JPMorgan Institutional Trust

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

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

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

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

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

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

Dear Shareholder:

For many investors, the main concern appears to be whether the market volatility witnessed this summer will continue into the winter.

As we enter the last quarter of 2011, concerns about softening economic data and the deteriorating debt situation in Europe continue to persist. Although we are encouraged that corporate earnings and industrial production have continued to grow, the markets suggest that investors still lack confidence in both the U.S. and Europe’s ability to address their respective economic and debt issues.

“For many investors, the main concern appears to be whether the market volatility witnessed this summer will continue into the winter.”

Investors flee stocks as global growth concerns mount

Concerns about the U.S. debt ceiling crisis, the credit downgrade of U.S.-issued debt, softer economic data and contagion from the European debt crisis triggered heightened volatility and a significant market downturn. In early August, all three major U.S. stock indices experienced their worst one-day performance since December 1, 2008, while the S&P 500 Index posted its worst weekly decline since March 2009 and fell 5.4% in the month of August. As of the end of the six-month reporting period ended August 31, 2011, the S&P 500 Index was at a level of 1,219, a decrease of 7.2% from six months earlier.

U.S. Treasuries rally as growth concerns fuel equity sell-off

Despite historically low yields and a credit downgrade, investors continued to invest in U.S. Treasury securities, as concerns

about global economic growth and the Euro zone’s debt problems fueled a heavy rotation out of stocks and into U.S. Treasury securities. At one point, 10-year U.S. Treasury yields dipped below 2.2%, its lowest level since 1950. The yield on the 10-year U.S. Treasury declined from 3.4% to 2.2% as of the end of the six-month reporting period ended August 31, 2011, while the yield on the 2-year Treasury dipped from 0.7% to 0.2%. Meanwhile, the yield on the 30-year U.S. Treasury bond also fell from 4.5% to 3.6% as of the end of the same period.

The European debt crisis — how deep?

The seemingly interminable European sovereign debt crisis continues to impact global markets. Both European governments and the European Central Bank (ECB) have made attempts to calm financial markets with low-interest loans to Greece and limited ECB purchases of sovereign debt. However, many investors remain skeptical about the rescue attempts and concerns about the crisis persist and will likely continue to contribute to market volatility.

As always, we encourage investors to be mindful of the impact of continued market uncertainty and unexpected risks on the economy by taking a balanced and diversified approach to investing.

On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come.

Sincerely yours,

LOGO

George C.W. Gatch

CEO-Investment Management Americas

J.P. Morgan Asset Management

Uncertainty surrounding global economic growth began to dampen investors’ appetite for risk in April 2011. This negative mood among investors worsened as the market seemed to lack confidence in the ability of European governments to combat the region’s debt crisis, stoking fear about economic contagion. Concerns about the credit downgrade of U.S.-issued debt exacerbated this negative sentiment among investors and U.S. stocks, as measured by the S&P 500 Index, ended the reporting period with a (7.23)% return.

Despite the credit downgrade, investors still sought safety in U.S. Treasury securities, helping trigger a sharp decline in interest rates for 2-, 5-, 10-, 15- and 30-year U.S. Treasury securities. Prices for these securities were higher and yields declined.

Given investors’ declining appetite for risk, agency mortgage-backed securities outperformed non-agency mortgage-backed securities during the reporting period, credit spreads widened (generally, bond prices decrease when credit spreads widen), and fixed income securities with higher-rated credit quality outperformed.

INVESTMENT OBJECTIVE**

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

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

During the six months ended August 31, 2011, the Fund’s relative underperformance versus the Barclays Capital U.S. Aggregate Index (the “Benchmark”) was caused, in part, by its duration. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration. The Fund’s duration was slightly shorter than the Benchmark and detracted from its relative performance as interest rates declined during the reporting period. In addition, the Fund’s exposure to non-agency collateralized mortgage obligations (“CMOs”), which underperformed agency CMOs, hurt the Fund’s relative performance versus the Benchmark.

The Fund’s underweight of U.S. Treasury securities also detracted from relative performance. However, the Fund’s positioning on the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time) contributed to relative performance. The Fund was overweight the intermediate part of the yield curve (5-10 years), which performed well during the reporting period. The Fund’s security selection among agency collateralized mortgage obligations also contributed to the Fund’s relative performance.

HOW WAS THE FUND POSITIONED?

The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. As of the end of the reporting period, the Fund was underweight U.S. Treasuries and overweight mortgage-backed securities. The Fund was overweight the intermediate part of the yield curve (5-10 years) and underweight the front (1-5 years) and long (20-30 years) segments of the yield curve.


PORTFOLIO COMPOSITION***
Collateralized Mortgage Obligations	40.2	%
U.S. Treasury Obligations	23.3
Corporate Bonds	18.2
Mortgage Pass-Through Securities	10.2
Asset-Backed Securities	3.1
Commercial Mortgage-Backed Securities	2.3
U.S. Government Agency Securities	1.2
Others (each less than 1.0%)	0.6
Short-Term Investment	0.9

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

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

***

Percentages indicated are based on total investments as of August 31, 2011. The Fund’s composition is subject to change.

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

The Fund commenced operations on February 7, 2005.

The graph illustrates comparative performance for $10,000,000 invested in the JPMorgan Core Bond Trust, the Barclays Capital U.S. Aggregate Index and the Lipper Intermediate U.S. Government Funds Index from February 7, 2005 to August 31, 2011. The performance of the Lipper Intermediate U.S. Government Funds Index reflects an initial investment at the end of the month closest to the Fund’s inception. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Aggregate Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital U.S. Aggregate Index is a

broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) passthroughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS). The Lipper Intermediate U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.

The Fund’s shares have a $10,000,000 minimum investment and carry no sales charge.

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

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

INVESTMENT OBJECTIVE***

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

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

The Fund slightly underperformed the S&P 500 Index (the “Benchmark”) for the six months ended August 31, 2011. This was consistent with its indexing strategy and investment objective, as the Fund looks to generate returns that are comparable to that of the Benchmark.

The Benchmark returned (7.23)% for the six months ended August 31, 2011, as the market seemed to lack confidence in the ability of the European governments to combat the region’s debt crisis, stoking fear about economic contagion. Concerns about the credit downgrade of U.S.-issued debt exacerbated this negative sentiment among investors and helped trigger a sharp downturn in stock prices during August 2011.

Sector performance in the Benchmark was mixed, with some sectors posting positive absolute returns and some sectors posting negative absolute returns. On a relative basis, the financials and industrials sectors underperformed other sectors in the Benchmark, while the utilities and consumer staples sectors outperformed other sectors in the Benchmark.

HOW WAS THE FUND POSITIONED?

The Fund was managed in strict conformity with a full replication index strategy and aimed to hold the same stocks in the same proportions as those found in the Benchmark.


TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO****
	1.	Exxon Mobil Corp.	3.2	%
	2.	Apple, Inc.	3.1
	3.	International Business Machines Corp.	1.8
	4.	Chevron Corp.	1.7
	5.	Microsoft Corp.	1.7
	6.	Johnson & Johnson	1.6
	7.	Procter & Gamble Co. (The)	1.6
	8.	General Electric Co.	1.5
	9.	AT&T, Inc.	1.5
	10.	Coca-Cola Co. (The)	1.4


PORTFOLIO COMPOSITION BY SECTOR****
Information Technology	18.2	%
Financials	13.9
Energy	12.1
Health Care	11.6
Consumer Staples	11.1
Consumer Discretionary	10.4
Industrials	10.3
Utilities	3.6
Materials	3.5
Telecommunication Services	3.0
Investment Company	0.1
Short-Term Investment	2.2

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

***

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

****

Percentages indicated are based on total investments (excluding investments of cash collateral for securities on loan) as of August 31, 2011. The Fund’s composition is subject to change.

The Fund commenced operations on February 7, 2005.

The graph illustrates comparative performance for $10,000,000 invested in the JPMorgan Equity Index Trust, the S&P 500 Index and the Lipper S&P 500 Objective Funds Index from February 7, 2005 to August 31, 2011. The performance of the Lipper S&P 500 Objective Funds Index reflects an initial investment at the end of the month closest to the Fund’s inception. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper S&P 500 Objective Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the

expenses charged by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. Stock Market. The Lipper S&P 500 Objective Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.

The Fund’s shares have a $10,000,000 minimum investment and carry no sales charge.

INVESTMENT OBJECTIVE**

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

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

During the six months ended August 31, 2011, the Fund’s relative outperformance versus the Barclays Capital Intermediate U.S. Government/Credit Index (“Benchmark”) was caused, in part, by its duration. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration. The Fund’s duration was slightly longer than the Benchmark and contributed to its relative performance as interest rates declined during the reporting period. The Fund’s exposure to mortgage-backed securities also contributed to relative performance, particularly the Fund’s investments among agency collateralized mortgage obligations.

The Fund’s underweight of the credit sector (corporate and non-corporate securities, such as foreign agency and sovereign debt) detracted from relative performance. The Fund’s underweight of U.S. Treasury securities also detracted from relative performance during the reporting period. However, the Fund’s positioning on the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time) contributed to relative performance. The Fund was overweight the intermediate part of the yield curve (5-10 years), which performed well during the reporting period.

HOW WAS THE FUND POSITIONED?


PORTFOLIO COMPOSITION***
Collateralized Mortgage Obligations	33.6	%
U.S. Treasury Obligations	25.4
Corporate Bonds	18.6
Mortgage Pass-Through Securities	11.8
Asset-Backed Securities	2.4
U.S. Government Agency Securities	2.3
Commercial Mortgage-Backed Securities	1.5
Others (each less than 1.0%)	0.5
Short-Term Investment	3.9

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

***

Percentages indicated are based on total investments as of August 31, 2011. The Fund’s composition is subject to change.

The Fund commenced operations on February 7, 2005.

The graph illustrates comparative performance for $5,000,000 invested in the JPMorgan Intermediate Bond Trust, the Barclays Capital Intermediate U.S. Government/Credit Index and the Lipper Short-Intermediate U.S. Government Funds Index from February 7, 2005 to August 31, 2011. The performance of the Lipper Short-Intermediate U.S. Government Funds Index reflects an initial investment at the end of the month closest to the Fund’s inception. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital Intermediate U.S. Government/Credit Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Short-Intermediate U.S. Government Funds Index includes expenses associated with a mutual fund,

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

The Fund’s shares have a $5,000,000 minimum investment and carry no sales charge.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — 3.1%
		AH Mortgage Advance Trust,
	1,925	Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e)		1,925
	2,006	Series SART-1, Class A1, 2.630%, 05/10/42 (e)		2,008
	6,667	Series SART-1, Class A2, 3.370%, 05/10/43 (e)		6,674
		Ally Auto Receivables Trust,
	581	Series 2010-1, Class A3, 1.450%, 05/15/14		585
	1,385	Series 2010-3, Class A3, 1.110%, 10/15/14		1,395
	670	Series 2010-3, Class A4, 1.550%, 08/17/15		682
	392	Series 2010-4, Class A3, 0.910%, 11/17/14		394
	1,512	Series 2011-1, Class A2, 0.810%, 10/15/13		1,513
	720	Series 2011-1, Class A3, 1.380%, 01/15/15		728
		AmeriCredit Automobile Receivables Trust,
	525	Series 2008-AF, Class A4, 6.960%, 10/14/14		547
	217	Series 2010-1, Class A3, 1.660%, 03/17/14		218
	890	Series 2010-3, Class A3, 1.140%, 04/08/15		894
	1,321	Series 2010-4, Class A2, 0.960%, 05/08/14		1,321
	375	Series 2010-4, Class A3, 1.270%, 04/08/15		378
	771	Series 2011-1, Class A2, 0.840%, 06/09/14		771
	375	Series 2011-1, Class A3, 1.390%, 09/08/15		377
	2,248	Series 2011-3, Class A2, 0.840%, 11/10/14		2,246
	493	Arch Bay Asset-Backed Securities, Series 2010-2, Class A, VAR, 4.125%, 04/25/57 (e)		490
		Bank of America Auto Trust,
	824	Series 2009-1A, Class A3, 2.670%, 07/15/13 (e)		828
	576	Series 2009-3A, Class A3, 1.670%, 12/15/13 (e)		578
	459	Series 2010-1A, Class A3, 1.390%, 03/15/14 (e)		461
	475	Series 2010-1A, Class A4, 2.180%, 02/15/17 (e)		487
	821	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.588%, 04/25/36		585
		CarMax Auto Owner Trust,
	683	Series 2010-1, Class A3, 1.560%, 07/15/14		686
	1,260	Series 2011-1, Class A3, 1.290%, 09/15/15		1,274
	885	Series 2011-1, Class A4, 2.160%, 09/15/16		914
	600	Centex Home Equity, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		569
	2,006	Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34		1,892
	1,500	Chrysler Financial Auto Securitization Trust, Series 2010- A, Class A3, 0.910%, 08/08/13		1,503
		Citibank Credit Card Issuance Trust,
	3,380	Series 2002-C2, Class C2, 6.950%, 02/18/14		3,478
	800	Series 2007-A3, Class A3, 6.150%, 06/15/39		1,014


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Citigroup Mortgage Loan Trust, Inc.,
	587	Series 2003-HE3, Class A, VAR, 0.598%, 12/25/33		508
	2,114	Series 2011-5, Class 1A1, VAR, 0.384%, 02/25/46 (e) (f) (i)		1,934
		CNH Equipment Trust,
	351	Series 2008-B, Class A4A, 5.600%, 11/17/14		356
	161	Series 2009-C, Class A3, 1.850%, 12/16/13		162
	737	Series 2010-A, Class A3, 1.540%, 07/15/14		740
	1,500	Series 2010-C, Class A3, 1.170%, 05/15/15		1,505
	950	Series 2011-A, Class A3, 1.200%, 05/16/16		956
	747	Series 2011-A, Class A4, 2.040%, 10/17/16		761
	811	Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.818%, 10/25/34		454
	355	Credit-Based Asset Servicing and Securitization LLC, Series 2006- CB1, Class AF2, SUB, 5.236%, 01/25/36		208
	1,015	Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15		1,105
	300	First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.318%, 12/25/36		272
	1,260	Ford Credit Auto Lease Trust, Series 2011-A, Class A2, 0.740%, 09/15/13		1,260
		Ford Credit Auto Owner Trust,
	257	Series 2009-B, Class A3, 2.790%, 08/15/13		259
	500	Series 2009-B, Class A4, 4.500%, 07/15/14		523
	1,100	Freedom Trust, Series 2011-1, Class A13, VAR, 1.064%, 11/30/37 (e) (f) (i)		1,040
	440	GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		399
		Harley-Davidson Motorcycle Trust,
	414	Series 2010-1, Class A2, 0.830%, 11/15/13		414
	540	Series 2010-1, Class A3, 1.160%, 02/15/15		543
		Honda Auto Receivables Owner Trust,
	199	Series 2009-2, Class A3, 2.790%, 01/15/13		200
	550	Series 2011-1, Class A4, 1.800%, 04/17/17		564
		HSBC Home Equity Loan Trust,
	1,297	Series 2006-1, Class A1, VAR, 0.373%, 01/20/36		1,213
	913	Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36		918
	2,514	Series 2007-3, Class APT, VAR, 1.413%, 11/20/36		2,243
		Hyundai Auto Receivables Trust,
	640	Series 2010-B, Class A3, 0.970%, 04/15/15		643
	710	Series 2010-B, Class A4, 1.630%, 03/15/17		722
	515	Series 2011-A, Class A3, 1.160%, 04/15/15		520
	520	Series 2011-A, Class A4, 1.780%, 12/15/15		533


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — Continued
	734	Series 2011-B, Class A3, 1.040%, 09/15/15		739
	824	Series 2011-B, Class A4, 1.650%, 02/15/17		832
	277	Indymac Residential Asset- Backed Trust, Series 2006-A, Class A3, VAR, 0.418%, 03/25/36		160
		John Deere Owner Trust,
	56	Series 2009-A, Class A3, 2.590%, 10/15/13		57
	490	Series 2011-A, Class A3, 1.290%, 01/15/16		495
	355	Series 2011-A, Class A4, 1.960%, 04/16/18		365
	603	LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) (f) (i)		602
	1,627	Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.568%, 07/25/34 (e)		1,553
		Long Beach Mortgage Loan Trust,
	483	Series 2006-8, Class 2A2, VAR, 0.308%, 09/25/36		157
	774	Series 2006-WL2, Class 2A3, VAR, 0.418%, 01/25/36		591
	1,874	MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14		1,923
	550	Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14		554
	10,000	Nationstar Mortgage Advance Receivable Trust, Series 2009- ADV1, Class A1, VAR, 3.218%, 12/26/22 (e)		10,007
	1,434	NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.556%, 12/07/20		1,435
	1,000	New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.241%, 11/25/33		952
	735	Newcastle Investment Trust, Series 2011-MH1, Class A, 2.450%, 12/10/33 (e)		743
		Nissan Auto Receivables Owner Trust,
	750	Series 2010-A, Class A3, 0.870%, 07/15/14		750
	450	Series 2010-A, Class A4, 1.310%, 09/15/16		455
	153	PennyMac Loan Trust, Series 2010-NPL1, Class A, VAR, 4.250%, 05/25/50 (e)		153
		Real Estate Asset Trust,
	1,175	Series 2011-2A, Class A1, 5.750%, 05/25/49 (e) (f) (i)		1,174
	1,564	Series 2011-3A, Class A1, 5.440%, 06/25/31 (e)		1,564
	300	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37		131
	2,681	Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i)		2,675


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Santander Drive Auto Receivables Trust,
	657		Series 2010-3, Class A2, 0.930%, 06/17/13		657
	580		Series 2010-3, Class A3, 1.200%, 06/16/14		581
	700		Series 2010-A, Class A4, 2.390%, 06/15/17 (e)		717
	610		Series 2011-S2A, Class B, 2.060%, 06/15/17 (e)		609
	907		Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33		907
	350		Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.488%, 06/25/35		320
	393		Structured Asset Securities Corp., Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32		398
			Toyota Auto Receivables Owner Trust,
	1,540		Series 2010-C, Class A3, 0.770%, 04/15/14		1,542
	1,435		Series 2011-A, Class A3, 0.980%, 10/15/14		1,443
	1,540		Series 2011-A, Class A4, 1.560%, 05/15/15		1,569
	602		USAA Auto Owner Trust, Series 2009-2, Class A3, 1.540%, 02/18/14		605
			Westlake Automobile Receivables Trust,
	433		Series 2011-1A, Class A2, 1.080%, 07/15/13 (e)		433
	607		Series 2011-1A, Class A3, 1.490%, 06/16/14 (e)		607
	1,370		World Omni Auto Receivables Trust, Series 2010-A, Class A4, 2.210%, 05/15/15		1,399

			Total Asset-Backed Securities (Cost $98,267)		98,224

	Collateralized Mortgage Obligations — 40.2%
			Agency CMO — 27.2%
			Federal Home Loan Bank,
	5,568		4.720%, 09/20/12		5,772
	1,293		Series 2000-0606, Class Y, 5.270%, 12/28/12		1,353
	2,779		Series 2000-1067, Class 1, 5.300%, 06/15/12		2,831
	1,987		Federal Home Loan Banks, Series TQ-2015, Class A, 5.065%, 10/20/15		2,178
	371		Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 8, Class ZA, 7.000%, 03/25/23		418
			Federal Home Loan Mortgage Corp. REMICS,
	38		Series 11, Class D, 9.500%, 07/15/19		40
	17		Series 22, Class C, 9.500%, 04/15/20		18
	27		Series 23, Class F, 9.600%, 04/15/20		29
	—	(h)	Series 41, Class I, HB, 84.000%, 05/15/20		1
	2		Series 47, Class F, 10.000%, 06/15/20		2


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	9		Series 99, Class Z, 9.500%, 01/15/21		10
	—	(h)	Series 204, Class E, HB, IF, 1,838.732%, 05/15/23		1
	—	(h)	Series 1045, Class G, HB, 1,066.208%, 02/15/21		1
	10		Series 1065, Class J, 9.000%, 04/15/21		12
	3		Series 1079, Class S, HB, IF, 33.150%, 05/15/21		6
	13		Series 1084, Class F, VAR, 1.200%, 05/15/21		13
	9		Series 1084, Class S, HB, IF, 44.100%, 05/15/21		16
	23		Series 1116, Class I, 5.500%, 08/15/21		25
	19		Series 1144, Class KB, 8.500%, 09/15/21		22
	—	(h)	Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21		1
	1		Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22		15
	24		Series 1250, Class J, 7.000%, 05/15/22		28
	37		Series 1343, Class LA, 8.000%, 08/15/22		44
	46		Series 1343, Class LB, 7.500%, 08/15/22		55
	76		Series 1370, Class JA, VAR, 1.400%, 09/15/22		76
	75		Series 1455, Class WB, IF, 4.550%, 12/15/22		78
	368		Series 1466, Class PZ, 7.500%, 02/15/23		424
	6		Series 1470, Class F, VAR, 2.338%, 02/15/23		7
	410		Series 1498, Class I, VAR, 1.400%, 04/15/23		410
	535		Series 1502, Class PX, 7.000%, 04/15/23		613
	71		Series 1505, Class Q, 7.000%, 05/15/23		81
	170		Series 1518, Class G, IF, 8.854%, 05/15/23		200
	55		Series 1541, Class M, HB, IF, 22.220%, 07/15/23		84
	149		Series 1541, Class O, VAR, 1.920%, 07/15/23		153
	15		Series 1570, Class F, VAR, 2.838%, 08/15/23		16
	552		Series 1573, Class PZ, 7.000%, 09/15/23		632
	354		Series 1591, Class PV, 6.250%, 10/15/23		376
	17		Series 1595, Class D, 7.000%, 10/15/13		18
	54		Series 1596, Class D, 6.500%, 10/15/13		56
	27		Series 1602, Class SA, HB, IF, 21.937%, 10/15/23		41
	12		Series 1607, Class SA, IF, 19.910%, 10/15/13		14
	1,496		Series 1608, Class L, 6.500%, 09/15/23		1,706
	382		Series 1609, Class LG, IF, 16.792%, 11/15/23		462
	851		Series 1638, Class H, 6.500%, 12/15/23		988
	652		Series 1642, Class PJ, 6.000%, 11/15/23		680
	14		Series 1671, Class QC, IF, 10.000%, 02/15/24		15
	18		Series 1686, Class SH, IF, 18.675%, 02/15/24		30
	231		Series 1695, Class EB, 7.000%, 03/15/24		265


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	44	Series 1699, Class FC, VAR, 0.850%, 03/15/24		44
	233	Series 1700, Class GA, PO, 02/15/24		202
	611	Series 1706, Class K, 7.000%, 03/15/24		711
	21	Series 1709, Class FA, VAR, 2.120%, 03/15/24		22
	56	Series 1745, Class D, 7.500%, 08/15/24		68
	1,542	Series 1760, Class ZD, VAR, 2.470%, 02/15/24		1,637
	532	Series 1798, Class F, 5.000%, 05/15/23		583
	8	Series 1807, Class G, 9.000%, 10/15/20		9
	147	Series 1829, Class ZB, 6.500%, 03/15/26		164
	13	Series 1844, Class E, 6.500%, 10/15/13		13
	151	Series 1863, Class Z, 6.500%, 07/15/26		172
	39	Series 1865, Class D, PO, 02/15/24		26
	97	Series 1890, Class H, 7.500%, 09/15/26		115
	293	Series 1899, Class ZE, 8.000%, 09/15/26		346
	15	Series 1935, Class FL, VAR, 0.950%, 02/15/27		15
	209	Series 1963, Class Z, 7.500%, 01/15/27		244
	31	Series 1970, Class PG, 7.250%, 07/15/27		36
	328	Series 1981, Class Z, 6.000%, 05/15/27		361
	141	Series 1987, Class PE, 7.500%, 09/15/27		166
	351	Series 2019, Class Z, 6.500%, 12/15/27		407
	42	Series 2025, Class PE, 6.300%, 01/15/13		42
	110	Series 2033, Class SN, HB, IF, 25.422%, 03/15/24		76
	297	Series 2038, Class PN, IO, 7.000%, 03/15/28		64
	580	Series 2040, Class PE, 7.500%, 03/15/28		698
	103	Series 2043, Class CJ, 6.500%, 04/15/28		119
	457	Series 2054, Class PV, 7.500%, 05/15/28		470
	96	Series 2055, Class OE, 6.500%, 05/15/13		95
	891	Series 2075, Class PH, 6.500%, 08/15/28		1,031
	1,001	Series 2075, Class PM, 6.250%, 08/15/28		1,058
	358	Series 2086, Class GB, 6.000%, 09/15/28		375
	390	Series 2089, Class PJ, IO, 7.000%, 10/15/28		87
	1,456	Series 2095, Class PE, 6.000%, 11/15/28		1,650
	248	Series 2102, Class TC, 6.000%, 12/15/13		258
	163	Series 2102, Class TU, 6.000%, 12/15/13		170
	659	Series 2115, Class PE, 6.000%, 01/15/14		677
	462	Series 2125, Class JZ, 6.000%, 02/15/29		491
	95	Series 2132, Class SB, HB, IF, 29.734%, 03/15/29		164
	68	Series 2134, Class PI, IO, 6.500%, 03/15/19		11
	19	Series 2135, Class UK, IO, 6.500%, 03/15/14		1
	451	Series 2136, Class PG, 6.000%, 03/15/29		507


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	52	Series 2141, Class IO, IO, 7.000%, 04/15/29		11
	119	Series 2163, Class PC, IO, 7.500%, 06/15/29		28
	1,440	Series 2169, Class TB, 7.000%, 06/15/29		1,680
	633	Series 2172, Class QC, 7.000%, 07/15/29		739
	609	Series 2176, Class OJ, 7.000%, 08/15/29		726
	329	Series 2201, Class C, 8.000%, 11/15/29		390
	259	Series 2209, Class TC, 8.000%, 01/15/30		308
	437	Series 2210, Class Z, 8.000%, 01/15/30		529
	116	Series 2224, Class CB, 8.000%, 03/15/30		139
	274	Series 2230, Class Z, 8.000%, 04/15/30		327
	225	Series 2234, Class PZ, 7.500%, 05/15/30		265
	193	Series 2247, Class Z, 7.500%, 08/15/30		227
	286	Series 2256, Class MC, 7.250%, 09/15/30		341
	566	Series 2259, Class ZM, 7.000%, 10/15/30		662
	19	Series 2261, Class ZY, 7.500%, 10/15/30		22
	65	Series 2262, Class Z, 7.500%, 10/15/30		77
	580	Series 2271, Class PC, 7.250%, 12/15/30		693
	1,140	Series 2283, Class K, 6.500%, 12/15/23		1,230
	312	Series 2296, Class PD, 7.000%, 03/15/31		365
	98	Series 2306, Class K, PO, 05/15/24		91
	231	Series 2306, Class SE, IF, IO, 7.630%, 05/15/24		44
	303	Series 2313, Class LA, 6.500%, 05/15/31		329
	625	Series 2325, Class PM, 7.000%, 06/15/31		703
	1,122	Series 2344, Class QG, 6.000%, 08/15/16		1,205
	3,626	Series 2344, Class ZD, 6.500%, 08/15/31		4,039
	328	Series 2344, Class ZJ, 6.500%, 08/15/31		367
	307	Series 2345, Class NE, 6.500%, 08/15/31		325
	335	Series 2345, Class PQ, 6.500%, 08/15/16		354
	374	Series 2351, Class PZ, 6.500%, 08/15/31		404
	3,434	Series 2353, Class AZ, 6.000%, 09/15/31		3,674
	431	Series 2353, Class TD, 6.000%, 09/15/16		458
	357	Series 2355, Class BP, 6.000%, 09/15/16		383
	230	Series 2359, Class PM, 6.000%, 09/15/16		243
	1,442	Series 2359, Class ZB, 8.500%, 06/15/31		1,712
	678	Series 2360, Class PG, 6.000%, 09/15/16		730
	151	Series 2363, Class PF, 6.000%, 09/15/16		163
	286	Series 2366, Class MD, 6.000%, 10/15/16		307
	537	Series 2367, Class ME, 6.500%, 10/15/31		596
	1,041	Series 2391, Class QR, 5.500%, 12/15/16		1,118
	413	Series 2394, Class MC, 6.000%, 12/15/16		445
	1,101	Series 2396, Class FM, VAR, 0.657%, 12/15/31		1,102
	673	Series 2399, Class OH, 6.500%, 01/15/32		753
	1,133	Series 2399, Class TH, 6.500%, 01/15/32		1,264
	983	Series 2410, Class NG, 6.500%, 02/15/32		1,112


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	339	Series 2410, Class OE, 6.375%, 02/15/32		379
	768	Series 2410, Class QS, IF, 18.961%, 02/15/32		907
	309	Series 2410, Class QX, IF, IO, 8.443%, 02/15/32		72
	874	Series 2412, Class SP, IF, 15.686%, 02/15/32		1,114
	1,350	Series 2420, Class XK, 6.500%, 02/15/32		1,504
	716	Series 2423, Class MC, 7.000%, 03/15/32		808
	727	Series 2423, Class MT, 7.000%, 03/15/32		819
	396	Series 2425, Class OB, 6.000%, 03/15/17		429
	1,846	Series 2430, Class WF, 6.500%, 03/15/32		2,134
	939	Series 2434, Class TC, 7.000%, 04/15/32		1,078
	565	Series 2435, Class CJ, 6.500%, 04/15/32		668
	410	Series 2435, Class VH, 6.000%, 07/15/19		412
	840	Series 2436, Class MC, 7.000%, 04/15/32		954
	615	Series 2444, Class ES, IF, IO, 7.743%, 03/15/32		123
	386	Series 2450, Class GZ, 7.000%, 05/15/32		450
	492	Series 2450, Class SW, IF, IO, 7.793%, 03/15/32		99
	2,617	Series 2455, Class GK, 6.500%, 05/15/32		3,004
	268	Series 2458, Class QE, 5.500%, 06/15/17		287
	820	Series 2462, Class JG, 6.500%, 06/15/32		952
	2,284	Series 2464, Class SI, IF, IO, 7.793%, 02/15/32		381
	606	Series 2466, Class PG, 6.500%, 04/15/32		641
	942	Series 2466, Class PH, 6.500%, 06/15/32		1,108
	851	Series 2474, Class NR, 6.500%, 07/15/32		973
	1,166	Series 2484, Class LZ, 6.500%, 07/15/32		1,353
	2,030	Series 2500, Class MC, 6.000%, 09/15/32		2,249
	137	Series 2503, Class BH, 5.500%, 09/15/17		149
	696	Series 2508, Class AQ, 5.500%, 10/15/17		755
	1,130	Series 2512, Class PG, 5.500%, 10/15/22		1,252
	44	Series 2513, Class TG, 6.000%, 02/15/32		44
	66	Series 2513, Class YO, PO, 02/15/32		65
	663	Series 2515, Class DE, 4.000%, 03/15/32		685
	534	Series 2518, Class PX, 5.500%, 09/15/13		552
	4	Series 2519, Class BT, 8.500%, 09/15/31		4
	727	Series 2535, Class BK, 5.500%, 12/15/22		805
	1,519	Series 2537, Class TE, 5.500%, 12/15/17		1,638
	2,024	Series 2543, Class YX, 6.000%, 12/15/32		2,306
	2,204	Series 2544, Class HC, 6.000%, 12/15/32		2,469
	2,532	Series 2552, Class ME, 6.000%, 01/15/33		2,846
	1,481	Series 2567, Class QD, 6.000%, 02/15/33		1,693
	1,690	Series 2568, Class KG, 5.500%, 02/15/23		1,876
	225	Series 2571, Class SK, HB, IF, 33.606%, 09/15/23		414


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	3,767	Series 2575, Class ME, 6.000%, 02/15/33		4,304
	728	Series 2586, Class WI, IO, 6.500%, 03/15/33		137
	1,859	Series 2587, Class WX, 5.000%, 03/15/18		2,059
	880	Series 2594, Class VQ, 6.000%, 08/15/20		893
	1,380	Series 2596, Class QG, 6.000%, 03/15/33		1,552
	209	Series 2597, Class DS, IF, IO, 7.343%, 02/15/33		12
	237	Series 2599, Class DS, IF, IO, 6.793%, 02/15/33		12
	1,001	Series 2610, Class DS, IF, IO, 6.893%, 03/15/33		31
	700	Series 2611, Class SH, IF, IO, 7.443%, 10/15/21		12
	1,005	Series 2611, Class UH, 4.500%, 05/15/18		1,061
	348	Series 2617, Class AK, 4.500%, 05/15/18		351
	1,607	Series 2617, Class GR, 4.500%, 05/15/18		1,715
	93	Series 2619, Class HR, 3.500%, 11/15/31		95
	118	Series 2619, Class IM, IO, 5.000%, 10/15/21		2
	3,327	Series 2626, Class NS, IF, IO, 6.343%, 06/15/23		243
	158	Series 2628, Class WA, 4.000%, 07/15/28		158
	2,082	Series 2631, Class LC, 4.500%, 06/15/18		2,220
	905	Series 2636, Class Z, 4.500%, 06/15/18		965
	1,036	Series 2637, Class SA, IF, IO, 5.893%, 06/15/18		119
	169	Series 2638, Class DS, IF, 8.393%, 07/15/23		183
	96	Series 2638, Class SA, IF, IO, 6.893%, 11/15/16		1
	828	Series 2640, Class UG, IO, 5.000%, 01/15/32		63
	1,916	Series 2640, Class UP, IO, 5.000%, 01/15/32		135
	12	Series 2640, Class UR, IO, 4.500%, 08/15/17		—	(h)
	3,989	Series 2645, Class BI, IO, 4.500%, 02/15/18		215
	839	Series 2650, Class PO, PO, 12/15/32		795
	2,886	Series 2650, Class SO, PO, 12/15/32		2,738
	1,495	Series 2651, Class VZ, 4.500%, 07/15/18		1,594
	428	Series 2668, Class SB, IF, 7.016%, 10/15/15		430
	1,884	Series 2672, Class ME, 5.000%, 11/15/22		2,059
	198	Series 2672, Class SJ, IF, 6.971%, 09/15/16		201
	5,760	Series 2675, Class CK, 4.000%, 09/15/18		6,110
	1,360	Series 2682, Class YS, IF, 8.718%, 10/15/33		1,371
	16,600	Series 2684, Class PO, PO, 01/15/33		15,330
	661	Series 2684, Class TO, PO, 10/15/33		627
	107	Series 2686, Class GB, 5.000%, 05/15/20		107
	507	Series 2686, Class NS, IF, IO, 7.393%, 10/15/21		18
	473	Series 2690, Class SJ, IF, 8.839%, 10/15/33		486
	1,538	Series 2691, Class ME, 4.500%, 04/15/32		1,665


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	716	Series 2691, Class WS, IF, 8.689%, 10/15/33		723
	727	Series 2692, Class SC, IF, 12.872%, 07/15/33		822
	1,081	Series 2695, Class DE, 4.000%, 01/15/17		1,100
	1,199	Series 2695, Class DG, 4.000%, 10/15/18		1,292
	357	Series 2695, Class OB, PO, 10/15/33		304
	313	Series 2696, Class CO, PO, 10/15/18		287
	210	Series 2700, Class S, IF, 8.689%, 11/15/33		213
	1,205	Series 2702, Class PC, 5.000%, 01/15/23		1,304
	551	Series 2705, Class SC, IF, 8.689%, 11/15/33		557
	1,041	Series 2705, Class SD, IF, 8.734%, 11/15/33		1,074
	2,000	Series 2710, Class HB, 5.500%, 11/15/23		2,291
	1,712	Series 2715, Class OG, 5.000%, 01/15/23		1,877
	3,014	Series 2716, Class UN, 4.500%, 12/15/23		3,281
	1,451	Series 2720, Class PC, 5.000%, 12/15/23		1,595
	7,120	Series 2727, Class BS, IF, 8.764%, 01/15/34		7,223
	93	Series 2744, Class FE, VAR, 02/15/34		93
	1,705	Series 2744, Class PE, 5.500%, 02/15/34		1,858
	2,760	Series 2744, Class TU, 5.500%, 05/15/32		2,945
	809	Series 2751, Class BA, 4.000%, 10/15/18		831
	1,155	Series 2755, Class PA, PO, 02/15/29		1,116
	1,155	Series 2755, Class SA, IF, 13.786%, 05/15/30		1,304
	37	Series 2762, Class LO, PO, 03/15/34		37
	1,000	Series 2764, Class TE, 5.000%, 10/15/32		1,088
	10	Series 2766, Class SX, IF, 15.935%, 03/15/34		10
	201	Series 2771, Class FG, VAR, 0.000%, 03/15/34		197
	378	Series 2776, Class SK, IF, 8.764%, 04/15/34		379
	1,506	Series 2777, Class OM, PO, 12/15/32		1,438
	1,374	Series 2778, Class US, IF, IO, 6.993%, 06/15/33		42
	292	Series 2780, Class JG, 4.500%, 04/15/19		308
	1,284	Series 2783, Class AT, 4.000%, 04/15/19		1,387
	654	Series 2809, Class UB, 4.000%, 09/15/17		665
	5,515	Series 2809, Class UC, 4.000%, 06/15/19		5,904
	836	Series 2812, Class NO, PO, 10/15/33		636
	36	Series 2827, Class SQ, IF, 7.500%, 01/15/19		36
	1,150	Series 2827, Class XO, PO, 01/15/23		1,099
	230	Series 2835, Class QO, PO, 12/15/32		207
	1,070	Series 2840, Class JO, PO, 06/15/23		1,007
	895	Series 2850, Class SN, IF, IO, 6.943%, 09/15/18		57
	333	Series 2870, Class KC, 4.250%, 05/15/18		340
	2,030	Series 2872, Class JE, 4.500%, 02/15/18		2,095
	1,637	Series 2922, Class JN, 4.500%, 02/15/20		1,766
	60	Series 2925, Class MW, VAR, 01/15/35		60
	1,739	Series 2934, Class EC, PO, 02/15/20		1,675


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	201	Series 2934, Class EN, PO, 02/15/18		191
	1,449	Series 2934, Class HI, IO, 5.000%, 02/15/20		162
	1,460	Series 2934, Class KI, IO, 5.000%, 02/15/20		172
	856	Series 2958, Class QD, 4.500%, 04/15/20		938
	1,500	Series 2962, Class BE, 4.500%, 04/15/20		1,664
	3,425	Series 2965, Class GD, 4.500%, 04/15/20		3,792
	3,070	Series 2971, Class GB, 5.000%, 11/15/16		3,117
	856	Series 2971, Class GC, 5.000%, 07/15/18		912
	504	Series 2989, Class PO, PO, 06/15/23		475
	4,281	Series 3004, Class EK, 5.500%, 07/15/35		4,630
	220	Series 3007, Class AI, IO, 5.500%, 07/15/24		21
	222	Series 3014, Class OD, PO, 08/15/35		192
	110	Series 3044, Class VO, PO, 10/15/35		105
	2,599	Series 3047, Class OB, 5.500%, 12/15/33		2,729
	944	Series 3047, Class OD, 5.500%, 10/15/35		1,105
	1,326	Series 3049, Class XF, VAR, 0.557%, 05/15/33		1,321
	3,095	Series 3064, Class MC, 5.500%, 11/15/35		3,623
	1,148	Series 3064, Class OB, 5.500%, 07/15/29		1,180
	534	Series 3068, Class AO, PO, 01/15/35		512
	1,396	Series 3068, Class QB, 4.500%, 06/15/20		1,481
	2,141	Series 3074, Class BH, 5.000%, 11/15/35		2,438
	1,874	Series 3085, Class WF, VAR, 1.007%, 08/15/35		1,890
	573	Series 3100, Class MA, VAR, 2.781%, 12/15/35		568
	2,129	Series 3102, Class FB, VAR, 0.507%, 01/15/36		2,122
	482	Series 3102, Class HS, HB, IF, 23.807%, 01/15/36		696
	2,153	Series 3117, Class EO, PO, 02/15/36		1,989
	1,395	Series 3117, Class OK, PO, 02/15/36		1,247
	125	Series 3122, Class ZB, 6.000%, 03/15/36		133
	2,750	Series 3131, Class BK, 5.500%, 03/15/26		3,153
	520	Series 3134, Class PO, PO, 03/15/36		475
	2,445	Series 3138, Class PO, PO, 04/15/36		2,185
	132	Series 3149, Class SO, PO, 05/15/36		111
	2,055	Series 3151, Class UC, 5.500%, 08/15/35		2,300
	1,161	Series 3152, Class MO, PO, 03/15/36		1,033
	268	Series 3171, Class MO, PO, 06/15/36		243
	2,857	Series 3179, Class OA, PO, 07/15/36		2,544
	1,245	Series 3194, Class SA, IF, IO, 6.893%, 07/15/36		185
	1,547	Series 3211, Class SO, PO, 09/15/36		1,390
	770	Series 3218, Class AO, PO, 09/15/36		702
	2,891	Series 3219, Class DI, IO, 6.000%, 04/15/36		492
	1,500	Series 3229, Class HE, 5.000%, 10/15/26		1,694


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	2,008	Series 3232, Class ST, IF, IO, 6.493%, 10/15/36		294
	995	Series 3233, Class OP, PO, 05/15/36		909
	1,500	Series 3242, Class NE, 5.750%, 02/15/34		1,619
	934	Series 3256, Class PO, PO, 12/15/36		841
	2,206	Series 3260, Class CS, IF, IO, 5.933%, 01/15/37		305
	1,040	Series 3261, Class OA, PO, 01/15/37		911
	1,461	Series 3274, Class JO, PO, 02/15/37		1,299
	688	Series 3275, Class FL, VAR, 0.647%, 02/15/37		685
	2,893	Series 3290, Class SB, IF, IO, 6.243%, 03/15/37		449
	2,579	Series 3315, Class HZ, 6.000%, 05/15/37		3,031
	2,000	Series 3316, Class GD, 5.500%, 06/15/35		2,205
	300	Series 3318, Class AO, PO, 05/15/37		269
	1,732	Series 3331, Class PO, PO, 06/15/37		1,477
	1,497	Series 3334, Class MC, 5.000%, 04/15/33		1,532
	2,375	Series 3385, Class SN, IF, IO, 5.793%, 11/15/37		267
	1,979	Series 3387, Class SA, IF, IO, 6.213%, 11/15/37		285
	2,813	Series 3404, Class SC, IF, IO, 5.793%, 01/15/38		346
	9,220	Series 3422, Class AI, SUB, 0.250%, 01/15/38		43
	2,391	Series 3424, Class PI, IF, IO, 6.593%, 04/15/38		414
	6,225	Series 3430, Class AI, IO, 1.417%, 09/15/12		61
	2,723	Series 3481, Class SJ, IF, IO, 5.643%, 08/15/38		338
	3,387	Series 3505, Class SA, IF, IO, 5.793%, 01/15/39		383
	3,862	Series 3511, Class SA, IF, IO, 5.793%, 02/15/39		439
	1,879	Series 3549, Class FA, VAR, 1.407%, 07/15/39		1,885
	1,000	Series 3607, Class BO, PO, 04/15/36		872
	1,858	Series 3607, Class OP, PO, 07/15/37		1,612
	600	Series 3611, Class PO, PO, 07/15/34		539
	1,330	Series 3621, Class BO, PO, 01/15/40		1,181
	3,773	Series 3739, Class LI, IO, 4.000%, 03/15/34		509
	9,437	Series 3747, Class HI, IO, 4.500%, 07/15/37		1,389
	1,000	Series 3747, Class PY, 4.000%, 10/15/40		1,036
	4,814	Series 3759, Class HI, IO, 4.000%, 08/15/37		847
	5,758	Series 3760, Class GI, IO, 4.000%, 10/15/37		1,049
	927	Series 3798, Class BF, VAR, 0.507%, 06/15/24		924


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	5,126		Series 3819, Class ZQ, 6.000%, 04/15/36		5,955
			Federal Home Loan Mortgage Corp. STRIPS,
	4		Series 134, Class B, IO, 9.000%, 04/01/22		1
	4,168		Series 233, Class 11, IO, 5.000%, 09/15/35		607
	5,924		Series 233, Class 13, IO, 5.000%, 09/15/35		856
	1,101		Series 243, Class 16, IO, 4.500%, 11/15/20		105
	2,430		Series 243, Class 17, IO, 4.500%, 12/15/20		239
			Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	713		Series T-41, Class 3A, VAR, 7.010%, 07/25/32		822
	434		Series T-51, Class 2A, VAR, 7.500%, 08/25/42		513
	2,235		Series T-54, Class 2A, 6.500%, 02/25/43		2,525
	748		Series T-54, Class 3A, 7.000%, 02/25/43		869
	322		Series T-58, Class APO, PO, 09/25/43		268
	741		Series T-59, Class 1AP, PO, 10/25/43		559
	2,731		Series T-76, Class 2A, VAR, 4.787%, 10/25/37		2,813
	8,500		Federal National Mortgage Association, Series 2011-M2, Class A3, 3.764%, 07/25/21		8,628
			Federal National Mortgage Association Grantor Trust,
	1,138		Series 2002-T19, Class A2, 7.000%, 07/25/42		1,309
	1,068		Series 2004-T3, Class 1A3, 7.000%, 02/25/44		1,252
			Federal National Mortgage Association REMICS,
	10		Series 1988-7, Class Z, 9.250%, 04/25/18		12
	23		Series 1989-70, Class G, 8.000%, 10/25/19		27
	10		Series 1989-78, Class H, 9.400%, 11/25/19		12
	14		Series 1989-83, Class H, 8.500%, 11/25/19		16
	14		Series 1989-89, Class H, 9.000%, 11/25/19		16
	13		Series 1990-1, Class D, 8.800%, 01/25/20		15
	2		Series 1990-60, Class K, 5.500%, 06/25/20		3
	6		Series 1990-63, Class H, 9.500%, 06/25/20		6
	4		Series 1990-93, Class G, 5.500%, 08/25/20		4
	—	(h)	Series 1990-94, Class H, HB, 505.000%, 08/25/20		1
	—	(h)	Series 1990-95, Class J, HB, 1,118.040%, 08/25/20		3
	28		Series 1990-102, Class J, 6.500%, 08/25/20		31
	39		Series 1990-120, Class H, 9.000%, 10/25/20		45
	4		Series 1990-134, Class SC, HB, IF, 21.225%, 11/25/20		5
	—	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20		4
	—	(h)	Series 1991-7, Class K, HB, 908.500%, 02/25/21		1
	16		Series 1991-24, Class Z, 5.000%, 03/25/21		17
	2		Series 1992-101, Class J, 7.500%, 06/25/22		2


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	70	Series 1992-136, Class PK, 6.000%, 08/25/22		78
	65	Series 1992-143, Class MA, 5.500%, 09/25/22		71
	170	Series 1992-163, Class M, 7.750%, 09/25/22		197
	289	Series 1992-188, Class PZ, 7.500%, 10/25/22		332
	120	Series 1993-21, Class KA, 7.700%, 03/25/23		138
	175	Series 1993-25, Class J, 7.500%, 03/25/23		201
	47	Series 1993-27, Class SA, IF, 15.500%, 02/25/23		61
	70	Series 1993-62, Class SA, IF, 17.411%, 04/25/23		93
	37	Series 1993-165, Class SD, IF, 12.018%, 09/25/23		45
	81	Series 1993-165, Class SK, IF, 12.500%, 09/25/23		100
	43	Series 1993-167, Class GA, 7.000%, 09/25/23		44
	53	Series 1993-179, Class SB, HB, IF, 23.896%, 10/25/23		82
	35	Series 1993-179, Class SC, IF, 10.500%, 10/25/23		41
	153	Series 1993-199, Class FA, VAR, 0.800%, 10/25/23		154
	102	Series 1993-205, Class H, PO, 09/25/23		88
	96	Series 1993-220, Class SG, IF, 15.500%, 11/25/13		107
	157	Series 1993-225, Class UB, 6.500%, 12/25/23		174
	52	Series 1993-230, Class FA, VAR, 0.850%, 12/25/23		53
	153	Series 1993-247, Class FE, VAR, 1.250%, 12/25/23		155
	71	Series 1993-247, Class SU, IF, 11.612%, 12/25/23		91
	233	Series 1993-250, Class Z, 7.000%, 12/25/23		250
	481	Series 1993-257, Class C, PO, 06/25/23		467
	615	Series 1994-37, Class L, 6.500%, 03/25/24		718
	2,938	Series 1994-40, Class Z, 6.500%, 03/25/24		3,338
	110	Series 1995-2, Class Z, 8.500%, 01/25/25		129
	269	Series 1995-19, Class Z, 6.500%, 11/25/23		321
	624	Series 1996-14, Class SE, IF, IO, 7.780%, 08/25/23		118
	21	Series 1996-27, Class FC, VAR, 0.750%, 03/25/17		21
	60	Series 1996-59, Class J, 6.500%, 08/25/22		68
	621	Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		26


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	44	Series 1997-27, Class J, 7.500%, 04/18/27		50
	73	Series 1997-29, Class J, 7.500%, 04/20/27		83
	493	Series 1997-39, Class PD, 7.500%, 05/20/27		561
	153	Series 1997-42, Class EN, 7.250%, 07/18/27		160
	65	Series 1997-42, Class ZC, 6.500%, 07/18/27		74
	1,008	Series 1997-61, Class ZC, 7.000%, 02/25/23		1,136
	189	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		42
	27	Series 1998-4, Class C, PO, 04/25/23		25
	569	Series 1998-36, Class ZB, 6.000%, 07/18/28		644
	213	Series 1998-43, Class SA, IF, IO, 17.097%, 04/25/23		92
	343	Series 1998-66, Class SB, IF, IO, 7.932%, 12/25/28		84
	197	Series 1999-17, Class C, 6.350%, 04/25/29		227
	1,279	Series 1999-18, Class Z, 5.500%, 04/18/29		1,432
	337	Series 1999-38, Class SK, IF, IO, 7.832%, 08/25/23		54
	99	Series 1999-52, Class NS, HB, IF, 22.769%, 10/25/23		153
	260	Series 1999-62, Class PB, 7.500%, 12/18/29		304
	836	Series 2000-2, Class ZE, 7.500%, 02/25/30		979
	411	Series 2000-20, Class SA, IF, IO, 8.882%, 07/25/30		106
	64	Series 2000-52, Class IO, IO, 8.500%, 01/25/31		13
	301	Series 2001-4, Class PC, 7.000%, 03/25/21		331
	110	Series 2001-5, Class OW, 6.000%, 03/25/16		114
	217	Series 2001-7, Class PF, 7.000%, 03/25/31		254
	661	Series 2001-7, Class PR, 6.000%, 03/25/16		690
	653	Series 2001-10, Class PR, 6.000%, 04/25/16		680
	620	Series 2001-30, Class PM, 7.000%, 07/25/31		726
	933	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		208
	570	Series 2001-36, Class DE, 7.000%, 08/25/31		668
	1,350	Series 2001-44, Class MY, 7.000%, 09/25/31		1,581
	270	Series 2001-44, Class PD, 7.000%, 09/25/31		317
	286	Series 2001-44, Class PU, 7.000%, 09/25/31		335
	2,405	Series 2001-48, Class Z, 6.500%, 09/25/21		2,711
	240	Series 2001-49, Class Z, 6.500%, 09/25/31		279
	173	Series 2001-52, Class KB, 6.500%, 10/25/31		201
	504	Series 2001-52, Class XN, 6.500%, 11/25/15		543
	2,126	Series 2001-61, Class Z, 7.000%, 11/25/31		2,492
	250	Series 2001-71, Class MB, 6.000%, 12/25/16		269
	574	Series 2001-71, Class QE, 6.000%, 12/25/16		617


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	139	Series 2001-72, Class SX, IF, 16.957%, 12/25/31		167
	765	Series 2001-74, Class MB, 6.000%, 12/25/16		824
	141	Series 2001-80, Class PE, 6.000%, 07/25/29		142
	219	Series 2002-1, Class HC, 6.500%, 02/25/22		236
	238	Series 2002-1, Class SA, HB, IF, 24.478%, 02/25/32		377
	153	Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23		237
	712	Series 2002-2, Class UC, 6.000%, 02/25/17		768
	1,896	Series 2002-3, Class OG, 6.000%, 02/25/17		2,039
	406	Series 2002-7, Class OG, 6.000%, 03/25/17		436
	1,357	Series 2002-7, Class TG, 6.000%, 03/25/17		1,457
	417	Series 2002-10, Class SB, IF, 18.676%, 03/25/17		510
	576	Series 2002-11, Class QG, 5.500%, 03/25/17		617
	2,000	Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32		93
	32	Series 2002-13, Class ST, IF, 10.000%, 03/25/32		35
	1,977	Series 2002-18, Class PC, 5.500%, 04/25/17		2,062
	433	Series 2002-19, Class PE, 6.000%, 04/25/17		465
	86	Series 2002-21, Class LO, PO, 04/25/32		78
	763	Series 2002-21, Class PE, 6.500%, 04/25/32		869
	907	Series 2002-24, Class AJ, 6.000%, 04/25/17		992
	286	Series 2002-25, Class SG, IF, 18.796%, 05/25/17		354
	1,789	Series 2002-28, Class PK, 6.500%, 05/25/32		2,070
	526	Series 2002-37, Class Z, 6.500%, 06/25/32		610
	664	Series 2002-42, Class C, 6.000%, 07/25/17		720
	2,609	Series 2002-48, Class GH, 6.500%, 08/25/32		2,970
	384	Series 2002-55, Class QE, 5.500%, 09/25/17		421
	4,396	Series 2002-56, Class UC, 5.500%, 09/25/17		4,748
	1,297	Series 2002-62, Class ZE, 5.500%, 11/25/17		1,403
	433	Series 2002-63, Class KC, 5.000%, 10/25/17		467
	593	Series 2002-77, Class S, IF, 14.083%, 12/25/32		713
	1,164	Series 2002-81, Class JO, PO, 04/25/32		1,123
	1,222	Series 2002-83, Class CS, 6.881%, 08/25/23		1,396
	80	Series 2002-91, Class UH, IO, 5.500%, 06/25/22		3
	3,107	Series 2002-94, Class BK, 5.500%, 01/25/18		3,354
	1,608	Series 2003-3, Class HJ, 5.000%, 02/25/18		1,712
	2,524	Series 2003-22, Class UD, 4.000%, 04/25/33		2,682
	1,780	Series 2003-23, Class PG, 5.500%, 01/25/32		1,846
	379	Series 2003-27, Class DW, 4.500%, 04/25/17		387


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2,587	Series 2003-33, Class IA, IO, 6.500%, 05/25/33		561
	1,758	Series 2003-34, Class AX, 6.000%, 05/25/33		1,979
	1,516	Series 2003-34, Class ED, 6.000%, 05/25/33		1,802
	114	Series 2003-35, Class UC, 3.750%, 05/25/33		121
	355	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		64
	1,319	Series 2003-39, Class LW, 5.500%, 05/25/23		1,514
	1,884	Series 2003-41, Class PE, 5.500%, 05/25/23		2,138
	734	Series 2003-42, Class GB, 4.000%, 05/25/33		783
	413	Series 2003-45, Class AI, IO, 5.500%, 05/25/33		25
	828	Series 2003-47, Class PE, 5.750%, 06/25/33		938
	550	Series 2003-52, Class SX, HB, IF, 22.295%, 10/25/31		827
	2,700	Series 2003-56, Class AZ, 5.500%, 08/25/31		2,798
	7	Series 2003-60, Class NJ, 5.000%, 07/25/21		7
	521	Series 2003-64, Class SX, IF, 13.279%, 07/25/33		574
	67	Series 2003-67, Class VQ, 7.000%, 01/25/19		68
	96	Series 2003-68, Class QP, 3.000%, 07/25/22		97
	1,573	Series 2003-71, Class DS, IF, 7.216%, 08/25/33		1,593
	1,358	Series 2003-71, Class IM, IO, 5.500%, 12/25/31		138
	2,940	Series 2003-72, Class IE, IO, 5.500%, 08/25/33		505
	1,659	Series 2003-73, Class GA, 3.500%, 05/25/31		1,708
	292	Series 2003-74, Class SH, IF, 9.777%, 08/25/33		299
	1,120	Series 2003-76, Class GQ, 4.500%, 08/25/18		1,196
	3,086	Series 2003-80, Class SY, IF, IO, 7.432%, 06/25/23		364
	1,350	Series 2003-81, Class LC, 4.500%, 09/25/18		1,462
	4,930	Series 2003-83, Class PG, 5.000%, 06/25/23		5,352
	707	Series 2003-86, Class KR, 4.500%, 09/25/16		710
	695	Series 2003-91, Class SD, IF, 12.136%, 09/25/33		810
	114	Series 2003-92, Class SH, IF, 9.234%, 09/25/18		118
	872	Series 2003-106, Class US, IF, 8.747%, 11/25/23		889
	3,112	Series 2003-116, Class SB, IF, IO, 7.382%, 11/25/33		660
	3,882	Series 2003-117, Class JB, 3.500%, 06/25/33		4,092
	1,507	Series 2003-122, Class TE, 5.000%, 12/25/22		1,648
	487	Series 2003-128, Class KE, 4.500%, 01/25/14		503


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	856	Series 2003-128, Class NG, 4.000%, 01/25/19		916
	453	Series 2003-130, Class SX, IF, 11.192%, 01/25/34		512
	379	Series 2003-132, Class OA, PO, 08/25/33		347
	2,795	Series 2004-4, Class QI, IF, IO, 6.882%, 06/25/33		544
	264	Series 2004-4, Class QM, IF, 13.763%, 06/25/33		326
	1,378	Series 2004-10, Class SC, HB, IF, 27.726%, 02/25/34		2,003
	992	Series 2004-14, Class SD, IF, 8.747%, 03/25/34		1,007
	1,147	Series 2004-21, Class CO, PO, 04/25/34		998
	295	Series 2004-22, Class A, 4.000%, 04/25/19		302
	1,130	Series 2004-25, Class PC, 5.500%, 01/25/34		1,268
	2,373	Series 2004-25, Class SA, IF, 18.924%, 04/25/34		3,272
	7,708	Series 2004-27, Class HB, 4.000%, 05/25/19		8,306
	753	Series 2004-36, Class PC, 5.500%, 02/25/34		846
	2,402	Series 2004-36, Class SA, IF, 18.924%, 05/25/34		3,330
	1,119	Series 2004-36, Class SN, IF, 13.763%, 07/25/33		1,403
	4,281	Series 2004-37, Class AG, 4.500%, 11/25/32		4,662
	2,276	Series 2004-46, Class HS, IF, IO, 5.782%, 05/25/30		101
	1,043	Series 2004-46, Class QB, HB, IF, 23.126%, 05/25/34		1,556
	3,667	Series 2004-46, Class SK, IF, 15.899%, 05/25/34		4,692
	745	Series 2004-51, Class SY, IF, 13.803%, 07/25/34		910
	856	Series 2004-53, Class NC, 5.500%, 07/25/24		917
	1,343	Series 2004-59, Class BG, PO, 12/25/32		1,209
	223	Series 2004-61, Class SK, IF, 8.500%, 11/25/32		244
	795	Series 2004-70, Class JA, 4.500%, 10/25/19		837
	793	Series 2004-76, Class CL, 4.000%, 10/25/19		842
	1,149	Series 2004-79, Class SP, IF, 19.199%, 11/25/34		1,586
	377	Series 2004-81, Class AC, 4.000%, 11/25/19		399
	83	Series 2004-92, Class JO, PO, 12/25/34		79
	122	Series 2005-28, Class JA, 5.000%, 04/25/35		123
	530	Series 2005-52, Class PA, 6.500%, 06/25/35		579
	3,261	Series 2005-56, Class S, IF, IO, 6.492%, 07/25/35		550


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,755	Series 2005-59, Class PC, 5.500%, 03/25/31		1,831
	602	Series 2005-66, Class SG, IF, 16.829%, 07/25/35		709
	1,324	Series 2005-68, Class BC, 5.250%, 06/25/35		1,460
	2,932	Series 2005-68, Class PG, 5.500%, 08/25/35		3,303
	1,927	Series 2005-68, Class UC, 5.000%, 06/25/35		2,111
	1,289	Series 2005-74, Class CS, IF, 19.419%, 05/25/35		1,800
	12,807	Series 2005-84, Class XM, 5.750%, 10/25/35		14,258
	4,899	Series 2005-97, Class HC, 5.000%, 02/25/32		5,222
	3,425	Series 2005-109, Class PC, 6.000%, 12/25/35		3,960
	9,445	Series 2005-110, Class GJ, 5.500%, 11/25/30		9,870
	14,556	Series 2005-110, Class GK, 5.500%, 08/25/34		16,282
	4,326	Series 2005-110, Class GL, 5.500%, 12/25/35		4,998
	2,997	Series 2005-110, Class MN, 5.500%, 06/25/35		3,400
	1,873	Series 2005-116, Class PB, 6.000%, 04/25/34		2,024
	4,500	Series 2005-118, Class PN, 6.000%, 01/25/32		4,819
	746	Series 2006-15, Class OT, PO, 01/25/36		706
	1,036	Series 2006-16, Class OA, PO, 03/25/36		956
	1,143	Series 2006-22, Class AO, PO, 04/25/36		1,034
	466	Series 2006-23, Class KO, PO, 04/25/36		439
	3,149	Series 2006-39, Class WC, 5.500%, 01/25/36		3,538
	364	Series 2006-42, Class CF, VAR, 0.668%, 06/25/36		364
	2,879	Series 2006-44, Class GO, PO, 06/25/36		2,627
	8,326	Series 2006-44, Class P, PO, 12/25/33		7,549
	2,000	Series 2006-46, Class UC, 5.500%, 12/25/35		2,248
	5,304	Series 2006-53, Class US, IF, IO, 6.362%, 06/25/36		788
	3,419	Series 2006-56, Class FC, VAR, 0.508%, 07/25/36		3,411
	1,000	Series 2006-56, Class OA, PO, 10/25/24		960
	3,546	Series 2006-56, Class PF, VAR, 0.568%, 07/25/36		3,536
	1,844	Series 2006-56, Class PO, PO, 07/25/36		1,675
	3,068	Series 2006-58, Class AP, PO, 07/25/36		2,846
	332	Series 2006-58, Class FL, VAR, 0.678%, 07/25/36		332
	1,303	Series 2006-58, Class PO, PO, 07/25/36		1,176
	2,973	Series 2006-59, Class QO, PO, 01/25/33		2,790
	2,796	Series 2006-60, Class DZ, 6.500%, 07/25/36		3,471
	1,993	Series 2006-65, Class QO, PO, 07/25/36		1,817


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,583	Series 2006-71, Class IC, IO, 6.000%, 04/25/17		85
	568	Series 2006-72, Class TO, PO, 08/25/36		527
	6,305	Series 2006-77, Class PC, 6.500%, 08/25/36		7,391
	1,621	Series 2006-79, Class DO, PO, 08/25/36		1,478
	989	Series 2006-90, Class AO, PO, 09/25/36		916
	451	Series 2006-109, Class PO, PO, 11/25/36		407
	5,221	Series 2006-110, Class PO, PO, 11/25/36		4,790
	420	Series 2006-111, Class EO, PO, 11/25/36		376
	1,447	Series 2006-118, Class A2, VAR, 0.278%, 12/25/36		1,430
	885	Series 2006-119, Class PO, PO, 12/25/36		806
	10,000	Series 2006-124, Class HB, VAR, 5.965%, 11/25/36		10,953
	1,000	Series 2006-128, Class BP, 5.500%, 01/25/37		1,135
	2,151	Series 2006-130, Class GI, IO, 6.500%, 07/25/32		376
	5,980	Series 2007-7, Class SG, IF, IO, 6.282%, 08/25/36		853
	8,117	Series 2007-14, Class ES, IF, IO, 6.222%, 03/25/37		1,187
	538	Series 2007-15, Class NO, PO, 03/25/22		504
	3,463	Series 2007-16, Class FC, VAR, 0.968%, 03/25/37		3,450
	856	Series 2007-42, Class AO, PO, 05/25/37		810
	1,500	Series 2007-46, Class VK, 5.500%, 03/25/22		1,684
	949	Series 2007-48, Class PO, PO, 05/25/37		859
	3,406	Series 2007-54, Class FA, VAR, 0.618%, 06/25/37		3,400
	12,226	Series 2007-60, Class AX, IF, IO, 6.932%, 07/25/37		2,238
	838	Series 2007-77, Class FG, VAR, 0.718%, 03/25/37		839
	1,907	Series 2007-79, Class PB, 5.000%, 04/25/29		1,935
	2,100	Series 2007-79, Class PC, 5.000%, 01/25/32		2,215
	1,000	Series 2007-81, Class GE, 6.000%, 08/25/37		1,177
	2,000	Series 2007-84, Class PD, 6.000%, 08/25/32		2,061
	5,000	Series 2007-84, Class PG, 6.000%, 12/25/36		5,695
	6,429	Series 2007-88, Class VI, IF, IO, 6.322%, 09/25/37		1,074
	4,490	Series 2007-91, Class ES, IF, IO, 6.242%, 10/25/37		783
	3,299	Series 2007-97, Class KI, IO, 7.000%, 05/25/33		674
	184	Series 2007-97, Class MS, IF, 14.266%, 12/25/31		191


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	6,447	Series 2007-101, Class A2, VAR, 0.468%, 06/27/36		6,431
	1,503	Series 2007-106, Class A7, VAR, 5.969%, 10/25/37		1,605
	3,000	Series 2007-114, Class A6, VAR, 0.418%, 10/27/37		2,981
	3,594	Series 2007-116, Class HI, IO, VAR, 6.413%, 01/25/38		266
	218	Series 2007-118, Class IO, IO, 6.000%, 06/25/36		36
	4,517	Series 2008-1, Class BI, IF, IO, 5.692%, 02/25/38		613
	2,696	Series 2008-10, Class XI, IF, IO, 6.012%, 03/25/38		386
	2,476	Series 2008-16, Class IS, IF, IO, 5.982%, 03/25/38		324
	2,311	Series 2008-19, Class IC, IO, 5.000%, 03/25/23		231
	1,000	Series 2008-24, Class DY, 5.000%, 04/25/23		1,125
	1,709	Series 2008-27, Class SN, IF, IO, 6.682%, 04/25/38		307
	7,611	Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12		19
	1,451	Series 2008-39, Class CI, IO, 4.500%, 05/25/18		115
	1,085	Series 2008-42, Class AO, PO, 09/25/36		994
	228	Series 2008-44, Class PO, PO, 05/25/38		196
	2,406	Series 2008-47, Class SI, IF, IO, 6.282%, 06/25/23		291
	2,618	Series 2008-53, Class CI, IF, IO, 6.982%, 07/25/38		425
	515	Series 2008-59, Class IG, IO, 5.500%, 11/25/34		27
	1,296	Series 2008-76, Class GF, VAR, 0.868%, 09/25/23		1,308
	5,461	Series 2008-80, Class SA, IF, IO, 5.632%, 09/25/38		699
	3,346	Series 2008-81, Class SB, IF, IO, 5.632%, 09/25/38		468
	4,747	Series 2009-6, Class GS, IF, IO, 6.332%, 02/25/39		735
	2,259	Series 2009-9, Class IO, IO, 5.000%, 02/25/24		249
	1,997	Series 2009-18, Class IO, IO, 5.000%, 03/25/24		209
	2,500	Series 2009-19, Class IP, IO, 5.500%, 10/25/36		851
	2,621	Series 2009-62, Class HJ, VAR, 6.000%, 05/25/39		2,911


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — Continued
	3,023		Series 2009-70, Class CO, PO, 01/25/37		2,736
	4,042		Series 2009-86, Class UI, IO, 4.000%, 10/25/14		282
	2,979		Series 2009-99, Class SC, IF, IO, 5.962%, 12/25/39		389
	1,922		Series 2009-103, Class MB, 4.000%, 12/25/39		2,047
	2,000		Series 2010-45, Class BD, 4.500%, 11/25/38		2,183
	2,646		Series 2010-49, Class SC, IF, 12.223%, 03/25/40		3,082
	1,908		Series 2010-64, Class DM, 5.000%, 06/25/40		2,065
	4,225		Series 2010-133, Class A, 5.500%, 05/25/38		4,521
	3,841		Series 2010-148, Class MA, 4.000%, 02/25/39		4,124
	4,956		Series 2011-2, Class WA, VAR, 5.728%, 02/25/51		5,458
	2,847		Series 2011-22, Class MA, 6.500%, 04/25/38		3,206
	10,564		Series 2011-30, Class LS, IO, VAR, 4.835%, 04/25/41		830
	1,897		Series 2011-75, Class FA, VAR, 0.768%, 08/25/41		1,898
	1		Series G-17, Class S, HB, VAR, 1,055.166%, 06/25/21		17
	50		Series G-28, Class S, IF, 14.850%, 09/25/21		68
	45		Series G-35, Class M, 8.750%, 10/25/21		52
	16		Series G-51, Class SA, HB, IF, 23.729%, 12/25/21		26
	—	(h)	Series G92-15, Class Z, 7.000%, 01/25/22		—	(h)
	—	(h)	Series G92-27, Class SQ, HB, IF, 1,737.650%, 05/25/22		3
	224		Series G92-35, Class E, 7.500%, 07/25/22		251
	—	(h)	Series G92-35, Class G, HB, 1,184.775%, 07/25/22		5
	28		Series G92-42, Class Z, 7.000%, 07/25/22		31
	951		Series G92-44, Class ZQ, 8.000%, 07/25/22		1,084
	35		Series G92-52, Class FD, VAR, 0.271%, 09/25/22		34
	296		Series G92-54, Class ZQ, 7.500%, 09/25/22		335
	36		Series G92-59, Class F, VAR, 2.038%, 10/25/22		37
	71		Series G92-61, Class Z, 7.000%, 10/25/22		86
	51		Series G92-62, Class B, PO, 10/25/22		43
	244		Series G93-1, Class KA, 7.900%, 01/25/23		280
	55		Series G93-5, Class Z, 6.500%, 02/25/23		62
	71		Series G93-14, Class J, 6.500%, 03/25/23		78
	167		Series G93-17, Class SI, IF, 6.000%, 04/25/23		173


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	157	Series G93-27, Class FD, VAR, 1.130%, 08/25/23		159
	39	Series G93-37, Class H, PO, 09/25/23		33
	61	Series G95-1, Class C, 8.800%, 01/25/25		72
		Federal National Mortgage Association STRIPS,
	5	Series 23, Class 2, IO, 10.000%, 09/01/17		1
	1	Series 50, Class 2, IO, 10.500%, 03/01/19		—	(h)
	24	Series 218, Class 2, IO, 7.500%, 04/01/23		5
	22	Series 265, Class 2, 9.000%, 03/01/24		26
	465	Series 329, Class 1, PO, 01/01/33		416
	1,431	Series 339, Class 18, IO, 4.500%, 07/01/18		127
	2,050	Series 339, Class 21, IO, 4.500%, 07/01/18		172
	908	Series 339, Class 28, IO, 5.500%, 07/01/18		95
	808	Series 345, Class 6, IO, VAR, 5.000%, 12/01/33		99
	1,861	Series 351, Class 7, IO, VAR, 5.000%, 04/01/34		239
	1,210	Series 355, Class 11, IO, 6.000%, 07/01/34		221
	727	Series 355, Class 31, IO, VAR, 4.500%, 12/01/18		65
	3,235	Series 365, Class 8, IO, 5.500%, 05/01/36		572
	439	Series 368, Class 3, IO, 4.500%, 11/01/20		38
	1,727	Series 374, Class 5, IO, 5.500%, 08/01/36		298
	1,064	Series 383, Class 32, IO, 6.000%, 01/01/38		167
	2,785	Series 383, Class 33, IO, 6.000%, 01/01/38		443
	500	Series 393, Class 6, IO, 5.500%, 04/25/37		61
		Federal National Mortgage Association Whole Loan,
	1,290	Series 2003-W1, Class 1A1, VAR, 6.333%, 12/25/42		1,534
	477	Series 2003-W1, Class 2A, VAR, 7.181%, 12/25/42		565
	225	Series 2003-W4, Class 2A, 6.500%, 10/25/42		251
	358	Series 2004-W1, Class 2A2, 7.000%, 12/25/33		418
	1,781	Series 2004-W15, Class 2AF, VAR, 0.468%, 08/25/44		1,770
	1,276	Series 2004-W2, Class 2A2, 7.000%, 02/25/44		1,478
	4,568	Series 2005-W3, Class 2AF, VAR, 0.438%, 03/25/45		4,546
	1,605	Series 2006-W2, Class 1AF1, VAR, 0.438%, 02/25/36		1,598
	203	Series 2007-W7, Class 1A4, HB, IF, 37.870%, 07/25/37		352
	4,149	Series 2009-W1, Class A, 6.000%, 12/25/49		4,654


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,299	Federal National Mortgage Association, Other, Series 2011- M2, Class A2, 3.645%, 07/25/21		1,318
		Government National Mortgage Association,
	869	Series 1994-3, Class PQ, 7.488%, 07/16/24		1,040
	488	Series 1994-4, Class KQ, 7.988%, 07/16/24		564
	2,605	Series 1994-7, Class PQ, 6.500%, 10/16/24		3,021
	416	Series 1996-16, Class E, 7.500%, 08/16/26		477
	653	Series 1997-8, Class PN, 7.500%, 05/16/27		746
	153	Series 1997-11, Class D, 7.500%, 07/20/27		176
	327	Series 1998-26, Class K, 7.500%, 09/17/25		379
	1,770	Series 1999-4, Class ZB, 6.000%, 02/20/29		1,979
	1,630	Series 1999-10, Class ZC, 6.500%, 04/20/29		1,882
	258	Series 1999-30, Class S, IF, IO, 8.392%, 08/16/29		53
	21	Series 1999-33, Class SM, IF, 9.200%, 09/16/29		24
	330	Series 1999-40, Class ZW, 7.500%, 11/20/29		364
	478	Series 1999-41, Class Z, 8.000%, 11/16/29		558
	160	Series 1999-44, Class PC, 7.500%, 12/20/29		185
	3,205	Series 1999-44, Class ZC, 8.500%, 12/16/29		3,988
	525	Series 1999-44, Class ZG, 8.000%, 12/20/29		613
	392	Series 2000-6, Class Z, 7.500%, 02/20/30		443
	201	Series 2000-9, Class Z, 8.000%, 06/20/30		235
	2,101	Series 2000-9, Class ZJ, 8.500%, 02/16/30		2,599
	368	Series 2000-12, Class ST, HB, IF, 38.559%, 02/16/30		747
	447	Series 2000-14, Class PD, 7.000%, 02/16/30		515
	124	Series 2000-16, Class ZN, 7.500%, 02/16/30		134
	2,910	Series 2000-21, Class Z, 9.000%, 03/16/30		3,653
	502	Series 2000-26, Class TZ, 8.500%, 09/20/30		585
	133	Series 2000-26, Class Z, 7.750%, 09/20/30		155
	25	Series 2000-30, Class ST, IF, 11.050%, 12/16/22		27
	405	Series 2000-31, Class Z, 9.000%, 10/20/30		475
	231	Series 2000-35, Class ZA, 9.000%, 11/20/30		257
	35	Series 2000-36, Class IK, IO, 9.000%, 11/16/30		11
	167	Series 2000-37, Class B, 8.000%, 12/20/30		196
	89	Series 2000-38, Class AH, 7.150%, 12/20/30		108
	231	Series 2001-4, Class SJ, IF, IO, 7.940%, 01/19/30		66
	179	Series 2001-6, Class SD, IF, IO, 8.342%, 03/16/31		62
	388	Series 2001-7, Class PK, 6.500%, 03/20/31		422
	1,088	Series 2001-8, Class Z, 6.500%, 03/20/31		1,257


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	19	Series 2001-32, Class WA, IF, 19.592%, 07/20/31		28
	313	Series 2001-35, Class SA, IF, IO, 8.042%, 08/16/31		86
	239	Series 2001-36, Class S, IF, IO, 7.842%, 08/16/31		64
	1,313	Series 2001-64, Class MQ, 6.500%, 12/20/31		1,398
	299	Series 2002-3, Class SP, IF, IO, 7.182%, 01/16/32		77
	448	Series 2002-7, Class PG, 6.500%, 01/20/32		532
	1,286	Series 2002-24, Class AG, IF, IO, 7.742%, 04/16/32		310
	115	Series 2002-24, Class SB, IF, 11.613%, 04/16/32		140
	3,013	Series 2002-31, Class SE, IF, IO, 7.292%, 04/16/30		640
	901	Series 2002-40, Class UK, 6.500%, 06/20/32		1,047
	47	Series 2002-41, Class SV, IF, 9.000%, 06/16/32		52
	3,462	Series 2002-45, Class QE, 6.500%, 06/20/32		4,066
	1,199	Series 2002-47, Class PG, 6.500%, 07/16/32		1,400
	2,206	Series 2002-47, Class ZA, 6.500%, 07/20/32		2,522
	63	Series 2002-51, Class SG, HB, IF, 31.577%, 04/20/31		120
	1,871	Series 2002-52, Class GH, 6.500%, 07/20/32		2,152
	537	Series 2002-54, Class GB, 6.500%, 08/20/32		618
	219	Series 2002-70, Class AV, 6.000%, 03/20/12		220
	1,501	Series 2002-70, Class PS, IF, IO, 7.487%, 08/20/32		186
	949	Series 2002-75, Class PB, 6.000%, 11/20/32		1,148
	133	Series 2002-80, Class EZ, 7.000%, 01/20/32		133
	436	Series 2003-4, Class NI, IO, 5.500%, 01/20/32		22
	395	Series 2003-4, Class NY, 5.500%, 12/20/13		415
	1,509	Series 2003-11, Class SK, IF, IO, 7.492%, 02/16/33		347
	627	Series 2003-12, Class SP, IF, IO, 7.487%, 02/20/33		144
	144	Series 2003-24, Class PO, PO, 03/16/33		116
	1,203	Series 2003-40, Class TC, 7.500%, 03/20/33		1,263
	1,319	Series 2003-40, Class TJ, 6.500%, 03/20/33		1,588
	753	Series 2003-46, Class MG, 6.500%, 05/20/33		906
	1,394	Series 2003-46, Class TC, 6.500%, 03/20/33		1,631
	559	Series 2003-52, Class AP, PO, 06/16/33		440
	2,150	Series 2003-58, Class BE, 6.500%, 01/20/33		2,501
	986	Series 2003-76, Class LS, IF, IO, 6.987%, 09/20/31		71
	170	Series 2003-90, Class PO, PO, 10/20/33		143


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	2,166	Series 2003-112, Class SA, IF, IO, 6.342%, 12/16/33		411
	3,000	Series 2003-112, Class TS, IF, IO, 6.737%, 10/20/32		516
	6,596	Series 2004-11, Class SW, IF, IO, 5.287%, 02/20/34		826
	731	Series 2004-15, Class SA, IF, 19.077%, 12/20/32		922
	668	Series 2004-28, Class S, IF, 19.090%, 04/16/34		936
	550	Series 2004-68, Class PO, PO, 05/20/31		520
	288	Series 2004-73, Class AE, IF, 14.425%, 08/17/34		356
	3,637	Series 2004-90, Class SI, IF, IO, 5.887%, 10/20/34		523
	2,800	Series 2005-3, Class SB, IF, IO, 5.887%, 01/20/35		395
	6,877	Series 2005-17, Class SL, IF, IO, 6.487%, 07/20/34		1,215
	562	Series 2005-35, Class FL, VAR, 0.563%, 03/20/32		559
	362	Series 2005-39, Class KI, IO, 5.500%, 03/20/34		44
	3,196	Series 2005-58, Class NI, IO, 5.500%, 08/20/35		1,132
	672	Series 2005-68, Class DP, IF, 15.932%, 06/17/35		801
	10,129	Series 2005-68, Class KI, IF, IO, 6.087%, 09/20/35		1,722
	1,331	Series 2005-69, Class SY, IF, IO, 6.537%, 11/20/33		235
	1,345	Series 2005-91, Class PI, IO, 6.000%, 12/20/35		254
	716	Series 2006-16, Class OP, PO, 03/20/36		595
	639	Series 2006-28, Class GO, PO, 03/20/35		592
	2,433	Series 2006-38, Class SW, IF, IO, 6.287%, 06/20/36		315
	2,096	Series 2006-59, Class SD, IF, IO, 6.487%, 10/20/36		326
	4,415	Series 2006-65, Class SA, IF, IO, 6.587%, 11/20/36		681
	2,383	Series 2007-9, Class DI, IF, IO, 6.297%, 03/20/37		356
	5,215	Series 2007-17, Class JI, IF, IO, 6.602%, 04/16/37		894
	559	Series 2007-17, Class JO, PO, 04/16/37		463
	3,794	Series 2007-19, Class SD, IF, IO, 5.987%, 04/20/37		539


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	3,857	Series 2007-26, Class SC, IF, IO, 5.987%, 05/20/37		612
	2,194	Series 2007-27, Class SA, IF, IO, 5.987%, 05/20/37		307
	948	Series 2007-28, Class BO, PO, 05/20/37		788
	276	Series 2007-35, Class TO, PO, 04/20/35		265
	2,175	Series 2007-36, Class SE, IF, IO, 6.262%, 06/16/37		321
	5,964	Series 2007-40, Class SB, IF, IO, 6.537%, 07/20/37		909
	3,576	Series 2007-42, Class SB, IF, IO, 6.537%, 07/20/37		542
	2,500	Series 2007-47, Class PH, 6.000%, 07/16/37		3,066
	1,214	Series 2007-49, Class NO, PO, 12/20/35		1,145
	3,224	Series 2007-50, Class AI, IF, IO, 6.562%, 08/20/37		520
	462	Series 2007-53, Class SW, IF, 19.566%, 09/20/37		608
	1,634	Series 2007-57, Class PO, PO, 03/20/37		1,366
	2,275	Series 2007-57, Class QA, IF, IO, 6.287%, 10/20/37		325
	3,194	Series 2007-71, Class SB, IF, IO, 6.487%, 07/20/36		367
	2,222	Series 2007-72, Class US, IF, IO, 6.337%, 11/20/37		294
	2,253	Series 2007-73, Class MI, IF, IO, 5.787%, 11/20/37		290
	4,442	Series 2007-76, Class SA, IF, IO, 6.317%, 11/20/37		609
	2,231	Series 2007-79, Class SY, IF, IO, 6.337%, 12/20/37		295
	1,374	Series 2007-81, Class SP, IF, IO, 6.437%, 12/20/37		192
	2,469	Series 2007-82, Class SA, IF, IO, 6.317%, 12/20/37		339
	997	Series 2008-2, Class MS, IF, IO, 6.952%, 01/16/38		137
	3,990	Series 2008-2, Class NS, IF, IO, 6.332%, 01/16/38		551
	2,290	Series 2008-10, Class S, IF, IO, 5.617%, 02/20/38		300
	916	Series 2008-23, Class IO, IO, 6.000%, 02/20/37		106
	1,635	Series 2008-25, Class SB, IF, IO, 6.687%, 03/20/38		254
	1,603	Series 2008-32, Class PI, IO, 5.500%, 10/16/37		236


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	3,096	Series 2008-36, Class SH, IF, IO, 6.087%, 04/20/38		433
	11,468	Series 2008-40, Class SA, IF, IO, 6.192%, 05/16/38		2,316
	3,375	Series 2008-41, Class SA, IF, IO, 6.127%, 05/20/38		487
	2,209	Series 2008-55, Class SA, IF, IO, 5.987%, 06/20/38		323
	879	Series 2008-60, Class PO, PO, 01/20/38		786
	2,000	Series 2008-65, Class ME, 5.750%, 09/20/37		2,228
	1,361	Series 2008-71, Class SC, IF, IO, 5.787%, 08/20/38		182
	2,175	Series 2008-93, Class AS, IF, IO, 5.487%, 12/20/38		276
	3,766	Series 2009-6, Class SA, IF, IO, 5.892%, 02/16/39		471
	2,452	Series 2009-10, Class SL, IF, IO, 6.292%, 03/16/34		304
	3,000	Series 2009-12, Class IE, IO, 5.500%, 03/20/39		1,085
	2,399	Series 2009-14, Class KI, IO, 6.500%, 03/20/39		420
	2,124	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		390
	6,028	Series 2009-22, Class SA, IF, IO, 6.057%, 04/20/39		819
	1,856	Series 2009-25, Class SE, IF, IO, 7.387%, 09/20/38		327
	2,066	Series 2009-33, Class CI, IO, 5.500%, 05/20/39		371
	1,600	Series 2009-33, Class TI, IO, 6.000%, 05/20/39		298
	1,905	Series 2009-38, Class IO, IO, 5.000%, 09/16/31		176
	3,060	Series 2009-43, Class SA, IF, IO, 5.737%, 06/20/39		401
	2,374	Series 2009-65, Class IQ, IO, 6.000%, 12/20/38		401
	5,742	Series 2009-72, Class SM, IF, IO, 6.042%, 08/16/39		753
	1,056	Series 2009-79, Class OK, PO, 11/16/37		894
	700	Series 2010-14, Class CO, PO, 08/20/35		501
	1,282	Series 2010-130, Class CP, 7.000%, 10/16/40		1,517
	5,059	Series 2010-157, Class OP, PO, 12/20/40		3,986
	1,895	Series 2011-22, Class WA, 5.947%, 02/20/37		2,157
	9,600	Series 2011-75, Class SM, IF, IO, 6.387%, 05/20/41		1,464


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	11,962	NCUA Guaranteed Notes, Series 2010-C1, Class APT, 2.650%, 10/29/20		12,412
		Vendee Mortgage Trust,
	687	Series 1994-1, Class 1, VAR, 5.629%, 02/15/24		759
	1,218	Series 1994-1, Class 2ZB, 6.500%, 02/15/24		1,380
	1,017	Series 1996-1, Class 1Z, 6.750%, 02/15/26		1,196
	739	Series 1996-2, Class 1Z, 6.750%, 06/15/26		869
	1,411	Series 1997-1, Class 2Z, 7.500%, 02/15/27		1,671
	1,739	Series 1998-1, Class 2E, 7.000%, 03/15/28		2,040
	3,360	Series 1999-1, Class 2Z, 6.500%, 01/15/29		3,958

				863,645

		Non-Agency CMO — 13.0%
	918	AAM ACE Resecuritization Trust, Series 2011-1, Class A20, VAR, 0.478%, 02/02/37 (e)		868
	1,554	ABN AMRO Mortgage Corp., Series 2003-8, Class A3, 4.500%, 06/25/33		1,576
		AH Mortgage Advance Trust,
	3,628	Series SART-2, Class A1, 3.270%, 09/15/43 (e)		3,627
	880	Series SART-2, Class B1, 6.900%, 09/15/43 (e)		880
		American General Mortgage Loan Trust,
	4,200	Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e)		4,217
	2,775	Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e)		2,802
	4,500	Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		4,565
	1,490	Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e)		1,528
	7,278	American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.100%, 09/25/35		2,829
		ASG Resecuritization Trust,
	1,641	Series 2009-1, Class A60, VAR, 5.218%, 06/26/37 (e)		1,657
	2,780	Series 2009-2, Class A55, VAR, 5.367%, 05/24/36 (e)		2,755
	1,000	Series 2009-2, Class G60, VAR, 5.345%, 05/24/36 (e)		948
	6,158	Series 2009-3, Class A65, VAR, 5.235%, 03/26/37 (e)		6,109
	7,378	Series 2009-4, Class A60, 6.000%, 06/28/37 (e)		7,488
	1,656	Series 2010-2, Class A60, VAR, 4.964%, 01/28/37 (e)		1,669


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	1,735	Series 2010-3, Class 2A22, VAR, 0.395%, 10/28/36 (e)		1,683
	1,103	Series 2011-1, Class 3A50, VAR, 2.555%, 11/28/35 (e) (f) (i)		1,058
		Banc of America Alternative Loan Trust,
	314	Series 2003-2, Class PO, PO, 04/25/33		278
	842	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		865
	485	Series 2003-11, Class PO, PO, 01/25/34		398
	335	Series 2004-6, Class 15PO, PO, 07/25/19		259
	2,051	Series 2005-5, Class 1CB1, 5.500%, 06/25/35		1,819
	6,548	Series 2005-6, Class CBIO, IO, 5.500%, 07/25/35		990
	1,845	Series 2006-4, Class 1A4, 6.000%, 05/25/46		1,339
		Banc of America Funding Corp.,
	709	Series 2004-1, Class PO, PO, 03/25/34		567
	1,454	Series 2004-2, Class 30PO, PO, 09/20/34		1,233
	352	Series 2004-3, Class 1A7, 5.500%, 10/25/34		353
	790	Series 2004-C, Class 1A1, VAR, 5.033%, 12/20/34		750
	1,682	Series 2005-6, Class 2A7, 5.500%, 10/25/35		1,628
	1,226	Series 2005-7, Class 30PO, PO, 11/25/35		964
	855	Series 2005-8, Class 30PO, PO, 01/25/36		684
	2,376	Series 2005-E, Class 4A1, VAR, 2.772%, 03/20/35		2,136
	937	Series 2006-A, Class 3A2, VAR, 2.857%, 02/20/36		501
		Banc of America Mortgage Securities, Inc.,
	337	Series 2003-3, Class 2A1, VAR, 0.768%, 05/25/18		321
	470	Series 2003-6, Class 2A1, VAR, 0.668%, 08/25/18		449
	160	Series 2003-7, Class A2, 4.750%, 09/25/18		166
	365	Series 2003-8, Class APO, PO, 11/25/33		304
	3,827	Series 2004-3, Class 15IO, IO, VAR, 0.236%, 04/25/19		19
	187	Series 2004-4, Class APO, PO, 05/25/34		158
	3,568	Series 2004-5, Class 2A2, 5.500%, 06/25/34		3,567
	856	Series 2004-6, Class 2A5, PO, 07/25/34		633
	799	Series 2004-6, Class APO, PO, 07/25/34		662
	69	Series 2004-8, Class 5PO, PO, 05/25/32		60
	95	Series 2004-8, Class XPO, PO, 10/25/34		81
	438	Series 2004-A, Class 2A2, VAR, 2.847%, 02/25/34		364
	1,638	Series 2004-J, Class 3A1, VAR, 5.089%, 11/25/34		1,367
	1,975	Series 2005-10, Class 1A6, 5.500%, 11/25/35		1,857


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	442	Series 2005-A, Class 2A1, VAR, 2.880%, 02/25/35		363
		BCAP LLC Trust,
	471	Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e)		471
	1,195	Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e)		1,215
	1,363	Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)		1,385
	1,336	Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e)		1,340
	1,077	Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e) (f) (i)		1,075
	518	Series 2010-RR4, Class 2A1, VAR, 0.969%, 06/26/37 (e)		482
	1,530	Series 2010-RR6, Class 22A3, VAR, 5.191%, 06/26/36 (e)		1,530
	888	Series 2010-RR6, Class 5A1, VAR, 5.500%, 11/26/37 (e)		862
	1,228	Series 2010-RR7, Class 15A1, VAR, 1.019%, 01/26/36 (e)		1,145
	1,524	Series 2010-RR7, Class 16A1, VAR, 0.952%, 02/26/47 (e)		1,408
	1,368	Series 2010-RR7, Class 1A5, VAR, 5.011%, 04/26/35 (e)		1,342
	3,848	Series 2010-RR7, Class 2A1, VAR, 5.127%, 07/26/45 (e)		3,638
	1,064	Series 2010-RR8, Class 3A3, VAR, 5.083%, 05/26/35 (e)		1,051
	1,500	Series 2010-RR8, Class 3A4, 5.083%, 05/26/35 (e)		1,353
	2,509	Series 2011-RR4, Class 6A3, 5.000%, 08/26/37 (e) (f) (i)		2,396
	3,800	Series 2011-RR5, Class 14A3, VAR, 2.846%, 07/26/36 (e) (f) (i)		3,639
	4,242	Series 2011-RR5-I, Class 11A3, VAR, 0.369%, 05/28/36 (e)		3,945
		Bear Stearns Adjustable Rate Mortgage Trust,
	325	Series 2003-7, Class 3A, VAR, 2.654%, 10/25/33		302
	1,090	Series 2004-1, Class 12A1, VAR, 2.788%, 04/25/34		870
	578	Series 2004-2, Class 14A, VAR, 5.020%, 05/25/34		574
	3,068	Series 2005-5, Class A1, VAR, 2.220%, 08/25/35		2,847
	5,894	Series 2006-1, Class A1, VAR, 2.520%, 02/25/36		5,029


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
		Citicorp Mortgage Securities, Inc.,
	108	Series 1993-14, Class A3, VAR, 1.418%, 11/25/23		103
	2,013	Series 2004-1, Class 3A1, 4.750%, 01/25/34		2,033
	1,307	Series 2004-5, Class 2A5, 4.500%, 08/25/34		1,350
	514	Series 2005-5, Class APO, PO, 08/25/35		421
	539	Series 2005-8, Class APO, PO, 11/25/35		446
		Citigroup Mortgage Loan Trust, Inc.,
	948	Series 2003-1, Class 2A5, 5.250%, 10/25/33		961
	470	Series 2003-1, Class 2A6, PO, 10/25/33		380
	386	Series 2003-1, Class PO2, PO, 10/25/33		317
	299	Series 2003-1, Class PO3, PO, 09/25/33		248
	199	Series 2003-UP3, Class A3, 7.000%, 09/25/33		204
	1,112	Series 2003-UST1, Class A1, 5.500%, 12/25/18		1,164
	260	Series 2003-UST1, Class PO1, PO, 12/25/18		240
	169	Series 2003-UST1, Class PO3, PO, 12/25/18		158
	528	Series 2004-UST1, Class A6, VAR, 5.093%, 08/25/34		527
	526	Series 2005-1, Class 2A1A, VAR, 2.724%, 04/25/35		324
	947	Series 2005-2, Class 2A11, 5.500%, 05/25/35		923
	669	Series 2005-5, Class 1A2, VAR, 2.701%, 08/25/35		369
	2,394	Series 2008-AR4, Class 1A1A, VAR, 5.240%, 11/25/38		2,362
	1,110	Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e)		1,152
	1,605	Series 2011-3, Class 1A1, VAR, 0.298%, 02/25/47 (e)		1,569
		Countrywide Alternative Loan Trust,
	617	Series 2002-8, Class A4, 6.500%, 07/25/32		649
	11,509	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		10,961
	2,673	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		2,735
	720	Series 2005-5R, Class A1, 5.250%, 12/25/18		733
	4,374	Series 2005-1CB, Class 1A6, IF, IO, 6.882%, 03/25/35		569
	7,048	Series 2005-20CB, Class 3A8, IF, IO, 4.532%, 07/25/35		811
	14,611	Series 2005-22T1, Class A2, IF, IO, 4.852%, 06/25/35		1,726
	437	Series 2005-26CB, Class A10, IF, 12.654%, 07/25/35		446


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	6,618	Series 2005-28CB, Class 1A4, 5.500%, 08/25/35		5,178
	304	Series 2005-28CB, Class 3A5, 6.000%, 08/25/35		270
	10,382	Series 2005-37T1, Class A2, IF, IO, 4.832%, 09/25/35		1,399
	6,084	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		5,029
	16,316	Series 2005-54CB, Class 1A2, IF, IO, 4.632%, 11/25/35		2,345
	4,021	Series 2005-57CB, Class 3A2, IF, IO, 4.882%, 12/25/35		580
	2,358	Series 2005-64CB, Class 1A9, 5.500%, 12/25/35		1,851
	11,881	Series 2005-J1, Class 1A4, IF, IO, 4.882%, 02/25/35		1,239
	3,698	Series 2006-26CB, Class A9, 6.500%, 09/25/36		2,426
		Countrywide Home Loan Mortgage Pass-Through Trust,
	2,067	Series 2003-26, Class 1A6, 3.500%, 08/25/33		1,986
	746	Series 2003-44, Class A9, PO, 10/25/33		671
	970	Series 2003-J7, Class 4A3, IF, 9.491%, 08/25/18		965
	818	Series 2004-7, Class 2A1, VAR, 2.276%, 06/25/34		697
	1,106	Series 2004-8, Class 2A1, 4.500%, 06/25/19		1,126
	323	Series 2004-HYB1, Class 2A, VAR, 2.855%, 05/20/34		266
	1,182	Series 2004-HYB3, Class 2A, VAR, 2.554%, 06/20/34		904
	995	Series 2004-HYB6, Class A3, VAR, 3.007%, 11/20/34		808
	854	Series 2004-J8, Class 1A2, 4.750%, 11/25/19		871
	3,853	Series 2005-16, Class A23, 5.500%, 09/25/35		3,576
	4,950	Series 2005-22, Class 2A1, VAR, 3.063%, 11/25/35		3,125
		Credit Suisse Mortgage Capital Certificates,
	879	Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e)		881
	627	Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e)		571
	1,498	Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e)		1,517
	2,123	Series 2010-11R, Class A1, VAR, 1.221%, 06/28/47 (e)		2,090


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	951	Series 2010-12R, Class 14A1, VAR, 2.749%, 09/26/46 (e)		951
	526	Series 2010-15R, Class 7A1, VAR, 5.271%, 10/26/37 (e)		530
	250	Series 2010-15R, Class 7A2, VAR, 5.271%, 10/26/37 (e)		227
	5,230	Series 2011-1R, Class A1, VAR, 1.221%, 02/27/47 (e)		5,223
	1,868	Series 2011-6R, Class 3A1, VAR, 2.876%, 07/28/36 (e)		1,737
	7,890	Series 2011-7R, Class A1, VAR, 1.471%, 08/28/47 (e)		7,885
	3,287	Series 2011-9R, Class A1, VAR, 2.218%, 03/27/46 (e)		3,287
		CS First Boston Mortgage Securities Corp.,
	813	Series 2003-1, Class DB1, 6.564%, 02/25/33		715
	408	Series 2003-17, Class 2A1, 5.000%, 07/25/18		426
	979	Series 2003-21, Class 1A4, 5.250%, 09/25/33		997
	1,597	Series 2003-25, Class 1P, PO, 10/25/33		1,341
	165	Series 2004-5, Class 5P, PO, 08/25/19		154
	1,818	Series 2005-4, Class 3A18, 5.500%, 06/25/35		1,613
	1,883	Series 2005-4, Class 3A22, 5.500%, 06/25/35		1,727
	2,022	Series 2005-4, Class 3A23, 5.500%, 06/25/35		1,754
		Deutsche Mortgage Securities, Inc.,
	1,014	Series 2009-RS2, Class 4A1, VAR, 0.317%, 04/26/37 (e)		958
	836	Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e)		829
	1,365	Series 2010-RS2, Class A1, VAR, 1.437%, 06/28/47 (e)		1,363
	18	First Boston Mortgage Securities Corp. 1987 STRIPS, Series C, Class PO, PO, 04/25/17		17
		First Horizon Alternative Mortgage Securities,
	1,409	Series 2004-AA4, Class A1, VAR, 2.356%, 10/25/34		1,199
	2,369	Series 2005-FA8, Class 1A19, 5.500%, 11/25/35		1,636
	3,987	Series 2007-FA4, Class 1A2, IF, IO, 5.432%, 08/25/37		538
		First Horizon Asset Securities, Inc.,
	3,088	Series 2003-9, Class 1A6, 5.500%, 11/25/33		3,148
	1,316	Series 2004-AR2, Class 2A1, VAR, 2.761%, 05/25/34		1,182


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	671	Series 2004-AR7, Class 2A1, VAR, 2.741%, 02/25/35		630
	2,214	Series 2005-AR1, Class 2A2, VAR, 2.750%, 04/25/35		2,001
		GMAC Mortgage Corp. Loan Trust,
	1,198	Series 2003-AR1, Class A4, VAR, 3.303%, 10/19/33		1,139
	664	Series 2004-J5, Class A7, 6.500%, 01/25/35		699
	377	Series 2004-J6, Class 1A1, 5.000%, 01/25/20		387
	842	Series 2005-AR3, Class 3A3, VAR, 3.088%, 06/19/35		784
	5,565	Series 2005-AR3, Class 3A4, VAR, 3.088%, 06/19/35		4,422
	349	Series 2010-1, Class A, 4.250%, 07/25/40 (e)		350
		GSMPS Mortgage Loan Trust,
	1,262	Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e)		1,263
	6,051	Series 2006-RP2, Class 1AS2, IF, IO, 5.365%, 04/25/36 (e)		862
		GSR Mortgage Loan Trust,
	1,410	Series 2004-6F, Class 3A4, 6.500%, 05/25/34		1,504
	1,175	Series 2004-8F, Class 2A3, 6.000%, 09/25/34		1,242
	81	Series 2004-10F, Class 2A1, 5.000%, 08/25/19		82
	548	Series 2004-13F, Class 3A3, 6.000%, 11/25/34		535
	786	Series 2005-4F, Class AP, PO, 05/25/35		655
	5,676	Series 2005-7F, Class 3A9, 6.000%, 09/25/35		5,487
	4,671	Series 2006-1F, Class 2A4, 6.000%, 02/25/36		3,767
	5,000	Series 2007-1F, Class 2A4, 5.500%, 01/25/37		4,687
	588	Impac CMB Trust, Series 2005-4, Class 2A1, VAR, 0.518%, 05/25/35		502
		Impac Secured Assets CMN Owner Trust,
	1,180	Series 2006-1, Class 2A1, VAR, 0.568%, 05/25/36		1,037
	1,841	Series 2006-2, Class 2A1, VAR, 0.568%, 08/25/36		1,608
		Indymac Index Mortgage Loan Trust,
	23,757	Series 2005-AR11, Class A7, IO, VAR, 0.213%, 08/25/35		119
		JP Morgan Mortgage Trust,
	2,891	Series 2006-A2, Class 4A1, VAR, 2.749%, 08/25/34		2,735
	3,544	Series 2006-A2, Class 5A3, VAR, 2.903%, 11/25/33		3,432
	736	Series 2006-A3, Class 6A1, VAR, 2.808%, 08/25/34		639


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	1,209	JP Morgan Reremic, Series 2009- 6, Class 4A1, VAR, 5.958%, 09/26/36 (e)		1,254
		Lehman Mortgage Trust,
	1,327	Series 2006-2, Class 1A1, VAR, 6.482%, 04/25/36		1,267
	2,000	Series 2008-2, Class 1A6, 6.000%, 03/25/38		1,499
	2,450	LVII Resecuritization Trust, Series 2009-2, Class A5, VAR, 3.000%, 09/27/37 (e)		2,448
		MASTR Adjustable Rate Mortgages Trust,
	99	Series 2004-4, Class 2A1, VAR, 2.117%, 05/25/34		58
	1,676	Series 2004-13, Class 2A1, VAR, 2.770%, 04/21/34		1,573
	4,649	Series 2004-13, Class 3A6, VAR, 2.729%, 11/21/34		4,576
	2,800	Series 2004-13, Class 3A7, VAR, 2.729%, 11/21/34		2,554
	460	Series 2004-15, Class 3A1, VAR, 3.241%, 12/25/34		343
		MASTR Alternative Loans Trust,
	356	Series 2003-3, Class 1A1, 6.500%, 05/25/33		370
	1,225	Series 2003-9, Class 8A1, 6.000%, 01/25/34		1,226
	1,108	Series 2004-3, Class 2A1, 6.250%, 04/25/34		1,122
	2,398	Series 2004-4, Class 10A1, 5.000%, 05/25/24		2,480
	795	Series 2004-6, Class 30PO, PO, 07/25/34		682
	1,092	Series 2004-6, Class 7A1, 6.000%, 07/25/34		1,084
	563	Series 2004-7, Class 30PO, PO, 08/25/34		347
	2,603	Series 2004-8, Class 6A1, 5.500%, 09/25/19		2,644
	525	Series 2004-10, Class 1A1, 4.500%, 09/25/19		534
		MASTR Asset Securitization Trust,
	231	Series 2003-2, Class 2A1, 4.500%, 03/25/18		234
	58	Series 2003-3, Class 4A1, 5.000%, 04/25/18		59
	367	Series 2003-4, Class 3A2, 5.000%, 05/25/18		377
	390	Series 2003-12, Class 30PO, PO, 12/25/33		316
	249	Series 2004-1, Class 30PO, PO, 02/25/34		200
	201	Series 2004-4, Class 3A1, 4.500%, 04/25/19		206
	196	Series 2004-6, Class 15PO, PO, 05/25/19		179
	377	Series 2004-8, Class 1A1, 4.750%, 08/25/19		388
	161	Series 2004-8, Class PO, PO, 08/25/19		149
	18	Series 2004-10, Class 5A1, VAR, 0.618%, 11/25/34		18
	1,000	Series 2006-2, Class 1A30, 6.000%, 06/25/36		894
	3,791	MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.568%, 05/25/35 (e)		3,023


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	3,555	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		2,417
	91	Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20		102
	1,398	MLCC Mortgage Investors, Inc., Series 2004-1, Class 2A1, 2.138%, 12/25/34		1,315
	874	MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.538%, 02/25/35		674
		Nomura Asset Acceptance Corp.,
	510	Series 2003-A1, Class A1, 5.500%, 05/25/33		526
	170	Series 2003-A1, Class A2, 6.000%, 05/25/33		178
	65	Series 2003-A1, Class A5, 7.000%, 04/25/33		68
	42	Series 2003-A1, Class A7, 5.000%, 04/25/18		42
	700	Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		705
		Paine Webber CMO Trust,
	4	Series H, Class 4, 8.750%, 04/01/18		4
	20	Series P, Class 4, 8.500%, 08/01/19		23
		RBSSP Resecuritization Trust,
	875	Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e)		920
	1,507	Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e)		1,517
	1,349	Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e)		1,379
	848	Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e)		870
	2,086	Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e)		2,196
	1,573	Series 2010-9, Class 1A1, VAR, 0.403%, 07/26/37 (e) (f) (i)		1,360
	1,800	Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e)		1,784
	1,132	Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e)		1,134
		Residential Accredit Loans, Inc.,
	282	Series 2002-QS16, Class A3, IF, 16.166%, 10/25/17		313
	950	Series 2002-QS8, Class A5, 6.250%, 06/25/17		971
	5,342	Series 2003-QR19, Class CB4, 5.750%, 10/25/33		5,238
	1,691	Series 2003-QS12, Class A2A, IF, IO, 7.382%, 06/25/18		235
	515	Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18		52
	3,397	Series 2003-QS14, Class A1, 5.000%, 07/25/18		3,456


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	1,076	Series 2003-QS18, Class A1, 5.000%, 09/25/18		1,109
	2,389	Series 2003-QS19, Class A1, 5.750%, 10/25/33		2,471
	680	Series 2003-QS3, Class A2, IF, 16.020%, 02/25/18		785
	613	Series 2003-QS3, Class A8, IF, IO, 7.382%, 02/25/18		66
	1,808	Series 2003-QS9, Class A3, IF, IO, 7.332%, 05/25/18		259
	3,022	Series 2004-QA6, Class NB2, VAR, 3.113%, 12/26/34		1,984
	287	Series 2004-QS8, Class A2, 5.000%, 06/25/34		288
		Residential Asset Securitization Trust,
	1,059	Series 2003-A13, Class A3, 5.500%, 01/25/34		1,057
	96	Series 2003-A14, Class A1, 4.750%, 02/25/19		97
	4,243	Series 2005-A2, Class A4, IF, IO, 4.832%, 03/25/35		538
	1,401	Series 2006-A4, Class 2A5, 6.000%, 05/25/36		880
		Residential Funding Mortgage Securities I,
	1,130	Series 2003-S13, Class A3, 5.500%, 06/25/33		1,151
	395	Series 2003-S14, Class A4, PO, 07/25/18		369
	750	Series 2004-S3, Class A1, 4.750%, 03/25/19		768
	1,513	Series 2004-S6, Class 2A6, PO, 06/25/34		1,252
	329	Series 2004-S9, Class 2A1, 4.750%, 12/25/19		336
	1,135	Series 2005-SA4, Class 1A1, VAR, 3.003%, 09/25/35		768
	75	Residential Funding Securities LLC, Series 2003-RM2, Class AP-3, PO, 05/25/33		62
		Salomon Brothers Mortgage Securities VII, Inc.,
	590	Series 2003-HYB1, Class A, VAR, 3.189%, 09/25/33		550
	144	Series 2003-UP2, Class PO1, PO, 12/25/18		115
	3,214	Springleaf Mortgage Loan Trust, Series 2011-1A, Class A1, VAR, 4.050%, 08/25/35 (e)		3,211
	5,500	Station Place Securitization Trust, Series 2010-1, Class A, VAR, 1.213%, 12/20/42 (e)		5,500
	2,826	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.931%, 06/25/34		2,664
	1,007	Structured Asset Mortgage Investments, Inc., Series 2004- AR5, Class 1A1, VAR, 0.542%, 10/19/34		831


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		Structured Asset Securities Corp.,
	81	Series 2002-10H, Class 1AP, PO, 05/25/32		60
	207	Series 2003-8, Class 1A2, 5.000%, 04/25/18		212
	502	Series 2003-31A, Class B1, VAR, 2.567%, 10/25/33		191
	1,734	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		1,754
	782	Series 2004-20, Class 1A3, 5.250%, 11/25/34		787
	2,956	Series 2004-5H, Class A4, 5.540%, 12/25/33		2,880
	536	Series 2005-6, Class 4A1, 5.000%, 05/25/35		527
	1,000	Series 2005-10, Class 5A9, 5.250%, 12/25/34		981
	948	Thornburg Mortgage Securities Trust, Series 2003-4, Class A1, VAR, 0.538%, 09/25/43		856
		WaMu Mortgage Pass-Through Certificates,
	223	Series 2003-AR8, Class A, VAR, 2.476%, 08/25/33		210
	5,069	Series 2003-AR9, Class 1A6, VAR, 2.589%, 09/25/33		4,796
	710	Series 2003-AR9, Class 2A, VAR, 2.608%, 09/25/33		676
	1,096	Series 2003-S10, Class A5, 5.000%, 10/25/18		1,100
	120	Series 2003-S10, Class A6, PO, 10/25/18		119
	515	Series 2003-S11, Class 2A5, IF, 16.449%, 11/25/33		540
	967	Series 2003-S8, Class A6, 4.500%, 09/25/18		986
	3,406	Series 2003-S9, Class A8, 5.250%, 10/25/33		3,531
	438	Series 2003-S9, Class P, PO, 10/25/33		358
	421	Series 2004-AR3, Class A1, VAR, 2.577%, 06/25/34		415
	240	Series 2004-AR3, Class A2, VAR, 2.577%, 06/25/34		237
	2,468	Series 2004-RS2, Class A4, 5.000%, 11/25/33		2,470
	565	Series 2006-AR10, Class 2P, VAR, 09/25/36		297
	396	Series 2006-AR12, Class 2P, VAR, 10/25/36		208
		Washington Mutual Alternative Mortgage Pass-Through Certificates,
	14,227	Series 2005-2, Class 1A4, IF, IO, 4.832%, 04/25/35		1,721
	3,484	Series 2005-2, Class 2A3, IF, IO, 4.782%, 04/25/35		369
	3,679	Series 2005-3, Class CX, IO, 5.500%, 05/25/35		580
	4,019	Series 2005-4, Class CB7, 5.500%, 06/25/35		3,317
	3,614	Series 2005-4, Class CX, IO, 5.500%, 06/25/35		553


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	1,199	Series 2005-6, Class 2A4, 5.500%, 08/25/35		968
	5,481	Series 2005-6, Class 2A9, 5.500%, 08/25/35		3,842
		Wells Fargo Mortgage-Backed Securities Trust,
	580	Series 2003-8, Class A9, 4.500%, 08/25/18		597
	956	Series 2003-11, Class 1A4, 4.750%, 10/25/18		955
	315	Series 2003-11, Class 1APO, PO, 10/25/18		277
	1,028	Series 2003-13, Class A7, 4.500%, 11/25/18		1,042
	1,147	Series 2003-15, Class 1A1, 4.750%, 12/25/18		1,184
	233	Series 2003-15, Class APO, PO, 12/25/18		215
	1,033	Series 2003-16, Class 2A1, 4.500%, 12/25/18		1,053
	240	Series 2003-16, Class 2A3, 4.500%, 12/25/18		240
	740	Series 2003-K, Class 1A1, VAR, 4.443%, 11/25/33		708
	1,399	Series 2003-K, Class 1A2, VAR, 4.443%, 11/25/33		1,366
	375	Series 2004-2, Class APO, PO, 01/25/19		349
	595	Series 2004-7, Class 2A1, 4.500%, 07/25/19		608
	580	Series 2004-7, Class 2A2, 5.000%, 07/25/19		599
	1,451	Series 2004-BB, Class A4, VAR, 2.742%, 01/25/35		1,385
	1,095	Series 2004-EE, Class 2A1, VAR, 2.749%, 12/25/34		1,043
	1,193	Series 2004-EE, Class 3A1, VAR, 2.848%, 12/25/34		1,145
	2,310	Series 2004-P, Class 2A1, VAR, 2.682%, 09/25/34		2,148
	1,128	Series 2004-V, Class 1A1, VAR, 2.747%, 10/25/34		1,065
	927	Series 2005-1, Class 2A1, 5.000%, 01/25/20		963
	275	Series 2005-13, Class APO, PO, 11/25/20		251
	788	Series 2005-16, Class APO, PO, 01/25/36		646
	654	Series 2005-AR16, Class 2A1, VAR, 2.759%, 10/25/35		594
	1,024	Series 2005-AR8, Class 2A1, VAR, 2.759%, 06/25/35		949
	1,376	Series 2006-2, Class APO, PO, 03/25/36		1,060
	925	Series 2006-4, Class 1APO, PO, 04/25/36		765
	2,500	Series 2007-7, Class A7, 6.000%, 06/25/37		2,390
	747	Series 2007-11, Class A14, 6.000%, 08/25/37		683

				410,065

		Total Collateralized Mortgage Obligations (Cost $1,181,100)		1,273,710


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Commercial Mortgage-Backed Securities — 2.3%
		Banc of America Commercial Mortgage, Inc.,
	400	Series 2005-3, Class A4, 4.668%, 07/10/43		427
	1,610	Series 2005-3, Class AM, 4.727%, 07/10/43		1,552
	3,882	Series 2005-6, Class ASB, VAR, 5.368%, 09/10/47		4,059
	265	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		287
	2,250	Series 2006-4, Class A4, 5.634%, 07/10/46		2,431
	250	Series 2006-5, Class A4, 5.414%, 09/10/47		263
		Bear Stearns Commercial Mortgage Securities,
	46,254	Series 2005-PWR8, Class X1, IO, VAR, 0.299%, 06/11/41 (e)		709
	1,681	Series 2005-PWR9, Class AAB, 4.804%, 09/11/42		1,742
	3,148	Series 2006-PW11, Class A4, VAR, 5.620%, 03/11/39		3,455
	321	Series 2006-PW14, Class A1, 5.044%, 12/11/38		321
		Citigroup Commercial Mortgage Trust,
	1,200	Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43		1,146
	180	Series 2006-C4, Class A1, VAR, 5.922%, 03/15/49		179
	119,631	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.167%, 12/11/49 (e)		1,010
	1,100	Commercial Mortgage Pass Through Certificates, Series 2005- LP5, Class A4, VAR, 4.982%, 05/10/43		1,187
	29,653	CW Capital Cobalt Ltd., Series 2006-C1, Class IO, IO, VAR, 0.916%, 08/15/48		730
	3,179	FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e)		3,306
	1,856	GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48		1,662
	4,025	GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		4,282
	500	Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42		459
		GS Mortgage Securities Corp. II,
	1,825	Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38		1,945
	770	Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38		822
	1,000	Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e)		957


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	1,000	JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB11, Class AJ, VAR, 5.457%, 08/12/37		902
		LB-UBS Commercial Mortgage Trust,
	1,000	Series 2006-C1, Class A4, 5.156%, 02/15/31		1,081
	49,472	Series 2006-C7, Class XW, IO, VAR, 0.908%, 11/15/38 (e)		1,249
		Merrill Lynch Mortgage Trust,
	3,105	Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44		3,379
	2,510	Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43		2,603
		Merrill Lynch/Countrywide Commercial Mortgage Trust,
	3,207	Series 2006-1, Class A4, VAR, 5.608%, 02/12/39		3,511
	37,645	Series 2006-4, Class XC, IO, VAR, 0.346%, 12/12/49 (e)		480
	852	Morgan Stanley, 3.000%, 07/17/56 (e)		856
		Morgan Stanley Capital I,
	47,062	Series 2006-IQ12, Class X1, IO, VAR, 0.203%, 12/15/43 (e)		616
	96,126	Series 2007-HQ11, Class X, IO, VAR, 0.404%, 02/12/44 (e)		804
		Morgan Stanley Reremic Trust,
	3,500	Series 2009-IO, Class A2, 5.000%, 07/17/56 (e)		3,605
	3,000	Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		3,140
	7,937	Series 2011-IO, Class A, 2.500%, 03/23/51 (e)		7,897
	5,545	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.969%, 08/15/39		6,017
	2,316	Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A2, 4.039%, 10/15/41		2,314
	1,700	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.375%, 03/15/44 (e)		1,668

		Total Commercial Mortgage- Backed Securities (Cost $69,364)		73,053

	Corporate Bonds — 18.2%
		Consumer Discretionary — 1.3%
		Auto Components — 0.0% (g)
	665	Johnson Controls, Inc., 4.250%, 03/01/21		693

		Automobiles — 0.1%
	1,000	Daimler Finance North America LLC, 6.500%, 11/15/13		1,107


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Hotels, Restaurants & Leisure — 0.0% (g)
	400	McDonald’s Corp., 4.300%, 03/01/13		422

		Household Durables — 0.0% (g)
	500	Newell Rubbermaid, Inc., 4.700%, 08/15/20		516

		Media — 1.0%
		CBS Corp.,
	140	5.500%, 05/15/33		132
	252	5.750%, 04/15/20		282
	1,000	7.875%, 07/30/30		1,246
	190	8.875%, 05/15/19		245
	250	Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22		366
	624	Comcast Cable Communications LLC, 7.125%, 06/15/13		691
	2,790	Comcast Cable Holdings LLC, 9.800%, 02/01/12		2,888
		Comcast Corp.,
	2,845	5.900%, 03/15/16		3,297
	400	6.450%, 03/15/37		445
	400	6.500%, 11/15/35		449
	740	Comcast Holdings Corp., 10.625%, 07/15/12		799
		Cox Communications, Inc.,
	505	5.450%, 12/15/14		563
	125	8.375%, 03/01/39 (e)		171
	450	Cox Enterprises, Inc., 7.375%, 07/15/27 (e)		546
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	1,000	4.600%, 02/15/21		1,047
	772	5.000%, 03/01/21		830
	2,000	6.000%, 08/15/40		2,107
	1,016	Discovery Communications LLC, 4.375%, 06/15/21		1,053
	1,177	Historic TW, Inc., 9.150%, 02/01/23		1,639
		NBC Universal Media LLC,
	300	4.375%, 04/01/21		308
	800	5.950%, 04/01/41		841
		News America, Inc.,
	100	6.200%, 12/15/34		105
	400	6.650%, 11/15/37		433
	250	6.900%, 08/15/39		283
	1,075	7.300%, 04/30/28		1,211
	500	8.000%, 10/17/16		604
	355	8.875%, 04/26/23		471
		Thomson Reuters Corp., (Canada),
	315	4.700%, 10/15/19		354
	493	5.950%, 07/15/13		535
		Time Warner Cable, Inc.,
	2,127	5.850%, 05/01/17		2,398


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Media — Continued
	400	6.550%, 05/01/37		443
	800	8.250%, 04/01/19		1,013
		Time Warner Entertainment Co. LP,
	120	8.375%, 03/15/23		156
	1,250	8.375%, 07/15/33		1,608
	872	10.150%, 05/01/12		925
		Time Warner, Inc.,
	525	4.750%, 03/29/21		564
	150	6.200%, 03/15/40		161
	437	6.250%, 03/29/41		485
	200	7.625%, 04/15/31		246
	171	7.700%, 05/01/32		212

				32,152

		Multiline Retail — 0.1%
	275	Kohl’s Corp., 6.250%, 12/15/17		328
		Target Corp.,
	200	6.000%, 01/15/18		242
	800	7.000%, 01/15/38		1,030

				1,600

		Specialty Retail — 0.1%
	219	Gap, Inc. (The), 5.950%, 04/12/21		208
	1,625	Home Depot, Inc., 5.400%, 03/01/16		1,846
	750	Lowe’s Cos., Inc., 7.110%, 05/15/37		936
	590	Staples, Inc., 9.750%, 01/15/14		692

				3,682

		Total Consumer Discretionary		40,172

		Consumer Staples — 0.9%
		Beverages — 0.3%
		Anheuser-Busch Cos., Inc.,
	600	5.500%, 01/15/18		700
	905	5.750%, 04/01/36		1,021
		Anheuser-Busch InBev Worldwide, Inc.,
	114	1.500%, 07/14/14		115
	515	7.750%, 01/15/19		678
		Coca-Cola Co. (The),
	500	3.625%, 03/15/14		537
	410	4.875%, 03/15/19		474
	300	Coca-Cola Refreshments USA, Inc., 8.500%, 02/01/12		310
	510	Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20		569
		Diageo Finance B.V., (Netherlands),
	800	5.300%, 10/28/15		915
	500	5.500%, 04/01/13		537


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Beverages — Continued
	890	FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e)		985
		PepsiCo, Inc.,
	150	0.800%, 08/25/14		150
	359	3.000%, 08/25/21		360
	54	7.900%, 11/01/18		71
		SABMiller plc, (United Kingdom),
	700	5.700%, 01/15/14 (e)		766
	250	6.500%, 07/01/16 (e)		296

				8,484

		Food & Staples Retailing — 0.2%
		CVS Caremark Corp.,
	979	5.750%, 05/15/41		1,021
	250	6.125%, 09/15/39		274
		Kroger Co. (The),
	850	7.500%, 01/15/14		972
	1,460	7.500%, 04/01/31		1,858
		Wal-Mart Stores, Inc.,
	420	4.550%, 05/01/13		448
	752	5.250%, 09/01/35		811
	215	6.200%, 04/15/38		259
	350	7.550%, 02/15/30		479

				6,122

		Food Products — 0.3%
		Bunge Ltd. Finance Corp.,
	165	5.875%, 05/15/13		174
	1,295	8.500%, 06/15/19		1,652
	191	Bunge N.A. Finance LP, 5.900%, 04/01/17		210
		Cargill, Inc.,
	535	4.307%, 05/14/21 (e)		571
	850	7.350%, 03/06/19 (e)		1,076
	232	General Mills, Inc., 6.000%, 02/15/12		238
		Kellogg Co.,
	462	4.250%, 03/06/13		485
	1,200	5.125%, 12/03/12		1,264
		Kraft Foods, Inc.,
	1,450	6.125%, 02/01/18		1,716
	1,135	6.500%, 08/11/17		1,372
	345	6.750%, 02/19/14		390
	600	6.875%, 02/01/38		715
	500	6.875%, 01/26/39		603
	350	7.000%, 08/11/37		426

				10,892


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)



		Household Products — 0.1%
	66	Kimberly-Clark Corp., 7.500%, 11/01/18		86
	940	Procter & Gamble - ESOP, 9.360%, 01/01/21		1,265
	110	Procter & Gamble Co. (The), 5.500%, 02/01/34		126

				1,477

		Total Consumer Staples		26,975

		Energy — 0.9%
		Energy Equipment & Services — 0.1%
	1,555	Halliburton Co., 7.450%, 09/15/39		2,062
	900	Transocean, Inc., (Cayman Islands), 6.500%, 11/15/20		1,022

				3,084

		Oil, Gas & Consumable Fuels — 0.8%
	150	Alberta Energy Co., Ltd., (Canada), 7.375%, 11/01/31		178
		Anadarko Petroleum Corp.,
	125	5.750%, 06/15/14		138
	2,000	7.625%, 03/15/14		2,288
	265	8.700%, 03/15/19		342
	500	Apache Corp., 6.900%, 09/15/18		634
	1,000	Canadian Natural Resources Ltd., (Canada), 6.750%, 02/01/39		1,180
	1,000	Chevron Corp., 4.950%, 03/03/19		1,169
	405	Conoco Funding Co., (Canada), 7.250%, 10/15/31		532
		ConocoPhillips,
	200	5.200%, 05/15/18		231
	450	5.750%, 02/01/19		537
	150	6.000%, 01/15/20		184
	200	6.500%, 02/01/39		253
	105	Devon Financing Corp. ULC, (Canada), 6.875%, 09/30/11		105
	645	Encana Corp., (Canada), 6.500%, 05/15/19		770
	925	ENI S.p.A., (Italy), 5.700%, 10/01/40 (e)		909
	600	EOG Resources, Inc., 4.100%, 02/01/21		635
	200	Kerr-McGee Corp., 6.950%, 07/01/24		235
		Marathon Oil Corp.,
	819	5.900%, 03/15/18		959
	1,535	6.000%, 10/01/17		1,779
	402	Occidental Petroleum Corp., 1.750%, 02/15/17		400
		Petro-Canada, (Canada),
	324	6.050%, 05/15/18		375
	1,045	6.800%, 05/15/38		1,227


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
		Shell International Finance B.V., (Netherlands),
	270	1.875%, 03/25/13		276
	275	4.000%, 03/21/14		297
	1,000	4.300%, 09/22/19		1,106
	1,005	4.375%, 03/25/20		1,097
	1,230	6.375%, 12/15/38		1,573
	467	Statoil ASA, (Norway), 3.125%, 08/17/17		497
	250	Suncor Energy, Inc., (Canada), 6.850%, 06/01/39		293
	850	Talisman Energy, Inc., (Canada), 7.750%, 06/01/19		1,069
	400	Tosco Corp., 8.125%, 02/15/30		548
		Total Capital S.A., (France),
	1,400	2.300%, 03/15/16		1,448
	370	4.125%, 01/28/21		397
	2,000	XTO Energy, Inc., 5.750%, 12/15/13		2,232

				25,893

		Total Energy		28,977

		Financials — 9.9%
		Capital Markets — 2.2%
		Bank of New York Mellon Corp. (The),
	900	2.950%, 06/18/15		936
	750	4.600%, 01/15/20		820
	310	5.125%, 08/27/13		334
		BlackRock, Inc.,
	540	3.500%, 12/10/14		577
	652	5.000%, 12/10/19		719
	350	6.250%, 09/15/17		412
	1,500	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		1,584
	250	Charles Schwab Corp. (The), 4.950%, 06/01/14		274
		Credit Suisse USA, Inc.,
	500	5.125%, 08/15/15		536
	5,022	6.125%, 11/15/11		5,072
	500	FMR LLC, 6.450%, 11/15/39 (e)		525
		Goldman Sachs Group, Inc. (The),
	3,060	3.625%, 02/07/16		3,063
	492	3.700%, 08/01/15		497
	1,041	4.750%, 07/15/13		1,083
	2,638	5.250%, 10/15/13		2,750
	473	5.250%, 07/27/21		480
	1,040	5.375%, 03/15/20		1,057
	750	5.500%, 11/15/14		799


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Capital Markets — Continued
	4,100	5.950%, 01/18/18		4,363
	1,194	6.000%, 06/15/20		1,275
	305	6.250%, 09/01/17		329
	485	6.750%, 10/01/37		460
	2,325	7.500%, 02/15/19		2,656
		Jefferies Group, Inc.,
	450	3.875%, 11/09/15		457
	1,005	5.125%, 04/13/18		1,002
	1,000	6.450%, 06/08/27		1,001
	550	8.500%, 07/15/19		664
		Lehman Brothers Holdings, Inc.,
	105	3.950%, 11/10/09 (d)		26
	1,246	4.800%, 03/13/14 (d)		310
	1,000	5.500%, 04/04/16 (d)		249
	1,200	5.750%, 05/17/13 (d)		299
	1,850	6.000%, 07/19/12 (d)		460
	1,670	6.625%, 01/18/12 (d)		415
	152	7.875%, 11/01/09 (d)		38
		Macquarie Group Ltd., (Australia),
	1,400	6.250%, 01/14/21 (e)		1,359
	750	7.300%, 08/01/14 (e)		831
		Merrill Lynch & Co., Inc.,
	2,215	5.450%, 07/15/14		2,282
	920	5.700%, 05/02/17		900
	1,702	6.150%, 04/25/13		1,771
	2,996	6.400%, 08/28/17		3,070
	1,249	6.875%, 04/25/18		1,296
		Morgan Stanley,
	625	4.000%, 07/24/15		622
	893	4.200%, 11/20/14		895
	2,029	4.750%, 04/01/14		2,057
	4,225	5.300%, 03/01/13		4,372
	1,000	5.450%, 01/09/17		1,025
	1,021	5.500%, 07/24/20		999
	360	5.500%, 07/28/21		359
	1,265	5.625%, 09/23/19		1,286
	900	5.750%, 08/31/12		932
	1,200	6.000%, 05/13/14		1,260
	400	6.625%, 04/01/18		429
	370	6.750%, 10/15/13		394
	820	7.300%, 05/13/19		916
		Nomura Holdings, Inc., (Japan),
	1,250	4.125%, 01/19/16		1,281
	150	5.000%, 03/04/15		158
	1,150	6.700%, 03/04/20		1,299


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Capital Markets — Continued
	226	Northern Trust Corp., 5.500%, 08/15/13		245
		UBS AG, (Switzerland),
	414	2.250%, 08/12/13		418
	2,300	3.875%, 01/15/15		2,386
	365	4.875%, 08/04/20		366
	500	5.750%, 04/25/18		533
	425	5.875%, 12/20/17		455

				69,718

		Commercial Banks — 2.7%
	550	ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e)		556
		Australia & New Zealand Banking Group Ltd., (Australia),
	900	3.250%, 03/01/16 (e)		928
	228	4.875%, 01/12/21 (e)		243
		Bank of Nova Scotia, (Canada),
	1,034	1.650%, 10/29/15 (e)		1,047
	737	3.400%, 01/22/15		783
	679	Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e)		722
		Barclays Bank plc, (United Kingdom),
	2,650	2.500%, 01/23/13		2,653
	800	2.500%, 09/21/15 (e)		811
	935	3.900%, 04/07/15		936
	175	5.000%, 09/22/16		181
	700	5.200%, 07/10/14		737
	1,000	6.050%, 12/04/17 (e)		990
		BB&T Corp.,
	1,020	2.050%, 04/28/14		1,033
	1,450	3.850%, 07/27/12		1,489
	750	3.950%, 04/29/16		800
	740	4.900%, 06/30/17		792
	865	5.700%, 04/30/14		953
	245	6.850%, 04/30/19		293
	695	Branch Banking & Trust Co., 5.625%, 09/15/16		789
	5,000	Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e)		5,241
	260	Comerica, Inc., 3.000%, 09/16/15		266
	140	Cooperatieve Centrale Raiffeisen- Boerenleenbank B.A., (Netherlands), 2.125%, 10/13/15		142
		Credit Suisse, (Switzerland),
	500	3.450%, 07/02/12		510
	451	4.375%, 08/05/20		443


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Commercial Banks — Continued
	160	5.300%, 08/13/19		168
	675	5.400%, 01/14/20		672
	942	5.500%, 05/01/14		1,016
	850	6.000%, 02/15/18		896
		Deutsche Bank AG, (Germany),
	650	3.250%, 01/11/16		653
	970	3.875%, 08/18/14		1,008
	2,011	DnB NOR Boligkreditt, (Norway), 2.100%, 10/14/15 (e)		2,057
	720	Fifth Third Bancorp, 5.450%, 01/15/17		781
		HSBC Bank plc, (United Kingdom),
	1,745	1.625%, 07/07/14 (e)		1,766
	1,438	3.100%, 05/24/16 (e)		1,462
	666	4.125%, 08/12/20 (e)		667
	575	4.750%, 01/19/21 (e)		596
	556	HSBC Holdings plc, (United Kingdom), 5.100%, 04/05/21		596
	2,400	KeyBank N.A., 5.500%, 09/17/12		2,489
	480	KeyCorp, 6.500%, 05/14/13		516
	2,100	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		2,470
		National Australia Bank Ltd., (Australia),
	3,000	2.500%, 01/08/13 (e)		3,042
	750	2.750%, 09/28/15 (e)		764
	1,000	3.000%, 07/27/16 (e)		1,012
	795	3.750%, 03/02/15 (e)		834
	1,353	National Bank of Canada, (Canada), 1.650%, 01/30/14 (e)		1,381
	250	National City Bank, 5.800%, 06/07/17		275
		Nordea Bank AB, (Sweden),
	600	1.750%, 10/04/13 (e)		595
	945	4.875%, 05/13/21 (e)		862
	400	PNC Bank N.A., 6.875%, 04/01/18		459
		PNC Funding Corp.,
	567	4.375%, 08/11/20		600
	940	5.250%, 11/15/15		1,028
	950	5.625%, 02/01/17		1,058
	565	6.700%, 06/10/19		676
		Rabobank Nederland N.V., (Netherlands),
	2,400	3.200%, 03/11/15 (e)		2,522
	500	5.800%, 09/30/10 (e)		516
		SunTrust Banks, Inc.,
	2,010	5.250%, 11/05/12		2,098
	820	6.000%, 09/11/17		895


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Commercial Banks — Continued
	1,411	Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16		1,426
	1,140	Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e)		1,179
		U.S. Bancorp,
	645	2.450%, 07/27/15		662
	566	4.125%, 05/24/21		599
	1,107	7.500%, 06/01/26		1,445
		Wachovia Bank N.A.,
	1,000	5.600%, 03/15/16		1,099
	250	6.000%, 11/15/17		281
	1,125	6.600%, 01/15/38		1,284
		Wachovia Corp.,
	685	4.875%, 02/15/14		723
	2,000	5.500%, 05/01/13		2,138
	4,480	5.750%, 02/01/18		5,125
		Wells Fargo & Co.,
	1,000	3.676%, 06/15/16		1,057
	500	4.600%, 04/01/21		539
	2,135	5.625%, 12/11/17		2,449
		Wells Fargo Bank N.A.,
	1,515	4.750%, 02/09/15		1,607
	250	5.750%, 05/16/16		275
		Westpac Banking Corp., (Australia),
	900	4.200%, 02/27/15		956
	2,105	4.875%, 11/19/19		2,214

				84,826

		Consumer Finance — 0.8%
	700	American Express Co., 7.000%, 03/19/18		834
		American Express Credit Corp.,
	2,140	5.875%, 05/02/13		2,286
	400	7.300%, 08/20/13		442
	1,083	American General Finance Corp., 5.375%, 10/01/12		1,056
		American Honda Finance Corp.,
	405	2.375%, 03/18/13 (e)		413
	150	7.625%, 10/01/18 (e)		192
	875	Capital One Bank USA N.A., 8.800%, 07/15/19		1,081
		Capital One Financial Corp.,
	850	5.700%, 09/15/11		852
	1,900	6.250%, 11/15/13		2,060
	1,165	6.750%, 09/15/17		1,331
	240	7.375%, 05/23/14		270
		HSBC Finance Corp.,
	1,000	4.750%, 07/15/13		1,041


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Consumer Finance — Continued
	3,413	5.000%, 06/30/15		3,608
	2,200	5.250%, 01/15/14		2,340
	512	6.375%, 10/15/11		515
	188	6.375%, 11/27/12		197
	207	7.350%, 11/27/32		206
		John Deere Capital Corp.,
	265	4.500%, 04/03/13		281
	1,000	5.250%, 10/01/12		1,050
	1,023	SLM Corp., 5.375%, 01/15/13		1,033
	962	Toyota Motor Credit Corp., 3.200%, 06/17/15		1,016
	331	Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e)		334

				22,438

		Diversified Financial Services — 2.5%
	1,900	Associates Corp. of North America, 6.950%, 11/01/18		2,075
	2,200	BA Covered Bond Issuer, 5.500%, 06/14/12 (e)		2,268
		Bank of America Corp.,
	520	3.625%, 03/17/16		507
	300	4.900%, 05/01/13		307
	470	5.000%, 05/13/21		460
	2,720	5.625%, 10/14/16		2,771
	140	5.625%, 07/01/20		142
	600	5.650%, 05/01/18		612
	1,510	5.750%, 08/15/16		1,532
	420	5.750%, 12/01/17		437
	600	7.625%, 06/01/19		678
	1,455	Bank of America N.A., 5.300%, 03/15/17		1,424
		BP Capital Markets plc, (United Kingdom),
	700	3.125%, 03/10/12		709
	900	4.742%, 03/11/21		986
	2,122	5.250%, 11/07/13		2,296
	725	Caisse Centrale Desjardins du Quebec, (Canada), 2.550%, 03/24/16 (e)		759
		Caterpillar Financial Services Corp.,
	665	4.900%, 08/15/13		716
	560	5.500%, 03/15/16		653
	1,300	6.200%, 09/30/13		1,431
	305	7.050%, 10/01/18		389
	510	7.150%, 02/15/19		654
		Citigroup, Inc.,
	832	4.587%, 12/15/15		864
	856	4.700%, 05/29/15		876
	527	4.750%, 05/19/15		550


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Diversified Financial Services — Continued
	3,127	5.000%, 09/15/14		3,211
	2,025	5.125%, 05/05/14		2,119
	1,000	5.375%, 08/09/20		1,062
	600	5.500%, 04/11/13		625
	150	6.000%, 12/13/13		159
	2,150	6.000%, 08/15/17		2,331
	755	6.010%, 01/15/15		811
	350	6.125%, 11/21/17		383
	510	6.375%, 08/12/14		556
	400	8.125%, 07/15/39		482
	1,130	8.500%, 05/22/19		1,381
		CME Group, Inc.,
	3,176	5.400%, 08/01/13		3,414
	100	5.750%, 02/15/14		111
	1,045	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		1,228
		ERAC USA Finance LLC,
	154	2.250%, 01/10/14 (e)		157
	559	4.500%, 08/16/21 (e)		569
		FUEL Trust,
	1,917	3.984%, 06/15/16 (e)		1,912
	561	4.207%, 04/15/16 (e)		564
		General Electric Capital Corp.,
	450	4.625%, 01/07/21		464
	5,825	5.250%, 10/19/12		6,099
	191	5.300%, 02/11/21		203
	2,500	5.400%, 02/15/17		2,766
	5,455	5.625%, 05/01/18		6,045
	1,000	5.650%, 06/09/14		1,087
	5,000	5.875%, 02/15/12		5,116
	310	5.875%, 01/14/38		316
	6,912	6.000%, 06/15/12		7,197
	2,394	6.750%, 03/15/32		2,692
	1,742	GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e)		1,777
		National Rural Utilities Cooperative Finance Corp.,
	225	2.625%, 09/16/12		230
	635	4.750%, 03/01/14		694
	200	10.375%, 11/01/18		286
	640	Textron Financial Corp., 5.400%, 04/28/13		669

				80,812

		Insurance — 1.5%
		ACE INA Holdings, Inc.,
	455	2.600%, 11/23/15		462


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Insurance — Continued
	350	5.600%, 05/15/15		386
		Aflac, Inc.,
	317	6.450%, 08/15/40		310
	200	8.500%, 05/15/19		248
	1,012	Allstate Life Global Funding Trusts, 5.375%, 04/30/13		1,081
		American International Group, Inc.,
	1,499	4.250%, 05/15/13		1,517
	2,960	5.450%, 05/18/17		3,015
		AON Corp.,
	402	3.125%, 05/27/16		402
	336	3.500%, 09/30/15		349
	306	6.250%, 09/30/40		338
	2,185	ASIF Global Financing XIX, 4.900%, 01/17/13 (e)		2,251
		Berkshire Hathaway Finance Corp.,
	233	2.450%, 12/15/15		240
	1,250	4.000%, 04/15/12		1,277
	1,000	4.600%, 05/15/13		1,054
	605	5.000%, 08/15/13		649
	1,505	5.400%, 05/15/18		1,721
	781	Berkshire Hathaway, Inc., 3.750%, 08/15/21		799
	100	Chubb Corp., 5.750%, 05/15/18		117
		CNA Financial Corp.,
	750	5.850%, 12/15/14		803
	781	5.875%, 08/15/20		815
		Jackson National Life Global Funding,
	820	5.375%, 05/08/13 (e)		872
	1,695	6.125%, 05/30/12 (e)		1,758
	251	Lincoln National Corp., 4.850%, 06/24/21		244
		MassMutual Global Funding II,
	540	2.300%, 09/28/15 (e)		546
	338	2.875%, 04/21/14 (e)		351
	500	3.625%, 07/16/12 (e)		512
	920	MetLife Institutional Funding II, VAR, 1.146%, 04/04/14 (e)		921
	430	MetLife, Inc., 6.817%, 08/15/18		509
		Metropolitan Life Global Funding I,
	1,150	2.000%, 01/10/14 (e)		1,162
	1,250	2.875%, 09/17/12 (e)		1,269
	400	3.125%, 01/11/16 (e)		416
	1,900	3.650%, 06/14/18 (e)		1,945
	300	5.125%, 04/10/13 (e)		317
	1,093	5.200%, 09/18/13 (e)		1,179


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Insurance — Continued
	250	Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e)		265
	467	Nationwide Financial Services, 6.250%, 11/15/11		470
	800	Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e)		945
		New York Life Global Funding,
	725	4.650%, 05/09/13 (e)		770
	2,637	5.375%, 09/15/13 (e)		2,857
		Pacific Life Global Funding,
	650	5.000%, 05/15/17 (e)		700
	410	5.150%, 04/15/13 (e)		432
	200	Pacific Life Insurance Co., 9.250%, 06/15/39 (e)		265
	2,100	Pricoa Global Funding I, 5.450%, 06/11/14 (e)		2,311
		Principal Life Global Funding I,
	500	5.050%, 03/15/15 (e)		546
	4,549	6.250%, 02/15/12 (e)		4,658
	215	Principal Life Income Funding Trusts, 5.300%, 12/14/12		226
	1,750	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		2,206
	210	Travelers Cos., Inc. (The), 5.800%, 05/15/18		242
	1,120	Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e)		1,237
	300	Travelers Property Casualty Corp., 5.000%, 03/15/13		317

				48,282

		Real Estate Investment Trusts (REITs) — 0.2%
		CommonWealth REIT,
	600	5.875%, 09/15/20		623
	1,325	6.650%, 01/15/18		1,494
	895	HCP, Inc., 5.375%, 02/01/21		912
		Simon Property Group LP,
	32	4.200%, 02/01/15		34
	200	4.375%, 03/01/21		200
	705	5.625%, 08/15/14		787
	665	6.100%, 05/01/16		755
	320	6.125%, 05/30/18		360
	330	6.750%, 05/15/14		375
	1,376	WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e)		1,560

				7,100

		Thrifts & Mortgage Finance — 0.0% (g)
	400	Countrywide Financial Corp., 6.250%, 05/15/16		404


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Thrifts & Mortgage Finance — Continued
	1,463	Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e)		1,479

				1,883

		Total Financials		315,059

		Health Care — 0.3%
		Biotechnology — 0.1%
		Amgen, Inc.,
	237	4.500%, 03/15/20		260
	500	4.950%, 10/01/41		498
	252	5.650%, 06/15/42		276
	570	5.700%, 02/01/19		671
	720	5.750%, 03/15/40		799

				2,504

		Health Care Equipment & Supplies — 0.0% (g)
		Baxter International, Inc.,
	380	4.000%, 03/01/14		409
	215	4.625%, 03/15/15		238
	100	Becton Dickinson and Co., 5.000%, 05/15/19		114

				761

		Health Care Providers & Services — 0.0% (g)
	370	Medco Health Solutions, Inc., 2.750%, 09/15/15		378

		WellPoint, Inc.,
	168	5.875%, 06/15/17		196
	113	7.000%, 02/15/19		140

				714

		Pharmaceuticals — 0.2%
	250	Abbott Laboratories, 6.150%, 11/30/37		308
	645	AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14		727
	450	Eli Lilly & Co., 3.550%, 03/06/12		457
		GlaxoSmithKline Capital, Inc.,
	450	4.375%, 04/15/14		492
	750	5.650%, 05/15/18		899
	530	6.375%, 05/15/38		659
	650	Merck & Co., Inc., 6.000%, 09/15/17		795

				4,337

		Total Health Care		8,316

		Industrials — 0.7%
		Aerospace & Defense — 0.1%
	300	Honeywell International, Inc., 5.300%, 03/01/18		353


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Aerospace & Defense — Continued
	1,144	Lockheed Martin Corp., 5.720%, 06/01/40 (e)		1,252
	1,261	United Technologies Corp., 6.125%, 02/01/19		1,565

				3,170

		Airlines — 0.1%
	262	American Airlines, 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21		243
	279	Continental Airlines, 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20		290
	474	Continental Airlines, 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22		481
	646	Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		627
	243	Delta Air Lines, 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19		237

				1,878

		Building Products — 0.0% (g)
	205	Masco Corp., 5.850%, 03/15/17		204

		Commercial Services & Supplies — 0.1%
	725	Allied Waste North America, Inc., 6.875%, 06/01/17		781
		Pitney Bowes, Inc.,
	565	4.875%, 08/15/14		613
	1,020	5.000%, 03/15/15		1,104
	200	5.600%, 03/15/18		221
		Waste Management, Inc.,
	214	4.750%, 06/30/20		232
	455	7.375%, 03/11/19		578

				3,529

		Industrial Conglomerates — 0.1%
	588	Danaher Corp., 3.900%, 06/23/21		626
		Koninklijke Philips Electronics N.V., (Netherlands),
	260	5.750%, 03/11/18		300
	130	7.200%, 06/01/26		162
	300	Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)		351
	500	Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19		658
	375	Tyco International Ltd./Tyco International Finance S.A., (Switzerland), 7.000%, 12/15/19		457

				2,554


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Machinery — 0.0% (g)
		Eaton Corp.,
	500	5.600%, 05/15/18		589
	300	7.625%, 04/01/24		403
	290	Ingersoll-Rand Co., (Bermuda), 6.391%, 11/15/27		347
	125	PACCAR, Inc., 6.375%, 02/15/12		128
	135	Parker Hannifin Corp., 5.500%, 05/15/18		160

				1,627

		Road & Rail — 0.3%
		Burlington Northern Santa Fe LLC,
	300	3.450%, 09/15/21		300
	125	3.600%, 09/01/20		125
	1,000	5.400%, 06/01/41		1,045
	500	5.650%, 05/01/17		583
	250	5.750%, 03/15/18		293
	425	5.750%, 05/01/40		466
	250	6.700%, 08/01/28		303
	450	7.000%, 02/01/14		513
		CSX Corp.,
	300	4.250%, 06/01/21		314
	575	5.500%, 04/15/41		599
	145	6.250%, 04/01/15		168
	250	6.300%, 03/15/12		257
	205	7.375%, 02/01/19		259
	500	7.900%, 05/01/17		630
	350	ERAC USA Finance LLC, 6.375%, 10/15/17 (e)		415
		Norfolk Southern Corp.,
	100	6.000%, 03/15/99		109
	526	6.000%, 05/23/11		566
	355	7.700%, 05/15/17		451
	420	Ryder System, Inc., 3.600%, 03/01/16		436
		Union Pacific Corp.,
	693	4.163%, 07/15/22 (e)		735
	235	4.875%, 01/15/15		260
	907	5.650%, 05/01/17		1,056
		United Parcel Service of America, Inc.,
	340	8.375%, 04/01/20		473
	60	SUB, 8.375%, 04/01/30		86

				10,442

		Total Industrials		23,404

		Information Technology — 0.8%
		Communications Equipment — 0.1%
		Cisco Systems, Inc.,
	878	5.500%, 02/22/16		1,016


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Communications Equipment — Continued
	350	5.500%, 01/15/40		382
	755	5.900%, 02/15/39		856

				2,254

		Computers & Peripherals — 0.4%
		Dell, Inc.,
	1,280	3.100%, 04/01/16		1,338
	250	4.625%, 04/01/21		264
	300	7.100%, 04/15/28		362
		Hewlett-Packard Co.,
	275	2.950%, 08/15/12		280
	600	4.300%, 06/01/21		623
	600	4.750%, 06/02/14		653
	1,345	5.400%, 03/01/17		1,529
	1,230	6.125%, 03/01/14		1,357
		International Business Machines Corp.,
	2,600	5.700%, 09/14/17		3,118
	690	6.220%, 08/01/27		847
	1,075	7.625%, 10/15/18		1,422

				11,793

		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	170	3.375%, 11/01/15		176
	165	6.000%, 04/01/20		178
	1,080	6.875%, 07/01/13		1,164
	725	7.500%, 01/15/27		834

				2,352

		IT Services — 0.0% (g)
	1,020	HP Enterprise Services LLC, 6.000%, 08/01/13		1,109

		Office Electronics — 0.0% (g)
		Xerox Corp.,
	270	4.500%, 05/15/21		279
	600	5.625%, 12/15/19		672
	550	6.750%, 02/01/17		645
	100	8.250%, 05/15/14		116

				1,712

		Semiconductors & Semiconductor Equipment — 0.1%
		Semiconductors & Semiconductor Equipment — 0.1%
	1,350	National Semiconductor Corp., 6.600%, 06/15/17		1,650
	750	Texas Instruments, Inc., 1.375%, 05/15/14		760

				2,410


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Software — 0.1%
	260	Intuit, Inc., 5.750%, 03/15/17		299
		Microsoft Corp.,
	720	1.625%, 09/25/15		734
	117	4.500%, 10/01/40		119
		Oracle Corp.,
	500	5.000%, 07/08/19		575
	1,412	5.250%, 01/15/16		1,623
	698	5.750%, 04/15/18		836
	465	6.500%, 04/15/38		579

				4,765

		Total Information Technology		26,395

		Materials — 0.5%
		Chemicals — 0.4%
	249	Air Products & Chemicals, Inc., 4.150%, 02/01/13		261
		Dow Chemical Co. (The),
	203	4.250%, 11/15/20		207
	1,250	6.000%, 10/01/12		1,318
	370	7.375%, 11/01/29		463
	250	7.600%, 05/15/14		288
	158	8.550%, 05/15/19		205
		E.l. du Pont de Nemours & Co.,
	635	1.950%, 01/15/16		647
	350	4.900%, 01/15/41		360
	1,610	6.000%, 07/15/18		1,944
	1,430	Monsanto Co., 7.375%, 08/15/12		1,517
	875	Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13		926
		PPG Industries, Inc.,
	114	5.500%, 11/15/40		125
	415	5.750%, 03/15/13		444
	350	9.000%, 05/01/21		486
		Praxair, Inc.,
	662	4.625%, 03/30/15		735
	885	5.250%, 11/15/14		1,000
		Union Carbide Corp.,
	1,000	7.500%, 06/01/25		1,162
	350	7.750%, 10/01/96		386

				12,474

		Metals & Mining — 0.1%
		BHP Billiton Finance USA Ltd., (Australia),
	410	5.400%, 03/29/17		477
	400	5.500%, 04/01/14		446
	550	6.500%, 04/01/19		677


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Metals & Mining — Continued
	115	Rio Tinto Finance USA Ltd., (Australia), 3.500%, 11/02/20		114

				1,714

		Total Materials		14,188

		Telecommunication Services — 1.2%
		Diversified Telecommunication Services — 1.1%
	6	AT&T Corp., 8.000%, 11/15/31		8
		AT&T, Inc.,
	850	4.450%, 05/15/21		912
	3,417	4.950%, 01/15/13		3,589
	386	5.100%, 09/15/14		427
	170	5.350%, 09/01/40		173
	250	5.500%, 02/01/18		288
	2,700	6.300%, 01/15/38		3,022
		BellSouth Corp.,
	1,373	5.200%, 09/15/14		1,520
	450	6.875%, 10/15/31		532
		BellSouth Telecommunications, Inc.,
	980	6.300%, 12/15/15		1,053
	300	7.000%, 10/01/25		361
	2,500	British Telecommunications plc, (United Kingdom), 5.150%, 01/15/13		2,636
	600	Centel Capital Corp., 9.000%, 10/15/19		690
		CenturyLink, Inc.,
	1,380	6.450%, 06/15/21		1,344
	920	Series P, 7.600%, 09/15/39		848
		Deutsche Telekom International Finance B.V., (Netherlands),
	1,150	4.875%, 07/08/14		1,250
	400	6.000%, 07/08/19		477
	255	8.750%, 06/15/30		345
	2,100	GTE Corp., 6.840%, 04/15/18		2,521
		Telecom Italia Capital S.A., (Luxembourg),
	1,000	4.950%, 09/30/14		986
	1,616	5.250%, 11/15/13		1,618
	750	6.999%, 06/04/18		773
		Telefonica Emisiones S.A.U., (Spain),
	316	5.462%, 02/16/21		306
	880	5.855%, 02/04/13		909
	515	5.877%, 07/15/19		517
	300	6.421%, 06/20/16		315
		Verizon Communications, Inc.,
	650	5.500%, 04/01/17		749


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Diversified Telecommunication Services — Continued
	443	5.550%, 02/15/16		503
	100	5.850%, 09/15/35		111
	1,250	7.350%, 04/01/39		1,603
	1,312	Verizon Florida LLC, 6.125%, 01/15/13		1,398
	350	Verizon Global Funding Corp., 7.750%, 12/01/30		462
	554	Verizon Maryland, Inc., 6.125%, 03/01/12		568
	1,444	Verizon Pennsylvania, Inc., 8.350%, 12/15/30		1,883
	962	Verizon Virginia, Inc., 4.625%, 03/15/13		1,011

				35,708

		Wireless Telecommunication Services — 0.1%
	640	America Movil S.A.B.de C.V., (Mexico), 2.375%, 09/08/16		635
	500	Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14		550
	475	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		487
	1,130	Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15		1,267

				2,939

		Total Telecommunication Services		38,647

		Utilities — 1.7%
		Electric Utilities — 1.3%
	222	Alabama Power Co., 6.125%, 05/15/38		275
	467	Arizona Public Service Co., 5.050%, 09/01/41		455
		Carolina Power & Light Co.,
	888	5.125%, 09/15/13		962
	305	5.300%, 01/15/19		360
	1,421	CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14		1,572
	1,005	Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17		1,282
	310	Columbus Southern Power Co., 6.050%, 05/01/18		369
	831	Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e)		854
	185	Connecticut Light & Power Co. (The), 5.650%, 05/01/18		220
	596	Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40		687
		Duke Energy Carolinas LLC,
	650	5.100%, 04/15/18		759
	745	5.625%, 11/30/12		789
	728	6.250%, 01/15/12		743
	1,310	Duke Energy Indiana, Inc., 6.350%, 08/15/38		1,621


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Electric Utilities — Continued
	950	Enel Finance International N.V., (Luxembourg), 5.125%, 10/07/19 (e)		950
		Exelon Generation Co. LLC,
	1,020	4.000%, 10/01/20		1,015
	229	5.750%, 10/01/41		233
		Florida Power & Light Co.,
	410	5.950%, 10/01/33		495
	335	5.950%, 02/01/38		411
		Florida Power Corp.,
	280	5.650%, 06/15/18		333
	220	6.400%, 06/15/38		274
		Georgia Power Co.,
	200	5.950%, 02/01/39		236
	225	6.000%, 11/01/13		248
	229	Great Plains Energy, Inc., 4.850%, 06/01/21		241
	100	Indiana Michigan Power Co., 7.000%, 03/15/19		125
	100	Jersey Central Power & Light Co., 7.350%, 02/01/19		127
	88	Kiowa Power Partners LLC, 4.811%, 12/30/13 (e)		89
	105	MidAmerican Energy Co., 5.300%, 03/15/18		122
		Nevada Power Co.,
	55	5.375%, 09/15/40		61
	510	6.500%, 08/01/18		614
		NextEra Energy Capital Holdings, Inc.,
	255	5.350%, 06/15/13		272
	670	6.000%, 03/01/19		776
	265	7.875%, 12/15/15		318
	300	Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)		336
	500	Northern States Power Co., 6.250%, 06/01/36		632
	320	Ohio Power Co., 5.750%, 09/01/13		348
		Oncor Electric Delivery Co. LLC,
	200	5.950%, 09/01/13		218
	840	6.800%, 09/01/18		1,018
		Pacific Gas & Electric Co.,
	780	5.625%, 11/30/17		915
	160	8.250%, 10/15/18		213
		PacifiCorp,
	175	5.500%, 01/15/19		207
	150	5.650%, 07/15/18		178
	100	Peco Energy Co., 5.350%, 03/01/18		118
	1,050	Potomac Electric Power Co., 6.500%, 11/15/37		1,357
	300	Progress Energy, Inc., 6.050%, 03/15/14		334


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Electric Utilities — Continued
	772	PSEG Power LLC, 5.125%, 04/15/20		842
		Public Service Co. of Colorado,
	90	3.200%, 11/15/20		91
	125	5.800%, 08/01/18		152
	2,450	Public Service Co. of Oklahoma, 6.625%, 11/15/37		2,957
		Public Service Electric & Gas Co.,
	205	5.300%, 05/01/18		240
	277	5.375%, 11/01/39		312
	2,000	6.330%, 11/01/13		2,218
		Southern California Edison Co.,
	160	4.150%, 09/15/14		174
	765	5.500%, 08/15/18		904
	391	5.750%, 03/15/14		435
	200	5.950%, 02/01/38		244
	1,140	6.050%, 03/15/39		1,413
		Southern Co.,
	363	1.950%, 09/01/16		362
	250	4.150%, 05/15/14		268
	570	Southwestern Public Service Co., 8.750%, 12/01/18		770
		Spectra Energy Capital LLC,
	1,605	5.500%, 03/01/14		1,748
	500	6.200%, 04/15/18		580
	400	8.000%, 10/01/19		505
		Virginia Electric and Power Co.,
	1,005	5.100%, 11/30/12		1,058
	1,320	5.400%, 04/30/18		1,547
	615	5.950%, 09/15/17		742

				41,324

		Gas Utilities — 0.2%
		AGL Capital Corp.,
	345	4.450%, 04/15/13		359
	691	5.875%, 03/15/41		799
		Atmos Energy Corp.,
	105	5.125%, 01/15/13		111
	250	8.500%, 03/15/19		338
	325	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		384
		TransCanada PipeLines Ltd., (Canada),
	975	4.000%, 06/15/13		1,029
	550	6.200%, 10/15/37		653
	250	6.500%, 08/15/18		304
	1,100	7.250%, 08/15/38		1,436

				5,413


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Multi-Utilities — 0.2%
		Dominion Resources, Inc.,
	782	6.250%, 06/30/12		815
	300	7.000%, 06/15/38		387
	600	8.875%, 01/15/19		795
	1,005	KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12		1,090
	375	PG&E Corp., 5.750%, 04/01/14		414
		Sempra Energy,
	1,145	6.150%, 06/15/18		1,336
	150	6.500%, 06/01/16		179
	850	8.900%, 11/15/13		977
	395	9.800%, 02/15/19		556
		Wisconsin Electric Power Co.,
	450	6.000%, 04/01/14		509
	265	6.250%, 12/01/15		317

				7,375

		Water Utilities — 0.0% (g)
	1,100	American Water Capital Corp., 6.085%, 10/15/17		1,301

		Total Utilities		55,413

		Total Corporate Bonds (Cost $544,676)		577,546

	Foreign Government Securities — 0.5%
	6,000	Israel Government AID Bond, (Israel), Zero Coupon, 08/15/17		5,424
	600	Province of Manitoba, (Canada), 2.125%, 04/22/13		617
		Province of Ontario, (Canada),
	700	2.700%, 06/16/15		741
	2,200	2.950%, 02/05/15		2,343
	377	Province of Quebec, (Canada), SUB, 7.365%, 03/06/26		527
		United Mexican States, (Mexico),
	1,432	6.375%, 01/16/13		1,529
	856	6.625%, 03/03/15		990
	3,328	7.500%, 04/08/33		4,476

		Total Foreign Government Securities (Cost $15,306)		16,647

	Mortgage Pass-Through Securities — 10.2%
		Federal Home Loan Mortgage Corp.,
	64	ARM, 2.210%, 07/01/19		67
	60	ARM, 2.430%, 04/01/30		63
	899	ARM, 2.480%, 12/01/33		943
	1,519	ARM, 2.510%, 04/01/34		1,597


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	531	ARM, 2.565%, 02/01/36		558
	781	ARM, 2.818%, 12/01/34		823
	707	ARM, 3.883%, 11/01/36		734
	519	ARM, 4.294%, 12/01/36		548
	1,654	ARM, 4.918%, 02/01/36		1,766
	2,101	ARM, 4.994%, 01/01/35		2,253
	1,510	ARM, 5.061%, 07/01/36		1,621
	1,558	ARM, 5.126%, 03/01/37		1,649
	479	ARM, 5.535%, 05/01/36		513
	909	ARM, 5.823%, 10/01/36		949
	280	ARM, 5.865%, 02/01/37		298
	2,163	ARM, 6.013%, 11/01/36		2,334
	213	ARM, 6.429%, 10/01/36		222
	698	ARM, 6.534%, 10/01/36		727
		Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	2,293	4.000%, 06/01/13 - 05/01/19		2,412
	307	4.500%, 08/01/18		329
	982	5.000%, 12/01/18		1,063
	7,450	5.500%, 06/01/17 - 01/01/24		8,117
	109	6.000%, 04/01/18		118
	1,062	6.500%, 08/01/16 - 02/01/19		1,165
	163	7.000%, 01/01/17 - 04/01/17		170
	21	7.500%, 10/01/14 - 11/01/15		21
	8	8.500%, 11/01/15		9
		Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	246	6.000%, 12/01/22		274
	673	6.500%, 11/01/22		754
		Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	5,123	4.000%, 10/01/33 - 09/01/35		5,351
	8,924	4.500%, 05/01/41		9,435
	5,601	5.000%, 09/01/34 - 08/01/40		6,057
	4,275	5.500%, 10/01/33 - 07/01/35		4,699
	738	6.000%, 12/01/33 - 01/01/34		833
	4,652	6.500%, 11/01/34 - 11/01/36		5,297
	1,005	7.000%, 07/01/32 - 10/01/36		1,157
	1,323	Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30		1,590
		Federal Home Loan Mortgage Corp. Gold Pools, Other,
	831	5.500%, 10/01/33 - 01/01/34		899
	171	7.000%, 07/01/29		191
		Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	10	12.000%, 08/01/15 - 07/01/19		11


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
		Federal National Mortgage Association,
	229	ARM, 1.688%, 09/01/34		233
	1,344	ARM, 1.787%, 01/01/33		1,380
	920	ARM, 1.945%, 07/01/36		964
	2,190	ARM, 1.966%, 09/01/35		2,298
	23	ARM, 1.970%, 03/01/19		23
	2,177	ARM, 1.981%, 01/01/35		2,287
	673	ARM, 2.027%, 11/01/34		704
	1,205	ARM, 2.113%, 05/01/35		1,260
	1,056	ARM, 2.147%, 01/01/35		1,104
	462	ARM, 2.221%, 04/01/34		480
	577	ARM, 2.251%, 01/01/36		598
	350	ARM, 2.264%, 07/01/34		368
	94	ARM, 2.318%, 04/01/34		99
	385	ARM, 2.322%, 02/01/35		404
	1,626	ARM, 2.333%, 06/01/35		1,706
	1,106	ARM, 2.344%, 11/01/34		1,161
	171	ARM, 2.359%, 07/01/33		179
	563	ARM, 2.364%, 08/01/34		581
	1,293	ARM, 2.377%, 07/01/33		1,361
	1,040	ARM, 2.379%, 08/01/34		1,097
	337	ARM, 2.402%, 11/01/33		349
	291	ARM, 2.432%, 09/01/35		307
	279	ARM, 2.434%, 01/01/34		292
	853	ARM, 2.460%, 05/01/34		897
	281	ARM, 2.470%, 05/01/35		297
	517	ARM, 2.487%, 06/01/36		546
	2,860	ARM, 2.491%, 04/01/35		3,012
	1,138	ARM, 2.552%, 10/01/34		1,201
	789	ARM, 2.589%, 10/01/34		832
	459	ARM, 2.623%, 09/01/34		485
	784	ARM, 2.721%, 09/01/33		829
	11	ARM, 2.755%, 01/01/19		11
	724	ARM, 2.827%, 04/01/35		762
	213	ARM, 3.000%, 02/01/34		224
	149	ARM, 3.000%, 01/01/36		157
	496	ARM, 3.110%, 10/01/34		523
	122	ARM, 3.190%, 09/01/27		124
	117	ARM, 3.934%, 03/01/29		121
	1,452	ARM, 4.939%, 07/01/33		1,566
	850	ARM, 5.228%, 01/01/38		912
	1,423	ARM, 5.629%, 01/01/23		1,547
	845	ARM, 5.662%, 10/01/36		890
		Federal National Mortgage Association, 15 Year, Single Family,
	1,697	3.500%, 09/01/18 - 07/01/19		1,813


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


	18,213		4.000%, 07/01/18 - 12/01/18		19,403
	9,877		4.500%, 06/01/18 - 12/01/19		10,631
	2,557		5.000%, 12/01/16 - 08/01/24		2,763
	2,347		5.500%, 03/01/20 - 07/01/20		2,552
	12,618		6.000%, 06/01/16 - 01/01/24		13,729
	440		6.500%, 03/01/17 - 08/01/20		484
	516		7.000%, 03/01/17 - 09/01/17		565
	24		7.500%, 03/01/17		26
	17		8.000%, 11/01/12 - 11/01/15		18
			Federal National Mortgage Association, 20 Year, Single Family,
	453		4.500%, 04/01/24		489
	—	(h)	6.000%, 02/01/14		—	(h)
	2,399		6.500%, 05/01/22 - 04/01/25		2,681
			Federal National Mortgage Association, 30 Year, FHA/VA,
	135		6.000%, 09/01/33		151
	229		6.500%, 03/01/29		264
	54		7.000%, 02/01/33		63
	78		8.000%, 06/01/28		91
	55		9.000%, 05/01/18 - 12/01/25		63
			Federal National Mortgage Association, 30 Year, Single Family,
	1,479		4.130%, 07/01/20		1,595
	1,480		4.500%, 11/01/33 - 02/01/35		1,575
	3,523		5.000%, 07/01/33 - 09/01/35		3,821
	3,074		5.500%, 09/01/31 - 03/01/34		3,408
	4,650		6.000%, 12/01/28 - 09/01/33		5,212
	2,427		6.500%, 11/01/29 - 08/01/31		2,785
	2,369		7.000%, 04/01/17 - 01/01/39		2,732
	1,159		7.500%, 08/01/36 - 11/01/37		1,343
	912		8.000%, 03/01/27 - 11/01/28		1,067
	2		9.000%, 04/01/26		2
	29		9.500%, 07/01/28		34
	13		12.500%, 01/01/16		13
			Federal National Mortgage Association, Other,
	2,485		ARM, 6.070%, 11/01/18		2,717
	5,947		2.573%, 10/01/17		6,028
	7,000		2.779%, 10/01/17		7,160
	3,951		2.970%, 11/01/18		4,042
	2,000		3.290%, 10/01/20		2,044
	10,000		3.337%, 11/01/20		10,173
	2,000		3.461%, 11/01/20		2,050
	2,000		3.503%, 08/01/17		2,109
	1,515		3.544%, 09/01/20		1,563
	2,967		3.600%, 09/01/20		3,093


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
	7,789	3.621%, 09/01/20		8,077
	2,000	3.637%, 01/01/18		2,122
	1,976	3.658%, 10/01/20		2,052
	3,000	3.802%, 09/01/20		3,145
	1,972	3.864%, 07/01/20		2,077
	2,000	3.930%, 07/01/20		2,131
	4,750	3.980%, 11/01/16		5,063
	1,540	3.999%, 01/01/21		1,630
	1,592	4.000%, 11/01/33		1,623
	2,000	4.061%, 01/01/21		2,125
	7,956	4.081%, 07/01/20 - 07/01/21		8,448
	2,380	4.250%, 04/01/21		2,562
	1,724	4.257%, 04/01/20		1,860
	3,000	4.267%, 11/01/19		3,234
	2,096	4.290%, 06/01/20		2,283
	1,500	4.350%, 04/01/20		1,640
	1,954	4.381%, 11/01/19		2,125
	2,000	4.391%, 04/01/21		2,153
	2,480	4.443%, 08/01/20 - 04/01/21		2,688
	1,994	4.474%, 04/01/21		2,231
	5,000	4.484%, 06/01/21		5,407
	977	4.500%, 03/01/20		1,068
	1,972	4.515%, 02/01/20		2,163
	2,000	4.536%, 05/01/21		2,182
	4,413	4.540%, 01/01/20		4,878
	2,000	4.546%, 02/01/20		2,189
	2,986	4.629%, 02/01/21		3,278
	7,894	4.681%, 12/01/19		8,734
	3,978	4.794%, 01/01/21		4,408
	829	5.500%, 03/01/17 - 09/01/33		899
	2,197	6.000%, 06/01/39		2,392
	1,141	6.500%, 01/01/36 - 07/01/36		1,274
	111	7.000%, 10/01/46		126
	137	10.890%, 04/15/19		157
		Government National Mortgage Association II, 30 Year, Single Family,
	644	4.500%, 08/20/33		704
	91	7.500%, 02/20/28 - 09/20/28		107
	142	8.000%, 12/20/25 - 09/20/28		168
	44	8.500%, 05/20/25		53
		Government National Mortgage Association, 15 Year, Single Family,
	143	6.500%, 06/15/17 - 12/15/17		158
	178	8.000%, 01/15/16		191


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Government National Mortgage Association, 30 Year, Single Family,
	469	6.500%, 03/15/28 - 04/15/33		538
	331	7.000%, 02/15/33 - 06/15/33		390
	94	7.500%, 11/15/22 - 11/15/31		111
	28	8.000%, 09/15/22 - 08/15/28		32
	5	9.000%, 12/15/16		6
	1,414	9.500%, 10/15/24		1,691

		Total Mortgage Pass-Through Securities (Cost $307,566)		324,713

	Municipal Bonds — 0.1%
		Illinois — 0.0% (g)
	140	State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33		122

		New York — 0.1%
	350	New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, Rev., 5.600%, 03/15/40		404
	1,815	Port Authority of New York & New Jersey, Rev., 5.647%, 11/01/40		1,994

				2,398

		Ohio — 0.0% (g)
	1,300	American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50		1,573

		Total Municipal Bonds (Cost $3,600)		4,093

	Supranational — 0.0% (g)
		Corp. Andina de Fomento,
	641	3.750%, 01/15/16		654
	397	5.200%, 05/21/13		420

		Total Supranational (Cost $1,046)		1,074

	U.S. Government Agency Securities — 1.2%
	1,000	Federal Farm Credit Bank, 5.125%, 11/15/18		1,202
		Federal National Mortgage Association,
	6,000	Zero Coupon, 06/01/17		5,423
	1,000	5.000%, 05/11/17		1,189
		Financing Corp. Fico,
	2,000	Zero Coupon, 04/05/19		1,702
	1,000	Zero Coupon, 09/26/19		832
		Government Trust Certificate,
	4,000	Zero Coupon, 10/01/15		3,745
	5,000	Zero Coupon, 04/01/16		4,607
	13,319	Zero Coupon, 10/01/19		10,573


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	U.S. Government Agency Securities — Continued
	7,000	Residual Funding Corp., Principal STRIPS, Zero Coupon, 07/15/20		5,630
	300	Tennessee Valley Authority, 4.625%, 09/15/60		325
	2,000	Tennessee Valley Authority Generic STRIPS, Zero Coupon, 05/01/19		1,657

		Total U.S. Government Agency Securities (Cost $35,831)		36,885

	U.S. Treasury Obligations — 23.3%
		U.S. Treasury Bonds,
	3,675	4.500%, 02/15/36		4,320
	300	4.500%, 08/15/39		351
	750	5.375%, 02/15/31		989
	750	6.125%, 11/15/27		1,055
	1,046	6.250%, 08/15/23		1,446
	900	6.250%, 05/15/30		1,299
	400	6.625%, 02/15/27		586
	500	7.125%, 02/15/23		734
	5,000	7.500%, 11/15/16		6,656
	1,881	7.875%, 02/15/21		2,821
	8,325	8.125%, 08/15/19		12,316
	864	8.125%, 05/15/21		1,320
	2,125	8.500%, 02/15/20		3,241
	1,500	8.750%, 05/15/20		2,326
	4,175	8.750%, 08/15/20		6,508
	29,585	8.875%, 08/15/17		42,697
	3,169	9.875%, 11/15/15		4,381
	799	U.S. Treasury Inflation Indexed Bond, 3.625%, 04/15/28 (m)		1,599
		U.S. Treasury Inflation Indexed Notes,
	630	1.375%, 07/15/18		738
	1,000	2.000%, 01/15/14		1,308
		U.S. Treasury Notes,
	12,245	2.125%, 12/31/15		12,979
	26,700	2.625%, 12/31/14		28,644
	4,575	2.625%, 04/30/16		4,948
	9,300	2.625%, 01/31/18		10,011
	19,485	2.750%, 05/31/17		21,166
	7,500	2.750%, 12/31/17		8,135
	1,425	2.875%, 03/31/18		1,556
	8,000	3.125%, 10/31/16		8,852
	6,015	3.125%, 04/30/17		6,662
	20,933	3.125%, 05/15/19		23,118
	13,450	3.250%, 12/31/16		14,967
	9,800	3.250%, 03/31/17		10,921
	2,290	4.500%, 05/15/17		2,713


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	10,000	4.750%, 08/15/17		12,027
		U.S. Treasury STRIPS,
	1,000	11/15/13		995
	5,445	11/15/15		5,287
	31,350	02/15/14 (m)		31,143
	24,565	08/15/14 (m)		24,269
	23,253	11/15/14 (m)		22,910
	8,500	02/15/15		8,357
	16,930	02/15/15 (m)		16,607
	3,626	05/15/15		3,543
	10,350	08/15/15		10,099
	3,253	08/15/15		3,167
	28,397	11/15/15		27,507
	51,751	02/15/16		49,812
	1,000	05/15/16		959
	13,325	05/15/16		12,756
	5,181	08/15/16		4,924
	15,857	11/15/16		14,970
	20,229	02/15/17		18,947
	21,411	08/15/17		19,773
	19,389	11/15/17		17,747
	500	02/15/18		454
	3,400	05/15/18		3,062
	16,241	08/15/18		14,482
	6,982	02/15/19		6,114
	9,595	05/15/19		8,321
	22,210	08/15/19		19,042
	1,250	02/15/20		1,048
	250	05/15/20		208
	50,252	05/15/20		41,526
	23,475	08/15/20		19,173
	1,000	11/15/20		808
	3,750	08/15/21		2,927
	4,925	11/15/21		3,799
	1,278	02/15/22		973
	5,487	02/15/23		3,983
	200	05/15/24		137
	600	08/15/24		405
	1,400	11/15/24		933
	500	08/15/25		322
	1,000	02/15/26		627
	1,500	05/15/26		929
	3,400	11/15/26		2,057
	5,450	02/15/27		3,266
	3,550	05/15/27		2,100
	5,000	08/15/27		2,924


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	U.S. Treasury Obligations — Continued
	800	11/15/27		462
	7,050	02/15/28		4,020
	1,600	05/15/28		902
	3,000	08/15/28		1,670
	2,500	11/15/28		1,374
	550	02/15/29		299
	300	08/15/29		159
	1,200	11/15/29		629
	21,300	02/15/30		11,026
	2,000	05/15/30		1,024
	8,200	08/15/30		4,151
	7,425	11/15/30		3,717
	600	02/15/31		297
	1,550	05/15/31		757
	1,500	08/15/31		725
	1,000	11/15/31		478
	350	02/15/32		165
	350	08/15/32		161
	2,500	11/15/32		1,137
	7,300	05/15/33		3,245
	3,050	08/15/33		1,339


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	3,500	11/15/33		1,517
	4,000	02/15/34		1,714
	1,800	05/15/34		761
	1,600	02/15/35		652
	100	08/15/35		40

		Total U.S. Treasury Obligations (Cost $659,303)		739,203


SHARES
	Short-Term Investment — 0.9%
		Investment Company — 0.9%
	29,385	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.060% (b) (l) (Cost $29,385)		29,385

		Total Investments — 100.0% (Cost $2,945,444)		3,174,533
		Liabilities in Excess of Other Assets — (0.0)% (g)		(888	)

		NET ASSETS — 100.0%	$	3,173,645

Percentages indicated are based on net assets.


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — 97.5%
		Consumer Discretionary — 10.4%
		Auto Components — 0.2%
	7	Goodyear Tire & Rubber Co. (The) (a)		86
	19	Johnson Controls, Inc.		608

				694

		Automobiles — 0.5%
	107	Ford Motor Co. (a)		1,188
	7	Harley-Davidson, Inc.		257

				1,445

		Distributors — 0.1%
	4	Genuine Parts Co.		243

		Diversified Consumer Services — 0.1%
	3	Apollo Group, Inc., Class A (a)		160
	2	DeVry, Inc.		76
	9	H&R Block, Inc.		130

				366

		Hotels, Restaurants & Leisure — 1.9%
	12	Carnival Corp.		401
	1	Chipotle Mexican Grill, Inc. (a)		274
	4	Darden Restaurants, Inc.		185
	8	International Game Technology		129
	8	Marriott International, Inc., Class A		234
	29	McDonald's Corp.		2,640
	21	Starbucks Corp.		814
	5	Starwood Hotels & Resorts Worldwide, Inc.		244
	5	Wyndham Worldwide Corp.		155
	2	Wynn Resorts Ltd.		331
	13	Yum! Brands, Inc.		712

				6,119

		Household Durables — 0.3%
	8	D.R. Horton, Inc.		83
	4	Fortune Brands, Inc.		248
	2	Harman International Industries, Inc.		71
	4	Leggett & Platt, Inc.		89
	5	Lennar Corp., Class A		67
	8	Newell Rubbermaid, Inc.		113
	9	Pulte Group, Inc. (a)		46
	2	Whirlpool Corp.		134

				851

		Internet & Catalog Retail — 1.0%
	10	Amazon.com, Inc. (a)		2,162
	6	Expedia, Inc.		170
	1	Netflix, Inc. (a)		288


SHARES			SECURITY DESCRIPTION	VALUE($)


			Internet & Catalog Retail — Continued
	1		priceline.com, Inc. (a)		750

					3,370

			Leisure Equipment & Products — 0.1%
	4		Hasbro, Inc.		148
	10		Mattel, Inc.		263

					411

			Media — 3.1%
	6		Cablevision Systems Corp., Class A		117
	19		CBS Corp. (Non Voting), Class B		471
	78		Comcast Corp., Class A		1,673
	22		DIRECTV, Class A (a)		949
	8		Discovery Communications, Inc., Class A (a)		331
	6		Gannett Co., Inc.		73
	14		Interpublic Group of Cos., Inc. (The) (a)		119
	9		McGraw-Hill Cos., Inc. (The)		361
	64		News Corp., Class A		1,110
	8		Omnicom Group, Inc.		321
	3		Scripps Networks Interactive, Inc., Class A		109
	9		Time Warner Cable, Inc.		620
	30		Time Warner, Inc.		953
	16		Viacom, Inc., Class B		794
	53		Walt Disney Co. (The)		1,810
	—	(h)	Washington Post Co. (The), Class B		52

					9,863

			Multiline Retail — 0.7%
	2		Big Lots, Inc. (a)		72
	3		Family Dollar Stores, Inc.		184
	6		J.C. Penney Co., Inc.		160
	8		Kohl's Corp. (a)		366
	12		Macy's, Inc.		311
	5		Nordstrom, Inc.		214
	1		Sears Holdings Corp. (a) (c)		73
	19		Target Corp.		1,001

					2,381

			Specialty Retail — 1.8%
	2		Abercrombie & Fitch Co., Class A		157
	2		AutoNation, Inc. (a)		72
	1		AutoZone, Inc. (a)		218
	7		Bed Bath & Beyond, Inc. (a)		398
	9		Best Buy Co., Inc.		232
	6		CarMax, Inc. (a)		178
	4		GameStop Corp., Class A (a)		95
	11		Gap, Inc. (The)		182


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Specialty Retail — Continued
	45	Home Depot, Inc.		1,495
	7	Limited Brands, Inc.		268
	37	Lowe's Cos., Inc.		730
	4	O'Reilly Automotive, Inc. (a)		251
	3	Ross Stores, Inc.		252
	20	Staples, Inc.		296
	4	Tiffany & Co.		258
	11	TJX Cos., Inc.		593
	4	Urban Outfitters, Inc. (a)		92

				5,767

		Textiles, Apparel & Luxury Goods — 0.6%
	8	Coach, Inc.		464
	11	NIKE, Inc., Class B		925
	2	Ralph Lauren Corp.		248
	2	V.F. Corp.		288

				1,925

		Total Consumer Discretionary		33,435

		Consumer Staples — 11.1%
		Beverages — 2.6%
	3	Brown-Forman Corp., Class B		208
	64	Coca-Cola Co. (The)		4,536
	9	Coca-Cola Enterprises, Inc.		252
	5	Constellation Brands, Inc., Class A (a)		99
	6	Dr. Pepper Snapple Group, Inc.		240
	4	Molson Coors Brewing Co., Class B		196
	44	PepsiCo, Inc.		2,864

				8,395

		Food & Staples Retailing — 2.3%
	12	Costco Wholesale Corp.		965
	38	CVS Caremark Corp.		1,369
	17	Kroger Co. (The)		402
	10	Safeway, Inc.		183
	6	SUPERVALU, Inc. (c)		48
	16	Sysco Corp.		458
	26	Walgreen Co.		906
	54	Wal-Mart Stores, Inc.		2,858
	4	Whole Foods Market, Inc.		277

				7,466

		Food Products — 1.9%
	19	Archer-Daniels-Midland Co.		546
	5	Campbell Soup Co.		164
	11	ConAgra Foods, Inc.		281
	5	Dean Foods Co. (a)		45


SHARES		SECURITY DESCRIPTION	VALUE($)


		Food Products — Continued
	18	General Mills, Inc.		681
	9	H.J. Heinz Co.		476
	4	Hershey Co. (The)		253
	4	Hormel Foods Corp.		108
	3	JM Smucker Co. (The)		235
	7	Kellogg Co.		382
	49	Kraft Foods, Inc., Class A		1,731
	4	McCormick & Co., Inc. (Non- Voting)		178
	6	Mead Johnson Nutrition Co.		409
	16	Sara Lee Corp.		297
	8	Tyson Foods, Inc., Class A		147

				5,933

		Household Products — 2.3%
	4	Clorox Co.		261
	14	Colgate-Palmolive Co.		1,237
	11	Kimberly-Clark Corp.		764
	78	Procter & Gamble Co. (The)		4,999

				7,261

		Personal Products — 0.2%
	12	Avon Products, Inc.		273
	3	Estee Lauder Cos., Inc. (The), Class A		313

				586

		Tobacco — 1.8%
	59	Altria Group, Inc.		1,601
	4	Lorillard, Inc.		450
	50	Philip Morris International, Inc.		3,467
	10	Reynolds American, Inc.		357

				5,875

		Total Consumer Staples		35,516

		Energy — 12.1%
		Energy Equipment & Services — 2.2%
	12	Baker Hughes, Inc.		747
	7	Cameron International Corp. (a)		358
	2	Diamond Offshore Drilling, Inc. (c)		125
	7	FMC Technologies, Inc. (a)		300
	26	Halliburton Co.		1,142
	3	Helmerich & Payne, Inc.		172
	8	Nabors Industries Ltd., (Bermuda) (a)		149
	12	National Oilwell Varco, Inc.		787
	7	Noble Corp., (Switzerland)		239
	4	Rowan Cos., Inc. (a)		129
	38	Schlumberger Ltd.		2,981

				7,129


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Oil, Gas & Consumable Fuels — 9.9%
	6	Alpha Natural Resources, Inc. (a)		211
	14	Anadarko Petroleum Corp.		1,032
	11	Apache Corp.		1,111
	3	Cabot Oil & Gas Corp.		223
	18	Chesapeake Energy Corp.		599
	57	Chevron Corp.		5,592
	40	ConocoPhillips		2,706
	6	Consol Energy, Inc.		291
	11	Denbury Resources, Inc. (a)		178
	12	Devon Energy Corp.		807
	22	El Paso Corp.		414
	8	EOG Resources, Inc.		699
	4	EQT Corp.		251
	139	Exxon Mobil Corp.		10,257
	9	Hess Corp.		505
	20	Marathon Oil Corp.		539
	10	Marathon Petroleum Corp.		371
	5	Murphy Oil Corp.		291
	4	Newfield Exploration Co. (a)		190
	5	Noble Energy, Inc.		439
	23	Occidental Petroleum Corp.		1,983
	8	Peabody Energy Corp.		372
	3	Pioneer Natural Resources Co.		257
	5	QEP Resources, Inc.		175
	5	Range Resources Corp.		292
	10	Southwestern Energy Co. (a)		371
	18	Spectra Energy Corp.		475
	3	Sunoco, Inc.		130
	4	Tesoro Corp. (a)		97
	16	Valero Energy Corp.		364
	17	Williams Cos., Inc. (The)		446

				31,668

		Total Energy		38,797

		Financials — 13.9%
		Capital Markets — 2.0%
	7	Ameriprise Financial, Inc.		312
	35	Bank of New York Mellon Corp. (The)		722
	3	BlackRock, Inc.		465
	30	Charles Schwab Corp. (The)		364
	7	E*Trade Financial Corp. (a)		88
	3	Federated Investors, Inc., Class B (c)		46
	4	Franklin Resources, Inc.		486
	15	Goldman Sachs Group, Inc. (The)		1,692
	13	Invesco Ltd.		238
	5	Janus Capital Group, Inc.		38


SHARES		SECURITY DESCRIPTION	VALUE($)


		Capital Markets — Continued
	4	Legg Mason, Inc.		119
	42	Morgan Stanley		731
	7	Northern Trust Corp.		261
	14	State Street Corp.		504
	7	T. Rowe Price Group, Inc.		391

				6,457

		Commercial Banks — 2.5%
	20	BB&T Corp.		437
	6	Comerica, Inc.		151
	26	Fifth Third Bancorp		274
	7	First Horizon National Corp.		52
	24	Huntington Bancshares, Inc.		122
	27	KeyCorp		178
	4	M&T Bank Corp.		269
	15	PNC Financial Services Group, Inc.		742
	35	Regions Financial Corp.		160
	15	SunTrust Banks, Inc.		300
	54	U.S. Bancorp		1,258
	149	Wells Fargo & Co.		3,882
	5	Zions Bancorp		90

				7,915

		Consumer Finance — 0.8%
	29	American Express Co.		1,462
	13	Capital One Financial Corp.		594
	15	Discover Financial Services		386
	15	SLM Corp. (a)		204

				2,646

		Diversified Financial Services — 3.3%
	285	Bank of America Corp.		2,328
	82	Citigroup, Inc. (a)		2,550
	2	CME Group, Inc.		504
	2	IntercontinentalExchange, Inc. (a)		244
	112	JPMorgan Chase & Co. (q)		4,197
	6	Leucadia National Corp.		165
	6	Moody's Corp.		172
	4	NASDAQ OMX Group, Inc. (The) (a)		100
	7	NYSE Euronext		201

				10,461

		Insurance — 3.5%
	9	ACE Ltd., (Switzerland)		613
	13	Aflac, Inc.		496
	15	Allstate Corp. (The)		386
	12	American International Group, Inc. (a)		311


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Insurance — Continued
	9	AON Corp.		434
	3	Assurant, Inc.		95
	49	Berkshire Hathaway, Inc., Class B (a)		3,554
	8	Chubb Corp.		509
	5	Cincinnati Financial Corp.		128
	14	Genworth Financial, Inc., Class A (a)		95
	12	Hartford Financial Services Group, Inc.		239
	9	Lincoln National Corp.		183
	9	Loews Corp.		329
	15	Marsh & McLennan Cos., Inc.		458
	30	MetLife, Inc.		999
	9	Principal Financial Group, Inc.		229
	18	Progressive Corp. (The)		353
	14	Prudential Financial, Inc.		689
	3	Torchmark Corp.		123
	12	Travelers Cos., Inc. (The)		594
	9	Unum Group		204
	9	XL Group plc, (Ireland)		181

				11,202

		Real Estate Investment Trusts (REITs) — 1.7%
	3	Apartment Investment &
		Management Co., Class A		89
	3	AvalonBay Communities, Inc.		354
	4	Boston Properties, Inc.		427
	8	Equity Residential		507
	11	HCP, Inc.		426
	5	Health Care REIT, Inc.		253
	19	Host Hotels & Resorts, Inc.		228
	11	Kimco Realty Corp.		203
	5	Plum Creek Timber Co., Inc.		173
	13	ProLogis, Inc.		348
	4	Public Storage		487
	8	Simon Property Group, Inc.		969
	8	Ventas, Inc.		432
	5	Vornado Realty Trust		396
	15	Weyerhaeuser Co.		273

				5,565

		Real Estate Management & Development — 0.0% (g)
	8	CB Richard Ellis Group, Inc., Class A (a)		125

		Thrifts & Mortgage Finance — 0.1%
	15	Hudson City Bancorp, Inc.		92
	10	People's United Financial, Inc.		118

				210

		Total Financials		44,581


SHARES		SECURITY DESCRIPTION	VALUE($)


		Health Care — 11.5%
		Biotechnology — 1.2%
	26	Amgen, Inc. (a)		1,449
	7	Biogen Idec, Inc. (a)		640
	13	Celgene Corp. (a)		774
	2	Cephalon, Inc. (a)		174
	22	Gilead Sciences, Inc. (a)		883

				3,920

		Health Care Equipment & Supplies — 1.9%
	16	Baxter International, Inc.		898
	6	Becton, Dickinson & Co.		501
	43	Boston Scientific Corp. (a)		291
	2	C.R. Bard, Inc.		230
	6	CareFusion Corp. (a)		161
	14	Covidien plc, (Ireland)		728
	4	DENTSPLY International, Inc.		139
	3	Edwards Lifesciences Corp. (a)		243
	1	Intuitive Surgical, Inc. (a)		421
	30	Medtronic, Inc.		1,055
	9	St. Jude Medical, Inc. (a)		421
	9	Stryker Corp.		458
	3	Varian Medical Systems, Inc. (a)		188
	5	Zimmer Holdings, Inc. (a)		307

				6,041

		Health Care Providers & Services — 2.1%
	11	Aetna, Inc.		427
	8	AmerisourceBergen Corp.		305
	10	Cardinal Health, Inc.		419
	8	CIGNA Corp.		356
	4	Coventry Health Care, Inc. (a)		137
	3	DaVita, Inc. (a)		198
	14	Express Scripts, Inc. (a)		644
	5	Humana, Inc. (a)		368
	3	Laboratory Corp. of America Holdings (a)		235
	7	McKesson Corp.		567
	11	Medco Health Solutions, Inc. (a)		609
	3	Patterson Cos., Inc.		79
	4	Quest Diagnostics, Inc.		221
	14	Tenet Healthcare Corp. (a)		73
	30	UnitedHealth Group, Inc.		1,448
	10	WellPoint, Inc.		653

				6,739

		Health Care Technology — 0.1%
	4	Cerner Corp. (a)		268


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Life Sciences Tools & Services — 0.4%
	10	Agilent Technologies, Inc. (a)		361
	5	Life Technologies Corp. (a)		211
	3	PerkinElmer, Inc.		72
	11	Thermo Fisher Scientific, Inc. (a)		592
	3	Waters Corp. (a)		206

				1,442

		Pharmaceuticals — 5.8%
	44	Abbott Laboratories		2,295
	9	Allergan, Inc.		701
	48	Bristol-Myers Squibb Co.		1,427
	29	Eli Lilly & Co.		1,075
	8	Forest Laboratories, Inc. (a)		276
	5	Hospira, Inc. (a)		218
	77	Johnson & Johnson		5,072
	87	Merck & Co., Inc.		2,875
	12	Mylan, Inc. (a)		257
	222	Pfizer, Inc.		4,217
	4	Watson Pharmaceuticals, Inc. (a)		239

				18,652

		Total Health Care		37,062

		Industrials — 10.2%
		Aerospace & Defense — 2.6%
	21	Boeing Co. (The)		1,388
	10	General Dynamics Corp.		670
	4	Goodrich Corp.		313
	22	Honeywell International, Inc.		1,058
	5	ITT Corp.		245
	3	L-3 Communications Holdings, Inc.		203
	8	Lockheed Martin Corp.		594
	8	Northrop Grumman Corp.		427
	4	Precision Castparts Corp.		663
	10	Raytheon Co.		433
	4	Rockwell Collins, Inc.		219
	8	Textron, Inc.		131
	26	United Technologies Corp.		1,911

				8,255

		Air Freight & Logistics — 1.0%
	5	C.H. Robinson Worldwide, Inc.		323
	6	Expeditors International of Washington, Inc.		272
	9	FedEx Corp.		699
	28	United Parcel Service, Inc., Class B		1,869

				3,163


SHARES		SECURITY DESCRIPTION	VALUE($)



		Airlines — 0.0% (g)
	22	Southwest Airlines Co.		192

		Building Products — 0.0% (g)
	10	Masco Corp.		89

		Commercial Services & Supplies — 0.5%
	3	Avery Dennison Corp.		86
	4	Cintas Corp.		114
	6	Iron Mountain, Inc.		184
	6	Pitney Bowes, Inc.		116
	5	R.R. Donnelley & Sons Co.		80
	9	Republic Services, Inc.		259
	2	Stericycle, Inc. (a)		212
	13	Waste Management, Inc.		441

				1,492

		Construction & Engineering — 0.2%
	5	Fluor Corp.		297
	4	Jacobs Engineering Group, Inc. (a)		133
	6	Quanta Services, Inc. (a)		117

				547

		Electrical Equipment — 0.4%
	21	Emerson Electric Co.		984
	4	Rockwell Automation, Inc.		260
	3	Roper Industries, Inc.		208

				1,452

		Industrial Conglomerates — 2.2%
	20	3M Co.		1,658
	298	General Electric Co.		4,865
	13	Tyco International Ltd., (Switzerland)		548

				7,071

		Machinery — 2.2%
	18	Caterpillar, Inc.		1,649
	6	Cummins, Inc.		513
	15	Danaher Corp.		701
	12	Deere & Co.		954
	5	Dover Corp.		302
	10	Eaton Corp.		412
	2	Flowserve Corp.		148
	14	Illinois Tool Works, Inc.		654
	9	Ingersoll-Rand plc, (Ireland)		312
	3	Joy Global, Inc.		247
	10	PACCAR, Inc.		387
	3	Pall Corp.		167
	5	Parker Hannifin Corp.		335
	2	Snap-On, Inc.		87


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Machinery — Continued
	5	Stanley Black & Decker, Inc.		293

				7,161

		Professional Services — 0.1%
	1	Dun & Bradstreet Corp.		93
	3	Equifax, Inc.		112
	4	Robert Half International, Inc.		98

				303

		Road & Rail — 0.8%
	31	CSX Corp.		681
	10	Norfolk Southern Corp.		672
	1	Ryder System, Inc.		68
	14	Union Pacific Corp.		1,271

				2,692

		Trading Companies & Distributors — 0.2%
	8	Fastenal Co.		278
	2	W.W. Grainger, Inc.		252

				530

		Total Industrials		32,947

		Information Technology — 18.2%
		Communications Equipment — 2.0%
	155	Cisco Systems, Inc.		2,425
	2	F5 Networks, Inc. (a)		186
	4	Harris Corp.		144
	6	JDS Uniphase Corp. (a)		83
	15	Juniper Networks, Inc. (a)		314
	8	Motorola Mobility Holdings, Inc. (a)		313
	10	Motorola Solutions, Inc. (a)		402
	47	QUALCOMM, Inc.		2,416
	10	Tellabs, Inc.		42

				6,325

		Computers & Peripherals — 4.5%
	26	Apple, Inc. (a)		10,008
	46	Dell, Inc. (a)		686
	58	EMC Corp. (a)		1,307
	58	Hewlett-Packard Co.		1,518
	2	Lexmark International, Inc., Class A (a)		71
	10	NetApp, Inc. (a)		389
	7	SanDisk Corp. (a)		246
	7	Western Digital Corp. (a)		193

				14,418

		Electronic Equipment, Instruments & Components — 0.4%
	5	Amphenol Corp., Class A		233


SHARES		SECURITY DESCRIPTION	VALUE($)


		Electronic Equipment, Instruments & Components — Continued
	44	Corning, Inc.		664
	4	FLIR Systems, Inc. (a)		116
	6	Jabil Circuit, Inc.		93
	4	Molex, Inc.		85

				1,191

		Internet Software & Services — 1.8%
	5	Akamai Technologies, Inc. (a)		115
	32	eBay, Inc. (a)		992
	7	Google, Inc., Class A (a)		3,824
	4	Monster Worldwide, Inc. (a)		34
	5	VeriSign, Inc.		148
	37	Yahoo!, Inc. (a)		498

				5,611

		IT Services — 3.6%
	18	Accenture plc, (Ireland), Class A		977
	14	Automatic Data Processing, Inc.		703
	9	Cognizant Technology Solutions Corp., Class A (a)		543
	4	Computer Sciences Corp.		134
	8	Fidelity National Information Services, Inc.		213
	4	Fiserv, Inc. (a)		225
	34	International Business Machines Corp.		5,855
	3	MasterCard, Inc., Class A		873
	9	Paychex, Inc.		244
	8	SAIC, Inc. (a)		118
	5	Teradata Corp. (a)		249
	5	Total System Services, Inc.		83
	13	Visa, Inc., Class A		1,184
	18	Western Union Co. (The)		294

				11,695

		Office Electronics — 0.1%
	39	Xerox Corp.		327

		Semiconductors & Semiconductor Equipment — 2.2%
	16	Advanced Micro Devices, Inc. (a)		111
	9	Altera Corp.		330
	8	Analog Devices, Inc.		278
	37	Applied Materials, Inc.		420
	13	Broadcom Corp., Class A (a)		478
	2	First Solar, Inc. (a)		153
	149	Intel Corp.		3,001
	5	KLA-Tencor Corp.		173
	6	Linear Technology Corp.		183
	17	LSI Corp. (a)		116
	6	MEMC Electronic Materials, Inc. (a)		45


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Semiconductors & Semiconductor Equipment — Continued
	5	Microchip Technology, Inc.		176
	24	Micron Technology, Inc. (a)		143
	7	National Semiconductor Corp.		169
	2	Novellus Systems, Inc. (a)		55
	17	NVIDIA Corp. (a)		225
	5	Teradyne, Inc. (a) (c)		63
	33	Texas Instruments, Inc.		856
	7	Xilinx, Inc.		233

				7,208

		Software — 3.6%
	14	Adobe Systems, Inc. (a)		358
	6	Autodesk, Inc. (a)		183
	5	BMC Software, Inc. (a)		202
	11	CA, Inc.		224
	5	Citrix Systems, Inc. (a)		320
	6	Compuware Corp. (a)		52
	9	Electronic Arts, Inc. (a)		211
	8	Intuit, Inc. (a)		380
	209	Microsoft Corp.		5,551
	110	Oracle Corp.		3,076
	5	Red Hat, Inc. (a)		215
	3	Salesforce.com, Inc. (a)		436
	21	Symantec Corp. (a)		364

				11,572

		Total Information Technology		58,347

		Materials — 3.5%
		Chemicals — 2.1%
	6	Air Products & Chemicals, Inc.		488
	2	Airgas, Inc.		127
	2	CF Industries Holdings, Inc.		367
	33	Dow Chemical Co. (The)		941
	26	E.I. du Pont de Nemours & Co.		1,261
	2	Eastman Chemical Co.		165
	7	Ecolab, Inc.		350
	2	FMC Corp.		153
	2	International Flavors & Fragrances, Inc.		131
	15	Monsanto Co.		1,039
	4	PPG Industries, Inc.		341
	9	Praxair, Inc.		842
	2	Sherwin-Williams Co. (The)		188
	3	Sigma-Aldrich Corp.		221

				6,614

		Construction Materials — 0.0% (g)
	4	Vulcan Materials Co.		127


SHARES		SECURITY DESCRIPTION	VALUE($)


		Containers & Packaging — 0.1%
	5	Ball Corp.		170
	3	Bemis Co., Inc.		92
	5	Owens-Illinois, Inc. (a)		87
	5	Sealed Air Corp.		83

				432

		Metals & Mining — 1.1%
	3	AK Steel Holding Corp.		28
	30	Alcoa, Inc.		383
	3	Allegheny Technologies, Inc.		150
	4	Cliffs Natural Resources, Inc.		337
	27	Freeport-McMoRan Copper & Gold, Inc.		1,256
	14	Newmont Mining Corp.		869
	9	Nucor Corp.		321
	3	Titanium Metals Corp. (a)		40
	4	United States Steel Corp.		122

				3,506

		Paper & Forest Products — 0.2%
	12	International Paper Co.		334
	5	MeadWestvaco Corp.		131

				465

		Total Materials		11,144

		Telecommunication Services — 3.0%
		Diversified Telecommunication Services — 2.7%
	167	AT&T, Inc.		4,743
	17	CenturyLink, Inc.		625
	28	Frontier Communications Corp.		210
	80	Verizon Communications, Inc.		2,878
	14	Windstream Corp.		182

				8,638

		Wireless Telecommunication Services — 0.3%
	11	American Tower Corp., Class A (a)		601
	7	MetroPCS Communications, Inc. (a)		83
	84	Sprint Nextel Corp. (a)		316

				1,000

		Total Telecommunication Services		9,638

		Utilities — 3.6%
		Electric Utilities — 1.9%
	14	American Electric Power Co., Inc.		523
	37	Duke Energy Corp.		708
	9	Edison International		341
	5	Entergy Corp.		326
	19	Exelon Corp.		803
	12	FirstEnergy Corp.		520


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Electric Utilities — Continued
	12	NextEra Energy, Inc.		673
	5	Northeast Utilities		173
	6	Pepco Holdings, Inc.		124
	3	Pinnacle West Capital Corp.		136
	16	PPL Corp.		469
	8	Progress Energy, Inc.		404
	24	Southern Co.		988

				6,188

		Gas Utilities — 0.1%
	1	Nicor, Inc.		71
	3	Oneok, Inc.		214

				285

		Independent Power Producers & Energy Traders — 0.2%
	18	AES Corp. (The) (a)		201
	6	Constellation Energy Group, Inc.		217
	7	NRG Energy, Inc. (a)		159

				577

		Multi-Utilities — 1.4%
	7	Ameren Corp.		205
	12	CenterPoint Energy, Inc.		239
	7	CMS Energy Corp.		140
	8	Consolidated Edison, Inc.		462
	16	Dominion Resources, Inc.		789
	5	DTE Energy Co.		241
	2	Integrys Energy Group, Inc.		110
	8	NiSource, Inc.		168
	11	PG&E Corp.		474
	14	Public Service Enterprise Group, Inc.		485
	3	SCANA Corp.		129
	7	Sempra Energy		354
	6	TECO Energy, Inc.		111
	7	Wisconsin Energy Corp.		208
	14	Xcel Energy, Inc.		336

				4,451

		Total Utilities		11,501

		Total Common Stocks (Cost $266,169)		312,968


SHARES		SECURITY DESCRIPTION	VALUE($)


	Mutual Fund — 0.1%
	4	SPDR S&P 500 ETF Trust (Cost $428)		427


PRINCIPAL AMOUNT ($)
	U.S. Treasury Obligations — 0.2%
		U.S. Treasury Bills,
	200	0.015%, 10/20/11 (k) (n)		200
	325	0.041%, 11/03/11 (k) (n)		325

		Total U.S. Treasury Obligations (Cost $525)		525


NO. OF WARRANTS
	Warrant — 0.0% (g)
		Financials — 0.0% (g)
		Insurance — 0.0% (g)
	2	American International Group, Inc., expiring 01/19/21 (a) (Cost $—)		15


SHARES
	Short-Term Investment — 2.0%
		Investment Company — 2.0%
	6,418	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.060% (b) (l) (m) (Cost $6,418)		6,418

	Investments of Cash Collateral for Securities on Loan — 0.1%
		Investment Company — 0.1%
	302	JPMorgan Prime Money Market Fund, Capital Shares, 0.080% (b) (l) (Cost $302)		302

		Total Investments — 99.9% (Cost $273,842)		320,655
		Other Assets in Excess of Liabilities — 0.1%		433

		NET ASSETS — 100.0%	$	321,088

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — 2.4%
		AH Mortgage Advance Trust,
	295	Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e)		295
	178	Series SART-1, Class A1, 2.630%, 05/10/42 (e)		178
	750	Series SART-1, Class A2, 3.370%, 05/10/43 (e)		751
		Ally Auto Receivables Trust,
	60	Series 2010-1, Class A3, 1.450%, 05/15/14		60
	176	Series 2010-4, Class A3, 0.910%, 11/17/14		177
		AmeriCredit Automobile Receivables Trust,
	114	Series 2009-1, Class A3, 3.040%, 10/15/13		116
	23	Series 2010-1, Class A3, 1.660%, 03/17/14		23
	130	Series 2010-3, Class A3, 1.140%, 04/08/15		130
	132	Series 2010-4, Class A2, 0.960%, 05/08/14		132
	75	Series 2010-4, Class A3, 1.270%, 04/08/15		76
	155	Series 2011-3, Class A2, 0.840%, 11/10/14		155
		Bank of America Auto Trust,
	189	Series 2009-1A, Class A3, 2.670%, 07/15/13 (e)		190
	150	Series 2009-1A, Class A4, 3.520%, 06/15/16 (e)		154
	92	Series 2010-1A, Class A3, 1.390%, 03/15/14 (e)		93
	100	Series 2010-1A, Class A4, 2.180%, 02/15/17 (e)		103
	75	Series 2010-2, Class A3, 1.310%, 07/15/14		75
	125	Series 2010-2, Class A4, 1.940%, 06/15/17		128
	75	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.588%, 04/25/36		53
	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		189
		Chrysler Financial Auto Securitization Trust,
	73	Series 2009-A, Class A3, 2.820%, 01/15/16		74
	250	Series 2010-A, Class A3, 0.910%, 08/08/13		250
	300	Citibank Credit Card Issuance Trust, Series 2002-C2, Class C2, 6.950%, 02/18/14		309
		CNH Equipment Trust,
	89	Series 2010-A, Class A3, 1.540%, 07/15/14		90
	300	Series 2010-C, Class A3, 1.170%, 05/15/15		301
	48	Credit-Based Asset Servicing and Securitization LLC, Series 2006- CB1, Class AF2, SUB, 5.236%, 01/25/36		28
		Ford Credit Auto Owner Trust,
	107	Series 2009-B, Class A3, 2.790%, 08/15/13		108
	200	Series 2009-B, Class A4, 4.500%, 07/15/14		209


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	200	GE Capital Credit Card Master Note Trust, Series 2009-2, Class A, 3.690%, 07/15/15		205
	101	GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		92
	144	Harley-Davidson Motorcycle Trust, Series 2010-1, Class A3, 1.160%, 02/15/15		145
		Honda Auto Receivables Owner Trust,
	100	Series 2009-2, Class A3, 2.790%, 01/15/13		100
	100	Series 2009-2, Class A4, 4.430%, 07/15/15		103
	66	Series 2009-3, Class A3, 2.310%, 05/15/13		67
	150	Series 2009-3, Class A4, 3.300%, 09/15/15		154
		HSBC Home Equity Loan Trust,
	90	Series 2005-2, Class A1, VAR, 0.483%, 01/20/35		79
	65	Series 2006-1, Class A1, VAR, 0.373%, 01/20/36		61
	75	Series 2007-3, Class APT, VAR, 1.413%, 11/20/36		67
	125	Hyundai Auto Receivables Trust, Series 2010-B, Class A3, 0.970%, 04/15/15		126
	21	John Deere Owner Trust, Series 2009-A, Class A3, 2.590%, 10/15/13		21
	182	LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) (f) (i)		182
	407	MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14		418
	105	Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14		106
		Nissan Auto Receivables Owner Trust,
	115	Series 2010-A, Class A3, 0.870%, 07/15/14		115
	75	Series 2010-A, Class A4, 1.310%, 09/15/16		76
	229	Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i)		228
		Santander Drive Auto Receivables Trust,
	110	Series 2010-3, Class A3, 1.200%, 06/16/14		110
	100	Series 2010-A, Class A4, 2.390%, 06/15/17 (e)		103
	44	Series 2011-S2A, Class B, 2.060%, 06/15/17 (e)		44
	225	Toyota Auto Receivables Owner Trust, Series 2010-C, Class A3, 0.770%, 04/15/14		225
	135	World Omni Auto Receivables Trust, Series 2010-A, Class A4, 2.210%, 05/15/15		138

		Total Asset-Backed Securities (Cost $7,469)		7,472

	Collateralized Mortgage Obligations — 33.6%
		Agency CMO — 27.2%
	85	Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 24, Class ZE, 6.250%, 11/25/23		96


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
			Federal Home Loan Mortgage Corp. REMICS,
	7		Series 11, Class D, 9.500%, 07/15/19		8
	—	(h)	Series 41, Class I, HB, 84.000%, 05/15/20		—	(h)
	4		Series 46, Class B, 7.800%, 09/15/20		5
	1		Series 47, Class F, 10.000%, 06/15/20		1
	—	(h)	Series 85, Class C, 8.600%, 01/15/21		—	(h)
	4		Series 99, Class Z, 9.500%, 01/15/21		4
	21		Series 114, Class H, 6.950%, 01/15/21		23
	1		Series 1079, Class S, HB, IF, 33.150%, 05/15/21		2
	1		Series 1084, Class F, VAR, 1.200%, 05/15/21		1
	1		Series 1084, Class S, HB, IF, 44.100%, 05/15/21		2
	11		Series 1144, Class KB, 8.500%, 09/15/21		13
	—	(h)	Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21		—	(h)
	—	(h)	Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22		2
	14		Series 1206, Class IA, 7.000%, 03/15/22		16
	9		Series 1250, Class J, 7.000%, 05/15/22		11
	30		Series 1343, Class LA, 8.000%, 08/15/22		36
	129		Series 1466, Class PZ, 7.500%, 02/15/23		148
	2		Series 1470, Class F, VAR, 2.338%, 02/15/23		2
	48		Series 1491, Class I, 7.500%, 04/15/23		57
	49		Series 1518, Class G, IF, 8.854%, 05/15/23		58
	42		Series 1541, Class O, VAR, 1.920%, 07/15/23		43
	3		Series 1602, Class SA, HB, IF, 21.937%, 10/15/23		5
	154		Series 1608, Class L, 6.500%, 09/15/23		176
	111		Series 1609, Class LG, IF, 16.792%, 11/15/23		134
	4		Series 1671, Class L, 7.000%, 02/15/24		5
	24		Series 1700, Class GA, PO, 02/15/24		21
	243		Series 1706, Class K, 7.000%, 03/15/24		283
	790		Series 1720, Class PL, 7.500%, 04/15/24		918
	20		Series 1745, Class D, 7.500%, 08/15/24		24
	54		Series 1798, Class F, 5.000%, 05/15/23		59
	2		Series 1807, Class G, 9.000%, 10/15/20		2
	230		Series 1927, Class PH, 7.500%, 01/15/27		269
	107		Series 1981, Class Z, 6.000%, 05/15/27		118
	32		Series 1987, Class PE, 7.500%, 09/15/27		37
	17		Series 2025, Class PE, 6.300%, 01/15/13		17
	16		Series 2033, Class SN, HB, IF, 25.422%, 03/15/24		11
	43		Series 2038, Class PN, IO, 7.000%, 03/15/28		9
	204		Series 2040, Class PE, 7.500%, 03/15/28		245
	56		Series 2056, Class TD, 6.500%, 05/15/18		61


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	250	Series 2063, Class PG, 6.500%, 06/15/28		290
	44	Series 2064, Class TE, 7.000%, 06/15/28		53
	175	Series 2075, Class PH, 6.500%, 08/15/28		203
	170	Series 2075, Class PM, 6.250%, 08/15/28		180
	50	Series 2089, Class PJ, IO, 7.000%, 10/15/28		11
	15	Series 2102, Class TC, 6.000%, 12/15/13		16
	87	Series 2115, Class PE, 6.000%, 01/15/14		89
	124	Series 2125, Class JZ, 6.000%, 02/15/29		132
	21	Series 2163, Class PC, IO, 7.500%, 06/15/29		5
	484	Series 2169, Class TB, 7.000%, 06/15/29		564
	136	Series 2172, Class QC, 7.000%, 07/15/29		159
	1	Series 2196, Class TL, 7.500%, 11/15/29		1
	71	Series 2201, Class C, 8.000%, 11/15/29		84
	147	Series 2210, Class Z, 8.000%, 01/15/30		178
	59	Series 2224, Class CB, 8.000%, 03/15/30		70
	87	Series 2256, Class MC, 7.250%, 09/15/30		104
	122	Series 2259, Class ZM, 7.000%, 10/15/30		142
	97	Series 2271, Class PC, 7.250%, 12/15/30		116
	148	Series 2283, Class K, 6.500%, 12/15/23		160
	50	Series 2296, Class PD, 7.000%, 03/15/31		59
	27	Series 2306, Class K, PO, 05/15/24		25
	66	Series 2306, Class SE, IF, IO, 7.630%, 05/15/24		13
	70	Series 2333, Class HC, 6.000%, 07/15/31		70
	52	Series 2344, Class QG, 6.000%, 08/15/16		56
	1,101	Series 2344, Class ZD, 6.500%, 08/15/31		1,227
	145	Series 2344, Class ZJ, 6.500%, 08/15/31		162
	99	Series 2345, Class NE, 6.500%, 08/15/31		105
	94	Series 2345, Class PQ, 6.500%, 08/15/16		100
	92	Series 2347, Class VP, 6.500%, 03/15/20		94
	143	Series 2351, Class PZ, 6.500%, 08/15/31		155
	64	Series 2355, Class BP, 6.000%, 09/15/16		69
	73	Series 2360, Class PG, 6.000%, 09/15/16		79
	61	Series 2366, Class MD, 6.000%, 10/15/16		66
	104	Series 2391, Class QR, 5.500%, 12/15/16		111
	90	Series 2410, Class NG, 6.500%, 02/15/32		102
	125	Series 2410, Class OE, 6.375%, 02/15/32		140
	49	Series 2410, Class QX, IF, IO, 8.443%, 02/15/32		11
	259	Series 2412, Class SP, IF, 15.686%, 02/15/32		330
	55	Series 2423, Class MC, 7.000%, 03/15/32		62
	117	Series 2423, Class MT, 7.000%, 03/15/32		132
	243	Series 2435, Class CJ, 6.500%, 04/15/32		287
	81	Series 2435, Class VH, 6.000%, 07/15/19		81
	169	Series 2441, Class GF, 6.500%, 04/15/32		195
	136	Series 2444, Class ES, IF, IO, 7.743%, 03/15/32		27


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	153	Series 2450, Class GZ, 7.000%, 05/15/32		179
	54	Series 2450, Class SW, IF, IO, 7.793%, 03/15/32		11
	269	Series 2455, Class GK, 6.500%, 05/15/32		309
	411	Series 2466, Class DH, 6.500%, 06/15/32		465
	319	Series 2466, Class PG, 6.500%, 04/15/32		338
	183	Series 2474, Class NR, 6.500%, 07/15/32		209
	348	Series 2484, Class LZ, 6.500%, 07/15/32		404
	545	Series 2500, Class MC, 6.000%, 09/15/32		604
	607	Series 2512, Class PG, 5.500%, 10/15/22		673
	1	Series 2519, Class BT, 8.500%, 09/15/31		1
	130	Series 2535, Class BK, 5.500%, 12/15/22		144
	286	Series 2537, Class TE, 5.500%, 12/15/17		308
	675	Series 2543, Class YX, 6.000%, 12/15/32		769
	1,000	Series 2568, Class KG, 5.500%, 02/15/23		1,110
	810	Series 2575, Class ME, 6.000%, 02/15/33		925
	103	Series 2586, Class WI, IO, 6.500%, 03/15/33		19
	171	Series 2587, Class CO, PO, 03/15/32		165
	101	Series 2594, Class VQ, 6.000%, 08/15/20		102
	293	Series 2597, Class AD, 6.500%, 03/15/32		304
	26	Series 2597, Class DS, IF, IO, 7.343%, 02/15/33		2
	47	Series 2599, Class DS, IF, IO, 6.793%, 02/15/33		2
	173	Series 2610, Class DS, IF, IO, 6.893%, 03/15/33		5
	71	Series 2611, Class SH, IF, IO, 7.443%, 10/15/21		1
	383	Series 2617, Class GR, 4.500%, 05/15/18		409
	24	Series 2619, Class IM, IO, 5.000%, 10/15/21		—	(h)
	300	Series 2622, Class PE, 4.500%, 05/15/18		322
	184	Series 2628, Class WA, 4.000%, 07/15/28		185
	186	Series 2631, Class LC, 4.500%, 06/15/18		198
	202	Series 2640, Class VE, 3.250%, 07/15/22		209
	297	Series 2651, Class VZ, 4.500%, 07/15/18		317
	476	Series 2657, Class MD, 5.000%, 12/15/20		487
	38	Series 2668, Class SB, IF, 7.016%, 10/15/15		38
	202	Series 2672, Class ME, 5.000%, 11/15/22		221
	506	Series 2675, Class CK, 4.000%, 09/15/18		537
	202	Series 2682, Class YS, IF, 8.718%, 10/15/33		203
	1,000	Series 2684, Class PO, PO, 01/15/33		923
	53	Series 2684, Class TO, PO, 10/15/33		51
	14	Series 2686, Class GB, 5.000%, 05/15/20		14
	59	Series 2691, Class WS, IF, 8.689%, 10/15/33		60
	571	Series 2695, Class DE, 4.000%, 01/15/17		581


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	99	Series 2705, Class SC, IF, 8.689%, 11/15/33		100
	99	Series 2705, Class SD, IF, 8.734%, 11/15/33		102
	14	Series 2744, Class FE, VAR, 02/15/34		14
	335	Series 2744, Class TU, 5.500%, 05/15/32		358
	58	Series 2755, Class PA, PO, 02/15/29		56
	46	Series 2755, Class SA, IF, 13.786%, 05/15/30		52
	67	Series 2776, Class SK, IF, 8.764%, 04/15/34		67
	751	Series 2777, Class KO, PO, 02/15/33		717
	300	Series 2802, Class MB, 5.500%, 11/15/31		312
	114	Series 2815, Class YS, IF, 9.612%, 01/15/34		116
	791	Series 2907, Class VC, 4.500%, 05/15/34		863
	290	Series 2934, Class EC, PO, 02/15/20		279
	251	Series 2990, Class SL, HB, IF, 23.734%, 06/15/34		362
	500	Series 2999, Class ND, 4.500%, 07/15/20		551
	291	Series 3068, Class AO, PO, 01/15/35		278
	344	Series 3117, Class EO, PO, 02/15/36		319
	42	Series 3117, Class OK, PO, 02/15/36		37
	554	Series 3122, Class OH, PO, 03/15/36		509
	482	Series 3137, Class XP, 6.000%, 04/15/36		542
	26	Series 3149, Class SO, PO, 05/15/36		22
	580	Series 3152, Class MO, PO, 03/15/36		517
	268	Series 3171, Class MO, PO, 06/15/36		244
	260	Series 3179, Class OA, PO, 07/15/36		231
	1,002	Series 3202, Class HI, IF, IO, 6.443%, 08/15/36		160
	251	Series 3232, Class ST, IF, IO, 6.493%, 10/15/36		37
	344	Series 3253, Class PO, PO, 12/15/21		336
	545	Series 3481, Class SJ, IF, IO, 5.643%, 08/15/38		68
	288	Series 3607, Class AO, PO, 04/15/36		251
	261	Series 3607, Class EO, PO, 02/15/33		246
	240	Series 3611, Class PO, PO, 07/15/34		216
	928	Series 3666, Class VA, 5.500%, 12/15/22		1,036
	939	Series 3680, Class MA, 4.500%, 07/15/39		1,026
	1,025	Series 3819, Class ZQ, 6.000%, 04/15/36		1,191
	129	Federal Home Loan Mortgage Corp. STRIPS, Series 243, Class 16, IO, 4.500%, 11/15/20		12
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	55	Series T-41, Class 3A, VAR, 7.010%, 07/25/32		64
	47	Series T-51, Class 2A, VAR, 7.500%, 08/25/42		55
	468	Series T-54, Class 2A, 6.500%, 02/25/43		529
	161	Series T-54, Class 3A, 7.000%, 02/25/43		187
	1,250	Series T-56, Class A5, 5.231%, 05/25/43		1,359
	43	Series T-58, Class APO, PO, 09/25/43		36
	341	Series T-76, Class 2A, VAR, 4.787%, 10/25/37		352


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	159		Federal National Mortgage Association Grantor Trust, Series 2001-T10, Class A2, 7.500%, 12/25/41		174
			Federal National Mortgage Association REMICS,
	3		Series 1988-7, Class Z, 9.250%, 04/25/18		3
	12		Series 1989-70, Class G, 8.000%, 10/25/19		14
	6		Series 1989-78, Class H, 9.400%, 11/25/19		7
	4		Series 1989-83, Class H, 8.500%, 11/25/19		4
	4		Series 1989-89, Class H, 9.000%, 11/25/19		4
	1		Series 1990-1, Class D, 8.800%, 01/25/20		2
	2		Series 1990-7, Class B, 8.500%, 01/25/20		3
	2		Series 1990-60, Class K, 5.500%, 06/25/20		2
	3		Series 1990-63, Class H, 9.500%, 06/25/20		3
	2		Series 1990-93, Class G, 5.500%, 08/25/20		2
	—	(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
	15		Series 1990-102, Class J, 6.500%, 08/25/20		16
	5		Series 1990-120, Class H, 9.000%, 10/25/20		6
	1		Series 1990-134, Class SC, HB, IF, 21.225%, 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)
	6		Series 1991-42, Class S, IF, 17.238%, 05/25/21		8
	100		Series 1992-107, Class SB, HB, IF, 29.329%, 06/25/22		173
	7		Series 1992-143, Class MA, 5.500%, 09/25/22		8
	47		Series 1993-25, Class J, 7.500%, 03/25/23		54
	278		Series 1993-37, Class PX, 7.000%, 03/25/23		317
	97		Series 1993-54, Class Z, 7.000%, 04/25/23		110
	20		Series 1993-62, Class SA, IF, 17.411%, 04/25/23		27
	26		Series 1993-122, Class M, 6.500%, 07/25/23		30
	10		Series 1993-165, Class SD, IF, 12.018%, 09/25/23		13
	44		Series 1993-178, Class PK, 6.500%, 09/25/23		50
	821		Series 1993-183, Class KA, 6.500%, 10/25/23		933
	331		Series 1993-189, Class PL, 6.500%, 10/25/23		376
	25		Series 1993-225, Class SG, HB, IF, 26.464%, 12/25/13		30
	70		Series 1993-247, Class SA, HB, IF, 25.085%, 12/25/23		110
	126		Series 1993-250, Class Z, 7.000%, 12/25/23		135


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	126	Series 1993-257, Class C, PO, 06/25/23		122
	4	Series 1994-9, Class E, PO, 11/25/23		4
	184	Series 1996-14, Class SE, IF, IO, 7.780%, 08/25/23		35
	8	Series 1996-27, Class FC, VAR, 0.750%, 03/25/17		9
	23	Series 1996-59, Class J, 6.500%, 08/25/22		25
	44	Series 1996-59, Class K, 6.500%, 07/25/23		45
	91	Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27		4
	92	Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		4
	48	Series 1997-27, Class J, 7.500%, 04/18/27		53
	43	Series 1997-29, Class J, 7.500%, 04/20/27		49
	96	Series 1997-39, Class PD, 7.500%, 05/20/27		109
	37	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		8
	5	Series 1998-4, Class C, PO, 04/25/23		5
	58	Series 1998-36, Class ZB, 6.000%, 07/18/28		66
	423	Series 1998-43, Class EA, PO, 04/25/23		396
	225	Series 2000-2, Class ZE, 7.500%, 02/25/30		263
	84	Series 2001-4, Class PC, 7.000%, 03/25/21		92
	52	Series 2001-5, Class OW, 6.000%, 03/25/16		53
	233	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		52
	189	Series 2001-36, Class DE, 7.000%, 08/25/31		221
	55	Series 2001-44, Class PD, 7.000%, 09/25/31		65
	342	Series 2001-48, Class Z, 6.500%, 09/25/21		385
	55	Series 2001-49, Class Z, 6.500%, 09/25/31		64
	134	Series 2001-71, Class MB, 6.000%, 12/25/16		144
	172	Series 2001-71, Class QE, 6.000%, 12/25/16		185
	965	Series 2001-74, Class MB, 6.000%, 12/25/16		1,040
	22	Series 2001-80, Class PE, 6.000%, 07/25/29		22
	42	Series 2001-81, Class LO, PO, 01/25/32		39
	117	Series 2002-1, Class HC, 6.500%, 02/25/22		127
	48	Series 2002-1, Class SA, HB, IF, 24.478%, 02/25/32		76
	79	Series 2002-2, Class UC, 6.000%, 02/25/17		85
	165	Series 2002-3, Class OG, 6.000%, 02/25/17		178
	146	Series 2002-21, Class PE, 6.500%, 04/25/32		167
	284	Series 2002-24, Class AJ, 6.000%, 04/25/17		310
	137	Series 2002-28, Class PK, 6.500%, 05/25/32		159
	188	Series 2002-37, Class Z, 6.500%, 06/25/32		218
	442	Series 2002-84, Class VB, 5.500%, 04/25/15		472
	14	Series 2002-91, Class UH, IO, 5.500%, 06/25/22		1
	405	Series 2002-94, Class BK, 5.500%, 01/25/18		437


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	202	Series 2003-22, Class UD, 4.000%, 04/25/33		215
	162	Series 2003-34, Class GB, 6.000%, 03/25/33		186
	304	Series 2003-34, Class GE, 6.000%, 05/25/33		363
	36	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		7
	405	Series 2003-47, Class PE, 5.750%, 06/25/33		459
	87	Series 2003-52, Class SX, HB, IF, 22.295%, 10/25/31		131
	112	Series 2003-64, Class SX, IF, 13.279%, 07/25/33		123
	353	Series 2003-71, Class DS, IF, 7.216%, 08/25/33		357
	338	Series 2003-73, Class GA, 3.500%, 05/25/31		347
	392	Series 2003-80, Class SY, IF, IO, 7.432%, 06/25/23		46
	383	Series 2003-83, Class PG, 5.000%, 06/25/23		416
	62	Series 2003-91, Class SD, IF, 12.136%, 09/25/33		72
	117	Series 2003-106, Class US, IF, 8.747%, 11/25/23		119
	418	Series 2003-116, Class SB, IF, IO, 7.382%, 11/25/33		89
	70	Series 2003-128, Class KE, 4.500%, 01/25/14		72
	500	Series 2003-128, Class NG, 4.000%, 01/25/19		535
	107	Series 2003-130, Class SX, IF, 11.192%, 01/25/34		121
	151	Series 2004-14, Class SD, IF, 8.747%, 03/25/34		153
	1,000	Series 2004-21, Class AE, 4.000%, 04/25/19		1,072
	44	Series 2004-21, Class CO, PO, 04/25/34		38
	405	Series 2004-25, Class PC, 5.500%, 01/25/34		455
	316	Series 2004-25, Class SA, IF, 18.924%, 04/25/34		436
	263	Series 2004-36, Class PC, 5.500%, 02/25/34		296
	236	Series 2004-36, Class SA, IF, 18.924%, 05/25/34		327
	183	Series 2004-46, Class SK, IF, 15.899%, 05/25/34		235
	66	Series 2004-61, Class CO, PO, 10/25/31		64
	140	Series 2004-61, Class SH, HB, IF, 23.115%, 11/25/32		215
	168	Series 2004-74, Class SW, IF, 15.080%, 11/25/31		222
	287	Series 2004-76, Class CL, 4.000%, 10/25/19		305
	1,750	Series 2004-86, Class AE, 4.500%, 02/25/32		1,873
	83	Series 2005-40, Class YA, 5.000%, 09/25/20		86
	224	Series 2005-45, Class DC, HB, IF, 23.509%, 06/25/35		331


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	140	Series 2005-52, Class PA, 6.500%, 06/25/35		152
	217	Series 2005-56, Class S, IF, IO, 6.492%, 07/25/35		37
	395	Series 2005-56, Class TP, IF, 17.495%, 08/25/33		504
	1,214	Series 2005-68, Class PG, 5.500%, 08/25/35		1,368
	462	Series 2005-73, Class PS, IF, 16.154%, 08/25/35		547
	215	Series 2005-74, Class CS, IF, 19.419%, 05/25/35		300
	428	Series 2005-106, Class US, HB, IF, 23.766%, 11/25/35		645
	547	Series 2006-27, Class OH, PO, 04/25/36		512
	625	Series 2006-43, Class VB, 6.500%, 10/25/17		664
	238	Series 2006-44, Class P, PO, 12/25/33		216
	1,026	Series 2006-56, Class FC, VAR, 0.508%, 07/25/36		1,023
	496	Series 2006-59, Class QO, PO, 01/25/33		465
	194	Series 2006-65, Class QO, PO, 07/25/36		177
	290	Series 2006-72, Class GO, PO, 08/25/36		262
	500	Series 2006-77, Class PC, 6.500%, 08/25/36		586
	231	Series 2006-79, Class DO, PO, 08/25/36		210
	517	Series 2006-110, Class PO, PO, 11/25/36		474
	1,000	Series 2006-124, Class HB, VAR, 5.965%, 11/25/36		1,095
	406	Series 2007-14, Class ES, IF, IO, 6.222%, 03/25/37		59
	246	Series 2007-79, Class SB, HB, IF, 23.216%, 08/25/37		345
	500	Series 2007-81, Class GE, 6.000%, 08/25/37		588
	1,525	Series 2007-84, Class PD, 6.000%, 08/25/32		1,571
	429	Series 2007-88, Class VI, IF, IO, 6.322%, 09/25/37		72
	1,123	Series 2007-91, Class ES, IF, IO, 6.242%, 10/25/37		196
	66	Series 2007-97, Class MS, IF, 14.266%, 12/25/31		68
	301	Series 2007-106, Class A7, VAR, 5.969%, 10/25/37		321
	270	Series 2007-116, Class HI, IO, VAR, 6.413%, 01/25/38		20
	193	Series 2008-10, Class XI, IF, IO, 6.012%, 03/25/38		28
	248	Series 2008-16, Class IS, IF, IO, 5.982%, 03/25/38		32
	253	Series 2008-28, Class QS, HB, IF, 20.045%, 04/25/38		334


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	275	Series 2008-46, Class HI, IO, VAR, 6.658%, 06/25/38		19
	105	Series 2008-66, Class GD, 6.000%, 06/25/30		108
	294	Series 2009-69, Class PO, PO, 09/25/39		267
	758	Series 2009-71, Class BC, 4.500%, 09/25/24		851
	480	Series 2009-103, Class MB, 4.000%, 12/25/39		512
	1,414	Series 2010-133, Class A, 5.500%, 05/25/38		1,513
	4	Series G-14, Class L, 8.500%, 06/25/21		5
	21	Series G-18, Class Z, 8.750%, 06/25/21		25
	5	Series G-22, Class G, 6.000%, 12/25/16		6
	16	Series G-35, Class M, 8.750%, 10/25/21		19
	63	Series G92-35, Class E, 7.500%, 07/25/22		71
	4	Series G92-42, Class Z, 7.000%, 07/25/22		4
	73	Series G92-44, Class ZQ, 8.000%, 07/25/22		83
	68	Series G92-54, Class ZQ, 7.500%, 09/25/22		77
	15	Series G93-5, Class Z, 6.500%, 02/25/23		17
	19	Series G95-1, Class C, 8.800%, 01/25/25		22
		Federal National Mortgage Association STRIPS,
	1	Series 50, Class 2, IO, 10.500%, 03/01/19		–	(h)
	5	Series 218, Class 2, IO, 7.500%, 04/01/23		1
	50	Series 329, Class 1, PO, 01/01/33		45
		Federal National Mortgage Association Whole Loan,
	220	Series 2003-W1, Class 1A1, VAR, 6.333%, 12/25/42		262
	63	Series 2003-W4, Class 2A, VAR, 6.500%, 10/25/42		71
	153	Series 2004-W2, Class 2A2, 7.000%, 02/25/44		177
	472	Series 2005-W3, Class 2AF, VAR, 0.438%, 03/25/45		469
	122	Series 2007-W7, Class 1A4, HB, IF, 37.870%, 07/25/37		211
		Government National Mortgage Association,
	55	Series 1994-3, Class PQ, 7.488%, 07/16/24		66
	182	Series 1994-4, Class KQ, 7.988%, 07/16/24		211
	350	Series 1994-7, Class PQ, 6.500%, 10/16/24		406
	83	Series 1995-3, Class DQ, 8.050%, 06/16/25		96
	21	Series 1995-7, Class CQ, 7.500%, 09/16/25		23
	159	Series 1996-16, Class E, 7.500%, 08/16/26		183
	32	Series 1998-26, Class K, 7.500%, 09/17/25		38
	468	Series 1999-10, Class ZC, 6.500%, 04/20/29		540
	56	Series 1999-30, Class S, IF, IO, 8.392%, 08/16/29		11
	51	Series 1999-41, Class Z, 8.000%, 11/16/29		60
	43	Series 1999-44, Class PC, 7.500%, 12/20/29		50
	97	Series 2000-6, Class Z, 7.500%, 02/20/30		109


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	18	Series 2000-9, Class Z, 8.000%, 06/20/30		21
	414	Series 2000-9, Class ZJ, 8.500%, 02/16/30		512
	160	Series 2000-14, Class PD, 7.000%, 02/16/30		185
	45	Series 2000-16, Class ZN, 7.500%, 02/16/30		48
	240	Series 2000-37, Class B, 8.000%, 12/20/30		281
	19	Series 2000-38, Class AH, 7.150%, 12/20/30		23
	133	Series 2001-7, Class PK, 6.500%, 03/20/31		144
	8	Series 2001-32, Class WA, IF, 19.592%, 07/20/31		11
	282	Series 2001-64, Class MQ, 6.500%, 12/20/31		300
	48	Series 2002-7, Class PG, 6.500%, 01/20/32		57
	67	Series 2002-31, Class S, IF, IO, 8.492%, 01/16/31		19
	186	Series 2002-40, Class UK, 6.500%, 06/20/32		217
	181	Series 2002-47, Class PG, 6.500%, 07/16/32		212
	236	Series 2002-47, Class PY, 6.000%, 07/20/32		266
	224	Series 2002-47, Class ZA, 6.500%, 07/20/32		256
	18	Series 2002-51, Class SG, HB, IF, 31.577%, 04/20/31		34
	104	Series 2002-54, Class GB, 6.500%, 08/20/32		119
	78	Series 2003-4, Class NI, IO, 5.500%, 01/20/32		4
	106	Series 2003-4, Class NY, 5.500%, 12/20/13		111
	39	Series 2003-24, Class PO, PO, 03/16/33		31
	304	Series 2003-40, Class TJ, 6.500%, 03/20/33		366
	185	Series 2003-52, Class AP, PO, 06/16/33		146
	39	Series 2004-28, Class S, IF, 19.090%, 04/16/34		55
	69	Series 2004-68, Class PO, PO, 05/20/31		65
	153	Series 2004-71, Class SB, HB, IF, 28.418%, 09/20/34		217
	77	Series 2004-73, Class AE, IF, 14.425%, 08/17/34		95
	749	Series 2004-90, Class SI, IF, IO, 5.887%, 10/20/34		108
	224	Series 2005-68, Class DP, IF, 15.932%, 06/17/35		267
	1,583	Series 2005-68, Class KI, IF, IO, 6.087%, 09/20/35		269
	178	Series 2006-59, Class SD, IF, IO, 6.487%, 10/20/36		28
	602	Series 2007-17, Class JI, IF, IO, 6.602%, 04/16/37		103
	731	Series 2007-27, Class SA, IF, IO, 5.987%, 05/20/37		102
	1,193	Series 2007-40, Class SB, IF, IO, 6.537%, 07/20/37		182
	761	Series 2007-45, Class QA, IF, IO, 6.427%, 07/20/37		110


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	304	Series 2007-49, Class NO, PO, 12/20/35		286
	921	Series 2007-50, Class AI, IF, IO, 6.562%, 08/20/37		149
	178	Series 2007-53, Class ES, IF, IO, 6.337%, 09/20/37		24
	231	Series 2007-53, Class SW, IF, 19.566%, 09/20/37		304
	455	Series 2007-57, Class QA, IF, IO, 6.287%, 10/20/37		65
	319	Series 2007-71, Class SB, IF, IO, 6.487%, 07/20/36		37
	444	Series 2007-72, Class US, IF, IO, 6.337%, 11/20/37		59
	444	Series 2007-76, Class SA, IF, IO, 6.317%, 11/20/37		61
	117	Series 2008-25, Class SB, IF, IO, 6.687%, 03/20/38		18
	255	Series 2008-33, Class XS, IF, IO, 7.492%, 04/16/38		43
	499	Series 2008-40, Class SA, IF, IO, 6.192%, 05/16/38		101
	500	Series 2008-50, Class KB, 6.000%, 06/20/38		584
	631	Series 2008-55, Class SA, IF, IO, 5.987%, 06/20/38		92
	544	Series 2008-93, Class AS, IF, IO, 5.487%, 12/20/38		69
	251	Series 2009-6, Class SA, IF, IO, 5.892%, 02/16/39		31
	255	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		47
	965	Series 2009-22, Class SA, IF, IO, 6.057%, 04/20/39		131
	975	Series 2009-31, Class ST, IF, IO, 6.137%, 03/20/39		127
	975	Series 2009-31, Class TS, IF, IO, 6.087%, 03/20/39		131
	598	Series 2009-79, Class OK, PO, 11/16/37		507
	1,244	Series 2009-106, Class ST, IF, IO, 5.787%, 02/20/38		180
	368	Series 2010-14, Class AO, PO, 12/20/32		324
	427	Series 2010-130, Class CP, 7.000%, 10/16/40		506
		NCUA Guaranteed Notes,
	1,144	Series 2010-C1, Class APT, 2.650%, 10/29/20		1,187
	224	Series 2010-R3, Class 3A, 2.400%, 12/08/20		231
		Vendee Mortgage Trust,
	878	Series 1993-1, Class ZB, 7.250%, 02/15/23		1,020
	355	Series 1994-1, Class 1, VAR, 5.629%, 02/15/24		392


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	508	Series 1996-1, Class 1Z, 6.750%, 02/15/26		597
	173	Series 1996-2, Class 1Z, 6.750%, 06/15/26		203
	675	Series 1997-1, Class 2Z, 7.500%, 02/15/27		799
	170	Series 1998-1, Class 2E, 7.000%, 03/15/28		199

				85,990

		Non-Agency CMO — 6.4%
	12	ABN Amro Mortgage Corp., Series 2003-9, Class A2, 4.500%, 08/25/18		12
		AH Mortgage Advance Trust,
	267	Series SART-2, Class A1, 3.270%, 09/15/43 (e)		267
	100	Series SART-2, Class B1, 6.900%, 09/15/43 (e)		100
		American General Mortgage Loan Trust,
	350	Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e)		351
	200	Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e)		202
	400	Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		406
		ASG Resecuritization Trust,
	269	Series 2009-1, Class A60, VAR, 5.218%, 06/26/37 (e)		272
	293	Series 2009-2, Class A55, VAR, 5.367%, 05/24/36 (e)		290
	581	Series 2009-3, Class A65, VAR, 5.235%, 03/26/37 (e)		576
		Banc of America Alternative Loan Trust,
	227	Series 2003-7, Class 2A4, 5.000%, 09/25/18		232
	168	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		173
	60	Series 2003-11, Class PO, PO, 01/25/34		49
		Banc of America Funding Corp.,
	69	Series 2004-1, Class PO, PO, 03/25/34		55
	47	Series 2004-3, Class 1A7, 5.500%, 10/25/34		47
		Banc of America Mortgage Securities, Inc.,
	43	Series 2003-8, Class APO, PO, 11/25/33		35
	115	Series 2004-1, Class APO, PO, 02/25/34		98
	200	Series 2004-3, Class 1A26, 5.500%, 04/25/34		205
	71	Series 2004-6, Class APO, PO, 07/25/34		59
		BCAP LLC Trust,
	649	Series 2010-RR7, Class 2A1, VAR, 5.127%, 07/26/45 (e)		613
	238	Series 2011-RR5, Class 14A3, VAR, 2.846%, 07/26/36 (e) (f) (i)		228
	205	Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-5, Class A1, VAR, 2.220%, 08/25/35		190


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		Citigroup Mortgage Loan Trust, Inc.,
	54	Series 2003-UP3, Class A3, 7.000%, 09/25/33		55
	149	Series 2003-UST1, Class A1, 5.500%, 12/25/18		156
	21	Series 2003-UST1, Class PO1, PO, 12/25/18		19
	20	Series 2003-UST1, Class PO3, PO, 12/25/18		19
	285	Series 2008-AR4, Class 1A1A, VAR, 5.240%, 11/25/38		281
		Countrywide Alternative Loan Trust,
	332	Series 2002-8, Class A4, 6.500%, 07/25/32		349
	1,545	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		1,471
	267	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		274
	36	Series 2005-26CB, Class A10, IF, 12.654%, 07/25/35		37
	500	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		413
		Countrywide Home Loan Mortgage Pass-Through Trust,
	326	Series 2003-26, Class 1A6, 3.500%, 08/25/33		314
	60	Series 2003-J13, Class PO, PO, 01/25/34		51
	104	Series 2003-J7, Class 4A3, IF, 9.491%, 08/25/18		104
	159	Series 2004-5, Class 1A4, 5.500%, 06/25/34		165
	49	Series 2004-HYB3, Class 2A, VAR, 2.554%, 06/20/34		37
	482	Series 2005-22, Class 2A1, VAR, 3.063%, 11/25/35		304
	245	Series 2005-R1, Class 2APO, PO, 03/25/35 (e)		197
		Credit Suisse Mortgage Capital Certificates,
	105	Series 2010-15R, Class 7A1, VAR, 5.271%, 10/26/37 (e)		106
	1,485	Series 2011-7R, Class A1, VAR, 1.471%, 08/28/47 (e)		1,484
	483	Series 2011-9R, Class A1, VAR, 2.218%, 03/27/46 (e)		484
	184	CS First Boston Mortgage Securities Corp., Series 2003-23, Class 2A5, 5.000%, 10/25/18		189
	363	Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005- 3, Class 1A1, VAR, 5.297%, 06/25/20		339
	63	Deutsche Mortgage Securities, Inc., Series 2004-1, Class 2APO, PO, 10/25/18		59
		First Horizon Asset Securities, Inc.,
	92	Series 2004-AR7, Class 2A1, VAR, 2.741%, 02/25/35		86
	202	Series 2004-AR7, Class 2A2, VAR, 2.741%, 02/25/35		177


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Non-Agency CMO — Continued
	246		Series 2005-AR1, Class 2A2, VAR, 2.750%, 04/25/35		223
	500		GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3, 5.500%, 02/25/36		445
	61		Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO, PO, 04/25/33		42
	410		Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.213%, 08/25/35		2
			JP Morgan Mortgage Trust,
	145		Series 2006-A2, Class 4A1, VAR, 2.749%, 08/25/34		137
	472		Series 2006-A2, Class 5A3, VAR, 2.903%, 11/25/33		457
			MASTR Adjustable Rate Mortgages Trust,
	59		Series 2004-3, Class 4A2, VAR, 2.286%, 04/25/34		52
	176		Series 2004-13, Class 2A1, VAR, 2.770%, 04/21/34		165
	136		Series 2004-13, Class 3A6, VAR, 2.729%, 11/21/34		134
			MASTR Alternative Loans Trust,
	349		Series 2003-9, Class 8A1, 6.000%, 01/25/34		350
	1,018		Series 2004-4, Class 10A1, 5.000%, 05/25/24		1,053
	48		Series 2004-7, Class 30PO, PO, 08/25/34		29
	85		Series 2004-10, Class 1A1, 4.500%, 09/25/19		86
	345		Series 2005-6, Class 3A1, 5.500%, 11/25/20		325
			MASTR Asset Securitization Trust,
	259		Series 2003-2, Class 1A1, 5.000%, 03/25/18		267
	41		Series 2004-8, Class PO, PO, 08/25/19		38
	247		MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		168
	69		MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.538%, 02/25/35		53
			Nomura Asset Acceptance Corp.,
	93		Series 2003-A1, Class A1, 5.500%, 05/25/33		96
	34		Series 2003-A1, Class A2, 6.000%, 05/25/33		36
	13		Series 2003-A1, Class A5, 7.000%, 04/25/33		13
	94		Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		95
	—	(h)	Paine Webber CMO Trust, Series H, Class 4, 8.750%, 04/01/18		—	(h)
			Residential Accredit Loans, Inc.,
	81		Series 2002-QS16, Class A3, IF, 16.166%, 10/25/17		90
	431		Series 2002-QS8, Class A5, 6.250%, 06/25/17		440
	109		Series 2003-QS3, Class A2, IF, 16.020%, 02/25/18		125


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	444	Series 2003-QS9, Class A3, IF, IO, 7.332%, 05/25/18		64
	394	Series 2004-QS3, Class CB, 5.000%, 03/25/19		398
	51	Series 2004-QS8, Class A2, 5.000%, 06/25/34		51
	48	Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.750%, 02/25/19		49
		Salomon Brothers Mortgage Securities VII, Inc.,
	142	Series 2003-HYB1, Class A, VAR, 3.189%, 09/25/33		132
	22	Series 2003-UP2, Class PO1, PO, 12/25/18		18
	321	Springleaf Mortgage Loan Trust, Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e)		321
		Structured Asset Securities Corp.,
	211	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		214
	201	Series 2005-6, Class 4A1, 5.000%, 05/25/35		197
		WaMu Mortgage Pass-Through Certificates,
	158	Series 2002-S8, Class 2A7, 5.250%, 01/25/18		162
	248	Series 2003-AR5, Class A7, VAR, 2.576%, 06/25/33		237
	26	Series 2003-S10, Class A6, PO, 10/25/18		26
	52	Series 2003-S11, Class 2A5, IF, 16.449%, 11/25/33		54
	140	Series 2004-AR3, Class A2, VAR, 2.577%, 06/25/34		138
	375	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB7, 5.500%, 06/25/35		310
		Washington Mutual MSC Mortgage Pass-Through Certificates,
	114	Series 2003-MS2, Class 1A1, 5.750%, 02/25/33		119
	27	Series 2003-MS7, Class P, PO, 03/25/33		24
		Wells Fargo Mortgage-Backed Securities Trust,
	50	Series 2003-11, Class 1APO, PO, 10/25/18		44
	221	Series 2003-13, Class A7, 4.500%, 11/25/18		224
	205	Series 2003-15, Class 1A1, 4.750%, 12/25/18		211
	181	Series 2003-K, Class 1A1, VAR, 4.443%, 11/25/33		174
	86	Series 2004-7, Class 2A2, 5.000%, 07/25/19		89
	218	Series 2004-BB, Class A4, VAR, 2.742%, 01/25/35		208
	185	Series 2004-EE, Class 3A1, VAR, 2.848%, 12/25/34		178

				20,193

		Total Collateralized Mortgage Obligations (Cost $100,031)		106,183


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Commercial Mortgage-Backed Securities — 1.5%
		Banc of America Commercial Mortgage, Inc.,
	150	Series 2005-3, Class AM, 4.727%, 07/10/43		145
	439	Series 2005-6, Class ASB, VAR, 5.368%, 09/10/47		459
	50	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		54
	300	Series 2006-4, Class A4, 5.634%, 07/10/46		324
		Bear Stearns Commercial Mortgage Securities,
	231	Series 2005-PWR9, Class AAB, 4.804%, 09/11/42		239
	360	Series 2006-PW11, Class A4, VAR, 5.620%, 03/11/39		395
	46	Series 2006-PW14, Class A1, 5.044%, 12/11/38		46
	26	Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.922%, 03/15/49		26
	19,295	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.167%, 12/11/49 (e)		163
	300	GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		319
	50	LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31		54
	376	Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43		390
		Morgan Stanley Reremic Trust,
	400	Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		419
	280	Series 2011-IO, Class A, 2.500%, 03/23/51 (e)		278
	1,000	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.969%, 08/15/39		1,085
	433	Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A2, 4.039%, 10/15/41		432

		Total Commercial Mortgage- Backed Securities (Cost $4,569)		4,828

	Corporate Bonds — 18.6%
		Consumer Discretionary — 1.1%
		Automobiles — 0.0% (g)
	100	Daimler Finance North America LLC, 7.300%, 01/15/12		102

		Hotels, Restaurants & Leisure — 0.1%
	150	McDonald’s Corp., 4.300%, 03/01/13		158

		Household Durables — 0.0% (g)
	50	Newell Rubbermaid, Inc., 4.700%, 08/15/20		52


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Media — 0.7%
		CBS Corp.,
	25	5.750%, 04/15/20		28
	135	8.875%, 05/15/19		174
	200	Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13		222
	100	Comcast Corp., 5.900%, 03/15/16		116
	50	Cox Communications, Inc., 5.450%, 12/15/14		56
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	150	4.600%, 02/15/21		157
	353	5.000%, 03/01/21		380
	78	Discovery Communications LLC, 4.375%, 06/15/21		81
		News America, Inc.,
	100	7.250%, 05/18/18		117
	100	7.700%, 10/30/25		123
	60	Thomson Reuters Corp., (Canada), 4.700%, 10/15/19		67
		Time Warner Cable, Inc.,
	100	5.850%, 05/01/17		113
	50	6.750%, 07/01/18		59
	100	8.250%, 02/14/14		115
	150	8.250%, 04/01/19		190
	35	8.750%, 02/14/19		45
	223	Time Warner Entertainment Co. LP, 10.150%, 05/01/12		236

				2,279

		Multiline Retail — 0.2%
	40	Kohl’s Corp., 6.250%, 12/15/17		48
	400	Target Corp., 6.000%, 01/15/18		484

				532

		Specialty Retail — 0.1%
	24	Gap, Inc. (The), 5.950%, 04/12/21		23
	130	Home Depot, Inc., 5.400%, 03/01/16		148
	95	Staples, Inc., 9.750%, 01/15/14		111

				282

		Total Consumer Discretionary		3,405

		Consumer Staples — 0.8%
		Beverages — 0.3%
	75	Anheuser-Busch Cos., Inc., 5.500%, 01/15/18		87
	200	Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19 (e)		263
		Coca-Cola Co. (The),
	100	3.625%, 03/15/14		107
	50	4.875%, 03/15/19		58


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Beverages — Continued
	70	Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20		78
		Diageo Finance B.V., (Netherlands),
	30	5.300%, 10/28/15		34
	100	5.500%, 04/01/13		108
	85	FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e)		94
		PepsiCo, Inc.,
	33	0.800%, 08/25/14		33
	31	3.000%, 08/25/21		31
	6	7.900%, 11/01/18		8
	30	SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e)		36

				937

		Food & Staples Retailing — 0.0% (g)
		Kroger Co. (The),
	30	6.150%, 01/15/20		36
	50	7.500%, 01/15/14		57

				93

		Food Products — 0.4%
		Bunge Ltd. Finance Corp.,
	50	5.875%, 05/15/13		53
	135	8.500%, 06/15/19		172
	14	Bunge N.A. Finance LP, 5.900%, 04/01/17		15
	106	Cargill, Inc., 4.307%, 05/14/21 (e)		113
		Kellogg Co.,
	100	4.250%, 03/06/13		105
	200	5.125%, 12/03/12		211
		Kraft Foods, Inc.,
	100	5.375%, 02/10/20		114
	450	6.125%, 02/01/18		532

				1,315

		Household Products — 0.1%
	78	Procter & Gamble - ESOP, 9.360%, 01/01/21		106

		Total Consumer Staples		2,451

		Energy — 0.8%
		Energy Equipment & Services — 0.1%
	100	Transocean, Inc., (Cayman Islands), 6.500%, 11/15/20		114

		Oil, Gas & Consumable Fuels — 0.7%
	25	Apache Corp., 6.900%, 09/15/18		32
	150	Canadian Natural Resources Ltd., (Canada), 5.900%, 02/01/18		177


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
	150	ConocoPhillips, 5.750%, 02/01/19		179
	100	Encana Corp., (Canada), 6.500%, 05/15/19		119
	200	ENI S.p.A., (Italy), 4.150%, 10/01/20 (e)		199
	100	EOG Resources, Inc., 4.100%, 02/01/21		106
		Marathon Oil Corp.,
	228	5.900%, 03/15/18		267
	175	6.000%, 10/01/17		203
	35	Occidental Petroleum Corp., 1.750%, 02/15/17		35
	40	PC Financial Partnership, 5.000%, 11/15/14		44
	97	Petro-Canada, (Canada), 6.050%, 05/15/18		112
		Shell International Finance B.V., (Netherlands),
	55	1.875%, 03/25/13		56
	184	3.100%, 06/28/15		196
	55	4.000%, 03/21/14		59
	195	4.375%, 03/25/20		213
	67	Statoil ASA, (Norway), 3.125%, 08/17/17		71
	50	Talisman Energy, Inc., (Canada), 7.750%, 06/01/19		63
	175	Total Capital S.A., (France), 2.300%, 03/15/16		181

				2,312

		Total Energy		2,426

		Financials — 11.0%
		Capital Markets — 2.9%
		Bank of New York Mellon Corp. (The),
	250	2.950%, 06/18/15		260
	75	3.100%, 01/15/15		79
	75	4.600%, 01/15/20		82
		BlackRock, Inc.,
	325	3.500%, 12/10/14		347
	326	5.000%, 12/10/19		360
	100	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		106
	40	Charles Schwab Corp. (The), 4.950%, 06/01/14		44
		Goldman Sachs Group, Inc. (The),
	255	3.625%, 02/07/16		255
	66	3.700%, 08/01/15		67
	300	5.500%, 11/15/14		320
	1,100	5.950%, 01/18/18		1,171
	150	7.500%, 02/15/19		171
		Jefferies Group, Inc.,
	111	3.875%, 11/09/15		113
	150	5.125%, 04/13/18		149
	125	8.500%, 07/15/19		151


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Capital Markets — Continued
		Lehman Brothers Holdings, Inc.,
	300	4.800%, 03/13/14 (d)		75
	350	6.000%, 07/19/12 (d)		87
	455	6.625%, 01/18/12 (d)		113
	75	6.750%, 12/28/17 (d)		—	(h)
	100	Macquarie Group Ltd., (Australia), 7.300%, 08/01/14 (e)		111
		Merrill Lynch & Co., Inc.,
	200	5.000%, 01/15/15		201
	157	5.450%, 07/15/14		162
	50	6.150%, 04/25/13		52
	814	6.400%, 08/28/17		834
	266	6.875%, 04/25/18		276
		Morgan Stanley,
	104	4.000%, 07/24/15		104
	195	4.200%, 11/20/14		195
	147	4.750%, 04/01/14		149
	800	5.300%, 03/01/13		828
	166	5.500%, 07/24/20		162
	50	5.500%, 07/28/21		50
	450	5.625%, 09/23/19		457
	175	5.750%, 08/31/12		181
	250	6.000%, 05/13/14		263
	100	6.625%, 04/01/18		107
		Nomura Holdings, Inc., (Japan),
	130	4.125%, 01/19/16		133
	178	6.700%, 03/04/20		201
	45	Northern Trust Corp., 5.500%, 08/15/13		49
		UBS AG, (Switzerland),
	500	3.875%, 01/15/15		519
	100	5.750%, 04/25/18		106
	100	5.875%, 12/20/17		107

				9,197

		Commercial Banks — 3.3%
	100	ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e)		101
		Bank of Nova Scotia, (Canada),
	121	1.650%, 10/29/15 (e)		122
	123	3.400%, 01/22/15		131
	136	Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e)		145
		Barclays Bank plc, (United Kingdom),
	410	2.500%, 01/23/13		410
	200	2.500%, 09/21/15 (e)		203
	100	3.900%, 04/07/15		100


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Commercial Banks — Continued
	200	5.200%, 07/10/14		210
	250	6.050%, 12/04/17 (e)		248
		BB&T Corp.,
	150	3.850%, 07/27/12		154
	125	3.950%, 04/29/16		134
	100	4.900%, 06/30/17		107
	150	5.700%, 04/30/14		165
	152	Branch Banking & Trust Co., 4.875%, 01/15/13		156
	1,000	Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e)		1,048
	55	Comerica, Inc., 3.000%, 09/16/15		56
		Credit Suisse, (Switzerland),
	100	5.400%, 01/14/20		99
	350	6.000%, 02/15/18		369
	350	Fifth Third Bancorp, 5.450%, 01/15/17		379
	100	KeyCorp, 6.500%, 05/14/13		108
	300	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		353
		National Australia Bank Ltd., (Australia),
	200	2.500%, 01/08/13 (e)		203
	300	2.750%, 09/28/15 (e)		305
	100	3.750%, 03/02/15 (e)		105
		Nordea Bank AB, (Sweden),
	100	1.750%, 10/04/13 (e)		99
		PNC Funding Corp.,
	133	4.375%, 08/11/20		141
	265	5.125%, 02/08/20		293
	110	5.250%, 11/15/15		120
	115	5.625%, 02/01/17		128
	250	Rabobank Nederland N.V., (Netherlands), 3.200%, 03/11/15 (e)		263
	170	SunTrust Banks, Inc., 5.250%, 11/05/12		177
	235	Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e)		243
		U.S. Bancorp,
	150	2.450%, 07/27/15		154
	208	2.875%, 11/20/14		216
	250	Wachovia Bank N.A., 6.000%, 11/15/17		282
		Wachovia Corp.,
	235	4.875%, 02/15/14		248
	850	5.750%, 02/01/18		973
		Wells Fargo & Co.,
	500	3.676%, 06/15/16		529
	415	5.625%, 12/11/17		476
	315	Wells Fargo Bank N.A., 4.750%, 02/09/15		334


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Commercial Banks — Continued
	285	Westpac Banking Corp., (Australia), 4.875%, 11/19/19		300

				10,387

		Consumer Finance — 0.6%
	200	American Express Credit Corp., 7.300%, 08/20/13		221
	91	American General Finance Corp., 5.375%, 10/01/12		89
	250	Capital One Bank USA N.A., 8.800%, 07/15/19		309
		Capital One Financial Corp.,
	100	5.700%, 09/15/11		100
	245	6.250%, 11/15/13		266
	100	6.750%, 09/15/17		114
		HSBC Finance Corp.,
	200	5.250%, 01/15/14		213
	202	6.375%, 11/27/12		212
	100	SLM Corp., 5.375%, 01/15/13		101
	154	Toyota Motor Credit Corp., 3.200%, 06/17/15		162
	100	Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e)		101

				1,888

		Diversified Financial Services — 2.4%
	250	Associates Corp. of North America, 6.950%, 11/01/18		273
	300	BA Covered Bond Issuer, 5.500%, 06/14/12 (e)		309
		Bank of America Corp.,
	80	5.625%, 07/01/20		81
	300	5.650%, 05/01/18		306
	170	5.750%, 12/01/17		177
	100	6.500%, 08/01/16		107
	125	7.375%, 05/15/14		137
	425	Bank of America N.A., 5.300%, 03/15/17		416
		BP Capital Markets plc, (United Kingdom),
	100	3.125%, 03/10/12		101
	100	4.742%, 03/11/21		110
	300	5.250%, 11/07/13		324
		Caterpillar Financial Services Corp.,
	100	5.500%, 03/15/16		117
	150	6.200%, 09/30/13		165
	65	7.050%, 10/01/18		83
	100	7.150%, 02/15/19		128
		Citigroup, Inc.,
	43	4.587%, 12/15/15		45
	125	4.750%, 05/19/15		130


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Diversified Financial Services — Continued
	506	5.000%, 09/15/14		520
	54	5.375%, 08/09/20		57
	700	6.000%, 08/15/17		759
	285	6.010%, 01/15/15		306
	300	6.125%, 11/21/17		329
		CME Group, Inc.,
	200	5.400%, 08/01/13		215
	100	5.750%, 02/15/14		111
	190	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		223
	27	ERAC USA Finance LLC, 4.500%, 08/16/21 (e)		27
		General Electric Capital Corp.,
	220	4.375%, 09/16/20		224
	500	5.400%, 02/15/17		553
	475	5.625%, 05/01/18		526
	500	5.650%, 06/09/14		544
	100	Textron Financial Corp., 5.400%, 04/28/13		105

				7,508

		Insurance — 1.3%
		ACE INA Holdings, Inc.,
	45	2.600%, 11/23/15		46
	50	5.600%, 05/15/15		55
	25	Aflac, Inc., 8.500%, 05/15/19		31
		American International Group, Inc.,
	385	4.250%, 05/15/13		390
	350	5.450%, 05/18/17		356
	200	5.600%, 10/18/16		207
	45	AON Corp., 3.500%, 09/30/15		47
	607	ASIF Global Financing XIX, 4.900%, 01/17/13 (e)		625
	150	Berkshire Hathaway Finance Corp., 5.400%, 05/15/18		171
	98	Berkshire Hathaway, Inc., 3.750%, 08/15/21		100
	90	CNA Financial Corp., 5.875%, 08/15/20		94
	405	Jackson National Life Global Funding, 6.125%, 05/30/12 (e)		420
	100	MassMutual Global Funding II, 2.300%, 09/28/15 (e)		101
		Metropolitan Life Global Funding I,
	175	3.650%, 06/14/18 (e)		179
	222	5.200%, 09/18/13 (e)		240
	50	Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e)		53
	121	Nationwide Financial Services, 6.250%, 11/15/11		122


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Insurance — Continued
	150	Pacific Life Global Funding, 5.000%, 05/15/17 (e)		162
	200	Pricoa Global Funding I, 5.450%, 06/11/14 (e)		220
	100	Principal Life Income Funding Trusts, 5.300%, 04/24/13		107
	150	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		189
	200	Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e)		221
	50	Travelers Property Casualty Corp., 5.000%, 03/15/13		53

				4,189

		Real Estate Investment Trusts (REITs) — 0.3%
		CommonWealth REIT,
	125	5.875%, 09/15/20		130
	150	6.650%, 01/15/18		169
	92	HCP, Inc., 5.375%, 02/01/21		94
		Simon Property Group LP,
	17	4.200%, 02/01/15		18
	40	4.375%, 03/01/21		40
	100	5.625%, 08/15/14		112
	50	5.650%, 02/01/20		55
	40	6.100%, 05/01/16		45
	50	6.125%, 05/30/18		56
	159	WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e)		180

				899

		Thrifts & Mortgage Finance — 0.2%
	25	Countrywide Financial Corp., 6.250%, 05/15/16		25
	523	Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e)		529

				554

		Total Financials		34,622

		Health Care — 0.2%
		Biotechnology — 0.0% (g)
		Amgen, Inc.,
	44	4.500%, 03/15/20		48
	40	5.700%, 02/01/19		47

				95

		Health Care Equipment & Supplies — 0.1%
		Baxter International, Inc.,
	50	4.000%, 03/01/14		54
	50	4.625%, 03/15/15		55
	40	Becton Dickinson and Co., 5.000%, 05/15/19		46

				155


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Health Care Providers & Services — 0.0% (g)
	50	Medco Health Solutions, Inc., 2.750%, 09/15/15		51
		WellPoint, Inc.,
	27	5.875%, 06/15/17		32
	18	7.000%, 02/15/19		22

				105

		Pharmaceuticals — 0.1%
	100	AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14		113
	150	GlaxoSmithKline Capital, Inc., 5.650%, 05/15/18		180
	75	Merck & Co., Inc., 6.000%, 09/15/17		91

				384

		Total Health Care		739

		Industrials — 0.9%
		Aerospace & Defense — 0.1%
	100	Honeywell International, Inc., 5.300%, 03/01/18		117
	50	United Technologies Corp., 6.125%, 02/01/19		62

				179

		Airlines — 0.0% (g)
	39	Continental Airlines, 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20		40
	79	Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		77

				117

		Building Products — 0.0% (g)
	45	Masco Corp., 5.850%, 03/15/17		45

		Commercial Services & Supplies — 0.1%
	100	Allied Waste North America, Inc., 6.875%, 06/01/17		108
		Pitney Bowes, Inc.,
	125	4.875%, 08/15/14		136
	100	5.000%, 03/15/15		108
	50	5.600%, 03/15/18		55
	60	Waste Management, Inc., 7.375%, 03/11/19		76

				483

		Industrial Conglomerates — 0.1%
	100	Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)		117
	50	Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19		66

				183


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Machinery — 0.0% (g)
	50	Eaton Corp., 5.600%, 05/15/18		59
	25	PACCAR, Inc., 6.375%, 02/15/12		25
	25	Parker Hannifin Corp., 5.500%, 05/15/18		30

				114

		Road & Rail — 0.6%
		Burlington Northern Santa Fe LLC,
	32	3.450%, 09/15/21		32
	19	3.600%, 09/01/20		19
	100	5.650%, 05/01/17		117
	100	7.000%, 02/01/14		114
		CSX Corp.,
	30	6.250%, 04/01/15		35
	30	7.375%, 02/01/19		38
	50	7.900%, 05/01/17		63
	655	Federal Express Corp. 1998 Pass Through Trust, 6.720%, 01/15/22		756
	50	Norfolk Southern Corp., 7.700%, 05/15/17		63
	55	Ryder System, Inc., 3.600%, 03/01/16		57
		Union Pacific Corp.,
	233	4.163%, 07/15/22 (e)		247
	100	4.875%, 01/15/15		111
	82	5.650%, 05/01/17		95
	115	United Parcel Service of America, Inc., 8.375%, 04/01/20		160

				1,907

		Total Industrials		3,028

		Information Technology — 0.7%
		Computers & Peripherals — 0.4%
	256	Dell, Inc., 3.100%, 04/01/16		268
		Hewlett-Packard Co.,
	325	5.400%, 03/01/17		369
	200	6.125%, 03/01/14		221
		International Business Machines Corp.,
	150	5.700%, 09/14/17		180
	200	7.625%, 10/15/18		264

				1,302

		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	25	3.375%, 11/01/15		26
	150	6.875%, 07/01/13		161

				187


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Office Electronics — 0.0% (g)
		Xerox Corp.,
	50	5.625%, 12/15/19		56
	40	6.750%, 02/01/17		47

				103

		Semiconductors & Semiconductor Equipment — 0.0% (g)
	30	National Semiconductor Corp., 6.600%, 06/15/17		37

		Software — 0.2%
	25	Intuit, Inc., 5.750%, 03/15/17		29
	120	Microsoft Corp., 1.625%, 09/25/15		122
		Oracle Corp.,
	200	5.250%, 01/15/16		230
	100	5.750%, 04/15/18		120

				501

		Total Information Technology		2,130

		Materials — 0.4%
		Chemicals — 0.3%
	100	Air Products & Chemicals, Inc., 4.150%, 02/01/13		105
		Dow Chemical Co. (The),
	38	4.250%, 11/15/20		39
	60	7.600%, 05/15/14		69
	40	8.550%, 05/15/19		52
		El du Pont de Nemours & Co.,
	101	1.950%, 01/15/16		103
	50	4.125%, 03/06/13		52
	100	6.000%, 07/15/18		121
	100	Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13		106
	230	Praxair, Inc., 4.625%, 03/30/15		256
	150	Union Carbide Corp., 7.500%, 06/01/25		174

				1,077

		Metals & Mining — 0.1%
		BHP Billiton Finance USA Ltd., (Australia),
	100	5.400%, 03/29/17		116
	100	6.500%, 04/01/19		123
		Rio Tinto Finance USA Ltd., (Australia),
	27	3.500%, 11/02/20		27
	50	8.950%, 05/01/14		60

				326

		Total Materials		1,403


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Telecommunication Services — 1.0%
		Diversified Telecommunication Services — 0.9%
		AT&T, Inc.,
	100	4.450%, 05/15/21		107
	135	5.100%, 09/15/14		149
	150	5.500%, 02/01/18		173
	15	BellSouth Corp., 5.200%, 09/15/14		17
	111	BellSouth Telecommunications, Inc., 6.300%, 12/15/15		119
	100	British Telecommunications plc, (United Kingdom), 5.950%, 01/15/18		113
	500	GTE Corp., 6.840%, 04/15/18		601
		Telecom Italia Capital S.A., (Luxembourg),
	280	4.950%, 09/30/14		276
	225	5.250%, 11/15/13		225
		Telefonica Emisiones S.A.U., (Spain),
	275	5.855%, 02/04/13		284
	30	5.877%, 07/15/19		30
	100	Verizon Communications, Inc., 5.500%, 02/15/18		116
	202	Verizon Florida LLC, 6.125%, 01/15/13		215
	250	Verizon Maryland, Inc., 7.150%, 05/01/23		265
	100	Verizon New England, Inc., 4.750%, 10/01/13		106

				2,796

		Wireless Telecommunication Services — 0.1%
	150	Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14		165
	40	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		41
	125	Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15		140

				346

		Total Telecommunication Services		3,142

		Utilities — 1.7%
		Electric Utilities — 1.1%
		Carolina Power & Light Co.,
	233	5.125%, 09/15/13		252
	150	5.300%, 01/15/19		177
	100	CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14		111
	50	Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17		64
	25	Columbus Southern Power Co., 6.050%, 05/01/18		30
	30	Connecticut Light & Power Co. (The), 5.650%, 05/01/18		35


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Electric Utilities — Continued
		Duke Energy Carolinas LLC,
	200	5.625%, 11/30/12		212
	205	6.250%, 01/15/12		209
	60	Duke Energy Indiana, Inc., 3.750%, 07/15/20		63
	100	Enel Finance International N.V., (Luxembourg), 5.125%, 10/07/19 (e)		100
	72	Exelon Generation Co. LLC, 4.000%, 10/01/20		72
	40	Georgia Power Co., 6.000%, 11/01/13		44
	135	Indiana Michigan Power Co., 7.000%, 03/15/19		169
	25	Jersey Central Power & Light Co., 7.350%, 02/01/19		32
	20	Kiowa Power Partners LLC, 4.811%, 12/30/13 (e)		20
	60	Nevada Power Co., 7.125%, 03/15/19		75
	150	NextEra Energy Capital Holdings, Inc., 7.875%, 12/15/15		180
	40	Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)		45
		Oncor Electric Delivery Co. LLC,
	25	5.950%, 09/01/13		27
	50	6.800%, 09/01/18		61
	125	Pacific Gas & Electric Co., 5.625%, 11/30/17		146
	60	PacifiCorp, 5.650%, 07/15/18		71
	75	Peco Energy Co., 5.350%, 03/01/18		88
	51	Public Service Co. of Colorado, 3.200%, 11/15/20		52
	74	Public Service Co. of Oklahoma, 4.400%, 02/01/21		79
	200	Public Service Electric & Gas Co., 6.330%, 11/01/13		222
		Southern Co.,
	45	1.950%, 09/01/16		45
	40	4.150%, 05/15/14		43
	30	Southwestern Public Service Co., 8.750%, 12/01/18		40
		Spectra Energy Capital LLC,
	100	5.500%, 03/01/14		109
	30	5.668%, 08/15/14		33
	140	6.200%, 04/15/18		163
	50	8.000%, 10/01/19		63
		Virginia Electric and Power Co.,
	210	5.100%, 11/30/12		221
	100	5.400%, 04/30/18		117

				3,470

		Gas Utilities — 0.2%
	50	AGL Capital Corp., 4.450%, 04/15/13		52


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Gas Utilities — Continued
		Atmos Energy Corp.,
	100	5.125%, 01/15/13		106
	30	8.500%, 03/15/19		40
	50	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		59
		TransCanada PipeLines Ltd., (Canada),
	100	4.000%, 06/15/13		106
	100	6.500%, 08/15/18		122
	30	7.125%, 01/15/19		38

				523

		Multi-Utilities — 0.3%
		Dominion Resources, Inc.,
	195	6.250%, 06/30/12		203
	150	8.875%, 01/15/19		199
	100	KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12		108
	50	PG&E Corp., 5.750%, 04/01/14		55
		Sempra Energy,
	80	8.900%, 11/15/13		92
	150	9.800%, 02/15/19		211
		Wisconsin Electric Power Co.,
	30	6.000%, 04/01/14		34
	100	6.250%, 12/01/15		120

				1,022

		Water Utilities — 0.1%
	200	American Water Capital Corp., 6.085%, 10/15/17		237

		Total Utilities		5,252

		Total Corporate Bonds (Cost $55,776)		58,598

	Foreign Government Securities — 0.5%
	1,000	Israel Government AID Bond, (Israel), Zero Coupon, 08/15/17		904
	100	Province of Manitoba, (Canada), 2.125%, 04/22/13		103
		Province of Ontario, (Canada),
	250	2.700%, 06/16/15		265
	300	2.950%, 02/05/15		319

		Total Foreign Government Securities (Cost $1,532)		1,591

	Mortgage Pass-Through Securities — 11.8%
		Federal Home Loan Mortgage Corp.,
	54	ARM, 2.308%, 01/01/27		56
	16	ARM, 2.375%, 07/01/26		16


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
	649		ARM, 2.603%, 12/01/34		684
	279		ARM, 2.758%, 09/01/36		297
	177		ARM, 2.803%, 01/01/37		187
	157		ARM, 3.501%, 09/01/36		166
	399		ARM, 4.613%, 08/01/36		420
	312		ARM, 5.126%, 03/01/37		330
	258		ARM, 5.612%, 04/01/38		274
	160		ARM, 6.011%, 02/01/37		170
	490		ARM, 6.014%, 06/01/36		529
	272		ARM, 6.666%, 11/01/36		295
			Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	466		4.000%, 06/01/14 - 06/01/19		491
	82		4.500%, 10/01/18		88
	568		5.500%, 06/01/17 - 01/01/24		618
	387		6.000%, 10/01/17 - 04/01/18		420
	831		6.500%, 01/01/17 - 03/01/22		903
	71		7.000%, 09/01/12 - 01/01/17		74
	—	(h)	7.500%, 10/01/14		—	(h)
			Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	23		6.000%, 12/01/22		25
	119		6.500%, 12/01/13 - 08/01/26		134
			Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	136		6.000%, 01/01/34		154
	211		7.000%, 04/01/22 - 02/01/37		242
	10		7.500%, 08/01/25		12
	12		8.000%, 07/01/20 - 11/01/24		15
	34		8.500%, 07/01/28		41
			Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA,
	662		10.000%, 10/01/30		795
			Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	3		12.000%, 08/01/15 - 07/01/19		4
			Federal National Mortgage Association,
	333		ARM, 1.921%, 02/01/35		349
	274		ARM, 1.966%, 09/01/35		287
	8		ARM, 1.970%, 03/01/19		8
	234		ARM, 1.981%, 01/01/35		246
	148		ARM, 2.135%, 08/01/35		154
	275		ARM, 2.195%, 01/01/35		286
	257		ARM, 2.322%, 02/01/35		270
	257		ARM, 2.379%, 08/01/34		271
	291		ARM, 2.432%, 09/01/35		307
	173		ARM, 2.452%, 11/01/33		181


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	108	ARM, 2.499%, 08/01/36		113
	384	ARM, 2.526%, 09/01/34		406
	187	ARM, 2.530%, 04/01/33		196
	201	ARM, 2.655%, 07/01/46		214
	313	ARM, 2.721%, 09/01/33		332
	2	ARM, 2.797%, 08/01/19		2
	241	ARM, 2.827%, 04/01/35		254
	4	ARM, 2.848%, 06/01/26		4
	353	ARM, 2.916%, 02/01/36		371
	248	ARM, 3.110%, 10/01/34		261
	23	ARM, 3.190%, 09/01/27		23
	22	ARM, 3.934%, 03/01/29		23
	258	ARM, 5.781%, 02/01/37		275
	187	ARM, 6.194%, 09/01/36		204
	104	ARM, 6.314%, 02/01/37		109
		Federal National Mortgage Association, 15 Year, Single Family,
	520	4.000%, 09/01/18 - 05/01/19		554
	1,592	4.500%, 05/01/18 - 05/01/19		1,713
	876	5.000%, 12/01/16 - 04/01/19		956
	603	5.500%, 01/01/20 - 06/01/20		656
	802	6.000%, 03/01/21 - 01/01/24		873
	169	6.500%, 05/01/13 - 08/01/20		184
	10	7.500%, 10/01/12		10
	2	8.000%, 11/01/12		2
		Federal National Mortgage Association, 20 Year, Single Family,
	181	6.000%, 04/01/24		201
	242	6.500%, 05/01/22		270
		Federal National Mortgage Association, 30 Year, FHA/VA,
	22	6.000%, 09/01/33		25
	41	6.500%, 03/01/29		47
	28	8.500%, 08/01/27 - 02/01/30		32
	16	9.000%, 09/01/19 - 12/01/30		19
	10	9.500%, 12/01/18		12
		Federal National Mortgage Association, 30 Year, Single Family,
	222	4.500%, 08/01/33		237
	1,336	5.000%, 07/01/33 - 11/01/33		1,446
	977	5.500%, 09/01/33 - 12/01/33		1,079
	961	6.000%, 12/01/32 - 09/01/36		1,072
	70	6.500%, 08/01/31		81
	17	7.000%, 07/01/25 - 08/01/32		20
	24	7.500%, 11/01/22 - 05/01/25		27
	718	8.000%, 03/01/21 - 11/01/32		844
	12	8.500%, 07/01/24 - 06/01/25		14


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
	1	9.000%, 04/01/26		1
	5	10.000%, 02/01/24		6
	4	12.500%, 01/01/16		4
		Federal National Mortgage Association, Other,
	2,963	2.970%, 11/01/18		3,031
	2,475	3.709%, 12/01/20		2,575
	1,094	4.298%, 03/01/21		1,178
	800	4.443%, 04/01/21		869
	977	4.500%, 03/01/20		1,068
	1,000	4.526%, 04/01/21		1,091
	500	4.536%, 05/01/21		545
	503	5.500%, 04/01/38		546
	572	6.000%, 03/01/37		628
		Government National Mortgage Association II, 30 Year, Single Family,
	72	6.000%, 03/20/28		81
	18	7.500%, 02/20/28 - 09/20/28		20
	49	8.000%, 12/20/25 - 10/20/28		58
	29	8.500%, 03/20/25 - 05/20/25		35
		Government National Mortgage Association, 15 Year, Single Family,
	45	6.000%, 10/15/17		49
	1	7.500%, 02/15/12 - 03/15/12		1
	28	8.000%, 01/15/16		29
		Government National Mortgage Association, 30 Year, Single Family,
	707	6.000%, 11/15/28 - 12/15/38		808
	507	6.500%, 01/15/24 - 12/15/35		579
	499	7.000%, 08/15/23 - 06/15/35		574
	35	7.500%, 11/15/22 - 09/15/28		40
	14	8.000%, 05/15/22 - 08/15/28		16
	9	8.500%, 11/15/17		10
	16	9.000%, 08/15/16 - 11/15/24		19
	310	9.500%, 01/15/17 - 12/15/25		371
	8	12.000%, 11/15/19		9

		Total Mortgage Pass-Through Securities (Cost $35,320)		37,201

	Supranational — 0.0% (g)
	40	Corp. Andina de Fomento, (Supranational), 5.200%, 05/21/13 (Cost $40)		43

	U.S. Government Agency Securities — 2.3%
	500	Federal Farm Credit Bank, 5.125%, 11/15/18		601
		Federal National Mortgage Association,
	1,300	Zero Coupon, 07/05/14		1,268
	1,000	Zero Coupon, 06/01/17		904
	800	5.000%, 05/11/17		952


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	500	Federal National Mortgage Association Interest Strip, 11/15/21		364
		Financing Corp. Fico,
	500	Zero Coupon, 04/05/19		425
	300	Zero Coupon, 09/26/19		250
	1,000	Government Trust Certificate, Zero Coupon, 10/01/15		936
	1,000	Tennessee Valley Authority, 5.500%, 07/18/17		1,210
	333	Tennessee Valley Authority STRIP, Zero Coupon, 05/01/19		276

		Total U.S. Government Agency Securities (Cost $6,783)		7,186

	U.S. Treasury Obligations — 25.4%
		U.S. Treasury Bonds,
	1,225	7.500%, 11/15/16		1,631
	320	8.500%, 02/15/20		488
	250	8.750%, 05/15/20		387
	250	8.750%, 08/15/20		390
	3,000	8.875%, 08/15/17		4,330
		U.S. Treasury Notes,
	1,500	2.125%, 12/31/15		1,590
	1,755	2.750%, 05/31/17		1,906
	3,000	2.750%, 12/31/17		3,254
	1,000	3.125%, 04/30/17		1,108
	1,000	3.250%, 12/31/16		1,113
	500	3.250%, 03/31/17		557
	1,000	4.750%, 08/15/17		1,203
		U.S. Treasury Principal STRIPS,
	202	11/15/13		201
	800	02/15/14 (m)		795
	4,566	05/15/14 (m)		4,531
	1,500	08/15/14 (m)		1,482
	3,518	11/15/14 (m)		3,466
	3,325	02/15/15		3,262
	32	08/15/15		31
	4,952	11/15/15 (m)		4,797
	5,766	02/15/16 (m)		5,550
	1,072	05/15/16		1,026
	2,005	08/15/16		1,906
	700	11/15/16		661
	1,224	02/15/17		1,146
	4,446	08/15/17		4,106
	1,960	11/15/17		1,794
	200	02/15/18		181
	495	05/15/19		429
	4,350	08/15/19		3,729


SHARES		SECURITY DESCRIPTION	VALUE($)

	Short-Term Investment — 3.9%
		Investment Company — 3.9%
	12,326	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.060% (b) (l) (Cost $12,326)		12,326

		Total Investments — 100.0% (Cost $297,614)		315,615
		Other Assets in Excess of Liabilities — 0.0% (g)		106

		NET ASSETS — 100.0%	$	315,721

Percentages indicated are based on net assets.


ARM		— Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2011.
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.
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 August 31, 2011. 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
Rev.		— Revenue
SPDR		— Standard & Poor’s Depository Receipts
STRIPS		— Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
SUB		— Step-Up Bond. The interest rate shown is the rate in effect as of August 31, 2011.
VA		— Veterans Administration
VAR		— Variable Rate Security. The interest rate shown is the rate in effect as of August 31, 2011.


(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 a 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 following approximates the value and percentage of these investments based on total investments (amounts in thousands):



Fund	Value		Percentage
Core Bond Trust	$	16,953		0.5	%
Intermediate Bond Trust		638		0.2



(g)		— Amount rounds to less than 0.1%.
(h)		— Amount rounds to less than one thousand (shares or dollars).
(i)		— Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(k)		— All or a portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts.
(l)		— The rate shown is the current yield as of August 31, 2011.
(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 Fund, as an index fund, invests.

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

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.

A. Valuation of Investments — Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealers or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon-rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share. Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price.

Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. Under these procedures, the Fund primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.

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

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

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

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

For each of the Funds, there were no transfers between Levels 1 and 2 during the six months ended August 31, 2011.

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

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

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

The change in unrealized appreciation (depreciation) attributable to securities owned at August 31, 2011, which were valued using significant unobservable inputs (Level 3) was as follows (amounts in thousands):

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

B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration under the Securities Act of 1933. An illiquid security is a security which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately its fair value and includes, but is not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.

The following is the value and percentage of net assets of illiquid securities as of August 31, 2011 (amounts in thousands):

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

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of

Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.

The table below discloses the volume of the Fund’s futures activities during the six months ended August 31, 2011 (amounts in thousands):

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

E. Securities Lending — The Funds may lend securities to brokers, approved by J.P. Morgan Investment Management Inc. (the “Advisor”), in order to generate additional income. Goldman Sachs Bank USA (“GS Bank”) serves as lending agent for the Equity Index Trust pursuant to a Securities Lending Agreement (the “GS Bank Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Fund is required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.

Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Fund also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.

Under the GS Bank Securities Lending Agreement, at the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. securities plus accrued interest. The GS Bank Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% of the value of loaned securities.

The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. At August 31, 2011, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amount in thousands):

The Fund bears the risk of loss associated with the Collateral Investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.

Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, GS Bank has agreed to indemnify the Fund from losses resulting from a borrower’s failure to return a loaned security.

The Advisor of the Fund waived fees associated with the Fund’s investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):

These amounts offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Fund’s investment in such fund. A portion of the waiver is voluntary.

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

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

H. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

I. Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid monthly for Core Bond Trust and Intermediate Bond Trust, and declared and paid quarterly for Equity Index Trust. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

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

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

B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annualized rate of 0.10% of the Funds’ average daily net assets.

J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.

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

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

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

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

The contractual expense limitation agreements were in effect for the six months ended August 31, 2011. The expense limitation percentages in the table above are in place until at least June 30, 2012.

For the six months ended August 31, 2011, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.

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

The amounts of waivers resulting from investments in the money market funds for the six months ended August 31, 2011 were as follows (excluding the reimbursement disclosed in Note 2.E. regarding cash collateral for securities lending invested in JPMorgan Prime Money Market Fund) (amounts in thousands):

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

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

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

During the six months ended August 31, 2011, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.

The Funds may use related party broker/dealers. For the six months ended August 31, 2011, the Funds did not incur any brokerage commissions with broker/dealers affiliated with the Advisor.

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

During the six months ended August 31, 2011, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at August 31, 2011, were as follows (amounts in thousands):

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

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

Shares of the Funds are offered only to certain clients of the Funds’ investment advisor or its affiliates who maintain one or more separately managed private accounts. Significant shareholder transactions, if any, may impact the Funds’ performance.

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

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

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

For the year ended February 28, 2011, certain shareholders of Core Bond Trust purchased shares and Core Bond Trust received portfolio securities primarily by means of a subscription in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as of the close of business on the dates and at the market values listed below (amounts in thousands):

As a shareholder of the Funds, you incur ongoing costs, including investment advisory, administration fees, and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Funds at the beginning of the reporting period, March 1, 2011, and continued to hold your shares at the end of the reporting period, August 31, 2011.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

The Board of Trustees meets regularly throughout the year and considers factors that are relevant to its annual consideration of investment advisory agreements at each meeting. The Board of Trustees has established various standing committees, composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment subcommittees (money market and alternative products, equity, and fixed income) also meet for the specific purpose of considering advisory contract annual renewals. The Board of Trustees held meetings in person in June and August 2011, at which the Trustees considered the continuation of each of the investment advisory agreements for the Funds whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment subcommittees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment subcommittee reported to the full Board, which then considered the investment subcommittee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 25, 2011.

The Trustees, as part of their review of the investment advisory arrangements for the Funds, considered and reviewed performance and other information received from the Advisor, on a regular basis over the course of the year, as well as information specifically prepared for their annual review. This information includes the Funds’ performance compared to the performance of the Funds’ peers and benchmarks and analyses by the Advisor of the Funds’ performance. In addition, the Trustees have engaged an independent consultant to report on the performance of each of the Funds at each of the Trustees’ regular meetings. The Advisor also periodically provides comparative information regarding the Funds’ expense ratios and those of the peer groups. In addition, in preparation for the June and August meetings, the Trustees requested and received and evaluated extensive materials from the Advisor, including, with respect to certain Funds, performance and expense information compiled by Lipper Inc. (“Lipper”), an independent provider of investment company data. The independent consultant also provided additional analyses of the performance of the Funds in connection with the Trustees’ review of the investment advisory arrangements. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Agreement with representatives of the Advisor and with counsels to the Trust and independent Trustees and received a memorandum from independent counsel to the Trustees

discussing the legal standards for their consideration of the proposed approval. The Trustees also discussed the proposed approvals in executive sessions with counsels to the Trust and independent Trustees at which no representatives of the Advisor were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.

In their deliberations, there was a comprehensive consideration of the information received by the Trustees. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Advisor from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of the investment advisory contract was in the best interests of each Fund and its shareholders.

The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:

Nature, Extent and Quality of Services Provided by the Advisor

The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Advisor’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Advisor. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also reviewed information relating to the Advisor’s risk governance model and reports showing the Advisor’s ongoing compliance processes and structures. The quality of the administrative services provided by JPMorgan Funds Management, Inc. (“JPMFM”), an affiliate of the Advisor, was also considered.

The Board of Trustees also considered its knowledge of the nature and quality of the services provided by the Advisor to the Funds gained from their experience as Trustees of the Funds. In addition, they considered the overall reputation and capabilities of the Advisor and its affiliates, the commitment of the Advisor to provide high quality service to the Funds, their overall confidence in the Advisor’s integrity and the Advisor’s responsiveness to concerns raised by them, including the Advisor’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.

Based on these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Advisor.

Costs of Services Provided and Profitability to the Advisor and its Affiliates

The Trustees received and considered information regarding the profitability to the Advisor and its affiliates in providing services to each of the Funds. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Advisor’s determination of its and its affiliates revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Advisor. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Advisor of each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Advisor and its affiliates as a result of their relationship with the Funds. The Board considered that the Advisor does not currently use third-party soft dollar arrangements with respect to securities transactions it executes for these Funds and that the Equity Index Trust used third-party soft dollar arrangements until August 2010.

The Trustees also considered that JPMFM, an affiliate of the Advisor, earn fees from the Funds for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, securities lending, and other related services. The Trustees also considered that the Funds (other than Equity Index Trust) are not currently engaged in securities lending and that the Equity Index Trust has retained an unaffiliated lending agent effective March 1, 2011.

Economies of Scale

The Trustees noted that the proposed investment advisory fee schedule for each Fund does not contain breakpoints. The Trustees considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the

current fee structure was reasonable in light of the fee waivers and expense limitations that the Advisor has in place that serve to limit the overall net expense ratio at competitive levels. The Trustees also recognized that the fee schedule for the administrative services provided by JPMFM does include a fee breakpoint, which is tied to the overall level of money market assets or non-money market fund assets excluding certain funds-of-funds, as applicable, advised by the Advisor, and that the Funds would benefit from that breakpoint. The Trustees concluded that shareholders benefited from the lower expense ratios which resulted from these factors.

Independent Written Evaluation of the Funds’ Chief Compliance Officer

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Core Bond Trust, Equity Index Trust and Intermediate Bond Trust had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.

Fees Relative to Advisor’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Advisor for investment management styles substantially similar to that of each Fund. The Trustees also considered the complexity of investment management for the Funds relative to the Advisor’s other clients and the differences in the nature and extent of the services provided to the different clients. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Advisor’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance for the Funds in a report prepared by Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Lipper investment classification and objective (the “Universe Group”) by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Lipper’s methodology for selecting mutual funds in each Fund’s Universe Group. The Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Advisor and the independent consultant and also considered the special analysis by the independent consultant. The Lipper performance data noted by the Trustees as part of their review and the

determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Core Bond Trust’s performance was in the first quintile for each of the one-, three-, and five-year periods ended December 31, 2010. The Trustees also noted that the independent consultant indicated that the overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.

The Trustees noted that the Equity Index Trust’s performance was in the first, second, and first quintiles for the one-, three- and five-year periods ended December 31, 2010, respectively, and that the independent consultant indicated that overall performance was satisfactory. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.

The Trustees noted that the Intermediate Bond Trust’s performance was in the first quintile for each of the one-, three-, and five-year periods ended December 31, 2010. The Trustees also noted that the independent consultant indicated that the overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate paid by each Fund to the Advisor and compared that rate to the

information prepared by Lipper concerning management fee rates paid by other funds in the same Lipper category as each Fund. The Trustees recognized that Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and the administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determination as a result of the review of each Fund’s advisory fees and expense ratios are summarized below:

The Trustees noted that the Core Bond Trust’s net advisory fee and actual total expenses were in the first quintile of its Universe Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Equity Index Trust’s net advisory fee and actual total expenses were in the first quintile of its Universe Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Intermediate Bond Trust’s net advisory fee and actual total expenses were in the first quintile of its Universe Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this

paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

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

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

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

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

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

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

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

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

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

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

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

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


REPORTING PERIOD RETURN:
JPMorgan Core Bond Trust*			5.03%
Barclays Capital U.S. Aggregate Index			5.49%

Net Assets as of 8/31/2011 (In Thousands)			$3,173,645
Duration as of 8/31/2011			4.5 years


AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2011

	INCEPTION DATE OF FUND	6 MONTH*			1 YEAR			3 YEAR			5 YEAR			SINCE INCEPTION
	2/07/05		5.03	%		6.12	%		9.59	%		7.82	%		6.60	%


REPORTING PERIOD RETURN:
JPMorgan Equity Index Trust*			(7.27)%
S&P 500 Index**			(7.23)%

Net Assets as of 8/31/2011 (In Thousands)			$321,088


AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2011

	INCEPTION DATE OF FUND		6 MONTH*			1 YEAR			3 YEAR			5 YEAR			SINCE INCEPTION
		2/07/05		(7.27	)%		18.31	%		0.38	%		0.67	%		2.18	%


REPORTING PERIOD RETURN:
JPMorgan Intermediate Bond Trust*			5.26%
Barclays Capital Intermediate U.S. Government/Credit Index			4.66%

Net Assets as of 8/31/2011 (In Thousands)			$315,721
Duration as of 8/31/2011			4.1 years



CEO’s Letter			1

Market Overview			2

Fund Commentaries:

JPMorgan Core Bond Trust			3

JPMorgan Equity Index Trust			5

JPMorgan Intermediate Bond Trust			7

Schedules of Portfolio Investments			9

Financial Statements			75

Financial Highlights			78

Notes to Financial Statements			80

Schedule of Shareholder Expenses			88

Board Approval of Investment Advisory Agreements			89


	Core Bond Trust			Equity Index Trust			Intermediate Bond Trust
ASSETS:
Investments in non-affiliates, at value	$	3,145,148		$	309,738		$	303,289
Investments in affiliates, at value		29,385			10,917			12,326

Total investment securities, at value		3,174,533			320,655			315,615
Cash		39			—			—
Receivables:
Investment securities sold		1,994			1			—
Fund shares sold		426			—			—
Interest and dividends from non-affiliates		16,391			789			1,462
Dividends from affiliates		2			—	(a)		1
Securities lending income		—			1			—
Variation margin on futures contracts		—			77			—

Total Assets		3,193,385			321,523			317,078


LIABILITIES:
Payables:
Dividends		301			—			32
Investment securities purchased		16,937			17			1,137
Collateral for securities lending program		—			302			—
Fund shares redeemed		1,990			17			113
Accrued liabilities:
Investment advisory fees		355			21			19
Custodian and accounting fees		106			45			35
Trustees’ and Chief Compliance Officer’s fees		1			3			2
Other		50			30			19

Total Liabilities		19,740			435			1,357

Net Assets	$	3,173,645		$	321,088		$	315,721


NET ASSETS:
Paid in capital	$	2,942,996		$	326,846		$	295,767
Accumulated undistributed (distributions in excess of) net investment income		(81	)		1,302			23
Accumulated net realized gains (losses)		1,641			(54,201	)		1,930
Net unrealized appreciation (depreciation)		229,089			47,141			18,001

Total Net Assets	$	3,173,645		$	321,088		$	315,721

Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):		294,871			21,755			29,629

Net asset value, offering and redemption price per share	$	10.76		$	14.76		$	10.66


Cost of investments in non-affiliates	$	2,916,059		$	263,000		$	285,288
Cost of investments in affiliates		29,385			10,842			12,326
Value of securities on loan		—			294			—


	Core Bond Trust			Equity Index Trust			Intermediate Bond Trust
INVESTMENT INCOME:
Interest income from non-affiliates	$	78,727		$	—	(a)	$	7,797
Dividend income from non-affiliates		—			3,325			—
Dividend income from affiliates		42			58			3
Income from securities lending (net)		—			14			—

Total investment income		78,769			3,397			7,800


EXPENSES:
Investment advisory fees		4,726			424			478
Administration fees		1,575			170			159
Custodian and accounting fees		165			24			73
Professional fees		42			26			32
Trustees’ and Chief Compliance Officer’s fees		16			1			2
Printing and mailing costs		11			2			2
Transfer agent fees		8			—			—
Other		62			11			9

Total expenses		6,605			658			755

Less amounts waived		(4,341	)		(492	)		(523	)
Less earnings credits		—	(a)		—	(a)		—	(a)

Net expenses		2,264			166			232

Net investment income (loss)		76,505			3,231			7,568


REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		7,041			(76	)		3,112
Futures		—			(65	)		—

Net realized gain (loss)		7,041			(141	)		3,112

Change in net unrealized appreciation (depreciation) of:
Investments in non-affiliates		71,105			(26,781	)		4,597
Investments in affiliates		—			(1,017	)		—
Futures		—			136			—

Change in net unrealized appreciation (depreciation)		71,105			(27,662	)		4,597

Net realized/unrealized gains (losses)		78,146			(27,803	)		7,709

Change in net assets resulting from operations	$	154,651		$	(24,572	)	$	15,277


	Core Bond Trust						Equity Index Trust						Intermediate Bond Trust
	Six Months Ended 8/31/2011 (Unaudited)			Year Ended 2/28/2011			Six Months Ended 8/31/2011 (Unaudited)			Year Ended 2/28/2011			Six Months Ended 8/31/2011 (Unaudited)			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	76,505		$	153,933		$	3,231		$	5,902		$	7,568		$	17,106
Net realized gain (loss)		7,041			8,065			(141	)		(5,765	)		3,112			1,914
Change in net unrealized appreciation (depreciation)		71,105			54,989			(27,662	)		62,868			4,597			1,425

Change in net assets resulting from operations		154,651			216,987			(24,572	)		63,005			15,277			20,445


DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income		(77,078	)		(153,857	)		(3,898	)		(5,840	)		(7,546	)		(17,137	)

Total distributions to shareholders		(77,078	)		(153,857	)		(3,898	)		(5,840	)		(7,546	)		(17,137	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		266,386			689,605			14,145			58,936			40,990			65,143
Subscriptions in-kind (see Note 7)		—			4,376			—			—			—			—
Dividends and distributions reinvested		75,254			124,882			3,898			2,401			7,347			15,597
Cost of shares redeemed		(268,208	)		(668,047	)		(9,681	)		(82,128	)		(107,267	)		(76,325	)

Change in net assets from capital transactions	$	73,432		$	150,816		$	8,362		$	(20,791	)	$	(58,930	)	$	4,415


NET ASSETS:
Change in net assets		151,005			213,946			(20,108	)		36,374			(51,199	)		7,723
Beginning of period		3,022,640			2,808,694			341,196			304,822			366,920			359,197

End of period	$	3,173,645		$	3,022,640		$	321,088		$	341,196		$	315,721		$	366,920

Accumulated undistributed (distributions in excess of) net investment income	$	(81	)	$	492		$	1,302		$	1,969		$	23		$	1


SHARE TRANSACTIONS:
Issued		25,058			65,779			926			4,008			3,903			6,221
Subscriptions in-kind (see Note 7)		—			426			—			—			—			—
Reinvested		7,101			11,847			245			172			701			1,490
Redeemed		(25,295	)		(63,504	)		(609	)		(5,706	)		(10,308	)		(7,326	)

Change in Shares		6,864			14,548			562			(1,526	)		(5,704	)		385


			Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss)		Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain
Core Bond Trust
Six Months Ended August 31, 2011 (Unaudited)	$	10.50	$	0.26	$	0.26		$	0.52		$	(0.26	)	$	—
Year Ended February 28, 2011		10.27		0.55		0.23			0.78			(0.55	)		—
Year Ended February 28, 2010		9.53		0.63		0.74			1.37			(0.63	)		—
Year Ended February 28, 2009		10.09		0.55		(0.56	)		(0.01	)		(0.55	)		—
Year Ended February 29, 2008		9.78		0.49		0.31			0.80			(0.49	)		—
Year Ended February 28, 2007		9.70		0.47		0.08			0.55			(0.47	)		—

Equity Index Trust
Six Months Ended August 31, 2011 (Unaudited)		16.10		0.15		(1.31	)		(1.16	)		(0.18	)		—
Year Ended February 28, 2011		13.42		0.28		2.67			2.95			(0.27	)		—
Year Ended February 28, 2010		8.98		0.30		4.44			4.74			(0.30	)		—
Year Ended February 28, 2009		16.27		0.33		(7.28	)		(6.95	)		(0.30	)		(0.04	)
Year Ended February 29, 2008		17.53		0.35		(0.94	)		(0.59	)		(0.33	)		(0.34	)
Year Ended February 28, 2007		16.01		0.31		1.57			1.88			(0.30	)		(0.06	)

Intermediate Bond Trust
Six Months Ended August 31, 2011 (Unaudited)		10.38		0.26		0.28			0.54			(0.26	)		—
Year Ended February 28, 2011		10.28		0.48		0.10			0.58			(0.48	)		—
Year Ended February 28, 2010		9.70		0.53		0.58			1.11			(0.53	)		—
Year Ended February 28, 2009		10.08		0.50		(0.38	)		0.12			(0.50	)		—
Year Ended February 29, 2008		9.76		0.48		0.32			0.80			(0.48	)		—
Year Ended February 28, 2007		9.68		0.47		0.08			0.55			(0.47	)		—


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

$	(0.26	)	$	10.76		5.03	%	$	3,173,645		0.14	%		4.87	%		0.42	%		11	%
	(0.55	)		10.50		7.71			3,022,640		0.14			5.23			0.42			20
	(0.63	)		10.27		14.70			2,808,694		0.14			6.24			0.42			19
	(0.55	)		9.53		(0.06	)		2,367,508		0.15			5.60			0.44			13
	(0.49	)		10.09		8.49			2,626,150		0.15			5.00			0.42			16
	(0.47	)		9.78		5.86			2,800,516		0.15			4.82			0.43			12


	(0.18	)		14.76		(7.27	)		321,088		0.10			1.91			0.39			1
	(0.27	)		16.10		22.38			341,196		0.10			1.95			0.40			13
	(0.30	)		13.42		53.50			304,822		0.10			2.37			0.42			18
	(0.34	)		8.98		(43.42	)		243,919		0.10			2.43			0.41			14
	(0.67	)		16.27		(3.70	)		398,720		0.10			1.90			0.40			15
	(0.36	)		17.53		11.87			420,518		0.10			1.85			0.40			10


	(0.26	)		10.66		5.26			315,721		0.15			4.76			0.48			15
	(0.48	)		10.38		5.72			366,920		0.14			4.60			0.46			28
	(0.53	)		10.28		11.72			359,197		0.15			5.33			0.47			23
	(0.50	)		9.70		1.29			287,529		0.15			5.07			0.49			11
	(0.48	)		10.08		8.41			349,739		0.15			4.85			0.45			17
	(0.47	)		9.76		5.81			327,319		0.15			4.82			0.46			14


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Debt Securities
Asset-Backed Securities	$	—	$	90,799	$	7,425	$	98,224
Collateralized Mortgage
Obligations
Agency		—		863,645		—		863,645
Non-Agency		—		400,537		9,528		410,065

Total Collateralized Mortgage Obligations		—		1,264,182		9,528		1,273,710

Commercial Mortgage-Backed Securities		—		73,053		—		73,053
Corporate Bonds
Consumer Discretionary		—		40,172		—		40,172
Consumer Staples		—		26,975		—		26,975
Energy		—		28,977		—		28,977
Financials		—		315,059		—		315,059
Health Care		—		8,316		—		8,316
Industrials		—		23,404		—		23,404
Information Technology		—		26,395		—		26,395
Materials		—		14,188		—		14,188
Telecommunication Services		—		38,647		—		38,647
Utilities		—		55,413		—		55,413

Total Corporate Bonds		—		577,546		—		577,546

Foreign Government Securities		—		16,647		—		16,647
Mortgage Pass-Through Securities		—		324,713		—		324,713
Municipal Bonds		—		4,093		—		4,093
Supranational		—		1,074		—		1,074
U.S. Government Agency Securities		—		36,885		—		36,885
U.S. Treasury Obligations		—		739,203		—		739,203
Short-Term Investment
Investment Company		29,385		—		—		29,385

Total Investments in Securities	$	29,385	$	3,128,195	$	16,953	$	3,174,533


Equity Index Trust
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	320,130	$	525	$	—	$	320,655

Appreciation in Other Financial Instruments
Futures Contracts	$	328	$	—	$	—	$	328


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Debt Securities
Asset-Backed Securities	$	—	$	7,062	$	410	$	7,472
Collateralized Mortgage
Obligations
Agency		—		85,990		—		85,990
Non-Agency		—		19,965		228		20,193

Total Collateralized Mortgage Obligations		—		105,955		228		106,183

Commercial Mortgage-Backed Securities		—		4,828		—		4,828
Corporate Bonds
Consumer Discretionary		—		3,405		—		3,405
Consumer Staples		—		2,451		—		2,451
Energy		—		2,426		—		2,426
Financials		—		34,622		—		34,622
Health Care		—		739		—		739
Industrials		—		3,028		—		3,028
Information Technology		—		2,130		—		2,130
Materials		—		1,403		—		1,403
Telecommunication Services		—		3,142		—		3,142
Utilities		—		5,252		—		5,252

Total Corporate Bonds		—		58,598		—		58,598

Foreign Government Securities		—		1,591		—		1,591
Mortgage Pass-Through Securities		—		37,201		—		37,201
Supranational		—		43		—		43
U.S. Government Agency Securities		—		7,186		—		7,186
U.S. Treasury Obligations		—		80,187		—		80,187
Short-Term Investment
Investment Company		12,326		—		—		12,326

Total Investments in Securities	$	12,326	$	302,651	$	638	$	315,615


	Balance as of 02/28/11		Realized gain (loss)			Change in unrealized appreciation (depreciation)			Net amortization (accretion)		Purchases (1)		Sales (2)			Transfers into Level 3		Transfers out of Level 3		Balance as of 08/31/11
Investments in Securities
Asset Backed Security	$	2,496	$	—		$	(3	)	$	2	$	7,493	$	(3,358	)	$	795	$	—	$	7,425
Non-Agency CMO		2,688		(1,769	)		1,301			5		8,543		(1,240	)		—		—		9,528

Total	$	5,184	$	(1,769	)	$	1,298		$	7	$	16,036	$	(4,598	)	$	795	$	—	$	16,953


	Balance as of 02/28/11		Realized gain (loss)			Change in unrealized appreciation (depreciation)			Net amortization (accretion)			Purchases (1)		Sales (2)			Transfers into Level 3		Transfers out of Level 3			Balance as of 08/31/11
Investments in Securities
Asset-backed Securities	$	—	$	—	(a)	$	—	(a)	$	—	(a)	$	238	$	(68	)	$	240	$	—		$	410
Non-Agency CMO		1,504		(177	)		138			—	(a)		249		(108	)		—		(1,378	)		228

Total	$	1,504	$	(177	)	$	138		$	—	(a)	$	487	$	(176	)	$	240	$	(1,378	)	$	638



AUGUST 31, 2011	JPMORGAN INSTITUTIONAL TRUST FUNDS	1



2	JPMORGAN INSTITUTIONAL TRUST FUNDS	AUGUST 31, 2011



AUGUST 31, 2011	JPMORGAN INSTITUTIONAL TRUST FUNDS	3



4	JPMORGAN INSTITUTIONAL TRUST FUNDS	AUGUST 31, 2011


	Equity Index Trust
Futures Contracts:
Average Notional Balance Long	$	4,775
Ending Notional Balance Long		7,002


Affiliate	Value at February 28, 2011		Purchase Cost		Sales Proceeds		Realized Gain/Loss		Dividend/ Interest Income		Shares at August 31, 2011		Value at August 31, 2011
Core Bond Trust
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares	$	95,644	$	375,151	$	441,410	$	—	$	42		29,385	$	29,385

	$	95,644	$	375,151	$	441,410	$	—	$	42		29,385	$	29,385


Equity Index Trust
JPMorgan Chase & Co. (common stock)*	$	5,094	$	120	$	—	$	—	$	56		112	$	4,197
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares		3,077		18,339		14,998		—		2		6,418		6,418
JPMorgan Prime Money Market Fund, Capital Shares**		—		5,720		5,418		—		14		302		302

	$	8,171	$	24,179	$	20,416	$	—	$	72		6,832	$	10,917


Intermediate Bond Trust
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares	$	11,727	$	80,872	$	80,273	$	—	$	3		12,326	$	12,326

	$	11,727	$	80,872	$	80,273	$	—	$	3		12,326	$	12,326


	Value of Securities on Loan		Cash Collateral Posted by Borrower		Total Value of Collateral Investments
Equity Index Trust	$	294	$	302	$	302


	Contractual Waivers
	Investment Advisory		Administration		Total
Core Bond Trust	$	2,667	$	1,575	$	4,242
Equity Index Trust		318		170		488
Intermediate Bond Trust		357		159		516


	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Purchases of U.S. Government		Sales of U.S. Government
Core Bond Trust	$	420,748	$	213,465	$	90,814	$	130,671
Equity Index Trust		7,263		4,049		—		—
Intermediate Bond Trust		25,741		37,910		20,456		67,074


	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Core Bond Trust	$	2,945,444	$	269,727	$	40,638	$	229,089
Equity Index Trust		273,842		73,939		27,126		46,813
Intermediate Bond Trust		297,614		21,983		3,982		18,001


Date	Market Value		Type
March 30, 2010	$	4,376		Subscription-in-kind


	Beginning Account Value, March 1, 2011		Ending Account Value, August 31, 2011		Expenses Paid During March 1, 2011 to August 31, 2011*		Annualized Expense Ratio
Core Bond Trust
Actual	$	1,000.00	$	1,050.30	$	0.72		0.14	%
Hypothetical		1,000.00		1,024.43		0.71		0.14

Equity Index Trust
Actual		1,000.00		927.30		0.48		0.10
Hypothetical		1,000.00		1,024.63		0.51		0.10

Intermediate Bond Trust
Actual		1,000.00		1,052.60		0.77		0.15
Hypothetical		1,000.00		1,024.38		0.76		0.15


		^© JPMorgan Chase & Co., 2011 All rights reserved. August 2011.		SAN-INSTT-811



By:		/s/ Patricia A. Maleski
		Patricia A. Maleski President and Principal Executive Officer November 7, 2011



By:		/s/ Joy C. Dowd
		Joy C. Dowd Treasurer and Principal Financial Officer November 7, 2011