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)

Registrant’s 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 fund’s fiscal quarter, using a trade date accounting convention, by contacting the appropriate service center.  The list is subject to change without notice. The list is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security.

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.

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2010 (Unaudited)

(Amounts in thousands)

PRINCIPAL AMOUNT ($)			SECURITY DESCRIPTION	VALUE($)
Asset-Backed Securities — 1.8%
	635		Ally Auto Receivables Trust, Series 2010-1, Class A3, 1.450%, 05/15/14	635
			AmeriCredit Automobile Receivables Trust,
	3,570		Series 2006-BG, Class A4, 5.210%, 09/06/13	3,668
	199		Series 2007-CM, Class A3B, VAR, 0.315%, 05/07/12	199
	570		Series 2008-AF, Class A4, 6.960%, 10/14/14	607
	330		Series 2010-1, Class A2, 0.970%, 01/15/13	329
	235		Series 2010-1, Class A3, 1.660%, 03/17/14	235
			Bank of America Auto Trust,
	2,500		Series 2009-1A, Class A3, 2.670%, 07/15/13 (e)	2,542
	1,015		Series 2009-3A, Class A3, 1.670%, 12/15/13 (e)	1,021
	645		Series 2010-1A, Class A3, 1.390%, 03/15/14 (e)	645
	475		Series 2010-1A, Class A4, 2.180%, 02/15/17 (e)	478
	998		Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.713%, 04/25/36	660
	290		Capital One Auto Finance Trust, Series 2007-B, Class A3A, 5.030%, 04/15/12	291
	685		CarMax Auto Owner Trust, Series 2010-1, Class A3, 1.560%, 07/15/14	686
	600		Centex Home Equity, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32	579
	2,491		Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34	2,257
			Citibank Credit Card Issuance Trust,
	3,380		Series 2002-C2, Class C2, 6.950%, 02/18/14	3,610
	800		Series 2007-A3, Class A3, 6.150%, 06/15/39	950
	719		Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.723%, 12/25/33	577
			CNH Equipment Trust,
	700		Series 2008-B, Class A4A, 5.600%, 11/17/14	737
	380		Series 2009-C, Class A3, 1.850%, 12/16/13	383
	1,280		Series 2010-A, Class A3, 1.540%, 07/15/14	1,281
	811		Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.943%, 10/25/34	472
	453		Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36	295
	1,015		Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15	1,124
	300		First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.443%, 12/25/36	255
			Ford Credit Auto Owner Trust,
	963		Series 2006-B, Class A4, 5.250%, 09/15/11	975
	551		Series 2007-B, Class A3A, 5.150%, 11/15/11	558
	600		Series 2009-B, Class A3, 2.790%, 08/15/13	611
	500		Series 2009-B, Class A4, 4.500%, 07/15/14	532
	515		GE Capital Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29	460
	1,000		HFC Home Equity Loan Asset Backed Certificates, Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36	1,022
			HFC Home Equity Loan Asset-Backed Certificates,
	1,638		Series 2006-1, Class A1, VAR, 0.500%, 01/20/36	1,519
	3,196		Series 2007-3, Class APT, VAR, 1.540%, 11/20/36	2,691
	630		Honda Auto Receivables Owner Trust, Series 2009-2, Class A3, 2.790%, 01/15/13	641
	332		Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.543%, 03/25/36	201
	368		John Deere Owner Trust, Series 2009-A, Class A3, 2.590%, 10/15/13	372
			Long Beach Mortgage Loan Trust,
	532		Series 2006-8, Class 2A2, VAR, 0.433%, 09/25/36	165
	1,000		Series 2006-WL2, Class 2A3, VAR, 0.543%, 01/25/36	800
	1,874		MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14	1,999
	550		Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14	550
	10,000		Nationstar Mortgage Advance Receivable Trust, Series 2009-ADV1, Class A1, VAR, 3.343%, 12/26/22 (e)	10,000
	1,000		New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33	954
	300		Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37	153
	538		Structured Asset Securities Corp., Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32	520
	1,170		USAA Auto Owner Trust, Series 2009-2, Class A3, 1.540%, 02/18/14	1,176
	1,370		World Omni Auto Receivables Trust, Series 2010-A, Class A4, 2.210%, 05/15/15	1,380
			Total Asset-Backed Securities (Cost $52,052)	51,795
Collateralized Mortgage Obligations — 44.7%
			Agency CMO — 30.9%
			Federal Home Loan Bank System,
	1,954		Series 2000-0606, Class Y, 5.270%, 12/28/12	2,087
	3,420		Series 2000-1067, Class 1, 5.300%, 06/15/12	3,642
	453		Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 8, Class ZA, 7.000%, 03/25/23	503
			Federal Home Loan Mortgage Corp. REMICS,
	55		Series 11, Class D, 9.500%, 07/15/19	59
	22		Series 22, Class C, 9.500%, 04/15/20	24
	32		Series 23, Class F, 9.600%, 04/15/20	35
	–	(h)	Series 41, Class I, HB, 84.000%, 05/15/20	1
	3		Series 47, Class F, 10.000%, 06/15/20	3
	12		Series 99, Class Z, 9.500%, 01/15/21	13
	–	(h)	Series 204, Class E, HB, IF, 1,813.884%, 05/15/23	1
	–	(h)	Series 1045, Class G, HB, 1,066.208%, 02/15/21	1
	13		Series 1065, Class J, 9.000%, 04/15/21	14
	4		Series 1079, Class S, HB, IF, 32.725%, 05/15/21	6
	18		Series 1084, Class F, VAR, 1.325%, 05/15/21	18
	12		Series 1084, Class S, HB, IF, 43.537%, 05/15/21	22
	29		Series 1116, Class I, 5.500%, 08/15/21	32
	22		Series 1144, Class KB, 8.500%, 09/15/21	24
	–	(h)	Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21	2
	1		Series 1196, Class B, HB, IF, 1,153.506%, 01/15/22	20
	31		Series 1212, Class IZ, 8.000%, 02/15/22	31
	30		Series 1250, Class J, 7.000%, 05/15/22	34
	47		Series 1343, Class LA, 8.000%, 08/15/22	53
	60		Series 1343, Class LB, 7.500%, 08/15/22	66
	96		Series 1370, Class JA, VAR, 1.525%, 09/15/22	96
	96		Series 1455, Class WB, IF, 4.487%, 12/15/22	91
	474		Series 1466, Class PZ, 7.500%, 02/15/23	523
	8		Series 1470, Class F, VAR, 2.859%, 02/15/23	8
	543		Series 1498, Class I, VAR, 1.525%, 04/15/23	544
	699		Series 1502, Class PX, 7.000%, 04/15/23	728
	91		Series 1505, Class Q, 7.000%, 05/15/23	101
	221		Series 1518, Class G, IF, 8.743%, 05/15/23	245
	73		Series 1541, Class M, HB, IF , 20.175%, 07/15/23	95
	198		Series 1541, Class O, VAR, 2.860%, 07/15/23	201
	19		Series 1570, Class F, VAR, 3.359%, 08/15/23	19
	720		Series 1573, Class PZ, 7.000%, 09/15/23	794
	456		Series 1591, Class PV, 6.250%, 10/15/23	492
	35		Series 1595, Class D, 7.000%, 10/15/13	38
	107		Series 1596, Class D, 6.500%, 10/15/13	107
	27		Series 1602, Class SA, HB, IF , 21.531%, 10/15/23	36
	23		Series 1607, Class SA, IF, 18.078%, 10/15/13	27
	2,005		Series 1608, Class L, 6.500%, 09/15/23	2,180
	596		Series 1609, Class LG, IF, 16.521%, 11/15/23	734
	6		Series 1611, Class JA, VAR, 1.625%, 08/15/23	6
	6		Series 1611, Class JB, HB, IF , 20.836%, 08/15/23	6
	856		Series 1638, Class H, 6.500%, 12/15/23	941
	860		Series 1642, Class PJ, 6.000%, 11/15/23	923
	14		Series 1671, Class QC, IF, 10.000%, 02/15/24	16
	18		Series 1686, Class SH, IF, 18.394%, 02/15/24	23
	303		Series 1695, Class EB, 7.000%, 03/15/24	337
	57		Series 1699, Class FC, VAR, 0.975%, 03/15/24	57
	278		Series 1700, Class GA, PO, 02/15/24	259
	824		Series 1706, Class K, 7.000%, 03/15/24	896
	27		Series 1709, Class FA, VAR, 2.960%, 03/15/24	27
	71		Series 1745, Class D, 7.500%, 08/15/24	79
	2,244		Series 1760, Class ZD, VAR, 3.310%, 02/15/24	2,224
	694		Series 1798, Class F, 5.000%, 05/15/23	716
	10		Series 1807, Class G, 9.000%, 10/15/20	11
	200		Series 1829, Class ZB, 6.500%, 03/15/26	218
	24		Series 1844, Class E, 6.500%, 10/15/13	26
	201		Series 1863, Class Z, 6.500%, 07/15/26	219
	39		Series 1865, Class D, PO, 02/15/24	26
	121		Series 1890, Class H, 7.500%, 09/15/26	125
	371		Series 1899, Class ZE, 8.000%, 09/15/26	413
	20		Series 1935, Class FL, VAR, 1.075%, 02/15/27	20
	266		Series 1963, Class Z, 7.500%, 01/15/27	288
	40		Series 1970, Class PG, 7.250%, 07/15/27	44
	419		Series 1981, Class Z, 6.000%, 05/15/27	452
	185		Series 1987, Class PE, 7.500%, 09/15/27	206
	434		Series 2019, Class Z, 6.500%, 12/15/27	481
	118		Series 2025, Class PE, 6.300%, 01/15/13	118
	144		Series 2033, Class SN, HB, IF , 23.083%, 03/15/24	92
	393		Series 2038, Class PN, IO, 7.000%, 03/15/28	78
	701		Series 2040, Class PE, 7.500%, 03/15/28	802
	144		Series 2043, Class CJ, 6.500%, 04/15/28	152
	558		Series 2054, Class PV, 7.500%, 05/15/28	596
	220		Series 2055, Class OE, 6.500%, 05/15/13	226
	1,215		Series 2075, Class PH, 6.500%, 08/15/28	1,315
	1,366		Series 2075, Class PM, 6.250%, 08/15/28	1,478
	619		Series 2086, Class GB, 6.000%, 09/15/28	670
	494		Series 2089, Class PJ, IO, 7.000%, 10/15/28	106
	2,049		Series 2095, Class PE, 6.000%, 11/15/28	2,245
	506		Series 2102, Class TC, 6.000%, 12/15/13	537
	337		Series 2102, Class TU, 6.000%, 12/15/13	357
	1,327		Series 2115, Class PE, 6.000%, 01/15/14	1,400
	664		Series 2125, Class JZ, 6.000%, 02/15/29	718
	129		Series 2132, Class SB, HB, IF, 29.347%, 03/15/29	211
	91		Series 2134, Class PI, IO, 6.500%, 03/15/19	12
	37		Series 2135, Class UK, IO, 6.500%, 03/15/14	3
	625		Series 2136, Class PG, 6.000%, 03/15/29	686
	66		Series 2141, Class IO, IO, 7.000%, 04/15/29	12
	144		Series 2163, Class PC, IO, 7.500%, 06/15/29	30
	1,507		Series 2169, Class TB, 7.000%, 06/15/29	1,677
	837		Series 2172, Class QC, 7.000%, 07/15/29	908
	876		Series 2176, Class OJ, 7.000%, 08/15/29	966
	10		Series 2189, Class SA, IF, 17.687%, 02/15/28	11
	419		Series 2201, Class C, 8.000%, 11/15/29	467
	314		Series 2209, Class TC, 8.000%, 01/15/30	355
	521		Series 2210, Class Z, 8.000%, 01/15/30	551
	143		Series 2224, Class CB, 8.000%, 03/15/30	158
	358		Series 2230, Class Z, 8.000%, 04/15/30	396
	272		Series 2234, Class PZ, 7.500%, 05/15/30	301
	237		Series 2247, Class Z, 7.500%, 08/15/30	265
	348		Series 2256, Class MC, 7.250%, 09/15/30	384
	705		Series 2259, Class ZM, 7.000%, 10/15/30	778
	25		Series 2261, Class ZY, 7.500%, 10/15/30	25
	79		Series 2262, Class Z, 7.500%, 10/15/30	85
	694		Series 2271, Class PC, 7.250%, 12/15/30	751
	1,555		Series 2283, Class K, 6.500%, 12/15/23	1,701
	399		Series 2296, Class PD, 7.000%, 03/15/31	426
	127		Series 2306, Class K, PO, 05/15/24	114
	299		Series 2306, Class SE, IF, IO, 6.790%, 05/15/24	64
	410		Series 2313, Class LA, 6.500%, 05/15/31	449
	917		Series 2325, Class PM, 7.000%, 06/15/31	1,027
	1,789		Series 2344, Class QG, 6.000%, 08/15/16	1,933
	4,838		Series 2344, Class ZD, 6.500%, 08/15/31	5,326
	416		Series 2344, Class ZJ, 6.500%, 08/15/31	458
	395		Series 2345, Class NE, 6.500%, 08/15/31	428
	511		Series 2345, Class PQ, 6.500%, 08/15/16	552
	552		Series 2351, Class PZ, 6.500%, 08/15/31	603
	4,644		Series 2353, Class AZ, 6.000%, 09/15/31	5,049
	668		Series 2353, Class TD, 6.000%, 09/15/16	719
	560		Series 2355, Class BP, 6.000%, 09/15/16	604
	343		Series 2359, Class PM, 6.000%, 09/15/16	368
	1,644		Series 2359, Class ZB, 8.500%, 06/15/31	1,887
	1,025		Series 2360, Class PG, 6.000%, 09/15/16	1,088
	243		Series 2363, Class PF, 6.000%, 09/15/16	259
	458		Series 2366, Class MD, 6.000%, 10/15/16	490
	747		Series 2367, Class ME, 6.500%, 10/15/31	822
	1,686		Series 2391, Class QR, 5.500%, 12/15/16	1,812
	375		Series 2391, Class VQ, 6.000%, 10/15/12	386
	626		Series 2394, Class MC, 6.000%, 12/15/16	676
	1,389		Series 2396, Class FM, VAR, 0.787%, 12/15/31	1,391
	933		Series 2399, Class OH, 6.500%, 01/15/32	1,027
	1,463		Series 2399, Class TH, 6.500%, 01/15/32	1,611
	1,367		Series 2410, Class NG, 6.500%, 02/15/32	1,510
	432		Series 2410, Class OE, 6.375%, 02/15/32	467
	1,077		Series 2410, Class QS, IF, 18.624%, 02/15/32	1,453
	389		Series 2410, Class QX, IF, IO, 8.313%, 02/15/32	62
	1,238		Series 2412, Class SP, IF, 15.426%, 02/15/32	1,534
	1,902		Series 2420, Class XK, 6.500%, 02/15/32	2,094
	876		Series 2423, Class MC, 7.000%, 03/15/32	972
	882		Series 2423, Class MT, 7.000%, 03/15/32	979
	609		Series 2425, Class OB, 6.000%, 03/15/17	660
	2,430		Series 2430, Class WF, 6.500%, 03/15/32	2,673
	1,219		Series 2434, Class TC, 7.000%, 04/15/32	1,361
	565		Series 2435, Class CJ, 6.500%, 04/15/32	640
	2,059		Series 2435, Class VH, 6.000%, 07/15/19	2,159
	1,115		Series 2436, Class MC, 7.000%, 04/15/32	1,244
	778		Series 2444, Class ES, IF, IO, 7.613%, 03/15/32	130
	495		Series 2450, Class GZ, 7.000%, 05/15/32	546
	622		Series 2450, Class SW, IF, IO, 7.663%, 03/15/32	87
	3,561		Series 2455, Class GK, 6.500%, 05/15/32	3,922
	429		Series 2458, Class QE, 5.500%, 06/15/17	461
	1,197		Series 2460, Class VZ, 6.000%, 11/15/29	1,217
	1,116		Series 2462, Class JG, 6.500%, 06/15/32	1,226
	3,313		Series 2464, Class SI, IF, IO, 7.663%, 02/15/32	480
	1,137		Series 2466, Class PG, 6.500%, 04/15/32	1,216
	942		Series 2466, Class PH, 6.500%, 06/15/32	1,065
	1,181		Series 2474, Class NR, 6.500%, 07/15/32	1,307
	177		Series 2480, Class PV, 6.000%, 07/15/11	182
	1,580		Series 2484, Class LZ, 6.500%, 07/15/32	1,737
	2,260		Series 2500, Class MC, 6.000%, 09/15/32	2,513
	215		Series 2503, Class BH, 5.500%, 09/15/17	232
	1,082		Series 2508, Class AQ, 5.500%, 10/15/17	1,168
	1,130		Series 2512, Class PG, 5.500%, 10/15/22	1,245
	338		Series 2513, Class TG, 6.000%, 02/15/32	350
	513		Series 2513, Class YO, PO, 02/15/32	502
	1,581		Series 2515, Class DE, 4.000%, 03/15/32	1,642
	832		Series 2518, Class PX, 5.500%, 09/15/13	886
	113		Series 2519, Class BT, 8.500%, 09/15/31	118
	1,077		Series 2535, Class BK, 5.500%, 12/15/22	1,174
	2,244		Series 2537, Class TE, 5.500%, 12/15/17	2,418
	58		Series 2541, Class GX, 5.500%, 02/15/17	58
	2,024		Series 2543, Class YX, 6.000%, 12/15/32	2,266
	2,449		Series 2544, Class HC, 6.000%, 12/15/32	2,729
	2,532		Series 2552, Class ME, 6.000%, 01/15/33	2,825
	2,328		Series 2563, Class PK, IO, 5.500%, 03/15/31	52
	448		Series 2565, Class MB, 6.000%, 05/15/30	462
	1,481		Series 2567, Class QD, 6.000%, 02/15/33	1,658
	300		Series 2571, Class SK, HB, IF, 33.047%, 09/15/23	502
	3,767		Series 2575, Class ME, 6.000%, 02/15/33	4,220
	1,023		Series 2586, Class WI, IO, 6.500%, 03/15/33	208
	2,000		Series 2587, Class WX, 5.000%, 03/15/18	2,167
	1,356		Series 2591, Class WI, IO, 5.500%, 02/15/30	43
	3,039		Series 2594, Class VQ, 6.000%, 08/15/20	3,182
	1,380		Series 2596, Class QG, 6.000%, 03/15/33	1,487
	1,057		Series 2597, Class DS, IF, IO, 7.213%, 02/15/33	50
	2,084		Series 2599, Class DS, IF, IO, 6.663%, 02/15/33	94
	3,277		Series 2610, Class DS, IF, IO, 6.763%, 03/15/33	190
	3,247		Series 2611, Class SH, IF, IO, 7.313%, 10/15/21	191
	1,130		Series 2611, Class UH, 4.500%, 05/15/18	1,202
	2,900		Series 2617, Class AK, 4.500%, 05/15/18	2,995
	1,697		Series 2617, Class GR, 4.500%, 05/15/18	1,805
	168		Series 2619, Class HR, 3.500%, 11/15/31	172
	477		Series 2619, Class IM, IO, 5.000%, 10/15/21	22
	145		Series 2624, Class IU, IO, 5.000%, 06/15/33	11
	5,485		Series 2626, Class NS, IF, IO, 6.213%, 06/15/23	580
	856		Series 2628, Class WA, 4.000%, 07/15/28	883
	2,260		Series 2631, Class LC, 4.500%, 06/15/18	2,406
	1,417		Series 2636, Class Z, 4.500%, 06/15/18	1,502
	1,434		Series 2637, Class SA, IF, IO, 5.763%, 06/15/18	141
	169		Series 2638, Class DS, IF, 8.263%, 07/15/23	176
	1,075		Series 2638, Class SA, IF, IO, 6.763%, 11/15/16	48
	829		Series 2640, Class UG, IO, 5.000%, 01/15/32	117
	3,487		Series 2640, Class UP, IO, 5.000%, 01/15/32	409
	271		Series 2640, Class UR, IO, 4.500%, 08/15/17	8
	188		Series 2643, Class HI, IO, 4.500%, 12/15/16	4
	7,018		Series 2645, Class BI, IO, 4.500%, 02/15/18	499
	1,195		Series 2650, Class PO, PO, 12/15/32	1,098
	4,083		Series 2650, Class SO, PO, 12/15/32	3,754
	2,415		Series 2651, Class VZ, 4.500%, 07/15/18	2,559
	575		Series 2656, Class SH, HB, IF , 20.589%, 02/15/25	611
	288		Series 2663, Class EO, PO, 08/15/33	239
	2,681		Series 2668, Class SB, IF, 6.900%, 10/15/15	2,776
	1,884		Series 2672, Class ME, 5.000%, 11/15/22	2,030
	497		Series 2672, Class SJ, IF, 6.856%, 09/15/16	516
	5,760		Series 2675, Class CK, 4.000%, 09/15/18	6,017
	2,298		Series 2682, Class YS, IF, 8.584%, 10/15/33	2,112
	81		Series 2683, Class VA, 5.500%, 02/15/21	82
	16,600		Series 2684, Class PO, PO, 01/15/33	13,542
	3,014		Series 2684, Class TO, PO, 10/15/33	2,324
	556		Series 2686, Class GB, 5.000%, 05/15/20	575
	1,529		Series 2686, Class NS, IF, IO, 7.263%, 10/15/21	99
	692		Series 2690, Class SJ, IF, 8.645%, 10/15/33	643
	1,538		Series 2691, Class ME, 4.500%, 04/15/32	1,638
	1,632		Series 2691, Class WS, IF, 8.495%, 10/15/33	1,508
	838		Series 2692, Class SC, IF, 12.613%, 07/15/33	918
	1,892		Series 2695, Class DE, 4.000%, 01/15/17	1,969
	1,199		Series 2695, Class DG, 4.000%, 10/15/18	1,264
	613		Series 2695, Class OB, PO, 10/15/33	477
	483		Series 2696, Class CO, PO, 10/15/18	443
	177		Series 2696, Class SM, IF, 13.526%, 12/15/26	184
	346		Series 2700, Class S, IF, 8.495%, 11/15/33	326
	1,205		Series 2702, Class PC, 5.000%, 01/15/23	1,294
	1,066		Series 2705, Class SC, IF, 8.495%, 11/15/33	1,003
	2,013		Series 2705, Class SD, IF, 8.567%, 11/15/33	1,869
	1,712		Series 2715, Class OG, 5.000%, 01/15/23	1,853
	3,014		Series 2716, Class UN, 4.500%, 12/15/23	3,153
	1,637		Series 2720, Class PC, 5.000%, 12/15/23	1,766
	7,722		Series 2727, Class BS, IF, 8.570%, 01/15/34	7,069
	247		Series 2727, Class PO, PO, 01/15/34	199
	324		Series 2739, Class S, IF, 11.326%, 01/15/34	321
	1,020		Series 2744, Class FE, VAR, 0.000%, 02/15/34	967
	1,705		Series 2744, Class PE, 5.500%, 02/15/34	1,892
	3,332		Series 2744, Class TU, 5.500%, 05/15/32	3,461
	1,937		Series 2751, Class BA, 4.000%, 10/15/18	2,018
	680		Series 2753, Class S, IF, 11.326%, 02/15/34	674
	2,164		Series 2755, Class PA, PO, 02/15/29	2,094
	1,722		Series 2755, Class SA, IF, 13.526%, 05/15/30	1,886
	946		Series 2762, Class LO, PO, 03/15/34	757
	1,000		Series 2764, Class TE, 5.000%, 10/15/32	1,077
	549		Series 2766, Class SX, IF, 15.667%, 03/15/34	557
	379		Series 2769, Class PO, PO, 03/15/34	328
	455		Series 2771, Class FG, VAR, 0.000%, 03/15/34	390
	1,634		Series 2776, Class SK, IF, 8.570%, 04/15/34	1,519
	1,506		Series 2777, Class OM, PO, 12/15/32	1,282
	116		Series 2777, Class SX, IF, 11.621%, 04/15/34	114
	285		Series 2778, Class BS, IF, 14.908%, 04/15/34	289
	3,732		Series 2778, Class US, IF, IO, 6.863%, 06/15/33	222
	607		Series 2780, Class JG, 4.500%, 04/15/19	636
	1,284		Series 2783, Class AT, 4.000%, 04/15/19	1,324
	1,557		Series 2809, Class UB, 4.000%, 09/15/17	1,608
	5,515		Series 2809, Class UC, 4.000%, 06/15/19	5,724
	1,412		Series 2812, Class NO, PO, 10/15/33	1,027
	187		Series 2827, Class SQ, IF, 7.500%, 01/15/19	197
	1,850		Series 2827, Class XO, PO, 01/15/23	1,726
	318		Series 2835, Class QO, PO, 12/15/32	279
	1,764		Series 2840, Class JO, PO, 06/15/23	1,632
	156		Series 2841, Class YA, 5.500%, 07/15/27	156
	1,656		Series 2850, Class SN, IF, IO, 6.813%, 09/15/18	127
	821		Series 2870, Class KC, 4.250%, 05/15/18	851
	3,000		Series 2872, Class JE, 4.500%, 02/15/18	3,156
	602		Series 2890, Class DO, PO, 11/15/34	477
	747		Series 2925, Class MW, VAR, 0.000%, 01/15/35	738
	2,444		Series 2934, Class EC, PO, 02/15/20	2,238
	401		Series 2934, Class EN, PO, 02/15/18	386
	2,036		Series 2934, Class HI, IO, 5.000%, 02/15/20	257
	2,010		Series 2934, Class KI, IO, 5.000%, 02/15/20	254
	58		Series 2949, Class GU, HB, IF, 46.446%, 03/15/35	60
	856		Series 2958, Class QD, 4.500%, 04/15/20	914
	3,425		Series 2965, Class GD, 4.500%, 04/15/20	3,636
	8,562		Series 2971, Class GB, 5.000%, 11/15/16	8,888
	856		Series 2971, Class GC, 5.000%, 07/15/18	916
	268		Series 2975, Class KO, PO, 05/15/35	258
	831		Series 2989, Class PO, PO, 06/15/23	770
	4,281		Series 3004, Class EK, 5.500%, 07/15/35	4,429
	357		Series 3007, Class AI, IO, 5.500%, 07/15/24	28
	308		Series 3014, Class OD, PO, 08/15/35	236
	127		Series 3022, Class OH, PO, 08/15/35	126
	349		Series 3044, Class VO, PO, 10/15/35	310
	4,221		Series 3047, Class OB, 5.500%, 12/15/33	4,515
	944		Series 3047, Class OD, 5.500%, 10/15/35	1,049
	1,716		Series 3049, Class XF, VAR, 0.687%, 05/15/33	1,706
	3,095		Series 3064, Class MC, 5.500%, 11/15/35	3,416
	2,141		Series 3064, Class OB, 5.500%, 07/15/29	2,248
	768		Series 3068, Class AO, PO, 01/15/35	727
	348		Series 3068, Class MO, PO, 01/15/23	327
	1,914		Series 3068, Class QB, 4.500%, 06/15/20	2,034
	2,141		Series 3074, Class BH, 5.000%, 11/15/35	2,307
	2,161		Series 3100, Class MA, VAR, 3.672%, 12/15/35	2,096
	620		Series 3102, Class HS, HB, IF , 23.331%, 01/15/36	889
	2,750		Series 3117, Class EO, PO, 02/15/36	2,427
	1,902		Series 3117, Class OK, PO, 02/15/36	1,605
	623		Series 3118, Class DM, 5.000%, 02/15/24	627
	116		Series 3122, Class ZB, 6.000%, 03/15/36	116
	660		Series 3134, Class PO, PO, 03/15/36	569
	3,354		Series 3138, Class PO, PO, 04/15/36	2,890
	193		Series 3149, Class SO, PO, 05/15/36	170
	2,055		Series 3151, Class UC, 5.500%, 08/15/35	2,240
	1,367		Series 3152, Class MO, PO, 03/15/36	1,134
	240		Series 3158, Class LX, VAR, 0.000%, 05/15/36	239
	330		Series 3171, Class MO, PO, 06/15/36	284
	3,737		Series 3179, Class OA, PO, 07/15/36	3,308
	2,169		Series 3194, Class SA, IF, IO, 6.763%, 07/15/36	300
	1,936		Series 3211, Class SO, PO, 09/15/36	1,641
	1,047		Series 3218, Class AO, PO, 09/15/36	923
	4,299		Series 3219, Class DI, IO, 6.000%, 04/15/36	797
	2,924		Series 3232, Class ST, IF, IO, 6.363%, 10/15/36	337
	1,264		Series 3233, Class OP, PO, 05/15/36	1,110
	1,214		Series 3256, Class PO, PO, 12/15/36	1,025
	3,153		Series 3260, Class CS, IF, IO, 5.803%, 01/15/37	310
	1,328		Series 3261, Class OA, PO, 01/15/37	1,125
	1,986		Series 3274, Class JO, PO, 02/15/37	1,715
	1,003		Series 3275, Class FL, VAR, 0.777%, 02/15/37	985
	4,086		Series 3290, Class SB, IF, IO, 6.113%, 03/15/37	374
	460		Series 3318, Class AO, PO, 05/15/37	406
	2,332		Series 3331, Class PO, PO, 06/15/37	1,971
	2,200		Series 3334, Class MC, 5.000%, 04/15/33	2,318
	2,770		Series 3387, Class SA, IF, IO, 6.083%, 11/15/37	238
	3,799		Series 3404, Class SC, IF, IO, 5.663%, 01/15/38	394
	14,178		Series 3422, Class AI, SUB, IO, 1.860%, 01/15/38	267
	3,311		Series 3424, Class PI, IF, IO, 6.463%, 04/15/38	477
	10,223		Series 3430, Class AI, IO, 1.417%, 09/15/12	173
	6,135		Series 3437, Class AI, IO, 1.335%, 09/15/11	69
	3,676		Series 3481, Class SJ, IF, IO, 5.513%, 08/15/38	396
	5,521		Series 3505, Class SA, IF, IO, 5.663%, 01/15/39	430
	6,295		Series 3511, Class SA, IF, IO, 5.663%, 02/15/39	384
	1,000		Series 3607, Class BO, PO, 04/15/36	705
	878		Series 3611, Class PO, PO, 07/15/34	759
			Federal Home Loan Mortgage Corp. STRIPS,
	5		Series 134, Class B, IO, 9.000%, 04/01/22	1
	5,591		Series 233, Class 11, IO, 5.000%, 09/15/35	941
	7,915		Series 233, Class 13, IO, 5.000%, 09/15/35	1,321
	1,561		Series 243, Class 16, IO, 4.500%, 11/15/20	174
	3,386		Series 243, Class 17, IO, 4.500%, 12/15/20	374
			Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	764		Series T-41, Class 3A, VAR, 7.500%, 07/25/32	866
	482		Series T-51, Class 2A, VAR, 7.500%, 08/25/42	547
	2,487		Series T-54, Class 2A, 6.500%, 02/25/43	2,736
	837		Series T-54, Class 3A, 7.000%, 02/25/43	936
	363		Series T-58, Class APO, PO, 09/25/43	271
	844		Series T-59, Class 1AP, PO, 10/25/43	732
	3,156		Series T-76, Class 2A, VAR, 4.811%, 10/25/37	3,236
			Federal National Mortgage Association Grantor Trust,
	1,294		Series 2002-T19, Class A2, 7.000%, 07/25/42	1,435
	1,262		Series 2004-T3, Class 1A3, 7.000%, 02/25/44	1,414
			Federal National Mortgage Association REMICS,
	13		Series 1988-7, Class Z, 9.250%, 04/25/18	15
	28		Series 1989-70, Class G, 8.000%, 10/25/19	31
	12		Series 1989-78, Class H, 9.400%, 11/25/19	14
	17		Series 1989-83, Class H, 8.500%, 11/25/19	19
	20		Series 1989-89, Class H, 9.000%, 11/25/19	22
	19		Series 1990-1, Class D, 8.800%, 01/25/20	22
	3		Series 1990-60, Class K, 5.500%, 06/25/20	3
	7		Series 1990-63, Class H, 9.500%, 06/25/20	8
	6		Series 1990-93, Class G, 5.500%, 08/25/20	6
	–	(h)	Series 1990-94, Class H, HB, 505.000%, 08/25/20	2
	–	(h)	Series 1990-95, Class J, HB, 1,118.040%, 08/25/20	4
	33		Series 1990-102, Class J, 6.500%, 08/25/20	37
	48		Series 1990-120, Class H, 9.000%, 10/25/20	56
	4		Series 1990-134, Class SC, HB, IF , 21.038%, 11/25/20	6
	–	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20	5
	–	(h)	Series 1991-7, Class K, HB, 908.500%, 02/25/21	1
	19		Series 1991-24, Class Z, 5.000%, 03/25/21	21
	4		Series 1992-101, Class J, 7.500%, 06/25/22	4
	93		Series 1992-136, Class PK, 6.000%, 08/25/22	101
	81		Series 1992-143, Class MA, 5.500%, 09/25/22	89
	209		Series 1992-163, Class M, 7.750%, 09/25/22	240
	376		Series 1992-188, Class PZ, 7.500%, 10/25/22	416
	152		Series 1993-21, Class KA, 7.700%, 03/25/23	174
	224		Series 1993-25, Class J, 7.500%, 03/25/23	248
	59		Series 1993-27, Class SA, IF, 15.500%, 02/25/23	80
	92		Series 1993-62, Class SA, IF, 16.196%, 04/25/23	119
	48		Series 1993-165, Class SD, IF, 10.912%, 09/25/23	55
	104		Series 1993-165, Class SK, IF, 12.500%, 09/25/23	131
	121		Series 1993-167, Class GA, 7.000%, 09/25/23	126
	70		Series 1993-179, Class SB, HB, IF , 21.617%, 10/25/23	108
	46		Series 1993-179, Class SC, IF, 10.500%, 10/25/23	54
	234		Series 1993-199, Class FA, VAR, 0.925%, 10/25/23	235
	133		Series 1993-205, Class H, PO, 09/25/23	121
	194		Series 1993-220, Class SG, IF, 15.250%, 11/25/13	222
	194		Series 1993-225, Class UB, 6.500%, 12/25/23	208
	59		Series 1993-230, Class FA, VAR, 0.975%, 12/25/23	59
	198		Series 1993-247, Class FE, VAR, 1.375%, 12/25/23	202
	92		Series 1993-247, Class SU, IF, 11.091%, 12/25/23	113
	329		Series 1993-250, Class Z, 7.000%, 12/25/23	354
	939		Series 1993-257, Class C, PO, 06/25/23	906
	789		Series 1994-37, Class L, 6.500%, 03/25/24	867
	3,894		Series 1994-40, Class Z, 6.500%, 03/25/24	4,328
	137		Series 1995-2, Class Z, 8.500%, 01/25/25	154
	269		Series 1995-19, Class Z, 6.500%, 11/25/23	295
	819		Series 1996-14, Class SE, IF, IO, 6.940%, 08/25/23	174
	29		Series 1996-27, Class FC, VAR, 0.875%, 03/25/17	29
	76		Series 1996-59, Class J, 6.500%, 08/25/22	85
	787		Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27	39
	52		Series 1997-27, Class J, 7.500%, 04/18/27	57
	89		Series 1997-29, Class J, 7.500%, 04/20/27	100
	588		Series 1997-39, Class PD, 7.500%, 05/20/27	661
	234		Series 1997-42, Class EN, 7.250%, 07/18/27	249
	84		Series 1997-42, Class ZC, 6.500%, 07/18/27	93
	–	(h)	Series 1997-51, Class PM, IO, 7.000%, 05/18/12	–	(h)
	1,216		Series 1997-61, Class ZC, 7.000%, 02/25/23	1,336
	238		Series 1997-81, Class PI, IO, 7.000%, 12/18/27	51
	34		Series 1998-4, Class C, PO, 04/25/23	31
	824		Series 1998-36, Class ZB, 6.000%, 07/18/28	914
	278		Series 1998-43, Class SA, IF, IO, 14.717%, 04/25/23	121
	448		Series 1998-66, Class SB, IF, IO, 7.807%, 12/25/28	72
	242		Series 1999-17, Class C, 6.350%, 04/25/29	269
	1,545		Series 1999-18, Class Z, 5.500%, 04/18/29	1,695
	495		Series 1999-38, Class SK, IF, IO, 7.707%, 08/25/23	65
	130		Series 1999-52, Class NS, HB, IF , 22.420%, 10/25/23	184
	331		Series 1999-62, Class PB, 7.500%, 12/18/29	367
	1,053		Series 2000-2, Class ZE, 7.500%, 02/25/30	1,169
	508		Series 2000-20, Class SA, IF, IO, 8.757%, 07/25/30	103
	79		Series 2000-52, Class IO, IO, 8.500%, 01/25/31	18
	421		Series 2001-4, Class PC, 7.000%, 03/25/21	473
	248		Series 2001-5, Class OW, 6.000%, 03/25/16	262
	305		Series 2001-7, Class PF, 7.000%, 03/25/31	342
	1,287		Series 2001-7, Class PR, 6.000%, 03/25/16	1,366
	1,358		Series 2001-10, Class PR, 6.000%, 04/25/16	1,439
	819		Series 2001-30, Class PM, 7.000%, 07/25/31	920
	509		Series 2001-31, Class VD, 6.000%, 05/25/31	521
	1,352		Series 2001-33, Class ID, IO, 6.000%, 07/25/31	265
	757		Series 2001-36, Class DE, 7.000%, 08/25/31	848
	1,697		Series 2001-44, Class MY, 7.000%, 09/25/31	1,904
	337		Series 2001-44, Class PD, 7.000%, 09/25/31	379
	352		Series 2001-44, Class PU, 7.000%, 09/25/31	394
	3,169		Series 2001-48, Class Z, 6.500%, 09/25/21	3,524
	308		Series 2001-49, Class Z, 6.500%, 09/25/31	342
	244		Series 2001-52, Class KB, 6.500%, 10/25/31	271
	25		Series 2001-52, Class XM, 6.500%, 11/25/10	25
	870		Series 2001-52, Class XN, 6.500%, 11/25/15	943
	2,725		Series 2001-61, Class Z, 7.000%, 11/25/31	3,056
	383		Series 2001-71, Class MB, 6.000%, 12/25/16	414
	879		Series 2001-71, Class QE, 6.000%, 12/25/16	950
	207		Series 2001-72, Class SX, IF, 16.667%, 12/25/31	242
	1,156		Series 2001-74, Class MB, 6.000%, 12/25/16	1,250
	672		Series 2001-80, Class PE, 6.000%, 07/25/29	701
	288		Series 2002-1, Class HC, 6.500%, 02/25/22	319
	282		Series 2002-1, Class SA, HB, IF , 24.073%, 02/25/32	397
	198		Series 2002-1, Class UD, HB, IF , 23.188%, 12/25/23	281
	1,058		Series 2002-2, Class UC, 6.000%, 02/25/17	1,138
	2,896		Series 2002-3, Class OG, 6.000%, 02/25/17	3,129
	627		Series 2002-7, Class OG, 6.000%, 03/25/17	677
	2,136		Series 2002-7, Class TG, 6.000%, 03/25/17	2,308
	633		Series 2002-10, Class SB, IF, 18.377%, 03/25/17	762
	972		Series 2002-11, Class QG, 5.500%, 03/25/17	1,042
	2,544		Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32	105
	42		Series 2002-13, Class ST, IF, 10.000%, 03/25/32	47
	4,147		Series 2002-18, Class PC, 5.500%, 04/25/17	4,383
	679		Series 2002-19, Class PE, 6.000%, 04/25/17	733
	124		Series 2002-21, Class LO, PO, 04/25/32	109
	1,066		Series 2002-21, Class PE, 6.500%, 04/25/32	1,179
	1,295		Series 2002-24, Class AJ, 6.000%, 04/25/17	1,412
	473		Series 2002-25, Class SG, IF, 18.497%, 05/25/17	571
	2,453		Series 2002-28, Class PK, 6.500%, 05/25/32	2,724
	729		Series 2002-37, Class Z, 6.500%, 06/25/32	809
	803		Series 2002-42, Class C, 6.000%, 07/25/17	879
	3,553		Series 2002-48, Class GH, 6.500%, 11/25/32	3,923
	626		Series 2002-55, Class QE, 5.500%, 09/25/17	678
	6,944		Series 2002-56, Class UC, 5.500%, 09/25/17	7,479
	1,411		Series 2002-62, Class ZE, 5.500%, 11/25/17	1,516
	720		Series 2002-63, Class KC, 5.000%, 10/25/17	769
	944		Series 2002-77, Class S, IF, 13.855%, 12/25/32	1,119
	2,385		Series 2002-81, Class JO, PO, 04/25/32	2,182
	1,604		Series 2002-83, Class CS, 6.881%, 08/25/23	1,793
	179		Series 2002-91, Class UH, IO, 5.500%, 06/25/22	12
	3,107		Series 2002-94, Class BK, 5.500%, 01/25/18	3,389
	2,000		Series 2003-3, Class HJ, 5.000%, 02/25/18	2,149
	2,524		Series 2003-22, Class UD, 4.000%, 04/25/33	2,515
	675		Series 2003-27, Class DW, 4.500%, 04/25/17	702
	3,442		Series 2003-33, Class IA, IO, 6.500%, 05/25/33	702
	1,758		Series 2003-34, Class AX, 6.000%, 05/25/33	1,954
	1,516		Series 2003-34, Class ED, 6.000%, 05/25/33	1,732
	158		Series 2003-35, Class UC, 3.750%, 05/25/33	164
	488		Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33	108
	1,319		Series 2003-39, Class LW, 5.500%, 05/25/23	1,441
	1,884		Series 2003-41, Class PE, 5.500%, 05/25/23	2,076
	735		Series 2003-42, Class GB, 4.000%, 05/25/33	764
	2,869		Series 2003-45, Class AI, IO, 5.500%, 05/25/33	125
	828		Series 2003-47, Class PE, 5.750%, 06/25/33	921
	760		Series 2003-52, Class SX, HB, IF , 21.922%, 10/25/31	964
	151		Series 2003-60, Class NJ, 5.000%, 07/25/21	155
	784		Series 2003-64, Class SX, IF, 13.056%, 07/25/33	827
	303		Series 2003-67, Class VQ, 7.000%, 01/25/19	315
	205		Series 2003-68, Class QP, 3.000%, 07/25/22	209
	1,744		Series 2003-71, Class DS, IF, 7.096%, 08/25/33	1,628
	1,936		Series 2003-71, Class IM, IO, 5.500%, 12/25/31	198
	3,903		Series 2003-72, Class IE, IO, 5.500%, 08/25/33	678
	2,516		Series 2003-73, Class GA, 3.500%, 05/25/31	2,588
	469		Series 2003-74, Class SH, IF, 9.553%, 08/25/33	436
	1,663		Series 2003-76, Class GQ, 4.500%, 08/25/18	1,758
	5,698		Series 2003-80, Class SY, IF, IO, 7.307%, 06/25/23	608
	1,350		Series 2003-81, Class LC, 4.500%, 09/25/18	1,438
	5,207		Series 2003-83, Class PG, 5.000%, 06/25/23	5,589
	2,556		Series 2003-86, Class KR, 4.500%, 09/25/16	2,639
	934		Series 2003-91, Class SD, IF, 11.929%, 09/25/33	1,037
	246		Series 2003-92, Class SH, IF, 9.074%, 09/25/18	251
	2,260		Series 2003-106, Class US, IF, 8.561%, 11/25/23	2,181
	302		Series 2003-106, Class WS, IF, 9.138%, 02/25/23	304
	172		Series 2003-113, Class PC, 4.000%, 03/25/15	173
	3,982		Series 2003-116, Class SB, IF, IO, 7.257%, 11/25/33	787
	5,137		Series 2003-117, Class JB, 3.500%, 06/25/33	5,213
	1,507		Series 2003-122, Class TE, 5.000%, 12/25/22	1,629
	977		Series 2003-128, Class KE, 4.500%, 01/25/14	1,023
	856		Series 2003-128, Class NG, 4.000%, 01/25/19	888
	689		Series 2003-130, Class SX, IF, 11.006%, 01/25/34	750
	651		Series 2003-132, Class OA, PO, 08/25/33	568
	3,385		Series 2004-4, Class QI, IF, IO, 6.757%, 06/25/33	502
	320		Series 2004-4, Class QM, IF, 13.514%, 06/25/33	367
	1,779		Series 2004-10, Class SC, HB, IF, 27.229%, 02/25/34	2,448
	1,987		Series 2004-14, Class SD, IF, 8.561%, 03/25/34	1,876
	1,655		Series 2004-21, Class CO, PO, 04/25/34	1,247
	512		Series 2004-22, Class A, 4.000%, 04/25/19	513
	1,130		Series 2004-25, Class PC, 5.500%, 01/25/34	1,247
	3,332		Series 2004-25, Class SA, IF, 18.582%, 04/25/34	4,321
	7,708		Series 2004-27, Class HB, 4.000%, 05/25/19	7,938
	753		Series 2004-36, Class PC, 5.500%, 02/25/34	831
	2,922		Series 2004-36, Class SA, IF, 18.582%, 05/25/34	3,860
	1,331		Series 2004-36, Class SN, IF, 13.514%, 07/25/33	1,528
	4,281		Series 2004-37, Class AG, 4.500%, 11/25/32	4,528
	4,466		Series 2004-46, Class HS, IF, IO, 5.657%, 05/25/30	245
	1,285		Series 2004-46, Class QB, HB, IF , 22.629%, 05/25/34	1,496
	4,581		Series 2004-46, Class SK, IF, 15.557%, 05/25/34	5,009
	1,055		Series 2004-51, Class SY, IF, 13.554%, 07/25/34	1,242
	942		Series 2004-53, Class NC, 5.500%, 07/25/24	1,020
	2,136		Series 2004-59, Class BG, PO, 12/25/32	1,844
	238		Series 2004-61, Class SK, IF, 8.500%, 11/25/32	259
	1,792		Series 2004-70, Class JA, 4.500%, 10/25/19	1,818
	793		Series 2004-76, Class CL, 4.000%, 10/25/19	827
	1,440		Series 2004-79, Class SP, IF, 18.857%, 11/25/34	1,873
	377		Series 2004-81, Class AC, 4.000%, 11/25/19	392
	585		Series 2004-92, Class JO, PO, 12/25/34	582
	965		Series 2005-28, Class JA, 5.000%, 04/25/35	972
	326		Series 2005-47, Class AN, 5.000%, 12/25/16	333
	970		Series 2005-52, Class PA, 6.500%, 06/25/35	1,049
	4,190		Series 2005-56, Class S, IF, IO, 6.367%, 07/25/35	594
	1,755		Series 2005-59, Class PC, 5.500%, 03/25/31	1,868
	775		Series 2005-66, Class SG, IF, 16.518%, 07/25/35	945
	1,324		Series 2005-68, Class BC, 5.250%, 06/25/35	1,439
	3,665		Series 2005-68, Class PG, 5.500%, 08/25/35	4,031
	1,927		Series 2005-68, Class UC, 5.000%, 06/25/35	2,074
	1,596		Series 2005-74, Class CS, IF, 19.077%, 05/25/35	2,144
	17,045		Series 2005-84, Class XM, 5.750%, 10/25/35	18,833
	756		Series 2005-98, Class GO, PO, 11/25/35	626
	3,425		Series 2005-109, Class PC, 6.000%, 12/25/35	3,843
	14,363		Series 2005-110, Class GJ, 5.500%, 11/25/30	15,209
	14,556		Series 2005-110, Class GK, 5.500%, 08/25/34	15,897
	4,326		Series 2005-110, Class GL, 5.500%, 12/25/35	4,737
	2,997		Series 2005-110, Class MN, 5.500%, 06/25/35	3,293
	2,603		Series 2005-116, Class PB, 6.000%, 04/25/34	2,834
	3,000		Series 2005-118, Class PN, 6.000%, 01/25/32	3,290
	304		Series 2005-123, Class LO, PO, 01/25/36	272
	1,143		Series 2006-15, Class OT, PO, 01/25/36	1,064
	1,355		Series 2006-16, Class OA, PO, 03/25/36	1,206
	1,358		Series 2006-22, Class AO, PO, 04/25/36	1,149
	595		Series 2006-23, Class KO, PO, 04/25/36	524
	3,149		Series 2006-39, Class WC, 5.500%, 01/25/36	3,448
	536		Series 2006-42, Class CF, VAR, 0.793%, 06/25/36	535
	3,534		Series 2006-44, Class GO, PO, 06/25/36	3,030
	9,953		Series 2006-44, Class P, PO, 12/25/33	8,482
	2,000		Series 2006-46, Class UC, 5.500%, 12/25/35	2,189
	462		Series 2006-53, Class JO, PO, 06/25/36	423
	7,941		Series 2006-53, Class US, IF, IO, 6.237%, 06/25/36	944
	2,268		Series 2006-56, Class PO, PO, 07/25/36	1,927
	4,140		Series 2006-58, Class AP, PO, 07/25/36	3,715
	456		Series 2006-58, Class FL, VAR, 0.803%, 07/25/36	456
	1,585		Series 2006-58, Class PO, PO, 07/25/36	1,370
	3,958		Series 2006-59, Class QO, PO, 01/25/33	3,445
	2,578		Series 2006-60, Class DZ, 6.500%, 07/25/36	3,009
	2,443		Series 2006-65, Class QO, PO, 07/25/36	2,080
	1,874		Series 2006-71, Class IC, IO, 6.000%, 04/25/17	198
	685		Series 2006-72, Class TO, PO, 08/25/36	581
	6,305		Series 2006-77, Class PC, 6.500%, 08/25/36	7,072
	1,986		Series 2006-79, Class DO, PO, 08/25/36	1,696
	1,214		Series 2006-90, Class AO, PO, 09/25/36	1,043
	567		Series 2006-109, Class PO, PO, 11/25/36	500
	7,195		Series 2006-110, Class PO, PO, 11/25/36	6,029
	551		Series 2006-111, Class EO, PO, 11/25/36	484
	2,989		Series 2006-118, Class A2, VAR, 0.403%, 12/25/36	2,947
	1,318		Series 2006-119, Class PO, PO, 12/25/36	1,102
	10,000		Series 2006-124, Class HB, VAR, 5.995%, 11/25/36	10,662
	1,000		Series 2006-128, Class BP, 5.500%, 01/25/37	1,097
	2,999		Series 2006-130, Class GI, IO, 6.500%, 07/25/32	552
	10,260		Series 2007-7, Class SG, IF, IO, 6.157%, 08/25/36	904
	11,293		Series 2007-14, Class ES, IF, IO, 6.097%, 03/25/37	1,388
	724		Series 2007-15, Class NO, PO, 03/25/22	660
	5,255		Series 2007-16, Class FC, VAR, 1.093%, 03/25/37	5,262
	1,213		Series 2007-42, Class AO, PO, 05/25/37	1,108
	1,348		Series 2007-48, Class PO, PO, 05/25/37	1,176
	5,890		Series 2007-54, Class FA, VAR, 0.743%, 06/25/37	5,876
	15,547		Series 2007-60, Class AX, IF, IO, 6.807%, 07/25/37	2,412
	1,165		Series 2007-77, Class FG, VAR, 0.843%, 03/25/37	1,166
	2,000		Series 2007-79, Class PB, 5.000%, 04/25/29	2,120
	2,100		Series 2007-79, Class PC, 5.000%, 01/25/32	2,239
	1,000		Series 2007-81, Class GE, 6.000%, 08/25/37	1,122
	2,000		Series 2007-84, Class PD, 6.000%, 08/25/32	2,132
	5,000		Series 2007-84, Class PG, 6.000%, 12/25/36	5,553
	8,124		Series 2007-88, Class VI, IF, IO, 6.197%, 09/25/37	982
	5,867		Series 2007-91, Class ES, IF, IO, 6.117%, 10/25/37	664
	4,250		Series 2007-97, Class KI, IO, 7.000%, 05/25/33	795
	718		Series 2007-97, Class MS, IF, 14.038%, 12/25/31	781
	2,743		Series 2007-106, Class A7, VAR, 6.119%, 10/25/37	2,885
	3,000		Series 2007-114, Class A6, VAR, 0.543%, 10/27/37	2,995
	6,173		Series 2007-116, Class HI, IO, VAR, 6.289%, 01/25/38	452
	578		Series 2007-118, Class IO, IO, 6.000%, 06/25/36	48
	6,077		Series 2008-1, Class BI, IF, IO, 5.567%, 02/25/38	626
	3,783		Series 2008-10, Class XI, IF, IO, 5.887%, 03/25/38	338
	3,986		Series 2008-16, Class IS, IF, IO, 5.857%, 03/25/38	364
	3,503		Series 2008-19, Class IC, IO, 5.000%, 03/25/23	397
	1,000		Series 2008-24, Class DY, 5.000%, 04/25/23	1,080
	2,237		Series 2008-27, Class SN, IF, IO, 6.557%, 04/25/38	231
	12,914		Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12	61
	2,596		Series 2008-39, Class CI, IO, 4.500%, 05/25/18	256
	1,389		Series 2008-42, Class AO, PO, 09/25/36	1,238
	319		Series 2008-44, Class PO, PO, 05/25/38	283
	4,132		Series 2008-47, Class SI, IF, IO, 6.157%, 06/25/23	476
	3,931		Series 2008-53, Class CI, IF, IO, 6.857%, 07/25/38	517
	1,056		Series 2008-59, Class IG, IO, 5.500%, 11/25/34	80
	7,766		Series 2008-80, Class SA, IF, IO, 5.507%, 09/25/38	875
	4,596		Series 2008-81, Class SB, IF, IO, 5.507%, 09/25/38	511
	7,296		Series 2009-6, Class GS, IF, IO, 6.207%, 02/25/39	702
	3,514		Series 2009-9, Class IO, IO, 5.000%, 02/25/24	422
	2,954		Series 2009-18, Class IO, IO, 5.000%, 03/25/24	357
	2,500		Series 2009-19, Class IP, IO, 5.500%, 10/25/36	694
	4,912		Series 2009-99, Class SC, IF, IO, 5.837%, 12/25/39	289
	4,000		Series 2009-103, Class MB, 4.000%, 12/25/39	4,198
	2,300		Series 2010-64, Class DM, 5.000%, 06/25/40	2,431
	1		Series G-17, Class S, HB, VAR, 1,042.327%, 06/25/21	18
	65		Series G-28, Class S, IF, 14.725%, 09/25/21	84
	54		Series G-35, Class M, 8.750%, 10/25/21	62
	21		Series G-51, Class SA, HB, IF , 21.024%, 12/25/21	31
	39		Series G92-15, Class Z, 7.000%, 01/25/22	40
	–	(h)	Series G92-27, Class SQ, HB, IF, 1,579.180%, 05/25/22	3
	281		Series G92-35, Class E, 7.500%, 07/25/22	314
	–	(h)	Series G92-35, Class G, HB, 1,184.775%, 07/25/22	7
	33		Series G92-42, Class Z, 7.000%, 07/25/22	37
	1,300		Series G92-44, Class ZQ, 8.000%, 07/25/22	1,453
	43		Series G92-52, Class FD, VAR, 0.396%, 09/25/22	42
	364		Series G92-54, Class ZQ, 7.500%, 09/25/22	409
	45		Series G92-59, Class F, VAR, 2.559%, 10/25/22	45
	89		Series G92-61, Class Z, 7.000%, 10/25/22	98
	64		Series G92-62, Class B, PO, 10/25/22	60
	300		Series G93-1, Class KA, 7.900%, 01/25/23	343
	67		Series G93-5, Class Z, 6.500%, 02/25/23	74
	87		Series G93-14, Class J, 6.500%, 03/25/23	96
	203		Series G93-17, Class SI, IF, 6.000%, 04/25/23	222
	196		Series G93-27, Class FD, VAR, 1.255%, 08/25/23	199
	50		Series G93-37, Class H, PO, 09/25/23	45
	65		Series G95-1, Class C, 8.800%, 01/25/25	76
			Federal National Mortgage Association STRIPS,
	8		Series 23, Class 2, IO, 10.000%, 09/01/17	2
	1		Series 50, Class 2, IO, 10.500%, 03/01/19	–	(h)
	32		Series 218, Class 2, IO, 7.500%, 04/01/23	7
	27		Series 265, Class 2, 9.000%, 03/01/24	32
	724		Series 329, Class 1, PO, 01/01/33	637
	2,118		Series 339, Class 18, IO, 4.500%, 07/01/18	168
	3,132		Series 339, Class 21, IO, 4.500%, 07/01/18	328
	1,325		Series 339, Class 28, IO, 5.500%, 07/01/18	153
	1,193		Series 345, Class 6, IO, VAR, 5.000%, 12/01/33	200
	2,616		Series 351, Class 7, IO, VAR, 5.000%, 04/01/34	372
	1,545		Series 355, Class 11, IO, 6.000%, 07/01/34	319
	1,059		Series 355, Class 31, IO, VAR, 4.500%, 12/01/18	103
	4,645		Series 365, Class 8, IO, 5.500%, 05/01/36	825
	660		Series 368, Class 3, IO, 4.500%, 11/01/20	65
	2,613		Series 374, Class 5, IO, 5.500%, 08/01/36	371
	1,719		Series 383, Class 32, IO, 6.000%, 01/01/38	315
	4,494		Series 383, Class 33, IO, 6.000%, 01/01/38	810
	1,060		Series 393, Class 6, IO, 5.500%, 04/25/37	190
			Federal National Mortgage Association Whole Loan,
	101		Series 2002-W5, Class A10, IF, IO, 7.757%, 11/25/30	3
	1,445		Series 2003-W1, Class 1A1, 6.500%, 12/25/42	1,590
	522		Series 2003-W1, Class 2A, 7.500%, 12/25/42	592
	243		Series 2003-W4, Class 2A, 6.500%, 10/25/42	267
	451		Series 2004-W1, Class 2A2, 7.000%, 12/25/33	507
	2,385		Series 2004-W15, Class 2AF, VAR, 0.593%, 08/25/44	2,248
	1,606		Series 2004-W2, Class 2A2, 7.000%, 02/25/44	1,808
	2,300		Series 2005-W3, Class 2AF, VAR, 0.563%, 03/25/45	2,189
	2,411		Series 2006-W2, Class 1AF1, VAR, 0.563%, 02/25/36	2,333
	334		Series 2007-W7, Class 1A4, HB, IF, 37.123%, 07/25/37	559
			Government National Mortgage Association,
	1,033		Series 1994-3, Class PQ, 7.488%, 07/16/24	1,118
	617		Series 1994-4, Class KQ, 7.988%, 07/16/24	690
	3,303		Series 1994-7, Class PQ, 6.500%, 10/16/24	3,660
	502		Series 1996-16, Class E, 7.500%, 08/16/26	527
	776		Series 1997-8, Class PN, 7.500%, 05/16/27	822
	182		Series 1997-11, Class D, 7.500%, 07/20/27	204
	395		Series 1998-26, Class K, 7.500%, 09/17/25	447
	2,220		Series 1999-4, Class ZB, 6.000%, 02/20/29	2,421
	1,983		Series 1999-10, Class ZC, 6.500%, 04/20/29	2,188
	57		Series 1999-15, Class E, 6.500%, 01/16/29	58
	324		Series 1999-30, Class S, IF, IO, 8.263%, 08/16/29	46
	23		Series 1999-33, Class SM, IF, 9.200%, 09/16/29	27
	415		Series 1999-40, Class ZW, 7.500%, 11/20/29	461
	583		Series 1999-41, Class Z, 8.000%, 11/16/29	660
	186		Series 1999-44, Class PC, 7.500%, 12/20/29	213
	3,791		Series 1999-44, Class ZC, 8.500%, 12/16/29	4,491
	610		Series 1999-44, Class ZG, 8.000%, 12/20/29	679
	459		Series 2000-6, Class Z, 7.500%, 02/20/30	505
	240		Series 2000-9, Class Z, 8.000%, 06/20/30	267
	2,532		Series 2000-9, Class ZJ, 8.500%, 02/16/30	2,835
	432		Series 2000-12, Class ST, HB, IF, 38.112%, 02/16/30	758
	555		Series 2000-14, Class PD, 7.000%, 02/16/30	597
	152		Series 2000-16, Class ZN, 7.500%, 02/16/30	167
	3,390		Series 2000-21, Class Z, 9.000%, 03/16/30	3,864
	581		Series 2000-26, Class TZ, 8.500%, 09/20/30	636
	163		Series 2000-26, Class Z, 7.750%, 09/20/30	181
	31		Series 2000-30, Class ST, IF, 11.050%, 12/16/22	35
	482		Series 2000-31, Class Z, 9.000%, 10/20/30	556
	140		Series 2000-34, Class SG, IF, IO, 8.190%, 10/20/30	29
	272		Series 2000-35, Class ZA, 9.000%, 11/20/30	308
	42		Series 2000-36, Class IK, IO, 9.000%, 11/16/30	11
	198		Series 2000-37, Class B, 8.000%, 12/20/30	224
	109		Series 2000-38, Class AH, 7.150%, 12/20/30	125
	248		Series 2001-4, Class SJ, IF, IO, 7.812%, 01/19/30	44
	303		Series 2001-6, Class SD, IF, IO, 8.213%, 03/16/31	57
	481		Series 2001-7, Class PK, 6.500%, 03/20/31	505
	1,347		Series 2001-8, Class Z, 6.500%, 03/20/31	1,429
	23		Series 2001-32, Class WA, IF, 19.276%, 07/20/31	33
	354		Series 2001-35, Class SA, IF, IO, 7.913%, 08/16/31	60
	293		Series 2001-36, Class S, IF, IO, 7.713%, 08/16/31	48
	1,622		Series 2001-64, Class MQ, 6.500%, 12/20/31	1,731
	347		Series 2002-3, Class SP, IF, IO, 7.053%, 01/16/32	62
	571		Series 2002-7, Class PG, 6.500%, 01/20/32	621
	1,556		Series 2002-24, Class AG, IF, IO, 7.613%, 04/16/32	258
	144		Series 2002-24, Class SB, IF, 11.420%, 04/16/32	161
	3,754		Series 2002-31, Class SE, IF, IO, 7.163%, 04/16/30	584
	1,136		Series 2002-40, Class UK, 6.500%, 06/20/32	1,209
	62		Series 2002-41, Class SV, IF, 9.000%, 06/16/32	70
	4,316		Series 2002-45, Class QE, 6.500%, 06/20/32	4,643
	1,573		Series 2002-47, Class PG, 6.500%, 07/16/32	1,747
	2,753		Series 2002-47, Class ZA, 6.500%, 07/20/32	2,961
	80		Series 2002-51, Class SG, HB, IF, 31.028%, 04/20/31	126
	2,388		Series 2002-52, Class GH, 6.500%, 07/20/32	2,571
	689		Series 2002-54, Class GB, 6.500%, 08/20/32	742
	710		Series 2002-70, Class AV, 6.000%, 03/20/12	735
	2,117		Series 2002-70, Class PS, IF, IO, 7.360%, 08/20/32	215
	949		Series 2002-75, Class PB, 6.000%, 11/20/32	1,079
	48		Series 2002-79, Class KV, 6.000%, 11/20/13	48
	814		Series 2002-80, Class EZ, 7.000%, 01/20/32	828
	566		Series 2002-88, Class VA, 6.000%, 12/20/17	573
	775		Series 2003-4, Class NI, IO, 5.500%, 01/20/32	51
	591		Series 2003-4, Class NY, 5.500%, 12/20/13	632
	1,844		Series 2003-11, Class SK, IF, IO, 7.363%, 02/16/33	292
	785		Series 2003-12, Class SP, IF, IO, 7.360%, 02/20/33	118
	184		Series 2003-24, Class PO, PO, 03/16/33	154
	1,319		Series 2003-40, Class TC, 7.500%, 03/20/33	1,416
	1,319		Series 2003-40, Class TJ, 6.500%, 03/20/33	1,498
	753		Series 2003-46, Class MG, 6.500%, 05/20/33	852
	1,394		Series 2003-46, Class TC, 6.500%, 03/20/33	1,561
	655		Series 2003-52, Class AP, PO, 06/16/33	553
	2,150		Series 2003-58, Class BE, 6.500%, 01/20/33	2,366
	1,559		Series 2003-76, Class LS, IF, IO, 6.860%, 09/20/31	110
	215		Series 2003-90, Class PO, PO, 10/20/33	185
	472		Series 2003-98, Class PC, 5.000%, 02/20/29	479
	2,713		Series 2003-112, Class SA, IF, IO, 6.213%, 12/16/33	343
	3,000		Series 2003-112, Class TS, IF, IO, 6.610%, 10/20/32	512
	8,497		Series 2004-11, Class SW, IF, IO, 5.160%, 02/20/34	689
	1,158		Series 2004-15, Class SA, IF, 18.728%, 12/20/32	1,372
	791		Series 2004-28, Class S, IF, 18.736%, 04/16/34	1,018
	821		Series 2004-68, Class PO, PO, 05/20/31	794
	357		Series 2004-73, Class AE, IF, 14.160%, 08/17/34	427
	4,770		Series 2004-90, Class SI, IF, IO, 5.760%, 10/20/34	558
	3,686		Series 2005-3, Class SB, IF, IO, 5.760%, 01/20/35	429
	8,779		Series 2005-17, Class SL, IF, IO, 6.360%, 07/20/34	1,284
	698		Series 2005-35, Class FL, VAR, 0.690%, 03/20/32	695
	516		Series 2005-39, Class KI, IO, 5.500%, 03/20/34	54
	3,196		Series 2005-58, Class NI, IO, 5.500%, 08/20/35	907
	843		Series 2005-68, Class DP, IF, 15.622%, 06/17/35	1,052
	11,656		Series 2005-68, Class KI, IF, IO, 5.960%, 09/20/35	1,583
	1,352		Series 2005-69, Class SY, IF, IO, 6.410%, 11/20/33	208
	1,836		Series 2005-91, Class PI, IO, 6.000%, 12/20/35	283
	1,004		Series 2006-16, Class OP, PO, 03/20/36	857
	1,112		Series 2006-28, Class GO, PO, 03/20/35	1,053
	3,602		Series 2006-38, Class SW, IF, IO, 6.160%, 06/20/36	358
	3,015		Series 2006-59, Class SD, IF, IO, 6.360%, 10/20/36	294
	6,674		Series 2006-65, Class SA, IF, IO, 6.460%, 11/20/36	697
	3,554		Series 2007-9, Class DI, IF, IO, 6.170%, 03/20/37	329
	7,602		Series 2007-17, Class JI, IF, IO, 6.473%, 04/16/37	1,085
	815		Series 2007-17, Class JO, PO, 04/16/37	698
	5,474		Series 2007-19, Class SD, IF, IO, 5.860%, 04/20/37	535
	5,752		Series 2007-26, Class SC, IF, IO, 5.860%, 05/20/37	593
	3,333		Series 2007-27, Class SA, IF, IO, 5.860%, 05/20/37	331
	1,390		Series 2007-28, Class BO, PO, 05/20/37	1,204
	580		Series 2007-35, Class TO, PO, 04/20/35	561
	3,094		Series 2007-36, Class SE, IF, IO, 6.133%, 06/16/37	344
	8,899		Series 2007-40, Class SB, IF, IO, 6.410%, 07/20/37	768
	5,218		Series 2007-42, Class SB, IF, IO, 6.410%, 07/20/37	555
	2,500		Series 2007-47, Class PH, 6.000%, 07/16/37	2,853
	2,299		Series 2007-49, Class NO, PO, 12/20/35	2,195
	4,753		Series 2007-50, Class AI, IF, IO, 6.435%, 08/20/37	530
	681		Series 2007-53, Class SW, IF, 19.186%, 09/20/37	806
	1,939		Series 2007-57, Class PO, PO, 03/20/37	1,631
	3,471		Series 2007-57, Class QA, IF, IO, 6.160%, 10/20/37	351
	4,999		Series 2007-71, Class SB, IF, IO, 6.360%, 07/20/36	420
	3,360		Series 2007-72, Class US, IF, IO, 6.210%, 11/20/37	289
	3,427		Series 2007-73, Class MI, IF, IO, 5.660%, 11/20/37	285
	6,744		Series 2007-76, Class SA, IF, IO, 6.190%, 11/20/37	557
	3,334		Series 2007-79, Class SY, IF, IO, 6.210%, 12/20/37	285
	2,075		Series 2007-81, Class SP, IF, IO, 6.310%, 12/20/37	192
	3,730		Series 2007-82, Class SA, IF, IO, 6.190%, 12/20/37	307
	1,803		Series 2008-2, Class MS, IF, IO, 6.823%, 01/16/38	181
	7,214		Series 2008-2, Class NS, IF, IO, 6.203%, 01/16/38	647
	3,533		Series 2008-10, Class S, IF, IO, 5.490%, 02/20/38	302
	1,602		Series 2008-23, Class IO, IO, 6.000%, 02/20/37	162
	2,542		Series 2008-25, Class SB, IF, IO, 6.560%, 03/20/38	309
	1,915		Series 2008-32, Class PI, IO, 5.500%, 10/16/37	260
	4,790		Series 2008-36, Class SH, IF, IO, 5.960%, 04/20/38	431
	14,516		Series 2008-40, Class SA, IF, IO, 6.063%, 05/16/38	1,929
	5,052		Series 2008-41, Class SA, IF, IO, 6.000%, 05/20/38	449
	3,395		Series 2008-55, Class SA, IF, IO, 5.860%, 06/20/38	283
	1,460		Series 2008-60, Class PO, PO, 01/20/38	1,341
	2,033		Series 2008-71, Class SC, IF, IO, 5.660%, 08/20/38	184
	3,534		Series 2008-93, Class AS, IF, IO, 5.360%, 12/20/38	274
	6,155		Series 2009-6, Class SA, IF, IO, 5.763%, 02/16/39	473
	3,318		Series 2009-10, Class SL, IF, IO, 6.163%, 03/16/34	341
	3,000		Series 2009-12, Class IE, IO, 5.500%, 03/20/39	905
	3,648		Series 2009-14, Class KI, IO, 6.500%, 03/20/39	517
	3,242		Series 2009-14, Class NI, IO, 6.500%, 03/20/39	483
	9,112		Series 2009-22, Class SA, IF, IO, 5.930%, 04/20/39	936
	2,796		Series 2009-25, Class SE, IF, IO, 7.260%, 09/20/38	335
	3,016		Series 2009-33, Class CI, IO, 5.500%, 05/20/39	455
	2,396		Series 2009-33, Class TI, IO, 6.000%, 05/20/39	385
	2,933		Series 2009-38, Class IO, IO, 5.000%, 09/16/31	311
	4,572		Series 2009-43, Class SA, IF, IO, 5.610%, 06/20/39	394
	3,681		Series 2009-65, Class IQ, IO, 6.000%, 12/20/38	422
	1,355		Series 2009-79, Class OK, PO, 11/16/37	1,222
	700		Series 2010-14, Class CO, PO, 08/20/35	441
			Vendee Mortgage Trust,
	775		Series 1994-1, Class 1, VAR, 5.627%, 02/15/24	838
	1,426		Series 1994-1, Class 2ZB, 6.500%, 02/15/24	1,584
	1,175		Series 1996-1, Class 1Z, 6.750%, 02/15/26	1,284
	828		Series 1996-2, Class 1Z, 6.750%, 06/15/26	902
	1,612		Series 1997-1, Class 2Z, 7.500%, 02/15/27	1,808
	1,956		Series 1998-1, Class 2E, 7.000%, 03/15/28	2,166
	3,285		Series 1999-1, Class 2Z, 6.500%, 01/15/29	3,615
				896,589
			Non-Agency CMO — 13.8%
	3,397		ABN AMRO Mortgage Corp., Series 2003-8, Class A3, 4.500%, 06/25/33	3,206
			American General Mortgage Loan Trust,
	589		Series 2006-1, Class A2, VAR, 5.750%, 12/25/35 (e)	587
	1,152		Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e)	1,151
	7,278		American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 4.848%, 09/25/35	3,306
			ASG Resecuritization Trust,
	2,338		Series 2009-1, Class A60, VAR, 5.587%, 06/26/37 (e)	2,344
	4,171		Series 2009-2, Class A55, VAR, 5.755%, 05/24/36 (e)	4,192
	8,879		Series 2009-3, Class A65, VAR, 5.595%, 03/26/37 (e)	8,883
	9,896		Series 2009-4, Class A60, 6.000%, 06/28/37 (e)	9,945
	2,464		Series 2010-2, Class A60, VAR, 5.239%, 01/28/37 (e)	2,415
			Banc of America Alternative Loan Trust,
	411		Series 2003-2, Class PO, PO, 04/25/33	354
	1,191		Series 2003-9, Class 1CB2, 5.500%, 11/25/33	1,204
	582		Series 2003-11, Class PO, PO, 01/25/34	370
	419		Series 2004-6, Class 15PO, PO, 07/25/19	328
	2,141		Series 2005-5, Class 1CB1, 5.500%, 06/25/35	1,536
	7,592		Series 2005-6, Class CBIO, IO, 5.500%, 07/25/35	1,238
	1,704		Series 2006-4, Class 1A4, 6.000%, 05/25/46	917
			Banc of America Funding Corp.,
	1,141		Series 2003-3, Class 1A33, 5.500%, 10/25/33	1,159
	871		Series 2004-1, Class PO, PO, 03/25/34	626
	2,297		Series 2004-2, Class 30PO, PO, 09/20/34	1,250
	1,680		Series 2004-3, Class 1A7, 5.500%, 10/25/34	1,674
	1,376		Series 2004-C, Class 1A1, VAR, 5.052%, 12/20/34	1,365
	2,174		Series 2005-6, Class 2A7, 5.500%, 10/25/35	1,965
	1,846		Series 2005-7, Class 30PO, PO, 11/25/35	1,077
	1,204		Series 2005-8, Class 30PO, PO, 01/25/36	688
	3,026		Series 2005-E, Class 4A1, VAR, 2.995%, 03/20/35	2,852
	1,096		Series 2006-A, Class 3A2, VAR, 5.735%, 02/20/36	661
			Banc of America Mortgage Securities, Inc.,
	571		Series 2003-3, Class 2A1, VAR, 0.893%, 05/25/18	543
	801		Series 2003-6, Class 2A1, VAR, 0.793%, 08/25/18	772
	257		Series 2003-7, Class A2, 4.750%, 09/25/18	263
	538		Series 2003-8, Class APO, PO, 11/25/33	340
	6,237		Series 2004-3, Class 15IO, IO, VAR, 0.230%, 04/25/19	30
	276		Series 2004-4, Class APO, PO, 05/25/34	172
	3,316		Series 2004-5, Class 2A2, 5.500%, 06/25/34	2,910
	856		Series 2004-6, Class 2A5, PO, 07/25/34	564
	1,284		Series 2004-6, Class APO, PO, 07/25/34	707
	116		Series 2004-8, Class 5PO, PO, 05/25/32	86
	135		Series 2004-8, Class XPO, PO, 10/25/34	96
	589		Series 2004-A, Class 2A2, VAR, 3.519%, 02/25/34	535
	2,102		Series 2004-J, Class 3A1, VAR, 5.107%, 11/25/34	1,899
	1,975		Series 2005-10, Class 1A6, 5.500%, 11/25/35	1,800
	518		Series 2005-A, Class 2A1, VAR, 3.180%, 02/25/35	441
			BCAP LLC Trust,
	1,479		Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e)	1,479
	2,014		Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)	2,014
	1,154		Series 2010-RR4, Class 2A1, VAR, 1.466%, 06/26/37 (e)	1,125
	2,000		Series 2010-RR5, Class 1A4, VAR, 5.000%, 11/26/37 (e)	2,010
	2,100		Series 2010-RR6, Class 5A1, 5.500%, 11/26/37 (e)	2,104
			Bear Stearns Adjustable Rate Mortgage Trust,
	517		Series 2003-7, Class 3A, VAR, 4.682%, 10/25/33	500
	1,276		Series 2004-1, Class 12A1, VAR, 3.205%, 04/25/34	1,148
	961		Series 2004-2, Class 14A, VAR, 5.150%, 05/25/34	990
	3,876		Series 2005-5, Class A1, VAR, 2.530%, 08/25/35	3,701
	7,407		Series 2006-1, Class A1, VAR, 4.625%, 02/25/36	6,713
			Citicorp Mortgage Securities, Inc.,
	184		Series 1993-14, Class A3, VAR, 1.543%, 11/25/23	179
	3,688		Series 2004-1, Class 3A1, 4.750%, 01/25/34	3,759
	2,503		Series 2004-5, Class 2A5, 4.500%, 08/25/34	2,532
	638		Series 2005-5, Class APO, PO, 08/25/35	418
	869		Series 2005-8, Class APO, PO, 11/25/35	515
			Citigroup Mortgage Loan Trust, Inc.,
	1,623		Series 2003-1, Class 2A5, 5.250%, 10/25/33	1,661
	473		Series 2003-1, Class 2A6, PO, 10/25/33	305
	573		Series 2003-1, Class PO2, PO, 10/25/33	335
	516		Series 2003-1, Class PO3, PO, 09/25/33	287
	365		Series 2003-UP3, Class A3, 7.000%, 09/25/33	363
	2,040		Series 2003-UST1, Class A1, 5.500%, 12/25/18	2,088
	629		Series 2003-UST1, Class PO1, PO, 12/25/18	468
	306		Series 2003-UST1, Class PO3, PO, 12/25/18	246
	1,000		Series 2004-UST1, Class A6, VAR, 5.078%, 08/25/34	1,036
	615		Series 2005-1, Class 2A1A, VAR, 3.445%, 04/25/35	365
	766		Series 2005-5, Class 1A2, VAR, 2.616%, 08/25/35	437
	1,468		Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e)	1,470
			Countrywide Alternative Loan Trust,
	884		Series 2002-8, Class A4, 6.500%, 07/25/32	846
	71		Series 2002-17, Class A7, 2.500%, 01/25/33	69
	10,661		Series 2004-2CB, Class 1A9, 5.750%, 03/25/34	9,028
	3,500		Series 2004-18CB, Class 2A4, 5.700%, 09/25/34	3,472
	1,073		Series 2005-5R, Class A1, 5.250%, 12/25/18	973
	5,440		Series 2005-1CB, Class 1A6, IF, IO, 6.757%, 03/25/35	674
	7,453		Series 2005-20CB, Class 3A8, IF, IO, 4.407%, 07/25/35	604
	18,786		Series 2005-22T1, Class A2, IF, IO, 4.727%, 06/25/35	1,691
	1,212		Series 2005-26CB, Class A10, IF, 12.429%, 07/25/35	1,246
	6,850		Series 2005-28CB, Class 1A4, 5.500%, 08/25/35	5,487
	403		Series 2005-28CB, Class 3A5, 6.000%, 08/25/35	308
	12,726		Series 2005-37T1, Class A2, IF, IO, 4.707%, 09/25/35	1,390
	6,084		Series 2005-54CB, Class 1A11, 5.500%, 11/25/35	4,676
	17,201		Series 2005-54CB, Class 1A2, IF, IO, 4.507%, 11/25/35	1,491
	4,306		Series 2005-57CB, Class 3A2, IF, IO, 4.757%, 12/25/35	402
	2,192		Series 2005-64CB, Class 1A9, 5.500%, 12/25/35	1,222
	15,421		Series 2005-J1, Class 1A4, IF, IO, 4.757%, 02/25/35	1,225
	6,000		Series 2006-26CB, Class A9, 6.500%, 09/25/36	3,952
	3,000		Series 2007-21CB, Class 1A5, 6.000%, 09/25/37 (f) (i)	615
			Countrywide Home Loan Mortgage Pass-Through Trust,
	850		Series 2003-8, Class A4, 4.500%, 05/25/18	850
	2,934		Series 2003-26, Class 1A6, 3.500%, 08/25/33	2,743
	337		Series 2003-34, Class A11, 5.250%, 09/25/33	338
	753		Series 2003-44, Class A9, PO, 10/25/33	557
	29		Series 2003-J2, Class A17, IF, IO, 7.057%, 04/25/33	1
	1,751		Series 2003-J7, Class 4A3, IF, 9.331%, 08/25/18	1,687
	960		Series 2004-7, Class 2A1, VAR, 2.411%, 06/25/34	960
	1,840		Series 2004-8, Class 2A1, 4.500%, 06/25/19	1,851
	387		Series 2004-HYB1, Class 2A, VAR, 3.312%, 05/20/34	317
	1,327		Series 2004-HYB3, Class 2A, VAR, 2.738%, 06/20/34	1,056
	1,142		Series 2004-HYB6, Class A3, VAR, 3.505%, 11/20/34	944
	1,546		Series 2004-J8, Class 1A2, 4.750%, 11/25/19	1,570
	3,853		Series 2005-16, Class A23, 5.500%, 09/25/35	3,329
	5,605		Series 2005-22, Class 2A1, VAR, 5.102%, 11/25/35	4,164
			Credit Suisse Mortgage Capital Certificates,
	2,060		Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e)	2,070
	6,409		Series 2010-11R, Class A1, VAR, 1.354%, 06/28/47 (e)	6,401
			CS First Boston Mortgage Securities Corp.,
	959		Series 2003-1, Class DB1, 6.564%, 02/25/33	819
	698		Series 2003-17, Class 2A1, 5.000%, 07/25/18	693
	2,499		Series 2003-25, Class 1P, PO, 10/25/33	1,488
	399		Series 2004-5, Class 5P, PO, 08/25/19	310
	1,689		Series 2005-4, Class 3A18, 5.500%, 06/25/35	1,346
	1,750		Series 2005-4, Class 3A22, 5.500%, 06/25/35	609
	1,880		Series 2005-4, Class 3A23, 5.500%, 06/25/35	715
	2,097		Deutsche Mortgage Securities, Inc., Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e)	2,044
	30		First Boston Mortgage Securities Corp. 1987 STRIPS, Series C, Class PO, PO, 04/25/17	27
			First Horizon Alternative Mortgage Securities,
	1,510		Series 2004-AA4, Class A1, VAR, 2.250%, 10/25/34	1,280
	2,202		Series 2005-FA8, Class 1A19, 5.500%, 11/25/35	1,592
	4,251		Series 2007-FA4, Class 1A2, IF, IO, 5.307%, 08/25/37	484
			First Horizon Asset Securities, Inc.,
	610		Series 2003-3, Class 1A4, 3.900%, 05/25/33	590
	2,870		Series 2003-9, Class 1A6, 5.500%, 11/25/33	2,522
	1,532		Series 2004-AR2, Class 2A1, VAR, 2.884%, 05/25/34	1,430
	1,260		Series 2004-AR7, Class 2A1, VAR, 2.871%, 02/25/35	1,236
	2,623		Series 2005-AR1, Class 2A2, VAR, 2.875%, 04/25/35	2,468
			GMAC Mortgage Corp. Loan Trust,
	1,655		Series 2003-AR1, Class A4, VAR, 4.067%, 10/19/33	1,627
	933		Series 2004-J5, Class A7, 6.500%, 01/25/35	966
	683		Series 2004-J6, Class 1A1, 5.000%, 01/25/20	697
	1,285		Series 2005-AR3, Class 3A3, VAR, 3.703%, 06/19/35	1,228
	5,565		Series 2005-AR3, Class 3A4, VAR, 3.703%, 06/19/35	4,468
			GSMPS Mortgage Loan Trust,
	1,404		Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e)	1,188
	6,796		Series 2006-RP2, Class 1AS2, IF, IO, 5.788%, 04/25/36 (e)	630
			GSR Mortgage Loan Trust,
	1,723		Series 2004-6F, Class 3A4, 6.500%, 05/25/34	1,743
	504		Series 2004-10F, Class 1A1, 4.500%, 08/25/19	506
	208		Series 2004-10F, Class 2A1, 5.000%, 08/25/19	214
	506		Series 2004-13F, Class 3A3, 6.000%, 11/25/34	325
	1,137		Series 2005-4F, Class AP, PO, 05/25/35	753
	5,241		Series 2005-7F, Class 3A9, 6.000%, 09/25/35	4,533
	4,313		Series 2006-1F, Class 2A4, 6.000%, 02/25/36	2,947
	5,000		Series 2007-1F, Class 2A4, 5.500%, 01/25/37	4,042
	27,308		Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.480%, 08/25/35	273
			JP Morgan Mortgage Trust,
	3,832		Series 2006-A2, Class 4A1, VAR, 3.900%, 08/25/34	3,738
	1,024		Series 2006-A3, Class 6A1, VAR, 3.894%, 08/25/34	926
			Lehman Mortgage Trust,
	1,891		Series 2006-2, Class 1A1, VAR, 6.413%, 04/25/36	1,675
	2,000		Series 2008-2, Class 1A6, 6.000%, 03/25/38	1,490
	1,646		LVII Resecuritization Trust, Series 2009-2, Class A3, VAR, 2.999%, 09/27/37 (e)	1,642
			MASTR Adjustable Rate Mortgages Trust,
	179		Series 2004-4, Class 2A1, VAR, 2.900%, 05/25/34	95
	2,108		Series 2004-13, Class 2A1, VAR, 2.976%, 04/21/34	2,084
	9,215		Series 2004-13, Class 3A6, VAR, 3.075%, 11/21/34	9,208
	2,800		Series 2004-13, Class 3A7, VAR, 3.075%, 11/21/34	2,424
	476		Series 2004-15, Class 3A1, VAR, 3.558%, 12/25/34	366
			MASTR Alternative Loans Trust,
	413		Series 2003-3, Class 1A1, 6.500%, 05/25/33	420
	1,595		Series 2003-9, Class 8A1, 6.000%, 01/25/34	1,490
	1,381		Series 2004-3, Class 2A1, 6.250%, 04/25/34	1,417
	3,580		Series 2004-4, Class 10A1, 5.000%, 05/25/24	3,545
	938		Series 2004-6, Class 30PO, PO, 07/25/34	571
	1,302		Series 2004-6, Class 7A1, 6.000%, 07/25/34	1,252
	679		Series 2004-7, Class 30PO, PO, 08/25/34	431
	3,262		Series 2004-8, Class 6A1, 5.500%, 09/25/19	3,281
	777		Series 2004-10, Class 1A1, 4.500%, 09/25/19	774
			MASTR Asset Securitization Trust,
	424		Series 2003-2, Class 2A1, 4.500%, 03/25/18	419
	344		Series 2003-3, Class 4A1, 5.000%, 04/25/18	353
	656		Series 2003-4, Class 3A2, 5.000%, 05/25/18	655
	575		Series 2003-12, Class 30PO, PO, 12/25/33	326
	373		Series 2004-1, Class 30PO, PO, 02/25/34	211
	461		Series 2004-4, Class 3A1, 4.500%, 04/25/19	472
	290		Series 2004-6, Class 15PO, PO, 05/25/19	225
	845		Series 2004-8, Class 1A1, 4.750%, 08/25/19	859
	294		Series 2004-8, Class PO, PO, 08/25/19	230
	117		Series 2004-10, Class 5A1, VAR, 0.743%, 11/25/34	112
	1,000		Series 2006-2, Class 1A30, 6.000%, 06/25/36	759
	4,680		MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.693%, 05/25/35 (e)	3,793
	5,840		MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)	3,504
	123		Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20	137
	965		MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.663%, 02/25/35	718
			Nomura Asset Acceptance Corp.,
	838		Series 2003-A1, Class A1, 5.500%, 05/25/33	855
	331		Series 2003-A1, Class A2, 6.000%, 05/25/33	340
	67		Series 2003-A1, Class A5, 7.000%, 04/25/33	69
	71		Series 2003-A1, Class A7, 5.000%, 04/25/18	71
	828		Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)	797
			Paine Webber CMO Trust,
	6		Series H, Class 4, 8.750%, 04/01/18	7
	25		Series P, Class 4, 8.500%, 08/01/19	28
	118		RAAC Series, Series 2005-SP1, Class 2A10, 5.250%, 09/25/34	118
			RBSSP Resecuritization Trust,
	2,438		Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e)	2,475
	1,787		Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e)	1,724
	1,279		Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e)	1,268
	2,500		Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e)	2,470
			Residential Accredit Loans, Inc.,
	442		Series 2002-QS16, Class A3, IF, 15.906%, 10/25/17	435
	1,329		Series 2002-QS8, Class A5, 6.250%, 06/25/17	1,367
	4,949		Series 2003-QR19, Class CB4, 5.750%, 10/25/33	4,182
	2,391		Series 2003-QS12, Class A2A, IF, IO, 7.257%, 06/25/18	325
	728		Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18	79
	4,929		Series 2003-QS14, Class A1, 5.000%, 07/25/18	4,904
	1,472		Series 2003-QS18, Class A1, 5.000%, 09/25/18	1,479
	2,935		Series 2003-QS19, Class A1, 5.750%, 10/25/33	2,831
	979		Series 2003-QS3, Class A2, IF, 15.746%, 02/25/18	1,062
	971		Series 2003-QS3, Class A8, IF, IO, 7.257%, 02/25/18	114
	2,597		Series 2003-QS9, Class A3, IF, IO, 7.207%, 05/25/18	345
	3,432		Series 2004-QA6, Class NB2, VAR, 3.395%, 12/26/34	2,637
	688		Series 2004-QS8, Class A2, 5.000%, 06/25/34	673
	738		Series 2006-QS4, Class A7, IF, 19.867%, 04/25/36	727
			Residential Asset Securitization Trust,
	1,340		Series 2003-A13, Class A3, 5.500%, 01/25/34	1,091
	155		Series 2003-A14, Class A1, 4.750%, 02/25/19	156
	971		Series 2005-A11, Class PO, PO, 10/25/35	618
	4,878		Series 2005-A2, Class A4, IF, IO, 4.707%, 03/25/35	378
	1,723		Series 2006-A4, Class 2A5, 6.000%, 05/25/36	766
			Residential Funding Mortgage Securities I,
	26		Series 2003-S11, Class A1, 2.500%, 06/25/18	26
	345		Series 2003-S12, Class 4A5, 4.500%, 12/25/32	344
	1,130		Series 2003-S13, Class A3, 5.500%, 06/25/33	1,027
	662		Series 2003-S14, Class A4, PO, 07/25/18	630
	2,043		Series 2003-S7, Class A17, 4.000%, 05/25/33	2,027
	1,414		Series 2004-S3, Class A1, 4.750%, 03/25/19	1,441
	2,385		Series 2004-S6, Class 2A6, PO, 06/25/34	1,962
	561		Series 2004-S9, Class 2A1, 4.750%, 12/25/19	556
	1,217		Series 2005-SA4, Class 1A1, VAR, 3.744%, 09/25/35	946
	334		Series 2007-S2, Class A11, 5.750%, 02/25/37	314
	137		Residential Funding Securities LLC, Series 2003-RM2, Class AP-3, PO, 05/25/33	109
			Salomon Brothers Mortgage Securities VII, Inc.,
	811		Series 2003-HYB1, Class A, VAR, 3.690%, 09/25/33	798
	208		Series 2003-UP2, Class PO1, PO, 12/25/18	168
	5,500		Station Place Securitization Trust, Series 2009-1, Class A, VAR, 1.843%, 01/25/40 (e)	5,510
	2,826		Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.940%, 06/25/34	2,678
			Structured Asset Securities Corp.,
	96		Series 2002-10H, Class 1AP, PO, 05/25/32	69
	445		Series 2003-8, Class 1A2, 5.000%, 04/25/18	425
	506		Series 2003-31A, Class B1, VAR, 2.895%, 10/25/33	227
	2,170		Series 2003-33H, Class 1A1, 5.500%, 10/25/33	2,059
	2,509		Series 2004-20, Class 1A3, 5.250%, 11/25/34	2,498
	3,000		Series 2004-5H, Class A4, 5.540%, 12/25/33	2,902
	830		Series 2005-6, Class 4A1, 5.000%, 05/25/35	805
	508		Series 2005-6, Class 5A8, IF, 13.214%, 05/25/35	488
	1,000		Series 2005-10, Class 5A9, 5.250%, 12/25/34	806
			WaMu Mortgage Pass-Through Certificates,
	272		Series 2003-AR8, Class A, VAR, 2.847%, 08/25/33	269
	6,324		Series 2003-AR9, Class 1A6, VAR, 2.833%, 09/25/33	6,205
	822		Series 2003-AR9, Class 2A, VAR, 2.882%, 09/25/33	823
	4,277		Series 2003-S10, Class A5, 5.000%, 10/25/18	4,284
	470		Series 2003-S10, Class A6, PO, 10/25/18	433
	975		Series 2003-S11, Class 2A5, IF, 16.107%, 11/25/33	1,020
	1,314		Series 2003-S8, Class A6, 4.500%, 09/25/18	1,310
	3,176		Series 2003-S9, Class A8, 5.250%, 10/25/33	2,935
	611		Series 2003-S9, Class P, PO, 10/25/33	364
	2,549		Series 2004-AR14, Class A1, VAR, 2.740%, 01/25/35	2,496
	516		Series 2004-AR3, Class A1, VAR, 2.712%, 06/25/34	494
	295		Series 2004-AR3, Class A2, VAR, 2.712%, 06/25/34	288
	2,309		Series 2004-RS2, Class A4, 5.000%, 11/25/33	1,730
	1,703		Series 2004-S3, Class 2A3, IF, 17.895%, 07/25/34	1,745
	727		Series 2006-AR10, Class 2P, VAR, 0.000%, 09/25/36	382
	472		Series 2006-AR12, Class 2P, VAR, 0.000%, 10/25/36	248
			Washington Mutual Alternative Mortgage Pass-Through Certificates,
	16,549		Series 2005-2, Class 1A4, IF, IO, 4.707%, 04/25/35	1,472
	3,955		Series 2005-2, Class 2A3, IF, IO, 4.657%, 04/25/35	401
	4,212		Series 2005-3, Class CX, IO, 5.500%, 05/25/35	625
	4,281		Series 2005-4, Class CB7, 5.500%, 06/25/35	3,276
	4,112		Series 2005-4, Class CX, IO, 5.500%, 06/25/35	595
	1,438		Series 2005-6, Class 2A4, 5.500%, 08/25/35	1,170
	5,094		Series 2005-6, Class 2A9, 5.500%, 08/25/35	2,390
	117		Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2002-MS12, Class A, 6.500%, 05/25/32	120
			Wells Fargo Mortgage Backed Securities Trust,
	572		Series 2002-18, Class 2A5, 6.000%, 12/25/32	574
	1,072		Series 2003-1, Class 1A1, 4.500%, 02/25/18	1,043
	386		Series 2003-15, Class APO, PO, 12/25/18	304
	1,143		Series 2003-16, Class 2A3, 4.500%, 12/25/18	1,139
	478		Series 2005-13, Class APO, PO, 11/25/20	350
	1,183		Series 2005-16, Class APO, PO, 01/25/36	781
	1,774		Series 2006-2, Class APO, PO, 03/25/36	1,045
	1,187		Series 2006-4, Class 1APO, PO, 04/25/36	761
			Wells Fargo Mortgage-Backed Securities Trust,
	783		Series 2003-8, Class A9, 4.500%, 08/25/18	789
	2,260		Series 2003-11, Class 1A4, 4.750%, 10/25/18	2,286
	595		Series 2003-11, Class 1APO, PO, 10/25/18	473
	1,490		Series 2003-13, Class A7, 4.500%, 11/25/18	1,501
	1,978		Series 2003-15, Class 1A1, 4.750%, 12/25/18	2,026
	1,725		Series 2003-16, Class 2A1, 4.500%, 12/25/18	1,748
	1,249		Series 2003-K, Class 1A1, VAR, 4.472%, 11/25/33	1,268
	2,362		Series 2003-K, Class 1A2, VAR, 4.472%, 11/25/33	2,409
	579		Series 2004-2, Class APO, PO, 01/25/19	463
	1,088		Series 2004-7, Class 2A1, 4.500%, 07/25/19	1,108
	1,060		Series 2004-7, Class 2A2, 5.000%, 07/25/19	1,100
	2,193		Series 2004-BB, Class A4, VAR, 2.902%, 01/25/35	2,184
	1,421		Series 2004-EE, Class 2A1, VAR, 3.050%, 12/25/34	1,417
	1,519		Series 2004-EE, Class 3A1, VAR, 3.596%, 12/25/34	1,531
	2,907		Series 2004-P, Class 2A1, VAR, 3.060%, 09/25/34	2,848
	1,456		Series 2004-V, Class 1A1, VAR, 3.143%, 10/25/34	1,481
	803		Series 2005-AR16, Class 2A1, VAR, 2.995%, 10/25/35	729
	752		Series 2005-AR8, Class 2A1, VAR, 3.098%, 06/25/35	745
	2,500		Series 2007-7, Class A7, 6.000%, 06/25/37	2,073
	831		Series 2007-11, Class A14, 6.000%, 08/25/37	671
				401,431
			Total Collateralized Mortgage Obligations (Cost $1,244,912)	1,298,020
Commercial Mortgage-Backed Securities — 1.5%
			Banc of America Commercial Mortgage, Inc.,
	400		Series 2005-3, Class A4, 4.668%, 07/10/43	402
	4,421		Series 2005-6, Class ASB, VAR, 5.178%, 09/10/47	4,658
	265		Series 2006-1, Class A4, VAR, 5.372%, 09/10/45	270
	2,250		Series 2006-4, Class A4, 5.634%, 07/10/46	2,275
			Bear Stearns Commercial Mortgage Securities,
	76		Series 2002-PBW1, Class A1, 3.970%, 11/11/35	77
	2,183		Series 2005-PWR9, Class AAB, 4.804%, 09/11/42	2,269
	3,148		Series 2006-PW11, Class A4, VAR, 5.456%, 03/11/39	3,257
	1,361		Series 2006-PW14, Class A1, 5.044%, 12/11/38	1,388
	1,291		Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.729%, 03/15/49	1,313
	1,100		Commercial Mortgage Pass Through Certificates, Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43	1,133
	4,025		GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, 5.238%, 11/10/45	4,119
			GS Mortgage Securities Corp. II,
	770		Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38	766
	1,000		Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e)	910
	1,000		LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31	1,015
			Merrill Lynch Mortgage Trust,
	3,105		Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44	3,220
	3,341		Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43	3,444
	3,207		Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4, VAR, 5.416%, 02/12/39	3,280
			Morgan Stanley Capital I,
	1,040		Series 2006-IQ12, Class A1, 5.257%, 12/15/43	1,059
	671		Series 2006-T23, Class A1, 5.682%, 08/12/41	686
	5,545		TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.071%, 08/15/39	5,975
	3,798		Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A2, 4.039%, 10/15/41	3,818
			Total Commercial Mortgage-Backed Securities (Cost $42,078)	45,334
Corporate Bonds — 16.5%
Consumer Discretionary — 1.0%
			Automobiles — 0.0% (g)
	1,000		Daimler Finance North America LLC, 6.500%, 11/15/13	1,113
			Hotels, Restaurants & Leisure — 0.0% (g)
	400		McDonald's Corp., 4.300%, 03/01/13	428
			Media — 0.8%
			CBS Corp.,
	252		5.750%, 04/15/20	258
	600		7.875%, 07/30/30	658
	250		Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22	336
	624		Comcast Cable Communications LLC, 7.125%, 06/15/13	703
	2,790		Comcast Cable Holdings LLC, 9.800%, 02/01/12	3,131
			Comcast Corp.,
	1,000		5.300%, 01/15/14	1,091
	1,484		5.500%, 03/15/11	1,533
	1,845		5.900%, 03/15/16	2,034
	740		Comcast Holdings Corp., 10.625%, 07/15/12	864
			Cox Communications, Inc.,
	505		5.450%, 12/15/14	552
	728		7.750%, 11/01/10	747
	450		COX Enterprises, Inc., 7.375%, 07/15/27 (e)	501
	1,177		Historic TW, Inc., 9.150%, 02/01/23	1,542
			News America Holdings, Inc.,
	500		8.000%, 10/17/16	605
	355		8.875%, 04/26/23	465
			News America, Inc.,
	250		6.900%, 08/15/39	278
	1,000		7.300%, 04/30/28	1,096
			Thomson Reuters Corp., (Canada),
	315		4.700%, 10/15/19	323
	493		5.950%, 07/15/13	547
			Time Warner Cable, Inc.,
	2,127		5.850%, 05/01/17	2,311
	800		8.250%, 04/01/19	974
			Time Warner Entertainment Co. LP,
	120		8.375%, 03/15/23	150
	600		8.375%, 07/15/33	728
	872		10.150%, 05/01/12	998
			Time Warner, Inc.,
	150		6.200%, 03/15/40	151
	171		7.700%, 05/01/32	198
	995		Viacom, Inc., 6.250%, 04/30/16	1,117
				23,891
			Multiline Retail — 0.1%
	275		Kohl's Corp., 6.250%, 12/15/17	312
			Target Corp.,
	200		6.000%, 01/15/18	231
	800		7.000%, 01/15/38	953
				1,496
			Specialty Retail — 0.1%
	1,625		Home Depot, Inc., 5.400%, 03/01/16	1,768
	750		Lowe's Cos., Inc., 7.110%, 05/15/37	891
	590		Staples, Inc., 9.750%, 01/15/14	722
				3,381
			Total Consumer Discretionary	30,309
Consumer Staples — 0.7%
			Beverages — 0.2%
			Anheuser-Busch Cos., Inc.,
	600		5.500%, 01/15/18	642
	905		5.750%, 04/01/36	888
	215		Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19 (e)	255
			Coca-Cola Co. (The),
	500		3.625%, 03/15/14	529
	410		4.875%, 03/15/19	443
	300		Coca-Cola Enterprises, Inc., 8.500%, 02/01/12	335
	510		Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20	521
			Diageo Finance B.V., (Netherlands),
	800		5.300%, 10/28/15	886
	500		5.500%, 04/01/13	550
	890		FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e)	966
	252		PepsiCo, Inc., 7.900%, 11/01/18	323
	250		SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e)	289
				6,627
			Food & Staples Retailing — 0.1%
	850		Kroger Co. (The), 7.500%, 01/15/14	984
			Wal-Mart Stores, Inc.,
	420		4.550%, 05/01/13	453
	752		5.250%, 09/01/35	745
	215		6.200%, 04/15/38	240
	350		7.550%, 02/15/30	447
				2,869
			Food Products — 0.3%
			Bunge Ltd. Finance Corp.,
	165		5.875%, 05/15/13	177
	875		8.500%, 06/15/19	1,019
	191		Bunge N.A. Finance LP, 5.900%, 04/01/17	201
			Cargill, Inc.,
	400		5.200%, 01/22/13 (e)	429
	100		6.375%, 06/01/12 (e)	108
	850		7.350%, 03/06/19 (e)	1,026
	232		General Mills, Inc., 6.000%, 02/15/12	250
			Kellogg Co.,
	462		4.250%, 03/06/13	493
	1,200		5.125%, 12/03/12	1,301
			Kraft Foods, Inc.,
	1,450		6.125%, 02/01/18	1,600
	935		6.500%, 08/11/17	1,059
	345		6.750%, 02/19/14	394
	600		6.875%, 02/01/38	666
	500		6.875%, 01/26/39	556
	350		7.000%, 08/11/37	394
				9,673
			Household Products — 0.1%
	66		Kimberly-Clark Corp., 7.500%, 11/01/18	83
	1,025		Procter & Gamble - ESOP, 9.360%, 01/01/21	1,323
	110		Procter & Gamble Co., 5.500%, 02/01/34	116
				1,522
			Total Consumer Staples	20,691
Energy — 0.7%
			Energy Equipment & Services — 0.0% (g)
	1,555		Halliburton Co., 7.450%, 09/15/39	1,823
			Oil, Gas & Consumable Fuels — 0.7%
			Anadarko Petroleum Corp.,
	125		5.750%, 06/15/14	132
	2,000		7.625%, 03/15/14	2,226
	265		8.700%, 03/15/19	311
	1,000		Canadian Natural Resources Ltd., (Canada), 6.750%, 02/01/39	1,094
	1,500		Chevron Corp., 4.950%, 03/03/19	1,627
	405		Conoco Funding Co., (Canada), 7.250%, 10/15/31	493
			ConocoPhillips,
	200		5.200%, 05/15/18	217
	450		5.750%, 02/01/19	499
	150		6.000%, 01/15/20	171
	200		6.500%, 02/01/39	230
	105		Devon Financing Corp. ULC, (Canada), 6.875%, 09/30/11	112
	645		EnCana Corp., (Canada), 6.500%, 05/15/19	718
	200		Kerr-McGee Corp., 6.950%, 07/01/24	211
	410		Marathon Oil Canada Corp., (Canada), 8.375%, 05/01/12	456
			Marathon Oil Corp.,
	900		5.900%, 03/15/18	969
	1,535		6.000%, 10/01/17	1,680
			Petro-Canada, (Canada),
	324		6.050%, 05/15/18	354
	1,045		6.800%, 05/15/38	1,129
			Shell International Finance B.V., (Netherlands),
	545		1.875%, 03/25/13	547
	1,000		4.300%, 09/22/19	1,009
	1,005		4.375%, 03/25/20	1,016
	1,230		6.375%, 12/15/38	1,399
	250		Suncor Energy, Inc., (Canada), 6.850%, 06/01/39	270
	125		Talisman Energy, Inc., (Canada), 7.750%, 06/01/19	151
			XTO Energy, Inc.,
	300		4.625%, 06/15/13	322
	2,000		5.750%, 12/15/13	2,236
				19,579
			Total Energy	21,402
Financials — 9.1%
			Capital Markets — 2.2%
			Bank of New York Mellon Corp. (The),
	750		4.600%, 01/15/20	765
	310		5.125%, 08/27/13	339
			BlackRock, Inc.,
	540		3.500%, 12/10/14	551
	652		5.000%, 12/10/19	677
	350		6.250%, 09/15/17	396
			Credit Suisse USA, Inc.,
	500		5.125%, 08/15/15	538
	6,022		6.125%, 11/15/11	6,387
	500		FMR LLC, 6.450%, 11/15/39 (e)	509
			Goldman Sachs Group, Inc. (The),
	1,041		4.750%, 07/15/13	1,059
	2,660		5.150%, 01/15/14	2,751
	1,032		5.250%, 10/15/13	1,074
	840		5.375%, 03/15/20	810
	750		5.500%, 11/15/14	774
	4,100		5.950%, 01/18/18	4,159
	305		6.250%, 09/01/17	316
	1,606		6.600%, 01/15/12	1,686
	485		6.750%, 10/01/37	454
	3,612		6.875%, 01/15/11 (c)	3,717
	825		7.500%, 02/15/19	911
			Jefferies Group, Inc.,
	1,000		6.450%, 06/08/27	924
	1,005		7.750%, 03/15/12	1,081
	350		8.500%, 07/15/19	394
			Lehman Brothers Holdings, Inc.,
	105		3.950%, 11/10/09 (d)	22
	1,246		4.800%, 03/13/14 (d)	259
	1,000		5.500%, 04/04/16 (d)	207
	1,200		5.750%, 05/17/13 (d)	249
	1,850		6.000%, 07/19/12 (d)	384
	1,670		6.625%, 01/18/12 (d)	346
	152		7.875%, 11/01/09 (d)	32
			Merrill Lynch & Co., Inc.,
	433		4.790%, 08/04/10	436
	2,215		5.450%, 07/15/14	2,283
	920		5.700%, 05/02/17	911
	292		6.050%, 08/15/12	307
	1,410		6.150%, 04/25/13	1,492
	2,066		6.400%, 08/28/17	2,115
	1,249		6.875%, 04/25/18	1,286
			Morgan Stanley,
	893		4.200%, 11/20/14	865
	2,029		4.750%, 04/01/14	2,014
	1,785		5.300%, 03/01/13	1,841
	650		5.500%, 01/26/20	615
	900		5.750%, 08/31/12	938
	1,200		6.000%, 05/13/14	1,244
	2,440		6.600%, 04/01/12	2,567
	400		6.625%, 04/01/18	411
	5,247		6.750%, 04/15/11	5,464
	370		6.750%, 10/15/13	405
	339		8.000%, 06/15/10	340
	1,150		Nomura Holdings, Inc., (Japan), 6.700%, 03/04/20	1,184
	226		Northern Trust Corp., 5.500%, 08/15/13	251
	1,347		State Street Corp., 7.650%, 06/15/10	1,350
			UBS AG, (Switzerland),
	2,300		3.875%, 01/15/15	2,289
	500		5.750%, 04/25/18	509
	425		5.875%, 12/20/17	438
				63,326
			Commercial Banks — 2.0%
	550		ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e)	553
	737		Bank of Nova Scotia, (Canada), 3.400%, 01/22/15	750
	679		Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e)	705
			Barclays Bank plc, (United Kingdom),
	2,650		2.500%, 01/23/13	2,602
	935		3.900%, 04/07/15	914
	175		5.000%, 09/22/16	173
	700		5.200%, 07/10/14	724
	1,000		6.050%, 12/04/17 (e)	976
			BB&T Corp.,
	865		3.375%, 09/25/13	885
	850		3.850%, 07/27/12	878
	750		3.950%, 04/29/16	754
	740		4.900%, 06/30/17	752
	245		6.850%, 04/30/19	279
	695		Branch Banking & Trust Co., 5.625%, 09/15/16	759
			Credit Suisse, (Switzerland),
	500		3.450%, 07/02/12	516
	942		5.000%, 05/15/13	1,002
	160		5.300%, 08/13/19	165
	970		Deutsche Bank AG, (Germany), 3.875%, 08/18/14	997
	720		Fifth Third Bancorp, 5.450%, 01/15/17	724
	2,400		KeyBank N.A., 5.500%, 09/17/12	2,527
	480		KeyCorp, 6.500%, 05/14/13	520
	2,100		Manufacturers & Traders Trust Co., 6.625%, 12/04/17	2,306
	1,845		Marshall & Ilsley Corp., 5.350%, 04/01/11	1,863
			National Australia Bank Ltd., (Australia),
	3,000		2.500%, 01/08/13 (e)	2,998
	795		3.750%, 03/02/15 (e)	801
	250		National City Bank, 5.800%, 06/07/17	267
	400		PNC Bank N.A., 6.875%, 04/01/18	450
			PNC Funding Corp.,
	1,890		5.250%, 11/15/15	2,014
	315		6.700%, 06/10/19	355
	2,400		Rabobank Nederland N.V., (Netherlands), 3.200%, 03/11/15 (e)	2,410
	625		Regions Financial Corp., 7.375%, 12/10/37	573
			SunTrust Banks, Inc.,
	2,010		5.250%, 11/05/12	2,099
	820		6.000%, 09/11/17	829
	880		6.375%, 04/01/11	910
	1,107		U.S. Bancorp, 7.500%, 06/01/26	1,177
			Wachovia Bank N.A.,
	1,000		5.600%, 03/15/16	1,053
	250		6.000%, 11/15/17	271
	1,125		6.600%, 01/15/38	1,173
	836		7.800%, 08/18/10	847
			Wachovia Corp.,
	685		4.875%, 02/15/14	718
	2,000		5.300%, 10/15/11	2,089
	4,480		5.750%, 02/01/18	4,790
			Wells Fargo & Co.,
	1,000		3.750%, 10/01/14	1,017
	2,135		5.625%, 12/11/17	2,281
			Wells Fargo Bank N.A.,
	915		4.750%, 02/09/15	953
	250		5.750%, 05/16/16	269
	2,149		7.550%, 06/21/10	2,157
			Westpac Banking Corp., (Australia),
	900		4.200%, 02/27/15	918
	2,105		4.875%, 11/19/19	2,097
				57,840
			Consumer Finance — 0.7%
			American Express Credit Corp.,
	2,140		5.875%, 05/02/13	2,325
	400		7.300%, 08/20/13	450
	1,083		American General Finance Corp., 5.375%, 10/01/12	969
	405		American Honda Finance Corp., 2.375%, 03/18/13 (e)	408
	160		Capital One Bank USA N.A., 5.750%, 09/15/10	162
			Capital One Financial Corp.,
	850		5.700%, 09/15/11	886
	1,900		6.250%, 11/15/13	2,083
	665		6.750%, 09/15/17	747
	240		7.375%, 05/23/14	273
			HSBC Finance Corp.,
	1,000		4.750%, 07/15/13	1,037
	1,748		5.000%, 06/30/15	1,808
	2,200		5.250%, 01/15/14	2,330
	512		6.375%, 10/15/11	539
	188		6.375%, 11/27/12	203
	1,665		7.000%, 05/15/12	1,797
	207		7.350%, 11/27/32	211
			John Deere Capital Corp.,
	265		4.500%, 04/03/13	285
	1,000		5.250%, 10/01/12	1,082
	1,023		SLM Corp., 5.375%, 01/15/13	1,001
	1,845		Washington Mutual Finance Corp., 6.875%, 05/15/11	1,921
				20,517
			Diversified Financial Services — 2.5%
	1,400		Associates Corp. of North America, 6.950%, 11/01/18	1,451
	2,200		BA Covered Bond Issuer, 5.500%, 06/14/12 (e)	2,343
			Bank of America Corp.,
	421		4.500%, 04/01/15	418
	300		4.900%, 05/01/13	312
	2,520		5.625%, 10/14/16	2,579
	145		5.650%, 05/01/18	146
	1,510		5.750%, 08/15/16	1,531
	1,023		7.400%, 01/15/11	1,059
	1,455		Bank of America N.A., 5.300%, 03/15/17	1,428
			BP Capital Markets plc, (United Kingdom),
	700		3.125%, 03/10/12	711
	2,122		5.250%, 11/07/13	2,283
	250		Capital One Bank USA N.A., 8.800%, 07/15/19	298
			Caterpillar Financial Services Corp.,
	800		4.850%, 12/07/12	862
	665		4.900%, 08/15/13	724
	560		5.500%, 03/15/16	625
	1,300		6.200%, 09/30/13	1,469
	305		7.050%, 10/01/18	362
	510		7.150%, 02/15/19	616
			Citigroup, Inc.,
	856		4.700%, 05/29/15	836
	222		4.750%, 05/19/15	219
	1,015		5.000%, 09/15/14	1,004
	2,025		5.125%, 05/05/14	2,039
	600		5.500%, 04/11/13	618
	605		5.500%, 10/15/14	611
	2,112		5.625%, 08/27/12	2,184
	2,150		6.000%, 08/15/17	2,172
	350		6.125%, 11/21/17	357
	510		6.375%, 08/12/14	539
	400		8.125%, 07/15/39	457
	230		8.500%, 05/22/19	270
			CME Group, Inc.,
	3,176		5.400%, 08/01/13	3,479
	100		5.750%, 02/15/14	110
	1,045		ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16	1,195
	200		Diageo Investment Corp., 9.000%, 08/15/11	216
			General Electric Capital Corp.,
	5,825		5.250%, 10/19/12	6,186
	2,500		5.400%, 02/15/17	2,611
	5,055		5.625%, 05/01/18	5,248
	1,000		5.650%, 06/09/14	1,089
	10,450		5.875%, 02/15/12	11,096
	310		5.875%, 01/14/38	290
	6,912		6.000%, 06/15/12	7,410
	2,094		6.750%, 03/15/32	2,174
	277		International Lease Finance Corp., 5.875%, 05/01/13	245
			National Rural Utilities Cooperative Finance Corp.,
	225		2.625%, 09/16/12	230
	635		4.750%, 03/01/14	687
	200		10.375%, 11/01/18	272
	640		Textron Financial Corp., 5.400%, 04/28/13	662
				73,723
			Insurance — 1.4%
	512		Allstate Life Global Funding Trusts, 5.375%, 04/30/13	558
			American International Group, Inc.,
	1,499		4.250%, 05/15/13	1,386
	2,960		5.450%, 05/18/17	2,472
	2,185		ASIF Global Financing XIX, 4.900%, 01/17/13 (e)	2,054
			Berkshire Hathaway Finance Corp.,
	1,250		4.000%, 04/15/12	1,313
	1,000		4.600%, 05/15/13	1,074
	605		5.000%, 08/15/13	656
	1,205		5.400%, 05/15/18	1,314
	100		Chubb Corp. (The), 5.750%, 05/15/18	110
	3,120		Genworth Global Funding Trusts, 5.200%, 10/08/10	3,155
			Jackson National Life Global Funding,
	820		5.375%, 05/08/13 (e)	878
	1,695		6.125%, 05/30/12 (e)	1,809
	1,017		John Hancock Global Funding II, 7.900%, 07/02/10 (e)	1,023
			MassMutual Global Funding II,
	338		2.875%, 04/21/14 (e)	342
	500		3.625%, 07/16/12 (e)	517
	430		MetLife, Inc., 6.817%, 08/15/18	470
			Metropolitan Life Global Funding I,
	1,250		2.875%, 09/17/12 (e)	1,277
	300		5.125%, 04/10/13 (e)	324
	1,093		5.200%, 09/18/13 (e)	1,176
	250		Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e)	264
	467		Nationwide Financial Services, 6.250%, 11/15/11	492
			New York Life Global Funding,
	725		4.650%, 05/09/13 (e)	774
	2,637		5.375%, 09/15/13 (e)	2,870
			Pacific Life Global Funding,
	650		5.000%, 05/15/17 (e)	656
	410		5.150%, 04/15/13 (e)	431
	2,100		Pricoa Global Funding I, 5.450%, 06/11/14 (e)	2,264
			Principal Life Global Funding I,
	500		5.050%, 03/15/15 (e)	509
	4,549		6.250%, 02/15/12 (e)	4,860
	505		Principal Life Income Funding Trusts, 5.150%, 06/17/11	519
	2,365		Protective Life Secured Trusts, 4.000%, 04/01/11	2,409
	210		Travelers Cos, Inc. (The), 5.800%, 05/15/18	230
	1,120		Travelers Life & Annuity Global Funding I, 5.125%, 08/15/14 (e)	1,204
	300		Travelers Property Casualty Corp., 5.000%, 03/15/13	322
				39,712
			Real Estate Investment Trusts (REITs) — 0.2%
	1,325		HRPT Properties Trust, 6.650%, 01/15/18	1,366
			Simon Property Group LP,
	32		4.200%, 02/01/15	33
	705		5.625%, 08/15/14	763
	665		6.100%, 05/01/16	729
	320		6.125%, 05/30/18	343
	330		6.750%, 05/15/14	368
	1,236		WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e)	1,367
				4,969
			Thrifts & Mortgage Finance — 0.1%
	2,865		Countrywide Home Loans, Inc., 4.000%, 03/22/11	2,917
			Total Financials	263,004
Health Care — 0.3%
			Biotechnology — 0.1%
			Amgen, Inc.,
	237		4.500%, 03/15/20	246
	570		5.700%, 02/01/19	644
	720		5.750%, 03/15/40	744
				1,634
			Health Care Equipment & Supplies — 0.0% (g)
			Baxter International, Inc.,
	380		4.000%, 03/01/14	404
	215		4.625%, 03/15/15	235
	100		Becton Dickinson and Co., 5.000%, 05/15/19	108
				747
			Health Care Providers & Services — 0.0% (g)
			WellPoint, Inc.,
	168		5.875%, 06/15/17	183
	113		7.000%, 02/15/19	132
				315
			Pharmaceuticals — 0.2%
	250		Abbott Laboratories, 6.150%, 11/30/37	276
	645		AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14	721
	450		Eli Lilly & Co., 3.550%, 03/06/12	471
			GlaxoSmithKline Capital, Inc.,
	450		4.375%, 04/15/14	485
	750		4.850%, 05/15/13	819
	530		6.375%, 05/15/38	601
	650		Merck & Co., Inc., 6.000%, 09/15/17	747
	2,000		Pfizer, Inc., 4.450%, 03/15/12	2,110
				6,230
			Total Health Care	8,926
Industrials — 0.5%
			Aerospace & Defense — 0.1%
	300		Honeywell International, Inc., 5.300%, 03/01/18	331
	1,144		Lockheed Martin Corp., 5.720%, 06/01/40 (e)	1,195
			Northrop Grumman Systems Corp.,
	1,059		7.125%, 02/15/11	1,102
	300		7.750%, 03/01/16	366
	290		Systems 2001 AT LLC, (Cayman Islands), 7.156%, 12/15/11 (e)	302
				3,296
			Airlines — 0.0% (g)
	282		Continental Airlines, 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20	284
	300		Continental Airlines, 2002-2 Class A-2 Pass-Through Trust, 7.487%, 10/02/10	303
				587
			Building Products — 0.0% (g)
	205		Masco Corp., 5.850%, 03/15/17	199
			Commercial Services & Supplies — 0.1%
	725		Allied Waste North America, Inc., 6.875%, 06/01/17	790
	455		Waste Management, Inc., 7.375%, 03/11/19	544
				1,334
			Industrial Conglomerates — 0.0% (g)
	300		Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)	334
	500		Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19	637
				971
			Machinery — 0.0% (g)
	500		Eaton Corp., 5.600%, 05/15/18	548
	290		Ingersoll-Rand Co., (Bermuda), 6.391%, 11/15/27	309
	125		PACCAR, Inc., 6.375%, 02/15/12	135
	135		Parker Hannifin Corp., 5.500%, 05/15/18	149
				1,141
			Road & Rail — 0.3%
			Burlington Northern Santa Fe LLC,
	500		5.650%, 05/01/17	547
	250		5.750%, 03/15/18	275
	250		6.700%, 08/01/28	275
	200		6.750%, 07/15/11	212
	450		7.000%, 02/01/14	519
	999		7.125%, 12/15/10	1,032
			CSX Corp.,
	145		6.250%, 04/01/15	165
	250		6.300%, 03/15/12	268
	205		7.375%, 02/01/19	246
	350		Erac USA Finance Co., 6.375%, 10/15/17 (e)	395
			Norfolk Southern Corp.,
	505		6.750%, 02/15/11	523
	355		7.700%, 05/15/17	432
			Union Pacific Corp.,
	235		4.875%, 01/15/15	251
	1,100		5.650%, 05/01/17	1,204
	600		5.700%, 08/15/18	657
	340		United Parcel Service of America, Inc., 8.375%, 04/01/20	454
				7,455
			Total Industrials	14,983
Information Technology — 0.6%
			Communications Equipment — 0.1%
			Cisco Systems, Inc.,
	878		5.500%, 02/22/16	996
	755		5.900%, 02/15/39	801
				1,797
			Computers & Peripherals — 0.3%
	300		Dell, Inc., 7.100%, 04/15/28	352
			Hewlett-Packard Co.,
	275		2.950%, 08/15/12	285
	600		4.750%, 06/02/14	656
	1,345		5.400%, 03/01/17	1,490
	1,230		6.125%, 03/01/14	1,400
			International Business Machines Corp.,
	2,600		5.700%, 09/14/17	2,962
	690		6.220%, 08/01/27	772
	1,075		7.625%, 10/15/18	1,351
				9,268
			Electronic Equipment, Instruments & Components — 0.1%
	1,080		Arrow Electronics, Inc., 6.875%, 07/01/13	1,191
			IT Services — 0.0% (g)
	1,020		Electronic Data Systems LLC, 6.000%, 08/01/13	1,146
			Office Electronics — 0.0% (g)
	100		Xerox Corp., 8.250%, 05/15/14	117
			Software — 0.1%
	160		Intuit, Inc., 5.750%, 03/15/17	175
			Oracle Corp.,
	500		5.000%, 07/08/19	538
	1,412		5.250%, 01/15/16	1,576
	698		5.750%, 04/15/18	788
	200		6.500%, 04/15/38	230
				3,307
			Total Information Technology	16,826
Materials — 0.5%
			Chemicals — 0.4%
	249		Air Products & Chemicals, Inc., 4.150%, 02/01/13	263
	1,170		Dow Capital B.V., (Netherlands), 8.500%, 06/08/10	1,171
			Dow Chemical Co. (The),
	1,250		6.000%, 10/01/12	1,347
	402		6.125%, 02/01/11	414
	370		7.375%, 11/01/29	397
	1,610		EI Du Pont de Nemours & Co., 6.000%, 07/15/18	1,843
	1,430		Monsanto Co., 7.375%, 08/15/12	1,605
	875		Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13	942
			PPG Industries, Inc.,
	415		5.750%, 03/15/13	452
	350		9.000%, 05/01/21	438
			Praxair, Inc.,
	662		4.625%, 03/30/15	718
	885		5.250%, 11/15/14	984
				10,574
			Metals & Mining — 0.1%
			BHP Billiton Finance USA Ltd., (Australia),
	410		5.400%, 03/29/17	447
	400		5.500%, 04/01/14	445
	550		6.500%, 04/01/19	640
	1,322		Rio Tinto Finance USA Ltd., (Australia), 5.875%, 07/15/13	1,443
				2,975
			Total Materials	13,549
Telecommunication Services — 1.4%
			Diversified Telecommunication Services — 1.3%
	150		AT&T Corp., 8.000%, 11/15/31	185
			AT&T, Inc.,
	3,417		4.950%, 01/15/13	3,678
	386		5.100%, 09/15/14	423
	250		5.500%, 02/01/18	271
	2,500		6.300%, 01/15/38	2,603
	478		BellSouth Corp., 5.200%, 09/15/14	525
			BellSouth Telecommunications, Inc.,
	1,250		6.300%, 12/15/15	1,325
	300		7.000%, 10/01/25	331
			British Telecommunications plc, (United Kingdom),
	2,500		5.150%, 01/15/13	2,609
	3,170		9.125%, 12/15/10	3,302
			Deutsche Telekom International Finance B.V., (Netherlands),
	1,150		4.875%, 07/08/14	1,220
	400		6.000%, 07/08/19 (c)	431
	105		8.750%, 06/15/30	133
	1,889		France Telecom S.A., (France), 7.750%, 03/01/11	1,981
			Telecom Italia Capital S.A., (Luxembourg),
	1,400		4.950%, 09/30/14	1,388
	1,616		5.250%, 11/15/13	1,681
	750		6.999%, 06/04/18	790
			Telefonica Emisiones S.A.U., (Spain),
	880		5.855%, 02/04/13	942
	515		5.877%, 07/15/19	531
	150		Telefonica Europe B.V., (Netherlands), 7.750%, 09/15/10	153
	736		TELUS Corp., (Canada), 8.000%, 06/01/11	785
			Verizon Communications, Inc.,
	650		5.500%, 04/01/17	705
	443		5.550%, 02/15/16	489
	100		5.850%, 09/15/35	99
	1,250		7.350%, 04/01/39	1,485
	1,312		Verizon Florida LLC, 6.125%, 01/15/13	1,426
	3,107		Verizon Global Funding Corp., 7.250%, 12/01/10	3,203
	554		Verizon Maryland, Inc., 6.125%, 03/01/12	591
	1,444		Verizon Pennsylvania, Inc., 8.350%, 12/15/30	1,663
	962		Verizon Virginia, Inc., 4.625%, 03/15/13	1,017
				35,965
			Wireless Telecommunication Services — 0.1%
	500		Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14	553
	1,937		New Cingular Wireless Services, Inc., 7.875%, 03/01/11	2,033
	1,130		Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15	1,204
				3,790
			Total Telecommunication Services	39,755
Utilities — 1.7%
			Electric Utilities — 1.2%
			Alabama Power Co.,
	272		4.700%, 12/01/10	277
	110		6.125%, 05/15/38	119
			Carolina Power & Light Co.,
	888		5.125%, 09/15/13	970
	305		5.300%, 01/15/19	330
	1,421		CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14	1,579
	1,005		Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17	1,217
	310		Columbus Southern Power Co., 6.050%, 05/01/18	347
	185		Connecticut Light & Power Co. (The), 5.650%, 05/01/18	204
			Duke Energy Carolinas LLC,
	650		5.100%, 04/15/18	695
	745		5.625%, 11/30/12	817
	728		6.250%, 01/15/12	787
	1,310		Duke Energy Indiana, Inc., 6.350%, 08/15/38	1,505
	800		Enel Finance International S.A., (Luxembourg), 5.125%, 10/07/19 (e)	784
			Florida Power & Light Co.,
	410		5.950%, 10/01/33	436
	335		5.950%, 02/01/38	361
			Florida Power Corp.,
	280		5.650%, 06/15/18	310
	220		6.400%, 06/15/38	251
			FPL Group Capital, Inc.,
	255		5.350%, 06/15/13	277
	670		6.000%, 03/01/19	739
	265		7.875%, 12/15/15	323
			Georgia Power Co.,
	200		5.950%, 02/01/39	211
	225		6.000%, 11/01/13	253
	100		Indiana Michigan Power Co., 7.000%, 03/15/19	116
	100		Jersey Central Power & Light Co., 7.350%, 02/01/19	118
	129		Kiowa Power Partners LLC, 4.811%, 12/30/13 (e)	131
	105		MidAmerican Energy Co., 5.300%, 03/15/18	114
	510		Nevada Power Co., 6.500%, 08/01/18	575
	300		Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)	306
			Nisource Finance Corp.,
	250		7.875%, 11/15/10	257
	660		10.750%, 03/15/16	846
	500		Northern States Power Co., 6.250%, 06/01/36	565
	320		Ohio Power Co., 5.750%, 09/01/13	353
			Oncor Electric Delivery Co. LLC,
	200		5.950%, 09/01/13	219
	540		6.800%, 09/01/18	623
			Pacific Gas & Electric Co.,
	780		5.625%, 11/30/17	856
	160		8.250%, 10/15/18	198
			PacifiCorp,
	175		5.500%, 01/15/19	193
	150		5.650%, 07/15/18	166
	100		Peco Energy Co., 5.350%, 03/01/18	110
	1,050		Potomac Electric Power Co., 6.500%, 11/15/37	1,202
	300		Progress Energy, Inc., 6.050%, 03/15/14	334
	772		PSEG Power LLC, 5.125%, 04/15/20 (e)	791
	125		Public Service Co. of Colorado, 5.800%, 08/01/18	141
	2,450		Public Service Co. of Oklahoma, 6.625%, 11/15/37	2,718
			Public Service Electric & Gas Co.,
	205		5.300%, 05/01/18	219
	277		5.375%, 11/01/39	277
	2,000		6.330%, 11/01/13	2,267
			Southern California Edison Co.,
	160		4.150%, 09/15/14	170
	765		5.500%, 08/15/18	844
	391		5.750%, 03/15/14	439
	200		5.950%, 02/01/38	217
	1,140		6.050%, 03/15/39	1,252
	250		Southern Co., 4.150%, 05/15/14	263
	200		Southwestern Public Service Co., 8.750%, 12/01/18	255
			Spectra Energy Capital LLC,
	1,605		5.500%, 03/01/14	1,701
	500		6.200%, 04/15/18	542
	400		8.000%, 10/01/19	480
			Virginia Electric and Power Co.,
	1,005		5.100%, 11/30/12	1,089
	1,320		5.400%, 04/30/18	1,421
	615		5.950%, 09/15/17	692
				35,852
			Gas Utilities — 0.2%
	345		AGL Capital Corp., 4.450%, 04/15/13	361
			Atmos Energy Corp.,
	105		5.125%, 01/15/13	113
	250		8.500%, 03/15/19	313
	325		CenterPoint Energy Resources Corp., 6.125%, 11/01/17	355
	375		Schlumberger Technology Corp., 6.500%, 04/15/12 (e)	409
			TransCanada Pipelines Ltd., (Canada),
	975		4.000%, 06/15/13	1,018
	550		6.200%, 10/15/37	552
	250		6.500%, 08/15/18	282
	1,100		7.250%, 08/15/38	1,276
				4,679
			Multi-Utilities — 0.3%
			Dominion Resources, Inc.,
	782		6.250%, 06/30/12	853
	300		7.000%, 06/15/38	349
	600		8.875%, 01/15/19	768
	1,005		KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12	1,158
	375		PG&E Corp., 5.750%, 04/01/14	414
			Sempra Energy,
	1,145		6.150%, 06/15/18	1,283
	150		6.500%, 06/01/16	171
	850		8.900%, 11/15/13	1,012
	395		9.800%, 02/15/19	517
			Wisconsin Electric Power Co.,
	450		6.000%, 04/01/14	507
	265		6.250%, 12/01/15	307
				7,339
			Water Utilities — 0.0% (g)
	1,100		American Water Capital Corp., 6.085%, 10/15/17	1,188
			Total Utilities	49,058
			Total Corporate Bonds (Cost $458,677)	478,503
Foreign Government Securities — 0.3%
	600		Province of Manitoba, (Canada), 2.125%, 04/22/13	610
	2,200		Province of Ontario, (Canada), 2.950%, 02/05/15	2,230
	377		Province of Quebec, (Canada), SUB, 7.365%, 03/06/26	447
			United Mexican States, (Mexico),
	1,432		6.375%, 01/16/13	1,564
	856		6.625%, 03/03/15 (c)	963
	3,328		7.500%, 04/08/33	3,977
			Total Foreign Government Securities (Cost $9,337)	9,791
Mortgage Pass-Through Securities — 6.8%
			Federal Home Loan Mortgage Corp.,
	85		ARM, 2.575%, 07/01/19	89
	1,068		ARM, 2.605%, 12/01/33	1,106
	1,800		ARM, 2.649%, 04/01/34	1,855
	69		ARM, 2.855%, 04/01/30	72
	938		ARM, 2.950%, 12/01/34	981
	800		ARM, 4.335%, 11/01/36	837
	741		ARM, 5.076%, 02/01/36	774
	802		ARM, 5.547%, 05/01/36	850
	1,213		ARM, 5.838%, 10/01/36	1,285
	511		ARM, 5.926%, 02/01/37	542
	728		ARM, 6.183%, 12/01/36	772
	2,355		ARM, 6.195%, 03/01/37	2,483
	480		ARM, 6.355%, 10/01/36	508
	975		ARM, 6.672%, 10/01/36	1,028
			Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	5,687		4.000%, 06/01/13 - 05/01/19	5,877
	435		4.500%, 08/01/18	461
	1,580		5.000%, 12/01/18	1,697
	112		5.500%, 06/01/17	120
	157		6.000%, 04/01/18	171
	1,518		6.500%, 08/01/16 - 02/01/19	1,639
	387		7.000%, 01/01/17 - 04/01/17	410
	56		7.500%, 04/01/11 - 11/01/15	59
	38		8.500%, 11/01/15	44
			Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	362		6.000%, 12/01/22	398
	925		6.500%, 11/01/22	1,022
	1,733		Federal Home Loan Mortgage Corp. Gold Pools, 30 Year FHA/VA, 10.000%, 10/01/30	2,042
			Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	5,942		4.000%, 10/01/33 - 09/01/35	5,896
	2,289		5.000%, 09/01/34	2,417
	5,400		5.500%, 10/01/33 - 07/01/35	5,789
	891		6.000%, 12/01/33 - 01/01/34	973
	6,151		6.500%, 11/01/34 - 11/01/36	6,765
	1,325		7.000%, 07/01/32 - 10/01/36	1,467
			Federal Home Loan Mortgage Corp. Gold Pools, Other,
	1,063		5.500%, 10/01/33 - 01/01/34	1,118
	229		7.000%, 07/01/29	247
			Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	15		12.000%, 08/01/15 - 07/01/19	17
			Federal National Mortgage Association,
	279		ARM, 1.688%, 09/01/34	285
	1,655		ARM, 1.979%, 01/01/33	1,686
	767		ARM, 1.992%, 11/01/34	788
	2,552		ARM, 2.026%, 01/01/35	2,622
	1,805		ARM, 2.238%, 05/01/35	1,843
	1,514		ARM, 2.350%, 01/01/35	1,546
	141		ARM, 2.387%, 04/01/34	146
	1,178		ARM, 2.416%, 01/01/36	1,219
	28		ARM, 2.419%, 03/01/19	29
	522		ARM, 2.474%, 05/01/35	534
	507		ARM, 2.506%, 07/01/34	526
	1,033		ARM, 2.585%, 05/01/34	1,063
	450		ARM, 2.658%, 02/01/35	467
	3,864		ARM, 2.698%, 04/01/35	4,016
	1,446		ARM, 2.736%, 07/01/33	1,498
	218		ARM, 2.736%, 07/01/33	225
	412		ARM, 2.805%, 11/01/33	430
	1,173		ARM, 2.843%, 06/01/36	1,214
	13		ARM, 2.884%, 01/01/19	14
	1,278		ARM, 2.933%, 11/01/34	1,318
	2,052		ARM, 3.024%, 06/01/35	2,121
	1,315		ARM, 3.073%, 10/01/34	1,360
	1,081		ARM, 3.087%, 10/01/34	1,118
	372		ARM, 3.099%, 01/01/34	385
	402		ARM, 3.142%, 09/01/35	416
	723		ARM, 3.197%, 09/01/34	749
	809		ARM, 3.234%, 08/01/34	837
	160		ARM, 3.371%, 09/01/27	162
	317		ARM, 3.760%, 02/01/34	328
	1,086		ARM, 3.855%, 04/01/35	1,120
	156		ARM, 4.011%, 03/01/29	160
	175		ARM, 4.051%, 01/01/36	181
	1,773		ARM, 4.052%, 08/01/34	1,835
	1,140		ARM, 4.090%, 09/01/33	1,179
	698		ARM, 4.214%, 04/01/34	725
	1,923		ARM, 4.935%, 07/01/33	2,021
	787		ARM, 5.139%, 10/01/34	826
	3,027		ARM, 5.215%, 09/01/35	3,160
	2,344		ARM, 5.297%, 01/01/38	2,489
	1,949		ARM, 5.686%, 01/01/23	2,069
	1,432		ARM, 5.803%, 10/01/36	1,515
	1,345		ARM, 5.979%, 07/01/36	1,425
			Federal National Mortgage Association, 15 Year, Single Family,
	2,362		3.500%, 09/01/18 - 07/01/19	2,375
	26,110		4.000%, 07/01/18 - 12/01/18	27,391
	14,629		4.500%, 06/01/18 - 12/01/19	15,530
	1,763		5.000%, 12/01/16 - 10/01/19	1,891
	3,548		5.500%, 03/01/20 - 07/01/20	3,829
	5,372		6.000%, 06/01/16 - 01/01/24	5,809
	573		6.500%, 03/01/17 - 08/01/20	621
	732		7.000%, 03/01/17 - 09/01/17	797
	65		7.500%, 03/01/17	71
	69		8.000%, 11/01/12 - 11/01/15	73
			Federal National Mortgage Association, 20 Year, Single Family,
	680		4.500%, 04/01/24	714
	64		6.000%, 02/01/14	68
	3,310		6.500%, 05/01/22 - 04/01/25	3,685
			Federal National Mortgage Association, 30 Year FHA/VA,
	139		6.000%, 09/01/33	152
	280		6.500%, 03/01/29	311
	56		7.000%, 02/01/33	63
	84		8.000%, 06/01/28	97
	83		9.000%, 05/01/18 - 12/01/25	93
			Federal National Mortgage Association, 30 Year, Single Family,
	2,068		4.500%, 11/01/33 - 02/01/35	2,137
	4,909		5.000%, 07/01/33 - 09/01/35	5,172
	2,698		5.500%, 12/01/33 - 03/01/34	2,928
	2,717		6.000%, 12/01/28 - 09/01/33	2,980
	3,300		6.500%, 11/01/29 - 08/01/31	3,632
	299		7.000%, 04/01/17 - 08/01/32	335
	1,679		7.500%, 08/01/36 - 11/01/37	1,842
	1,112		8.000%, 03/01/27 - 11/01/28	1,283
	3		9.000%, 04/01/26	3
	33		9.500%, 07/01/28	38
	22		12.500%, 01/01/16	23
			Federal National Mortgage Association, Other,
	3,526		4.000%, 09/01/13 - 11/01/33	3,525
	1,243		4.500%, 11/01/14	1,292
	1,014		5.500%, 03/01/17 - 09/01/33	1,067
	1,548		6.500%, 01/01/36 - 07/01/36	1,686
	181		7.000%, 10/01/46	198
	177		10.890%, 04/15/19	199
			Government National Mortgage Association II, 30 Year, Single Family,
	819		4.500%, 08/20/33	849
	110		7.500%, 02/20/28 - 09/20/28	125
	167		8.000%, 12/20/25 - 09/20/28	193
	53		8.500%, 05/20/25	61
			Government National Mortgage Association, 15 Year, Single Family,
	209		6.500%, 06/15/17 - 12/15/17	226
	291		8.000%, 01/15/16	315
			Government National Mortgage Association, 30 Year, Single Family,
	616		6.500%, 03/15/28 - 04/15/33	683
	425		7.000%, 02/15/33 - 06/15/33	483
	99		7.500%, 11/15/22 - 11/15/31	113
	42		8.000%, 09/15/22 - 08/15/28	49
	6		9.000%, 12/15/16	7
	1,846		9.500%, 10/15/24	2,239
			Total Mortgage Pass-Through Securities (Cost $185,449)	196,714
Municipal Bond — 0.0% (g)
Illinois — 0.0% (g)
	140		State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 (Cost $128)	122
Supranational — 0.0% (g)
	397		Corp. Andina de Fomento, 5.200%, 05/21/13 (Cost $401)	427
U.S. Government Agency Securities — 0.6%
	8,205		Federal Home Loan Bank System, 4.720%, 09/20/12	8,720
			Federal Home Loan Mortgage Corp.,
	1,173		4.125%, 07/12/10	1,178
	1,043		6.875%, 09/15/10	1,064
			Federal National Mortgage Association,
	3,604		6.250%, 02/01/11	3,743
	1,085		7.125%, 06/15/10	1,088
	1,000		Financing Corp. Fico, Zero Coupon, 09/26/19	682
			Total U.S. Government Agency Securities (Cost $15,814)	16,475
U.S. Treasury Obligations — 22.0%
			U.S. Treasury Bonds,
	1,046		6.250%, 08/15/23	1,314
	100		6.625%, 02/15/27	133
	2,000		7.250%, 05/15/16 (c)	2,531
	12,700		7.500%, 11/15/16	16,383
	1,881		7.875%, 02/15/21	2,618
	1,500		8.125%, 08/15/19	2,084
	864		8.125%, 05/15/21	1,226
	2,125		8.500%, 02/15/20	3,038
	15,800		8.750%, 05/15/17	21,873
	1,000		8.750%, 05/15/20	1,456
	3,675		8.750%, 08/15/20	5,366
	31,450		8.875%, 08/15/17	44,001
	25,250		8.875%, 02/15/19	36,338
	1,000		9.000%, 11/15/18	1,447
	7,925		9.250%, 02/15/16	10,847
	3,169		9.875%, 11/15/15	4,406
	6,799		U.S. Treasury Inflation Indexed Bonds, 3.625%, 04/15/28 (m)	11,651
	630		U.S. Treasury Inflation Indexed Notes, 1.375%, 07/15/18	649
			U.S. Treasury Notes,
	2,750		1.375%, 09/15/12	2,779
	280		1.375%, 10/15/12	283
	220		1.375%, 11/15/12	222
	270		1.375%, 02/15/13	271
	1,200		1.750%, 03/31/14	1,202
	1,500		1.875%, 02/28/14	1,511
	1,500		2.375%, 10/31/14	1,528
	1,500		2.375%, 02/28/15	1,524
	15,500		2.625%, 07/31/14	15,991
	26,700		2.625%, 12/31/14	27,459
	2,000		2.625%, 04/30/16	2,012
	8,000		3.125%, 10/31/16	8,216
	11,850		3.250%, 12/31/16	12,235
	9,800		3.250%, 03/31/17	10,125
	9,600		4.250%, 11/15/17	10,532
	6,950		4.500%, 05/15/17	7,759
	8,000		4.750%, 08/15/17	9,058
			U.S. Treasury STRIPS,
	8,447		02/15/11	8,433
	16,355		02/15/13 (c)	15,856
	1,000		11/15/13	949
	32,278		02/15/14 (m)	30,329
	14,390		05/15/14 (m)	13,415
	24,565		08/15/14 (m)	22,703
	23,253		11/15/14 (m)	21,297
	8,500		02/15/15	7,690
	16,930		02/15/15 (m)	15,313
	3,626		05/15/15	3,251
	10,350		08/15/15	9,178
	3,253		08/15/15	2,883
	5,445		11/15/15 (c)	4,771
	28,397		11/15/15 (c)	24,880
	51,751		02/15/16 (c)	44,798
	1,000		05/15/16	857
	13,325		05/15/16 (c)	11,408
	5,181		08/15/16	4,378
	2,000		11/15/16	1,672
	11,457		11/15/16 (c)	9,571
	15,584		02/15/17	12,879
	10,789		05/15/17	8,831
	16,122		08/15/17 (c)	13,002
	19,389		11/15/17	15,455
	500		02/15/18 (c)	394
	6,069		05/15/18	4,746
	16,241		08/15/18	12,504
	1,575		11/15/18 (c)	1,197
	6,745		02/15/19	5,031
	6,982		02/15/19 (c)	5,206
	9,595		05/15/19 (c)	7,045
	11,625		08/15/19 (c)	8,411
	250		05/15/20	174
	1,700		05/15/20	1,176
	2,750		08/15/20	1,875
	678		02/15/22	426
	5,487		02/15/23	3,268
	200		05/15/24	112
	1,400		11/15/24	762
	500		08/15/25	262
	1,150		05/15/26	581
	1,150		02/15/27	561
	500		08/15/27	238
	350		02/15/28	162
	100		05/15/28	46
	250		02/15/29	110
	300		08/15/29	129
			Total U.S. Treasury Obligations (Cost $601,592)	638,283
SHARES
Short-Term Investment — 6.3%
	Investment Company — 6.3%
	183,540		JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (Cost $183,540)	183,540
Investment of Cash Collateral for Securities on Loan — 1.2%
			Investment Company — 1.2%
	33,930		JPMorgan Prime Money Market Fund, Capital Shares, 0.130% (b) (l) (Cost $33,930)	33,930
			Total Investments —101.7% (Cost $2,827,910)	2,952,934
			Liabilities in Excess of Other Assets — (1.7)%	(49,265	)
			NET ASSETS — 100.0%	$2,903,669
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.
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

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	$	—	$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 2/28/10	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 5/31/10
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.

JPMorgan Equity Index Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2010 (Unaudited)

(Amounts in thousands)

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	)

There were no significant transfers between Levels 1 and 2 during the three months ended May 31, 2010.

# Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the Schedules of Portfolio Investments (“SOI”). Level 2 consists of U.S. Treasury Bills held as collateral for futures contracts. Please refer to the SOI for industry specifics of the portfolio holdings.

JPMorgan Intermediate Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2010 (Unaudited)

(Amounts in thousands)

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

There were no significant transfers between Levels 1 and 2 during the three months ended May 31, 2010.

# All portfolio holdings designated as Level 1, Level 2 and Level 3 are disclosed individually in the Schedules of Portfolio Investments (“SOI”). Level 1 consists of a money market mutual fund that is held for daily investments of cash. Please refer to the SOI for industry specifics of the portfolio holdings.

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

	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

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 $(12,000).

ITEM 2. CONTROLS AND PROCEDURES.

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

(b) There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s 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