
|
||||||||
|
|
|
||||||||||||
|
|
|
2,222 |
|
||||||||||
|
|
Diversified Financial Services — 4.4% |
||||||||||||
|
281 |
|
|
Bank of America Corp. |
4,429 |
|
||||||||
|
551 |
|
|
Citigroup, Inc. (a) |
2,183 |
|
||||||||
|
2 |
|
|
CME Group, Inc. |
592 |
|
||||||||
|
2 |
|
|
IntercontinentalExchange, Inc. (a) |
240 |
|
||||||||
|
111 |
|
|
JPMorgan Chase & Co. (q) |
4,410 |
|
||||||||
|
5 |
|
|
Leucadia National Corp. (a) |
117 |
|
||||||||
|
6 |
|
|
Moody's Corp. (c) |
113 |
|
||||||||
|
4 |
|
|
NASDAQ OMX Group, Inc. (The) (a) |
77 |
|
||||||||
|
7 |
|
|
NYSE Euronext |
210 |
|
||||||||
|
|
|
||||||||||||
|
|
|
12,371 |
|
||||||||||
|
|
Insurance — 3.7% |
||||||||||||
|
13 |
|
|
Aflac, Inc. |
583 |
|
||||||||
|
15 |
|
|
Allstate Corp. (The) |
461 |
|
||||||||
|
4 |
|
|
American International Group, Inc. (a) (c) |
134 |
|
||||||||
|
7 |
|
|
AON Corp. |
295 |
|
||||||||
|
3 |
|
|
Assurant, Inc. |
113 |
|
||||||||
|
46 |
|
|
Berkshire Hathaway, Inc., Class B (a) |
3,275 |
|
||||||||
|
9 |
|
|
Chubb Corp. |
463 |
|
||||||||
|
5 |
|
|
Cincinnati Financial Corp. |
124 |
|
||||||||
|
14 |
|
|
Genworth Financial, Inc., Class A (a) |
214 |
|
||||||||
|
12 |
|
|
Hartford Financial Services Group, Inc. |
312 |
|
||||||||
|
8 |
|
|
Lincoln National Corp. |
224 |
|
||||||||
|
10 |
|
|
Loews Corp. |
323 |
|
||||||||
|
15 |
|
|
Marsh & McLennan Cos., Inc. |
326 |
|
||||||||
|
23 |
|
|
MetLife, Inc. |
930 |
|
||||||||
|
9 |
|
|
Principal Financial Group, Inc. |
244 |
|
||||||||
|
19 |
|
|
Progressive Corp. (The) |
369 |
|
||||||||
|
13 |
|
|
Prudential Financial, Inc. |
753 |
|
||||||||
|
2 |
|
|
Torchmark Corp. |
120 |
|
||||||||
|
14 |
|
|
Travelers Cos., Inc. (The) |
713 |
|
||||||||
|
9 |
|
|
Unum Group |
215 |
|
||||||||
|
10 |
|
|
XL Capital Ltd., (Bermuda), Class A |
169 |
|
||||||||
|
|
|
||||||||||||
|
|
|
10,360 |
|
||||||||||
|
|
Real Estate Investment Trusts (REITs) — 1.3% |
||||||||||||
|
3 |
|
|
Apartment Investment & Management Co., Class A |
68 |
|
||||||||
|
2 |
|
|
AvalonBay Communities, Inc. |
224 |
|
||||||||
|
4 |
|
|
Boston Properties, Inc. |
299 |
|
||||||||
|
8 |
|
|
Equity Residential |
357 |
|
||||||||
|
8 |
|
|
HCP, Inc. |
263 |
|
||||||||
|
3 |
|
|
Health Care REIT, Inc. |
149 |
|
||||||||
|
18 |
|
|
Host Hotels & Resorts, Inc. |
261 |
|
||||||||
|
11 |
|
|
Kimco Realty Corp. |
163 |
|
||||||||
|
5 |
|
|
Plum Creek Timber Co., Inc. |
160 |
|
||||||||
|
13 |
|
|
ProLogis |
151 |
|
||||||||
|
4 |
|
|
Public Storage |
353 |
|
||||||||
|
8 |
|
|
Simon Property Group, Inc. |
692 |
|
||||||||
|
4 |
|
|
Ventas, Inc. |
206 |
|
||||||||
|
4 |
|
|
Vornado Realty Trust |
343 |
|
||||||||
|
|
|
||||||||||||
|
|
|
3,689 |
|
||||||||||
|
|
Real Estate Management & Development — 0.0% (g) |
||||||||||||
|
8 |
|
|
CB Richard Ellis Group, Inc., Class A (a) |
120 |
|
||||||||
|
|
|
||||||||||||
|
|
Thrifts & Mortgage Finance — 0.1% |
||||||||||||
|
13 |
|
|
Hudson City Bancorp, Inc. |
168 |
|
||||||||
|
10 |
|
|
People's United Financial, Inc. |
145 |
|
||||||||
|
|
|
||||||||||||
|
|
|
313 |
|
||||||||||
|
|
Total Financials |
44,979 |
|
||||||||||
|
Health Care — 11.5% |
|||||||||||||
|
|
Biotechnology — 1.4% |
||||||||||||
|
27 |
|
|
Amgen, Inc. (a) |
1,422 |
|
||||||||
|
8 |
|
|
Biogen Idec, Inc. (a) |
359 |
|
||||||||
|
13 |
|
|
Celgene Corp. (a) |
680 |
|
||||||||
|
2 |
|
|
Cephalon, Inc. (a) |
124 |
|
||||||||
|
7 |
|
|
Genzyme Corp. (a) |
363 |
|
||||||||
|
25 |
|
|
Gilead Sciences, Inc. (a) |
910 |
|
||||||||
|
|
|
||||||||||||
|
|
|
3,858 |
|
||||||||||
|
|
Health Care Equipment & Supplies — 1.8% |
||||||||||||
|
17 |
|
|
Baxter International, Inc. |
714 |
|
||||||||
|
7 |
|
|
Becton, Dickinson & Co. |
471 |
|
||||||||
|
42 |
|
|
Boston Scientific Corp. (a) |
257 |
|
||||||||
|
3 |
|
|
C.R. Bard, Inc. |
217 |
|
||||||||
|
5 |
|
|
CareFusion Corp. (a) |
127 |
|
||||||||
|
4 |
|
|
DENTSPLY International, Inc. |
134 |
|
||||||||
|
5 |
|
|
Hospira, Inc. (a) |
239 |
|
||||||||
|
1 |
|
|
Intuitive Surgical, Inc. (a) |
353 |
|
||||||||
|
31 |
|
|
Medtronic, Inc. |
1,214 |
|
||||||||
|
9 |
|
|
St. Jude Medical, Inc. (a) |
341 |
|
||||||||
|
8 |
|
|
Stryker Corp. |
420 |
|
||||||||
|
3 |
|
|
Varian Medical Systems, Inc. (a) |
174 |
|
||||||||
|
6 |
|
|
Zimmer Holdings, Inc. (a) |
334 |
|
||||||||
|
|
|
||||||||||||
|
|
|
4,995 |
|
||||||||||
|
|
Health Care Providers & Services — 2.1% |
||||||||||||
|
12 |
|
|
Aetna, Inc. |
352 |
|
||||||||
|
8 |
|
|
AmerisourceBergen Corp. |
248 |
|
||||||||
|
10 |
|
|
Cardinal Health, Inc. |
350 |
|
||||||||
|
8 |
|
|
CIGNA Corp. |
258 |
|
||||||||
|
4 |
|
|
Coventry Health Care, Inc. (a) |
86 |
|
||||||||
|
3 |
|
|
DaVita, Inc. (a) |
184 |
|
||||||||
|
8 |
|
|
Express Scripts, Inc. (a) |
777 |
|
||||||||
|
5 |
|
|
Humana, Inc. (a) |
220 |
|
||||||||
|
3 |
|
|
Laboratory Corp. of America Holdings (a) |
222 |
|
||||||||
|
8 |
|
|
McKesson Corp. |
529 |
|
||||||||
|
13 |
|
|
Medco Health Solutions, Inc. (a) |
750 |
|
||||||||
|
3 |
|
|
Patterson Cos., Inc. |
78 |
|
||||||||
|
4 |
|
|
Quest Diagnostics, Inc. |
222 |
|
||||||||
|
12 |
|
|
Tenet Healthcare Corp. (a) |
69 |
|
||||||||
|
32 |
|
|
UnitedHealth Group, Inc. |
944 |
|
||||||||
|
12 |
|
|
WellPoint, Inc. (a) |
639 |
|
||||||||
|
|
|
||||||||||||
|
|
|
5,928 |
|
||||||||||
|
|
Health Care Technology — 0.1% |
||||||||||||
|
2 |
|
|
Cerner Corp. (a) |
160 |
|
||||||||
|
|
|
||||||||||||
|
|
Life Sciences Tools & Services — 0.4% |
||||||||||||
|
5 |
|
|
Life Technologies Corp. (a) |
254 |
|
||||||||
|
2 |
|
|
Millipore Corp. (a) |
167 |
|
||||||||
|
3 |
|
|
PerkinElmer, Inc. |
75 |
|
||||||||
|
11 |
|
|
Thermo Fisher Scientific, Inc. (a) |
598 |
|
||||||||
|
3 |
|
|
Waters Corp. (a) |
179 |
|
||||||||
|
|
|
||||||||||||
|
|
|
1,273 |
|
||||||||||
|
|
Pharmaceuticals — 5.7% |
||||||||||||
|
44 |
|
|
Abbott Laboratories |
2,071 |
|
||||||||
|
9 |
|
|
Allergan, Inc. |
519 |
|
||||||||
|
48 |
|
|
Bristol-Myers Squibb Co. |
1,116 |
|
||||||||
|
28 |
|
|
Eli Lilly & Co. |
933 |
|
||||||||
|
8 |
|
|
Forest Laboratories, Inc. (a) |
220 |
|
||||||||
|
77 |
|
|
Johnson & Johnson |
4,500 |
|
||||||||
|
7 |
|
|
King Pharmaceuticals, Inc. (a) |
61 |
|
||||||||
|
87 |
|
|
Merck & Co., Inc. |
2,944 |
|
||||||||
|
9 |
|
|
Mylan, Inc. (a) (c) |
167 |
|
||||||||
|
226 |
|
|
Pfizer, Inc. |
3,448 |
|
||||||||
|
3 |
|
|
Watson Pharmaceuticals, Inc. (a) |
132 |
|
||||||||
|
|
|
||||||||||||
|
|
|
16,111 |
|
||||||||||
|
|
Total Health Care |
32,325 |
|
||||||||||
|
Industrials — 10.4% |
|||||||||||||
|
|
Aerospace & Defense — 2.9% |
||||||||||||
|
21 |
|
|
Boeing Co. (The) |
1,363 |
|
||||||||
|
11 |
|
|
General Dynamics Corp. |
734 |
|
||||||||
|
4 |
|
|
Goodrich Corp. |
244 |
|
||||||||
|
21 |
|
|
Honeywell International, Inc. |
917 |
|
||||||||
|
5 |
|
|
ITT Corp. |
248 |
|
||||||||
|
3 |
|
|
L-3 Communications Holdings, Inc. |
268 |
|
||||||||
|
9 |
|
|
Lockheed Martin Corp. |
707 |
|
||||||||
|
8 |
|
|
Northrop Grumman Corp. |
514 |
|
||||||||
|
4 |
|
|
Precision Castparts Corp. |
464 |
|
||||||||
|
11 |
|
|
Raytheon Co. |
557 |
|
||||||||
|
4 |
|
|
Rockwell Collins, Inc. |
257 |
|
||||||||
|
26 |
|
|
United Technologies Corp. |
1,770 |
|
||||||||
|
|
|
||||||||||||
|
|
|
8,043 |
|
||||||||||
|
|
Air Freight & Logistics — 1.1% |
||||||||||||
|
5 |
|
|
C.H. Robinson Worldwide, Inc. |
271 |
|
||||||||
|
6 |
|
|
Expeditors International of Washington, Inc. |
227 |
|
||||||||
|
9 |
|
|
FedEx Corp. |
733 |
|
||||||||
|
28 |
|
|
United Parcel Service, Inc., Class B |
1,748 |
|
||||||||
|
|
|
||||||||||||
|
|
|
2,979 |
|
||||||||||
|
|
Airlines — 0.1% |
||||||||||||
|
21 |
|
|
Southwest Airlines Co. |
259 |
|
||||||||
|
|
|
||||||||||||
|
|
Building Products — 0.0% (g) |
||||||||||||
|
10 |
|
|
Masco Corp. |
134 |
|
||||||||
|
|
|
||||||||||||
|
|
Commercial Services & Supplies — 0.5% |
||||||||||||
|
3 |
|
|
Avery Dennison Corp. |
107 |
|
||||||||
|
4 |
|
|
Cintas Corp. |
96 |
|
||||||||
|
5 |
|
|
Iron Mountain, Inc. |
125 |
|
||||||||
|
6 |
|
|
Pitney Bowes, Inc. |
132 |
|
||||||||
|
6 |
|
|
R.R. Donnelley & Sons Co. |
110 |
|
||||||||
|
9 |
|
|
Republic Services, Inc. |
265 |
|
||||||||
|
2 |
|
|
Stericycle, Inc. (a) |
139 |
|
||||||||
|
14 |
|
|
Waste Management, Inc. |
442 |
|
||||||||
|
|
|
||||||||||||
|
|
|
1,416 |
|
||||||||||
|
|
Construction & Engineering — 0.2% |
||||||||||||
|
5 |
|
|
Fluor Corp. |
235 |
|
||||||||
|
3 |
|
|
Jacobs Engineering Group, Inc. (a) |
146 |
|
||||||||
|
6 |
|
|
Quanta Services, Inc. (a) |
122 |
|
||||||||
|
|
|
||||||||||||
|
|
|
503 |
|
||||||||||
|
|
Electrical Equipment — 0.5% |
||||||||||||
|
21 |
|
|
Emerson Electric Co. |
980 |
|
||||||||
|
1 |
|
|
First Solar, Inc. (a) (c) |
153 |
|
||||||||
|
4 |
|
|
Rockwell Automation, Inc. |
214 |
|
||||||||
|
3 |
|
|
Roper Industries, Inc. |
153 |
|
||||||||
|
|
|
||||||||||||
|
|
|
1,500 |
|
||||||||||
|
|
Industrial Conglomerates — 2.4% |
||||||||||||
|
20 |
|
|
3M Co. |
1,584 |
|
||||||||
|
299 |
|
|
General Electric Co. |
4,893 |
|
||||||||
|
8 |
|
|
Textron, Inc. |
158 |
|
||||||||
|
|
|
||||||||||||
|
|
|
6,635 |
|
||||||||||
|
|
Machinery — 1.7% |
||||||||||||
|
18 |
|
|
Caterpillar, Inc. |
1,065 |
|
||||||||
|
6 |
|
|
Cummins, Inc. |
384 |
|
||||||||
|
7 |
|
|
Danaher Corp. |
583 |
|
||||||||
|
12 |
|
|
Deere & Co. |
686 |
|
||||||||
|
5 |
|
|
Dover Corp. |
235 |
|
||||||||
|
5 |
|
|
Eaton Corp. |
324 |
|
||||||||
|
2 |
|
|
Flowserve Corp. |
149 |
|
||||||||
|
11 |
|
|
Illinois Tool Works, Inc. |
504 |
|
||||||||
|
10 |
|
|
PACCAR, Inc. |
419 |
|
||||||||
|
3 |
|
|
Pall Corp. |
112 |
|
||||||||
|
5 |
|
|
Parker Hannifin Corp. |
277 |
|
||||||||
|
2 |
|
|
Snap-On, Inc. |
72 |
|
||||||||
|
|
|
||||||||||||
|
|
|
4,810 |
|
||||||||||
|
|
Professional Services — 0.1% |
||||||||||||
|
1 |
|
|
Dun & Bradstreet Corp. |
105 |
|
||||||||
|
4 |
|
|
Equifax, Inc. |
107 |
|
||||||||
|
4 |
|
|
Robert Half International, Inc. |
105 |
|
||||||||
|
|
|
||||||||||||
|
|
|
317 |
|
||||||||||
|
|
Road & Rail — 0.8% |
||||||||||||
|
11 |
|
|
CSX Corp. |
572 |
|
||||||||
|
10 |
|
|
Norfolk Southern Corp. |
585 |
|
||||||||
|
1 |
|
|
Ryder System, Inc. |
67 |
|
||||||||
|
14 |
|
|
Union Pacific Corp. |
1,013 |
|
||||||||
|
|
|
||||||||||||
|
|
|
2,237 |
|
||||||||||
|
|
Trading Companies & Distributors — 0.1% |
||||||||||||
|
4 |
|
|
Fastenal Co. (c) |
185 |
|
||||||||
|
2 |
|
|
W.W. Grainger, Inc. |
176 |
|
||||||||
|
|
|
||||||||||||
|
|
|
361 |
|
||||||||||
|
|
Total Industrials |
29,194 |
|
||||||||||
|
Information Technology — 18.5% |
|||||||||||||
|
|
Communications Equipment — 2.3% |
||||||||||||
|
161 |
|
|
Cisco Systems, Inc. (a) |
3,720 |
|
||||||||
|
4 |
|
|
Harris Corp. |
172 |
|
||||||||
|
6 |
|
|
JDS Uniphase Corp. (a) |
72 |
|
||||||||
|
15 |
|
|
Juniper Networks, Inc. (a) |
392 |
|
||||||||
|
65 |
|
|
Motorola, Inc. (a) |
445 |
|
||||||||
|
47 |
|
|
QUALCOMM, Inc. |
1,676 |
|
||||||||
|
11 |
|
|
Tellabs, Inc. |
97 |
|
||||||||
|
|
|
||||||||||||
|
|
|
6,574 |
|
||||||||||
|
|
Computers & Peripherals — 6.1% |
||||||||||||
|
25 |
|
|
Apple, Inc. (a) |
6,541 |
|
||||||||
|
48 |
|
|
Dell, Inc. (a) |
644 |
|
||||||||
|
58 |
|
|
EMC Corp. (a) |
1,072 |
|
||||||||
|
66 |
|
|
Hewlett-Packard Co. |
3,038 |
|
||||||||
|
36 |
|
|
International Business Machines Corp. |
4,564 |
|
||||||||
|
2 |
|
|
Lexmark International, Inc., Class A (a) |
82 |
|
||||||||
|
10 |
|
|
NetApp, Inc. (a) |
364 |
|
||||||||
|
3 |
|
|
QLogic Corp. (a) |
58 |
|
||||||||
|
6 |
|
|
SanDisk Corp. (a) |
299 |
|
||||||||
|
5 |
|
|
Teradata Corp. (a) |
150 |
|
||||||||
|
6 |
|
|
Western Digital Corp. (a) |
223 |
|
||||||||
|
|
|
||||||||||||
|
|
|
17,035 |
|
||||||||||
|
|
Electronic Equipment, Instruments & Components — 0.6% |
||||||||||||
|
10 |
|
|
Agilent Technologies, Inc. (a) |
317 |
|
||||||||
|
5 |
|
|
Amphenol Corp., Class A |
206 |
|
||||||||
|
44 |
|
|
Corning, Inc. |
762 |
|
||||||||
|
4 |
|
|
FLIR Systems, Inc. (a) |
122 |
|
||||||||
|
5 |
|
|
Jabil Circuit, Inc. |
74 |
|
||||||||
|
4 |
|
|
Molex, Inc. |
81 |
|
||||||||
|
|
|
||||||||||||
|
|
|
1,562 |
|
||||||||||
|
|
Internet Software & Services — 1.7% |
||||||||||||
|
5 |
|
|
Akamai Technologies, Inc. (a) |
192 |
|
||||||||
|
32 |
|
|
eBay, Inc. (a) |
679 |
|
||||||||
|
7 |
|
|
Google, Inc., Class A (a) |
3,289 |
|
||||||||
|
4 |
|
|
Monster Worldwide, Inc. (a) |
52 |
|
||||||||
|
5 |
|
|
VeriSign, Inc. (a) |
143 |
|
||||||||
|
33 |
|
|
Yahoo!, Inc. (a) |
512 |
|
||||||||
|
|
|
||||||||||||
|
|
|
4,867 |
|
||||||||||
|
|
IT Services — 1.4% |
||||||||||||
|
14 |
|
|
Automatic Data Processing, Inc. |
579 |
|
||||||||
|
8 |
|
|
Cognizant Technology Solutions Corp., Class A (a) |
418 |
|
||||||||
|
4 |
|
|
Computer Sciences Corp. (a) |
215 |
|
||||||||
|
9 |
|
|
Fidelity National Information Services, Inc. |
255 |
|
||||||||
|
4 |
|
|
Fiserv, Inc. (a) |
203 |
|
||||||||
|
3 |
|
|
MasterCard, Inc., Class A |
546 |
|
||||||||
|
9 |
|
|
Paychex, Inc. |
257 |
|
||||||||
|
9 |
|
|
SAIC, Inc. (a) |
147 |
|
||||||||
|
6 |
|
|
Total System Services, Inc. |
81 |
|
||||||||
|
13 |
|
|
Visa, Inc., Class A |
907 |
|
||||||||
|
19 |
|
|
Western Union Co. (The) |
306 |
|
||||||||
|
|
|
||||||||||||
|
|
|
3,914 |
|
||||||||||
|
|
Office Electronics — 0.1% |
||||||||||||
|
38 |
|
|
Xerox Corp. |
353 |
|
||||||||
|
|
|
||||||||||||
|
|
Semiconductors & Semiconductor Equipment — 2.5% |
||||||||||||
|
16 |
|
|
Advanced Micro Devices, Inc. (a) |
136 |
|
||||||||
|
8 |
|
|
Altera Corp. |
197 |
|
||||||||
|
8 |
|
|
Analog Devices, Inc. |
244 |
|
||||||||
|
38 |
|
|
Applied Materials, Inc. |
486 |
|
||||||||
|
12 |
|
|
Broadcom Corp., Class A |
417 |
|
||||||||
|
155 |
|
|
Intel Corp. |
3,319 |
|
||||||||
|
5 |
|
|
KLA-Tencor Corp. |
148 |
|
||||||||
|
6 |
|
|
Linear Technology Corp. |
175 |
|
||||||||
|
18 |
|
|
LSI Corp. (a) |
98 |
|
||||||||
|
6 |
|
|
MEMC Electronic Materials, Inc. (a) |
72 |
|
||||||||
|
5 |
|
|
Microchip Technology, Inc. (c) |
144 |
|
||||||||
|
24 |
|
|
Micron Technology, Inc. (a) |
217 |
|
||||||||
|
7 |
|
|
National Semiconductor Corp. |
94 |
|
||||||||
|
3 |
|
|
Novellus Systems, Inc. (a) |
69 |
|
||||||||
|
16 |
|
|
NVIDIA Corp. (a) |
204 |
|
||||||||
|
5 |
|
|
Teradyne, Inc. (a) |
55 |
|
||||||||
|
35 |
|
|
Texas Instruments, Inc. |
851 |
|
||||||||
|
8 |
|
|
Xilinx, Inc. |
190 |
|
||||||||
|
|
|
||||||||||||
|
|
|
7,116 |
|
||||||||||
|
|
Software — 3.8% |
||||||||||||
|
15 |
|
|
Adobe Systems, Inc. (a) |
472 |
|
||||||||
|
6 |
|
|
Autodesk, Inc. (a) |
188 |
|
||||||||
|
5 |
|
|
BMC Software, Inc. (a) |
190 |
|
||||||||
|
11 |
|
|
CA, Inc. |
224 |
|
||||||||
|
5 |
|
|
Citrix Systems, Inc. (a) |
225 |
|
||||||||
|
6 |
|
|
Compuware Corp. (a) |
52 |
|
||||||||
|
9 |
|
|
Electronic Arts, Inc. (a) |
151 |
|
||||||||
|
9 |
|
|
Intuit, Inc. (a) |
315 |
|
||||||||
|
4 |
|
|
McAfee, Inc. (a) |
142 |
|
||||||||
|
214 |
|
|
Microsoft Corp. |
5,522 |
|
||||||||
|
10 |
|
|
Novell, Inc. (a) |
57 |
|
||||||||
|
110 |
|
|
Oracle Corp. |
2,474 |
|
||||||||
|
5 |
|
|
Red Hat, Inc. (a) |
155 |
|
||||||||
|
3 |
|
|
Salesforce.com, Inc. (a) |
267 |
|
||||||||
|
23 |
|
|
Symantec Corp. (a) |
320 |
|
||||||||
|
|
|
||||||||||||
|
|
|
10,754 |
|
||||||||||
|
|
Total Information Technology |
52,175 |
|
||||||||||
|
Materials — 3.3% |
|||||||||||||
|
|
Chemicals — 1.8% |
||||||||||||
|
6 |
|
|
Air Products & Chemicals, Inc. |
411 |
|
||||||||
|
2 |
|
|
Airgas, Inc. |
145 |
|
||||||||
|
2 |
|
|
CF Industries Holdings, Inc. |
133 |
|
||||||||
|
32 |
|
|
Dow Chemical Co. (The) |
868 |
|
||||||||
|
25 |
|
|
E.l. du Pont de Nemours & Co. |
917 |
|
||||||||
|
2 |
|
|
Eastman Chemical Co. |
123 |
|
||||||||
|
7 |
|
|
Ecolab, Inc. |
313 |
|
||||||||
|
2 |
|
|
FMC Corp. |
123 |
|
||||||||
|
2 |
|
|
International Flavors & Fragrances, Inc. |
99 |
|
||||||||
|
15 |
|
|
Monsanto Co. |
779 |
|
||||||||
|
5 |
|
|
PPG Industries, Inc. |
298 |
|
||||||||
|
9 |
|
|
Praxair, Inc. |
667 |
|
||||||||
|
3 |
|
|
Sigma-Aldrich Corp. |
182 |
|
||||||||
|
|
|
||||||||||||
|
|
|
5,058 |
|
||||||||||
|
|
Construction Materials — 0.1% |
||||||||||||
|
4 |
|
|
Vulcan Materials Co. |
179 |
|
||||||||
|
|
|
||||||||||||
|
|
Containers & Packaging — 0.2% |
||||||||||||
|
3 |
|
|
Ball Corp. |
130 |
|
||||||||
|
3 |
|
|
Bemis Co., Inc. |
88 |
|
||||||||
|
5 |
|
|
Owens-Illinois, Inc. (a) |
143 |
|
||||||||
|
4 |
|
|
Pactiv Corp. (a) |
106 |
|
||||||||
|
4 |
|
|
Sealed Air Corp. |
93 |
|
||||||||
|
|
|
||||||||||||
|
|
|
560 |
|
||||||||||
|
|
Metals & Mining — 1.0% |
||||||||||||
|
3 |
|
|
AK Steel Holding Corp. |
46 |
|
||||||||
|
29 |
|
|
Alcoa, Inc. |
333 |
|
||||||||
|
3 |
|
|
Allegheny Technologies, Inc. |
151 |
|
||||||||
|
4 |
|
|
Cliffs Natural Resources, Inc. |
212 |
|
||||||||
|
12 |
|
|
Freeport-McMoRan Copper & Gold, Inc. |
846 |
|
||||||||
|
14 |
|
|
Newmont Mining Corp. |
741 |
|
||||||||
|
9 |
|
|
Nucor Corp. |
380 |
|
||||||||
|
2 |
|
|
Titanium Metals Corp. (a) |
42 |
|
||||||||
|
4 |
|
|
United States Steel Corp. |
190 |
|
||||||||
|
|
|
||||||||||||
|
|
|
2,941 |
|
||||||||||
|
|
Paper & Forest Products — 0.2% |
||||||||||||
|
12 |
|
|
International Paper Co. |
282 |
|
||||||||
|
5 |
|
|
MeadWestvaco Corp. |
115 |
|
||||||||
|
6 |
|
|
Weyerhaeuser Co. |
252 |
|
||||||||
|
|
|
||||||||||||
|
|
|
649 |
|
||||||||||
|
|
Total Materials |
9,387 |
|
||||||||||
|
Telecommunication Services — 2.8% |
|||||||||||||
|
|
Diversified Telecommunication Services — 2.5% |
||||||||||||
|
166 |
|
|
AT&T, Inc. |
4,023 |
|
||||||||
|
8 |
|
|
CenturyLink, Inc. |
288 |
|
||||||||
|
9 |
|
|
Frontier Communications Corp. (c) |
69 |
|
||||||||
|
42 |
|
|
Qwest Communications International, Inc. |
219 |
|
||||||||
|
80 |
|
|
Verizon Communications, Inc. |
2,189 |
|
||||||||
|
13 |
|
|
Windstream Corp. |
137 |
|
||||||||
|
|
|
||||||||||||
|
|
|
6,925 |
|
||||||||||
|
|
Wireless Telecommunication Services — 0.3% |
||||||||||||
|
11 |
|
|
American Tower Corp., Class A (a) |
458 |
|
||||||||
|
7 |
|
|
MetroPCS Communications, Inc. (a) |
66 |
|
||||||||
|
84 |
|
|
Sprint Nextel Corp. (a) |
428 |
|
||||||||
|
|
|
||||||||||||
|
|
|
952 |
|
||||||||||
|
|
Total Telecommunication Services |
7,877 |
|
||||||||||
|
Utilities — 3.5% |
|||||||||||||
|
|
Electric Utilities — 1.8% |
||||||||||||
|
5 |
|
|
Allegheny Energy, Inc. |
97 |
|
||||||||
|
13 |
|
|
American Electric Power Co., Inc. |
429 |
|
||||||||
|
37 |
|
|
Duke Energy Corp. |
586 |
|
||||||||
|
9 |
|
|
Edison International |
296 |
|
||||||||
|
5 |
|
|
Entergy Corp. |
398 |
|
||||||||
|
19 |
|
|
Exelon Corp. |
714 |
|
||||||||
|
9 |
|
|
FirstEnergy Corp. |
301 |
|
||||||||
|
12 |
|
|
FPL Group, Inc. |
579 |
|
||||||||
|
5 |
|
|
Northeast Utilities |
128 |
|
||||||||
|
6 |
|
|
Pepco Holdings, Inc. |
101 |
|
||||||||
|
3 |
|
|
Pinnacle West Capital Corp. |
100 |
|
||||||||
|
11 |
|
|
PPL Corp. |
273 |
|
||||||||
|
8 |
|
|
Progress Energy, Inc. |
308 |
|
||||||||
|
23 |
|
|
Southern Co. |
752 |
|
||||||||
|
|
|
||||||||||||
|
|
|
5,062 |
|
||||||||||
|
|
Gas Utilities — 0.2% |
||||||||||||
|
4 |
|
|
EQT Corp. |
158 |
|
||||||||
|
1 |
|
|
Nicor, Inc. |
51 |
|
||||||||
|
3 |
|
|
Oneok, Inc. |
132 |
|
||||||||
|
5 |
|
|
Questar Corp. |
220 |
|
||||||||
|
|
|
||||||||||||
|
|
|
561 |
|
||||||||||
|
|
Independent Power Producers & Energy Traders — 0.2% |
||||||||||||
|
19 |
|
|
AES Corp. (The) (a) |
193 |
|
||||||||
|
6 |
|
|
Constellation Energy Group, Inc. |
200 |
|
||||||||
|
7 |
|
|
NRG Energy, Inc. (a) |
171 |
|
||||||||
|
|
|
||||||||||||
|
|
|
564 |
|
||||||||||
|
|
Multi-Utilities — 1.3% |
||||||||||||
|
7 |
|
|
Ameren Corp. |
164 |
|
||||||||
|
11 |
|
|
CenterPoint Energy, Inc. |
150 |
|
||||||||
|
6 |
|
|
CMS Energy Corp. |
95 |
|
||||||||
|
8 |
|
|
Consolidated Edison, Inc. |
336 |
|
||||||||
|
17 |
|
|
Dominion Resources, Inc. |
656 |
|
||||||||
|
5 |
|
|
DTE Energy Co. |
210 |
|
||||||||
|
2 |
|
|
Integrys Energy Group, Inc. |
97 |
|
||||||||
|
8 |
|
|
NiSource, Inc. |
116 |
|
||||||||
|
10 |
|
|
PG&E Corp. |
432 |
|
||||||||
|
14 |
|
|
Public Service Enterprise Group, Inc. |
435 |
|
||||||||
|
3 |
|
|
SCANA Corp. |
113 |
|
||||||||
|
7 |
|
|
Sempra Energy |
319 |
|
||||||||
|
6 |
|
|
TECO Energy, Inc. |
93 |
|
||||||||
|
3 |
|
|
Wisconsin Energy Corp. |
161 |
|
||||||||
|
13 |
|
|
Xcel Energy, Inc. |
262 |
|
||||||||
|
|
|
||||||||||||
|
|
|
3,639 |
|
||||||||||
|
|
Total Utilities |
9,826 |
|
||||||||||
|
|
Total Common Stocks (Cost $262,768) |
276,159 |
|
||||||||||
|
Investment Company — 0.0% (g) |
|||||||||||||
|
1 |
|
|
SPDR Trust, Series 1 (c) (Cost $60) |
66 |
|
||||||||
|
|
|
||||||||||||
|
Short-Term Investments — 1.7% |
|||||||||||||
|
|
Investment Company — 1.3% |
||||||||||||
|
3,651 |
|
|
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (m) (Cost $3,651) |
3,651 |
|
||||||||
|
PRINCIPAL AMOUNT($) |
|
||||||||||||
|
|
U.S. Treasury Obligations — 0.4% |
||||||||||||
|
|
U.S. Treasury Bills (k) (n) |
|
|||||||||||
|
746 |
|
|
0.129%, 06/03/10 |
747 |
|
||||||||
|
424 |
|
|
0.159%, 08/26/10 |
424 |
|
||||||||
|
|
|
||||||||||||
|
|
|
1,171 |
|
||||||||||
|
|
Total Short-Term Investments (Cost $4,821) |
4,822 |
|
||||||||||
|
SHARES |
|
|
|||||||||||
|
Investment of Cash Collateral for Securities on Loan — 0.6% |
|||||||||||||
|
|
Investment Company — 0.6% |
||||||||||||
|
1,543 |
|
|
JPMorgan Prime Money Market Fund, Capital Shares, 0.130% (b) (l) (Cost $1,543) |
1,543 |
|
||||||||
|
|
|
||||||||||||
|
|
Total Investments — 100.4% (Cost $269,192) |
282,590 |
|
||||||||||
|
|
Liabilities in Excess of Other Assets — (0.4)% |
(999 |
) |
||||||||||
|
|
NET ASSETS — 100.0% |
$281,591 |
|
|
|
|
||||||||||||
|
||||||||||||||
Percentages indicated are based on net assets. |
||||||||||||||
|
Futures Contracts |
|
|
|
|||||||||||||||
NUMBER OF CONTRACTS |
DESCRIPTION |
EXPIRATION DATE |
NOTIONAL AMOUNT AT 05/31/10 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
|
Long Futures Outstanding |
|
|
|
||||||||||||||
90 |
|
|
S&P 500 Index |
06/18/10 |
$4,898 |
$(158) |
|
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS : |
||||||||||
SPDR |
— |
Standard & Poor's Depository Receipts |
||||||||
(a) |
|
Non-income producing security. |
||||||||
(b) |
|
Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
||||||||
(c) |
|
Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. |
||||||||
(g) |
|
Amount rounds to less than 0.1%. |
||||||||
(h) |
|
Amount rounds to less than one thousand (shares or dollars). |
||||||||
(k) |
|
Security isfully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts. |
||||||||
(l) |
|
The rate shown is the current yield as of May 31, 2010. |
||||||||
(m) |
|
All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. |
||||||||
(n) |
|
The rate shown is the effective yield at the date of purchase. |
||||||||
(q) |
|
Investment in affiliate. This security is included in an index in which the Portfolio, as an index fund, invests. |
|
||||||||||
As of May 31, 2010, 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 |
|
$44,254 |
|
|||||||
Aggregate gross unrealized depreciation |
|
(30,856) |
|
|||||||
Net unrealized appreciation/depreciation |
|
$13,398 |
|
|||||||
Federal income tax cost of investments |
|
$269,192 |
|
|||||||
|
|
||||||||||||||||||
The various inputs that are used in determining the fair value of the Fund’s investments are summarized into the three broad levels listed below. • Level 1 – quoted prices in active markets for identical securities • Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) • Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following table represents each valuation input by sector as presented in the Schedule of Portfolio Investments (amounts in thousands): |
||||||||||||||||||
|
||||||||||||||||||
|
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total |
||||||||||||||
Total Investments in Securities # |
$281,419 |
|
$1,171 |
|
$– |
|
$282,590 |
|
||||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||||
Futures Contracts |
$(158 |
) |
$– |
|
$– |
|
$(158 |
) |
||||||||||
|
|
|
|
|
||||||||||||||
|
|
|
|
|
||||||||||||||
|
|
PRINCIPAL AMOUNT ($) |
SECURITY DESCRIPTION |
VALUE($) |
|||||||||||||||
|
Asset-Backed Securities — 1.7% |
|||||||||||||||||
|
|
65 |
|
|
Ally Auto Receivables Trust, Series 2010-1, Class A3, 1.450%, 05/15/14 |
65 |
|
|||||||||||
|
|
|
AmeriCredit Automobile Receivables Trust, |
|
||||||||||||||
|
|
560 |
|
|
Series 2006-BG, Class A4, 5.210%, 09/06/13 |
575 |
|
|||||||||||
|
|
30 |
|
|
Series 2007-CM, Class A3B, VAR, 0.315%, 05/07/12 |
29 |
|
|||||||||||
|
|
175 |
|
|
Series 2009-1, Class A3, 3.040%, 10/15/13 |
179 |
|
|||||||||||
|
|
30 |
|
|
Series 2010-1, Class A2, 0.970%, 01/15/13 |
30 |
|
|||||||||||
|
|
25 |
|
|
Series 2010-1, Class A3, 1.660%, 03/17/14 |
25 |
|
|||||||||||
|
|
|
Bank of America Auto Trust, |
|
||||||||||||||
|
|
575 |
|
|
Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) |
585 |
|
|||||||||||
|
|
150 |
|
|
Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) |
156 |
|
|||||||||||
|
|
130 |
|
|
Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) |
130 |
|
|||||||||||
|
|
100 |
|
|
Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) |
101 |
|
|||||||||||
|
|
91 |
|
|
Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.713%, 04/25/36 |
60 |
|
|||||||||||
|
|
18 |
|
|
Capital One Auto Finance Trust, Series 2007-B, Class A3A, 5.030%, 04/15/12 |
18 |
|
|||||||||||
|
|
60 |
|
|
CarMax Auto Owner Trust, Series 2010-1, Class A3, 1.560%, 07/15/14 |
60 |
|
|||||||||||
|
|
200 |
|
|
Centex Home Equity, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 |
193 |
|
|||||||||||
|
|
150 |
|
|
Chrysler Financial Auto Securitization Trust, Series 2009-A, Class A3, 2.820%, 01/15/16 |
153 |
|
|||||||||||
|
|
500 |
|
|
Citibank Credit Card Issuance Trust, Series 2002-C2, Class C2, 6.950%, 02/18/14 |
534 |
|
|||||||||||
|
|
155 |
|
|
CNH Equipment Trust, Series 2010-A, Class A3, 1.540%, 07/15/14 |
155 |
|
|||||||||||
|
|
62 |
|
|
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 |
40 |
|
|||||||||||
|
|
|
Ford Credit Auto Owner Trust, |
|
||||||||||||||
|
|
441 |
|
|
Series 2006-B, Class A4, 5.250%, 09/15/11 |
446 |
|
|||||||||||
|
|
118 |
|
|
Series 2007-B, Class A3A, 5.150%, 11/15/11 |
120 |
|
|||||||||||
|
|
250 |
|
|
Series 2009-B, Class A3, 2.790%, 08/15/13 |
254 |
|
|||||||||||
|
|
200 |
|
|
Series 2009-B, Class A4, 4.500%, 07/15/14 |
213 |
|
|||||||||||
|
|
119 |
|
|
GE Capital Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 |
106 |
|
|||||||||||
|
|
|
HFC Home Equity Loan Asset-Backed Certificates, |
|
||||||||||||||
|
|
109 |
|
|
Series 2005-2, Class A1, VAR, 0.610%, 01/20/35 |
97 |
|
|||||||||||
|
|
82 |
|
|
Series 2006-1, Class A1, VAR, 0.500%, 01/20/36 |
76 |
|
|||||||||||
|
|
96 |
|
|
Series 2007-3, Class APT, VAR, 1.540%, 11/20/36 |
81 |
|
|||||||||||
|
|
|
Honda Auto Receivables Owner Trust, |
|
||||||||||||||
|
|
315 |
|
|
Series 2009-2, Class A3, 2.790%, 01/15/13 |
321 |
|
|||||||||||
|
|
100 |
|
|
Series 2009-2, Class A4, 4.430%, 07/15/15 |
105 |
|
|||||||||||
|
|
150 |
|
|
Series 2009-3, Class A3, 2.310%, 05/15/13 |
152 |
|
|||||||||||
|
|
150 |
|
|
Series 2009-3, Class A4, 3.300%, 09/15/15 |
155 |
|
|||||||||||
|
|
138 |
|
|
John Deere Owner Trust, Series 2009-A, Class A3, 2.590%, 10/15/13 |
140 |
|
|||||||||||
|
|
407 |
|
|
MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14 |
434 |
|
|||||||||||
|
|
105 |
|
|
Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14 |
105 |
|
|||||||||||
|
|
|
World Omni Auto Receivables Trust, |
|
||||||||||||||
|
|
55 |
|
|
Series 2007-B, Class A3A, 5.280%, 01/17/12 |
55 |
|
|||||||||||
|
|
135 |
|
|
Series 2010-A, Class A4, 2.210%, 05/15/15 |
136 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Total Asset-Backed Securities (Cost $6,022) |
6,084 |
|
|||||||||||||
|
Collateralized Mortgage Obligations — 31.1% |
|||||||||||||||||
|
|
|
Agency CMO — 25.9% |
|||||||||||||||
|
|
106 |
|
|
Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 24, Class ZE, 6.250%, 11/25/23 |
116 |
|
|||||||||||
|
|
|
Federal Home Loan Mortgage Corp. REMICS, |
|
||||||||||||||
|
|
2 |
|
|
Series 1079, Class S, HB, IF, 32.725%, 05/15/21 |
2 |
|
|||||||||||
|
|
2 |
|
|
Series 1084, Class F, VAR, 1.325%, 05/15/21 |
2 |
|
|||||||||||
|
|
1 |
|
|
Series 1084, Class S, HB, IF, 43.537%, 05/15/21 |
2 |
|
|||||||||||
|
|
10 |
|
|
Series 11, Class D, 9.500%, 07/15/19 |
11 |
|
|||||||||||
|
|
25 |
|
|
Series 114, Class H, 6.950%, 01/15/21 |
28 |
|
|||||||||||
|
|
13 |
|
|
Series 1144, Class KB, 8.500%, 09/15/21 |
14 |
|
|||||||||||
|
|
– |
(h) |
|
Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 |
1 |
|
|||||||||||
|
|
– |
(h) |
|
Series 1196, Class B, HB, IF, 1,153.506%, 01/15/22 |
3 |
|
|||||||||||
|
|
18 |
|
|
Series 1206, Class IA, 7.000%, 03/15/22 |
20 |
|
|||||||||||
|
|
31 |
|
|
Series 1212, Class IZ, 8.000%, 02/15/22 |
32 |
|
|||||||||||
|
|
12 |
|
|
Series 1250, Class J, 7.000%, 05/15/22 |
13 |
|
|||||||||||
|
|
39 |
|
|
Series 1343, Class LA, 8.000%, 08/15/22 |
43 |
|
|||||||||||
|
|
166 |
|
|
Series 1466, Class PZ, 7.500%, 02/15/23 |
183 |
|
|||||||||||
|
|
2 |
|
|
Series 1470, Class F, VAR, 2.859%, 02/15/23 |
2 |
|
|||||||||||
|
|
63 |
|
|
Series 1491, Class I, 7.500%, 04/15/23 |
69 |
|
|||||||||||
|
|
63 |
|
|
Series 1518, Class G, IF, 8.743%, 05/15/23 |
70 |
|
|||||||||||
|
|
56 |
|
|
Series 1541, Class O, VAR, 2.860%, 07/15/23 |
57 |
|
|||||||||||
|
|
3 |
|
|
Series 1602, Class SA, HB, IF , 21.531%, 10/15/23 |
4 |
|
|||||||||||
|
|
18 |
|
|
Series 1607, Class H, 6.250%, 10/15/13 |
18 |
|
|||||||||||
|
|
207 |
|
|
Series 1608, Class L, 6.500%, 09/15/23 |
225 |
|
|||||||||||
|
|
173 |
|
|
Series 1609, Class LG, IF, 16.521%, 11/15/23 |
212 |
|
|||||||||||
|
|
3 |
|
|
Series 1611, Class JA, VAR, 1.625%, 08/15/23 |
3 |
|
|||||||||||
|
|
2 |
|
|
Series 1611, Class JB, HB, IF , 20.836%, 08/15/23 |
2 |
|
|||||||||||
|
|
4 |
|
|
Series 1671, Class L, 7.000%, 02/15/24 |
4 |
|
|||||||||||
|
|
28 |
|
|
Series 1700, Class GA, PO, 02/15/24 |
26 |
|
|||||||||||
|
|
328 |
|
|
Series 1706, Class K, 7.000%, 03/15/24 |
356 |
|
|||||||||||
|
|
947 |
|
|
Series 1720, Class PL, 7.500%, 04/15/24 |
984 |
|
|||||||||||
|
|
25 |
|
|
Series 1745, Class D, 7.500%, 08/15/24 |
28 |
|
|||||||||||
|
|
70 |
|
|
Series 1798, Class F, 5.000%, 05/15/23 |
72 |
|
|||||||||||
|
|
3 |
|
|
Series 1807, Class G, 9.000%, 10/15/20 |
3 |
|
|||||||||||
|
|
279 |
|
|
Series 1927, Class PH, 7.500%, 01/15/27 |
290 |
|
|||||||||||
|
|
137 |
|
|
Series 1981, Class Z, 6.000%, 05/15/27 |
147 |
|
|||||||||||
|
|
42 |
|
|
Series 1987, Class PE, 7.500%, 09/15/27 |
46 |
|
|||||||||||
|
|
48 |
|
|
Series 2025, Class PE, 6.300%, 01/15/13 |
48 |
|
|||||||||||
|
|
21 |
|
|
Series 2033, Class SN, HB, IF , 23.083%, 03/15/24 |
13 |
|
|||||||||||
|
|
57 |
|
|
Series 2038, Class PN, IO, 7.000%, 03/15/28 |
11 |
|
|||||||||||
|
|
246 |
|
|
Series 2040, Class PE, 7.500%, 03/15/28 |
282 |
|
|||||||||||
|
|
80 |
|
|
Series 2056, Class TD, 6.500%, 05/15/18 |
87 |
|
|||||||||||
|
|
339 |
|
|
Series 2063, Class PG, 6.500%, 06/15/28 |
360 |
|
|||||||||||
|
|
52 |
|
|
Series 2064, Class TE, 7.000%, 06/15/28 |
55 |
|
|||||||||||
|
|
239 |
|
|
Series 2075, Class PH, 6.500%, 08/15/28 |
259 |
|
|||||||||||
|
|
232 |
|
|
Series 2075, Class PM, 6.250%, 08/15/28 |
251 |
|
|||||||||||
|
|
63 |
|
|
Series 2089, Class PJ, IO, 7.000%, 10/15/28 |
14 |
|
|||||||||||
|
|
31 |
|
|
Series 2102, Class TC, 6.000%, 12/15/13 |
33 |
|
|||||||||||
|
|
175 |
|
|
Series 2115, Class PE, 6.000%, 01/15/14 |
185 |
|
|||||||||||
|
|
179 |
|
|
Series 2125, Class JZ, 6.000%, 02/15/29 |
193 |
|
|||||||||||
|
|
25 |
|
|
Series 2163, Class PC, IO, 7.500%, 06/15/29 |
5 |
|
|||||||||||
|
|
506 |
|
|
Series 2169, Class TB, 7.000%, 06/15/29 |
563 |
|
|||||||||||
|
|
180 |
|
|
Series 2172, Class QC, 7.000%, 07/15/29 |
195 |
|
|||||||||||
|
|
2 |
|
|
Series 2196, Class TL, 7.500%, 11/15/29 |
2 |
|
|||||||||||
|
|
90 |
|
|
Series 2201, Class C, 8.000%, 11/15/29 |
100 |
|
|||||||||||
|
|
175 |
|
|
Series 2210, Class Z, 8.000%, 01/15/30 |
185 |
|
|||||||||||
|
|
72 |
|
|
Series 2224, Class CB, 8.000%, 03/15/30 |
80 |
|
|||||||||||
|
|
106 |
|
|
Series 2256, Class MC, 7.250%, 09/15/30 |
117 |
|
|||||||||||
|
|
152 |
|
|
Series 2259, Class ZM, 7.000%, 10/15/30 |
167 |
|
|||||||||||
|
|
116 |
|
|
Series 2271, Class PC, 7.250%, 12/15/30 |
125 |
|
|||||||||||
|
|
202 |
|
|
Series 2283, Class K, 6.500%, 12/15/23 |
221 |
|
|||||||||||
|
|
64 |
|
|
Series 2296, Class PD, 7.000%, 03/15/31 |
69 |
|
|||||||||||
|
|
35 |
|
|
Series 2306, Class K, PO, 05/15/24 |
31 |
|
|||||||||||
|
|
85 |
|
|
Series 2306, Class SE, IF, IO, 6.790%, 05/15/24 |
18 |
|
|||||||||||
|
|
72 |
|
|
Series 2333, Class HC, 6.000%, 07/15/31 |
76 |
|
|||||||||||
|
|
83 |
|
|
Series 2344, Class QG, 6.000%, 08/15/16 |
89 |
|
|||||||||||
|
|
1,470 |
|
|
Series 2344, Class ZD, 6.500%, 08/15/31 |
1,618 |
|
|||||||||||
|
|
184 |
|
|
Series 2344, Class ZJ, 6.500%, 08/15/31 |
203 |
|
|||||||||||
|
|
128 |
|
|
Series 2345, Class NE, 6.500%, 08/15/31 |
139 |
|
|||||||||||
|
|
144 |
|
|
Series 2345, Class PQ, 6.500%, 08/15/16 |
155 |
|
|||||||||||
|
|
128 |
|
|
Series 2347, Class VP, 6.500%, 03/15/20 |
136 |
|
|||||||||||
|
|
212 |
|
|
Series 2351, Class PZ, 6.500%, 08/15/31 |
231 |
|
|||||||||||
|
|
100 |
|
|
Series 2355, Class BP, 6.000%, 09/15/16 |
108 |
|
|||||||||||
|
|
110 |
|
|
Series 2360, Class PG, 6.000%, 09/15/16 |
117 |
|
|||||||||||
|
|
98 |
|
|
Series 2366, Class MD, 6.000%, 10/15/16 |
105 |
|
|||||||||||
|
|
168 |
|
|
Series 2391, Class QR, 5.500%, 12/15/16 |
180 |
|
|||||||||||
|
|
184 |
|
|
Series 2391, Class VQ, 6.000%, 10/15/12 |
190 |
|
|||||||||||
|
|
272 |
|
|
Series 2405, Class PE, 6.000%, 01/15/17 |
294 |
|
|||||||||||
|
|
125 |
|
|
Series 2410, Class NG, 6.500%, 02/15/32 |
138 |
|
|||||||||||
|
|
160 |
|
|
Series 2410, Class OE, 6.375%, 02/15/32 |
172 |
|
|||||||||||
|
|
62 |
|
|
Series 2410, Class QX, IF, IO, 8.313%, 02/15/32 |
10 |
|
|||||||||||
|
|
367 |
|
|
Series 2412, Class SP, IF, 15.426%, 02/15/32 |
455 |
|
|||||||||||
|
|
68 |
|
|
Series 2423, Class MC, 7.000%, 03/15/32 |
75 |
|
|||||||||||
|
|
142 |
|
|
Series 2423, Class MT, 7.000%, 03/15/32 |
158 |
|
|||||||||||
|
|
243 |
|
|
Series 2435, Class CJ, 6.500%, 04/15/32 |
275 |
|
|||||||||||
|
|
405 |
|
|
Series 2435, Class VH, 6.000%, 07/15/19 |
425 |
|
|||||||||||
|
|
225 |
|
|
Series 2441, Class GF, 6.500%, 04/15/32 |
250 |
|
|||||||||||
|
|
172 |
|
|
Series 2444, Class ES, IF, IO, 7.613%, 03/15/32 |
29 |
|
|||||||||||
|
|
197 |
|
|
Series 2450, Class GZ, 7.000%, 05/15/32 |
217 |
|
|||||||||||
|
|
69 |
|
|
Series 2450, Class SW, IF, IO, 7.663%, 03/15/32 |
10 |
|
|||||||||||
|
|
366 |
|
|
Series 2455, Class GK, 6.500%, 05/15/32 |
403 |
|
|||||||||||
|
|
257 |
|
|
Series 2460, Class VZ, 6.000%, 11/15/29 |
262 |
|
|||||||||||
|
|
600 |
|
|
Series 2466, Class DH, 6.500%, 06/15/32 |
662 |
|
|||||||||||
|
|
599 |
|
|
Series 2466, Class PG, 6.500%, 04/15/32 |
641 |
|
|||||||||||
|
|
254 |
|
|
Series 2474, Class NR, 6.500%, 07/15/32 |
281 |
|
|||||||||||
|
|
472 |
|
|
Series 2484, Class LZ, 6.500%, 07/15/32 |
519 |
|
|||||||||||
|
|
607 |
|
|
Series 2500, Class MC, 6.000%, 09/15/32 |
675 |
|
|||||||||||
|
|
607 |
|
|
Series 2512, Class PG, 5.500%, 10/15/22 |
669 |
|
|||||||||||
|
|
16 |
|
|
Series 2519, Class BT, 8.500%, 09/15/31 |
16 |
|
|||||||||||
|
|
193 |
|
|
Series 2535, Class BK, 5.500%, 12/15/22 |
211 |
|
|||||||||||
|
|
422 |
|
|
Series 2537, Class TE, 5.500%, 12/15/17 |
455 |
|
|||||||||||
|
|
675 |
|
|
Series 2543, Class YX, 6.000%, 12/15/32 |
756 |
|
|||||||||||
|
|
120 |
|
|
Series 2565, Class MB, 6.000%, 05/15/30 |
124 |
|
|||||||||||
|
|
810 |
|
|
Series 2575, Class ME, 6.000%, 02/15/33 |
907 |
|
|||||||||||
|
|
144 |
|
|
Series 2586, Class WI, IO, 6.500%, 03/15/33 |
29 |
|
|||||||||||
|
|
462 |
|
|
Series 2587, Class CO, PO, 03/15/32 |
431 |
|
|||||||||||
|
|
348 |
|
|
Series 2594, Class VQ, 6.000%, 08/15/20 |
364 |
|
|||||||||||
|
|
691 |
|
|
Series 2597, Class AD, 6.500%, 03/15/32 |
721 |
|
|||||||||||
|
|
130 |
|
|
Series 2597, Class DS, IF, IO, 7.213%, 02/15/33 |
6 |
|
|||||||||||
|
|
414 |
|
|
Series 2599, Class DS, IF, IO, 6.663%, 02/15/33 |
19 |
|
|||||||||||
|
|
565 |
|
|
Series 2610, Class DS, IF, IO, 6.763%, 03/15/33 |
33 |
|
|||||||||||
|
|
329 |
|
|
Series 2611, Class SH, IF, IO, 7.313%, 10/15/21 |
19 |
|
|||||||||||
|
|
405 |
|
|
Series 2617, Class GR, 4.500%, 05/15/18 |
431 |
|
|||||||||||
|
|
96 |
|
|
Series 2619, Class IM, IO, 5.000%, 10/15/21 |
4 |
|
|||||||||||
|
|
300 |
|
|
Series 2622, Class PE, 4.500%, 05/15/18 |
320 |
|
|||||||||||
|
|
1,000 |
|
|
Series 2628, Class WA, 4.000%, 07/15/28 |
1,032 |
|
|||||||||||
|
|
202 |
|
|
Series 2631, Class LC, 4.500%, 06/15/18 |
215 |
|
|||||||||||
|
|
202 |
|
|
Series 2640, Class VE, 3.250%, 07/15/22 |
205 |
|
|||||||||||
|
|
19 |
|
|
Series 2643, Class HI, IO, 4.500%, 12/15/16 |
– |
(h) |
|||||||||||
|
|
480 |
|
|
Series 2651, Class VZ, 4.500%, 07/15/18 |
508 |
|
|||||||||||
|
|
71 |
|
|
Series 2656, Class SH, HB, IF , 20.589%, 02/15/25 |
76 |
|
|||||||||||
|
|
1,000 |
|
|
Series 2657, Class MD, 5.000%, 12/15/20 |
1,048 |
|
|||||||||||
|
|
239 |
|
|
Series 2668, Class SB, IF, 6.900%, 10/15/15 |
248 |
|
|||||||||||
|
|
202 |
|
|
Series 2672, Class ME, 5.000%, 11/15/22 |
218 |
|
|||||||||||
|
|
506 |
|
|
Series 2675, Class CK, 4.000%, 09/15/18 |
529 |
|
|||||||||||
|
|
341 |
|
|
Series 2682, Class YS, IF, 8.584%, 10/15/33 |
313 |
|
|||||||||||
|
|
1,000 |
|
|
Series 2684, Class PO, PO, 01/15/33 |
816 |
|
|||||||||||
|
|
243 |
|
|
Series 2684, Class TO, PO, 10/15/33 |
187 |
|
|||||||||||
|
|
72 |
|
|
Series 2686, Class GB, 5.000%, 05/15/20 |
74 |
|
|||||||||||
|
|
135 |
|
|
Series 2691, Class WS, IF, 8.495%, 10/15/33 |
124 |
|
|||||||||||
|
|
1,000 |
|
|
Series 2695, Class DE, 4.000%, 01/15/17 |
1,041 |
|
|||||||||||
|
|
191 |
|
|
Series 2705, Class SC, IF, 8.495%, 11/15/33 |
180 |
|
|||||||||||
|
|
191 |
|
|
Series 2705, Class SD, IF, 8.567%, 11/15/33 |
177 |
|
|||||||||||
|
|
33 |
|
|
Series 2739, Class S, IF, 11.326%, 01/15/34 |
33 |
|
|||||||||||
|
|
150 |
|
|
Series 2744, Class FE, VAR, 0.000%, 02/15/34 |
142 |
|
|||||||||||
|
|
405 |
|
|
Series 2744, Class TU, 5.500%, 05/15/32 |
421 |
|
|||||||||||
|
|
148 |
|
|
Series 2753, Class S, IF, 11.326%, 02/15/34 |
147 |
|
|||||||||||
|
|
108 |
|
|
Series 2755, Class PA, PO, 02/15/29 |
104 |
|
|||||||||||
|
|
69 |
|
|
Series 2755, Class SA, IF, 13.526%, 05/15/30 |
76 |
|
|||||||||||
|
|
32 |
|
|
Series 2769, Class PO, PO, 03/15/34 |
28 |
|
|||||||||||
|
|
289 |
|
|
Series 2776, Class SK, IF, 8.570%, 04/15/34 |
269 |
|
|||||||||||
|
|
300 |
|
|
Series 2802, Class MB, 5.500%, 11/15/31 |
318 |
|
|||||||||||
|
|
262 |
|
|
Series 2815, Class YS, IF, 9.522%, 01/15/34 |
263 |
|
|||||||||||
|
|
56 |
|
|
Series 2841, Class YA, 5.500%, 07/15/27 |
56 |
|
|||||||||||
|
|
835 |
|
|
Series 2907, Class VC, 4.500%, 05/15/34 |
879 |
|
|||||||||||
|
|
407 |
|
|
Series 2934, Class EC, PO, 02/15/20 |
373 |
|
|||||||||||
|
|
302 |
|
|
Series 2990, Class SL, HB, IF , 23.258%, 06/15/34 |
427 |
|
|||||||||||
|
|
500 |
|
|
Series 2999, Class ND, 4.500%, 07/15/20 |
528 |
|
|||||||||||
|
|
418 |
|
|
Series 3068, Class AO, PO, 01/15/35 |
395 |
|
|||||||||||
|
|
440 |
|
|
Series 3117, Class EO, PO, 02/15/36 |
388 |
|
|||||||||||
|
|
57 |
|
|
Series 3117, Class OK, PO, 02/15/36 |
48 |
|
|||||||||||
|
|
707 |
|
|
Series 3122, Class OH, PO, 03/15/36 |
625 |
|
|||||||||||
|
|
607 |
|
|
Series 3137, Class XP, 6.000%, 04/15/36 |
672 |
|
|||||||||||
|
|
39 |
|
|
Series 3149, Class SO, PO, 05/15/36 |
34 |
|
|||||||||||
|
|
683 |
|
|
Series 3152, Class MO, PO, 03/15/36 |
567 |
|
|||||||||||
|
|
16 |
|
|
Series 3158, Class LX, VAR, 0.000%, 05/15/36 |
16 |
|
|||||||||||
|
|
1,000 |
|
|
Series 3162, Class OB, 6.000%, 11/15/30 |
1,058 |
|
|||||||||||
|
|
330 |
|
|
Series 3171, Class MO, PO, 06/15/36 |
284 |
|
|||||||||||
|
|
340 |
|
|
Series 3179, Class OA, PO, 07/15/36 |
301 |
|
|||||||||||
|
|
1,224 |
|
|
Series 3202, Class HI, IF, IO, 6.313%, 08/15/36 |
162 |
|
|||||||||||
|
|
366 |
|
|
Series 3232, Class ST, IF, IO, 6.363%, 10/15/36 |
42 |
|
|||||||||||
|
|
531 |
|
|
Series 3253, Class PO, PO, 12/15/21 |
494 |
|
|||||||||||
|
|
735 |
|
|
Series 3481, Class SJ, IF, IO, 5.513%, 08/15/38 |
79 |
|
|||||||||||
|
|
351 |
|
|
Series 3611, Class PO, PO, 07/15/34 |
304 |
|
|||||||||||
|
|
– |
(h) |
|
Series 41, Class I, HB, 84.000%, 05/15/20 |
– |
(h) |
|||||||||||
|
|
5 |
|
|
Series 46, Class B, 7.800%, 09/15/20 |
6 |
|
|||||||||||
|
|
2 |
|
|
Series 47, Class F, 10.000%, 06/15/20 |
2 |
|
|||||||||||
|
|
– |
(h) |
|
Series 85, Class C, 8.600%, 01/15/21 |
– |
(h) |
|||||||||||
|
|
5 |
|
|
Series 99, Class Z, 9.500%, 01/15/21 |
6 |
|
|||||||||||
|
|
182 |
|
|
Federal Home Loan Mortgage Corp. STRIPS, Series 243, Class 16, IO, 4.500%, 11/15/20 |
20 |
|
|||||||||||
|
|
|
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, |
|
||||||||||||||
|
|
59 |
|
|
Series T-41, Class 3A, VAR, 7.500%, 07/25/32 |
67 |
|
|||||||||||
|
|
52 |
|
|
Series T-51, Class 2A, VAR, 7.500%, 08/25/42 |
59 |
|
|||||||||||
|
|
521 |
|
|
Series T-54, Class 2A, 6.500%, 02/25/43 |
574 |
|
|||||||||||
|
|
180 |
|
|
Series T-54, Class 3A, 7.000%, 02/25/43 |
201 |
|
|||||||||||
|
|
49 |
|
|
Series T-58, Class APO, PO, 09/25/43 |
36 |
|
|||||||||||
|
|
394 |
|
|
Series T-76, Class 2A, VAR, 4.811%, 10/25/37 |
405 |
|
|||||||||||
|
|
205 |
|
|
Federal National Mortgage Association Grantor Trust, Series 2001-T10, Class A2, 7.500%, 12/25/41 |
233 |
|
|||||||||||
|
|
|
Federal National Mortgage Association REMICS, |
|
||||||||||||||
|
|
4 |
|
|
Series 1988-7, Class Z, 9.250%, 04/25/18 |
4 |
|
|||||||||||
|
|
15 |
|
|
Series 1989-70, Class G, 8.000%, 10/25/19 |
17 |
|
|||||||||||
|
|
7 |
|
|
Series 1989-78, Class H, 9.400%, 11/25/19 |
9 |
|
|||||||||||
|
|
5 |
|
|
Series 1989-83, Class H, 8.500%, 11/25/19 |
5 |
|
|||||||||||
|
|
5 |
|
|
Series 1989-89, Class H, 9.000%, 11/25/19 |
6 |
|
|||||||||||
|
|
2 |
|
|
Series 1990-1, Class D, 8.800%, 01/25/20 |
2 |
|
|||||||||||
|
|
3 |
|
|
Series 1990-7, Class B, 8.500%, 01/25/20 |
3 |
|
|||||||||||
|
|
3 |
|
|
Series 1990-60, Class K, 5.500%, 06/25/20 |
3 |
|
|||||||||||
|
|
3 |
|
|
Series 1990-63, Class H, 9.500%, 06/25/20 |
4 |
|
|||||||||||
|
|
3 |
|
|
Series 1990-93, Class G, 5.500%, 08/25/20 |
3 |
|
|||||||||||
|
|
– |
(h) |
|
Series 1990-94, Class H, HB, 505.000%, 08/25/20 |
– |
(h) |
|||||||||||
|
|
– |
(h) |
|
Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 |
1 |
|
|||||||||||
|
|
17 |
|
|
Series 1990-102, Class J, 6.500%, 08/25/20 |
19 |
|
|||||||||||
|
|
6 |
|
|
Series 1990-120, Class H, 9.000%, 10/25/20 |
7 |
|
|||||||||||
|
|
1 |
|
|
Series 1990-134, Class SC, HB, IF , 21.038%, 11/25/20 |
2 |
|
|||||||||||
|
|
– |
(h) |
|
Series 1990-140, Class K, HB, 652.145%, 12/25/20 |
1 |
|
|||||||||||
|
|
– |
(h) |
|
Series 1991-7, Class K, HB, 908.500%, 02/25/21 |
– |
(h) |
|||||||||||
|
|
8 |
|
|
Series 1991-42, Class S, IF, 17.019%, 05/25/21 |
11 |
|
|||||||||||
|
|
132 |
|
|
Series 1992-107, Class SB, HB, IF, 28.960%, 06/25/22 |
203 |
|
|||||||||||
|
|
9 |
|
|
Series 1992-143, Class MA, 5.500%, 09/25/22 |
10 |
|
|||||||||||
|
|
60 |
|
|
Series 1993-25, Class J, 7.500%, 03/25/23 |
67 |
|
|||||||||||
|
|
369 |
|
|
Series 1993-37, Class PX, 7.000%, 03/25/23 |
403 |
|
|||||||||||
|
|
128 |
|
|
Series 1993-54, Class Z, 7.000%, 04/25/23 |
140 |
|
|||||||||||
|
|
27 |
|
|
Series 1993-62, Class SA, IF, 16.196%, 04/25/23 |
35 |
|
|||||||||||
|
|
35 |
|
|
Series 1993-122, Class M, 6.500%, 07/25/23 |
38 |
|
|||||||||||
|
|
13 |
|
|
Series 1993-165, Class SD, IF, 10.912%, 09/25/23 |
16 |
|
|||||||||||
|
|
56 |
|
|
Series 1993-178, Class PK, 6.500%, 09/25/23 |
63 |
|
|||||||||||
|
|
1,012 |
|
|
Series 1993-183, Class KA, 6.500%, 10/25/23 |
1,127 |
|
|||||||||||
|
|
436 |
|
|
Series 1993-189, Class PL, 6.500%, 10/25/23 |
484 |
|
|||||||||||
|
|
44 |
|
|
Series 1993-225, Class SG, HB, IF, 25.934%, 12/25/13 |
55 |
|
|||||||||||
|
|
91 |
|
|
Series 1993-247, Class SA, HB, IF , 22.777%, 12/25/23 |
137 |
|
|||||||||||
|
|
178 |
|
|
Series 1993-250, Class Z, 7.000%, 12/25/23 |
192 |
|
|||||||||||
|
|
246 |
|
|
Series 1993-257, Class C, PO, 06/25/23 |
237 |
|
|||||||||||
|
|
5 |
|
|
Series 1994-9, Class E, PO, 11/25/23 |
5 |
|
|||||||||||
|
|
241 |
|
|
Series 1996-14, Class SE, IF, IO, 6.940%, 08/25/23 |
51 |
|
|||||||||||
|
|
12 |
|
|
Series 1996-27, Class FC, VAR, 0.875%, 03/25/17 |
12 |
|
|||||||||||
|
|
29 |
|
|
Series 1996-59, Class J, 6.500%, 08/25/22 |
32 |
|
|||||||||||
|
|
104 |
|
|
Series 1996-59, Class K, 6.500%, 07/25/23 |
108 |
|
|||||||||||
|
|
119 |
|
|
Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27 |
6 |
|
|||||||||||
|
|
116 |
|
|
Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 |
6 |
|
|||||||||||
|
|
56 |
|
|
Series 1997-27, Class J, 7.500%, 04/18/27 |
61 |
|
|||||||||||
|
|
52 |
|
|
Series 1997-29, Class J, 7.500%, 04/20/27 |
59 |
|
|||||||||||
|
|
114 |
|
|
Series 1997-39, Class PD, 7.500%, 05/20/27 |
128 |
|
|||||||||||
|
|
47 |
|
|
Series 1997-81, Class PI, IO, 7.000%, 12/18/27 |
10 |
|
|||||||||||
|
|
6 |
|
|
Series 1998-4, Class C, PO, 04/25/23 |
6 |
|
|||||||||||
|
|
84 |
|
|
Series 1998-36, Class ZB, 6.000%, 07/18/28 |
93 |
|
|||||||||||
|
|
554 |
|
|
Series 1998-43, Class EA, PO, 04/25/23 |
491 |
|
|||||||||||
|
|
283 |
|
|
Series 2000-2, Class ZE, 7.500%, 02/25/30 |
314 |
|
|||||||||||
|
|
118 |
|
|
Series 2001-4, Class PC, 7.000%, 03/25/21 |
132 |
|
|||||||||||
|
|
116 |
|
|
Series 2001-5, Class OW, 6.000%, 03/25/16 |
123 |
|
|||||||||||
|
|
337 |
|
|
Series 2001-33, Class ID, IO, 6.000%, 07/25/31 |
66 |
|
|||||||||||
|
|
250 |
|
|
Series 2001-36, Class DE, 7.000%, 08/25/31 |
281 |
|
|||||||||||
|
|
69 |
|
|
Series 2001-44, Class PD, 7.000%, 09/25/31 |
77 |
|
|||||||||||
|
|
451 |
|
|
Series 2001-48, Class Z, 6.500%, 09/25/21 |
501 |
|
|||||||||||
|
|
70 |
|
|
Series 2001-49, Class Z, 6.500%, 09/25/31 |
78 |
|
|||||||||||
|
|
17 |
|
|
Series 2001-52, Class XM, 6.500%, 11/25/10 |
17 |
|
|||||||||||
|
|
206 |
|
|
Series 2001-71, Class MB, 6.000%, 12/25/16 |
223 |
|
|||||||||||
|
|
263 |
|
|
Series 2001-71, Class QE, 6.000%, 12/25/16 |
284 |
|
|||||||||||
|
|
1,460 |
|
|
Series 2001-74, Class MB, 6.000%, 12/25/16 |
1,579 |
|
|||||||||||
|
|
103 |
|
|
Series 2001-80, Class PE, 6.000%, 07/25/29 |
107 |
|
|||||||||||
|
|
61 |
|
|
Series 2001-81, Class LO, PO, 01/25/32 |
52 |
|
|||||||||||
|
|
155 |
|
|
Series 2002-1, Class HC, 6.500%, 02/25/22 |
171 |
|
|||||||||||
|
|
57 |
|
|
Series 2002-1, Class SA, HB, IF , 24.073%, 02/25/32 |
81 |
|
|||||||||||
|
|
117 |
|
|
Series 2002-2, Class UC, 6.000%, 02/25/17 |
126 |
|
|||||||||||
|
|
252 |
|
|
Series 2002-3, Class OG, 6.000%, 02/25/17 |
273 |
|
|||||||||||
|
|
706 |
|
|
Series 2002-18, Class PC, 5.500%, 04/25/17 |
746 |
|
|||||||||||
|
|
205 |
|
|
Series 2002-21, Class PE, 6.500%, 04/25/32 |
226 |
|
|||||||||||
|
|
405 |
|
|
Series 2002-24, Class AJ, 6.000%, 04/25/17 |
442 |
|
|||||||||||
|
|
188 |
|
|
Series 2002-28, Class PK, 6.500%, 05/25/32 |
209 |
|
|||||||||||
|
|
261 |
|
|
Series 2002-37, Class Z, 6.500%, 06/25/32 |
290 |
|
|||||||||||
|
|
426 |
|
|
Series 2002-56, Class UC, 5.500%, 09/25/17 |
459 |
|
|||||||||||
|
|
442 |
|
|
Series 2002-84, Class VB, 5.500%, 04/25/15 |
481 |
|
|||||||||||
|
|
32 |
|
|
Series 2002-91, Class UH, IO, 5.500%, 06/25/22 |
2 |
|
|||||||||||
|
|
405 |
|
|
Series 2002-94, Class BK, 5.500%, 01/25/18 |
442 |
|
|||||||||||
|
|
202 |
|
|
Series 2003-22, Class UD, 4.000%, 04/25/33 |
201 |
|
|||||||||||
|
|
162 |
|
|
Series 2003-34, Class GB, 6.000%, 03/25/33 |
182 |
|
|||||||||||
|
|
304 |
|
|
Series 2003-34, Class GE, 6.000%, 05/25/33 |
348 |
|
|||||||||||
|
|
50 |
|
|
Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 |
11 |
|
|||||||||||
|
|
405 |
|
|
Series 2003-47, Class PE, 5.750%, 06/25/33 |
450 |
|
|||||||||||
|
|
120 |
|
|
Series 2003-52, Class SX, HB, IF , 21.922%, 10/25/31 |
152 |
|
|||||||||||
|
|
168 |
|
|
Series 2003-64, Class SX, IF, 13.056%, 07/25/33 |
177 |
|
|||||||||||
|
|
175 |
|
|
Series 2003-65, Class ML, 4.000%, 07/25/33 |
174 |
|
|||||||||||
|
|
391 |
|
|
Series 2003-71, Class DS, IF, 7.096%, 08/25/33 |
365 |
|
|||||||||||
|
|
512 |
|
|
Series 2003-73, Class GA, 3.500%, 05/25/31 |
527 |
|
|||||||||||
|
|
724 |
|
|
Series 2003-80, Class SY, IF, IO, 7.307%, 06/25/23 |
77 |
|
|||||||||||
|
|
405 |
|
|
Series 2003-83, Class PG, 5.000%, 06/25/23 |
435 |
|
|||||||||||
|
|
106 |
|
|
Series 2003-86, Class PW, 4.500%, 06/25/15 |
106 |
|
|||||||||||
|
|
84 |
|
|
Series 2003-91, Class SD, IF, 11.929%, 09/25/33 |
93 |
|
|||||||||||
|
|
304 |
|
|
Series 2003-106, Class US, IF, 8.561%, 11/25/23 |
293 |
|
|||||||||||
|
|
535 |
|
|
Series 2003-116, Class SB, IF, IO, 7.257%, 11/25/33 |
106 |
|
|||||||||||
|
|
139 |
|
|
Series 2003-128, Class KE, 4.500%, 01/25/14 |
146 |
|
|||||||||||
|
|
500 |
|
|
Series 2003-128, Class NG, 4.000%, 01/25/19 |
519 |
|
|||||||||||
|
|
162 |
|
|
Series 2003-130, Class SX, IF, 11.006%, 01/25/34 |
177 |
|
|||||||||||
|
|
136 |
|
|
Series 2004-1, Class DL, 4.500%, 02/25/18 |
136 |
|
|||||||||||
|
|
303 |
|
|
Series 2004-14, Class SD, IF, 8.561%, 03/25/34 |
286 |
|
|||||||||||
|
|
1,000 |
|
|
Series 2004-21, Class AE, 4.000%, 04/25/19 |
1,033 |
|
|||||||||||
|
|
63 |
|
|
Series 2004-21, Class CO, PO, 04/25/34 |
48 |
|
|||||||||||
|
|
405 |
|
|
Series 2004-25, Class PC, 5.500%, 01/25/34 |
447 |
|
|||||||||||
|
|
444 |
|
|
Series 2004-25, Class SA, IF, 18.582%, 04/25/34 |
576 |
|
|||||||||||
|
|
263 |
|
|
Series 2004-36, Class PC, 5.500%, 02/25/34 |
290 |
|
|||||||||||
|
|
287 |
|
|
Series 2004-36, Class SA, IF, 18.582%, 05/25/34 |
379 |
|
|||||||||||
|
|
229 |
|
|
Series 2004-46, Class SK, IF, 15.557%, 05/25/34 |
250 |
|
|||||||||||
|
|
208 |
|
|
Series 2004-61, Class CO, PO, 10/25/31 |
197 |
|
|||||||||||
|
|
150 |
|
|
Series 2004-61, Class SH, HB, IF , 22.617%, 11/25/32 |
185 |
|
|||||||||||
|
|
230 |
|
|
Series 2004-74, Class SW, IF, 14.825%, 11/25/31 |
285 |
|
|||||||||||
|
|
287 |
|
|
Series 2004-76, Class CL, 4.000%, 10/25/19 |
299 |
|
|||||||||||
|
|
1,750 |
|
|
Series 2004-86, Class AE, 4.500%, 02/25/32 |
1,843 |
|
|||||||||||
|
|
184 |
|
|
Series 2005-40, Class YA, 5.000%, 09/25/20 |
193 |
|
|||||||||||
|
|
272 |
|
|
Series 2005-45, Class DC, IF, 23.053%, 06/25/35 |
416 |
|
|||||||||||
|
|
255 |
|
|
Series 2005-52, Class PA, 6.500%, 06/25/35 |
276 |
|
|||||||||||
|
|
279 |
|
|
Series 2005-56, Class S, IF, IO, 6.367%, 07/25/35 |
39 |
|
|||||||||||
|
|
498 |
|
|
Series 2005-56, Class TP, IF, 17.122%, 08/25/33 |
588 |
|
|||||||||||
|
|
1,518 |
|
|
Series 2005-68, Class PG, 5.500%, 08/25/35 |
1,669 |
|
|||||||||||
|
|
577 |
|
|
Series 2005-73, Class PS, IF, 15.843%, 08/25/35 |
713 |
|
|||||||||||
|
|
266 |
|
|
Series 2005-74, Class CS, IF, 19.077%, 05/25/35 |
357 |
|
|||||||||||
|
|
168 |
|
|
Series 2005-78, Class DS, IF, 13.037%, 03/25/35 |
172 |
|
|||||||||||
|
|
536 |
|
|
Series 2005-106, Class US, HB, IF , 23.310%, 11/25/35 |
809 |
|
|||||||||||
|
|
156 |
|
|
Series 2005-110, Class KS, IF, 14.160%, 05/25/35 |
159 |
|
|||||||||||
|
|
702 |
|
|
Series 2006-27, Class OH, PO, 04/25/36 |
623 |
|
|||||||||||
|
|
726 |
|
|
Series 2006-43, Class VB, 6.500%, 10/25/17 |
787 |
|
|||||||||||
|
|
285 |
|
|
Series 2006-44, Class P, PO, 12/25/33 |
243 |
|
|||||||||||
|
|
660 |
|
|
Series 2006-59, Class QO, PO, 01/25/33 |
574 |
|
|||||||||||
|
|
238 |
|
|
Series 2006-65, Class QO, PO, 07/25/36 |
203 |
|
|||||||||||
|
|
358 |
|
|
Series 2006-72, Class GO, PO, 08/25/36 |
305 |
|
|||||||||||
|
|
500 |
|
|
Series 2006-77, Class PC, 6.500%, 08/25/36 |
561 |
|
|||||||||||
|
|
283 |
|
|
Series 2006-79, Class DO, PO, 08/25/36 |
242 |
|
|||||||||||
|
|
712 |
|
|
Series 2006-110, Class PO, PO, 11/25/36 |
597 |
|
|||||||||||
|
|
1,000 |
|
|
Series 2006-124, Class HB, VAR, 5.995%, 11/25/36 |
1,066 |
|
|||||||||||
|
|
565 |
|
|
Series 2007-14, Class ES, IF, IO, 6.097%, 03/25/37 |
69 |
|
|||||||||||
|
|
325 |
|
|
Series 2007-79, Class SB, HB, IF , 22.760%, 08/25/37 |
425 |
|
|||||||||||
|
|
500 |
|
|
Series 2007-81, Class GE, 6.000%, 08/25/37 |
561 |
|
|||||||||||
|
|
513 |
|
|
Series 2007-83, Class PA, 6.000%, 03/25/29 |
521 |
|
|||||||||||
|
|
1,525 |
|
|
Series 2007-84, Class PD, 6.000%, 08/25/32 |
1,626 |
|
|||||||||||
|
|
542 |
|
|
Series 2007-88, Class VI, IF, IO, 6.197%, 09/25/37 |
65 |
|
|||||||||||
|
|
1,467 |
|
|
Series 2007-91, Class ES, IF, IO, 6.117%, 10/25/37 |
166 |
|
|||||||||||
|
|
256 |
|
|
Series 2007-97, Class MS, IF, 14.038%, 12/25/31 |
279 |
|
|||||||||||
|
|
549 |
|
|
Series 2007-106, Class A7, VAR, 6.119%, 10/25/37 |
577 |
|
|||||||||||
|
|
463 |
|
|
Series 2007-116, Class HI, IO, VAR, 6.289%, 01/25/38 |
34 |
|
|||||||||||
|
|
270 |
|
|
Series 2008-10, Class XI, IF, IO, 5.887%, 03/25/38 |
24 |
|
|||||||||||
|
|
399 |
|
|
Series 2008-16, Class IS, IF, IO, 5.857%, 03/25/38 |
36 |
|
|||||||||||
|
|
324 |
|
|
Series 2008-28, Class QS, IF, 19.672%, 04/25/38 |
390 |
|
|||||||||||
|
|
498 |
|
|
Series 2008-46, Class HI, IO, VAR, 6.668%, 06/25/38 |
39 |
|
|||||||||||
|
|
216 |
|
|
Series 2008-66, Class GD, 6.000%, 06/25/30 |
227 |
|
|||||||||||
|
|
1,000 |
|
|
Series 2009-103, Class MB, 4.000%, 12/25/39 |
1,050 |
|
|||||||||||
|
|
5 |
|
|
Series G-14, Class L, 8.500%, 06/25/21 |
6 |
|
|||||||||||
|
|
26 |
|
|
Series G-18, Class Z, 8.750%, 06/25/21 |
29 |
|
|||||||||||
|
|
7 |
|
|
Series G-22, Class G, 6.000%, 12/25/16 |
8 |
|
|||||||||||
|
|
19 |
|
|
Series G-35, Class M, 8.750%, 10/25/21 |
22 |
|
|||||||||||
|
|
80 |
|
|
Series G92-35, Class E, 7.500%, 07/25/22 |
89 |
|
|||||||||||
|
|
5 |
|
|
Series G92-42, Class Z, 7.000%, 07/25/22 |
5 |
|
|||||||||||
|
|
100 |
|
|
Series G92-44, Class ZQ, 8.000%, 07/25/22 |
111 |
|
|||||||||||
|
|
84 |
|
|
Series G92-54, Class ZQ, 7.500%, 09/25/22 |
94 |
|
|||||||||||
|
|
18 |
|
|
Series G93-5, Class Z, 6.500%, 02/25/23 |
20 |
|
|||||||||||
|
|
20 |
|
|
Series G95-1, Class C, 8.800%, 01/25/25 |
23 |
|
|||||||||||
|
|
|
Federal National Mortgage Association STRIPS, |
|
||||||||||||||
|
|
6 |
|
|
Series 218, Class 2, IO, 7.500%, 04/01/23 |
1 |
|
|||||||||||
|
|
78 |
|
|
Series 329, Class 1, PO, 01/01/33 |
69 |
|
|||||||||||
|
|
1 |
|
|
Series 50, Class 2, IO, 10.500%, 03/01/19 |
– |
(h) |
|||||||||||
|
|
|
Federal National Mortgage Association Whole Loan, |
|
||||||||||||||
|
|
16 |
|
|
Series 2002-W5, Class A10, IF, IO, 7.757%, 11/25/30 |
1 |
|
|||||||||||
|
|
246 |
|
|
Series 2003-W1, Class 1A1, 6.500%, 12/25/42 |
271 |
|
|||||||||||
|
|
69 |
|
|
Series 2003-W4, Class 2A, 6.500%, 10/25/42 |
76 |
|
|||||||||||
|
|
192 |
|
|
Series 2004-W2, Class 2A2, 7.000%, 02/25/44 |
216 |
|
|||||||||||
|
|
200 |
|
|
Series 2007-W7, Class 1A4, HB, IF, 37.123%, 07/25/37 |
335 |
|
|||||||||||
|
|
|
Government National Mortgage Association, |
|
||||||||||||||
|
|
66 |
|
|
Series 1994-3, Class PQ, 7.488%, 07/16/24 |
71 |
|
|||||||||||
|
|
230 |
|
|
Series 1994-4, Class KQ, 7.988%, 07/16/24 |
257 |
|
|||||||||||
|
|
444 |
|
|
Series 1994-7, Class PQ, 6.500%, 10/16/24 |
492 |
|
|||||||||||
|
|
101 |
|
|
Series 1995-3, Class DQ, 8.050%, 06/16/25 |
115 |
|
|||||||||||
|
|
25 |
|
|
Series 1995-7, Class CQ, 7.500%, 09/16/25 |
27 |
|
|||||||||||
|
|
192 |
|
|
Series 1996-16, Class E, 7.500%, 08/16/26 |
202 |
|
|||||||||||
|
|
39 |
|
|
Series 1998-26, Class K, 7.500%, 09/17/25 |
44 |
|
|||||||||||
|
|
569 |
|
|
Series 1999-10, Class ZC, 6.500%, 04/20/29 |
628 |
|
|||||||||||
|
|
70 |
|
|
Series 1999-30, Class S, IF, IO, 8.263%, 08/16/29 |
10 |
|
|||||||||||
|
|
63 |
|
|
Series 1999-41, Class Z, 8.000%, 11/16/29 |
71 |
|
|||||||||||
|
|
50 |
|
|
Series 1999-44, Class PC, 7.500%, 12/20/29 |
57 |
|
|||||||||||
|
|
113 |
|
|
Series 2000-6, Class Z, 7.500%, 02/20/30 |
125 |
|
|||||||||||
|
|
21 |
|
|
Series 2000-9, Class Z, 8.000%, 06/20/30 |
24 |
|
|||||||||||
|
|
499 |
|
|
Series 2000-9, Class ZJ, 8.500%, 02/16/30 |
558 |
|
|||||||||||
|
|
199 |
|
|
Series 2000-14, Class PD, 7.000%, 02/16/30 |
214 |
|
|||||||||||
|
|
54 |
|
|
Series 2000-16, Class ZN, 7.500%, 02/16/30 |
60 |
|
|||||||||||
|
|
283 |
|
|
Series 2000-37, Class B, 8.000%, 12/20/30 |
321 |
|
|||||||||||
|
|
23 |
|
|
Series 2000-38, Class AH, 7.150%, 12/20/30 |
27 |
|
|||||||||||
|
|
164 |
|
|
Series 2001-7, Class PK, 6.500%, 03/20/31 |
173 |
|
|||||||||||
|
|
9 |
|
|
Series 2001-32, Class WA, IF, 19.276%, 07/20/31 |
13 |
|
|||||||||||
|
|
349 |
|
|
Series 2001-64, Class MQ, 6.500%, 12/20/31 |
372 |
|
|||||||||||
|
|
61 |
|
|
Series 2002-7, Class PG, 6.500%, 01/20/32 |
67 |
|
|||||||||||
|
|
89 |
|
|
Series 2002-31, Class S, IF, IO, 8.363%, 01/16/31 |
17 |
|
|||||||||||
|
|
235 |
|
|
Series 2002-40, Class UK, 6.500%, 06/20/32 |
250 |
|
|||||||||||
|
|
238 |
|
|
Series 2002-47, Class PG, 6.500%, 07/16/32 |
264 |
|
|||||||||||
|
|
297 |
|
|
Series 2002-47, Class PY, 6.000%, 07/20/32 |
325 |
|
|||||||||||
|
|
279 |
|
|
Series 2002-47, Class ZA, 6.500%, 07/20/32 |
300 |
|
|||||||||||
|
|
23 |
|
|
Series 2002-51, Class SG, HB, IF, 31.028%, 04/20/31 |
36 |
|
|||||||||||
|
|
133 |
|
|
Series 2002-54, Class GB, 6.500%, 08/20/32 |
143 |
|
|||||||||||
|
|
7 |
|
|
Series 2002-79, Class KV, 6.000%, 11/20/13 |
7 |
|
|||||||||||
|
|
139 |
|
|
Series 2003-4, Class NI, IO, 5.500%, 01/20/32 |
9 |
|
|||||||||||
|
|
159 |
|
|
Series 2003-4, Class NY, 5.500%, 12/20/13 |
170 |
|
|||||||||||
|
|
50 |
|
|
Series 2003-24, Class PO, PO, 03/16/33 |
41 |
|
|||||||||||
|
|
304 |
|
|
Series 2003-40, Class TJ, 6.500%, 03/20/33 |
345 |
|
|||||||||||
|
|
217 |
|
|
Series 2003-52, Class AP, PO, 06/16/33 |
183 |
|
|||||||||||
|
|
47 |
|
|
Series 2004-28, Class S, IF, 18.736%, 04/16/34 |
60 |
|
|||||||||||
|
|
103 |
|
|
Series 2004-68, Class PO, PO, 05/20/31 |
99 |
|
|||||||||||
|
|
202 |
|
|
Series 2004-71, Class SB, HB, IF, 27.796%, 09/20/34 |
259 |
|
|||||||||||
|
|
96 |
|
|
Series 2004-73, Class AE, IF, 14.160%, 08/17/34 |
115 |
|
|||||||||||
|
|
982 |
|
|
Series 2004-90, Class SI, IF, IO, 5.760%, 10/20/34 |
115 |
|
|||||||||||
|
|
281 |
|
|
Series 2005-68, Class DP, IF, 15.622%, 06/17/35 |
351 |
|
|||||||||||
|
|
1,821 |
|
|
Series 2005-68, Class KI, IF, IO, 5.960%, 09/20/35 |
247 |
|
|||||||||||
|
|
256 |
|
|
Series 2006-59, Class SD, IF, IO, 6.360%, 10/20/36 |
25 |
|
|||||||||||
|
|
877 |
|
|
Series 2007-17, Class JI, IF, IO, 6.473%, 04/16/37 |
125 |
|
|||||||||||
|
|
1,111 |
|
|
Series 2007-27, Class SA, IF, IO, 5.860%, 05/20/37 |
110 |
|
|||||||||||
|
|
1,780 |
|
|
Series 2007-40, Class SB, IF, IO, 6.410%, 07/20/37 |
154 |
|
|||||||||||
|
|
1,119 |
|
|
Series 2007-45, Class QA, IF, IO, 6.300%, 07/20/37 |
98 |
|
|||||||||||
|
|
575 |
|
|
Series 2007-49, Class NO, PO, 12/20/35 |
549 |
|
|||||||||||
|
|
1,358 |
|
|
Series 2007-50, Class AI, IF, IO, 6.435%, 08/20/37 |
151 |
|
|||||||||||
|
|
309 |
|
|
Series 2007-53, Class ES, IF, IO, 6.210%, 09/20/37 |
26 |
|
|||||||||||
|
|
340 |
|
|
Series 2007-53, Class SW, IF, 19.186%, 09/20/37 |
403 |
|
|||||||||||
|
|
694 |
|
|
Series 2007-57, Class QA, IF, IO, 6.160%, 10/20/37 |
70 |
|
|||||||||||
|
|
500 |
|
|
Series 2007-71, Class SB, IF, IO, 6.360%, 07/20/36 |
42 |
|
|||||||||||
|
|
672 |
|
|
Series 2007-72, Class US, IF, IO, 6.210%, 11/20/37 |
58 |
|
|||||||||||
|
|
674 |
|
|
Series 2007-76, Class SA, IF, IO, 6.190%, 11/20/37 |
56 |
|
|||||||||||
|
|
182 |
|
|
Series 2008-25, Class SB, IF, IO, 6.560%, 03/20/38 |
22 |
|
|||||||||||
|
|
375 |
|
|
Series 2008-33, Class XS, IF, IO, 7.363%, 04/16/38 |
47 |
|
|||||||||||
|
|
631 |
|
|
Series 2008-40, Class SA, IF, IO, 6.063%, 05/16/38 |
84 |
|
|||||||||||
|
|
500 |
|
|
Series 2008-50, Class KB, 6.000%, 06/20/38 |
556 |
|
|||||||||||
|
|
970 |
|
|
Series 2008-55, Class SA, IF, IO, 5.860%, 06/20/38 |
81 |
|
|||||||||||
|
|
883 |
|
|
Series 2008-93, Class AS, IF, IO, 5.360%, 12/20/38 |
69 |
|
|||||||||||
|
|
410 |
|
|
Series 2009-6, Class SA, IF, IO, 5.763%, 02/16/39 |
32 |
|
|||||||||||
|
|
389 |
|
|
Series 2009-14, Class NI, IO, 6.500%, 03/20/39 |
58 |
|
|||||||||||
|
|
1,458 |
|
|
Series 2009-22, Class SA, IF, IO, 5.930%, 04/20/39 |
150 |
|
|||||||||||
|
|
1,471 |
|
|
Series 2009-31, Class ST, IF, IO, 6.010%, 03/20/39 |
120 |
|
|||||||||||
|
|
1,471 |
|
|
Series 2009-31, Class TS, IF, IO, 5.960%, 03/20/39 |
150 |
|
|||||||||||
|
|
768 |
|
|
Series 2009-79, Class OK, PO, 11/16/37 |
693 |
|
|||||||||||
|
|
|
Vendee Mortgage Trust, |
|
||||||||||||||
|
|
1,049 |
|
|
Series 1993-1, Class ZB, 7.250%, 02/15/23 |
1,174 |
|
|||||||||||
|
|
400 |
|
|
Series 1994-1, Class 1, VAR, 5.627%, 02/15/24 |
432 |
|
|||||||||||
|
|
587 |
|
|
Series 1996-1, Class 1Z, 6.750%, 02/15/26 |
641 |
|
|||||||||||
|
|
193 |
|
|
Series 1996-2, Class 1Z, 6.750%, 06/15/26 |
211 |
|
|||||||||||
|
|
770 |
|
|
Series 1997-1, Class 2Z, 7.500%, 02/15/27 |
864 |
|
|||||||||||
|
|
191 |
|
|
Series 1998-1, Class 2E, 7.000%, 03/15/28 |
212 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
95,434 |
|
|||||||||||||
|
|
|
Non-Agency CMO — 5.2% |
|||||||||||||||
|
|
161 |
|
|
ABN Amro Mortgage Corp., Series 2003-9, Class A2, 4.500%, 08/25/18 |
160 |
|
|||||||||||
|
|
|
ASG Resecuritization Trust, |
|
||||||||||||||
|
|
383 |
|
|
Series 2009-1, Class A60, VAR, 5.587%, 06/26/37 (e) |
384 |
|
|||||||||||
|
|
439 |
|
|
Series 2009-2, Class A55, VAR, 5.755%, 05/24/36 (e) |
442 |
|
|||||||||||
|
|
838 |
|
|
Series 2009-3, Class A65, VAR, 5.595%, 03/26/37 (e) |
838 |
|
|||||||||||
|
|
|
Banc of America Alternative Loan Trust, |
|
||||||||||||||
|
|
313 |
|
|
Series 2003-7, Class 2A4, 5.000%, 09/25/18 |
317 |
|
|||||||||||
|
|
238 |
|
|
Series 2003-9, Class 1CB2, 5.500%, 11/25/33 |
240 |
|
|||||||||||
|
|
72 |
|
|
Series 2003-11, Class PO, PO, 01/25/34 |
46 |
|
|||||||||||
|
|
|
Banc of America Funding Corp., |
|
||||||||||||||
|
|
85 |
|
|
Series 2004-1, Class PO, PO, 03/25/34 |
61 |
|
|||||||||||
|
|
224 |
|
|
Series 2004-3, Class 1A7, 5.500%, 10/25/34 |
223 |
|
|||||||||||
|
|
|
Banc of America Mortgage Securities, Inc., |
|
||||||||||||||
|
|
63 |
|
|
Series 2003-8, Class APO, PO, 11/25/33 |
40 |
|
|||||||||||
|
|
144 |
|
|
Series 2004-1, Class APO, PO, 02/25/34 |
103 |
|
|||||||||||
|
|
115 |
|
|
Series 2004-6, Class APO, PO, 07/25/34 |
63 |
|
|||||||||||
|
|
258 |
|
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-5, Class A1, VAR, 2.530%, 08/25/35 |
247 |
|
|||||||||||
|
|
159 |
|
|
Citicorp Mortgage Securities, Inc., Series 2004-2, Class A1, 5.000%, 03/25/34 |
157 |
|
|||||||||||
|
|
|
Citigroup Mortgage Loan Trust, Inc., |
|
||||||||||||||
|
|
98 |
|
|
Series 2003-UP3, Class A3, 7.000%, 09/25/33 |
97 |
|
|||||||||||
|
|
274 |
|
|
Series 2003-UST1, Class A1, 5.500%, 12/25/18 |
281 |
|
|||||||||||
|
|
51 |
|
|
Series 2003-UST1, Class PO1, PO, 12/25/18 |
37 |
|
|||||||||||
|
|
36 |
|
|
Series 2003-UST1, Class PO3, PO, 12/25/18 |
29 |
|
|||||||||||
|
|
|
Countrywide Alternative Loan Trust, |
|
||||||||||||||
|
|
475 |
|
|
Series 2002-8, Class A4, 6.500%, 07/25/32 |
455 |
|
|||||||||||
|
|
1,431 |
|
|
Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 |
1,212 |
|
|||||||||||
|
|
350 |
|
|
Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 |
347 |
|
|||||||||||
|
|
101 |
|
|
Series 2005-26CB, Class A10, IF, 12.429%, 07/25/35 |
104 |
|
|||||||||||
|
|
500 |
|
|
Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 |
384 |
|
|||||||||||
|
|
300 |
|
|
Series 2007-21CB, Class 1A5, 6.000%, 09/25/37 (f) (i) |
62 |
|
|||||||||||
|
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, |
|
||||||||||||||
|
|
463 |
|
|
Series 2003-26, Class 1A6, 3.500%, 08/25/33 |
433 |
|
|||||||||||
|
|
188 |
|
|
Series 2003-J7, Class 4A3, IF, 9.331%, 08/25/18 |
181 |
|
|||||||||||
|
|
96 |
|
|
Series 2003-J13, Class PO, PO, 01/25/34 |
63 |
|
|||||||||||
|
|
55 |
|
|
Series 2004-HYB3, Class 2A, VAR, 2.738%, 06/20/34 |
44 |
|
|||||||||||
|
|
545 |
|
|
Series 2005-22, Class 2A1, VAR, 5.102%, 11/25/35 |
405 |
|
|||||||||||
|
|
269 |
|
|
Series 2005-R1, Class 2APO, PO, 03/25/35 (e) |
142 |
|
|||||||||||
|
|
311 |
|
|
CS First Boston Mortgage Securities Corp., Series 2003-23, Class 2A5, 5.000%, 10/25/18 |
307 |
|
|||||||||||
|
|
449 |
|
|
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 1A1, VAR, 5.294%, 06/25/20 |
401 |
|
|||||||||||
|
|
94 |
|
|
Deutsche Mortgage Securities, Inc., Series 2004-1, Class 2APO, PO, 10/25/18 |
75 |
|
|||||||||||
|
|
|
First Horizon Asset Securities, Inc., |
|
||||||||||||||
|
|
172 |
|
|
Series 2004-AR7, Class 2A1, VAR, 2.871%, 02/25/35 |
169 |
|
|||||||||||
|
|
202 |
|
|
Series 2004-AR7, Class 2A2, VAR, 2.871%, 02/25/35 |
185 |
|
|||||||||||
|
|
292 |
|
|
Series 2005-AR1, Class 2A2, VAR, 2.875%, 04/25/35 |
275 |
|
|||||||||||
|
|
500 |
|
|
GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3, 5.500%, 02/25/36 |
359 |
|
|||||||||||
|
|
64 |
|
|
Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO, PO, 04/25/33 |
42 |
|
|||||||||||
|
|
471 |
|
|
Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.480%, 08/25/35 |
5 |
|
|||||||||||
|
|
192 |
|
|
JP Morgan Mortgage Trust, Series 2006-A2, Class 4A1, VAR, 3.900%, 08/25/34 |
187 |
|
|||||||||||
|
|
|
MASTR Adjustable Rate Mortgages Trust, |
|
||||||||||||||
|
|
93 |
|
|
Series 2004-3, Class 4A2, VAR, 2.319%, 04/25/34 |
77 |
|
|||||||||||
|
|
221 |
|
|
Series 2004-13, Class 2A1, VAR, 2.976%, 04/21/34 |
219 |
|
|||||||||||
|
|
269 |
|
|
Series 2004-13, Class 3A6, VAR, 3.075%, 11/21/34 |
269 |
|
|||||||||||
|
|
|
MASTR Alternative Loans Trust, |
|
||||||||||||||
|
|
454 |
|
|
Series 2003-9, Class 8A1, 6.000%, 01/25/34 |
424 |
|
|||||||||||
|
|
1,521 |
|
|
Series 2004-4, Class 10A1, 5.000%, 05/25/24 |
1,506 |
|
|||||||||||
|
|
57 |
|
|
Series 2004-7, Class 30PO, PO, 08/25/34 |
36 |
|
|||||||||||
|
|
125 |
|
|
Series 2004-10, Class 1A1, 4.500%, 09/25/19 |
125 |
|
|||||||||||
|
|
476 |
|
|
Series 2005-6, Class 3A1, 5.500%, 11/25/20 |
402 |
|
|||||||||||
|
|
|
MASTR Asset Securitization Trust, |
|
||||||||||||||
|
|
410 |
|
|
Series 2003-2, Class 1A1, 5.000%, 03/25/18 |
423 |
|
|||||||||||
|
|
75 |
|
|
Series 2004-8, Class PO, PO, 08/25/19 |
59 |
|
|||||||||||
|
|
405 |
|
|
MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) |
243 |
|
|||||||||||
|
|
76 |
|
|
MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.663%, 02/25/35 |
57 |
|
|||||||||||
|
|
|
Nomura Asset Acceptance Corp., |
|
||||||||||||||
|
|
153 |
|
|
Series 2003-A1, Class A1, 5.500%, 05/25/33 |
156 |
|
|||||||||||
|
|
67 |
|
|
Series 2003-A1, Class A2, 6.000%, 05/25/33 |
68 |
|
|||||||||||
|
|
13 |
|
|
Series 2003-A1, Class A5, 7.000%, 04/25/33 |
14 |
|
|||||||||||
|
|
111 |
|
|
Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) |
107 |
|
|||||||||||
|
|
– |
(h) |
|
Paine Webber CMO Trust, Series H, Class 4, 8.750%, 04/01/18 |
– |
(h) |
|||||||||||
|
|
|
Residential Accredit Loans, Inc., |
|
||||||||||||||
|
|
602 |
|
|
Series 2002-QS8, Class A5, 6.250%, 06/25/17 |
619 |
|
|||||||||||
|
|
127 |
|
|
Series 2002-QS16, Class A3, IF, 15.906%, 10/25/17 |
125 |
|
|||||||||||
|
|
156 |
|
|
Series 2003-QS3, Class A2, IF, 15.746%, 02/25/18 |
170 |
|
|||||||||||
|
|
637 |
|
|
Series 2003-QS9, Class A3, IF, IO, 7.207%, 05/25/18 |
85 |
|
|||||||||||
|
|
123 |
|
|
Series 2004-QS8, Class A2, 5.000%, 06/25/34 |
120 |
|
|||||||||||
|
|
78 |
|
|
Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.750%, 02/25/19 |
78 |
|
|||||||||||
|
|
|
Residential Funding Mortgage Securities I, |
|
||||||||||||||
|
|
231 |
|
|
Series 2003-S7, Class A17, 4.000%, 05/25/33 |
230 |
|
|||||||||||
|
|
22 |
|
|
Series 2003-S11, Class A1, 2.500%, 06/25/18 |
22 |
|
|||||||||||
|
|
46 |
|
|
Series 2003-S12, Class 4A5, 4.500%, 12/25/32 |
46 |
|
|||||||||||
|
|
|
Salomon Brothers Mortgage Securities VII, Inc., |
|
||||||||||||||
|
|
195 |
|
|
Series 2003-HYB1, Class A, VAR, 3.690%, 09/25/33 |
192 |
|
|||||||||||
|
|
32 |
|
|
Series 2003-UP2, Class PO1, PO, 12/25/18 |
26 |
|
|||||||||||
|
|
|
Structured Asset Securities Corp., |
|
||||||||||||||
|
|
265 |
|
|
Series 2003-33H, Class 1A1, 5.500%, 10/25/33 |
251 |
|
|||||||||||
|
|
311 |
|
|
Series 2005-6, Class 4A1, 5.000%, 05/25/35 |
302 |
|
|||||||||||
|
|
127 |
|
|
Series 2005-6, Class 5A8, IF, 13.214%, 05/25/35 |
122 |
|
|||||||||||
|
|
|
WaMu Mortgage Pass-Through Certificates, |
|
||||||||||||||
|
|
265 |
|
|
Series 2002-S8, Class 2A7, 5.250%, 01/25/18 |
270 |
|
|||||||||||
|
|
102 |
|
|
Series 2003-S10, Class A6, PO, 10/25/18 |
94 |
|
|||||||||||
|
|
97 |
|
|
Series 2003-S11, Class 2A5, IF, 16.107%, 11/25/33 |
102 |
|
|||||||||||
|
|
172 |
|
|
Series 2004-AR3, Class A2, VAR, 2.712%, 06/25/34 |
168 |
|
|||||||||||
|
|
322 |
|
|
Series 2004-S3, Class 2A3, IF, 17.895%, 07/25/34 |
330 |
|
|||||||||||
|
|
400 |
|
|
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB7, 5.500%, 06/25/35 |
306 |
|
|||||||||||
|
|
49 |
|
|
Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2003-MS7, Class P, PO, 03/25/33 |
36 |
|
|||||||||||
|
|
|
Wells Fargo Mortgage-Backed Securities Trust, |
|
||||||||||||||
|
|
95 |
|
|
Series 2003-11, Class 1APO, PO, 10/25/18 |
75 |
|
|||||||||||
|
|
320 |
|
|
Series 2003-13, Class A7, 4.500%, 11/25/18 |
323 |
|
|||||||||||
|
|
353 |
|
|
Series 2003-15, Class 1A1, 4.750%, 12/25/18 |
362 |
|
|||||||||||
|
|
307 |
|
|
Series 2003-K, Class 1A1, VAR, 4.472%, 11/25/33 |
311 |
|
|||||||||||
|
|
157 |
|
|
Series 2004-7, Class 2A2, 5.000%, 07/25/19 |
163 |
|
|||||||||||
|
|
330 |
|
|
Series 2004-BB, Class A4, VAR, 2.902%, 01/25/35 |
329 |
|
|||||||||||
|
|
236 |
|
|
Series 2004-EE, Class 3A1, VAR, 3.596%, 12/25/34 |
238 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
19,282 |
|
|||||||||||||
|
|
|
Total Collateralized Mortgage Obligations (Cost $109,992) |
114,716 |
|
|||||||||||||
|
Commercial Mortgage-Backed Securities — 1.5% |
|||||||||||||||||
|
|
|
Banc of America Commercial Mortgage, Inc., |
|
||||||||||||||
|
|
500 |
|
|
Series 2005-6, Class ASB, VAR, 5.178%, 09/10/47 |
527 |
|
|||||||||||
|
|
50 |
|
|
Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 |
51 |
|
|||||||||||
|
|
300 |
|
|
Series 2006-4, Class A4, 5.634%, 07/10/46 |
303 |
|
|||||||||||
|
|
|
Bear Stearns Commercial Mortgage Securities, |
|
||||||||||||||
|
|
300 |
|
|
Series 2005-PWR9, Class AAB, 4.804%, 09/11/42 |
312 |
|
|||||||||||
|
|
360 |
|
|
Series 2006-PW11, Class A4, VAR, 5.456%, 03/11/39 |
372 |
|
|||||||||||
|
|
195 |
|
|
Series 2006-PW14, Class A1, 5.044%, 12/11/38 |
199 |
|
|||||||||||
|
|
190 |
|
|
Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.729%, 03/15/49 |
193 |
|
|||||||||||
|
|
300 |
|
|
GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, 5.238%, 11/10/45 |
307 |
|
|||||||||||
|
|
50 |
|
|
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31 |
51 |
|
|||||||||||
|
|
500 |
|
|
Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43 |
515 |
|
|||||||||||
|
|
|
Morgan Stanley Capital I, |
|
||||||||||||||
|
|
223 |
|
|
Series 2006-IQ12, Class A1, 5.257%, 12/15/43 |
227 |
|
|||||||||||
|
|
64 |
|
|
Series 2006-T23, Class A1, 5.682%, 08/12/41 |
66 |
|
|||||||||||
|
|
500 |
|
|
Morgan Stanley Dean Witter Capital I, Series 2001-280, Class A2, 6.494%, 02/03/16 (e) |
514 |
|
|||||||||||
|
|
1,000 |
|
|
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.071%, 08/15/39 |
1,078 |
|
|||||||||||
|
|
710 |
|
|
Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A2, 4.039%, 10/15/41 |
713 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Total Commercial Mortgage-Backed Securities (Cost $5,205) |
5,428 |
|
|||||||||||||
|
Corporate Bonds — 19.1% |
|||||||||||||||||
|
Consumer Discretionary — 1.0% |
|||||||||||||||||
|
|
|
Automobiles — 0.0% (g) |
|||||||||||||||
|
|
100 |
|
|
Daimler Finance North America LLC, 7.300%, 01/15/12 |
108 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Hotels, Restaurants & Leisure — 0.1% |
|||||||||||||||
|
|
150 |
|
|
McDonald's Corp., 4.300%, 03/01/13 |
160 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Media — 0.7% |
|||||||||||||||
|
|
25 |
|
|
CBS Corp., 5.750%, 04/15/20 |
25 |
|
|||||||||||
|
|
200 |
|
|
Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13 |
232 |
|
|||||||||||
|
|
749 |
|
|
Comcast Cable Holdings LLC, 9.800%, 02/01/12 |
841 |
|
|||||||||||
|
|
|
Comcast Corp., |
|
||||||||||||||
|
|
121 |
|
|
5.500%, 03/15/11 |
125 |
|
|||||||||||
|
|
100 |
|
|
5.900%, 03/15/16 |
110 |
|
|||||||||||
|
|
|
Cox Communications, Inc., |
|
||||||||||||||
|
|
50 |
|
|
5.450%, 12/15/14 |
54 |
|
|||||||||||
|
|
182 |
|
|
7.750%, 11/01/10 |
187 |
|
|||||||||||
|
|
100 |
|
|
News America, Inc., 7.250%, 05/18/18 |
118 |
|
|||||||||||
|
|
60 |
|
|
Thomson Reuters Corp., (Canada), 4.700%, 10/15/19 |
62 |
|
|||||||||||
|
|
|
Time Warner Cable, Inc., |
|
||||||||||||||
|
|
100 |
|
|
5.850%, 05/01/17 |
109 |
|
|||||||||||
|
|
50 |
|
|
6.750%, 07/01/18 |
56 |
|
|||||||||||
|
|
100 |
|
|
8.250%, 02/14/14 |
117 |
|
|||||||||||
|
|
150 |
|
|
8.250%, 04/01/19 |
183 |
|
|||||||||||
|
|
223 |
|
|
Time Warner Entertainment Co. LP, 10.150%, 05/01/12 |
255 |
|
|||||||||||
|
|
80 |
|
|
Viacom, Inc., 6.250%, 04/30/16 |
90 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
2,564 |
|
|||||||||||||
|
|
|
Multiline Retail — 0.1% |
|||||||||||||||
|
|
40 |
|
|
Kohl's Corp., 6.250%, 12/15/17 |
46 |
|
|||||||||||
|
|
400 |
|
|
Target Corp., 6.000%, 01/15/18 |
461 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
507 |
|
|||||||||||||
|
|
|
Specialty Retail — 0.1% |
|||||||||||||||
|
|
130 |
|
|
Home Depot, Inc., 5.400%, 03/01/16 |
142 |
|
|||||||||||
|
|
95 |
|
|
Staples, Inc., 9.750%, 01/15/14 |
116 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
258 |
|
|||||||||||||
|
|
|
Total Consumer Discretionary |
3,597 |
|
|||||||||||||
|
Consumer Staples — 0.7% |
|||||||||||||||||
|
|
|
Beverages — 0.2% |
|||||||||||||||
|
|
75 |
|
|
Anheuser-Busch Cos., Inc., 5.500%, 01/15/18 |
80 |
|
|||||||||||
|
|
100 |
|
|
Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19 (e) |
119 |
|
|||||||||||
|
|
|
Coca-Cola Co. (The), |
|
||||||||||||||
|
|
100 |
|
|
3.625%, 03/15/14 |
106 |
|
|||||||||||
|
|
50 |
|
|
4.875%, 03/15/19 |
54 |
|
|||||||||||
|
|
70 |
|
|
Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20 |
71 |
|
|||||||||||
|
|
|
Diageo Finance B.V., (Netherlands), |
|
||||||||||||||
|
|
30 |
|
|
5.300%, 10/28/15 |
33 |
|
|||||||||||
|
|
100 |
|
|
5.500%, 04/01/13 |
110 |
|
|||||||||||
|
|
85 |
|
|
FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e) |
92 |
|
|||||||||||
|
|
25 |
|
|
PepsiCo, Inc., 7.900%, 11/01/18 |
32 |
|
|||||||||||
|
|
30 |
|
|
SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e) |
35 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
732 |
|
|||||||||||||
|
|
|
Food & Staples Retailing — 0.0% (g) |
|||||||||||||||
|
|
50 |
|
|
Kroger Co. (The), 7.500%, 01/15/14 |
58 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Food Products — 0.4% |
|||||||||||||||
|
|
|
Bunge Ltd. Finance Corp., |
|
||||||||||||||
|
|
50 |
|
|
5.875%, 05/15/13 |
54 |
|
|||||||||||
|
|
135 |
|
|
8.500%, 06/15/19 |
157 |
|
|||||||||||
|
|
14 |
|
|
Bunge N.A. Finance LP, 5.900%, 04/01/17 |
15 |
|
|||||||||||
|
|
100 |
|
|
Cargill, Inc., 6.375%, 06/01/12 (e) |
109 |
|
|||||||||||
|
|
|
Kellogg Co., |
|
||||||||||||||
|
|
100 |
|
|
4.250%, 03/06/13 |
106 |
|
|||||||||||
|
|
200 |
|
|
5.125%, 12/03/12 |
217 |
|
|||||||||||
|
|
|
Kraft Foods, Inc., |
|
||||||||||||||
|
|
100 |
|
|
5.375%, 02/10/20 |
104 |
|
|||||||||||
|
|
450 |
|
|
6.125%, 02/01/18 |
497 |
|
|||||||||||
|
|
100 |
|
|
6.500%, 08/11/17 |
113 |
|
|||||||||||
|
|
150 |
|
|
6.750%, 02/19/14 |
171 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
1,543 |
|
|||||||||||||
|
|
|
Household Products — 0.1% |
|||||||||||||||
|
|
85 |
|
|
Procter & Gamble - ESOP, 9.360%, 01/01/21 |
110 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Total Consumer Staples |
2,443 |
|
|||||||||||||
|
Energy — 0.6% |
|||||||||||||||||
|
|
|
Oil, Gas & Consumable Fuels — 0.6% |
|||||||||||||||
|
|
400 |
|
|
Anadarko Petroleum Corp., 7.625%, 03/15/14 |
445 |
|
|||||||||||
|
|
150 |
|
|
Canadian Natural Resources Ltd., (Canada), 5.900%, 02/01/18 |
165 |
|
|||||||||||
|
|
30 |
|
|
Cenovus Energy, Inc., (Canada), 5.700%, 10/15/19 (e) |
32 |
|
|||||||||||
|
|
150 |
|
|
ConocoPhillips, 5.750%, 02/01/19 |
166 |
|
|||||||||||
|
|
100 |
|
|
EnCana Corp., (Canada), 6.500%, 05/15/19 |
111 |
|
|||||||||||
|
|
|
Marathon Oil Corp., |
|
||||||||||||||
|
|
250 |
|
|
5.900%, 03/15/18 |
269 |
|
|||||||||||
|
|
175 |
|
|
6.000%, 10/01/17 |
192 |
|
|||||||||||
|
|
40 |
|
|
PC Financial Partnership, 5.000%, 11/15/14 |
43 |
|
|||||||||||
|
|
97 |
|
|
Petro-Canada, (Canada), 6.050%, 05/15/18 |
106 |
|
|||||||||||
|
|
|
Shell International Finance BV, (Netherlands), |
|
||||||||||||||
|
|
110 |
|
|
1.875%, 03/25/13 |
111 |
|
|||||||||||
|
|
195 |
|
|
4.375%, 03/25/20 |
197 |
|
|||||||||||
|
|
250 |
|
|
XTO Energy, Inc., 5.750%, 12/15/13 |
279 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Total Energy |
2,116 |
|
|||||||||||||
|
Financials — 11.9% |
|||||||||||||||||
|
|
|
Capital Markets — 3.3% |
|||||||||||||||
|
|
75 |
|
|
Bank of New York Mellon Corp. (The), 4.600%, 01/15/20 |
76 |
|
|||||||||||
|
|
|
BlackRock, Inc., |
|
||||||||||||||
|
|
325 |
|
|
3.500%, 12/10/14 |
332 |
|
|||||||||||
|
|
326 |
|
|
5.000%, 12/10/19 |
338 |
|
|||||||||||
|
|
1,640 |
|
|
Credit Suisse USA, Inc., 6.125%, 11/15/11 |
1,740 |
|
|||||||||||
|
|
|
Goldman Sachs Group, Inc. (The), |
|
||||||||||||||
|
|
202 |
|
|
4.750%, 07/15/13 |
205 |
|
|||||||||||
|
|
200 |
|
|
5.150%, 01/15/14 |
207 |
|
|||||||||||
|
|
300 |
|
|
5.500%, 11/15/14 |
310 |
|
|||||||||||
|
|
1,100 |
|
|
5.950%, 01/18/18 |
1,116 |
|
|||||||||||
|
|
486 |
|
|
6.600%, 01/15/12 |
510 |
|
|||||||||||
|
|
400 |
|
|
6.875%, 01/15/11 |
412 |
|
|||||||||||
|
|
50 |
|
|
7.500%, 02/15/19 |
55 |
|
|||||||||||
|
|
|
Jefferies Group, Inc., |
|
||||||||||||||
|
|
150 |
|
|
7.750%, 03/15/12 |
161 |
|
|||||||||||
|
|
75 |
|
|
8.500%, 07/15/19 |
85 |
|
|||||||||||
|
|
|
Lehman Brothers Holdings, Inc., |
|
||||||||||||||
|
|
300 |
|
|
4.800%, 03/13/14 (d) |
62 |
|
|||||||||||
|
|
350 |
|
|
6.000%, 07/19/12 (d) |
73 |
|
|||||||||||
|
|
455 |
|
|
6.625%, 01/18/12 (d) |
94 |
|
|||||||||||
|
|
75 |
|
|
6.750%, 12/28/17 (d) |
– |
(h) |
|||||||||||
|
|
|
Merrill Lynch & Co., Inc., |
|
||||||||||||||
|
|
200 |
|
|
4.500%, 11/04/10 |
203 |
|
|||||||||||
|
|
200 |
|
|
5.000%, 01/15/15 |
197 |
|
|||||||||||
|
|
157 |
|
|
5.450%, 07/15/14 |
162 |
|
|||||||||||
|
|
50 |
|
|
6.150%, 04/25/13 |
53 |
|
|||||||||||
|
|
684 |
|
|
6.400%, 08/28/17 |
700 |
|
|||||||||||
|
|
266 |
|
|
6.875%, 04/25/18 |
274 |
|
|||||||||||
|
|
|
Morgan Stanley, |
|
||||||||||||||
|
|
195 |
|
|
4.200%, 11/20/14 |
189 |
|
|||||||||||
|
|
147 |
|
|
4.750%, 04/01/14 |
146 |
|
|||||||||||
|
|
200 |
|
|
5.500%, 01/26/20 |
190 |
|
|||||||||||
|
|
150 |
|
|
5.625%, 09/23/19 |
143 |
|
|||||||||||
|
|
175 |
|
|
5.750%, 08/31/12 |
182 |
|
|||||||||||
|
|
250 |
|
|
6.000%, 05/13/14 |
259 |
|
|||||||||||
|
|
1,000 |
|
|
6.600%, 04/01/12 |
1,052 |
|
|||||||||||
|
|
100 |
|
|
6.625%, 04/01/18 |
103 |
|
|||||||||||
|
|
840 |
|
|
6.750%, 04/15/11 |
875 |
|
|||||||||||
|
|
178 |
|
|
Nomura Holdings, Inc., (Japan), 6.700%, 03/04/20 |
183 |
|
|||||||||||
|
|
45 |
|
|
Northern Trust Corp., 5.500%, 08/15/13 |
50 |
|
|||||||||||
|
|
607 |
|
|
State Street Corp., 7.650%, 06/15/10 |
609 |
|
|||||||||||
|
|
|
UBS AG, (Switzerland), |
|
||||||||||||||
|
|
500 |
|
|
3.875%, 01/15/15 |
497 |
|
|||||||||||
|
|
100 |
|
|
5.750%, 04/25/18 |
102 |
|
|||||||||||
|
|
100 |
|
|
5.875%, 12/20/17 |
103 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
12,048 |
|
|||||||||||||
|
|
|
Commercial Banks — 2.2% |
|||||||||||||||
|
|
100 |
|
|
ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) |
100 |
|
|||||||||||
|
|
123 |
|
|
Bank of Nova Scotia, (Canada), 3.400%, 01/22/15 |
125 |
|
|||||||||||
|
|
136 |
|
|
Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) |
141 |
|
|||||||||||
|
|
|
Barclays Bank plc, (United Kingdom), |
|
||||||||||||||
|
|
410 |
|
|
2.500%, 01/23/13 |
402 |
|
|||||||||||
|
|
100 |
|
|
3.900%, 04/07/15 |
98 |
|
|||||||||||
|
|
200 |
|
|
5.200%, 07/10/14 |
207 |
|
|||||||||||
|
|
250 |
|
|
6.050%, 12/04/17 (e) |
244 |
|
|||||||||||
|
|
|
BB&T Corp., |
|
||||||||||||||
|
|
150 |
|
|
3.375%, 09/25/13 |
153 |
|
|||||||||||
|
|
50 |
|
|
3.850%, 07/27/12 |
52 |
|
|||||||||||
|
|
125 |
|
|
3.950%, 04/29/16 |
126 |
|
|||||||||||
|
|
100 |
|
|
4.900%, 06/30/17 |
101 |
|
|||||||||||
|
|
152 |
|
|
Branch Banking & Trust Co., 4.875%, 01/15/13 |
161 |
|
|||||||||||
|
|
405 |
|
|
Credit Suisse, (Switzerland), 5.000%, 05/15/13 |
431 |
|
|||||||||||
|
|
350 |
|
|
Fifth Third Bancorp, 5.450%, 01/15/17 |
352 |
|
|||||||||||
|
|
75 |
|
|
KeyCorp, 6.500%, 05/14/13 |
81 |
|
|||||||||||
|
|
300 |
|
|
Manufacturers & Traders Trust Co., 6.625%, 12/04/17 |
329 |
|
|||||||||||
|
|
200 |
|
|
Marshall & Ilsley Corp., 5.350%, 04/01/11 |
202 |
|
|||||||||||
|
|
|
National Australia Bank Ltd., (Australia), |
|
||||||||||||||
|
|
200 |
|
|
2.500%, 01/08/13 (e) |
200 |
|
|||||||||||
|
|
100 |
|
|
3.750%, 03/02/15 (e) |
101 |
|
|||||||||||
|
|
|
PNC Funding Corp., |
|
||||||||||||||
|
|
265 |
|
|
5.125%, 02/08/20 |
269 |
|
|||||||||||
|
|
225 |
|
|
5.250%, 11/15/15 |
240 |
|
|||||||||||
|
|
250 |
|
|
Rabobank Nederland N.V., (Netherlands), 3.200%, 03/11/15 (e) |
251 |
|
|||||||||||
|
|
|
SunTrust Banks, Inc., |
|
||||||||||||||
|
|
270 |
|
|
5.250%, 11/05/12 |
282 |
|
|||||||||||
|
|
229 |
|
|
6.375%, 04/01/11 |
237 |
|
|||||||||||
|
|
208 |
|
|
U.S. Bancorp, 2.875%, 11/20/14 |
208 |
|
|||||||||||
|
|
202 |
|
|
Wachovia Bank N.A., 7.800%, 08/18/10 |
205 |
|
|||||||||||
|
|
|
Wachovia Corp., |
|
||||||||||||||
|
|
235 |
|
|
4.875%, 02/15/14 |
246 |
|
|||||||||||
|
|
850 |
|
|
5.750%, 02/01/18 |
909 |
|
|||||||||||
|
|
|
Wells Fargo & Co., |
|
||||||||||||||
|
|
500 |
|
|
3.750%, 10/01/14 |
508 |
|
|||||||||||
|
|
415 |
|
|
5.625%, 12/11/17 |
444 |
|
|||||||||||
|
|
|
Wells Fargo Bank N.A., |
|
||||||||||||||
|
|
315 |
|
|
4.750%, 02/09/15 |
328 |
|
|||||||||||
|
|
81 |
|
|
6.450%, 02/01/11 |
84 |
|
|||||||||||
|
|
285 |
|
|
Westpac Banking Corp., (Australia), 4.875%, 11/19/19 |
284 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
8,101 |
|
|||||||||||||
|
|
|
Consumer Finance — 1.0% |
|||||||||||||||
|
|
200 |
|
|
American Express Credit Corp., 7.300%, 08/20/13 |
225 |
|
|||||||||||
|
|
91 |
|
|
American General Finance Corp., 5.375%, 10/01/12 |
81 |
|
|||||||||||
|
|
71 |
|
|
Capital One Bank USA N.A., 5.750%, 09/15/10 |
72 |
|
|||||||||||
|
|
|
Capital One Financial Corp., |
|
||||||||||||||
|
|
100 |
|
|
5.700%, 09/15/11 |
104 |
|
|||||||||||
|
|
245 |
|
|
6.250%, 11/15/13 |
269 |
|
|||||||||||
|
|
100 |
|
|
6.750%, 09/15/17 |
112 |
|
|||||||||||
|
|
|
HSBC Finance Corp., |
|
||||||||||||||
|
|
200 |
|
|
5.250%, 01/15/14 |
212 |
|
|||||||||||
|
|
452 |
|
|
6.375%, 10/15/11 |
476 |
|
|||||||||||
|
|
202 |
|
|
6.375%, 11/27/12 |
218 |
|
|||||||||||
|
|
835 |
|
|
7.000%, 05/15/12 |
901 |
|
|||||||||||
|
|
698 |
|
|
8.000%, 07/15/10 |
703 |
|
|||||||||||
|
|
233 |
|
|
SLM Corp., 5.375%, 01/15/13 |
228 |
|
|||||||||||
|
|
202 |
|
|
Washington Mutual Finance Corp., 6.875%, 05/15/11 |
210 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
3,811 |
|
|||||||||||||
|
|
|
Diversified Financial Services — 3.3% |
|||||||||||||||
|
|
250 |
|
|
Associates Corp. of North America, 6.950%, 11/01/18 |
259 |
|
|||||||||||
|
|
300 |
|
|
BA Covered Bond Issuer, 5.500%, 06/14/12 (e) |
320 |
|
|||||||||||
|
|
|
Bank of America Corp., |
|
||||||||||||||
|
|
168 |
|
|
4.500%, 04/01/15 |
167 |
|
|||||||||||
|
|
300 |
|
|
5.650%, 05/01/18 |
302 |
|
|||||||||||
|
|
100 |
|
|
6.500%, 08/01/16 |
106 |
|
|||||||||||
|
|
125 |
|
|
7.375%, 05/15/14 |
138 |
|
|||||||||||
|
|
405 |
|
|
7.400%, 01/15/11 |
419 |
|
|||||||||||
|
|
425 |
|
|
Bank of America N.A., 5.300%, 03/15/17 |
417 |
|
|||||||||||
|
|
|
BP Capital Markets plc, (United Kingdom), |
|
||||||||||||||
|
|
100 |
|
|
3.125%, 03/10/12 |
101 |
|
|||||||||||
|
|
300 |
|
|
5.250%, 11/07/13 |
323 |
|
|||||||||||
|
|
|
Caterpillar Financial Services Corp., |
|
||||||||||||||
|
|
150 |
|
|
4.850%, 12/07/12 |
162 |
|
|||||||||||
|
|
100 |
|
|
5.500%, 03/15/16 |
112 |
|
|||||||||||
|
|
150 |
|
|
6.200%, 09/30/13 |
169 |
|
|||||||||||
|
|
65 |
|
|
7.050%, 10/01/18 |
77 |
|
|||||||||||
|
|
100 |
|
|
7.150%, 02/15/19 |
121 |
|
|||||||||||
|
|
|
Citigroup, Inc., |
|
||||||||||||||
|
|
285 |
|
|
5.500%, 10/15/14 |
288 |
|
|||||||||||
|
|
506 |
|
|
5.625%, 08/27/12 |
523 |
|
|||||||||||
|
|
700 |
|
|
6.000%, 08/15/17 |
707 |
|
|||||||||||
|
|
300 |
|
|
6.125%, 11/21/17 |
306 |
|
|||||||||||
|
|
|
CME Group, Inc., |
|
||||||||||||||
|
|
200 |
|
|
5.400%, 08/01/13 |
219 |
|
|||||||||||
|
|
100 |
|
|
5.750%, 02/15/14 |
110 |
|
|||||||||||
|
|
190 |
|
|
ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 |
217 |
|
|||||||||||
|
|
|
General Electric Capital Corp., |
|
||||||||||||||
|
|
1,600 |
|
|
5.250%, 10/19/12 |
1,699 |
|
|||||||||||
|
|
500 |
|
|
5.400%, 02/15/17 |
522 |
|
|||||||||||
|
|
300 |
|
|
5.625%, 05/01/18 |
312 |
|
|||||||||||
|
|
500 |
|
|
5.650%, 06/09/14 |
545 |
|
|||||||||||
|
|
2,078 |
|
|
5.875%, 02/15/12 |
2,206 |
|
|||||||||||
|
|
1,050 |
|
|
6.000%, 06/15/12 |
1,126 |
|
|||||||||||
|
|
102 |
|
|
International Lease Finance Corp., 5.875%, 05/01/13 |
90 |
|
|||||||||||
|
|
100 |
|
|
Textron Financial Corp., 5.400%, 04/28/13 |
104 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
12,167 |
|
|||||||||||||
|
|
|
Insurance — 1.8% |
|||||||||||||||
|
|
|
American International Group, Inc., |
|
||||||||||||||
|
|
385 |
|
|
4.250%, 05/15/13 |
356 |
|
|||||||||||
|
|
350 |
|
|
5.450%, 05/18/17 |
292 |
|
|||||||||||
|
|
200 |
|
|
5.600%, 10/18/16 |
171 |
|
|||||||||||
|
|
607 |
|
|
ASIF Global Financing XIX, 4.900%, 01/17/13 (e) |
571 |
|
|||||||||||
|
|
|
Berkshire Hathaway Finance Corp., |
|
||||||||||||||
|
|
500 |
|
|
4.000%, 04/15/12 |
525 |
|
|||||||||||
|
|
150 |
|
|
5.400%, 05/15/18 |
164 |
|
|||||||||||
|
|
600 |
|
|
Genworth Global Funding Trusts, 5.200%, 10/08/10 |
607 |
|
|||||||||||
|
|
405 |
|
|
Jackson National Life Global Funding, 6.125%, 05/30/12 (e) |
432 |
|
|||||||||||
|
|
243 |
|
|
John Hancock Global Funding II, 7.900%, 07/02/10 (e) |
244 |
|
|||||||||||
|
|
|
Metropolitan Life Global Funding I, |
|
||||||||||||||
|
|
150 |
|
|
2.875%, 09/17/12 (e) |
153 |
|
|||||||||||
|
|
222 |
|
|
5.200%, 09/18/13 (e) |
239 |
|
|||||||||||
|
|
100 |
|
|
5.750%, 07/25/11 (e) |
104 |
|
|||||||||||
|
|
50 |
|
|
Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) |
53 |
|
|||||||||||
|
|
121 |
|
|
Nationwide Financial Services, 6.250%, 11/15/11 |
128 |
|
|||||||||||
|
|
506 |
|
|
New York Life Global Funding, 5.375%, 09/15/13 (e) |
551 |
|
|||||||||||
|
|
150 |
|
|
Pacific Life Global Funding, 5.000%, 05/15/17 (e) |
151 |
|
|||||||||||
|
|
200 |
|
|
Pricoa Global Funding I, 5.450%, 06/11/14 (e) |
216 |
|
|||||||||||
|
|
765 |
|
|
Principal Life Global Funding I, 6.250%, 02/15/12 (e) |
817 |
|
|||||||||||
|
|
100 |
|
|
Principal Life Income Funding Trusts, 5.300%, 04/24/13 |
107 |
|
|||||||||||
|
|
405 |
|
|
Protective Life Secured Trusts, 4.000%, 04/01/11 |
412 |
|
|||||||||||
|
|
200 |
|
|
Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e) |
215 |
|
|||||||||||
|
|
50 |
|
|
Travelers Property Casualty Corp., 5.000%, 03/15/13 |
54 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
6,562 |
|
|||||||||||||
|
|
|
Real Estate Investment Trusts (REITs) — 0.1% |
|||||||||||||||
|
|
150 |
|
|
HRPT Properties Trust, 6.650%, 01/15/18 |
155 |
|
|||||||||||
|
|
|
Simon Property Group LP, |
|
||||||||||||||
|
|
17 |
|
|
4.200%, 02/01/15 |
17 |
|
|||||||||||
|
|
100 |
|
|
5.625%, 08/15/14 |
108 |
|
|||||||||||
|
|
50 |
|
|
5.650%, 02/01/20 |
52 |
|
|||||||||||
|
|
40 |
|
|
6.100%, 05/01/16 |
44 |
|
|||||||||||
|
|
114 |
|
|
WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) |
126 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
502 |
|
|||||||||||||
|
|
|
Thrifts & Mortgage Finance — 0.2% |
|||||||||||||||
|
|
650 |
|
|
Countrywide Home Loans, Inc., 4.000%, 03/22/11 |
662 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Total Financials |
43,853 |
|
|||||||||||||
|
Health Care — 0.2% |
|||||||||||||||||
|
|
|
Biotechnology — 0.0% (g) |
|||||||||||||||
|
|
|
Amgen, Inc., |
|
||||||||||||||
|
|
44 |
|
|
4.500%, 03/15/20 |
46 |
|
|||||||||||
|
|
40 |
|
|
5.700%, 02/01/19 |
45 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
91 |
|
|||||||||||||
|
|
|
Health Care Equipment & Supplies — 0.0% (g) |
|||||||||||||||
|
|
|
Baxter International, Inc., |
|
||||||||||||||
|
|
50 |
|
|
4.000%, 03/01/14 |
53 |
|
|||||||||||
|
|
50 |
|
|
4.625%, 03/15/15 |
55 |
|
|||||||||||
|
|
40 |
|
|
Becton Dickinson and Co., 5.000%, 05/15/19 |
43 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
151 |
|
|||||||||||||
|
|
|
Health Care Providers & Services — 0.0% (g) |
|||||||||||||||
|
|
|
WellPoint, Inc., |
|
||||||||||||||
|
|
27 |
|
|
5.875%, 06/15/17 |
30 |
|
|||||||||||
|
|
18 |
|
|
7.000%, 02/15/19 |
21 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
51 |
|
|||||||||||||
|
|
|
Pharmaceuticals — 0.2% |
|||||||||||||||
|
|
100 |
|
|
AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14 |
112 |
|
|||||||||||
|
|
75 |
|
|
Eli Lilly & Co., 3.550%, 03/06/12 |
78 |
|
|||||||||||
|
|
150 |
|
|
GlaxoSmithKline Capital, Inc., 4.850%, 05/15/13 |
164 |
|
|||||||||||
|
|
75 |
|
|
Merck & Co., Inc., 6.000%, 09/15/17 |
86 |
|
|||||||||||
|
|
200 |
|
|
Pfizer, Inc., 4.450%, 03/15/12 |
211 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
651 |
|
|||||||||||||
|
|
|
Total Health Care |
944 |
|
|||||||||||||
|
Industrials — 0.8% |
|||||||||||||||||
|
|
|
Aerospace & Defense — 0.1% |
|||||||||||||||
|
|
100 |
|
|
Honeywell International, Inc., 5.300%, 03/01/18 |
110 |
|
|||||||||||
|
|
250 |
|
|
Northrop Grumman Systems Corp., 7.125%, 02/15/11 |
260 |
|
|||||||||||
|
|
96 |
|
|
Systems 2001 AT LLC, (Cayman Islands), 7.156%, 12/15/11 (e) |
100 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
470 |
|
|||||||||||||
|
|
|
Airlines — 0.0% (g) |
|||||||||||||||
|
|
39 |
|
|
Continental Airlines, 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20 |
40 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Building Products — 0.0% (g) |
|||||||||||||||
|
|
45 |
|
|
Masco Corp., 5.850%, 03/15/17 |
44 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Commercial Services & Supplies — 0.1% |
|||||||||||||||
|
|
100 |
|
|
Allied Waste North America, Inc., 6.875%, 06/01/17 |
109 |
|
|||||||||||
|
|
60 |
|
|
Waste Management, Inc., 7.375%, 03/11/19 |
72 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
181 |
|
|||||||||||||
|
|
|
Industrial Conglomerates — 0.0% (g) |
|||||||||||||||
|
|
100 |
|
|
Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) |
111 |
|
|||||||||||
|
|
50 |
|
|
Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19 |
64 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
175 |
|
|||||||||||||
|
|
|
Machinery — 0.0% (g) |
|||||||||||||||
|
|
50 |
|
|
Eaton Corp., 5.600%, 05/15/18 |
55 |
|
|||||||||||
|
|
25 |
|
|
PACCAR, Inc., 6.375%, 02/15/12 |
27 |
|
|||||||||||
|
|
25 |
|
|
Parker Hannifin Corp., 5.500%, 05/15/18 |
27 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
109 |
|
|||||||||||||
|
|
|
Road & Rail — 0.6% |
|||||||||||||||
|
|
|
Burlington Northern Santa Fe LLC, |
|
||||||||||||||
|
|
100 |
|
|
5.650%, 05/01/17 |
109 |
|
|||||||||||
|
|
100 |
|
|
7.000%, 02/01/14 |
115 |
|
|||||||||||
|
|
202 |
|
|
7.125%, 12/15/10 |
209 |
|
|||||||||||
|
|
|
CSX Corp., |
|
||||||||||||||
|
|
30 |
|
|
6.250%, 04/01/15 |
34 |
|
|||||||||||
|
|
30 |
|
|
7.375%, 02/01/19 |
36 |
|
|||||||||||
|
|
693 |
|
|
Federal Express Corp. 1998 Pass Through Trust, 6.720%, 01/15/22 |
777 |
|
|||||||||||
|
|
|
Norfolk Southern Corp., |
|
||||||||||||||
|
|
100 |
|
|
6.750%, 02/15/11 |
103 |
|
|||||||||||
|
|
50 |
|
|
7.700%, 05/15/17 |
61 |
|
|||||||||||
|
|
|
Union Pacific Corp., |
|
||||||||||||||
|
|
100 |
|
|
4.875%, 01/15/15 |
107 |
|
|||||||||||
|
|
100 |
|
|
5.650%, 05/01/17 |
109 |
|
|||||||||||
|
|
250 |
|
|
5.700%, 08/15/18 |
274 |
|
|||||||||||
|
|
115 |
|
|
United Parcel Service of America, Inc., 8.375%, 04/01/20 |
154 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
2,088 |
|
|||||||||||||
|
|
|
Total Industrials |
3,107 |
|
|||||||||||||
|
Information Technology — 0.4% |
|||||||||||||||||
|
|
|
Communications Equipment — 0.0% (g) |
|||||||||||||||
|
|
100 |
|
|
Cisco Systems, Inc., 5.500%, 02/22/16 |
114 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Computers & Peripherals — 0.3% |
|||||||||||||||
|
|
|
Hewlett-Packard Co., |
|
||||||||||||||
|
|
325 |
|
|
5.400%, 03/01/17 |
360 |
|
|||||||||||
|
|
200 |
|
|
6.125%, 03/01/14 |
228 |
|
|||||||||||
|
|
|
International Business Machines Corp., |
|
||||||||||||||
|
|
150 |
|
|
5.700%, 09/14/17 |
171 |
|
|||||||||||
|
|
200 |
|
|
7.625%, 10/15/18 |
251 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
1,010 |
|
|||||||||||||
|
|
|
Electronic Equipment, Instruments & Components — 0.0% (g) |
|||||||||||||||
|
|
150 |
|
|
Arrow Electronics, Inc., 6.875%, 07/01/13 |
165 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Software — 0.1% |
|||||||||||||||
|
|
25 |
|
|
Intuit, Inc., 5.750%, 03/15/17 |
27 |
|
|||||||||||
|
|
|
Oracle Corp., |
|
||||||||||||||
|
|
200 |
|
|
5.250%, 01/15/16 |
223 |
|
|||||||||||
|
|
100 |
|
|
5.750%, 04/15/18 |
113 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
363 |
|
|||||||||||||
|
|
|
Total Information Technology |
1,652 |
|
|||||||||||||
|
Materials — 0.4% |
|||||||||||||||||
|
|
|
Chemicals — 0.3% |
|||||||||||||||
|
|
100 |
|
|
Air Products & Chemicals, Inc., 4.150%, 02/01/13 |
105 |
|
|||||||||||
|
|
|
Dow Chemical Co. (The), |
|
||||||||||||||
|
|
100 |
|
|
6.000%, 10/01/12 |
108 |
|
|||||||||||
|
|
254 |
|
|
6.125%, 02/01/11 |
261 |
|
|||||||||||
|
|
|
EI Du Pont de Nemours & Co., |
|
||||||||||||||
|
|
50 |
|
|
4.125%, 03/06/13 |
53 |
|
|||||||||||
|
|
100 |
|
|
6.000%, 07/15/18 |
114 |
|
|||||||||||
|
|
225 |
|
|
Monsanto Co., 7.375%, 08/15/12 |
253 |
|
|||||||||||
|
|
100 |
|
|
Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13 |
108 |
|
|||||||||||
|
|
230 |
|
|
Praxair, Inc., 4.625%, 03/30/15 |
249 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
1,251 |
|
|||||||||||||
|
|
|
Metals & Mining — 0.1% |
|||||||||||||||
|
|
|
BHP Billiton Finance USA Ltd., (Australia), |
|
||||||||||||||
|
|
100 |
|
|
5.400%, 03/29/17 |
109 |
|
|||||||||||
|
|
100 |
|
|
6.500%, 04/01/19 |
117 |
|
|||||||||||
|
|
50 |
|
|
Rio Tinto Finance USA Ltd., (Australia), 8.950%, 05/01/14 |
60 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
286 |
|
|||||||||||||
|
|
|
Total Materials |
1,537 |
|
|||||||||||||
|
Telecommunication Services — 1.8% |
|||||||||||||||||
|
|
|
Diversified Telecommunication Services — 1.6% |
|||||||||||||||
|
|
|
AT&T, Inc., |
|
||||||||||||||
|
|
1,020 |
|
|
4.950%, 01/15/13 |
1,098 |
|
|||||||||||
|
|
135 |
|
|
5.100%, 09/15/14 |
148 |
|
|||||||||||
|
|
150 |
|
|
5.500%, 02/01/18 |
162 |
|
|||||||||||
|
|
15 |
|
|
BellSouth Corp., 5.200%, 09/15/14 |
16 |
|
|||||||||||
|
|
142 |
|
|
BellSouth Telecommunications, Inc., 6.300%, 12/15/15 |
150 |
|
|||||||||||
|
|
|
British Telecommunications plc, (United Kingdom), |
|
||||||||||||||
|
|
100 |
|
|
5.950%, 01/15/18 |
103 |
|
|||||||||||
|
|
830 |
|
|
9.125%, 12/15/10 |
865 |
|
|||||||||||
|
|
587 |
|
|
France Telecom S.A., (France), 7.750%, 03/01/11 |
616 |
|
|||||||||||
|
|
|
Telecom Italia Capital S.A., (Luxembourg), |
|
||||||||||||||
|
|
420 |
|
|
4.950%, 09/30/14 |
417 |
|
|||||||||||
|
|
225 |
|
|
5.250%, 11/15/13 |
234 |
|
|||||||||||
|
|
|
Telefonica Emisiones S.A.U., (Spain), |
|
||||||||||||||
|
|
275 |
|
|
5.855%, 02/04/13 |
294 |
|
|||||||||||
|
|
30 |
|
|
5.877%, 07/15/19 |
31 |
|
|||||||||||
|
|
198 |
|
|
TELUS Corp., (Canada), 8.000%, 06/01/11 |
211 |
|
|||||||||||
|
|
100 |
|
|
Verizon Communications, Inc., 5.500%, 02/15/18 |
108 |
|
|||||||||||
|
|
202 |
|
|
Verizon Florida LLC, 6.125%, 01/15/13 |
219 |
|
|||||||||||
|
|
600 |
|
|
Verizon Global Funding Corp., 7.250%, 12/01/10 |
619 |
|
|||||||||||
|
|
250 |
|
|
Verizon Maryland, Inc., 7.150%, 05/01/23 |
267 |
|
|||||||||||
|
|
100 |
|
|
Verizon New England, Inc., 4.750%, 10/01/13 |
106 |
|
|||||||||||
|
|
200 |
|
|
Verizon Virginia, Inc., 4.625%, 03/15/13 |
211 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
5,875 |
|
|||||||||||||
|
|
|
Wireless Telecommunication Services — 0.2% |
|||||||||||||||
|
|
150 |
|
|
Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 |
166 |
|
|||||||||||
|
|
364 |
|
|
New Cingular Wireless Services, Inc., 7.875%, 03/01/11 |
382 |
|
|||||||||||
|
|
125 |
|
|
Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15 |
133 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
681 |
|
|||||||||||||
|
|
|
Total Telecommunication Services |
6,556 |
|
|||||||||||||
|
Utilities — 1.3% |
|||||||||||||||||
|
|
|
Electric Utilities — 0.9% |
|||||||||||||||
|
|
81 |
|
|
Alabama Power Co., 4.700%, 12/01/10 |
83 |
|
|||||||||||
|
|
|
Carolina Power & Light Co., |
|
||||||||||||||
|
|
233 |
|
|
5.125%, 09/15/13 |
255 |
|
|||||||||||
|
|
150 |
|
|
5.300%, 01/15/19 |
162 |
|
|||||||||||
|
|
100 |
|
|
CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 |
111 |
|
|||||||||||
|
|
50 |
|
|
Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17 |
60 |
|
|||||||||||
|
|
25 |
|
|
Columbus Southern Power Co., 6.050%, 05/01/18 |
28 |
|
|||||||||||
|
|
30 |
|
|
Connecticut Light & Power Co. (The), 5.650%, 05/01/18 |
33 |
|
|||||||||||
|
|
|
Duke Energy Carolinas LLC, |
|
||||||||||||||
|
|
200 |
|
|
5.625%, 11/30/12 |
219 |
|
|||||||||||
|
|
205 |
|
|
6.250%, 01/15/12 |
222 |
|
|||||||||||
|
|
100 |
|
|
Enel Finance International S.A., (Luxembourg), 5.125%, 10/07/19 (e) |
98 |
|
|||||||||||
|
|
150 |
|
|
FPL Group Capital, Inc., 7.875%, 12/15/15 |
183 |
|
|||||||||||
|
|
40 |
|
|
Georgia Power Co., 6.000%, 11/01/13 |
45 |
|
|||||||||||
|
|
75 |
|
|
Indiana Michigan Power Co., 7.000%, 03/15/19 |
87 |
|
|||||||||||
|
|
25 |
|
|
Jersey Central Power & Light Co., 7.350%, 02/01/19 |
29 |
|
|||||||||||
|
|
30 |
|
|
Kiowa Power Partners LLC, 4.811%, 12/30/13 (e) |
30 |
|
|||||||||||
|
|
60 |
|
|
Nevada Power Co., 7.125%, 03/15/19 |
70 |
|
|||||||||||
|
|
40 |
|
|
Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) |
41 |
|
|||||||||||
|
|
50 |
|
|
Nisource Finance Corp., 10.750%, 03/15/16 |
64 |
|
|||||||||||
|
|
|
Oncor Electric Delivery Co. LLC, |
|
||||||||||||||
|
|
25 |
|
|
5.950%, 09/01/13 |
27 |
|
|||||||||||
|
|
50 |
|
|
6.800%, 09/01/18 |
58 |
|
|||||||||||
|
|
125 |
|
|
Pacific Gas & Electric Co., 5.625%, 11/30/17 |
137 |
|
|||||||||||
|
|
60 |
|
|
PacifiCorp, 5.650%, 07/15/18 |
67 |
|
|||||||||||
|
|
75 |
|
|
Peco Energy Co., 5.350%, 03/01/18 |
82 |
|
|||||||||||
|
|
200 |
|
|
Public Service Electric & Gas Co., 6.330%, 11/01/13 |
227 |
|
|||||||||||
|
|
40 |
|
|
Southern Co., 4.150%, 05/15/14 |
42 |
|
|||||||||||
|
|
30 |
|
|
Southwestern Public Service Co., 8.750%, 12/01/18 |
38 |
|
|||||||||||
|
|
|
Spectra Energy Capital LLC, |
|
||||||||||||||
|
|
100 |
|
|
5.500%, 03/01/14 |
106 |
|
|||||||||||
|
|
30 |
|
|
5.668%, 08/15/14 |
32 |
|
|||||||||||
|
|
140 |
|
|
6.200%, 04/15/18 |
152 |
|
|||||||||||
|
|
50 |
|
|
8.000%, 10/01/19 |
60 |
|
|||||||||||
|
|
|
Virginia Electric and Power Co., |
|
||||||||||||||
|
|
210 |
|
|
5.100%, 11/30/12 |
227 |
|
|||||||||||
|
|
100 |
|
|
5.400%, 04/30/18 |
108 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
3,183 |
|
|||||||||||||
|
|
|
Gas Utilities — 0.2% |
|||||||||||||||
|
|
50 |
|
|
AGL Capital Corp., 4.450%, 04/15/13 |
52 |
|
|||||||||||
|
|
|
Atmos Energy Corp., |
|
||||||||||||||
|
|
100 |
|
|
5.125%, 01/15/13 |
107 |
|
|||||||||||
|
|
30 |
|
|
8.500%, 03/15/19 |
38 |
|
|||||||||||
|
|
50 |
|
|
CenterPoint Energy Resources Corp., 6.125%, 11/01/17 |
55 |
|
|||||||||||
|
|
263 |
|
|
Southern California Gas Co., 4.800%, 10/01/12 |
281 |
|
|||||||||||
|
|
50 |
|
|
Texas Eastern Transmission LP, 7.300%, 12/01/10 |
52 |
|
|||||||||||
|
|
|
TransCanada Pipelines Ltd., (Canada), |
|
||||||||||||||
|
|
100 |
|
|
4.000%, 06/15/13 |
104 |
|
|||||||||||
|
|
100 |
|
|
6.500%, 08/15/18 |
113 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
802 |
|
|||||||||||||
|
|
|
Multi-Utilities — 0.2% |
|||||||||||||||
|
|
|
Dominion Resources, Inc., |
|
||||||||||||||
|
|
195 |
|
|
6.250%, 06/30/12 |
213 |
|
|||||||||||
|
|
150 |
|
|
8.875%, 01/15/19 |
192 |
|
|||||||||||
|
|
50 |
|
|
PG&E Corp., 5.750%, 04/01/14 |
55 |
|
|||||||||||
|
|
80 |
|
|
Sempra Energy, 8.900%, 11/15/13 |
95 |
|
|||||||||||
|
|
|
Wisconsin Electric Power Co., |
|
||||||||||||||
|
|
30 |
|
|
6.000%, 04/01/14 |
34 |
|
|||||||||||
|
|
100 |
|
|
6.250%, 12/01/15 |
116 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
|
705 |
|
|||||||||||||
|
|
|
Water Utilities — 0.0% (g) |
|||||||||||||||
|
|
200 |
|
|
American Water Capital Corp., 6.085%, 10/15/17 |
216 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Total Utilities |
4,906 |
|
|||||||||||||
|
|
|
Total Corporate Bonds (Cost $68,608) |
70,711 |
|
|||||||||||||
|
Foreign Government Securities — 0.1% |
|||||||||||||||||
|
|
100 |
|
|
Province of Manitoba, (Canada), 2.125%, 04/22/13 |
102 |
|
|||||||||||
|
|
300 |
|
|
Province of Ontario, (Canada), 2.950%, 02/05/15 |
304 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Total Foreign Government Securities (Cost $399) |
406 |
|
|||||||||||||
|
Mortgage Pass-Through Securities — 10.8% |
|||||||||||||||||
|
|
|
Federal Home Loan Mortgage Corp., |
|
||||||||||||||
|
|
65 |
|
|
ARM, 2.606%, 01/01/27 |
68 |
|
|||||||||||
|
|
745 |
|
|
ARM, 3.075%, 12/01/34 |
774 |
|
|||||||||||
|
|
17 |
|
|
ARM, 3.125%, 07/01/26 |
18 |
|
|||||||||||
|
|
232 |
|
|
ARM, 3.448%, 01/01/37 |
240 |
|
|||||||||||
|
|
400 |
|
|
ARM, 5.652%, 04/01/38 |
421 |
|
|||||||||||
|
|
338 |
|
|
ARM, 5.889%, 02/01/37 |
358 |
|
|||||||||||
|
|
592 |
|
|
ARM, 6.003%, 06/01/36 |
631 |
|
|||||||||||
|
|
406 |
|
|
ARM, 6.056%, 09/01/36 |
429 |
|
|||||||||||
|
|
471 |
|
|
ARM, 6.195%, 03/01/37 |
496 |
|
|||||||||||
|
|
286 |
|
|
ARM, 6.261%, 09/01/36 |
301 |
|
|||||||||||
|
|
514 |
|
|
ARM, 6.671%, 11/01/36 |
555 |
|
|||||||||||
|
|
570 |
|
|
ARM, 6.803%, 08/01/36 |
601 |
|
|||||||||||
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, |
|
||||||||||||||
|
|
1,177 |
|
|
4.000%, 05/01/14 - 06/01/19 |
1,220 |
|
|||||||||||
|
|
106 |
|
|
4.500%, 10/01/18 |
113 |
|
|||||||||||
|
|
30 |
|
|
5.500%, 06/01/17 |
32 |
|
|||||||||||
|
|
695 |
|
|
6.000%, 10/01/17 - 04/01/18 |
750 |
|
|||||||||||
|
|
1,279 |
|
|
6.500%, 01/01/17 - 03/01/22 |
1,381 |
|
|||||||||||
|
|
178 |
|
|
7.000%, 08/01/10 - 01/01/17 |
188 |
|
|||||||||||
|
|
4 |
|
|
7.500%, 07/01/11 - 10/01/14 |
4 |
|
|||||||||||
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, |
|
||||||||||||||
|
|
33 |
|
|
6.000%, 12/01/22 |
37 |
|
|||||||||||
|
|
176 |
|
|
6.500%, 12/01/13 - 08/01/26 |
193 |
|
|||||||||||
|
|
866 |
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year FHA/VA, 10.000%, 10/01/30 |
1,021 |
|
|||||||||||
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, |
|
||||||||||||||
|
|
166 |
|
|
6.000%, 01/01/34 |
182 |
|
|||||||||||
|
|
303 |
|
|
7.000%, 04/01/22 - 02/01/37 |
335 |
|
|||||||||||
|
|
13 |
|
|
7.500%, 08/01/25 |
14 |
|
|||||||||||
|
|
15 |
|
|
8.000%, 07/01/20 - 11/01/24 |
17 |
|
|||||||||||
|
|
42 |
|
|
8.500%, 07/01/28 |
49 |
|
|||||||||||
|
|
|
Federal Home Loan Mortgage Corp., 30 Year, Single Family, |
|
||||||||||||||
|
|
5 |
|
|
12.000%, 08/01/15 - 07/01/19 |
6 |
|
|||||||||||
|
|
|
Federal National Mortgage Association, |
|
||||||||||||||
|
|
421 |
|
|
ARM, 1.991%, 02/01/35 |
432 |
|
|||||||||||
|
|
274 |
|
|
ARM, 2.026%, 01/01/35 |
282 |
|
|||||||||||
|
|
10 |
|
|
ARM, 2.419%, 03/01/19 |
10 |
|
|||||||||||
|
|
300 |
|
|
ARM, 2.658%, 02/01/35 |
311 |
|
|||||||||||
|
|
226 |
|
|
ARM, 2.672%, 04/01/33 |
235 |
|
|||||||||||
|
|
456 |
|
|
ARM, 2.686%, 01/01/35 |
469 |
|
|||||||||||
|
|
475 |
|
|
ARM, 3.108%, 08/01/35 |
485 |
|
|||||||||||
|
|
402 |
|
|
ARM, 3.142%, 09/01/35 |
416 |
|
|||||||||||
|
|
478 |
|
|
ARM, 3.238%, 09/01/34 |
495 |
|
|||||||||||
|
|
30 |
|
|
ARM, 3.371%, 09/01/27 |
30 |
|
|||||||||||
|
|
4 |
|
|
ARM, 3.598%, 06/01/26 |
4 |
|
|||||||||||
|
|
362 |
|
|
ARM, 3.855%, 04/01/35 |
373 |
|
|||||||||||
|
|
30 |
|
|
ARM, 4.011%, 03/01/29 |
31 |
|
|||||||||||
|
|
438 |
|
|
ARM, 4.052%, 08/01/34 |
453 |
|
|||||||||||
|
|
456 |
|
|
ARM, 4.090%, 09/01/33 |
472 |
|
|||||||||||
|
|
523 |
|
|
ARM, 4.615%, 02/01/36 |
549 |
|
|||||||||||
|
|
4 |
|
|
ARM, 4.786%, 08/01/19 |
4 |
|
|||||||||||
|
|
394 |
|
|
ARM, 5.139%, 10/01/34 |
413 |
|
|||||||||||
|
|
213 |
|
|
ARM, 5.160%, 11/01/33 |
222 |
|
|||||||||||
|
|
378 |
|
|
ARM, 5.215%, 09/01/35 |
395 |
|
|||||||||||
|
|
437 |
|
|
ARM, 5.704%, 02/01/37 |
461 |
|
|||||||||||
|
|
382 |
|
|
ARM, 5.761%, 07/01/46 |
403 |
|
|||||||||||
|
|
194 |
|
|
ARM, 5.967%, 08/01/36 |
205 |
|
|||||||||||
|
|
288 |
|
|
ARM, 6.113%, 09/01/36 |
309 |
|
|||||||||||
|
|
195 |
|
|
ARM, 6.182%, 02/01/37 |
207 |
|
|||||||||||
|
|
|
Federal National Mortgage Association, 15 Year, Single Family, |
|
||||||||||||||
|
|
4,100 |
|
|
4.000%, 07/01/18 - 05/01/19 |
4,301 |
|
|||||||||||
|
|
3,009 |
|
|
4.500%, 05/01/18 - 05/01/19 |
3,193 |
|
|||||||||||
|
|
1,898 |
|
|
5.000%, 12/01/16 - 04/01/19 |
2,042 |
|
|||||||||||
|
|
897 |
|
|
5.500%, 01/01/20 - 06/01/20 |
969 |
|
|||||||||||
|
|
2,260 |
|
|
6.000%, 02/01/19 - 01/01/24 |
2,443 |
|
|||||||||||
|
|
260 |
|
|
6.500%, 12/01/10 - 08/01/20 |
282 |
|
|||||||||||
|
|
28 |
|
|
7.500%, 10/01/12 |
30 |
|
|||||||||||
|
|
14 |
|
|
8.000%, 11/01/12 |
15 |
|
|||||||||||
|
|
|
Federal National Mortgage Association, 20 Year, Single Family, |
|
||||||||||||||
|
|
251 |
|
|
6.000%, 04/01/24 |
270 |
|
|||||||||||
|
|
329 |
|
|
6.500%, 05/01/22 |
367 |
|
|||||||||||
|
|
|
Federal National Mortgage Association, 30 Year FHA/VA, |
|
||||||||||||||
|
|
23 |
|
|
6.000%, 09/01/33 |
25 |
|
|||||||||||
|
|
50 |
|
|
6.500%, 03/01/29 |
56 |
|
|||||||||||
|
|
38 |
|
|
8.500%, 08/01/27 - 02/01/30 |
44 |
|
|||||||||||
|
|
23 |
|
|
9.000%, 09/01/19 - 12/01/30 |
26 |
|
|||||||||||
|
|
12 |
|
|
9.500%, 12/01/18 |
13 |
|
|||||||||||
|
|
|
Federal National Mortgage Association, 30 Year, Single Family, |
|
||||||||||||||
|
|
295 |
|
|
4.500%, 08/01/33 |
305 |
|
|||||||||||
|
|
1,850 |
|
|
5.000%, 07/01/33 - 11/01/33 |
1,949 |
|
|||||||||||
|
|
247 |
|
|
5.500%, 12/01/33 |
268 |
|
|||||||||||
|
|
512 |
|
|
6.000%, 12/01/32 - 09/01/33 |
562 |
|
|||||||||||
|
|
97 |
|
|
6.500%, 08/01/31 |
109 |
|
|||||||||||
|
|
53 |
|
|
7.000%, 07/01/25 - 08/01/32 |
60 |
|
|||||||||||
|
|
28 |
|
|
7.500%, 11/01/22 - 05/01/25 |
31 |
|
|||||||||||
|
|
844 |
|
|
8.000%, 03/01/21 - 11/01/32 |
939 |
|
|||||||||||
|
|
15 |
|
|
8.500%, 07/01/24 - 06/01/25 |
18 |
|
|||||||||||
|
|
1 |
|
|
9.000%, 04/01/26 |
1 |
|
|||||||||||
|
|
6 |
|
|
10.000%, 02/01/24 |
7 |
|
|||||||||||
|
|
6 |
|
|
12.500%, 01/01/16 |
6 |
|
|||||||||||
|
|
178 |
|
|
Federal National Mortgage Association, Other, 4.000%, 09/01/13 |
181 |
|
|||||||||||
|
|
|
Government National Mortgage Association II, 30 Year, Single Family, |
|
||||||||||||||
|
|
102 |
|
|
6.000%, 03/20/28 |
112 |
|
|||||||||||
|
|
21 |
|
|
7.500%, 02/20/28 - 09/20/28 |
24 |
|
|||||||||||
|
|
60 |
|
|
8.000%, 12/20/25 - 10/20/28 |
69 |
|
|||||||||||
|
|
35 |
|
|
8.500%, 03/20/25 - 05/20/25 |
40 |
|
|||||||||||
|
|
|
Government National Mortgage Association, 15 Year, Single Family, |
|
||||||||||||||
|
|
66 |
|
|
6.000%, 10/15/17 |
71 |
|
|||||||||||
|
|
5 |
|
|
7.500%, 02/15/12 - 03/15/12 |
5 |
|
|||||||||||
|
|
45 |
|
|
8.000%, 01/15/16 |
49 |
|
|||||||||||
|
|
|
Government National Mortgage Association, 30 Year, Single Family, |
|
||||||||||||||
|
|
934 |
|
|
6.000%, 11/15/28 - 12/15/38 |
1,014 |
|
|||||||||||
|
|
615 |
|
|
6.500%, 01/15/24 - 12/15/35 |
677 |
|
|||||||||||
|
|
615 |
|
|
7.000%, 08/15/23 - 06/15/35 |
686 |
|
|||||||||||
|
|
43 |
|
|
7.500%, 11/15/22 - 09/15/28 |
49 |
|
|||||||||||
|
|
15 |
|
|
8.000%, 05/15/22 - 08/15/28 |
17 |
|
|||||||||||
|
|
12 |
|
|
8.500%, 11/15/17 |
13 |
|
|||||||||||
|
|
19 |
|
|
9.000%, 08/15/16 - 11/15/24 |
22 |
|
|||||||||||
|
|
403 |
|
|
9.500%, 01/15/17 - 12/15/25 |
487 |
|
|||||||||||
|
|
13 |
|
|
12.000%, 11/15/19 |
14 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Total Mortgage Pass-Through Securities (Cost $37,967) |
39,961 |
|
|||||||||||||
|
Supranational — 0.0% (g) |
|||||||||||||||||
|
|
40 |
|
|
Corp. Andina de Fomento, 5.200%, 05/21/13 (Cost $40) |
43 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
U.S. Government Agency Securities — 1.3% |
|||||||||||||||||
|
|
|
Federal Home Loan Bank System, |
|
||||||||||||||
|
|
1,643 |
|
|
4.720%, 09/20/12 |
1,746 |
|
|||||||||||
|
|
300 |
|
|
4.875%, 05/17/17 |
335 |
|
|||||||||||
|
|
1,000 |
|
|
Federal Home Loan Mortgage Corp., 5.500%, 08/23/17 |
1,153 |
|
|||||||||||
|
|
|
Federal National Mortgage Association, |
|
||||||||||||||
|
|
500 |
|
|
5.375%, 06/12/17 |
572 |
|
|||||||||||
|
|
678 |
|
|
6.250%, 02/01/11 |
704 |
|
|||||||||||
|
|
121 |
|
|
6.625%, 11/15/10 |
124 |
|
|||||||||||
|
|
300 |
|
|
Financing Corp. Fico, Zero Coupon, 09/26/19 |
205 |
|
|||||||||||
|
|
|
|
|||||||||||||||
|
|
|
Total U.S. Government Agency Securities (Cost $4,681) |
4,839 |
|
|||||||||||||
|
U.S. Treasury Obligations — 28.0% |
|||||||||||||||||
|
|
|
U.S. Treasury Bonds, |
|
||||||||||||||
|
|
250 |
|
|
7.250%, 05/15/16 (c) |
316 |
|
|||||||||||
|
|
5,375 |
|
|
7.500%, 11/15/16 |
6,934 |
|
|||||||||||
|
|
320 |
|
|
8.500%, 02/15/20 |
458 |
|
|||||||||||
|
|
4,075 |
|
|
8.750%, 05/15/17 |
5,641 |
|
|||||||||||
|
|
500 |
|
|
8.750%, 08/15/20 |
730 |
|
|||||||||||
|
|
7,300 |
|
|
8.875%, 08/15/17 |
10,213 |
|
|||||||||||
|
|
2,000 |
|
|
8.875%, 02/15/19 |
2,878 |
|
|||||||||||
|
|
750 |
|
|
9.250%, 02/15/16 |
1,027 |
|
|||||||||||
|
|
2,355 |
|
|
9.875%, 11/15/15 (m) |
3,274 |
|
|||||||||||
|
|
|
U.S. Treasury Notes, |
|
||||||||||||||
|
|
480 |
|
|
1.375%, 02/15/13 |
483 |
|
|||||||||||
|
|
250 |
|
|
1.750%, 01/31/14 |
251 |
|
|||||||||||
|
|
500 |
|
|
1.875%, 02/28/14 |
504 |
|
|||||||||||
|
|
100 |
|
|
2.375%, 10/31/14 |
102 |
|
|||||||||||
|
|
500 |
|
|
2.375%, 02/28/15 |
508 |
|
|||||||||||
|
|
800 |
|
|
2.625%, 07/31/14 |
825 |
|
|||||||||||
|
|
7,750 |
|
|
2.625%, 12/31/14 |
7,970 |
|
|||||||||||
|
|
300 |
|
|
2.625%, 02/29/16 |
303 |
|
|||||||||||
|
|
1,000 |
|
|
2.625%, 04/30/16 |
1,006 |
|
|||||||||||
|
|
300 |
|
|
3.125%, 10/31/16 |
308 |
|
|||||||||||
|
|
300 |
|
|
3.250%, 12/31/16 |
310 |
|
|||||||||||
|
|
2,150 |
|
|
3.250%, 03/31/17 |
2,221 |
|
|||||||||||
|
|
1,700 |
|
|
4.500%, 05/15/17 |
1,898 |
|
|||||||||||
|
|
600 |
|
|
4.750%, 08/15/17 |
679 |
|
|||||||||||
|
|
|
U.S. Treasury STRIPS, |
|
||||||||||||||
|
|
61 |
|
|
02/15/12 |
60 |
|
|||||||||||
|
|
2,851 |
|
|
08/15/12 |
2,796 |
|
|||||||||||
|
|
202 |
|
|
11/15/13 |
192 |
|
|||||||||||
|
|
4,950 |
|
|
02/15/14 (m) |
4,651 |
|
|||||||||||
|
|
12,666 |
|
|
05/15/14 (m) |
11,808 |
|
|||||||||||
|
|
7,602 |
|
|
08/15/14 (m) |
7,026 |
|
|||||||||||
|
|
3,518 |
|
|
11/15/14 (m) |
3,222 |
|
|||||||||||
|
|
6,825 |
|
|
02/15/15 |
6,173 |
|
|||||||||||
|
|
32 |
|
|
08/15/15 |
29 |
|
|||||||||||
|
|
95 |
|
|
08/15/15 |
84 |
|
|||||||||||
|
|
7,452 |
|
|
11/15/15 (m) |
6,529 |
|
|||||||||||
|
|
5,766 |
|
|
02/15/16 (m) |
4,991 |
|
|||||||||||
|
|
1,472 |
|
|
05/15/16 |
1,261 |
|
|||||||||||
|
|
2,005 |
|
|
08/15/16 |
1,694 |
|
|||||||||||
|
|
300 |
|
|
11/15/16 (c) |
250 |
|
|||||||||||
|
|
300 |
|
|
11/15/16 |
251 |
|
|||||||||||
|
|
532 |
|
|
02/15/17 |
440 |
|
|||||||||||
|
|
257 |
|
|
05/15/17 |
210 |
|
|||||||||||
|
|
946 |
|
|
08/15/17 |
763 |
|
|||||||||||
|
|
100 |
|
|
08/15/17 (c) |
81 |
|
|||||||||||
|
|
1,960 |
|
|
11/15/17 |
1,562 |
|
|||||||||||
|
|
200 |
|
|
02/15/18 (c) |
158 |
|
|||||||||||
|
|
105 |
|
|
11/15/18 (c) |
80 |
|
|||||||||||
|
|
495 |
|
|
05/15/19 |
364 |
|
|||||||||||
|
|
150 |
|
|
05/15/20 |
104 |
|
|||||||||||
|
|
|
Total U.S. Treasury Obligations (Cost $99,009) |
103,618 |
|
|||||||||||||
|
SHARES |
SECURITY DESCRIPTION |
VALUE($) |
|||||||||||||||
|
Short-Term Investment — 5.8% |
|||||||||||||||||
|
Investment Company — 5.8% |
|||||||||||||||||
|
|
21,539 |
|
|
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (Cost $21,539) |
21,539 |
|
|||||||||||
|
Investments of Cash Collateral for Securities on Loan — 0.2% |
|||||||||||||||||
|
|
|
Investment Company — 0.2% |
|||||||||||||||
|
|
898 |
|
|
JPMorgan Prime Money Market Fund, Capital Shares, 0.130% (b) (l) (Cost $898) |
898 |
|
|||||||||||
|
|
|||||||||||||||||
|
|
|
Total Investments —99.6% (Cost $354,360) |
368,243 |
|
|||||||||||||
|
|
|
Other Assets in Excess of Liabilities — 0.4% |
1,357 |
|
|||||||||||||
|
|
|
NET ASSETS — 100.0% |
$369,600 |
|
|||||||||||||
|
||||||||||||||||||
|
Percentages indicated are based on net assets. |
|||||||||||||||||
|
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS : |
||||||||||
ARM |
— |
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May 31, 2010. |
||||||||
CMO |
— |
Collateralized Mortgage Obligation |
||||||||
ESOP |
— |
Employee Stock Ownership Program |
||||||||
FHA |
— |
Federal Housing Administration |
||||||||
GMAC |
— |
General Motors Acceptance Corp. |
||||||||
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 Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. |
||||||||
HFC |
— |
Housing Finance Corp. |
||||||||
IF |
— |
Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of May 31, 2010. The rate may be subject to a cap and floor. |
||||||||
IO |
— |
Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
||||||||
PO |
— |
Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
||||||||
REMICS |
— |
Real Estate Mortgage Investment Conduits |
||||||||
STRIPS |
— |
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
||||||||
SUB |
— |
Step-Up Bond. The interest rate shown is the rate in effect as of May 31, 2010. |
||||||||
VA |
— |
Veterans Administration |
||||||||
VAR |
— |
Variable Rate Security. The interest rate shown is the rate in effect as of May 31, 2010. |
||||||||
|
||||||||||
|
||||||||||
(b) |
|
Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
||||||||
(c) |
|
Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. |
||||||||
(d) |
|
Defaulted Security. |
||||||||
(e) |
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
||||||||
(f) |
|
Security is fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The Fund owns fair valued securities with a value of approximately $62,000 which amounts to 0.0% of total investments. |
||||||||
(g) |
|
Amount rounds to less than 0.1%. |
||||||||
(h) |
|
Amount rounds to less than one thousand (shares or dollars). |
||||||||
(i) |
|
Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell. |
||||||||
(l) |
|
The rate shown is the current yield as of May 31, 2010. |
||||||||
(m) |
|
All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. |
|
||||||||||
As of May 31, 2010, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows: |
||||||||||
|
||||||||||
Aggregate gross unrealized appreciation |
|
$17,531 |
|
|||||||
Aggregate gross unrealized depreciation |
|
(3,648) |
|
|||||||
Net unrealized appreciation/depreciation |
|
$13,883 |
|
|||||||
Federal income tax cost of investments |
|
$354,360 |
|
|||||||
|
|
Intermediate Bond Trust |
||||||||||||||||||
|
||||||||||||||||||
The various inputs that are used in determining the fair value of the Fund’s investments are summarized into the three broad levels listed below. • Level 1 – quoted prices in active markets for identical securities • Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) • Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following table represents each valuation input by sector as presented on the Schedule of Portfolio Investments (amounts in thousands): |
||||||||||||||||||
|
||||||||||||||||||
|
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total |
||||||||||||||
Investments in Securities |
||||||||||||||||||
Debt Securities |
||||||||||||||||||
Asset-Backed Securities |
– |
|
6,084 |
|
|
|
6,084 |
|
||||||||||
Collateralized Mortgage Obligations |
– |
|
114,654 |
|
62 |
|
114,716 |
|
||||||||||
Commercial Mortgage-Backed Securities |
– |
|
5,428 |
|
– |
|
5,428 |
|
||||||||||
Corporate Bonds |
||||||||||||||||||
Consumer Discretionary |
– |
|
3,597 |
|
– |
|
3,597 |
|
||||||||||
Consumer Staples |
– |
|
2,443 |
|
– |
|
2,443 |
|
||||||||||
Energy |
– |
|
2,116 |
|
– |
|
2,116 |
|
||||||||||
Financials |
– |
|
43,853 |
|
– |
|
43,853 |
|
||||||||||
Health Care |
– |
|
944 |
|
– |
|
944 |
|
||||||||||
Industrials |
– |
|
3,107 |
|
– |
|
3,107 |
|
||||||||||
Information Technology |
$– |
|
$1,652 |
|
$– |
|
$1,652 |
|
||||||||||
Materials |
– |
|
1,537 |
|
– |
|
1,537 |
|
||||||||||
Telecommunication Services |
– |
|
6,556 |
|
– |
|
6,556 |
|
||||||||||
Utilities |
– |
|
4,906 |
|
– |
|
4,906 |
|
||||||||||
Total Corporate Bonds |
– |
|
70,711 |
|
– |
|
70,711 |
|
||||||||||
Foreign Government Securities |
– |
|
406 |
|
– |
|
406 |
|
||||||||||
Mortgage Pass-Through Securities |
– |
|
39,961 |
|
– |
|
39,961 |
|
||||||||||
Supranational |
– |
|
43 |
|
– |
|
43 |
|
||||||||||
U.S. Government Agency Securities |
– |
|
4,839 |
|
– |
|
4,839 |
|
||||||||||
U.S. Treasury Obligations |
– |
|
103,618 |
|
– |
|
103,618 |
|
||||||||||
Short-Term Investments |
||||||||||||||||||
Investment Companies |
21,539 |
|
– |
|
– |
|
21,539 |
|
||||||||||
Investments of Cash Collateral for Securities on Loan |
||||||||||||||||||
Investment Companies |
898 |
|
– |
|
– |
|
898 |
|
||||||||||
Total Investments in Securities |
$22,437 |
|
$345,744 |
|
$62 |
|
$368,243 |
|
||||||||||
|
||||||||||||||||||
|
|
Balance as of 02/28/10 |
Realized gain (loss) |
Change in unrealized appreciation (depreciation) |
|
Net amortization (accretion) |
Net purchases (sales) |
Transfers into Level 3 |
Transfers out of Level 3 |
|
Balance as of 05/31/10 |
||||||||||||||||||||||||||
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||
Asset-Backed Security |
$63 |
$- |
$(3 |
) |
$- |
$- |
|
$(60 |
) |
$- |
||||||||||||||||||||||||||
Collateralized Mortgage Obligation |
74 |
|
(12 |
) |
|
|
|
|
|
62 |
||||||||||||||||||||||||||
Total |
$137 |
$- |
$(15 |
) |
$- |
$- |
$- |
$(60 |
) |
$62 |
ITEM 2. CONTROLS AND PROCEDURES.
|
(a) |
The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrants disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrants 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 Registrants management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure. |
|
(b) |
There were no changes in the Registrants internal control over financial reporting that occurred during the Registrants most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrants internal controls over financial reporting. |
ITEM 3. EXHIBITS.
CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
JPMorgan Institutional Trust
By: |
/s/____________________________________ |
George C. W. Gatch
President and Principal Executive Officer
July 30, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: |
/s/____________________________________ |
George C. W. Gatch
President and Principal Executive Officer
July 30, 2010
By: |
/s/____________________________________ |
Patricia A. Maleski
Treasurer and Principal Financial Officer
July 30, 2010
EXHIBIT 99.302CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
I, George C.W. Gatch, certify that:
|
1. |
I have reviewed this report on Form N-Q of the JPMorgan Core Bond Trust, JPMorgan Equity Index Trust and JPMorgan Intermediate Bond Trust (the Funds), each a series of JPMorgan Institutional Trust (the Registrant); |
|
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
|
3. |
Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the Registrant as of the end of the fiscal quarter for which the report is filed; |
|
4. |
The Registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the Registrant and have: |
a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) Evaluated the effectiveness of the Registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
d) Disclosed in this report any change in the Registrants internal control over financial reporting that occurred during the Registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and
|
5. |
The Registrant's other certifying officer and I have disclosed to the Registrants auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): |
|
a) |
All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrants ability to record, process, summarize, and report financial information; and |
|
b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrants internal control over financial reporting. |
Date: |
July 30, 2010 |
By: |
/s/_________________________________ |
|
George C.W. Gatch |
|
President and Principal Executive Officer |
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
I, Patricia A. Maleski, certify that:
|
1. |
I have reviewed this report on Form N-Q of the JPMorgan Core Bond Trust, JPMorgan Equity Index Trust and JPMorgan Intermediate Bond Trust (the Funds), each a series of JPMorgan Institutional Trust (the Registrant); |
|
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
|
3. |
Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the Registrant as of the end of the fiscal quarter for which the report is filed; |
|
4. |
The Registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the Registrant and have: |
a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) Evaluated the effectiveness of the Registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
d) Disclosed in this report any change in the Registrants internal control over financial reporting that occurred during the Registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and
|
5. |
The Registrant's other certifying officer and I have disclosed to the Registrants auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): |
|
a) |
All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrants ability to record, process, summarize, and report financial information; and |
|
b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrants internal control over financial reporting. |
Date: |
July 30, 2010 |
By: |
/s/_________________________________ |
|
Patricia A. Maleski |
|
Treasurer and Principal Financial Officer |