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:

“Risk on, risk off” was the mantra for 2011. Assets perceived as risky moved en masse as investors adjusted their portfolios in response to unexpected sources of distress and updates on known problems — the European debt crisis, political strife in the Middle East, the earthquake and subsequent tsunami in Japan and the credit rating of debt issued by the United States.

“Exposure to a variety of asset classes within fixed income, equity and alternative investments can help safeguard portfolios from the current risks in the marketplace and any unexpected shocks along the way.”

So far in 2012, improving U.S. economic data and aggressive measures taken by the European Central Bank to curb the region’s debt crisis have sustained investors’ appetite for risk. Since January 1, 2012, equities have rallied strongly and outperformed fixed income securities.

U.S. stocks outperform

While the “risk on, risk off” market environment caused elevated correlations within individual asset classes, stock returns across market capitalizations, countries and investment styles varied during the twelve months ended February 29, 2012. Buoyed by stronger-than-expected economic data, U.S. stocks finished the twelve-month reporting period ahead of international and emerging markets stocks.

During the reporting period, the S&P 500 Index gained 5.1% versus the -6.8% and 1.8% returns for the MSCI EAFE (Europe, Australasia, and the Far East) Index (gross of foreign withholding taxes) and the MSCI EM (Emerging Markets) Index (gross of foreign withholding taxes), respectively. Among U.S. stocks, large-cap stocks outperformed small- and mid-cap stocks, while growth stocks outperformed value stocks across all market capitalizations.

Yields for U.S. Treasuries remain near historical lows

Despite historically low yields and a credit downgrade, investors continued to invest in U.S. Treasury securities. The yield for 10-year U.S. Treasury securities ended February 2012 below 2% and reached its lowest level since 1950 in September 2011. The yield on the 2-year U.S. Treasury note began the reporting

period at 0.7% and dropped to 0.3% at the end of February 2012. Meanwhile, the yield on the 30-year U.S. Treasury bond declined from 4.5% to 3.1% as of the end of the twelve months ended February 29, 2012.

Interest rates have increased in March 2012 but yields remain at historically low levels. Nonetheless, many investors have renewed their focus on the longer-term impact of rising interest rates on their fixed income investments. In addition, many investors view the unprecedented quantitative easing by the U.S. Federal Reserve as kindling for inflation if the U.S. economic recovery continues to take hold.

Maintain a diversified portfolio

Several indicators suggest that a U.S. economic recovery is gaining traction — the labor market has shown signs of healing, while recent retail and auto sales have been strong. Meanwhile, soaring year-to-date returns for emerging markets stocks reflect investors’ optimism surrounding the prospects for growth in these countries. Of course, risks remain. Many investors worry that the pace of China’s robust economic growth could decelerate, potentially resulting in a “hard landing” from measures aimed to control inflation and cool its surging property market. In addition, political turmoil in the Middle East persists, while Europe faces pockets of recession in the midst of its ongoing debt crisis.

Indeed, despite the recent rally in stock markets uncertainty in the current environment is widespread, making diversification even more critical to long-term investment success. Exposure to a variety of asset classes within fixed income, equity and alternative investments can help safeguard portfolios from the current risks in the marketplace and any unexpected shocks along the way.

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, Global Funds Management

J.P. Morgan Asset Management

Despite the tragic earthquake and subsequent tsunami in Japan, investors’ appetite for risk was supported early in the reporting period by strong corporate earnings. However, investors’ uncertainty surrounding global economic growth and political turmoil in the Middle East began to weigh on capital markets in May 2011. This negative mood among investors worsened as they 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. 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. Risk aversion lasted until October 2011, when U.S. economic data showed signs of improving and the European Central Bank implemented aggressive measures in an attempt to curb the region’s debt crisis. The S&P 500 Index finished the reporting period with a 5.12% return.

Among fixed income securities, U.S. Treasuries performed strongly, buoyed by the sharp decline in interest rates. Although high yield bonds (also known as “junk bonds”) were susceptible to periods of market volatility, the asset class finished the reporting period with a positive absolute return. Investment grade U.S. corporate debt and mortgage-backed securities also performed well during the reporting period. Emerging markets debt securities were supported by a beneficial technical environment, as the asset class experienced strong inflows due, in part, to investors’ search for yield in a low interest rate environment.

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 twelve months ended February 29, 2012, 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, which detracted from its relative performance as interest rates declined during the reporting period.

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.

Among mortgage-backed securities, the Fund’s investments in agency collateralized mortgage obligations (“CMOs”) outperformed comparable duration mortgage pass-through securities held in the Benchmark. In addition, the Fund’s investments in non-agency principal only CMOs and inverse interest only CMOs contributed to relative performance. The Fund’s allocation to non-agency floating rate CMOs detracted from 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	35.8	%
U.S. Treasury Obligations	23.4
Corporate Bonds	19.1
Mortgage Pass-Through Securities	10.9
Asset-Backed Securities	3.6
Commercial Mortgage-Backed Securities	2.0
U.S. Government Agency Securities	1.4
Foreign Government Securities	1.2
Others (each less than 1.0%)	0.2
Short-Term Investment	2.4

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 February 29, 2012. 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 February 29, 2012. 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 performed in line with the S&P 500 Index (the “Benchmark”) for the twelve months ended February 29, 2012. 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.

Concerns about contagion from the European debt crisis and political unrest in the Middle East lowered investors’ appetite for risk in the beginning of the reporting period. However, in October 2011, investors became encouraged by improving economic data and aggressive measures by the European Central Bank to combat the region’s debt crisis. This positive sentiment persisted and U.S. stocks rallied for the remainder of the reporting period. In the end, the Benchmark returned 5.12% for the twelve months ended February 29, 2012.

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 materials sectors underperformed other sectors in the Benchmark, while the health care 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.

(1)

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


TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO****
	1.	Apple, Inc.	4.0	%
	2.	Exxon Mobil Corp.	3.3
	3.	Microsoft Corp.	1.9
	4.	International Business Machines Corp.	1.9
	5.	Chevron Corp.	1.7
	6.	General Electric Co.	1.6
	7.	Procter & Gamble Co. (The)	1.5
	8.	AT&T, Inc.	1.5
	9.	Johnson & Johnson	1.4
	10.	Wells Fargo & Co.	1.3


PORTFOLIO COMPOSITION BY SECTOR****
Information Technology	20.0	%
Financials	14.1
Energy	11.9
Health Care	11.2
Consumer Discretionary	10.7
Consumer Staples	10.7
Industrials	10.7
Materials	3.5
Utilities	3.4
Telecommunication Services	2.7
Investment Company	0.1
Others (each less than 1.0%)	0.1
Short-Term Investment	0.9

“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 February 29, 2012. 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 February 29, 2012. 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 twelve months ended February 29, 2012, 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, which 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***
U.S. Treasury Obligations	30.2	%
Collateralized Mortgage Obligations	29.8
Corporate Bonds	18.6
Mortgage Pass-Through Securities	12.2
Asset-Backed Securities	2.6
U.S. Government Agency Securities	2.1
Commercial Mortgage-Backed Securities	1.2
Foreign Government Securities	1.0
Short-Term Investment	2.3

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 February 29, 2012. 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 February 29, 2012. 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 — 3.6%
		AH Mortgage Advance Trust, (Cayman Islands),
	3,006	Series SART-1, Class A1, 2.630%, 05/10/42 (e)		2,996
	6,667	Series SART-1, Class A2, 3.370%, 05/10/43 (e)		6,680
	3,628	Series SART-2, Class A1, 3.270%, 09/15/43 (e)		3,633
	880	Series SART-2, Class B1, 6.900%, 09/15/43 (e)		889
	2,588	Series SART-3, Class 1A1, 2.980%, 03/13/43 (e)		2,594
	4,725	Series SART-3, Class 1A2, 3.720%, 03/13/44 (e)		4,740
		Ally Auto Receivables Trust,
	1,385	Series 2010-3, Class A3, 1.110%, 10/15/14		1,392
	670	Series 2010-3, Class A4, 1.550%, 08/17/15		680
	392	Series 2010-4, Class A3, 0.910%, 11/17/14		393
	688	Series 2011-1, Class A2, 0.810%, 10/15/13		689
	720	Series 2011-1, Class A3, 1.380%, 01/15/15		726
	1,418	Series 2012-1, Class A3, 0.930%, 02/16/16		1,421
		American Credit Acceptance Receivables Trust,
	1,102	Series 2012-1, Class A1, 1.960%, 01/15/14 (e)		1,102
	1,120	Series 2012-1, Class A2, 3.040%, 10/15/15 (e)		1,120
		AmeriCredit Automobile Receivables Trust,
	373	Series 2008-AF, Class A4, 6.960%, 10/14/14		384
	93	Series 2010-1, Class A3, 1.660%, 03/17/14		93
	890	Series 2010-3, Class A3, 1.140%, 04/08/15		894
	682	Series 2010-4, Class A2, 0.960%, 05/08/14		682
	375	Series 2010-4, Class A3, 1.270%, 04/08/15		376
	437	Series 2011-1, Class A2, 0.840%, 06/09/14		437
	375	Series 2011-1, Class A3, 1.390%, 09/08/15		377
	1,990	Series 2011-3, Class A2, 0.840%, 11/10/14		1,992
	433	Series 2011-4, Class A2, 0.920%, 03/09/15		433
	1,414	Series 2011-4, Class A3, 1.170%, 05/09/16		1,417
	1,195	Series 2011-5, Class A3, 1.550%, 07/08/16		1,205
	1,187	Series 2012-1, Class A2, 0.910%, 10/08/15		1,189
	235	Series 2012-1, Class A3, 1.230%, 09/08/16		236
	215	Arch Bay Asset-Backed Securities, Series 2010-2, Class A, VAR, 4.125%, 04/25/57 (e)		214
		Bank of America Auto Trust,
	58	Series 2009-1A, Class A3, 2.670%, 07/15/13 (e)		59
	225	Series 2010-1A, Class A3, 1.390%, 03/15/14 (e)		226


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	475	Series 2010-1A, Class A4, 2.180%, 02/15/17 (e)		483
	756	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.614%, 04/25/36		590
	700	Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)		700
		CarMax Auto Owner Trust,
	418	Series 2010-1, Class A3, 1.560%, 07/15/14		420
	1,260	Series 2011-1, Class A3, 1.290%, 09/15/15		1,270
	885	Series 2011-1, Class A4, 2.160%, 09/15/16		908
	1,350	Series 2011-3, Class A3, 1.070%, 06/15/16		1,350
	576	Centex Home Equity, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		585
	1,837	Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34		1,735
	1,500	Chrysler Financial Auto Securitization Trust, Series 2010-A, Class A3, 0.910%, 08/08/13		1,502
	800	Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39		1,067
		Citigroup Mortgage Loan Trust, Inc.,
	541	Series 2003-HE3, Class A, VAR, 0.624%, 12/25/33		471
	1,851	Series 2011-5, Class 1A1, VAR, 0.434%, 02/25/46 (e) (f) (i)		1,688
		CNH Equipment Trust,
	216	Series 2010-A, Class A3, 1.540%, 07/15/14		216
	1,230	Series 2010-C, Class A3, 1.170%, 05/15/15		1,233
	950	Series 2011-A, Class A3, 1.200%, 05/16/16		956
	747	Series 2011-A, Class A4, 2.040%, 10/17/16		767
	811	Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.844%, 10/25/34		432
	1,692	CPS Auto Trust, Series 2011-C, Class A, 4.210%, 03/15/19 (e)		1,692
	1,300	Credit Acceptance Auto Loan Trust, Series 2011-1, Class A, 2.610%, 03/15/19 (e)		1,299
	337	Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 4.748%, 01/25/36		188
		Discover Card Master Trust,
	1,015	Series 2008-A4, Class A4, 5.650%, 12/15/15		1,082
	813	Series 2012-A1, Class A1, 0.810%, 08/15/17		813
	262	First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.344%, 12/25/36		244


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — Continued
	1,260	Ford Credit Auto Lease Trust, Series 2011-A, Class A2, 0.740%, 09/15/13		1,260
		Ford Credit Auto Owner Trust,
	93	Series 2009-B, Class A3, 2.790%, 08/15/13		93
	500	Series 2009-B, Class A4, 4.500%, 07/15/14		516
	1,754	Series 2012-A, Class A3, 0.840%, 08/15/16		1,759
	3,832	Fortress Opportunities Residential Transaction, Series 2011-1A, Class A1, VAR, 7.211%, 10/25/47 (e)		3,846
		Freedom Trust,
	955	Series 2011-1, Class A13, VAR, 0.435%, 11/30/37 (e) (f) (i)		903
	952	Series 2011-2, Class A11, VAR, 6.809%, 08/01/46 (e)		953
	420	GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		380
		Harley-Davidson Motorcycle Trust,
	136	Series 2010-1, Class A2, 0.830%, 11/15/13		135
	540	Series 2010-1, Class A3, 1.160%, 02/15/15		542
		Honda Auto Receivables Owner Trust,
	3	Series 2009-2, Class A3, 2.790%, 01/15/13		3
	550	Series 2011-1, Class A4, 1.800%, 04/17/17		561
	809	Series 2012-1, Class A3, 0.770%, 01/15/16		809
	337	Series 2012-1, Class A4, 0.970%, 04/16/18		337
		HSBC Home Equity Loan Trust,
	1,213	Series 2006-1, Class A1, VAR, 0.406%, 01/20/36		1,099
	678	Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36		681
	2,321	Series 2007-3, Class APT, VAR, 1.446%, 11/20/36		2,047
		Huntington Auto Trust,
	800	Series 2011-1A, Class A2, 0.760%, 04/15/14 (e)		800
	1,000	Series 2011-1A, Class A3, 1.010%, 01/15/16 (e)		998
	1,000	Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)		999
		Hyundai Auto Receivables Trust,
	640	Series 2010-B, Class A3, 0.970%, 04/15/15		642
	710	Series 2010-B, Class A4, 1.630%, 03/15/17		724
	515	Series 2011-A, Class A3, 1.160%, 04/15/15		519
	520	Series 2011-A, Class A4, 1.780%, 12/15/15		531
	734	Series 2011-B, Class A3, 1.040%, 09/15/15		738
	824	Series 2011-B, Class A4, 1.650%, 02/15/17		840
	865	Series 2012-A, Class A3, 0.720%, 03/15/16		865
	258	Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.444%, 03/25/36		143


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		John Deere Owner Trust,
	490	Series 2011-A, Class A3, 1.290%, 01/15/16		494
	355	Series 2011-A, Class A4, 1.960%, 04/16/18		364
	405	LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) (f) (i)		405
	1,383	Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.594%, 07/25/34 (e)		1,323
		Long Beach Mortgage Loan Trust,
	461	Series 2006-8, Class 2A2, VAR, 0.334%, 09/25/36		135
	711	Series 2006-WL2, Class 2A3, VAR, 0.444%, 01/25/36		537
	1,328	Madison Avenue Manufactured Housing Contract, Series 2002-A, Class M2, VAR, 2.494%, 03/25/32		1,182
	370	Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14		372
	3,000	MMCA Automobile Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e)		3,043
	1,327	NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.607%, 12/07/20		1,331
	1,000	New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.303%, 11/25/33		953
	633	Newcastle Investment Trust, Series 2011-MH1, Class A, 2.450%, 12/10/33 (e)		639
		Nissan Auto Receivables Owner Trust,
	750	Series 2010-A, Class A3, 0.870%, 07/15/14		752
	450	Series 2010-A, Class A4, 1.310%, 09/15/16		455
	672	Series 2012-A, Class A3, 0.730%, 05/16/16		672
	333	Series 2012-A, Class A4, 1.000%, 07/16/18		332
	1,512	Park Place Securities, Inc., Series 2004-MCW1, Class M1, VAR, 0.869%, 10/25/34		1,433
	1,327	PennyMac Loan Trust, Series 2011-NPL1, Class A, VAR, 5.250%, 09/25/51 (e) (f) (i)		1,330
		Real Estate Asset Trust,
	623	Series 2011-2A, Class A1, 5.750%, 05/25/49 (e) (f) (i)		623
	2,253	Series 2012-1A, Class A1, 4.950%, 02/25/32 (e) (f) (i)		2,253
	300	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37		122
	3,000	Residential Asset Mortgage Products, Inc., Series 2006-RZ1, Class A3, VAR, 0.544%, 03/25/36		2,558
	2,481	Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i)		2,481


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — Continued
		Santander Drive Auto Receivables Trust,
	223	Series 2010-3, Class A2, 0.930%, 06/17/13		223
	580	Series 2010-3, Class A3, 1.200%, 06/16/14		580
	700	Series 2010-A, Class A4, 2.390%, 06/15/17 (e)		713
	473	Series 2011-S2A, Class B, 2.060%, 06/15/17 (e)		472
	998	Series 2011-S2A, Class D, 3.350%, 06/15/17 (e)		997
	1,955	Series 2012-1, Class A2, 1.250%, 04/15/15		1,959
	411	Series 2012-1, Class A3, 1.490%, 10/15/15		413
	773	Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33		773
	350	Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.514%, 06/25/35		330
	362	Structured Asset Securities Corp., Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32		367
		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		1,442
	1,540	Series 2011-A, Class A4, 1.560%, 05/15/15		1,565
	246	USAA Auto Owner Trust, Series 2009-2, Class A3, 1.540%, 02/18/14		247
	2,127	Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16		2,132
		Westlake Automobile Receivables Trust,
	285	Series 2011-1A, Class A2, 1.080%, 07/15/13 (e)		285
	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		1,395

		Total Asset-Backed Securities (Cost $124,557)		124,514

	Collateralized Mortgage Obligations — 35.4%
		Agency CMO — 23.2%
		Federal Home Loan Banks,
	1,093	Series 2000-0606, Class Y, 5.270%, 12/28/12		1,132
	2,554	Series 2000-1067, Class 1, 5.300%, 06/15/12		2,574
	4,640	Series 9M-2012, Class A, 4.720%, 09/20/12		4,739
	1,648	Series TQ-2015, Class A, 5.065%, 10/20/15		1,792
	337	Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 8, Class ZA, 7.000%, 03/25/23		383


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — Continued
			Federal Home Loan Mortgage Corp. REMICS,
	33		Series 11, Class D, 9.500%, 07/15/19		36
	16		Series 22, Class C, 9.500%, 04/15/20		17
	24		Series 23, Class F, 9.600%, 04/15/20		27
	—	(h)	Series 41, Class I, HB, 84.000%, 05/15/20		1
	2		Series 47, Class F, 10.000%, 06/15/20		2
	8		Series 99, Class Z, 9.500%, 01/15/21		9
	—	(h)	Series 204, Class E, HB, IF, 1,838.732%, 05/15/23		1
	—	(h)	Series 1045, Class G, HB, 1,066.209%, 02/15/21		1
	9		Series 1065, Class J, 9.000%, 04/15/21		11
	3		Series 1079, Class S, HB, IF, 33.150%, 05/15/21		5
	11		Series 1084, Class F, VAR, 1.200%, 05/15/21		11
	8		Series 1084, Class S, HB, IF, 44.100%, 05/15/21		16
	21		Series 1116, Class I, 5.500%, 08/15/21		23
	17		Series 1144, Class KB, 8.500%, 09/15/21		20
	—	(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		13
	21		Series 1250, Class J, 7.000%, 05/15/22		25
	32		Series 1343, Class LA, 8.000%, 08/15/22		39
	41		Series 1343, Class LB, 7.500%, 08/15/22		49
	70		Series 1370, Class JA, VAR, 1.400%, 09/15/22		70
	67		Series 1455, Class WB, IF, 4.550%, 12/15/22		69
	333		Series 1466, Class PZ, 7.500%, 02/15/23		387
	6		Series 1470, Class F, VAR, 2.221%, 02/15/23		6
	359		Series 1498, Class I, VAR, 1.400%, 04/15/23		359
	489		Series 1502, Class PX, 7.000%, 04/15/23		566
	64		Series 1505, Class Q, 7.000%, 05/15/23		74
	147		Series 1518, Class G, IF, 8.819%, 05/15/23		163
	49		Series 1541, Class M, HB, IF, 22.679%, 07/15/23		79
	134		Series 1541, Class O, VAR, 1.180%, 07/15/23		137
	13		Series 1570, Class F, VAR, 2.721%, 08/15/23		14
	479		Series 1573, Class PZ, 7.000%, 09/15/23		554
	321		Series 1591, Class PV, 6.250%, 10/15/23		336
	11		Series 1595, Class D, 7.000%, 10/15/13		11
	38		Series 1596, Class D, 6.500%, 10/15/13		40
	27		Series 1602, Class SA, HB, IF, 21.937%, 10/15/23		50
	9		Series 1607, Class SA, HB, IF, 20.321%, 10/15/13		10


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,342	Series 1608, Class L, 6.500%, 09/15/23		1,510
	316	Series 1609, Class LG, IF, 16.792%, 11/15/23		373
	743	Series 1638, Class H, 6.500%, 12/15/23		846
	590	Series 1642, Class PJ, 6.000%, 11/15/23		607
	14	Series 1671, Class QC, IF, 10.000%, 02/15/24		19
	18	Series 1686, Class SH, IF, 18.675%, 02/15/24		30
	206	Series 1695, Class EB, 7.000%, 03/15/24		240
	40	Series 1699, Class FC, VAR, 0.850%, 03/15/24		40
	215	Series 1700, Class GA, PO, 02/15/24		208
	563	Series 1706, Class K, 7.000%, 03/15/24		651
	19	Series 1709, Class FA, VAR, 1.110%, 03/15/24		19
	55	Series 1745, Class D, 7.500%, 08/15/24		65
	1,359	Series 1760, Class ZD, VAR, 1.460%, 02/15/24		1,414
	461	Series 1798, Class F, 5.000%, 05/15/23		512
	7	Series 1807, Class G, 9.000%, 10/15/20		8
	133	Series 1829, Class ZB, 6.500%, 03/15/26		150
	9	Series 1844, Class E, 6.500%, 10/15/13		10
	134	Series 1863, Class Z, 6.500%, 07/15/26		150
	39	Series 1865, Class D, PO, 02/15/24		33
	86	Series 1890, Class H, 7.500%, 09/15/26		102
	264	Series 1899, Class ZE, 8.000%, 09/15/26		312
	14	Series 1935, Class FL, VAR, 0.950%, 02/15/27		14
	189	Series 1963, Class Z, 7.500%, 01/15/27		223
	28	Series 1970, Class PG, 7.250%, 07/15/27		33
	294	Series 1981, Class Z, 6.000%, 05/15/27		325
	124	Series 1987, Class PE, 7.500%, 09/15/27		147
	321	Series 2019, Class Z, 6.500%, 12/15/27		366
	20	Series 2025, Class PE, 6.300%, 01/15/13		20
	98	Series 2033, Class SN, HB, IF, 25.948%, 03/15/24		67
	264	Series 2038, Class PN, IO, 7.000%, 03/15/28		43
	534	Series 2040, Class PE, 7.500%, 03/15/28		633
	91	Series 2043, Class CJ, 6.500%, 04/15/28		103
	411	Series 2054, Class PV, 7.500%, 05/15/28		488
	58	Series 2055, Class OE, 6.500%, 05/15/13		58
	805	Series 2075, Class PH, 6.500%, 08/15/28		917
	905	Series 2075, Class PM, 6.250%, 08/15/28		938
	297	Series 2086, Class GB, 6.000%, 09/15/28		305
	349	Series 2089, Class PJ, IO, 7.000%, 10/15/28		58
	1,249	Series 2095, Class PE, 6.000%, 11/15/28		1,401
	171	Series 2102, Class TC, 6.000%, 12/15/13		177
	115	Series 2102, Class TU, 6.000%, 12/15/13		119


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	455	Series 2115, Class PE, 6.000%, 01/15/14		460
	402	Series 2125, Class JZ, 6.000%, 02/15/29		421
	87	Series 2132, Class SB, HB, IF, 29.390%, 03/15/29		153
	57	Series 2134, Class PI, IO, 6.500%, 03/15/19		8
	13	Series 2135, Class UK, IO, 6.500%, 03/15/14		1
	386	Series 2136, Class PG, 6.000%, 03/15/29		436
	47	Series 2141, Class IO, IO, 7.000%, 04/15/29		7
	108	Series 2163, Class PC, IO, 7.500%, 06/15/29		23
	1,324	Series 2169, Class TB, 7.000%, 06/15/29		1,560
	574	Series 2172, Class QC, 7.000%, 07/15/29		677
	544	Series 2176, Class OJ, 7.000%, 08/15/29		629
	305	Series 2201, Class C, 8.000%, 11/15/29		365
	245	Series 2209, Class TC, 8.000%, 01/15/30		292
	430	Series 2210, Class Z, 8.000%, 01/15/30		520
	107	Series 2224, Class CB, 8.000%, 03/15/30		129
	258	Series 2230, Class Z, 8.000%, 04/15/30		308
	213	Series 2234, Class PZ, 7.500%, 05/15/30		253
	184	Series 2247, Class Z, 7.500%, 08/15/30		219
	259	Series 2256, Class MC, 7.250%, 09/15/30		306
	526	Series 2259, Class ZM, 7.000%, 10/15/30		621
	15	Series 2261, Class ZY, 7.500%, 10/15/30		18
	59	Series 2262, Class Z, 7.500%, 10/15/30		70
	554	Series 2271, Class PC, 7.250%, 12/15/30		657
	968	Series 2283, Class K, 6.500%, 12/15/23		1,090
	284	Series 2296, Class PD, 7.000%, 03/15/31		335
	88	Series 2306, Class K, PO, 05/15/24		82
	208	Series 2306, Class SE, IF, IO, 8.640%, 05/15/24		46
	271	Series 2313, Class LA, 6.500%, 05/15/31		309
	571	Series 2325, Class PM, 7.000%, 06/15/31		625
	903	Series 2344, Class QG, 6.000%, 08/15/16		961
	3,291	Series 2344, Class ZD, 6.500%, 08/15/31		3,599
	305	Series 2344, Class ZJ, 6.500%, 08/15/31		334
	263	Series 2345, Class NE, 6.500%, 08/15/31		274
	279	Series 2345, Class PQ, 6.500%, 08/15/16		290
	327	Series 2351, Class PZ, 6.500%, 08/15/31		368
	3,030	Series 2353, Class AZ, 6.000%, 09/15/31		3,193
	354	Series 2353, Class TD, 6.000%, 09/15/16		371
	308	Series 2355, Class BP, 6.000%, 09/15/16		326
	189	Series 2359, Class PM, 6.000%, 09/15/16		196
	1,245	Series 2359, Class ZB, 8.500%, 06/15/31		1,455
	546	Series 2360, Class PG, 6.000%, 09/15/16		584
	124	Series 2363, Class PF, 6.000%, 09/15/16		133
	237	Series 2366, Class MD, 6.000%, 10/15/16		253


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	492	Series 2367, Class ME, 6.500%, 10/15/31		534
	859	Series 2391, Class QR, 5.500%, 12/15/16		918
	338	Series 2394, Class MC, 6.000%, 12/15/16		362
	987	Series 2396, Class FM, VAR, 0.698%, 12/15/31		992
	607	Series 2399, Class OH, 6.500%, 01/15/32		664
	1,014	Series 2399, Class TH, 6.500%, 01/15/32		1,109
	877	Series 2410, Class NG, 6.500%, 02/15/32		968
	309	Series 2410, Class OE, 6.375%, 02/15/32		341
	680	Series 2410, Class QS, IF, 18.854%, 02/15/32		1,017
	284	Series 2410, Class QX, IF, IO, 8.402%, 02/15/32		71
	742	Series 2412, Class SP, IF, 15.603%, 02/15/32		974
	1,204	Series 2420, Class XK, 6.500%, 02/15/32		1,313
	661	Series 2423, Class MC, 7.000%, 03/15/32		782
	672	Series 2423, Class MT, 7.000%, 03/15/32		754
	332	Series 2425, Class OB, 6.000%, 03/15/17		357
	1,646	Series 2430, Class WF, 6.500%, 03/15/32		1,883
	863	Series 2434, Class TC, 7.000%, 04/15/32		988
	565	Series 2435, Class CJ, 6.500%, 04/15/32		655
	720	Series 2436, Class MC, 7.000%, 04/15/32		847
	563	Series 2444, Class ES, IF, IO, 7.702%, 03/15/32		115
	361	Series 2450, Class GZ, 7.000%, 05/15/32		427
	450	Series 2450, Class SW, IF, IO, 7.751%, 03/15/32		92
	2,328	Series 2455, Class GK, 6.500%, 05/15/32		2,647
	216	Series 2458, Class QE, 5.500%, 06/15/17		230
	743	Series 2462, Class JG, 6.500%, 06/15/32		850
	1,981	Series 2464, Class SI, IF, IO, 7.752%, 02/15/32		324
	465	Series 2466, Class PG, 6.500%, 04/15/32		485
	942	Series 2466, Class PH, 6.500%, 06/15/32		1,079
	761	Series 2474, Class NR, 6.500%, 07/15/32		852
	1,034	Series 2484, Class LZ, 6.500%, 07/15/32		1,182
	1,767	Series 2500, Class MC, 6.000%, 09/15/32		1,933
	112	Series 2503, Class BH, 5.500%, 09/15/17		121
	581	Series 2508, Class AQ, 5.500%, 10/15/17		626
	1,130	Series 2512, Class PG, 5.500%, 10/15/22		1,232
	425	Series 2515, Class DE, 4.000%, 03/15/32		433
	409	Series 2518, Class PX, 5.500%, 09/15/13		417
	632	Series 2535, Class BK, 5.500%, 12/15/22		694
	1,278	Series 2537, Class TE, 5.500%, 12/15/17		1,369
	2,024	Series 2543, Class YX, 6.000%, 12/15/32		2,262
	1,973	Series 2544, Class HC, 6.000%, 12/15/32		2,192
	2,440	Series 2552, Class ME, 6.000%, 01/15/33		2,693


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,481	Series 2567, Class QD, 6.000%, 02/15/33		1,678
	1,690	Series 2568, Class KG, 5.500%, 02/15/23		1,848
	201	Series 2571, Class SK, HB, IF, 33.428%, 09/15/23		368
	3,767	Series 2575, Class ME, 6.000%, 02/15/33		4,259
	641	Series 2586, Class WI, IO, 6.500%, 03/15/33		118
	1,807	Series 2587, Class WX, 5.000%, 03/15/18		1,968
	149	Series 2594, Class VQ, 6.000%, 08/15/20		149
	1,380	Series 2596, Class QG, 6.000%, 03/15/33		1,540
	135	Series 2597, Class DS, IF, IO, 7.301%, 02/15/33		6
	146	Series 2599, Class DS, IF, IO, 6.752%, 02/15/33		6
	356	Series 2610, Class DS, IF, IO, 6.851%, 03/15/33		8
	817	Series 2611, Class UH, 4.500%, 05/15/18		863
	1,335	Series 2617, Class GR, 4.500%, 05/15/18		1,423
	67	Series 2619, Class HR, 3.500%, 11/15/31		68
	6	Series 2619, Class IM, IO, 5.000%, 10/15/21		—	(h)
	2,469	Series 2626, Class NS, IF, IO, 6.302%, 06/15/23		181
	1,682	Series 2631, Class LC, 4.500%, 06/15/18		1,798
	739	Series 2636, Class Z, 4.500%, 06/15/18		787
	892	Series 2637, Class SA, IF, IO, 5.852%, 06/15/18		94
	135	Series 2638, Class DS, IF, 8.352%, 07/15/23		144
	632	Series 2640, Class UG, IO, 5.000%, 01/15/32		33
	1,410	Series 2640, Class UP, IO, 5.000%, 01/15/32		70
	7	Series 2640, Class UR, IO, 4.500%, 08/15/17		—	(h)
	2,980	Series 2645, Class BI, IO, 4.500%, 02/15/18		126
	723	Series 2650, Class PO, PO, 12/15/32		686
	2,489	Series 2650, Class SO, PO, 12/15/32		2,361
	1,177	Series 2651, Class VZ, 4.500%, 07/15/18		1,253
	1,884	Series 2672, Class ME, 5.000%, 11/15/22		1,993
	5,147	Series 2675, Class CK, 4.000%, 09/15/18		5,456
	791	Series 2682, Class YS, IF, 8.598%, 10/15/33		786
	15,410	Series 2684, Class PO, PO, 01/15/33		15,094
	170	Series 2686, Class NS, IF, IO, 7.351%, 10/15/21		2
	338	Series 2690, Class SJ, IF, 8.777%, 10/15/33		338
	1,538	Series 2691, Class ME, 4.500%, 04/15/32		1,607
	298	Series 2691, Class WS, IF, 8.627%, 10/15/33		298
	589	Series 2692, Class SC, IF, 12.790%, 07/15/33		691
	572	Series 2695, Class DE, 4.000%, 01/15/17		577
	1,199	Series 2695, Class DG, 4.000%, 10/15/18		1,283
	209	Series 2695, Class OB, PO, 10/15/33		203


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	231	Series 2696, Class CO, PO, 10/15/18		227
	136	Series 2700, Class S, IF, 8.627%, 11/15/33		135
	1,146	Series 2702, Class PC, 5.000%, 01/15/23		1,203
	309	Series 2705, Class SC, IF, 8.627%, 11/15/33		309
	584	Series 2705, Class SD, IF, 8.680%, 11/15/33		578
	2,000	Series 2710, Class HB, 5.500%, 11/15/23		2,251
	1,712	Series 2715, Class OG, 5.000%, 01/15/23		1,813
	2,564	Series 2716, Class UN, 4.500%, 12/15/23		2,810
	1,226	Series 2720, Class PC, 5.000%, 12/15/23		1,328
	3,692	Series 2727, Class BS, IF, 8.702%, 01/15/34		3,684
	1,662	Series 2744, Class PE, 5.500%, 02/15/34		1,806
	2,289	Series 2744, Class TU, 5.500%, 05/15/32		2,418
	404	Series 2751, Class BA, 4.000%, 10/15/18		410
	781	Series 2755, Class PA, PO, 02/15/29		776
	899	Series 2755, Class SA, IF, 13.703%, 05/15/30		979
	1,000	Series 2764, Class TE, 5.000%, 10/15/32		1,051
	15	Series 2771, Class FG, VAR, 0.000%, 03/15/34		15
	1,212	Series 2777, Class OM, PO, 12/15/32		1,197
	667	Series 2778, Class US, IF, IO, 6.952%, 06/15/33		9
	177	Series 2780, Class JG, 4.500%, 04/15/19		181
	1,284	Series 2783, Class AT, 4.000%, 04/15/19		1,386
	298	Series 2809, Class UB, 4.000%, 09/15/17		300
	5,515	Series 2809, Class UC, 4.000%, 06/15/19		5,886
	486	Series 2812, Class NO, PO, 10/15/33		464
	877	Series 2827, Class XO, PO, 01/15/23		864
	201	Series 2835, Class QO, PO, 12/15/32		191
	794	Series 2840, Class JO, PO, 06/15/23		777
	659	Series 2850, Class SN, IF, IO, 6.902%, 09/15/18		32
	187	Series 2870, Class KC, 4.250%, 05/15/18		189
	1,398	Series 2872, Class JE, 4.500%, 02/15/18		1,428
	1,282	Series 2922, Class JN, 4.500%, 02/15/20		1,344
	1,483	Series 2934, Class EC, PO, 02/15/20		1,432
	135	Series 2934, Class EN, PO, 02/15/18		133
	1,235	Series 2934, Class HI, IO, 5.000%, 02/15/20		122
	1,206	Series 2934, Class KI, IO, 5.000%, 02/15/20		119
	856	Series 2958, Class QD, 4.500%, 04/15/20		939
	1,500	Series 2962, Class BE, 4.500%, 04/15/20		1,653
	3,425	Series 2965, Class GD, 4.500%, 04/15/20		3,782
	1,154	Series 2971, Class GB, 5.000%, 11/15/16		1,160
	856	Series 2971, Class GC, 5.000%, 07/15/18		889
	374	Series 2989, Class PO, PO, 06/15/23		366
	4,281	Series 3004, Class EK, 5.500%, 07/15/35		4,763
	170	Series 3007, Class AI, IO, 5.500%, 07/15/24		11


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	191	Series 3014, Class OD, PO, 08/15/35		182
	28	Series 3044, Class VO, PO, 10/15/35		28
	1,998	Series 3047, Class OB, 5.500%, 12/15/33		2,100
	944	Series 3047, Class OD, 5.500%, 10/15/35		1,142
	1,196	Series 3049, Class XF, VAR, 0.599%, 05/15/33		1,194
	3,095	Series 3064, Class MC, 5.500%, 11/15/35		3,698
	747	Series 3064, Class OB, 5.500%, 07/15/29		761
	439	Series 3068, Class AO, PO, 01/15/35		433
	1,047	Series 3068, Class QB, 4.500%, 06/15/20		1,095
	2,141	Series 3074, Class BH, 5.000%, 11/15/35		2,459
	1,596	Series 3085, Class WF, VAR, 1.048%, 08/15/35		1,608
	281	Series 3100, Class MA, VAR, 3.808%, 12/15/35		276
	1,898	Series 3102, Class FB, VAR, 0.549%, 01/15/36		1,895
	431	Series 3102, Class HS, HB, IF, 23.655%, 01/15/36		678
	1,941	Series 3117, Class EO, PO, 02/15/36		1,840
	1,244	Series 3117, Class OK, PO, 02/15/36		1,196
	129	Series 3122, Class ZB, 6.000%, 03/15/36		149
	2,750	Series 3131, Class BK, 5.500%, 03/15/26		3,113
	463	Series 3134, Class PO, PO, 03/15/36		441
	2,156	Series 3138, Class PO, PO, 04/15/36		2,059
	113	Series 3149, Class SO, PO, 05/15/36		105
	2,055	Series 3151, Class UC, 5.500%, 08/15/35		2,252
	1,083	Series 3152, Class MO, PO, 03/15/36		1,014
	245	Series 3171, Class MO, PO, 06/15/36		232
	2,523	Series 3179, Class OA, PO, 07/15/36		2,394
	1,073	Series 3194, Class SA, IF, IO, 6.851%, 07/15/36		165
	1,360	Series 3211, Class SO, PO, 09/15/36		1,279
	691	Series 3218, Class AO, PO, 09/15/36		659
	2,499	Series 3219, Class DI, IO, 6.000%, 04/15/36		366
	1,500	Series 3229, Class HE, 5.000%, 10/15/26		1,696
	1,776	Series 3232, Class ST, IF, IO, 6.451%, 10/15/36		271
	893	Series 3233, Class OP, PO, 05/15/36		840
	1,500	Series 3242, Class NE, 5.750%, 02/15/34		1,590
	821	Series 3256, Class PO, PO, 12/15/36		779
	1,933	Series 3260, Class CS, IF, IO, 5.892%, 01/15/37		270
	942	Series 3261, Class OA, PO, 01/15/37		894
	1,263	Series 3274, Class JO, PO, 02/15/37		1,164
	606	Series 3275, Class FL, VAR, 0.689%, 02/15/37		605


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2,632	Series 3290, Class SB, IF, IO, 6.202%, 03/15/37		425
	2,658	Series 3315, Class HZ, 6.000%, 05/15/37		3,133
	2,000	Series 3316, Class GD, 5.500%, 06/15/35		2,154
	266	Series 3318, Class AO, PO, 05/15/37		249
	531	Series 3326, Class JO, PO, 06/15/37		490
	1,529	Series 3331, Class PO, PO, 06/15/37		1,453
	310	Series 3334, Class MC, 5.000%, 04/15/33		311
	2,031	Series 3385, Class SN, IF, IO, 5.752%, 11/15/37		258
	1,829	Series 3387, Class SA, IF, IO, 6.172%, 11/15/37		276
	2,607	Series 3404, Class SC, IF, IO, 5.752%, 01/15/38		353
	7,889	Series 3422, Class AI, IO, SUB, 0.250%, 01/15/38		47
	2,120	Series 3424, Class PI, IF, IO, 6.552%, 04/15/38		314
	5,406	Series 3430, Class AI, IO, 1.417%, 09/15/12		26
	2,530	Series 3481, Class SJ, IF, IO, 5.601%, 08/15/38		338
	2,878	Series 3505, Class SA, IF, IO, 5.752%, 01/15/39		362
	3,281	Series 3511, Class SA, IF, IO, 5.752%, 02/15/39		415
	1,634	Series 3549, Class FA, VAR, 1.449%, 07/15/39		1,643
	1,000	Series 3607, Class BO, PO, 04/15/36		915
	1,716	Series 3607, Class OP, PO, 07/15/37		1,597
	1,241	Series 3607, Class PO, PO, 05/15/37		1,154
	512	Series 3611, Class PO, PO, 07/15/34		476
	1,184	Series 3621, Class BO, PO, 01/15/40		1,123
	3,561	Series 3739, Class LI, IO, 4.000%, 03/15/34		271
	8,937	Series 3747, Class HI, IO, 4.500%, 07/15/37		1,206
	1,000	Series 3747, Class PY, 4.000%, 10/15/40		1,061
	4,610	Series 3759, Class HI, IO, 4.000%, 08/15/37		519
	5,509	Series 3760, Class GI, IO, 4.000%, 10/15/37		538
	700	Series 3798, Class BF, VAR, 0.549%, 06/15/24		700
	2,338	Series 3804, Class FN, VAR, 0.698%, 03/15/39		2,340
	5,282	Series 3819, Class ZQ, 6.000%, 04/15/36		6,151
	973	Series 3852, Class QN, IF, 5.500%, 05/15/41		1,111
	2,767	Series 3852, Class TP, IF, 5.500%, 05/15/41		3,211
	3,000	Series 3920, Class LP, 5.000%, 01/15/34		3,365
	1,638	Series 3957, Class B, 4.000%, 11/15/41		1,740
	1,980	Series 3966, Class NA, 4.000%, 12/15/41		2,106


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — Continued
			Federal Home Loan Mortgage Corp. STRIPS,
	4		Series 134, Class B, IO, 9.000%, 04/01/22		1
	3,715		Series 233, Class 11, IO, 5.000%, 09/15/35		459
	5,265		Series 233, Class 13, IO, 5.000%, 09/15/35		648
	945		Series 243, Class 16, IO, 4.500%, 11/15/20		83
	2,107		Series 243, Class 17, IO, 4.500%, 12/15/20		191
			Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	696		Series T-41, Class 3A, VAR, 6.987%, 07/25/32		801
	420		Series T-51, Class 2A, VAR, 7.500%, 08/25/42		496
	2,137		Series T-54, Class 2A, 6.500%, 02/25/43		2,385
	722		Series T-54, Class 3A, 7.000%, 02/25/43		845
	309		Series T-58, Class APO, PO, 09/25/43		257
	705		Series T-59, Class 1AP, PO, 10/25/43		500
	2,589		Series T-76, Class 2A, VAR, 4.749%, 10/25/37		2,652
	3,000		Federal National Mortgage Association - ACES, Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20		3,319
			Federal National Mortgage Association,
	1,299		Series 2011-M2, Class A2, 3.645%, 07/25/21		1,397
	8,500		Series 2011-M2, Class A3, 3.764%, 07/25/21		9,236
			Federal National Mortgage Association Grantor Trust,
	1,077		Series 2002-T19, Class A2, 7.000%, 07/25/42		1,215
	1,029		Series 2004-T3, Class 1A3, 7.000%, 02/25/44		1,189
			Federal National Mortgage Association REMICS,
	9		Series 1988-7, Class Z, 9.250%, 04/25/18		10
	21		Series 1989-70, Class G, 8.000%, 10/25/19		24
	7		Series 1989-78, Class H, 9.400%, 11/25/19		8
	13		Series 1989-83, Class H, 8.500%, 11/25/19		14
	12		Series 1989-89, Class H, 9.000%, 11/25/19		14
	12		Series 1990-1, Class D, 8.800%, 01/25/20		14
	2		Series 1990-60, Class K, 5.500%, 06/25/20		2
	5		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
	25		Series 1990-102, Class J, 6.500%, 08/25/20		28
	33		Series 1990-120, Class H, 9.000%, 10/25/20		39
	4		Series 1990-134, Class SC, HB, IF, 21.225%, 11/25/20		6
	—	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20		5
	—	(h)	Series 1991-7, Class K, HB, 908.500%, 02/25/21		1


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	14	Series 1991-24, Class Z, 5.000%, 03/25/21		15
	2	Series 1992-101, Class J, 7.500%, 06/25/22		2
	64	Series 1992-136, Class PK, 6.000%, 08/25/22		71
	55	Series 1992-143, Class MA, 5.500%, 09/25/22		61
	158	Series 1992-163, Class M, 7.750%, 09/25/22		183
	256	Series 1992-188, Class PZ, 7.500%, 10/25/22		296
	107	Series 1993-21, Class KA, 7.700%, 03/25/23		125
	159	Series 1993-25, Class J, 7.500%, 03/25/23		185
	42	Series 1993-27, Class SA, IF, 15.500%, 02/25/23		60
	63	Series 1993-62, Class SA, IF, 17.684%, 04/25/23		93
	33	Series 1993-165, Class SD, IF, 12.266%, 09/25/23		42
	73	Series 1993-165, Class SK, IF, 12.500%, 09/25/23		92
	9	Series 1993-167, Class GA, 7.000%, 09/25/23		9
	48	Series 1993-179, Class SB, HB, IF, 24.408%, 10/25/23		81
	32	Series 1993-179, Class SC, IF, 10.500%, 10/25/23		39
	128	Series 1993-199, Class FA, VAR, 0.800%, 10/25/23		129
	92	Series 1993-205, Class H, PO, 09/25/23		88
	66	Series 1993-220, Class SG, IF, 15.500%, 11/25/13		72
	143	Series 1993-225, Class UB, 6.500%, 12/25/23		156
	47	Series 1993-230, Class FA, VAR, 0.850%, 12/25/23		48
	136	Series 1993-247, Class FE, VAR, 1.250%, 12/25/23		138
	63	Series 1993-247, Class SU, IF, 11.729%, 12/25/23		74
	195	Series 1993-250, Class Z, 7.000%, 12/25/23		206
	304	Series 1993-257, Class C, PO, 06/25/23		304
	546	Series 1994-37, Class L, 6.500%, 03/25/24		627
	2,608	Series 1994-40, Class Z, 6.500%, 03/25/24		2,939
	100	Series 1995-2, Class Z, 8.500%, 01/25/25		117
	269	Series 1995-19, Class Z, 6.500%, 11/25/23		320
	555	Series 1996-14, Class SE, IF, IO, 8.740%, 08/25/23		121
	19	Series 1996-27, Class FC, VAR, 0.750%, 03/25/17		19
	55	Series 1996-59, Class J, 6.500%, 08/25/22		61


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	562	Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		26
	42	Series 1997-27, Class J, 7.500%, 04/18/27		48
	69	Series 1997-29, Class J, 7.500%, 04/20/27		78
	455	Series 1997-39, Class PD, 7.500%, 05/20/27		531
	103	Series 1997-42, Class EN, 7.250%, 07/18/27		106
	56	Series 1997-42, Class ZC, 6.500%, 07/18/27		63
	927	Series 1997-61, Class ZC, 7.000%, 02/25/23		1,052
	171	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		29
	18	Series 1998-4, Class C, PO, 04/25/23		16
	487	Series 1998-36, Class ZB, 6.000%, 07/18/28		534
	190	Series 1998-43, Class SA, IF, IO, 19.010%, 04/25/23		89
	289	Series 1998-66, Class SB, IF, IO, 7.906%, 12/25/28		59
	182	Series 1999-17, Class C, 6.350%, 04/25/29		207
	1,082	Series 1999-18, Class Z, 5.500%, 04/18/29		1,186
	300	Series 1999-38, Class SK, IF, IO, 7.806%, 08/25/23		43
	90	Series 1999-52, Class NS, HB, IF, 22.697%, 10/25/23		145
	239	Series 1999-62, Class PB, 7.500%, 12/18/29		284
	750	Series 2000-2, Class ZE, 7.500%, 02/25/30		888
	356	Series 2000-20, Class SA, IF, IO, 8.856%, 07/25/30		98
	57	Series 2000-52, Class IO, IO, 8.500%, 01/25/31		13
	255	Series 2001-4, Class PC, 7.000%, 03/25/21		278
	70	Series 2001-5, Class OW, 6.000%, 03/25/16		72
	204	Series 2001-7, Class PF, 7.000%, 03/25/31		241
	462	Series 2001-7, Class PR, 6.000%, 03/25/16		478
	451	Series 2001-10, Class PR, 6.000%, 04/25/16		467
	541	Series 2001-30, Class PM, 7.000%, 07/25/31		639
	782	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		175
	529	Series 2001-36, Class DE, 7.000%, 08/25/31		626
	1,245	Series 2001-44, Class MY, 7.000%, 09/25/31		1,471
	243	Series 2001-44, Class PD, 7.000%, 09/25/31		287
	232	Series 2001-44, Class PU, 7.000%, 09/25/31		274
	2,174	Series 2001-48, Class Z, 6.500%, 09/25/21		2,417
	207	Series 2001-49, Class Z, 6.500%, 09/25/31		237
	159	Series 2001-52, Class KB, 6.500%, 10/25/31		182
	392	Series 2001-52, Class XN, 6.500%, 11/25/15		418
	1,885	Series 2001-61, Class Z, 7.000%, 11/25/31		2,228
	201	Series 2001-71, Class MB, 6.000%, 12/25/16		215


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	480	Series 2001-71, Class QE, 6.000%, 12/25/16		512
	114	Series 2001-72, Class SX, IF, 16.898%, 12/25/31		169
	633	Series 2001-74, Class MB, 6.000%, 12/25/16		677
	186	Series 2002-1, Class HC, 6.500%, 02/25/22		199
	208	Series 2002-1, Class SA, HB, IF, 24.395%, 02/25/32		365
	136	Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23		223
	587	Series 2002-2, Class UC, 6.000%, 02/25/17		628
	1,542	Series 2002-3, Class OG, 6.000%, 02/25/17		1,645
	332	Series 2002-7, Class OG, 6.000%, 03/25/17		354
	1,118	Series 2002-7, Class TG, 6.000%, 03/25/17		1,191
	352	Series 2002-10, Class SB, IF, 18.614%, 03/25/17		449
	457	Series 2002-11, Class QG, 5.500%, 03/25/17		486
	1,739	Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32		77
	28	Series 2002-13, Class ST, IF, 10.000%, 03/25/32		34
	1,348	Series 2002-18, Class PC, 5.500%, 04/25/17		1,393
	362	Series 2002-19, Class PE, 6.000%, 04/25/17		386
	74	Series 2002-21, Class LO, PO, 04/25/32		67
	670	Series 2002-21, Class PE, 6.500%, 04/25/32		746
	766	Series 2002-24, Class AJ, 6.000%, 04/25/17		832
	230	Series 2002-25, Class SG, IF, 18.734%, 05/25/17		296
	1,580	Series 2002-28, Class PK, 6.500%, 05/25/32		1,807
	439	Series 2002-37, Class Z, 6.500%, 06/25/32		483
	551	Series 2002-42, Class C, 6.000%, 07/25/17		593
	2,255	Series 2002-48, Class GH, 6.500%, 08/25/32		2,514
	304	Series 2002-55, Class QE, 5.500%, 09/25/17		326
	3,577	Series 2002-56, Class UC, 5.500%, 09/25/17		3,845
	1,086	Series 2002-62, Class ZE, 5.500%, 11/25/17		1,170
	349	Series 2002-63, Class KC, 5.000%, 10/25/17		372
	479	Series 2002-77, Class S, IF, 14.036%, 12/25/32		593
	786	Series 2002-81, Class JO, PO, 04/25/32		780
	1,086	Series 2002-83, Class CS, 6.881%, 08/25/23		1,250
	51	Series 2002-91, Class UH, IO, 5.500%, 06/25/22		1
	2,627	Series 2002-94, Class BK, 5.500%, 01/25/18		2,821
	1,313	Series 2003-3, Class HJ, 5.000%, 02/25/18		1,387
	2,524	Series 2003-22, Class UD, 4.000%, 04/25/33		2,745
	1,172	Series 2003-23, Class PG, 5.500%, 01/25/32		1,202
	224	Series 2003-27, Class DW, 4.500%, 04/25/17		227


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	2,302	Series 2003-33, Class IA, IO, 6.500%, 05/25/33		466
	1,563	Series 2003-34, Class AX, 6.000%, 05/25/33		1,758
	1,516	Series 2003-34, Class ED, 6.000%, 05/25/33		1,823
	100	Series 2003-35, Class UC, 3.750%, 05/25/33		106
	311	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		56
	1,319	Series 2003-39, Class LW, 5.500%, 05/25/23		1,495
	1,884	Series 2003-41, Class PE, 5.500%, 05/25/23		2,108
	664	Series 2003-42, Class GB, 4.000%, 05/25/33		711
	295	Series 2003-45, Class AI, IO, 5.500%, 05/25/33		14
	828	Series 2003-47, Class PE, 5.750%, 06/25/33		957
	474	Series 2003-52, Class SX, HB, IF, 22.218%, 10/25/31		779
	2,112	Series 2003-56, Class AZ, 5.500%, 08/25/31		2,167
	378	Series 2003-64, Class SX, IF, 13.081%, 07/25/33		472
	3	Series 2003-67, Class VQ, 7.000%, 01/25/19		3
	63	Series 2003-68, Class QP, 3.000%, 07/25/22		64
	1,372	Series 2003-71, Class DS, IF, 7.110%, 08/25/33		1,342
	1,152	Series 2003-71, Class IM, IO, 5.500%, 12/25/31		90
	2,592	Series 2003-72, Class IE, IO, 5.500%, 08/25/33		380
	1,056	Series 2003-73, Class GA, 3.500%, 05/25/31		1,071
	235	Series 2003-74, Class SH, IF, 9.731%, 08/25/33		259
	947	Series 2003-76, Class GQ, 4.500%, 08/25/18		1,007
	2,251	Series 2003-80, Class SY, IF, IO, 7.406%, 06/25/23		276
	1,350	Series 2003-81, Class LC, 4.500%, 09/25/18		1,449
	4,052	Series 2003-83, Class PG, 5.000%, 06/25/23		4,327
	597	Series 2003-91, Class SD, IF, 12.093%, 09/25/33		676
	14	Series 2003-92, Class SH, IF, 9.201%, 09/25/18		14
	2,823	Series 2003-116, Class SB, IF, IO, 7.356%, 11/25/33		540
	3,375	Series 2003-117, Class JB, 3.500%, 06/25/33		3,531
	1,507	Series 2003-122, Class TE, 5.000%, 12/25/22		1,595
	320	Series 2003-128, Class KE, 4.500%, 01/25/14		328
	856	Series 2003-128, Class NG, 4.000%, 01/25/19		915
	388	Series 2003-130, Class SX, IF, 11.154%, 01/25/34		435


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	322	Series 2003-132, Class OA, PO, 08/25/33		304
	2,538	Series 2004-4, Class QI, IF, IO, 6.856%, 06/25/33		392
	240	Series 2004-4, Class QM, IF, 13.712%, 06/25/33		295
	1,250	Series 2004-10, Class SC, HB, IF, 27.624%, 02/25/34		1,804
	368	Series 2004-14, Class SD, IF, 8.709%, 03/25/34		369
	679	Series 2004-21, Class CO, PO, 04/25/34		660
	200	Series 2004-22, Class A, 4.000%, 04/25/19		202
	1,130	Series 2004-25, Class PC, 5.500%, 01/25/34		1,278
	2,051	Series 2004-25, Class SA, IF, 18.854%, 04/25/34		2,920
	7,708	Series 2004-27, Class HB, 4.000%, 05/25/19		8,273
	753	Series 2004-36, Class PC, 5.500%, 02/25/34		853
	2,199	Series 2004-36, Class SA, IF, 18.854%, 05/25/34		3,106
	997	Series 2004-36, Class SN, IF, 13.712%, 07/25/33		1,157
	4,281	Series 2004-37, Class AG, 4.500%, 11/25/32		4,566
	1,508	Series 2004-46, Class HS, IF, IO, 5.756%, 05/25/30		45
	961	Series 2004-46, Class QB, HB, IF, 23.024%, 05/25/34		1,416
	3,321	Series 2004-46, Class SK, IF, 15.829%, 05/25/34		4,282
	644	Series 2004-51, Class SY, IF, 13.752%, 07/25/34		803
	725	Series 2004-53, Class NC, 5.500%, 07/25/24		776
	1,083	Series 2004-59, Class BG, PO, 12/25/32		1,032
	203	Series 2004-61, Class SK, IF, 8.500%, 11/25/32		232
	496	Series 2004-70, Class JA, 4.500%, 10/25/19		506
	727	Series 2004-76, Class CL, 4.000%, 10/25/19		771
	1,044	Series 2004-79, Class SP, IF, 19.129%, 11/25/34		1,443
	342	Series 2004-81, Class AC, 4.000%, 11/25/19		362
	56	Series 2004-92, Class JO, PO, 12/25/34		55
	416	Series 2005-52, Class PA, 6.500%, 06/25/35		453
	2,862	Series 2005-56, Class S, IF, IO, 6.466%, 07/25/35		460
	1,755	Series 2005-59, Class PC, 5.500%, 03/25/31		1,809
	551	Series 2005-66, Class SG, IF, 16.765%, 07/25/35		774
	1,324	Series 2005-68, Class BC, 5.250%, 06/25/35		1,464
	2,655	Series 2005-68, Class PG, 5.500%, 08/25/35		3,019


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,927	Series 2005-68, Class UC, 5.000%, 06/25/35		2,120
	1,174	Series 2005-74, Class CS, IF, 19.349%, 05/25/35		1,667
	11,261	Series 2005-84, Class XM, 5.750%, 10/25/35		12,752
	4,899	Series 2005-97, Class HC, 5.000%, 02/25/32		5,140
	3,425	Series 2005-109, Class PC, 6.000%, 12/25/35		4,003
	7,582	Series 2005-110, Class GJ, 5.500%, 11/25/30		7,827
	14,556	Series 2005-110, Class GK, 5.500%, 08/25/34		16,116
	4,326	Series 2005-110, Class GL, 5.500%, 12/25/35		5,099
	2,997	Series 2005-110, Class MN, 5.500%, 06/25/35		3,429
	1,597	Series 2005-116, Class PB, 6.000%, 04/25/34		1,717
	4,496	Series 2005-118, Class PN, 6.000%, 01/25/32		4,673
	622	Series 2006-15, Class OT, PO, 01/25/36		601
	932	Series 2006-16, Class OA, PO, 03/25/36		890
	1,061	Series 2006-22, Class AO, PO, 04/25/36		998
	416	Series 2006-23, Class KO, PO, 04/25/36		398
	3,149	Series 2006-39, Class WC, 5.500%, 01/25/36		3,571
	312	Series 2006-42, Class CF, VAR, 0.694%, 06/25/36		312
	2,631	Series 2006-44, Class GO, PO, 06/25/36		2,471
	6,988	Series 2006-44, Class P, PO, 12/25/33		6,662
	2,000	Series 2006-46, Class UC, 5.500%, 12/25/35		2,265
	4,462	Series 2006-53, Class US, IF, IO, 6.336%, 06/25/36		597
	3,049	Series 2006-56, Class FC, VAR, 0.534%, 07/25/36		3,039
	1,000	Series 2006-56, Class OA, PO, 10/25/24		988
	3,162	Series 2006-56, Class PF, VAR, 0.594%, 07/25/36		3,159
	1,644	Series 2006-56, Class PO, PO, 07/25/36		1,551
	2,785	Series 2006-58, Class AP, PO, 07/25/36		2,559
	291	Series 2006-58, Class FL, VAR, 0.704%, 07/25/36		291
	1,169	Series 2006-58, Class PO, PO, 07/25/36		1,101
	2,454	Series 2006-59, Class QO, PO, 01/25/33		2,382
	2,888	Series 2006-60, Class DZ, 6.500%, 07/25/36		3,647
	1,822	Series 2006-65, Class QO, PO, 07/25/36		1,711
	1,461	Series 2006-71, Class IC, IO, 6.000%, 04/25/17		38
	508	Series 2006-72, Class TO, PO, 08/25/36		482
	5,763	Series 2006-77, Class PC, 6.500%, 08/25/36		6,553
	1,482	Series 2006-79, Class DO, PO, 08/25/36		1,405
	904	Series 2006-90, Class AO, PO, 09/25/36		880


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	418	Series 2006-109, Class PO, PO, 11/25/36		397
	4,477	Series 2006-110, Class PO, PO, 11/25/36		4,248
	364	Series 2006-111, Class EO, PO, 11/25/36		345
	1,317	Series 2006-118, Class A2, VAR, 0.304%, 12/25/36		1,253
	697	Series 2006-119, Class PO, PO, 12/25/36		668
	10,000	Series 2006-124, Class HB, VAR, 5.951%, 11/25/36		10,978
	1,000	Series 2006-128, Class BP, 5.500%, 01/25/37		1,193
	1,863	Series 2006-130, Class GI, IO, 6.500%, 07/25/32		279
	4,761	Series 2007-7, Class SG, IF, IO, 6.256%, 08/25/36		726
	7,263	Series 2007-14, Class ES, IF, IO, 6.196%, 03/25/37		1,042
	483	Series 2007-15, Class NO, PO, 03/25/22		461
	3,064	Series 2007-16, Class FC, VAR, 0.994%, 03/25/37		3,056
	727	Series 2007-42, Class AO, PO, 05/25/37		694
	1,500	Series 2007-46, Class VK, 5.500%, 03/25/22		1,668
	817	Series 2007-48, Class PO, PO, 05/25/37		772
	3,041	Series 2007-54, Class FA, VAR, 0.644%, 06/25/37		3,040
	11,292	Series 2007-60, Class AX, IF, IO, 6.906%, 07/25/37		2,008
	749	Series 2007-77, Class FG, VAR, 0.744%, 03/25/37		751
	148	Series 2007-79, Class PB, 5.000%, 04/25/29		148
	2,100	Series 2007-79, Class PC, 5.000%, 01/25/32		2,148
	1,000	Series 2007-81, Class GE, 6.000%, 08/25/37		1,169
	1,134	Series 2007-84, Class PD, 6.000%, 08/25/32		1,149
	5,000	Series 2007-84, Class PG, 6.000%, 12/25/36		5,620
	6,052	Series 2007-88, Class VI, IF, IO, 6.296%, 09/25/37		1,036
	4,144	Series 2007-91, Class ES, IF, IO, 6.216%, 10/25/37		652
	3,015	Series 2007-97, Class KI, IO, 7.000%, 05/25/33		557
	10	Series 2007-97, Class MS, IF, 14.219%, 12/25/31		11
	5,807	Series 2007-101, Class A2, VAR, 0.494%, 06/27/36		5,796
	1,291	Series 2007-106, Class A7, VAR, 5.955%, 10/25/37		1,438
	3,000	Series 2007-114, Class A6, VAR, 0.444%, 10/27/37		2,982
	3,199	Series 2007-116, Class HI, IO, VAR, 6.078%, 01/25/38		223


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	207	Series 2007-118, Class IO, IO, 6.000%, 06/25/36		25
	4,012	Series 2008-1, Class BI, IF, IO, 5.666%, 02/25/38		550
	2,513	Series 2008-10, Class XI, IF, IO, 5.986%, 03/25/38		366
	2,175	Series 2008-16, Class IS, IF, IO, 5.956%, 03/25/38		301
	1,929	Series 2008-19, Class IC, IO, 5.000%, 03/25/23		166
	1,000	Series 2008-24, Class DY, 5.000%, 04/25/23		1,112
	1,560	Series 2008-27, Class SN, IF, IO, 6.656%, 04/25/38		263
	1,088	Series 2008-39, Class CI, IO, 4.500%, 05/25/18		76
	975	Series 2008-42, Class AO, PO, 09/25/36		940
	205	Series 2008-44, Class PO, PO, 05/25/38		195
	2,017	Series 2008-47, Class SI, IF, IO, 6.256%, 06/25/23		252
	2,269	Series 2008-53, Class CI, IF, IO, 6.956%, 07/25/38		352
	362	Series 2008-59, Class IG, IO, 5.500%, 11/25/34		11
	1,076	Series 2008-76, Class GF, VAR, 0.894%, 09/25/23		1,087
	4,914	Series 2008-80, Class SA, IF, IO, 5.606%, 09/25/38		674
	3,017	Series 2008-81, Class SB, IF, IO, 5.606%, 09/25/38		430
	4,117	Series 2009-6, Class GS, IF, IO, 6.306%, 02/25/39		655
	1,905	Series 2009-9, Class IO, IO, 5.000%, 02/25/24		193
	1,699	Series 2009-18, Class IO, IO, 5.000%, 03/25/24		162
	2,500	Series 2009-19, Class IP, IO, 5.500%, 10/25/36		762
	2,813	Series 2009-60, Class HT, 6.000%, 08/25/39		3,150
	2,304	Series 2009-62, Class HJ, 6.000%, 05/25/39		2,535
	2,797	Series 2009-70, Class CO, PO, 01/25/37		2,657
	3,517	Series 2009-86, Class UI, IO, 4.000%, 10/25/14		203
	2,628	Series 2009-99, Class SC, IF, IO, 5.936%, 12/25/39		396
	1,667	Series 2009-103, Class MB, VAR, 4.000%, 12/25/39		1,776
	2,000	Series 2010-45, Class BD, 4.500%, 11/25/38		2,172
	2,447	Series 2010-49, Class SC, IF, 12.172%, 03/25/40		2,986


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	1,714		Series 2010-64, Class DM, 5.000%, 06/25/40		1,868
	2,035		Series 2010-71, Class HJ, 5.500%, 07/25/40		2,256
	3,900		Series 2010-133, Class A, 5.500%, 05/25/38		4,154
	3,647		Series 2010-148, Class MA, 4.000%, 02/25/39		3,869
	4,054		Series 2011-2, Class WA, VAR, 5.739%, 02/25/51		4,398
	2,679		Series 2011-22, Class MA, 6.500%, 04/25/38		3,089
	8,992		Series 2011-30, Class LS, IO, VAR, 4.627%, 04/25/41		658
	1,624		Series 2011-75, Class FA, VAR, 0.794%, 08/25/41		1,626
	2,796		Series 2011-118, Class MT, 7.000%, 11/25/41		3,380
	4,544		Series 2011-130, Class CA, 6.000%, 12/25/41		5,075
	1		Series G-17, Class S, HB, VAR, 1,055.166%, 06/25/21		15
	46		Series G-28, Class S, IF, 14.850%, 09/25/21		59
	42		Series G-35, Class M, 8.750%, 10/25/21		48
	15		Series G-51, Class SA, HB, IF, 26.040%, 12/25/21		25
	—	(h)	Series G92-27, Class SQ, HB, IF, 1,737.650%, 05/25/22		3
	207		Series G92-35, Class E, 7.500%, 07/25/22		231
	—	(h)	Series G92-35, Class G, HB, 1,184.775%, 07/25/22		5
	26		Series G92-42, Class Z, 7.000%, 07/25/22		29
	822		Series G92-44, Class ZQ, 8.000%, 07/25/22		932
	32		Series G92-52, Class FD, VAR, 0.271%, 09/25/22		32
	272		Series G92-54, Class ZQ, 7.500%, 09/25/22		307
	33		Series G92-59, Class F, VAR, 1.921%, 10/25/22		34
	64		Series G92-61, Class Z, 7.000%, 10/25/22		76
	48		Series G92-62, Class B, PO, 10/25/22		44
	223		Series G93-1, Class KA, 7.900%, 01/25/23		256
	50		Series G93-5, Class Z, 6.500%, 02/25/23		57
	64		Series G93-14, Class J, 6.500%, 03/25/23		71
	155		Series G93-17, Class SI, IF, 6.000%, 04/25/23		179
	143		Series G93-27, Class FD, VAR, 1.130%, 08/25/23		145
	36		Series G93-37, Class H, PO, 09/25/23		34
	59		Series G95-1, Class C, 8.800%, 01/25/25		69
			Federal National Mortgage Association STRIPS,
	4		Series 23, Class 2, IO, 10.000%, 09/01/17		1
	1		Series 50, Class 2, IO, 10.500%, 03/01/19		—	(h)
	22		Series 218, Class 2, IO, 7.500%, 04/01/23		4


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	20	Series 265, Class 2, 9.000%, 03/01/24		23
	388	Series 329, Class 1, PO, 01/01/33		369
	1,181	Series 339, Class 18, IO, 4.500%, 07/01/18		86
	1,696	Series 339, Class 21, IO, 4.500%, 07/01/18		131
	780	Series 339, Class 28, IO, 5.500%, 07/01/18		74
	629	Series 345, Class 6, IO, VAR, 5.000%, 12/01/33		78
	1,627	Series 351, Class 7, IO, VAR, 5.000%, 04/01/34		216
	1,093	Series 355, Class 11, IO, 6.000%, 07/01/34		179
	632	Series 355, Class 31, IO, VAR, 4.500%, 12/01/18		58
	2,884	Series 365, Class 8, IO, 5.500%, 05/01/36		396
	367	Series 368, Class 3, IO, 4.500%, 11/01/20		31
	1,527	Series 374, Class 5, IO, 5.500%, 08/01/36		207
	939	Series 383, Class 32, IO, 6.000%, 01/01/38		141
	2,460	Series 383, Class 33, IO, 6.000%, 01/01/38		370
	437	Series 393, Class 6, IO, 5.500%, 04/25/37		41
		Federal National Mortgage Association Whole Loan,
	1,236	Series 2003-W1, Class 1A1, VAR, 6.273%, 12/25/42		1,412
	464	Series 2003-W1, Class 2A, VAR, 7.084%, 12/25/42		542
	214	Series 2003-W4, Class 2A, VAR, 6.500%, 10/25/42		240
	342	Series 2004-W1, Class 2A2, 7.000%, 12/25/33		399
	1,682	Series 2004-W15, Class 2AF, VAR, 0.494%, 08/25/44		1,672
	1,200	Series 2004-W2, Class 2A2, 7.000%, 02/25/44		1,372
	4,294	Series 2005-W3, Class 2AF, VAR, 0.464%, 03/25/45		4,274
	1,506	Series 2006-W2, Class 1AF1, VAR, 0.464%, 02/25/36		1,498
	185	Series 2007-W7, Class 1A4, HB, IF, 37.716%, 07/25/37		358
	3,723	Series 2009-W1, Class A, 6.000%, 12/25/49		4,206
		Government National Mortgage Association,
	807	Series 1994-3, Class PQ, 7.488%, 07/16/24		975
	451	Series 1994-4, Class KQ, 7.988%, 07/16/24		521
	2,383	Series 1994-7, Class PQ, 6.500%, 10/16/24		2,796
	395	Series 1996-16, Class E, 7.500%, 08/16/26		454
	614	Series 1997-8, Class PN, 7.500%, 05/16/27		701
	143	Series 1997-11, Class D, 7.500%, 07/20/27		165
	296	Series 1998-26, Class K, 7.500%, 09/17/25		340


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,620	Series 1999-4, Class ZB, 6.000%, 02/20/29		1,832
	1,524	Series 1999-10, Class ZC, 6.500%, 04/20/29		1,784
	231	Series 1999-30, Class S, IF, IO, 8.353%, 08/16/29		52
	20	Series 1999-33, Class SM, IF, 9.200%, 09/16/29		26
	300	Series 1999-40, Class ZW, 7.500%, 11/20/29		328
	437	Series 1999-41, Class Z, 8.000%, 11/16/29		510
	149	Series 1999-44, Class PC, 7.500%, 12/20/29		172
	2,983	Series 1999-44, Class ZC, 8.500%, 12/16/29		3,759
	493	Series 1999-44, Class ZG, 8.000%, 12/20/29		574
	367	Series 2000-6, Class Z, 7.500%, 02/20/30		427
	191	Series 2000-9, Class Z, 8.000%, 06/20/30		223
	1,931	Series 2000-9, Class ZJ, 8.500%, 02/16/30		2,339
	341	Series 2000-12, Class ST, HB, IF, 38.161%, 02/16/30		730
	404	Series 2000-14, Class PD, 7.000%, 02/16/30		476
	113	Series 2000-16, Class ZN, 7.500%, 02/16/30		119
	2,720	Series 2000-21, Class Z, 9.000%, 03/16/30		3,469
	493	Series 2000-26, Class TZ, 8.500%, 09/20/30		577
	120	Series 2000-26, Class Z, 7.750%, 09/20/30		140
	23	Series 2000-30, Class ST, IF, 11.050%, 12/16/22		27
	374	Series 2000-31, Class Z, 9.000%, 10/20/30		441
	220	Series 2000-35, Class ZA, 9.000%, 11/20/30		243
	34	Series 2000-36, Class IK, IO, 9.000%, 11/16/30		15
	156	Series 2000-37, Class B, 8.000%, 12/20/30		183
	203	Series 2001-4, Class SJ, IF, IO, 7.904%, 01/19/30		56
	164	Series 2001-6, Class SD, IF, IO, 8.303%, 03/16/31		49
	351	Series 2001-7, Class PK, 6.500%, 03/20/31		380
	1,001	Series 2001-8, Class Z, 6.500%, 03/20/31		1,173
	18	Series 2001-32, Class WA, IF, 19.511%, 07/20/31		30
	293	Series 2001-35, Class SA, IF, IO, 8.003%, 08/16/31		82
	225	Series 2001-36, Class S, IF, IO, 7.802%, 08/16/31		56
	1,228	Series 2001-64, Class MQ, 6.500%, 12/20/31		1,305
	290	Series 2002-3, Class SP, IF, IO, 7.143%, 01/16/32		67
	413	Series 2002-7, Class PG, 6.500%, 01/20/32		486
	1,201	Series 2002-24, Class AG, IF, IO, 7.702%, 04/16/32		268


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	107	Series 2002-24, Class SB, IF, 11.554%, 04/16/32		129
	2,776	Series 2002-31, Class SE, IF, IO, 7.252%, 04/16/30		540
	827	Series 2002-40, Class UK, 6.500%, 06/20/32		972
	44	Series 2002-41, Class SV, IF, 9.000%, 06/16/32		55
	3,158	Series 2002-45, Class QE, 6.500%, 06/20/32		3,618
	1,095	Series 2002-47, Class PG, 6.500%, 07/16/32		1,288
	2,028	Series 2002-47, Class ZA, 6.500%, 07/20/32		2,328
	58	Series 2002-51, Class SG, HB, IF, 31.436%, 04/20/31		105
	1,732	Series 2002-52, Class GH, 6.500%, 07/20/32		1,994
	494	Series 2002-54, Class GB, 6.500%, 08/20/32		569
	1,299	Series 2002-70, Class PS, IF, IO, 7.454%, 08/20/32		151
	949	Series 2002-75, Class PB, 6.000%, 11/20/32		1,165
	333	Series 2003-4, Class NI, IO, 5.500%, 01/20/32		11
	313	Series 2003-4, Class NY, 5.500%, 12/20/13		326
	1,396	Series 2003-11, Class SK, IF, IO, 7.453%, 02/16/33		295
	575	Series 2003-12, Class SP, IF, IO, 7.454%, 02/20/33		124
	132	Series 2003-24, Class PO, PO, 03/16/33		119
	864	Series 2003-40, Class TC, 7.500%, 03/20/33		896
	1,319	Series 2003-40, Class TJ, 6.500%, 03/20/33		1,618
	753	Series 2003-46, Class MG, 6.500%, 05/20/33		927
	1,394	Series 2003-46, Class TC, 6.500%, 03/20/33		1,637
	519	Series 2003-52, Class AP, PO, 06/16/33		477
	2,150	Series 2003-58, Class BE, 6.500%, 01/20/33		2,563
	785	Series 2003-76, Class LS, IF, IO, 6.955%, 09/20/31		48
	155	Series 2003-90, Class PO, PO, 10/20/33		138
	1,944	Series 2003-112, Class SA, IF, IO, 6.302%, 12/16/33		369
	3,000	Series 2003-112, Class TS, IF, IO, 6.704%, 10/20/32		365
	5,968	Series 2004-11, Class SW, IF, IO, 5.254%, 02/20/34		774
	581	Series 2004-15, Class SA, IF, 18.987%, 12/20/32		715
	628	Series 2004-28, Class S, IF, 18.982%, 04/16/34		920
	458	Series 2004-68, Class PO, PO, 05/20/31		451
	267	Series 2004-73, Class AE, IF, 14.348%, 08/17/34		342


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	3,264	Series 2004-90, Class SI, IF, IO, 5.855%, 10/20/34		497
	2,506	Series 2005-3, Class SB, IF, IO, 5.855%, 01/20/35		383
	6,172	Series 2005-17, Class SL, IF, IO, 6.455%, 07/20/34		1,080
	523	Series 2005-35, Class FL, VAR, 0.596%, 03/20/32		521
	307	Series 2005-39, Class KI, IO, 5.500%, 03/20/34		28
	3,196	Series 2005-58, Class NI, IO, 5.500%, 08/20/35		920
	599	Series 2005-68, Class DP, IF, 15.841%, 06/17/35		778
	9,215	Series 2005-68, Class KI, IF, IO, 6.055%, 09/20/35		1,481
	1,286	Series 2005-69, Class SY, IF, IO, 6.505%, 11/20/33		205
	1,189	Series 2005-91, Class PI, IO, 6.000%, 12/20/35		211
	630	Series 2006-16, Class OP, PO, 03/20/36		577
	500	Series 2006-28, Class GO, PO, 03/20/35		491
	2,120	Series 2006-38, Class SW, IF, IO, 6.254%, 06/20/36		274
	1,893	Series 2006-59, Class SD, IF, IO, 6.455%, 10/20/36		312
	3,837	Series 2006-65, Class SA, IF, IO, 6.554%, 11/20/36		611
	2,088	Series 2007-9, Class DI, IF, IO, 6.265%, 03/20/37		317
	4,666	Series 2007-17, Class JI, IF, IO, 6.563%, 04/16/37		743
	500	Series 2007-17, Class JO, PO, 04/16/37		457
	3,320	Series 2007-19, Class SD, IF, IO, 5.955%, 04/20/37		471
	3,394	Series 2007-26, Class SC, IF, IO, 5.955%, 05/20/37		492
	1,956	Series 2007-27, Class SA, IF, IO, 5.955%, 05/20/37		297
	830	Series 2007-28, Class BO, PO, 05/20/37		760
	195	Series 2007-35, Class TO, PO, 04/20/35		193
	1,936	Series 2007-36, Class SE, IF, IO, 6.222%, 06/16/37		314
	5,343	Series 2007-40, Class SB, IF, IO, 6.505%, 07/20/37		881
	3,223	Series 2007-42, Class SB, IF, IO, 6.505%, 07/20/37		543
	2,500	Series 2007-47, Class PH, 6.000%, 07/16/37		3,090


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	928	Series 2007-49, Class NO, PO, 12/20/35		914
	2,828	Series 2007-50, Class AI, IF, IO, 6.530%, 08/20/37		456
	405	Series 2007-53, Class SW, IF, 19.469%, 09/20/37		562
	1,519	Series 2007-57, Class PO, PO, 03/20/37		1,409
	2,000	Series 2007-57, Class QA, IF, IO, 6.254%, 10/20/37		305
	2,727	Series 2007-71, Class SB, IF, IO, 6.455%, 07/20/36		320
	1,933	Series 2007-72, Class US, IF, IO, 6.305%, 11/20/37		298
	1,967	Series 2007-73, Class MI, IF, IO, 5.754%, 11/20/37		280
	3,865	Series 2007-76, Class SA, IF, IO, 6.284%, 11/20/37		583
	1,940	Series 2007-79, Class SY, IF, IO, 6.305%, 12/20/37		302
	1,201	Series 2007-81, Class SP, IF, IO, 6.405%, 12/20/37		191
	2,158	Series 2007-82, Class SA, IF, IO, 6.284%, 12/20/37		328
	854	Series 2008-2, Class MS, IF, IO, 6.913%, 01/16/38		121
	3,415	Series 2008-2, Class NS, IF, IO, 6.293%, 01/16/38		492
	2,041	Series 2008-10, Class S, IF, IO, 5.585%, 02/20/38		277
	765	Series 2008-23, Class IO, IO, 6.000%, 02/20/37		75
	1,463	Series 2008-25, Class SB, IF, IO, 6.654%, 03/20/38		255
	1,452	Series 2008-32, Class PI, IO, 5.500%, 10/16/37		207
	2,753	Series 2008-36, Class SH, IF, IO, 6.055%, 04/20/38		405
	10,417	Series 2008-40, Class SA, IF, IO, 6.153%, 05/16/38		2,224
	2,980	Series 2008-41, Class SA, IF, IO, 6.095%, 05/20/38		437
	1,955	Series 2008-55, Class SA, IF, IO, 5.955%, 06/20/38		292
	760	Series 2008-60, Class PO, PO, 01/20/38		724
	2,000	Series 2008-65, Class ME, 5.750%, 09/20/37		2,217
	1,182	Series 2008-71, Class SC, IF, IO, 5.754%, 08/20/38		160
	1,894	Series 2008-93, Class AS, IF, IO, 5.455%, 12/20/38		234


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	3,256	Series 2009-6, Class SA, IF, IO, 5.852%, 02/16/39		403
	2,165	Series 2009-10, Class SL, IF, IO, 6.253%, 03/16/34		245
	3,000	Series 2009-12, Class IE, IO, 5.500%, 03/20/39		917
	2,094	Series 2009-14, Class KI, IO, 6.500%, 03/20/39		381
	1,867	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		331
	5,272	Series 2009-22, Class SA, IF, IO, 6.024%, 04/20/39		738
	1,626	Series 2009-25, Class SE, IF, IO, 7.355%, 09/20/38		258
	1,796	Series 2009-33, Class CI, IO, 5.500%, 05/20/39		287
	1,397	Series 2009-33, Class TI, IO, 6.000%, 05/20/39		255
	1,581	Series 2009-38, Class IO, IO, 5.000%, 09/16/31		121
	2,663	Series 2009-43, Class SA, IF, IO, 5.704%, 06/20/39		355
	2,089	Series 2009-65, Class IQ, IO, 6.000%, 12/20/38		342
	4,899	Series 2009-72, Class SM, IF, IO, 6.002%, 08/16/39		688
	938	Series 2009-79, Class OK, PO, 11/16/37		868
	700	Series 2010-14, Class CO, PO, 08/20/35		610
	1,142	Series 2010-130, Class CP, 7.000%, 10/16/40		1,331
	4,904	Series 2010-157, Class OP, PO, 12/20/40		4,317
	1,768	Series 2011-22, Class WA, VAR, 5.947%, 02/20/37		2,016
	7,213	Series 2011-75, Class SM, IF, IO, 6.355%, 05/20/41		1,111
	10,828	NCUA Guaranteed Notes, Series 2010-C1, Class APT, 2.650%, 10/29/20		11,302
		Vendee Mortgage Trust,
	633	Series 1994-1, Class 1, VAR, 5.628%, 02/15/24		713
	1,146	Series 1994-1, Class 2ZB, 6.500%, 02/15/24		1,283
	963	Series 1996-1, Class 1Z, 6.750%, 02/15/26		1,108
	703	Series 1996-2, Class 1Z, 6.750%, 06/15/26		825
	1,355	Series 1997-1, Class 2Z, 7.500%, 02/15/27		1,594
	1,654	Series 1998-1, Class 2E, 7.000%, 03/15/28		1,938
	3,176	Series 1999-1, Class 2Z, 6.500%, 01/15/29		3,739

				802,320


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — 12.2%
	789	AAM ACE Resecuritization Trust, Series 2011-1, Class A20, VAR, 0.478%, 02/02/37 (e)		746
	1,170	ABN AMRO Mortgage Corp., Series 2003-8, Class A3, 4.500%, 06/25/33		1,183
		American General Mortgage Loan Trust,
	4,200	Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e)		4,256
	2,775	Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e)		2,831
	4,500	Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		4,642
	1,226	Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e)		1,266
	718	Series 2010-1A, Class A2, VAR, 5.650%, 03/25/58 (e)		757
	1,140	Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e)		1,185
	473	Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e)		478
	7,278	American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.378%, 09/25/35		3,092
		ASG Resecuritization Trust,
	1,397	Series 2009-1, Class A60, VAR, 4.938%, 06/26/37 (e)		1,390
	2,259	Series 2009-2, Class A55, VAR, 5.196%, 05/24/36 (e)		2,238
	1,000	Series 2009-2, Class G60, VAR, 5.196%, 05/24/36 (e)		972
	5,680	Series 2009-3, Class A65, VAR, 4.839%, 03/26/37 (e)		5,590
	6,202	Series 2009-4, Class A60, 6.000%, 06/28/37 (e)		6,388
	1,547	Series 2010-2, Class A60, VAR, 2.218%, 01/28/37 (e)		1,517
	1,322	Series 2010-3, Class 2A22, VAR, 0.472%, 10/28/36 (e)		1,282
	983	Series 2011-1, Class 3A50, VAR, 2.485%, 11/28/35 (e) (f) (i)		953
		Banc of America Alternative Loan Trust,
	274	Series 2003-2, Class PO, PO, 04/25/33		216
	723	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		741
	453	Series 2003-11, Class PO, PO, 01/25/34		315
	296	Series 2004-6, Class 15PO, PO, 07/25/19		265
	2,010	Series 2005-5, Class 1CB1, 5.500%, 06/25/35		1,768
	6,136	Series 2005-6, Class CBIO, IO, 5.500%, 07/25/35		1,009
	1,901	Series 2006-4, Class 1A4, 6.000%, 05/25/46		1,210


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		Banc of America Funding Corp.,
	647	Series 2004-1, Class PO, PO, 03/25/34		526
	1,247	Series 2004-2, Class 30PO, PO, 09/20/34		934
	107	Series 2004-3, Class 1A7, 5.500%, 10/25/34		107
	606	Series 2004-C, Class 1A1, VAR, 5.040%, 12/20/34		589
	1,501	Series 2005-6, Class 2A7, 5.500%, 10/25/35		1,512
	1,052	Series 2005-7, Class 30PO, PO, 11/25/35		805
	724	Series 2005-8, Class 30PO, PO, 01/25/36		577
	2,162	Series 2005-E, Class 4A1, VAR, 2.661%, 03/20/35		2,001
	858	Series 2006-A, Class 3A2, VAR, 2.857%, 02/20/36		448
	1,974	Series 2010-R5, Class 1A1, 5.500%, 10/26/37 (e)		2,046
		Banc of America Mortgage Securities, Inc.,
	276	Series 2003-3, Class 2A1, VAR, 0.794%, 05/25/18		263
	387	Series 2003-6, Class 2A1, VAR, 0.694%, 08/25/18		370
	124	Series 2003-7, Class A2, 4.750%, 09/25/18		128
	325	Series 2003-8, Class APO, PO, 11/25/33		254
	3,205	Series 2004-3, Class 15IO, IO, VAR, 0.246%, 04/25/19		14
	158	Series 2004-4, Class APO, PO, 05/25/34		119
	3,667	Series 2004-5, Class 2A2, 5.500%, 06/25/34		3,786
	768	Series 2004-6, Class 2A5, PO, 07/25/34		566
	652	Series 2004-6, Class APO, PO, 07/25/34		476
	56	Series 2004-8, Class 5PO, PO, 05/25/32		44
	79	Series 2004-8, Class XPO, PO, 10/25/34		59
	415	Series 2004-A, Class 2A2, VAR, 2.927%, 02/25/34		369
	1,478	Series 2004-J, Class 3A1, VAR, 2.912%, 11/25/34		1,301
	1,957	Series 2005-10, Class 1A6, 5.500%, 11/25/35		1,907
	414	Series 2005-A, Class 2A1, VAR, 3.001%, 02/25/35		359
		BCAP LLC Trust,
	298	Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e)		297
	1,003	Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e)		983
	1,187	Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)		1,209
	1,237	Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e)		1,260


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	935	Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e) (f) (i)		940
	356	Series 2010-RR4, Class 2A1, VAR, 0.994%, 06/26/37 (e)		331
	1,364	Series 2010-RR6, Class 22A3, VAR, 5.041%, 06/26/36 (e)		1,358
	594	Series 2010-RR6, Class 5A1, VAR, 5.141%, 11/26/37 (e)		593
	918	Series 2010-RR7, Class 15A1, VAR, 1.044%, 01/26/36 (e)		851
	1,319	Series 2010-RR7, Class 16A1, VAR, 0.882%, 02/26/47 (e)		1,223
	1,058	Series 2010-RR7, Class 1A5, VAR, 5.008%, 04/26/35 (e)		1,037
	3,147	Series 2010-RR7, Class 2A1, VAR, 4.624%, 07/26/45 (e)		2,968
	904	Series 2010-RR8, Class 3A3, VAR, 5.078%, 05/26/35 (e)		899
	1,500	Series 2010-RR8, Class 3A4, VAR, 5.078%, 05/26/35 (e)		1,344
	2,317	Series 2011-R11, Class 25A5, VAR, 4.000%, 08/26/21 (e)		2,321
	3,130	Series 2011-RR10, Class 2A1, VAR, 0.525%, 09/26/37 (e)		2,684
	2,376	Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i)		2,257
	3,764	Series 2011-RR5, Class 11A3, VAR, 0.394%, 05/28/36 (e)		3,323
	2,857	Series 2011-RR5, Class 14A3, VAR, 1.414%, 07/26/36 (e) (f) (i)		2,707
	3,524	Series 2012-RR2, Class 1A1, VAR, 08/26/36 (f) (i)		3,262
		Bear Stearns Adjustable Rate Mortgage Trust,
	287	Series 2003-7, Class 3A, VAR, 2.625%, 10/25/33		281
	1,059	Series 2004-1, Class 12A1, VAR, 2.882%, 04/25/34		892
	489	Series 2004-2, Class 14A, VAR, 5.037%, 05/25/34		488
	2,803	Series 2005-5, Class A1, VAR, 2.220%, 08/25/35		2,680
	5,602	Series 2006-1, Class A1, VAR, 2.520%, 02/25/36		4,903
		Citicorp Mortgage Securities, Inc.,
	89	Series 1993-14, Class A3, VAR, 1.444%, 11/25/23		84
	1,483	Series 2004-1, Class 3A1, 4.750%, 01/25/34		1,508
	1,016	Series 2004-5, Class 2A5, 4.500%, 08/25/34		1,051


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	372	Series 2005-5, Class APO, PO, 08/25/35		298
	441	Series 2005-8, Class APO, PO, 11/25/35		341
		Citigroup Mortgage Loan Trust, Inc.,
	742	Series 2003-1, Class 2A5, 5.250%, 10/25/33		755
	446	Series 2003-1, Class 2A6, PO, 10/25/33		395
	306	Series 2003-1, Class PO2, PO, 10/25/33		237
	230	Series 2003-1, Class PO3, PO, 09/25/33		167
	128	Series 2003-UP3, Class A3, 7.000%, 09/25/33		131
	881	Series 2003-UST1, Class A1, 5.500%, 12/25/18		923
	216	Series 2003-UST1, Class PO1, PO, 12/25/18		180
	119	Series 2003-UST1, Class PO3, PO, 12/25/18		100
	353	Series 2004-UST1, Class A6, VAR, 5.079%, 08/25/34		360
	520	Series 2005-1, Class 2A1A, VAR, 2.731%, 04/25/35		335
	817	Series 2005-2, Class 2A11, 5.500%, 05/25/35		811
	633	Series 2005-5, Class 1A2, VAR, 3.537%, 08/25/35		355
	2,024	Series 2008-AR4, Class 1A1A, VAR, 3.075%, 11/25/38 (e)		2,012
	997	Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e)		1,043
	12,159	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		12,426
	12,927	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		13,327
	1,229	Series 2011-3, Class 1A1, VAR, 0.324%, 02/25/47 (e)		1,205
	888	Series 2011-10, Class 4A1, VAR, 0.484%, 02/25/46 (e) (f) (i)		794
		Countrywide Alternative Loan Trust,
	546	Series 2002-8, Class A4, 6.500%, 07/25/32		572
	11,844	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		11,331
	2,318	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		2,371
	3,823	Series 2005-1CB, Class 1A6, IF, IO, 6.856%, 03/25/35		504
	569	Series 2005-5R, Class A1, 5.250%, 12/25/18		577
	6,853	Series 2005-20CB, Class 3A8, IF, IO, 4.506%, 07/25/35		820
	13,265	Series 2005-22T1, Class A2, IF, IO, 4.826%, 06/25/35		1,624
	143	Series 2005-26CB, Class A10, IF, 12.608%, 07/25/35		144


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	6,480	Series 2005-28CB, Class 1A4, 5.500%, 08/25/35		5,407
	274	Series 2005-28CB, Class 3A5, 6.000%, 08/25/35		230
	9,685	Series 2005-37T1, Class A2, IF, IO, 4.806%, 09/25/35		1,404
	5,929	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		4,696
	15,687	Series 2005-54CB, Class 1A2, IF, IO, 4.606%, 11/25/35		2,377
	3,831	Series 2005-57CB, Class 3A2, IF, IO, 4.856%, 12/25/35		425
	2,424	Series 2005-64CB, Class 1A9, 5.500%, 12/25/35		1,703
	10,905	Series 2005-J1, Class 1A4, IF, IO, 4.856%, 02/25/35		1,259
	3,556	Series 2006-26CB, Class A9, 6.500%, 09/25/36		2,229
		Countrywide Home Loan Mortgage Pass-Through Trust,
	1,805	Series 2003-26, Class 1A6, 3.500%, 08/25/33		1,796
	727	Series 2003-44, Class A9, PO, 10/25/33		627
	761	Series 2003-J7, Class 4A3, IF, 9.458%, 08/25/18		765
	751	Series 2004-7, Class 2A1, VAR, 2.288%, 06/25/34		679
	915	Series 2004-8, Class 2A1, 4.500%, 06/25/19		936
	293	Series 2004-HYB1, Class 2A, VAR, 2.945%, 05/20/34		255
	1,149	Series 2004-HYB3, Class 2A, VAR, 2.559%, 06/20/34		930
	942	Series 2004-HYB6, Class A3, VAR, 2.715%, 11/20/34		751
	699	Series 2004-J8, Class 1A2, 4.750%, 11/25/19		717
	3,853	Series 2005-16, Class A23, 5.500%, 09/25/35		3,842
	4,799	Series 2005-22, Class 2A1, VAR, 2.713%, 11/25/35		3,345
		Credit Suisse Mortgage Capital Certificates,
	427	Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e)		426
	627	Series 2010-16, Class A3, VAR, 3.965%, 06/25/50 (e)		560
	927	Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e)		929
	1,340	Series 2010-11R, Class A1, VAR, 1.271%, 06/28/47 (e)		1,286


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	815	Series 2010-12R, Class 14A1, VAR, 2.689%, 09/26/46 (e)		802
	362	Series 2010-15R, Class 7A1, VAR, 4.748%, 10/26/37 (e)		361
	250	Series 2010-15R, Class 7A2, VAR, 4.748%, 10/26/37 (e)		225
	4,427	Series 2011-1R, Class A1, VAR, 1.244%, 02/27/47 (e)		4,355
	4,588	Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)		4,596
	1,672	Series 2011-6R, Class 3A1, VAR, 2.849%, 07/28/36 (e)		1,536
	6,621	Series 2011-7R, Class A1, VAR, 1.494%, 08/28/47 (e)		6,497
	2,934	Series 2011-9R, Class A1, VAR, 2.244%, 03/27/46 (e)		2,894
		CS First Boston Mortgage Securities Corp.,
	787	Series 2003-1, Class DB1, 6.564%, 02/25/33		687
	329	Series 2003-17, Class 2A1, 5.000%, 07/25/18		342
	791	Series 2003-21, Class 1A4, 5.250%, 09/25/33		801
	1,118	Series 2003-25, Class 1P, PO, 10/25/33		835
	133	Series 2004-5, Class 5P, PO, 08/25/19		112
	1,868	Series 2005-4, Class 3A18, 5.500%, 06/25/35		1,718
	1,935	Series 2005-4, Class 3A22, 5.500%, 06/25/35		1,628
	2,079	Series 2005-4, Class 3A23, 5.500%, 06/25/35		1,868
		Deutsche Mortgage Securities, Inc.,
	793	Series 2009-RS2, Class 4A1, VAR, 0.406%, 04/26/37 (e)		763
	563	Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e)		561
	1,032	Series 2010-RS2, Class A1, VAR, 1.520%, 06/28/47 (e)		1,032
	730	FDIC Trust, Series 2011-N1, Class A1, 4.500%, 12/25/16 (e) (f) (i)		730
	14	First Boston Mortgage Securities Corp. 1987 STRIPS, Series C, Class PO, PO, 04/25/17		14
		First Horizon Alternative Mortgage Securities,
	1,386	Series 2004-AA4, Class A1, VAR, 2.247%, 10/25/34		1,119
	2,435	Series 2005-FA8, Class 1A19, 5.500%, 11/25/35		1,641
	3,866	Series 2007-FA4, Class 1A2, IF, IO, 5.406%, 08/25/37		690


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
		First Horizon Asset Securities, Inc.,
	3,174	Series 2003-9, Class 1A6, 5.500%, 11/25/33		3,215
	1,250	Series 2004-AR2, Class 2A1, VAR, 2.746%, 05/25/34		1,183
	425	Series 2004-AR7, Class 2A1, VAR, 2.617%, 02/25/35		408
	2,088	Series 2005-AR1, Class 2A2, VAR, 2.673%, 04/25/35		1,965
	1,647	Freedom Trust, Series 2011-4, Class A18, VAR, 3.901%, 03/25/37 (e)		1,624
		GMAC Mortgage Corp. Loan Trust,
	1,160	Series 2003-AR1, Class A4, VAR, 3.030%, 10/19/33		1,141
	606	Series 2004-J5, Class A7, 6.500%, 01/25/35		636
	305	Series 2004-J6, Class 1A1, 5.000%, 01/25/20		312
	646	Series 2005-AR3, Class 3A3, VAR, 3.061%, 06/19/35		637
	5,565	Series 2005-AR3, Class 3A4, VAR, 3.061%, 06/19/35		4,731
		GSMPS Mortgage Loan Trust,
	1,210	Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e)		1,225
	1,778	Series 2005-RP3, Class 1AF, VAR, 0.594%, 09/25/35 (e)		1,346
	1,344	Series 2005-RP3, Class 1AS, IO, VAR, 5.080%, 09/25/35 (e)		202
	5,818	Series 2006-RP2, Class 1AS2, IF, IO, 5.228%, 04/25/36 (e)		853
		GSR Mortgage Loan Trust,
	1,290	Series 2004-6F, Class 3A4, 6.500%, 05/25/34		1,373
	1,141	Series 2004-8F, Class 2A3, 6.000%, 09/25/34		1,196
	56	Series 2004-10F, Class 2A1, 5.000%, 08/25/19		57
	564	Series 2004-13F, Class 3A3, 6.000%, 11/25/34		557
	531	Series 2005-4F, Class AP, PO, 05/25/35		386
	5,848	Series 2005-7F, Class 3A9, 6.000%, 09/25/35		5,739
	4,813	Series 2006-1F, Class 2A4, 6.000%, 02/25/36		4,256
	5,000	Series 2007-1F, Class 2A4, 5.500%, 01/25/37		4,836
	564	Impac CMB Trust, Series 2005-4, Class 2A1, VAR, 0.544%, 05/25/35		502
		Impac Secured Assets CMN Owner Trust,
	1,101	Series 2006-1, Class 2A1, VAR, 0.594%, 05/25/36		986
	1,604	Series 2006-2, Class 2A1, VAR, 0.594%, 08/25/36		1,490


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	22,271	Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.122%, 08/25/35		111
		JP Morgan Mortgage Trust,
	2,630	Series 2006-A2, Class 4A1, VAR, 2.747%, 08/25/34		2,533
	3,347	Series 2006-A2, Class 5A3, VAR, 2.647%, 11/25/33		3,265
	691	Series 2006-A3, Class 6A1, VAR, 2.762%, 08/25/34		612
	1,061	JP Morgan Reremic, Series 2009-6, Class 4A1, VAR, 5.698%, 09/26/36 (e)		1,104
		Lehman Mortgage Trust,
	1,176	Series 2006-2, Class 1A1, VAR, 6.494%, 04/25/36		1,136
	2,000	Series 2008-2, Class 1A6, 6.000%, 03/25/38		1,464
	2,450	LVII Resecuritization Trust, Series 2009-2, Class A5, VAR, 3.000%, 09/27/37 (e)		2,438
		MASTR Adjustable Rate Mortgages Trust,
	97	Series 2004-4, Class 2A1, VAR, 1.850%, 05/25/34		60
	1,579	Series 2004-13, Class 2A1, VAR, 2.662%, 04/21/34		1,558
	3,412	Series 2004-13, Class 3A6, VAR, 2.718%, 11/21/34		3,415
	2,800	Series 2004-13, Class 3A7, VAR, 2.718%, 11/21/34		2,713
	452	Series 2004-15, Class 3A1, VAR, 3.041%, 12/25/34		357
		MASTR Alternative Loans Trust,
	297	Series 2003-3, Class 1A1, 6.500%, 05/25/33		309
	942	Series 2003-9, Class 8A1, 6.000%, 01/25/34		946
	1,019	Series 2004-3, Class 2A1, 6.250%, 04/25/34		1,033
	2,001	Series 2004-4, Class 10A1, 5.000%, 05/25/24		2,067
	734	Series 2004-6, Class 30PO, PO, 07/25/34		563
	1,018	Series 2004-6, Class 7A1, 6.000%, 07/25/34		1,013
	512	Series 2004-7, Class 30PO, PO, 08/25/34		394
	2,338	Series 2004-8, Class 6A1, 5.500%, 09/25/19		2,373
	421	Series 2004-10, Class 1A1, 4.500%, 09/25/19		432
		MASTR Asset Securitization Trust,
	187	Series 2003-2, Class 2A1, 4.500%, 03/25/18		190
	51	Series 2003-3, Class 4A1, 5.000%, 04/25/18		52
	294	Series 2003-4, Class 3A2, 5.000%, 05/25/18		302
	331	Series 2003-12, Class 30PO, PO, 12/25/33		265
	210	Series 2004-1, Class 30PO, PO, 02/25/34		166


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	155	Series 2004-4, Class 3A1, 4.500%, 04/25/19		158
	157	Series 2004-6, Class 15PO, PO, 05/25/19		129
	286	Series 2004-8, Class 1A1, 4.750%, 08/25/19		294
	120	Series 2004-8, Class PO, PO, 08/25/19		101
	1,000	Series 2006-2, Class 1A30, 6.000%, 06/25/36		851
	3,622	MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.594%, 05/25/35 (e)		2,716
	2,916	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		2,274
	78	Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20		88
	1,290	MLCC Mortgage Investors, Inc., Series 2004-1, Class 2A1, VAR, 2.195%, 12/25/34		1,270
	838	MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.564%, 02/25/35		668
		Nomura Asset Acceptance Corp.,
	500	Series 2003-A1, Class A1, 5.500%, 05/25/33		522
	139	Series 2003-A1, Class A2, 6.000%, 05/25/33		140
	65	Series 2003-A1, Class A5, 7.000%, 04/25/33		67
	20	Series 2003-A1, Class A7, 5.000%, 04/25/18		21
	663	Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		652
		Paine Webber CMO Trust,
	3	Series H, Class 4, 8.750%, 04/01/18		3
	18	Series P, Class 4, 8.500%, 08/01/19		20
	623	Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.700%, 05/25/35		600
		RBSSP Resecuritization Trust,
	807	Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e)		848
	1,172	Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e)		1,179
	1,246	Series 2009-9, Class 7A4, VAR, 6.000%, 07/26/37 (e)		1,244
	818	Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e)		839
	1,983	Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e)		2,088
	1,737	Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e)		1,724
	921	Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e)		926
		Residential Accredit Loans, Inc.,
	233	Series 2002-QS16, Class A3, IF, 16.113%, 10/25/17		265


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	818	Series 2002-QS8, Class A5, 6.250%, 06/25/17		838
	5,498	Series 2003-QR19, Class CB4, 5.750%, 10/25/33		5,416
	1,484	Series 2003-QS12, Class A2A, IF, IO, 7.356%, 06/25/18		221
	452	Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18		45
	2,976	Series 2003-QS14, Class A1, 5.000%, 07/25/18		3,032
	956	Series 2003-QS18, Class A1, 5.000%, 09/25/18		985
	2,157	Series 2003-QS19, Class A1, 5.750%, 10/25/33		2,236
	596	Series 2003-QS3, Class A2, IF, 15.963%, 02/25/18		639
	513	Series 2003-QS3, Class A8, IF, IO, 7.356%, 02/25/18		53
	1,581	Series 2003-QS9, Class A3, IF, IO, 7.306%, 05/25/18		237
	2,828	Series 2004-QA6, Class NB2, VAR, 3.100%, 12/26/34		1,929
	130	Series 2004-QS8, Class A2, 5.000%, 06/25/34		130
		Residential Asset Securitization Trust,
	907	Series 2003-A13, Class A3, 5.500%, 01/25/34		908
	78	Series 2003-A14, Class A1, 4.750%, 02/25/19		78
	4,071	Series 2005-A2, Class A4, IF, IO, 4.806%, 03/25/35		420
	1,257	Series 2006-A4, Class 2A5, 6.000%, 05/25/36		839
		Residential Funding Mortgage Securities I,
	1,130	Series 2003-S13, Class A3, 5.500%, 06/25/33		1,168
	324	Series 2003-S14, Class A4, PO, 07/25/18		280
	595	Series 2004-S3, Class A1, 4.750%, 03/25/19		609
	1,287	Series 2004-S6, Class 2A6, PO, 06/25/34		945
	263	Series 2004-S9, Class 2A1, 4.750%, 12/25/19		269
	1,088	Series 2005-SA4, Class 1A1, VAR, 2.884%, 09/25/35		773
	50	Residential Funding Securities LLC, Series 2003-RM2, Class AP-3, PO, 05/25/33		36
		Salomon Brothers Mortgage Securities VII, Inc.,
	577	Series 2003-HYB1, Class A, VAR, 2.736%, 09/25/33		553
	114	Series 2003-UP2, Class PO1, PO, 12/25/18		103


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
		Springleaf Mortgage Loan Trust,
	2,846	Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e)		2,889
	2,100	Series 2011-1A, Class A2, VAR, 5.450%, 01/25/58 (e)		2,100
	2,826	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.916%, 06/25/34		2,789
	985	Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1, VAR, 0.905%, 10/19/34		875
		Structured Asset Securities Corp.,
	77	Series 2002-10H, Class 1AP, PO, 05/25/32		57
	173	Series 2003-8, Class 1A2, 5.000%, 04/25/18		177
	500	Series 2003-31A, Class B1, VAR, 2.512%, 10/25/33		202
	1,596	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		1,616
	485	Series 2004-20, Class 1A3, 5.250%, 11/25/34		487
	2,727	Series 2004-5H, Class A4, 5.540%, 12/25/33		2,661
	476	Series 2005-6, Class 4A1, 5.000%, 05/25/35		469
	871	Series 2005-10, Class 5A9, 5.250%, 12/25/34		850
	897	Thornburg Mortgage Securities Trust, Series 2003-4, Class A1, VAR, 0.884%, 09/25/43		849
		Vericrest Opportunity Loan Transferee,
	762	Series 2011-NL2A, Class A1, VAR, 5.682%, 06/25/51 (e) (f) (i)		765
	1,400	Series 2011-NL2A, Class A2, VAR, 9.317%, 06/25/51 (e) (f) (i)		1,411
	1,260	Series 2011-NL3A, Class A1, VAR, 5.194%, 09/25/51 (e)		1,263
	559	Series 2011-NL3A, Class A2, VAR, 9.318%, 09/25/51 (e)		561
		WaMu Mortgage Pass-Through Certificates,
	204	Series 2003-AR8, Class A, VAR, 2.486%, 08/25/33		203
	4,712	Series 2003-AR9, Class 1A6, VAR, 2.461%, 09/25/33		4,672
	691	Series 2003-AR9, Class 2A, VAR, 2.545%, 09/25/33		698
	313	Series 2003-S11, Class 2A5, IF, 16.379%, 11/25/33		327
	784	Series 2003-S8, Class A6, 4.500%, 09/25/18		814
	3,497	Series 2003-S9, Class A8, 5.250%, 10/25/33		3,599
	350	Series 2003-S9, Class P, PO, 10/25/33		271


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	391	Series 2004-AR3, Class A1, VAR, 2.549%, 06/25/34		385
	223	Series 2004-AR3, Class A2, VAR, 2.549%, 06/25/34		220
	2,531	Series 2004-RS2, Class A4, 5.000%, 11/25/33		2,532
	552	Series 2006-AR10, Class 2P, VAR, 09/25/36		308
	342	Series 2006-AR12, Class 2P, VAR, 10/25/36		177
		Washington Mutual Alternative Mortgage Pass-Through Certificates,
	13,552	Series 2005-2, Class 1A4, IF, IO, 4.806%, 04/25/35		1,646
	3,117	Series 2005-2, Class 2A3, IF, IO, 4.756%, 04/25/35		354
	3,489	Series 2005-3, Class CX, IO, 5.500%, 05/25/35		664
	3,902	Series 2005-4, Class CB7, 5.500%, 06/25/35		3,323
	3,421	Series 2005-4, Class CX, IO, 5.500%, 06/25/35		459
	1,146	Series 2005-6, Class 2A4, 5.500%, 08/25/35		923
	5,633	Series 2005-6, Class 2A9, 5.500%, 08/25/35		4,124
	2,803	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		2,803
		Wells Fargo Mortgage-Backed Securities Trust,
	467	Series 2003-8, Class A9, 4.500%, 08/25/18		485
	134	Series 2003-11, Class 1A4, 4.750%, 10/25/18		134
	241	Series 2003-11, Class 1APO, PO, 10/25/18		204
	843	Series 2003-13, Class A7, 4.500%, 11/25/18		856
	874	Series 2003-15, Class 1A1, 4.750%, 12/25/18		903
	171	Series 2003-15, Class APO, PO, 12/25/18		146
	785	Series 2003-16, Class 2A1, 4.500%, 12/25/18		801
	612	Series 2003-K, Class 1A1, VAR, 4.430%, 11/25/33		620
	1,157	Series 2003-K, Class 1A2, VAR, 4.430%, 11/25/33		1,195
	299	Series 2004-2, Class APO, PO, 01/25/19		256
	416	Series 2004-7, Class 2A1, 4.500%, 07/25/19		425
	405	Series 2004-7, Class 2A2, 5.000%, 07/25/19		418
	1,183	Series 2004-BB, Class A4, VAR, 2.618%, 01/25/35		1,181
	994	Series 2004-EE, Class 2A1, VAR, 2.707%, 12/25/34		973
	1,094	Series 2004-EE, Class 3A1, VAR, 2.749%, 12/25/34		1,092


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	5,030	Series 2004-P, Class 2A1, VAR, 2.677%, 09/25/34		4,954
	1,038	Series 2004-V, Class 1A1, VAR, 2.710%, 10/25/34		1,009
	789	Series 2005-1, Class 2A1, 5.000%, 01/25/20		809
	215	Series 2005-13, Class APO, PO, 11/25/20		197
	616	Series 2005-16, Class APO, PO, 01/25/36		486
	612	Series 2005-AR16, Class 2A1, VAR, 2.652%, 02/25/34		579
	967	Series 2005-AR8, Class 2A1, VAR, 2.686%, 06/25/35		914
	1,216	Series 2006-2, Class APO, PO, 03/25/36		917
	839	Series 2006-4, Class 1APO, PO, 04/25/36		620
	2,500	Series 2007-7, Class A7, 6.000%, 06/25/37		2,357
	711	Series 2007-11, Class A14, 6.000%, 08/25/37		668

				422,981

		Total Collateralized Mortgage Obligations (Cost $1,134,419)		1,225,301

	Commercial Mortgage-Backed Securities — 2.0%
		Banc of America Merrill Lynch Commercial Mortgage, Inc.,
	400	Series 2005-3, Class A4, 4.668%, 07/10/43		440
	1,610	Series 2005-3, Class AM, 4.727%, 07/10/43		1,702
	3,477	Series 2005-6, Class ASB, VAR, 5.193%, 09/10/47		3,655
	265	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		297
	2,250	Series 2006-4, Class A4, 5.634%, 07/10/46		2,552
	250	Series 2006-5, Class A4, 5.414%, 09/10/47		280
		Bear Stearns Commercial Mortgage Securities,
	45,682	Series 2005-PWR8, Class X1, IO, VAR, 0.239%, 06/11/41 (e)		613
	1,434	Series 2005-PWR9, Class AAB, 4.804%, 09/11/42		1,507
	3,148	Series 2006-PW11, Class A4, VAR, 5.459%, 03/11/39		3,561
		Citigroup Commercial Mortgage Trust,
	1,200	Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43		1,272
	4	Series 2006-C4, Class A1, VAR, 5.730%, 03/15/49		4
	110,319	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.188%, 12/11/49 (e)		962
	1,100	Commercial Mortgage Pass-Through Certificates, Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43		1,208


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Commercial Mortgage-Backed Securities — Continued
	700	Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, VAR, 5.663%, 03/15/39		771
	28,643	CW Capital Cobalt Ltd., Series 2006-C1, Class IO, IO, VAR, 0.722%, 08/15/48		716
	2,819	FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e)		2,936
	1,856	GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48		1,915
	4,025	GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		4,423
	500	Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42		520
		GS Mortgage Securities Corp. II,
	1,825	Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38		1,971
	770	Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38		858
	1,000	Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e)		1,009
	1,000	JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB11, Class AJ, VAR, 5.457%, 08/12/37		1,031
		LB-UBS Commercial Mortgage Trust,
	1,000	Series 2006-C1, Class A4, 5.156%, 02/15/31		1,115
	45,212	Series 2006-C7, Class XW, IO, VAR, 0.669%, 11/15/38 (e)		1,130
		Merrill Lynch Mortgage Trust,
	3,105	Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44		3,474
	2,147	Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43		2,164
		Merrill Lynch/Countrywide Commercial Mortgage Trust,
	3,207	Series 2006-1, Class A4, VAR, 5.429%, 02/12/39		3,588
	32,378	Series 2006-4, Class XC, IO, VAR, 0.211%, 12/12/49 (e)		416
		Morgan Stanley Capital I,
	41,873	Series 2006-IQ12, Class X1, IO, VAR, 0.142%, 12/15/43 (e)		596
	88,373	Series 2007-HQ11, Class X, IO, VAR, 0.230%, 02/12/44 (e)		660
	764	Series 2011-C3, Class A3, 4.054%, 07/15/49		822
		Morgan Stanley Reremic Trust,
	538	Series 2009-IO, Class A1, 3.000%, 07/17/56 (e)		541


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	3,500	Series 2009-IO, Class A2, 5.000%, 07/17/56 (e)		3,583
	375	Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e)		375
	3,000	Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		3,190
	6,231	Series 2011-IO, Class A, 2.500%, 03/23/51 (e)		6,250
	5,545	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.707%, 08/15/39		5,997
	1,700	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.375%, 03/15/44 (e)		1,851

		Total Commercial Mortgage-Backed Securities (Cost $64,663)		69,955

	Corporate Bonds — 19.0%
		Consumer Discretionary — 1.4%
		Auto Components — 0.1%
		Johnson Controls, Inc.,
	591	3.750%, 12/01/21		624
	665	4.250%, 03/01/21		718
	1,000	5.250%, 12/01/41		1,065

				2,407

		Automobiles — 0.1%
		Daimler Finance North America LLC,
	739	2.625%, 09/15/16 (e)		757
	1,425	2.950%, 01/11/17 (e)		1,472
	1,000	6.500%, 11/15/13		1,091

				3,320

		Hotels, Restaurants & Leisure — 0.0% (g)
	400	McDonald’s Corp., 4.300%, 03/01/13		414

		Household Durables — 0.0% (g)
	500	Newell Rubbermaid, Inc., 4.700%, 08/15/20		543

		Media — 1.0%
		CBS Corp.,
	140	5.500%, 05/15/33		151
	252	5.750%, 04/15/20		290
	1,000	7.875%, 07/30/30		1,331
	190	8.875%, 05/15/19		253
	250	Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22		370
	624	Comcast Cable Communications LLC, 7.125%, 06/15/13		673
		Comcast Corp.,
	2,845	5.900%, 03/15/16		3,309


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Media — Continued
	400	6.450%, 03/15/37		499
	400	6.500%, 11/15/35		497
	740	Comcast Holdings Corp., 10.625%, 07/15/12		762
		Cox Communications, Inc.,
	505	5.450%, 12/15/14		563
	125	8.375%, 03/01/39 (e)		177
	450	Cox Enterprises, Inc., 7.375%, 07/15/27 (e)		540
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	1,000	4.600%, 02/15/21		1,085
	772	5.000%, 03/01/21		858
	2,000	6.000%, 08/15/40		2,294
	1,016	Discovery Communications LLC, 4.375%, 06/15/21		1,126
	1,177	Historic TW, Inc., 9.150%, 02/01/23		1,635
		NBCUniversal Media LLC,
	300	4.375%, 04/01/21		329
	800	5.950%, 04/01/41		972
		News America, Inc.,
	100	6.200%, 12/15/34		116
	400	6.650%, 11/15/37		488
	250	6.900%, 08/15/39		310
	1,075	7.300%, 04/30/28		1,245
	500	8.000%, 10/17/16		613
	355	8.875%, 04/26/23		458
		Thomson Reuters Corp., (Canada),
	1,278	3.950%, 09/30/21		1,353
	315	4.700%, 10/15/19		347
	493	5.950%, 07/15/13		522
		Time Warner Cable, Inc.,
	359	5.500%, 09/01/41		395
	2,127	5.850%, 05/01/17		2,503
	400	6.550%, 05/01/37		483
	800	8.250%, 04/01/19		1,037
		Time Warner Entertainment Co. LP,
	120	8.375%, 03/15/23		164
	1,250	8.375%, 07/15/33		1,639
	872	10.150%, 05/01/12		884
		Time Warner, Inc.,
	525	4.750%, 03/29/21		587
	313	5.375%, 10/15/41		348
	150	6.200%, 03/15/40		178
	437	6.250%, 03/29/41		527
	200	7.625%, 04/15/31		268
	171	7.700%, 05/01/32		233


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Media — Continued
		Viacom, Inc.,
	208	1.250%, 02/27/15		208
	808	3.875%, 12/15/21		852
	100	4.500%, 03/01/21		110
	250	4.500%, 02/27/42		248
	640	Walt Disney Co. (The), 4.125%, 12/01/41		656

				34,486

		Multiline Retail — 0.1%
		Kohl’s Corp.,
	400	4.000%, 11/01/21		418
	275	6.250%, 12/15/17		326
		Macy’s Retail Holdings, Inc.,
	191	3.875%, 01/15/22		196
	157	5.125%, 01/15/42		161
	190	7.450%, 07/15/17		233
	455	Nordstrom, Inc., 4.000%, 10/15/21		497
		Target Corp.,
	200	6.000%, 01/15/18		245
	800	7.000%, 01/15/38		1,138

				3,214

		Specialty Retail — 0.1%
	533	Gap, Inc. (The), 5.950%, 04/12/21		534
	1,625	Home Depot, Inc., 5.400%, 03/01/16		1,887
		Lowe’s Cos., Inc.,
	277	3.800%, 11/15/21		299
	326	5.125%, 11/15/41		373
	750	7.110%, 05/15/37		1,004
	590	Staples, Inc., 9.750%, 01/15/14		677

				4,774

		Total Consumer Discretionary		49,158

		Consumer Staples — 0.9%
		Beverages — 0.3%
		Anheuser-Busch Cos. LLC,
	600	5.500%, 01/15/18		709
	905	5.750%, 04/01/36		1,102
		Anheuser-Busch InBev Worldwide, Inc.,
	114	1.500%, 07/14/14		116
	515	7.750%, 01/15/19		678
		Coca-Cola Co. (The),
	500	3.625%, 03/15/14		531
	410	4.875%, 03/15/19		480
	510	Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20		590


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Beverages — Continued
		Diageo Finance B.V., (Netherlands),
	800	5.300%, 10/28/15		916
	500	5.500%, 04/01/13		527
	890	FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e)		982
		PepsiCo, Inc.,
	150	0.800%, 08/25/14		151
	359	3.000%, 08/25/21		370
	54	7.900%, 11/01/18		74
		SABMiller Holdings, Inc.,
	574	1.850%, 01/15/15 (e)		583
	698	3.750%, 01/15/22 (e)		728
		SABMiller plc, (United Kingdom),
	700	5.700%, 01/15/14 (e)		753
	250	6.500%, 07/01/16 (e)		290

				9,580

		Food & Staples Retailing — 0.2%
		CVS Caremark Corp.,
	979	5.750%, 05/15/41		1,171
	250	6.125%, 09/15/39		312
	1,109	CVS Pass-Through Trust, 5.926%, 01/10/34 (e)		1,206
		Kroger Co. (The),
	850	7.500%, 01/15/14		951
	1,460	7.500%, 04/01/31		1,898
		Wal-Mart Stores, Inc.,
	420	4.550%, 05/01/13		440
	752	5.250%, 09/01/35		888
	215	6.200%, 04/15/38		283
	350	7.550%, 02/15/30		515

				7,664

		Food Products — 0.3%
		Bunge Ltd. Finance Corp.,
	165	5.875%, 05/15/13		172
	1,295	8.500%, 06/15/19		1,602
	191	Bunge N.A. Finance LP, 5.900%, 04/01/17		210
		Cargill, Inc.,
	600	3.300%, 03/01/22 (e)		604
	535	4.307%, 05/14/21 (e)		578
	850	7.350%, 03/06/19 (e)		1,069
	225	H.J. Heinz Co., 6.375%, 07/15/28		277
		Kellogg Co.,
	462	4.250%, 03/06/13		479
	1,200	5.125%, 12/03/12		1,241


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Food Products — Continued
		Kraft Foods, Inc.,
	1,450	6.125%, 02/01/18		1,738
	1,480	6.500%, 08/11/17		1,796
	600	6.875%, 02/01/38		796
	500	6.875%, 01/26/39		660
	350	7.000%, 08/11/37		464

				11,686

		Household Products — 0.1%
		Kimberly-Clark Corp.,
	220	2.400%, 03/01/22		217
	66	7.500%, 11/01/18		87
	908	Procter & Gamble - ESOP, 9.360%, 01/01/21		1,221
	110	Procter & Gamble Co. (The), 5.500%, 02/01/34		140

				1,665

		Total Consumer Staples		30,595

		Energy — 1.0%
		Energy Equipment & Services — 0.1%
	1,555	Halliburton Co., 7.450%, 09/15/39		2,281
		Noble Holding International Ltd., (Cayman Islands),
	113	3.950%, 03/15/22		116
	83	5.250%, 03/15/42		88
	441	Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e)		455
		Transocean, Inc., (Cayman Islands),
	256	6.375%, 12/15/21		302
	900	6.500%, 11/15/20		1,050
	198	7.350%, 12/15/41		253
	100	7.500%, 04/15/31		120

				4,665

		Oil, Gas & Consumable Fuels — 0.9%
	150	Alberta Energy Co. Ltd., (Canada), 7.375%, 11/01/31		181
		Anadarko Petroleum Corp.,
	125	5.750%, 06/15/14		136
	2,000	7.625%, 03/15/14		2,221
	265	8.700%, 03/15/19		353
	500	Apache Corp., 6.900%, 09/15/18		635
	1,000	Canadian Natural Resources Ltd., (Canada), 6.750%, 02/01/39		1,343
	1,000	Chevron Corp., 4.950%, 03/03/19		1,204
	405	Conoco Funding Co., (Canada), 7.250%, 10/15/31		566


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
		ConocoPhillips,
	200	5.200%, 05/15/18		239
	450	5.750%, 02/01/19		554
	150	6.000%, 01/15/20		189
	200	6.500%, 02/01/39		282
	200	Devon Energy Corp., 6.300%, 01/15/19		248
		Encana Corp., (Canada),
	545	6.500%, 05/15/19		647
	150	6.500%, 08/15/34		170
	925	ENI S.p.A., (Italy), Series EX2, 5.700%, 10/01/40 (e)		986
	600	EOG Resources, Inc., 4.100%, 02/01/21		663
	200	Kerr-McGee Corp., 6.950%, 07/01/24		247
		Marathon Oil Corp.,
	819	5.900%, 03/15/18		965
	1,535	6.000%, 10/01/17		1,811
	402	Occidental Petroleum Corp., 1.750%, 02/15/17		407
	1,020	Petrobras International Finance Co., (Cayman Islands), 5.375%, 01/27/21		1,097
		Petro-Canada, (Canada),
	324	6.050%, 05/15/18		392
	1,045	6.800%, 05/15/38		1,408
		Shell International Finance B.V., (Netherlands),
	270	1.875%, 03/25/13		274
	275	4.000%, 03/21/14		294
	1,000	4.300%, 09/22/19		1,155
	1,005	4.375%, 03/25/20		1,175
	1,230	6.375%, 12/15/38		1,722
		Statoil ASA, (Norway),
	467	3.125%, 08/17/17		502
	300	3.150%, 01/23/22		311
	253	4.250%, 11/23/41		263
		Suncor Energy, Inc., (Canada),
	180	5.950%, 12/01/34		213
	250	6.850%, 06/01/39		339
	850	Talisman Energy, Inc., (Canada), 7.750%, 06/01/19		1,065
	400	Tosco Corp., 8.125%, 02/15/30		578
		Total Capital International S.A., (France),
	262	1.500%, 02/17/17		262
	216	2.875%, 02/17/22		220
		Total Capital S.A., (France),
	1,400	2.300%, 03/15/16		1,460
	370	4.125%, 01/28/21		415


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Oil, Gas & Consumable Fuels — Continued
	2,000	XTO Energy, Inc., 5.750%, 12/15/13		2,173

				29,365

		Total Energy		34,030

		Financials — 9.9%
		Capital Markets — 2.0%
		Bank of New York Mellon Corp. (The),
	357	1.200%, 02/20/15		357
	1,789	2.400%, 01/17/17		1,838
	900	2.950%, 06/18/15		949
	413	3.550%, 09/23/21		429
	750	4.600%, 01/15/20		836
	310	5.125%, 08/27/13		330
		BlackRock, Inc.,
	540	3.500%, 12/10/14		578
	652	5.000%, 12/10/19		744
	350	6.250%, 09/15/17		413
	1,500	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		1,516
	250	Charles Schwab Corp. (The), 4.950%, 06/01/14		272
	500	Credit Suisse USA, Inc., 5.125%, 08/15/15		543
	500	FMR LLC, 6.450%, 11/15/39 (e)		553
		Goldman Sachs Group, Inc. (The),
	3,060	3.625%, 02/07/16		3,071
	492	3.700%, 08/01/15		502
	1,041	4.750%, 07/15/13		1,079
	2,638	5.250%, 10/15/13		2,762
	473	5.250%, 07/27/21		474
	1,366	5.375%, 03/15/20		1,400
	750	5.500%, 11/15/14		805
	800	5.750%, 01/24/22		835
	4,100	5.950%, 01/18/18		4,431
	949	6.000%, 06/15/20		1,009
	125	6.150%, 04/01/18		135
	305	6.250%, 09/01/17		335
	485	6.750%, 10/01/37		486
	2,570	7.500%, 02/15/19		2,926
		Jefferies Group, Inc.,
	450	3.875%, 11/09/15		427
	1,005	5.125%, 04/13/18		940
	1,000	6.450%, 06/08/27		940
	770	8.500%, 07/15/19		828
		Lehman Brothers Holdings, Inc.,
	105	3.950%, 11/10/09 (d)		28


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Capital Markets — Continued
	1,246	4.800%, 03/13/14 (d)		338
	1,000	5.500%, 04/04/16 (d)		271
	1,200	5.750%, 05/17/13 (d)		326
	1,850	6.000%, 07/19/12 (d)		502
	1,670	6.625%, 01/18/13 (d)		453
	152	7.875%, 11/01/09 (d)		41
		Macquarie Group Ltd., (Australia),
	1,200	6.000%, 01/14/20 (e)		1,180
	1,400	6.250%, 01/14/21 (e)		1,397
	750	7.300%, 08/01/14 (e)		790
	250	7.625%, 08/13/19 (e)		258
		Merrill Lynch & Co., Inc.,
	2,215	5.450%, 07/15/14		2,304
	1,702	6.150%, 04/25/13		1,769
	2,996	6.400%, 08/28/17		3,155
	1,249	6.875%, 04/25/18		1,359
		Morgan Stanley,
	625	4.000%, 07/24/15		625
	893	4.200%, 11/20/14		896
	2,029	4.750%, 04/01/14		2,053
	4,225	5.300%, 03/01/13		4,350
	1,000	5.450%, 01/09/17		1,029
	1,021	5.500%, 07/24/20		1,006
	1,265	5.625%, 09/23/19		1,265
	900	5.750%, 08/31/12		921
	360	5.750%, 01/25/21		357
	1,200	6.000%, 05/13/14		1,257
	400	6.625%, 04/01/18		424
	370	6.750%, 10/15/13		393
	970	7.300%, 05/13/19		1,047
		Nomura Holdings, Inc., (Japan),
	1,050	4.125%, 01/19/16		1,066
	150	5.000%, 03/04/15		158
	1,150	6.700%, 03/04/20		1,246
	226	Northern Trust Corp., 5.500%, 08/15/13		241
		UBS AG, (Switzerland),
	414	2.250%, 08/12/13		415
	2,300	3.875%, 01/15/15		2,386
	365	4.875%, 08/04/20		379
	500	5.750%, 04/25/18		552
	425	5.875%, 12/20/17		472

				69,452


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Commercial Banks — 2.9%
	550	ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e)		557
		Australia & New Zealand Banking Group Ltd., (Australia),
	1,268	2.400%, 11/23/16 (e)		1,277
	900	3.250%, 03/01/16 (e)		920
	228	4.875%, 01/12/21 (e)		246
	741	Bank of Montreal, (Canada), 1.300%, 10/31/14 (e)		749
		Bank of Nova Scotia, (Canada),
	1,034	1.650%, 10/29/15 (e)		1,053
	2,000	2.550%, 01/12/17		2,070
	737	3.400%, 01/22/15		783
		Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan),
	1,275	2.350%, 02/23/17 (e)		1,281
	679	3.850%, 01/22/15 (e)		721
		Barclays Bank plc, (United Kingdom),
	2,650	2.500%, 01/23/13		2,673
	800	2.500%, 09/21/15 (e)		811
	800	2.750%, 02/23/15		804
	935	3.900%, 04/07/15		969
	175	5.000%, 09/22/16		189
	700	5.200%, 07/10/14		743
	1,000	6.050%, 12/04/17 (e)		1,018
		BB&T Corp.,
	655	3.375%, 09/25/13		680
	795	3.850%, 07/27/12		806
	750	3.950%, 04/29/16		814
	740	4.900%, 06/30/17		810
	1,885	5.700%, 04/30/14		2,072
	245	6.850%, 04/30/19		301
	695	Branch Banking & Trust Co., 5.625%, 09/15/16		791
	5,000	Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e)		5,252
	260	Comerica, Inc., 3.000%, 09/16/15		269
		Credit Suisse, (Switzerland),
	451	4.375%, 08/05/20		459
	500	5.000%, 05/15/13		520
	160	5.300%, 08/13/19		170
	675	5.400%, 01/14/20		678
	942	5.500%, 05/01/14		1,008
	850	6.000%, 02/15/18		895
		Deutsche Bank AG, (Germany),
	650	3.250%, 01/11/16		666
	970	3.875%, 08/18/14		1,013


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Commercial Banks — Continued
	2,011	DnB Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e)		2,032
	720	Fifth Third Bancorp, 5.450%, 01/15/17		786
		HSBC Bank plc, (United Kingdom),
	1,745	1.625%, 07/07/14 (e)		1,751
	1,438	3.100%, 05/24/16 (e)		1,471
	666	4.125%, 08/12/20 (e)		683
	575	4.750%, 01/19/21 (e)		614
		HSBC Holdings plc, (United Kingdom),
	500	4.875%, 01/14/22		542
	556	5.100%, 04/05/21		608
	600	6.100%, 01/14/42		715
	1,500	HSBC USA, Inc., 2.375%, 02/13/15		1,521
	1,445	ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e)		1,438
	2,400	KeyBank N.A., 5.500%, 09/17/12		2,462
	480	KeyCorp, 6.500%, 05/14/13		509
	1,725	Macquarie Bank Ltd., (Australia), 5.000%, 02/22/17 (e)		1,743
	2,100	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		2,436
		National Australia Bank Ltd., (Australia),
	3,000	2.500%, 01/08/13 (e)		3,039
	750	2.750%, 09/28/15 (e)		762
	1,000	3.000%, 07/27/16 (e)		1,020
	795	3.750%, 03/02/15 (e)		833
	1,353	National Bank of Canada, (Canada), 1.650%, 01/30/14 (e)		1,377
	250	National City Bank, 5.800%, 06/07/17		279
		Nordea Bank AB, (Sweden),
	600	1.750%, 10/04/13 (e)		598
	945	4.875%, 05/13/21 (e)		909
	400	PNC Bank N.A., 6.875%, 04/01/18		474
		PNC Funding Corp.,
	567	4.375%, 08/11/20		626
	940	5.250%, 11/15/15		1,049
	950	5.625%, 02/01/17		1,055
	565	6.700%, 06/10/19		699
		Rabobank Nederland N.V., (Netherlands),
	140	2.125%, 10/13/15		140
	2,400	3.200%, 03/11/15 (e)		2,470
	455	3.375%, 01/19/17		468
	789	3.875%, 02/08/22		787
	500	5.800%, 09/30/10 (e)		493
		SunTrust Banks, Inc.,
	2,010	5.250%, 11/05/12		2,065


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Commercial Banks — Continued
	820	6.000%, 09/11/17		915
	1,411	Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16		1,451
	1,140	Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e)		1,184
		U.S. Bancorp,
	645	2.450%, 07/27/15		672
	517	3.000%, 03/15/22		518
	566	4.125%, 05/24/21		623
	1,107	7.500%, 06/01/26		1,370
		Wachovia Bank N.A.,
	1,000	5.600%, 03/15/16		1,117
	250	6.000%, 11/15/17		288
	1,125	6.600%, 01/15/38		1,369
		Wachovia Corp.,
	685	4.875%, 02/15/14		722
	2,000	5.500%, 05/01/13		2,108
	4,780	5.750%, 02/01/18		5,547
		Wells Fargo & Co.,
	1,826	2.625%, 12/15/16		1,880
	500	4.600%, 04/01/21		551
	2,135	5.625%, 12/11/17		2,472
	1,000	SUB, 3.676%, 06/15/16		1,072
		Wells Fargo Bank N.A.,
	1,515	4.750%, 02/09/15		1,630
	250	5.750%, 05/16/16		282
		Westpac Banking Corp., (Australia),
	900	4.200%, 02/27/15		962
	2,105	4.875%, 11/19/19		2,258

				101,513

		Consumer Finance — 0.8%
	700	American Express Co., 7.000%, 03/19/18		862
		American Express Credit Corp.,
	1,000	2.800%, 09/19/16		1,036
	2,140	5.875%, 05/02/13		2,257
	400	7.300%, 08/20/13		435
	1,083	American General Finance Corp., 5.375%, 10/01/12		1,024
		American Honda Finance Corp.,
	667	1.450%, 02/27/15 (e)		669
	565	2.125%, 02/28/17 (e)		569
	405	2.375%, 03/18/13 (e)		412
	1,599	2.600%, 09/20/16 (e)		1,646
	150	7.625%, 10/01/18 (e)		192
	1,375	Capital One Bank USA N.A., 8.800%, 07/15/19		1,680


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Consumer Finance — Continued
		Capital One Financial Corp.,
	1,165	6.750%, 09/15/17		1,353
	2,140	7.375%, 05/23/14		2,382
		HSBC Finance Corp.,
	1,000	4.750%, 07/15/13		1,036
	3,413	5.000%, 06/30/15		3,617
	2,200	5.250%, 01/15/14		2,318
	188	6.375%, 11/27/12		195
	207	7.350%, 11/27/32		220
		John Deere Capital Corp.,
	233	3.150%, 10/15/21		242
	265	4.500%, 04/03/13		276
	1,000	5.250%, 10/01/12		1,028
	1,023	SLM Corp., 5.375%, 01/15/13		1,049
		Toyota Motor Credit Corp.,
	1,120	1.000%, 02/17/15		1,118
	2,400	2.000%, 09/15/16		2,444
	962	3.200%, 06/17/15		1,024
	331	Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e)		333

				29,417

		Diversified Financial Services — 2.4%
	1,900	Associates Corp. of North America, 6.950%, 11/01/18		2,149
	2,200	BA Covered Bond Issuer, 5.500%, 06/14/12 (e)		2,229
		Bank of America Corp.,
	520	3.625%, 03/17/16		514
	300	4.900%, 05/01/13		308
	470	5.000%, 05/13/21		468
	2,720	5.625%, 10/14/16		2,840
	640	5.625%, 07/01/20		664
	600	5.650%, 05/01/18		623
	1,405	5.700%, 01/24/22		1,489
	420	5.750%, 12/01/17		440
	400	5.875%, 01/05/21		421
	600	7.625%, 06/01/19		678
	1,510	7.800%, 09/15/16		1,641
	1,455	Bank of America N.A., 5.300%, 03/15/17		1,479
	235	BG Energy Capital plc, (United Kingdom), 5.125%, 10/15/41 (e)		266
		BP Capital Markets plc, (United Kingdom),
	700	3.125%, 03/10/12		700
	900	4.742%, 03/11/21		1,037
	2,122	5.250%, 11/07/13		2,280


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Diversified Financial Services — Continued
	725	Caisse Centrale Desjardins du Quebec, (Canada), 2.550%, 03/24/16 (e)		754
		Caterpillar Financial Services Corp.,
	665	4.900%, 08/15/13		705
	560	5.500%, 03/15/16		649
	1,300	6.200%, 09/30/13		1,413
	305	7.050%, 10/01/18		390
	510	7.150%, 02/15/19		662
		Citigroup, Inc.,
	450	2.650%, 03/02/15		450
	500	4.450%, 01/10/17		528
	832	4.587%, 12/15/15		881
	856	4.700%, 05/29/15		905
	527	4.750%, 05/19/15		558
	3,127	5.000%, 09/15/14		3,255
	2,025	5.125%, 05/05/14		2,136
	1,000	5.375%, 08/09/20		1,089
	321	5.875%, 01/30/42		342
	150	6.000%, 12/13/13		159
	2,150	6.000%, 08/15/17		2,395
	755	6.010%, 01/15/15		822
	350	6.125%, 11/21/17		392
	510	6.375%, 08/12/14		553
	600	6.500%, 08/19/13		636
	400	8.125%, 07/15/39		523
	1,130	8.500%, 05/22/19		1,402
		CME Group, Inc.,
	1,786	5.400%, 08/01/13		1,900
	1,490	5.750%, 02/15/14		1,629
	1,045	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		1,245
		ERAC USA Finance LLC,
	154	2.250%, 01/10/14 (e)		154
	559	4.500%, 08/16/21 (e)		573
	350	6.375%, 10/15/17 (e)		402
		FUEL Trust,
	1,917	3.984%, 06/15/16 (e)		1,958
	561	4.207%, 04/15/16 (e)		575
		General Electric Capital Corp.,
	650	4.625%, 01/07/21		706
	2,100	4.650%, 10/17/21		2,284
	5,825	5.250%, 10/19/12		5,998
	191	5.300%, 02/11/21		210
	2,500	5.400%, 02/15/17		2,870
	5,755	5.625%, 05/01/18		6,644


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Diversified Financial Services — Continued
	1,000	5.650%, 06/09/14		1,096
	310	5.875%, 01/14/38		347
	6,912	6.000%, 06/15/12		7,019
	2,544	6.750%, 03/15/32		3,091
	1,742	GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e)		1,747
		National Rural Utilities Cooperative Finance Corp.,
	225	2.625%, 09/16/12		228
	635	4.750%, 03/01/14		684
	200	10.375%, 11/01/18		292
	640	Textron Financial Corp., 5.400%, 04/28/13		666

				84,143

		Insurance — 1.4%
		ACE INA Holdings, Inc.,
	455	2.600%, 11/23/15		471
	350	5.600%, 05/15/15		397
		Aflac, Inc.,
	228	2.650%, 02/15/17		232
	260	4.000%, 02/15/22		264
	317	6.450%, 08/15/40		366
	200	8.500%, 05/15/19		260
	1,012	Allstate Life Global Funding Trusts, 5.375%, 04/30/13		1,066
		American International Group, Inc.,
	1,499	4.250%, 05/15/13		1,530
	2,960	5.450%, 05/18/17		3,146
		Aon Corp.,
	402	3.125%, 05/27/16		415
	336	3.500%, 09/30/15		351
	306	6.250%, 09/30/40		381
	2,185	ASIF Global Financing XIX, 4.900%, 01/17/13 (e)		2,229
		Berkshire Hathaway Finance Corp.,
	233	2.450%, 12/15/15		243
	1,250	4.000%, 04/15/12		1,255
	1,000	4.600%, 05/15/13		1,048
	605	5.000%, 08/15/13		644
	1,505	5.400%, 05/15/18		1,789
		Berkshire Hathaway, Inc.,
	1,387	3.400%, 01/31/22		1,417
	781	3.750%, 08/15/21		820
	100	Chubb Corp., 5.750%, 05/15/18		120
		CNA Financial Corp.,
	750	5.850%, 12/15/14		802


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Insurance — Continued
	781	5.875%, 08/15/20		849
		Jackson National Life Global Funding,
	820	5.375%, 05/08/13 (e)		853
	1,695	6.125%, 05/30/12 (e)		1,714
	251	Lincoln National Corp., 4.850%, 06/24/21		268
	280	Massachusetts Mutual Life Insurance Co., 5.375%, 12/01/41 (e)		298
		MassMutual Global Funding II,
	540	2.300%, 09/28/15 (e)		555
	338	2.875%, 04/21/14 (e)		349
	500	3.625%, 07/16/12 (e)		505
	920	MetLife Institutional Funding II, VAR, 1.481%, 04/04/14 (e)		920
	430	MetLife, Inc., 6.817%, 08/15/18		526
		Metropolitan Life Global Funding I,
	1,150	2.000%, 01/10/14 (e)		1,163
	700	2.000%, 01/09/15 (e)		707
	1,250	2.500%, 01/11/13 (e)		1,265
	400	3.125%, 01/11/16 (e)		410
	1,900	3.650%, 06/14/18 (e)		1,953
	300	5.125%, 04/10/13 (e)		313
	1,093	5.200%, 09/18/13 (e)		1,159
	250	Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e)		261
	1,750	Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e)		2,245
		New York Life Global Funding,
	350	1.300%, 01/12/15 (e)		353
	725	4.650%, 05/09/13 (e)		758
	2,637	5.375%, 09/15/13 (e)		2,822
		Pacific Life Global Funding,
	650	5.000%, 05/15/17 (e)		687
	410	5.150%, 04/15/13 (e)		429
	530	Pacific Life Insurance Co., 9.250%, 06/15/39 (e)		704
	2,100	Pricoa Global Funding I, 5.450%, 06/11/14 (e)		2,256
	500	Principal Life Global Funding I, 5.050%, 03/15/15 (e)		537
	215	Principal Life Income Funding Trusts, 5.300%, 12/14/12		222
	1,750	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		2,342
	210	Travelers Cos., Inc. (The), 5.800%, 05/15/18		256
	1,120	Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e)		1,220


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Insurance — Continued
	300	Travelers Property Casualty Corp., 5.000%, 03/15/13		313

				48,458

		Real Estate Investment Trusts (REITs) — 0.3%
		CommonWealth REIT,
	600	5.875%, 09/15/20		616
	1,325	6.650%, 01/15/18		1,426
	454	ERP Operating LP, 4.625%, 12/15/21		486
		HCP, Inc.,
	159	3.750%, 02/01/19		160
	895	5.375%, 02/01/21		981
		Simon Property Group LP,
	579	4.125%, 12/01/21		626
	32	4.200%, 02/01/15		34
	200	4.375%, 03/01/21		219
	705	5.625%, 08/15/14		763
	665	6.100%, 05/01/16		765
	320	6.125%, 05/30/18		382
	330	6.750%, 05/15/14		363
	440	WEA Finance LLC, 7.125%, 04/15/18 (e)		526
	1,376	WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e)		1,611

				8,958

		Thrifts & Mortgage Finance — 0.1%
	400	Countrywide Financial Corp., 6.250%, 05/15/16		402
	1,463	Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e)		1,474

				1,876

		Total Financials		343,817

		Health Care — 0.4%
		Biotechnology — 0.2%
		Amgen, Inc.,
	1,000	3.875%, 11/15/21		1,039
	237	4.500%, 03/15/20		257
	500	4.950%, 10/01/41		508
	2,000	5.150%, 11/15/41		2,093
	252	5.650%, 06/15/42		282
	570	5.700%, 02/01/19		661
	720	5.750%, 03/15/40		804

				5,644


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Health Care Equipment & Supplies — 0.0% (g)
		Baxter International, Inc.,
	380	4.000%, 03/01/14		405
	215	4.625%, 03/15/15		239
	100	Becton Dickinson and Co., 5.000%, 05/15/19		117

				761

		Health Care Providers & Services — 0.1%
	370	Medco Health Solutions, Inc., 2.750%, 09/15/15		375
	975	UnitedHealth Group, Inc., 3.375%, 11/15/21		1,028
		WellPoint, Inc.,
	168	5.875%, 06/15/17		197
	113	7.000%, 02/15/19		144

				1,744

		Pharmaceuticals — 0.1%
	250	Abbott Laboratories, 6.150%, 11/30/37		327
	645	AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14		715
	450	Eli Lilly & Co., 3.550%, 03/06/12		450
		GlaxoSmithKline Capital, Inc.,
	450	4.375%, 04/15/14		486
	750	5.650%, 05/15/18		917
	530	6.375%, 05/15/38		730
	650	Merck & Co., Inc., 6.000%, 09/15/17		806

				4,431

		Total Health Care		12,580

		Industrials — 0.8%
		Aerospace & Defense — 0.1%
	676	BAE Systems plc, (United Kingdom), 5.800%, 10/11/41 (e)		739
	300	Honeywell International, Inc., 5.300%, 03/01/18		360
		Lockheed Martin Corp.,
	387	2.125%, 09/15/16		394
	292	4.850%, 09/15/41		313
	1,144	5.720%, 06/01/40		1,351
	1,261	United Technologies Corp., 6.125%, 02/01/19		1,560

				4,717

		Airlines — 0.1%
	254	American Airlines 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21		253
	698	American Airlines, 2011-2 Class A Pass-Through Trust, 8.625%, 10/15/21		740
	267	Continental Airlines, 1999-2 Class C-2 Pass-Through Trust, 7.256%, 03/15/20		291


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Airlines —Continued
	465	Continental Airlines, 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22		509
	624	Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		662
	243	Delta Air Lines, 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19		257

				2,712

		Commercial Services & Supplies — 0.1%
	725	Allied Waste North America, Inc., 6.875%, 06/01/17		760
		Pitney Bowes, Inc.,
	565	4.875%, 08/15/14		602
	1,020	5.000%, 03/15/15		1,089
	200	5.600%, 03/15/18		212
		Waste Management, Inc.,
	214	4.750%, 06/30/20		239
	455	7.375%, 03/11/19		575

				3,477

		Construction & Engineering — 0.0% (g)
	789	Fluor Corp., 3.375%, 09/15/21		804

		Industrial Conglomerates — 0.1%
	588	Danaher Corp., 3.900%, 06/23/21		650
		Koninklijke Philips Electronics N.V., (Netherlands),
	260	5.750%, 03/11/18		306
	130	7.200%, 06/01/26		167
	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		643
	375	Tyco International Ltd./Tyco International Finance S.A., (Switzerland), 7.000%, 12/15/19		466

				2,583

		Machinery — 0.0% (g)
		Eaton Corp.,
	500	5.600%, 05/15/18		587
	300	7.625%, 04/01/24		412
	290	Ingersoll-Rand Co., (Bermuda), 6.391%, 11/15/27		348
	135	Parker Hannifin Corp., 5.500%, 05/15/18		159

				1,506


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Road & Rail — 0.4%
		Burlington Northern Santa Fe LLC,
	522	3.050%, 03/15/22		520
	300	3.450%, 09/15/21		312
	125	3.600%, 09/01/20		132
	1,000	5.400%, 06/01/41		1,176
	500	5.650%, 05/01/17		586
	250	5.750%, 03/15/18		296
	425	5.750%, 05/01/40		515
	250	6.700%, 08/01/28		314
	450	7.000%, 02/01/14		499
		CSX Corp.,
	300	4.250%, 06/01/21		328
	575	5.500%, 04/15/41		665
	145	6.250%, 04/01/15		167
	250	6.300%, 03/15/12		251
	205	7.375%, 02/01/19		258
	500	7.900%, 05/01/17		629
		Norfolk Southern Corp.,
	746	3.250%, 12/01/21		769
	100	6.000%, 03/15/05		117
	1,768	6.000%, 05/23/11		2,077
	355	7.700%, 05/15/17		448
		Ryder System, Inc.,
	484	2.500%, 03/01/17		485
	420	3.600%, 03/01/16		440
		Union Pacific Corp.,
	693	4.163%, 07/15/22		764
	235	4.875%, 01/15/15		258
	907	5.650%, 05/01/17		1,070
		United Parcel Service of America, Inc.,
	340	8.375%, 04/01/20		475
	60	SUB, 8.375%, 04/01/30		88

				13,639

		Total Industrials		29,438

		Information Technology — 0.9%
		Communications Equipment — 0.1%
		Cisco Systems, Inc.,
	878	5.500%, 02/22/16		1,029
	350	5.500%, 01/15/40		427
	755	5.900%, 02/15/39		956

				2,412


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Computers & Peripherals — 0.3%
		Dell, Inc.,
	1,280	3.100%, 04/01/16		1,367
	250	4.625%, 04/01/21		281
	300	7.100%, 04/15/28		381
		Hewlett-Packard Co.,
	275	2.950%, 08/15/12		277
	600	4.300%, 06/01/21		628
	781	4.375%, 09/15/21		824
	600	4.750%, 06/02/14		645
	1,345	5.400%, 03/01/17		1,518
	2,500	6.000%, 09/15/41		2,896
	1,230	6.125%, 03/01/14		1,344

				10,161

		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	170	3.375%, 11/01/15		174
	165	6.000%, 04/01/20		180
	1,080	6.875%, 07/01/13		1,156
	725	7.500%, 01/15/27		796

				2,306

		IT Services — 0.2%
	1,020	HP Enterprise Services LLC, 6.000%, 08/01/13		1,088
	409	International Business Machines Corp., 1.250%, 02/06/17		407
	2,600	5.700%, 09/14/17		3,159
	690	6.220%, 08/01/27		903
	1,075	7.625%, 10/15/18		1,456

				7,013

		Office Electronics — 0.0% (g)
		Xerox Corp.,
	270	4.500%, 05/15/21		276
	600	5.625%, 12/15/19		662
	550	6.750%, 02/01/17		637
	100	8.250%, 05/15/14		112

				1,687

		Semiconductors & Semiconductor Equipment — 0.1%
	697	Intel Corp., 3.300%, 10/01/21		739
	1,350	National Semiconductor Corp., 6.600%, 06/15/17		1,673
	750	Texas Instruments, Inc., 1.375%, 05/15/14		763

				3,175


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Software — 0.1%
	260	Intuit, Inc., 5.750%, 03/15/17		295
		Microsoft Corp.,
	720	1.625%, 09/25/15		743
	117	4.500%, 10/01/40		131
		Oracle Corp.,
	500	5.000%, 07/08/19		596
	1,412	5.250%, 01/15/16		1,637
	698	5.750%, 04/15/18		856
	465	6.500%, 04/15/38		622

				4,880

		Total Information Technology		31,634

		Materials — 0.5%
		Chemicals — 0.4%
	249	Air Products & Chemicals, Inc., 4.150%, 02/01/13		257
		Dow Chemical Co. (The),
	385	4.125%, 11/15/21		410
	203	4.250%, 11/15/20		218
	200	5.250%, 11/15/41		220
	1,250	6.000%, 10/01/12		1,287
	370	7.375%, 11/01/29		486
	250	7.600%, 05/15/14		284
	158	8.550%, 05/15/19		210
		E.I. du Pont de Nemours & Co.,
	635	1.950%, 01/15/16		655
	350	4.900%, 01/15/41		404
	1,610	6.000%, 07/15/18		2,010
	1,430	Monsanto Co., 7.375%, 08/15/12		1,471
		Mosaic Co. (The),
	280	3.750%, 11/15/21		292
	79	4.875%, 11/15/41		81
	875	Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13		911
		PPG Industries, Inc.,
	114	5.500%, 11/15/40		131
	415	5.750%, 03/15/13		434
	400	6.650%, 03/15/18		491
	350	9.000%, 05/01/21		484
		Praxair, Inc.,
	662	4.625%, 03/30/15		736
	885	5.250%, 11/15/14		986
		Union Carbide Corp.,
	1,000	7.500%, 06/01/25		1,189
	850	7.750%, 10/01/96		914

				14,561


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Metals & Mining — 0.1%
		BHP Billiton Finance USA Ltd., (Australia),
	667	1.625%, 02/24/17		669
	410	5.400%, 03/29/17		482
	400	5.500%, 04/01/14		439
	550	6.500%, 04/01/19		692
		Rio Tinto Finance USA Ltd., (Australia),
	115	3.500%, 11/02/20		120
	550	3.750%, 09/20/21		586
	650	9.000%, 05/01/19		897

				3,885

		Total Materials		18,446

		Telecommunication Services — 1.2%
		Diversified Telecommunication Services — 1.1%
	6	AT&T Corp., 8.000%, 11/15/31		9
		AT&T, Inc.,
	850	4.450%, 05/15/21		954
	3,417	4.950%, 01/15/13		3,545
	386	5.100%, 09/15/14		427
	170	5.350%, 09/01/40		192
	250	5.500%, 02/01/18		297
	2,700	6.300%, 01/15/38		3,337
	350	Bellsouth Capital Funding Corp., 7.120%, 07/15/97		423
		BellSouth Corp.,
	1,373	5.200%, 09/15/14		1,518
	450	6.875%, 10/15/31		553
		BellSouth Telecommunications, Inc.,
	884	6.300%, 12/15/15		941
	300	7.000%, 10/01/25		373
	2,500	British Telecommunications plc, (United Kingdom), 5.150%, 01/15/13		2,595
	600	Centel Capital Corp., 9.000%, 10/15/19		690
		CenturyLink, Inc.,
	1,380	6.450%, 06/15/21		1,461
	920	Series P, 7.600%, 09/15/39		943
		Deutsche Telekom International Finance B.V., (Netherlands),
	336	2.250%, 03/06/17 (e)		334
	1,150	4.875%, 07/08/14		1,235
	232	4.875%, 03/06/42 (e)		228
	400	6.000%, 07/08/19		471
	255	8.750%, 06/15/30		363
	560	France Telecom S.A., (France), 2.750%, 09/14/16		582
	2,100	GTE Corp., 6.840%, 04/15/18		2,597


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Diversified Telecommunication Services — Continued
	741	Qwest Corp., 6.750%, 12/01/21		847
		Telecom Italia Capital S.A., (Luxembourg),
	1,000	4.950%, 09/30/14		1,009
	1,616	5.250%, 11/15/13		1,640
	750	6.999%, 06/04/18		772
		Telefonica Emisiones S.A.U., (Spain),
	316	5.462%, 02/16/21		318
	880	5.855%, 02/04/13		909
	515	5.877%, 07/15/19		537
	300	6.421%, 06/20/16		323
		Verizon Communications, Inc.,
	160	4.750%, 11/01/41		171
	650	5.500%, 04/01/17		766
	443	5.550%, 02/15/16		513
	100	5.850%, 09/15/35		121
	175	6.400%, 02/15/38		219
	1,250	7.350%, 04/01/39		1,723
	350	Verizon Global Funding Corp., 7.750%, 12/01/30		493
	1,444	Verizon Pennsylvania, Inc., 8.350%, 12/15/30		1,807
	962	Verizon Virginia, Inc., 4.625%, 03/15/13		1,000

				37,236

		Wireless Telecommunication Services — 0.1%
	640	America Movil S.A.B. de C.V., (Mexico), 2.375%, 09/08/16		654
	500	Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14		544
	475	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		487
	1,130	Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15		1,275

				2,960

		Total Telecommunication Services		40,196

		Utilities — 2.0%
		Electric Utilities — 1.4%
	222	Alabama Power Co., 6.125%, 05/15/38		292
		Arizona Public Service Co.,
	296	4.500%, 04/01/42		303
	467	5.050%, 09/01/41		518
		Carolina Power & Light Co.,
	888	5.125%, 09/15/13		948
	305	5.300%, 01/15/19		360
	1,421	CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14		1,541


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Electric Utilities — Continued
	1,005	Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17		1,260
	831	Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e)		876
	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		751
		Duke Energy Carolinas LLC,
	129	4.250%, 12/15/41		136
	650	5.100%, 04/15/18		759
	745	5.625%, 11/30/12		772
	1,310	Duke Energy Indiana, Inc., 6.350%, 08/15/38		1,775
	950	Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)		943
		Exelon Generation Co. LLC,
	1,020	4.000%, 10/01/20		1,067
	229	5.750%, 10/01/41		264
		Florida Power & Light Co.,
	410	5.950%, 10/01/33		526
	335	5.950%, 02/01/38		441
		Florida Power Corp.,
	280	5.650%, 06/15/18		337
	220	6.400%, 06/15/38		299
		Georgia Power Co.,
	200	5.950%, 02/01/39		255
	225	6.000%, 11/01/13		245
	229	Great Plains Energy, Inc., 4.850%, 06/01/21		245
	100	Indiana Michigan Power Co., 7.000%, 03/15/19		124
	100	Jersey Central Power & Light Co., 7.350%, 02/01/19		127
	755	John Sevier Combined Cycle Generation LLC, 4.626%, 01/15/42		811
	1,400	Kansas City Power & Light Co., 5.300%, 10/01/41		1,514
	71	Kiowa Power Partners LLC, 4.811%, 12/30/13 (e)		71
	105	MidAmerican Energy Co., 5.300%, 03/15/18		123
		Nevada Power Co.,
	55	5.375%, 09/15/40		65
	300	5.450%, 05/15/41		355
	720	6.500%, 08/01/18		881
		NextEra Energy Capital Holdings, Inc.,
	255	5.350%, 06/15/13		267
	670	6.000%, 03/01/19		785


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Electric Utilities — Continued
	265	7.875%, 12/15/15		318
	300	Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)		333
		Nisource Finance Corp.,
	360	4.450%, 12/01/21		381
	1,256	5.800%, 02/01/42		1,343
	500	Northern States Power Co., 6.250%, 06/01/36		674
		Ohio Power Co.,
	320	5.750%, 09/01/13		342
	310	6.050%, 05/01/18		367
		Oncor Electric Delivery Co. LLC,
	200	5.950%, 09/01/13		214
	840	6.800%, 09/01/18		1,028
	100	7.000%, 09/01/22		127
		Pacific Gas & Electric Co.,
	71	3.250%, 09/15/21		73
	390	4.500%, 12/15/41		408
	780	5.625%, 11/30/17		931
	160	8.250%, 10/15/18		213
		PacifiCorp,
	175	5.500%, 01/15/19		209
	150	5.650%, 07/15/18		181
	100	Peco Energy Co., 5.350%, 03/01/18		118
	1,050	Potomac Electric Power Co., 6.500%, 11/15/37		1,411
	300	Progress Energy, Inc., 6.050%, 03/15/14		331
	772	PSEG Power LLC, 5.125%, 04/15/20		858
		Public Service Co. of Colorado,
	90	3.200%, 11/15/20		95
	125	5.800%, 08/01/18		151
	2,450	Public Service Co. of Oklahoma, 6.625%, 11/15/37		3,148
		Public Service Electric & Gas Co.,
	205	5.300%, 05/01/18		245
	277	5.375%, 11/01/39		339
	2,000	6.330%, 11/01/13		2,176
	379	San Diego Gas & Electric Co., 3.950%, 11/15/41		387
		Southern California Edison Co.,
	160	4.150%, 09/15/14		173
	765	5.500%, 08/15/18		927
	391	5.750%, 03/15/14		430
	200	5.950%, 02/01/38		263
	1,140	6.050%, 03/15/39		1,528


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Electric Utilities — Continued
		Southern Co.,
	363	1.950%, 09/01/16		368
	250	4.150%, 05/15/14		268
	202	Southern Power Co., 5.150%, 09/15/41		219
	570	Southwestern Public Service Co., 8.750%, 12/01/18		772
		Spectra Energy Capital LLC,
	1,605	5.500%, 03/01/14		1,704
	500	6.200%, 04/15/18		580
	400	8.000%, 10/01/19		512
		Virginia Electric and Power Co.,
	1,005	5.100%, 11/30/12		1,039
	1,320	5.400%, 04/30/18		1,572
	615	5.950%, 09/15/17		743

				47,755

		Gas Utilities — 0.3%
		AGL Capital Corp.,
	563	3.500%, 09/15/21		568
	345	4.450%, 04/15/13		355
	1,441	5.875%, 03/15/41		1,741
	1,243	6.375%, 07/15/16		1,455
		Atmos Energy Corp.,
	105	5.125%, 01/15/13		109
	250	8.500%, 03/15/19		330
	298	Boston Gas Co., 4.487%, 02/15/42 (e)		303
	325	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		380
		TransCanada PipeLines Ltd., (Canada),
	975	4.000%, 06/15/13		1,010
	550	6.200%, 10/15/37		698
	250	6.500%, 08/15/18		312
	1,100	7.250%, 08/15/38		1,569

				8,830

		Independent Power Producers & Energy Traders — 0.1%
	1,500	PPL Energy Supply LLC, 4.600%, 12/15/21		1,557

		Multi-Utilities — 0.2%
		Dominion Resources, Inc.,
	900	5.250%, 08/01/33		1,001
	782	6.250%, 06/30/12		796
	300	7.000%, 06/15/38		413
	600	8.875%, 01/15/19		809
	1,005	KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12		1,040
	375	PG&E Corp., 5.750%, 04/01/14		410


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Multi-Utilities — Continued
		Sempra Energy,
	1,145	6.150%, 06/15/18		1,374
	150	6.500%, 06/01/16		178
	850	8.900%, 11/15/13		949
	395	9.800%, 02/15/19		541
		Wisconsin Electric Power Co.,
	21	2.950%, 09/15/21		22
	450	6.000%, 04/01/14		497
	265	6.250%, 12/01/15		311
	92	Xcel Energy, Inc., 4.800%, 09/15/41		100

				8,441

		Water Utilities — 0.0% (g)
	1,100	American Water Capital Corp., 6.085%, 10/15/17		1,288

		Total Utilities		67,871

		Total Corporate Bonds (Cost $613,138)		657,765

	Foreign Government Securities — 1.2%
		Israel Government AID Bond, (Israel),
	6,000	Zero Coupon, 08/15/17		5,539
	20,000	Zero Coupon, 03/15/18		18,114
	5,651	Zero Coupon, 08/15/18		5,043
	1,500	Zero Coupon, 11/01/23		1,049
	600	Province of Manitoba, (Canada), 2.125%, 04/22/13		611
		Province of Ontario, (Canada),
	700	2.700%, 06/16/15		739
	2,200	2.950%, 02/05/15		2,333
	377	Province of Quebec, (Canada), SUB, 7.365%, 03/06/26		537
		United Mexican States, (Mexico),
	1,432	6.375%, 01/16/13		1,492
	856	6.625%, 03/03/15		977
	3,328	7.500%, 04/08/33		4,676

		Total Foreign Government Securities (Cost $39,134)		41,110

	Mortgage Pass-Through Securities — 11.2%
		Federal Home Loan Mortgage Corp.,
	56	ARM, 2.104%, 07/01/19		59
	568	ARM, 2.189%, 10/01/36		598
	190	ARM, 2.345%, 10/01/36		202
	849	ARM, 2.355%, 12/01/33		892
	56	ARM, 2.356%, 04/01/30		60
	429	ARM, 2.470%, 12/01/36		459


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
	589	ARM, 2.473%, 11/01/36		627
	1,331	ARM, 2.486%, 03/01/37		1,422
	1,408	ARM, 2.506%, 04/01/34		1,486
	478	ARM, 2.579%, 02/01/36		508
	639	ARM, 2.693%, 12/01/34		676
	831	ARM, 2.882%, 10/01/36		885
	280	ARM, 3.158%, 02/01/37		298
	1,296	ARM, 4.912%, 02/01/36		1,386
	1,619	ARM, 4.994%, 01/01/35		1,732
	1,184	ARM, 5.069%, 07/01/36		1,267
	361	ARM, 5.577%, 05/01/36		387
	1,685	ARM, 6.006%, 11/01/36		1,794
		Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	1,461	4.000%, 08/01/18 - 05/01/19		1,550
	257	4.500%, 08/01/18		280
	776	5.000%, 12/01/18		838
	6,262	5.500%, 06/01/17 - 01/01/24		6,801
	88	6.000%, 04/01/18		94
	917	6.500%, 08/01/16 - 02/01/19		1,009
	107	7.000%, 01/01/17 - 04/01/17		110
	1	7.500%, 10/01/14 - 11/01/15		1
	4	8.500%, 11/01/15		4
		Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	216	6.000%, 12/01/22		237
	596	6.500%, 11/01/22		666
		Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	4,568	4.000%, 10/01/33 - 09/01/35		4,809
	8,527	4.500%, 05/01/41		9,064
	5,174	5.000%, 09/01/34 - 08/01/40		5,595
	3,904	5.500%, 10/01/33 - 07/01/35		4,279
	683	6.000%, 12/01/33 - 01/01/34		765
	4,091	6.500%, 11/01/34 - 11/01/36		4,632
	954	7.000%, 07/01/32 - 10/01/36		1,103
	1,187	Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30		1,424
		Federal Home Loan Mortgage Corp. Gold Pools, Other,
	634	5.500%, 10/01/33 - 01/01/34		683
	1,875	6.000%, 02/01/33		2,057
	169	7.000%, 07/01/29		186
		Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	8	12.000%, 08/01/15 - 07/01/19		9
		Federal National Mortgage Association,


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	21	ARM, 1.911%, 03/01/19		21
	661	ARM, 2.049%, 11/01/34		697
	1,129	ARM, 2.051%, 01/01/33		1,181
	2,108	ARM, 2.056%, 01/01/35		2,227
	225	ARM, 2.063%, 09/01/34		229
	1,098	ARM, 2.120%, 05/01/35		1,159
	507	ARM, 2.126%, 01/01/36		529
	1,970	ARM, 2.131%, 09/01/35		2,075
	853	ARM, 2.190%, 07/01/36		899
	344	ARM, 2.235%, 07/01/34		361
	426	ARM, 2.236%, 04/01/34		445
	1,088	ARM, 2.248%, 11/01/34		1,148
	329	ARM, 2.277%, 11/01/33		345
	1,133	ARM, 2.315%, 10/01/34		1,202
	774	ARM, 2.320%, 10/01/34		821
	286	ARM, 2.340%, 09/01/35		304
	966	ARM, 2.341%, 01/01/35		1,022
	894	ARM, 2.347%, 08/01/34		941
	164	ARM, 2.358%, 07/01/33		172
	1,464	ARM, 2.379%, 06/01/35		1,553
	1,159	ARM, 2.381%, 07/01/33		1,229
	421	ARM, 2.383%, 09/01/34		447
	507	ARM, 2.386%, 08/01/34		538
	2,588	ARM, 2.405%, 04/01/35		2,734
	839	ARM, 2.452%, 05/01/34		883
	265	ARM, 2.470%, 05/01/35		282
	92	ARM, 2.498%, 04/01/34		98
	509	ARM, 2.516%, 06/01/36		542
	458	ARM, 2.547%, 10/01/34		484
	732	ARM, 2.560%, 09/01/33		778
	260	ARM, 2.565%, 01/01/34		276
	10	ARM, 2.576%, 01/01/19		10
	319	ARM, 2.601%, 02/01/35		338
	669	ARM, 2.671%, 04/01/35		702
	788	ARM, 2.825%, 10/01/36		841
	210	ARM, 3.000%, 02/01/34		221
	110	ARM, 3.084%, 09/01/27		115
	147	ARM, 3.199%, 01/01/36		155
	105	ARM, 3.898%, 03/01/29		112
	1,251	ARM, 4.935%, 07/01/33		1,334
	722	ARM, 5.236%, 01/01/38		771
	1,287	ARM, 5.611%, 01/01/23		1,400
		Federal National Mortgage Association, 15 Year, Single Family,
	1,419	3.500%, 09/01/18 - 07/01/19		1,492
	15,256	4.000%, 07/01/18 - 12/01/18		16,271


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
	8,375	4.500%, 06/01/18 - 12/01/19		9,044
	2,114	5.000%, 12/01/16 - 08/01/24		2,287
	1,967	5.500%, 03/01/20 - 07/01/20		2,144
	10,739	6.000%, 06/01/16 - 01/01/24		11,616
	366	6.500%, 03/01/17 - 08/01/20		404
	458	7.000%, 03/01/17 - 09/01/17		496
	17	7.500%, 03/01/17		19
	9	8.000%, 11/01/12 - 11/01/15		10
		Federal National Mortgage Association, 20 Year, Single Family,
	380	4.500%, 04/01/24		412
	2,088	6.500%, 05/01/22 - 04/01/25		2,343
		Federal National Mortgage Association, 30 Year, FHA/VA,
	123	6.000%, 09/01/33		137
	2,205	6.500%, 03/01/29 - 08/01/39		2,535
	48	7.000%, 02/01/33		56
	71	8.000%, 06/01/28		85
	48	9.000%, 05/01/18 - 12/01/25		52
		Federal National Mortgage Association, 30 Year, Single Family,
	1,152	4.500%, 11/01/33 - 02/01/35		1,230
	3,034	5.000%, 07/01/33 - 09/01/35		3,328
	4,576	5.500%, 09/01/31 - 02/01/38		5,044
	5,662	6.000%, 12/01/28 - 09/01/37		6,303
	2,128	6.500%, 11/01/29 - 08/01/31		2,438
	2,162	7.000%, 01/01/24 - 01/01/39		2,477
	1,018	7.500%, 08/01/36 - 11/01/37		1,230
	815	8.000%, 03/01/27 - 11/01/28		986
	2	9.000%, 04/01/26		2
	17	9.500%, 07/01/28		19
	9	12.500%, 01/01/16		10
		Federal National Mortgage Association, Other,
	1,000	1.000%, 03/01/22		1,000
	1,498	1.031%, 01/01/19		1,498
	2,000	2.140%, 04/01/19		2,003
	5,893	2.490%, 10/01/17		6,107
	7,000	2.690%, 10/01/17		7,310
	3,250	2.750%, 03/01/22		3,270
	3,918	2.970%, 11/01/18		4,117
	4,500	3.000%, 02/01/22		4,590
	7,304	3.070%, 01/01/22		7,629
	2,000	3.120%, 01/01/22		2,084
	2,845	3.160%, 02/01/22		2,970
	4,000	3.200%, 02/01/22		4,176
	10,000	3.230%, 11/01/20		10,564
	1,545	3.255%, 12/01/21		1,618
	2,297	3.260%, 01/01/22		2,395


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	2,000	3.290%, 10/01/20		2,131
	2,000	3.461%, 11/01/20		2,128
	2,000	3.503%, 08/01/17		2,148
	1,998	3.520%, 01/01/18		2,161
	1,503	3.544%, 09/01/20		1,608
	2,947	3.600%, 09/01/20		3,179
	7,728	3.621%, 09/01/20		8,305
	999	3.640%, 01/01/25		1,055
	4,961	3.658%, 10/01/20		5,330
	1,958	3.740%, 07/01/20		2,125
	3,000	3.802%, 09/01/20		3,247
	5,000	3.890%, 09/01/21		5,468
	2,983	3.906%, 09/01/21		3,241
	6,958	3.916%, 09/01/21		7,565
	2,000	3.930%, 07/01/20		2,193
	4,750	3.980%, 11/01/16		5,062
	1,540	3.999%, 01/01/21		1,684
	1,439	4.000%, 11/01/33		1,478
	2,000	4.061%, 01/01/21		2,195
	7,956	4.081%, 07/01/20 - 07/01/21		8,732
	2,961	4.130%, 07/01/20 - 08/01/21		3,289
	2,380	4.250%, 04/01/21		2,658
	1,714	4.257%, 04/01/20		1,897
	2,000	4.260%, 07/01/21		2,236
	3,000	4.267%, 11/01/19		3,321
	2,096	4.290%, 06/01/20		2,344
	1,500	4.350%, 04/01/20		1,683
	1,480	4.380%, 01/01/21		1,665
	1,941	4.381%, 11/01/19		2,161
	2,000	4.390%, 05/01/21		2,252
	2,000	4.391%, 04/01/21		2,233
	2,470	4.443%, 08/01/20 - 04/01/21		2,735
	1,483	4.444%, 01/01/21		1,668
	1,982	4.474%, 04/01/21		2,223
	5,000	4.484%, 06/01/21		5,613
	968	4.500%, 03/01/20		1,083
	980	4.514%, 04/01/20		1,104
	1,961	4.515%, 02/01/20		2,207
	7,844	4.530%, 12/01/19		8,877
	4,385	4.540%, 01/01/20		4,956
	2,000	4.546%, 02/01/20		2,250
	2,969	4.629%, 02/01/21		3,355
	3,958	4.794%, 01/01/21		4,497
	770	5.500%, 03/01/17 - 09/01/33		831
	3,519	6.000%, 09/01/37 - 06/01/39		3,766
	2,474	6.070%, 11/01/18		2,681
	1,117	6.500%, 01/01/36 - 07/01/36		1,251


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
	110	7.000%, 10/01/46		124
	116	10.890%, 04/15/19		132
		Government National Mortgage Association II, 30 Year, Single Family,
	572	4.500%, 08/20/33		630
	9,855	6.000%, 09/20/38		11,049
	87	7.500%, 02/20/28 - 09/20/28		104
	137	8.000%, 12/20/25 - 09/20/28		165
	43	8.500%, 05/20/25		52
		Government National Mortgage Association, 15 Year, Single Family,
	115	6.500%, 06/15/17		127
	139	8.000%, 01/15/16		151
		Government National Mortgage Association, 30 Year, Single Family,
	436	6.500%, 03/15/28 - 04/15/33		509
	310	7.000%, 02/15/33 - 06/15/33		370
	92	7.500%, 11/15/22 - 11/15/31		104
	22	8.000%, 09/15/22 - 08/15/28		24
	5	9.000%, 12/15/16		5
	1,257	9.500%, 10/15/24		1,502

		Total Mortgage Pass-Through Securities (Cost $366,143)		387,275

	Municipal Bonds — 0.2%
		Illinois — 0.0% (g)
	140	State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33		134

		New York — 0.1%
	350	New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, Rev., 5.600%, 03/15/40		426
	1,815	Port Authority of New York & New Jersey, Rev., 5.647%, 11/01/40		2,171

				2,597

		Ohio — 0.1%
	1,300	American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50		1,687
	1,563	Ohio State University (The), Series A, Rev., 4.800%, 06/01/11		1,659

				3,346

		Total Municipal Bonds (Cost $5,147)		6,077

	Supranational — 0.0% (g)
		Corp. Andina de Fomento,
	641	3.750%, 01/15/16		659
	397	5.200%, 05/21/13		412

		Total Supranational (Cost $1,045)		1,071


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	U.S. Government Agency Securities — 1.4%
	1,000	Federal Farm Credit Bank, 5.125%, 11/15/18		1,210
	1,500	Federal Home Loan Banks, 5.500%, 07/15/36		1,924
		Federal National Mortgage Association,
	6,000	Zero Coupon, 06/01/17		5,561
	1,000	5.000%, 05/11/17		1,193
		Financing Corp. Fico,
	2,000	Zero Coupon, 04/05/19		1,735
	1,000	Zero Coupon, 09/26/19		852
		Government Trust Certificate,
	4,000	Zero Coupon, 10/01/15		3,793
	5,000	Zero Coupon, 04/01/16		4,682
	13,319	Zero Coupon, 10/01/19		11,024
		Residual Funding Corp., STRIPS,
	9,900	Zero Coupon, 07/15/20		8,248
	4,800	Zero Coupon, 10/15/20		3,945
	300	Tennessee Valley Authority, 4.625%, 09/15/60		342
	2,000	Tennessee Valley Authority Generic STRIPS, Zero Coupon, 05/01/19		1,716

		Total U.S. Government Agency Securities (Cost $44,592)		46,225

	U.S. Treasury Obligations — 23.4%
		U.S. Treasury Bonds,
	4,175	4.500%, 02/15/36		5,309
	300	4.500%, 08/15/39		384
	100	4.750%, 02/15/37		132
	1,250	5.375%, 02/15/31		1,742
	750	6.125%, 11/15/27		1,094
	300	6.125%, 08/15/29		445
	1,046	6.250%, 08/15/23		1,485
	900	6.250%, 05/15/30		1,363
	400	6.625%, 02/15/27		605
	500	7.125%, 02/15/23		750
	4,000	7.500%, 11/15/16		5,236
	1,881	7.875%, 02/15/21		2,849
	864	8.125%, 05/15/21		1,334
	2,125	8.500%, 02/15/20		3,245
	1,500	8.750%, 05/15/20		2,334
	6,675	8.750%, 08/15/20		10,456
	21,585	8.875%, 08/15/17		30,703
		U.S. Treasury Inflation Indexed Bonds,
	300	2.500%, 01/15/29		429
	799	3.625%, 04/15/28 (m)		1,690
		U.S. Treasury Inflation Indexed Notes,
	1,000	0.500%, 04/15/15		1,109
	1,000	1.125%, 01/15/21		1,179


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	U.S. Treasury Obligations — Continued
	630	1.375%, 07/15/18		763
	5,000	2.000%, 04/15/12		5,591
	1,000	2.000%, 01/15/14		1,313
		U.S. Treasury Notes,
	11,445	1.375%, 11/30/18		11,474
	2,150	1.500%, 08/31/18		2,180
	31,000	1.750%, 10/31/18 (m)		31,862
	12,245	2.125%, 12/31/15		12,949
	21,200	2.625%, 12/31/14		22,505
	1,000	2.625%, 02/29/16		1,078
	4,575	2.625%, 04/30/16		4,937
	9,300	2.625%, 01/31/18		10,112
	19,485	2.750%, 05/31/17		21,290
	7,500	2.750%, 12/31/17		8,206
	8,000	3.125%, 10/31/16		8,850
	6,015	3.125%, 04/30/17		6,684
	10,933	3.125%, 05/15/19		12,207
	14,950	3.250%, 12/31/16		16,655
	12,300	3.250%, 03/31/17		13,734
	3,725	4.500%, 11/15/15		4,260
	10,000	4.750%, 08/15/17		12,005
		U.S. Treasury STRIPS,
	14,400	02/15/14 (m)		14,310
	7,265	08/15/14 (m)		7,195
	23,253	11/15/14 (m)		22,984
	16,930	02/15/15 (m)		16,686
	8,500	02/15/15		8,381
	3,626	05/15/15		3,565
	3,253	08/15/15		3,190
	10,350	08/15/15		10,150
	28,397	11/15/15		27,763
	5,445	11/15/15		5,348
	51,751	02/15/16		50,416
	13,325	05/15/16		12,906
	1,000	05/15/16		970
	5,181	08/15/16		4,994
	15,857	11/15/16		15,209
	20,229	02/15/17		19,298
	21,411	08/15/17		20,209
	19,389	11/15/17		18,182
	2,000	02/15/18		1,862
	3,400	05/15/18		3,143
	16,241	08/15/18		14,897
	6,982	02/15/19		6,312
	9,595	05/15/19		8,600
	22,210	08/15/19		19,758


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	1,250	02/15/20		1,092
	60,702	05/15/20 (m)		52,553
	250	05/15/20		218
	36,775	08/15/20 (m)		31,562
	1,000	11/15/20		850
	8,000	05/15/21		6,667
	3,750	08/15/21		3,094
	4,925	11/15/21		4,026
	1,278	02/15/22		1,034
	5,487	02/15/23		4,255
	1,500	05/15/23		1,151
	200	05/15/24		147
	600	08/15/24		435
	1,400	11/15/24		1,004
	1,000	02/15/26		677
	1,500	05/15/26		1,005
	2,400	08/15/26		1,591
	28,150	11/15/26		18,460
	27,350	02/15/27		17,749
	3,550	05/15/27		2,281
	5,000	08/15/27		3,181
	800	11/15/27		504
	7,050	02/15/28		4,397
	1,600	05/15/28		989
	3,000	08/15/28		1,837
	2,500	11/15/28		1,516
	925	02/15/29		556
	1,600	08/15/29		943
	1,650	11/15/29		963
	21,300	02/15/30		12,325
	2,000	05/15/30		1,147
	8,200	08/15/30		4,655
	7,425	11/15/30		4,177
	600	02/15/31		334
	1,550	05/15/31		854
	1,500	08/15/31		819
	3,000	11/15/31		1,623
	350	02/15/32		187
	1,000	05/15/32		530
	350	08/15/32		184
	5,640	11/15/32		2,935
	10,150	05/15/33		5,181
	3,050	08/15/33		1,541
	3,500	11/15/33		1,751
	4,000	02/15/34		1,983
	2,800	05/15/34		1,373


SHARES
	Short-Term Investment — 2.4%
		Investment Company — 2.4%
	83,998	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.170% (b) (l) (Cost $83,998)		83,998

		Total Investments — 99.8% (Cost $3,201,525)		3,450,281
		Other Assets in Excess of Liabilities — 0.2%		8,040

		NET ASSETS — 100.0%	$	3,458,321

Percentages indicated are based on net assets.


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — 98.8%
		Consumer Discretionary — 10.7%
		Auto Components — 0.3%
	3	BorgWarner, Inc. (a)		219
	6	Goodyear Tire & Rubber Co. (The) (a)		75
	16	Johnson Controls, Inc.		534

				828

		Automobiles — 0.4%
	91	Ford Motor Co.		1,132
	6	Harley-Davidson, Inc.		260

				1,392

		Distributors — 0.1%
	4	Genuine Parts Co.		235

		Diversified Consumer Services — 0.1%
	3	Apollo Group, Inc., Class A (a)		119
	1	DeVry, Inc.		52
	7	H&R Block, Inc.		115

				286

		Hotels, Restaurants & Leisure — 1.9%
	11	Carnival Corp.		330
	1	Chipotle Mexican Grill, Inc. (a)		294
	3	Darden Restaurants, Inc.		162
	7	International Game Technology		107
	6	Marriott International, Inc., Class A		227
	25	McDonald’s Corp.		2,444
	18	Starbucks Corp.		871
	5	Starwood Hotels & Resorts Worldwide, Inc.		249
	4	Wyndham Worldwide Corp.		161
	2	Wynn Resorts Ltd.		226
	11	Yum! Brands, Inc.		734

				5,805

		Household Durables — 0.2%
	7	D.R. Horton, Inc.		96
	2	Harman International Industries, Inc.		83
	3	Leggett & Platt, Inc.		76
	4	Lennar Corp., Class A		90
	7	Newell Rubbermaid, Inc.		127
	8	PulteGroup, Inc. (a)		72
	2	Whirlpool Corp.		139

				683

		Internet & Catalog Retail — 0.9%
	9	Amazon.com, Inc. (a)		1,572
	2	Expedia, Inc.		78
	1	NetFlix, Inc. (a)		147
	1	priceline.com, Inc. (a)		751


SHARES			SECURITY DESCRIPTION	VALUE($)


			Internet & Catalog Retail — Continued
	2		TripAdvisor, Inc. (a)		73

					2,621

			Leisure Equipment & Products — 0.1%
	3		Hasbro, Inc.		99
	8		Mattel, Inc.		264

					363

			Media — 3.2%
	5		Cablevision Systems Corp., Class A		76
	16		CBS Corp. (Non-Voting), Class B		471
	66		Comcast Corp., Class A		1,926
	17		DIRECTV, Class A (a)		786
	6		Discovery Communications, Inc., Class A (a)		296
	6		Gannett Co., Inc.		85
	11		Interpublic Group of Cos., Inc. (The)		130
	7		McGraw-Hill Cos., Inc. (The)		311
	53		News Corp., Class A		1,048
	7		Omnicom Group, Inc.		328
	2		Scripps Networks Interactive, Inc., Class A		106
	8		Time Warner Cable, Inc.		609
	24		Time Warner, Inc.		896
	13		Viacom, Inc., Class B		632
	43		Walt Disney Co. (The)		1,815
	—	(h)	Washington Post Co. (The), Class B		46

					9,561

			Multiline Retail — 0.8%
	2		Big Lots, Inc. (a)		69
	3		Dollar Tree, Inc. (a)		253
	3		Family Dollar Stores, Inc.		153
	3		J.C. Penney Co., Inc.		136
	6		Kohl’s Corp.		303
	10		Macy’s, Inc.		383
	4		Nordstrom, Inc.		209
	1		Sears Holdings Corp. (a)		64
	16		Target Corp.		916

					2,486

			Specialty Retail — 2.0%
	2		Abercrombie & Fitch Co., Class A		95
	1		AutoNation, Inc. (a)		39
	1		AutoZone, Inc. (a)		252
	6		Bed Bath & Beyond, Inc. (a)		345
	7		Best Buy Co., Inc.		174
	5		CarMax, Inc. (a)		167
	3		GameStop Corp., Class A		76


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Specialty Retail — Continued
	8	Gap, Inc. (The)		195
	37	Home Depot, Inc. (The)		1,764
	6	Limited Brands, Inc.		275
	30	Lowe’s Cos., Inc.		855
	3	O’Reilly Automotive, Inc. (a)		267
	6	Ross Stores, Inc.		297
	17	Staples, Inc.		247
	3	Tiffany & Co.		198
	18	TJX Cos., Inc.		664
	3	Urban Outfitters, Inc. (a)		76

				5,986

		Textiles, Apparel & Luxury Goods — 0.7%
	7	Coach, Inc.		525
	9	NIKE, Inc., Class B		963
	2	Ralph Lauren Corp.		270
	2	V.F. Corp.		306

				2,064

		Total Consumer Discretionary		32,310

		Consumer Staples — 10.7%
		Beverages — 2.4%
	4	Beam, Inc.		206
	2	Brown-Forman Corp., Class B		198
	55	Coca-Cola Co. (The)		3,817
	8	Coca-Cola Enterprises, Inc.		217
	4	Constellation Brands, Inc., Class A (a)		91
	5	Dr. Pepper Snapple Group, Inc.		196
	4	Molson Coors Brewing Co., Class B		167
	38	PepsiCo, Inc.		2,367

				7,259

		Food & Staples Retailing — 2.3%
	10	Costco Wholesale Corp.		897
	31	CVS Caremark Corp.		1,412
	14	Kroger Co. (The)		342
	8	Safeway, Inc.		176
	5	SUPERVALU, Inc.		33
	14	Sysco Corp.		418
	21	Walgreen Co.		709
	42	Wal-Mart Stores, Inc.		2,482
	4	Whole Foods Market, Inc.		310

				6,779

		Food Products — 1.8%
	16	Archer-Daniels-Midland Co.		501
	4	Campbell Soup Co.		144


SHARES		SECURITY DESCRIPTION	VALUE($)


		Food Products — Continued
	10	ConAgra Foods, Inc.		262
	4	Dean Foods Co. (a)		54
	15	General Mills, Inc.		593
	8	H.J. Heinz Co.		406
	4	Hershey Co. (The)		223
	3	Hormel Foods Corp.		94
	3	JM Smucker Co. (The)		206
	6	Kellogg Co.		312
	42	Kraft Foods, Inc., Class A		1,618
	3	McCormick & Co., Inc. (Non-Voting)		161
	5	Mead Johnson Nutrition Co.		381
	14	Sara Lee Corp.		288
	7	Tyson Foods, Inc., Class A		133

				5,376

		Household Products — 2.1%
	3	Clorox Co. (The)		214
	12	Colgate-Palmolive Co.		1,085
	9	Kimberly-Clark Corp.		691
	66	Procter & Gamble Co. (The)		4,469

				6,459

		Personal Products — 0.2%
	10	Avon Products, Inc.		194
	5	Estee Lauder Cos., Inc. (The), Class A		314

				508

		Tobacco — 1.9%
	49	Altria Group, Inc.		1,489
	3	Lorillard, Inc.		426
	42	Philip Morris International, Inc.		3,489
	8	Reynolds American, Inc.		341

				5,745

		Total Consumer Staples		32,126

		Energy — 11.9%
		Energy Equipment & Services — 2.0%
	10	Baker Hughes, Inc.		528
	6	Cameron International Corp. (a)		329
	2	Diamond Offshore Drilling, Inc.		114
	6	FMC Technologies, Inc. (a)		289
	22	Halliburton Co.		810
	3	Helmerich & Payne, Inc.		158
	7	Nabors Industries Ltd., (Bermuda) (a)		151
	10	National Oilwell Varco, Inc.		841
	6	Noble Corp., (Switzerland) (a)		246
	3	Rowan Cos., Inc. (a)		111


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Energy Equipment & Services — Continued
	32	Schlumberger Ltd.		2,506

				6,083

		Oil, Gas & Consumable Fuels — 9.9%
	5	Alpha Natural Resources, Inc. (a)		98
	12	Anadarko Petroleum Corp.		1,008
	9	Apache Corp.		997
	5	Cabot Oil & Gas Corp.		175
	16	Chesapeake Energy Corp.		397
	48	Chevron Corp.		5,227
	32	ConocoPhillips		2,445
	5	Consol Energy, Inc.		195
	10	Denbury Resources, Inc. (a)		190
	10	Devon Energy Corp.		712
	19	El Paso Corp.		516
	6	EOG Resources, Inc.		736
	4	EQT Corp.		191
	115	Exxon Mobil Corp.		9,973
	7	Hess Corp.		465
	17	Marathon Oil Corp.		574
	9	Marathon Petroleum Corp.		356
	5	Murphy Oil Corp.		298
	3	Newfield Exploration Co. (a)		115
	4	Noble Energy, Inc.		412
	20	Occidental Petroleum Corp.		2,038
	7	Peabody Energy Corp.		227
	3	Pioneer Natural Resources Co.		323
	4	QEP Resources, Inc.		145
	4	Range Resources Corp.		240
	8	Southwestern Energy Co. (a)		276
	16	Spectra Energy Corp.		491
	3	Sunoco, Inc.		99
	3	Tesoro Corp. (a)		91
	13	Valero Energy Corp.		330
	14	Williams Cos., Inc. (The)		424
	5	WPX Energy, Inc. (a)		86

				29,850

		Total Energy		35,933

		Financials — 14.1%
		Capital Markets — 1.9%
	5	Ameriprise Financial, Inc.		303
	29	Bank of New York Mellon Corp. (The)		645
	2	BlackRock, Inc.		480
	26	Charles Schwab Corp. (The)		360
	6	E*Trade Financial Corp. (a)		59


SHARES		SECURITY DESCRIPTION	VALUE($)


		Capital Markets — Continued
	2	Federated Investors, Inc., Class B		45
	4	Franklin Resources, Inc.		413
	12	Goldman Sachs Group, Inc. (The)		1,364
	11	Invesco Ltd.		269
	3	Legg Mason, Inc.		82
	36	Morgan Stanley		662
	6	Northern Trust Corp.		257
	12	State Street Corp.		500
	6	T. Rowe Price Group, Inc.		374

				5,813

		Commercial Banks — 2.7%
	17	BB&T Corp.		490
	5	Comerica, Inc.		142
	22	Fifth Third Bancorp		301
	6	First Horizon National Corp.		60
	21	Huntington Bancshares, Inc.		121
	23	KeyCorp		186
	3	M&T Bank Corp.		247
	13	PNC Financial Services Group, Inc.		753
	30	Regions Financial Corp.		174
	13	SunTrust Banks, Inc.		297
	46	U.S. Bancorp		1,350
	127	Wells Fargo & Co.		3,969
	4	Zions Bancorp		84

				8,174

		Consumer Finance — 0.9%
	24	American Express Co.		1,285
	13	Capital One Financial Corp.		674
	13	Discover Financial Services		397
	12	SLM Corp.		193

				2,549

		Diversified Financial Services — 3.0%
	244	Bank of America Corp.		1,943
	70	Citigroup, Inc.		2,344
	2	CME Group, Inc.		462
	2	IntercontinentalExchange, Inc. (a)		241
	91	JPMorgan Chase & Co. (q)		3,586
	5	Leucadia National Corp.		136
	5	Moody’s Corp.		181
	3	NASDAQ OMX Group, Inc. (The) (a)		81
	6	NYSE Euronext		188

				9,162


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Insurance — 3.5%
	8	ACE Ltd., (Switzerland)		581
	11	Aflac, Inc.		531
	12	Allstate Corp. (The)		382
	11	American International Group, Inc. (a)		307
	8	Aon Corp.		364
	2	Assurant, Inc.		94
	42	Berkshire Hathaway, Inc., Class B (a)		3,318
	7	Chubb Corp. (The)		455
	4	Cincinnati Financial Corp.		137
	12	Genworth Financial, Inc., Class A (a)		107
	11	Hartford Financial Services Group, Inc.		222
	7	Lincoln National Corp.		180
	7	Loews Corp.		287
	13	Marsh & McLennan Cos., Inc.		404
	25	MetLife, Inc.		981
	7	Principal Financial Group, Inc.		203
	15	Progressive Corp. (The)		318
	11	Prudential Financial, Inc.		694
	2	Torchmark Corp.		119
	10	Travelers Cos., Inc. (The)		576
	7	Unum Group		162
	8	XL Group plc, (Ireland)		160

				10,582

		Real Estate Investment Trusts (REITs) — 1.9%
	9	American Tower Corp.		592
	3	Apartment Investment & Management Co., Class A		72
	2	AvalonBay Communities, Inc.		297
	4	Boston Properties, Inc.		361
	7	Equity Residential		406
	10	HCP, Inc.		387
	5	Health Care REIT, Inc.		272
	17	Host Hotels & Resorts, Inc.		268
	10	Kimco Realty Corp.		180
	4	Plum Creek Timber Co., Inc.		152
	11	ProLogis, Inc.		371
	3	Public Storage		458
	7	Simon Property Group, Inc.		957
	7	Ventas, Inc.		387
	4	Vornado Realty Trust		363
	13	Weyerhaeuser Co.		269

				5,792

		Real Estate Management & Development — 0.1%
	8	CBRE Group, Inc., Class A (a)		143


SHARES		SECURITY DESCRIPTION	VALUE($)


		Thrifts & Mortgage Finance — 0.1%
	13	Hudson City Bancorp, Inc.		87
	9	People’s United Financial, Inc.		109

				196

		Total Financials		42,411

		Health Care — 11.2%
		Biotechnology — 1.2%
	19	Amgen, Inc.		1,297
	6	Biogen Idec, Inc. (a)		680
	11	Celgene Corp. (a)		783
	18	Gilead Sciences, Inc. (a)		822

				3,582

		Health Care Equipment & Supplies — 1.8%
	14	Baxter International, Inc.		788
	5	Becton, Dickinson & Co.		394
	36	Boston Scientific Corp. (a)		221
	2	C.R. Bard, Inc.		193
	5	CareFusion Corp. (a)		139
	12	Covidien plc, (Ireland)		606
	3	DENTSPLY International, Inc.		132
	3	Edwards Lifesciences Corp. (a)		201
	1	Intuitive Surgical, Inc. (a)		480
	25	Medtronic, Inc.		968
	8	St. Jude Medical, Inc.		323
	8	Stryker Corp.		420
	3	Varian Medical Systems, Inc. (a)		177
	4	Zimmer Holdings, Inc. (a)		262

				5,304

		Health Care Providers & Services — 2.1%
	9	Aetna, Inc.		408
	6	AmerisourceBergen Corp.		232
	8	Cardinal Health, Inc.		345
	7	Cigna Corp.		303
	3	Coventry Health Care, Inc. (a)		113
	2	DaVita, Inc. (a)		195
	12	Express Scripts, Inc. (a)		624
	4	Humana, Inc.		343
	2	Laboratory Corp. of America Holdings (a)		214
	6	McKesson Corp.		493
	9	Medco Health Solutions, Inc. (a)		629
	2	Patterson Cos., Inc.		72
	4	Quest Diagnostics, Inc.		220
	10	Tenet Healthcare Corp. (a)		59
	26	UnitedHealth Group, Inc.		1,430


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Health Care Providers & Services — Continued
	8	WellPoint, Inc.		549

				6,229

		Health Care Technology — 0.1%
	4	Cerner Corp. (a)		259

		Life Sciences Tools & Services — 0.4%
	8	Agilent Technologies, Inc. (a)		364
	4	Life Technologies Corp. (a)		203
	3	PerkinElmer, Inc.		74
	9	Thermo Fisher Scientific, Inc. (a)		515
	2	Waters Corp. (a)		193

				1,349

		Pharmaceuticals — 5.6%
	37	Abbott Laboratories		2,121
	7	Allergan, Inc.		657
	41	Bristol-Myers Squibb Co.		1,311
	25	Eli Lilly & Co.		962
	6	Forest Laboratories, Inc. (a)		209
	4	Hospira, Inc. (a)		141
	66	Johnson & Johnson		4,275
	73	Merck & Co., Inc.		2,799
	10	Mylan, Inc. (a)		241
	2	Perrigo Co.		231
	185	Pfizer, Inc.		3,902
	3	Watson Pharmaceuticals, Inc. (a)		178

				17,027

		Total Health Care		33,750

		Industrials — 10.7%
		Aerospace & Defense — 2.6%
	18	Boeing Co. (The)		1,340
	9	General Dynamics Corp.		627
	3	Goodrich Corp.		379
	19	Honeywell International, Inc.		1,108
	2	L-3 Communications Holdings, Inc.		169
	6	Lockheed Martin Corp.		564
	6	Northrop Grumman Corp.		376
	3	Precision Castparts Corp.		581
	8	Raytheon Co.		421
	4	Rockwell Collins, Inc.		216
	7	Textron, Inc.		184
	22	United Technologies Corp.		1,828

				7,793

		Air Freight & Logistics — 1.0%
	4	C.H. Robinson Worldwide, Inc.		261


SHARES		SECURITY DESCRIPTION	VALUE($)


		Air Freight & Logistics — Continued
	5	Expeditors International of Washington, Inc.		222
	8	FedEx Corp.		687
	23	United Parcel Service, Inc., Class B		1,785

				2,955

		Airlines — 0.1%
	19	Southwest Airlines Co.		168

		Building Products — 0.0% (g)
	9	Masco Corp.		102

		Commercial Services & Supplies — 0.4%
	3	Avery Dennison Corp.		77
	3	Cintas Corp.		102
	4	Iron Mountain, Inc.		139
	5	Pitney Bowes, Inc.		87
	5	R.R. Donnelley & Sons Co.		63
	8	Republic Services, Inc.		226
	2	Stericycle, Inc. (a)		178
	11	Waste Management, Inc.		387

				1,259

		Construction & Engineering — 0.2%
	4	Fluor Corp.		247
	3	Jacobs Engineering Group, Inc. (a)		142
	5	Quanta Services, Inc. (a)		106

				495

		Electrical Equipment — 0.6%
	4	Cooper Industries plc		233
	18	Emerson Electric Co.		890
	3	Rockwell Automation, Inc.		273
	2	Roper Industries, Inc.		213

				1,609

		Industrial Conglomerates — 2.5%
	17	3M Co.		1,477
	14	Danaher Corp.		724
	254	General Electric Co.		4,837
	11	Tyco International Ltd., (Switzerland)		576

				7,614

		Machinery — 2.2%
	16	Caterpillar, Inc.		1,776
	5	Cummins, Inc.		559
	10	Deere & Co.		826
	4	Dover Corp.		286
	8	Eaton Corp.		420
	1	Flowserve Corp.		158


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Machinery — Continued
	12	Illinois Tool Works, Inc.		647
	8	Ingersoll-Rand plc, (Ireland)		299
	3	Joy Global, Inc.		220
	9	PACCAR, Inc.		397
	3	Pall Corp.		176
	4	Parker Hannifin Corp.		326
	1	Snap-on, Inc.		86
	4	Stanley Black & Decker, Inc.		312
	4	Xylem, Inc.		115

				6,603

		Professional Services — 0.1%
	1	Dun & Bradstreet Corp. (The)		97
	3	Equifax, Inc.		122
	3	Robert Half International, Inc.		98

				317

		Road & Rail — 0.8%
	25	CSX Corp.		531
	8	Norfolk Southern Corp.		557
	1	Ryder System, Inc.		65
	12	Union Pacific Corp.		1,281

				2,434

		Trading Companies & Distributors — 0.2%
	7	Fastenal Co.		374
	1	W.W. Grainger, Inc.		303

				677

		Total Industrials		32,026

		Information Technology — 19.9%
		Communications Equipment — 2.1%
	129	Cisco Systems, Inc.		2,571
	2	F5 Networks, Inc. (a)		239
	3	Harris Corp.		121
	6	JDS Uniphase Corp. (a)		72
	13	Juniper Networks, Inc. (a)		288
	6	Motorola Mobility Holdings, Inc. (a)		252
	7	Motorola Solutions, Inc.		343
	40	QUALCOMM, Inc.		2,514

				6,400

		Computers & Peripherals — 5.4%
	22	Apple, Inc. (a)		12,127
	37	Dell, Inc. (a)		635
	49	EMC Corp. (a)		1,359
	48	Hewlett-Packard Co.		1,209
	2	Lexmark International, Inc., Class A		64


SHARES		SECURITY DESCRIPTION	VALUE($)


		Computers & Peripherals — Continued
	9	NetApp, Inc. (a)		371
	6	SanDisk Corp. (a)		286
	6	Western Digital Corp. (a)		221

				16,272

		Electronic Equipment, Instruments & Components — 0.5%
	4	Amphenol Corp., Class A		223
	38	Corning, Inc.		493
	4	FLIR Systems, Inc.		98
	4	Jabil Circuit, Inc.		114
	3	Molex, Inc.		90
	10	TE Connectivity Ltd., (Switzerland)		373

				1,391

		Internet Software & Services — 1.8%
	4	Akamai Technologies, Inc. (a)		155
	28	eBay, Inc. (a)		988
	6	Google, Inc., Class A (a)		3,757
	4	VeriSign, Inc.		141
	30	Yahoo!, Inc. (a)		443

				5,484

		IT Services — 3.8%
	15	Accenture plc, (Ireland), Class A		918
	12	Automatic Data Processing, Inc.		639
	7	Cognizant Technology Solutions Corp., Class A (a)		516
	4	Computer Sciences Corp.		118
	6	Fidelity National Information Services, Inc.		185
	3	Fiserv, Inc. (a)		225
	28	International Business Machines Corp.		5,577
	3	MasterCard, Inc., Class A		1,077
	8	Paychex, Inc.		243
	7	SAIC, Inc. (a)		81
	4	Teradata Corp. (a)		268
	4	Total System Services, Inc.		85
	12	Visa, Inc., Class A		1,424
	15	Western Union Co. (The)		260

				11,616

		Office Electronics — 0.1%
	33	Xerox Corp.		274

		Semiconductors & Semiconductor Equipment — 2.4%
	14	Advanced Micro Devices, Inc. (a)		103
	8	Altera Corp.		297
	7	Analog Devices, Inc.		281
	31	Applied Materials, Inc.		384


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Semiconductors & Semiconductor Equipment — Continued
	12	Broadcom Corp., Class A (a)		434
	1	First Solar, Inc. (a)		46
	122	Intel Corp.		3,292
	4	KLA-Tencor Corp.		194
	5	Linear Technology Corp.		183
	14	LSI Corp. (a)		117
	5	Microchip Technology, Inc.		166
	24	Micron Technology, Inc. (a)		203
	2	Novellus Systems, Inc. (a)		74
	15	NVIDIA Corp. (a)		223
	4	Teradyne, Inc. (a) (c)		73
	27	Texas Instruments, Inc.		917
	6	Xilinx, Inc.		233

				7,220

		Software — 3.8%
	12	Adobe Systems, Inc. (a)		388
	5	Autodesk, Inc. (a)		207
	4	BMC Software, Inc. (a)		153
	9	CA, Inc.		241
	4	Citrix Systems, Inc. (a)		335
	8	Electronic Arts, Inc. (a)		130
	7	Intuit, Inc.		414
	180	Microsoft Corp.		5,716
	95	Oracle Corp.		2,770
	5	Red Hat, Inc. (a)		230
	3	Salesforce.com, Inc. (a)		468
	18	Symantec Corp. (a)		316

				11,368

		Total Information Technology		60,025

		Materials — 3.5%
		Chemicals — 2.3%
	5	Air Products & Chemicals, Inc.		457
	2	Airgas, Inc.		135
	2	CF Industries Holdings, Inc.		292
	28	Dow Chemical Co. (The)		953
	22	E.I. du Pont de Nemours & Co.		1,130
	3	Eastman Chemical Co.		179
	7	Ecolab, Inc.		433
	2	FMC Corp.		168
	2	International Flavors & Fragrances, Inc.		111
	13	Monsanto Co.		996
	7	Mosaic Co. (The)		414
	4	PPG Industries, Inc.		339
	7	Praxair, Inc.		786


SHARES		SECURITY DESCRIPTION	VALUE($)


		Chemicals — Continued
	2	Sherwin-Williams Co. (The)		214
	3	Sigma-Aldrich Corp.		208

				6,815

		Construction Materials — 0.0% (g)
	3	Vulcan Materials Co.		139

		Containers & Packaging — 0.1%
	4	Ball Corp.		157
	2	Bemis Co., Inc.		78
	4	Owens-Illinois, Inc. (a)		94
	5	Sealed Air Corp.		91

				420

		Metals & Mining — 0.9%
	26	Alcoa, Inc.		260
	3	Allegheny Technologies, Inc.		112
	3	Cliffs Natural Resources, Inc.		218
	23	Freeport-McMoRan Copper & Gold, Inc.		971
	12	Newmont Mining Corp.		707
	8	Nucor Corp.		332
	2	Titanium Metals Corp.		29
	3	United States Steel Corp.		94

				2,723

		Paper & Forest Products — 0.2%
	11	International Paper Co.		370
	4	MeadWestvaco Corp.		124

				494

		Total Materials		10,591

		Telecommunication Services — 2.7%
		Diversified Telecommunication Services — 2.6%
	143	AT&T, Inc.		4,361
	15	CenturyLink, Inc.		598
	24	Frontier Communications Corp.		110
	68	Verizon Communications, Inc.		2,595
	14	Windstream Corp.		169

				7,833

		Wireless Telecommunication Services — 0.1%
	7	MetroPCS Communications, Inc. (a)		73
	72	Sprint Nextel Corp. (a)		178

				251

		Total Telecommunication Services		8,084

		Utilities — 3.4%
		Electric Utilities — 1.8%
	12	American Electric Power Co., Inc.		437


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Electric Utilities — Continued
	32	Duke Energy Corp.		671
	8	Edison International		328
	4	Entergy Corp.		282
	16	Exelon Corp.		623
	10	FirstEnergy Corp.		446
	10	NextEra Energy, Inc.		605
	4	Northeast Utilities		153
	5	Pepco Holdings, Inc.		106
	3	Pinnacle West Capital Corp.		123
	14	PPL Corp.		397
	7	Progress Energy, Inc.		377
	21	Southern Co. (The)		916

				5,464

		Gas Utilities — 0.1%
	3	AGL Resources, Inc.		112
	2	ONEOK, Inc.		205

				317

		Independent Power Producers & Energy Traders — 0.2%
	16	AES Corp. (The) (a)		210
	5	Constellation Energy Group, Inc.		176
	6	NRG Energy, Inc. (a)		95

				481

		Multi-Utilities — 1.3%
	6	Ameren Corp.		187
	10	CenterPoint Energy, Inc.		200
	6	CMS Energy Corp.		130
	7	Consolidated Edison, Inc.		409
	14	Dominion Resources, Inc.		691
	4	DTE Energy Co.		220
	2	Integrys Energy Group, Inc.		97
	7	NiSource, Inc.		162
	10	PG&E Corp.		407
	12	Public Service Enterprise Group, Inc.		375
	3	SCANA Corp.		125
	6	Sempra Energy		341
	5	TECO Energy, Inc.		93
	6	Wisconsin Energy Corp.		190


SHARES		SECURITY DESCRIPTION	VALUE($)


		Multi-Utilities — Continued
	12	Xcel Energy, Inc.		309

				3,936

		Total Utilities		10,198

		Total Common Stocks (Cost $210,771)		297,454

	Investment Company — 0.1%
	2	SPDR S&P 500 ETF Trust (Cost $242)		287


PRINCIPAL AMOUNT($)
	U.S. Treasury Obligation — 0.0% (g)
	240	U.S. Treasury Bills, 0.020%, 03/15/12 (k) (n) (Cost $240)		240


NUMBER 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 $—)		17


SHARES
	Short-Term Investment — 0.9%
		Investment Company — 0.9%
	2,565	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.170% (b) (l) (m) (Cost $2,565)		2,565

	Investment of Cash Collateral for Securities on Loan — 0.0% (g)
		Investment Company — 0.0% (g)
	33	JPMorgan Prime Money Market Fund, Capital Shares, 0.200% (b) (l) (Cost $33)		33

		Total Investments — 99.8% (Cost $213,851)		300,596
		Other Assets in Excess of Liabilities — 0.2%		502

		NET ASSETS — 100.0%	$	301,098

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — 2.7%
		AH Mortgage Advance Trust, (Cayman Islands),
	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)		752
	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)		101
		Ally Auto Receivables Trust,
	35	Series 2010-1, Class A3, 1.450%, 05/15/14		35
	176	Series 2010-4, Class A3, 0.910%, 11/17/14		177
	124	Series 2012-1, Class A3, 0.930%, 02/16/16		124
		American Credit Acceptance Receivables Trust,
	124	Series 2012-1, Class A1, 1.960%, 01/15/14 (e)		124
	112	Series 2012-1, Class A2, 3.040%, 10/15/15 (e)		112
		AmeriCredit Automobile Receivables Trust,
	49	Series 2009-1, Class A3, 3.040%, 10/15/13		49
	10	Series 2010-1, Class A3, 1.660%, 03/17/14		10
	130	Series 2010-3, Class A3, 1.140%, 04/08/15		131
	68	Series 2010-4, Class A2, 0.960%, 05/08/14		68
	75	Series 2010-4, Class A3, 1.270%, 04/08/15		75
	137	Series 2011-3, Class A2, 0.840%, 11/10/14		138
	219	Series 2011-5, Class A3, 1.550%, 07/08/16		221
	198	Series 2012-1, Class A2, 0.910%, 10/08/15		198
	94	Series 2012-1, Class A3, 1.230%, 09/08/16		94
		Bank of America Auto Trust,
	13	Series 2009-1A, Class A3, 2.670%, 07/15/13 (e)		13
	150	Series 2009-1A, Class A4, 3.520%, 06/15/16 (e)		152
	45	Series 2010-1A, Class A3, 1.390%, 03/15/14 (e)		46
	100	Series 2010-1A, Class A4, 2.180%, 02/15/17 (e)		102
	46	Series 2010-2, Class A3, 1.310%, 07/15/14		46
	125	Series 2010-2, Class A4, 1.940%, 06/15/17		127
	69	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.614%, 04/25/36		54
	100	Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)		100
	37	CarMax Auto Owner Trust, Series 2010-1, Class A3, 1.560%, 07/15/14		37
	192	Centex Home Equity, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		195
		Chrysler Financial Auto Securitization Trust,
	33	Series 2009-A, Class A3, 2.820%, 01/15/16		33
	250	Series 2010-A, Class A3, 0.910%, 08/08/13		250
		CNH Equipment Trust,
	26	Series 2010-A, Class A3, 1.540%, 07/15/14		26


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	246	Series 2010-C, Class A3, 1.170%, 05/15/15		247
	95	CPS Auto Trust, Series 2011-C, Class A, 4.210%, 03/15/19 (e)		95
	46	Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 4.748%, 01/25/36		26
	204	Discover Card Master Trust, Series 2012-A1, Class A1, 0.810%, 08/15/17		204
		Ford Credit Auto Owner Trust,
	39	Series 2009-B, Class A3, 2.790%, 08/15/13		39
	200	Series 2009-B, Class A4, 4.500%, 07/15/14		206
	176	Series 2012-A, Class A3, 0.840%, 08/15/16		177
	298	Fortress Opportunities Residential Transaction, Series 2011-1A, Class A1, VAR, 7.211%, 10/25/47 (e)		299
	200	GE Capital Credit Card Master Note Trust, Series 2009-2, Class A, 3.690%, 07/15/15		202
	97	GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		87
	144	Harley-Davidson Motorcycle Trust, Series 2010-1, Class A3, 1.160%, 02/15/15		144
		Honda Auto Receivables Owner Trust,
	1	Series 2009-2, Class A3, 2.790%, 01/15/13		1
	100	Series 2009-2, Class A4, 4.430%, 07/15/15		102
	23	Series 2009-3, Class A3, 2.310%, 05/15/13		23
	150	Series 2009-3, Class A4, 3.300%, 09/15/15		153
	108	Series 2012-1, Class A3, 0.770%, 01/15/16		108
	56	Series 2012-1, Class A4, 0.970%, 04/16/18		56
		HSBC Home Equity Loan Trust,
	82	Series 2005-2, Class A1, VAR, 0.516%, 01/20/35		77
	61	Series 2006-1, Class A1, VAR, 0.406%, 01/20/36		55
	70	Series 2007-3, Class APT, VAR, 1.446%, 11/20/36		61
		Huntington Auto Trust,
	240	Series 2011-1A, Class A2, 0.760%, 04/15/14 (e)		240
	150	Series 2011-1A, Class A3, 1.010%, 01/15/16 (e)		150
	100	Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)		100
		Hyundai Auto Receivables Trust,
	125	Series 2010-B, Class A3, 0.970%, 04/15/15		125
	104	Series 2012-A, Class A3, 0.720%, 03/15/16		104
	122	LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) (f) (i)		122


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — Continued
	71		Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14		71
	325		MMCA Automobile Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e)		330
			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
	91		Series 2012-A, Class A3, 0.730%, 05/16/16		91
	117		Series 2012-A, Class A4, 1.000%, 07/16/18		117
	239		Park Place Securities, Inc., Series 2004-MCW1, Class M1, VAR, 0.869%, 10/25/34		226
	150		Residential Asset Mortgage Products, Inc., Series 2006-RZ1, Class A3, VAR, 0.544%, 03/25/36		128
	212		Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i)		212
			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)		102
	34		Series 2011-S2A, Class B, 2.060%, 06/15/17 (e)		35
	157		Series 2012-1, Class A2, 1.250%, 04/15/15		157
	225		Toyota Auto Receivables Owner Trust, Series 2010-C, Class A3, 0.770%, 04/15/14		225
	213		Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16		214
	135		World Omni Auto Receivables Trust, Series 2010-A, Class A4, 2.210%, 05/15/15		137

			Total Asset-Backed Securities (Cost $9,570)		9,584

	Collateralized Mortgage Obligations — 29.8%
			Agency CMO — 23.7%
	77		Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 24, Class ZE, 6.250%, 11/25/23		87
			Federal Home Loan Mortgage Corp. REMICS,
	6		Series 11, Class D, 9.500%, 07/15/19		7
	—	(h)	Series 41, Class I, HB, 84.000%, 05/15/20		—	(h)
	4		Series 46, Class B, 7.800%, 09/15/20		4
	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
	18		Series 114, Class H, 6.950%, 01/15/21		21
	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		1


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — Continued
	10		Series 1144, Class KB, 8.500%, 09/15/21		12
	—	(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
	12		Series 1206, Class IA, 7.000%, 03/15/22		14
	8		Series 1250, Class J, 7.000%, 05/15/22		10
	26		Series 1343, Class LA, 8.000%, 08/15/22		32
	116		Series 1466, Class PZ, 7.500%, 02/15/23		135
	2		Series 1470, Class F, VAR, 2.221%, 02/15/23		2
	42		Series 1491, Class I, 7.500%, 04/15/23		49
	42		Series 1518, Class G, IF, 8.819%, 05/15/23		47
	38		Series 1541, Class O, VAR, 1.180%, 07/15/23		39
	3		Series 1602, Class SA, HB, IF, 21.937%, 10/15/23		6
	138		Series 1608, Class L, 6.500%, 09/15/23		156
	92		Series 1609, Class LG, IF, 16.792%, 11/15/23		108
	4		Series 1671, Class L, 7.000%, 02/15/24		5
	22		Series 1700, Class GA, PO, 02/15/24		21
	224		Series 1706, Class K, 7.000%, 03/15/24		259
	724		Series 1720, Class PL, 7.500%, 04/15/24		842
	19		Series 1745, Class D, 7.500%, 08/15/24		23
	46		Series 1798, Class F, 5.000%, 05/15/23		52
	2		Series 1807, Class G, 9.000%, 10/15/20		2
	207		Series 1927, Class PH, 7.500%, 01/15/27		245
	96		Series 1981, Class Z, 6.000%, 05/15/27		106
	28		Series 1987, Class PE, 7.500%, 09/15/27		33
	8		Series 2025, Class PE, 6.300%, 01/15/13		8
	14		Series 2033, Class SN, HB, IF, 25.948%, 03/15/24		10
	38		Series 2038, Class PN, IO, 7.000%, 03/15/28		6
	188		Series 2040, Class PE, 7.500%, 03/15/28		222
	49		Series 2056, Class TD, 6.500%, 05/15/18		54
	227		Series 2063, Class PG, 6.500%, 06/15/28		259
	36		Series 2064, Class TE, 7.000%, 06/15/28		42
	159		Series 2075, Class PH, 6.500%, 08/15/28		181
	154		Series 2075, Class PM, 6.250%, 08/15/28		159
	45		Series 2089, Class PJ, IO, 7.000%, 10/15/28		7
	11		Series 2102, Class TC, 6.000%, 12/15/13		11
	60		Series 2115, Class PE, 6.000%, 01/15/14		61
	108		Series 2125, Class JZ, 6.000%, 02/15/29		113
	19		Series 2163, Class PC, IO, 7.500%, 06/15/29		4
	445		Series 2169, Class TB, 7.000%, 06/15/29		524
	123		Series 2172, Class QC, 7.000%, 07/15/29		145
	1		Series 2196, Class TL, 7.500%, 11/15/29		1


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	66	Series 2201, Class C, 8.000%, 11/15/29		78
	144	Series 2210, Class Z, 8.000%, 01/15/30		175
	54	Series 2224, Class CB, 8.000%, 03/15/30		65
	79	Series 2256, Class MC, 7.250%, 09/15/30		93
	113	Series 2259, Class ZM, 7.000%, 10/15/30		134
	92	Series 2271, Class PC, 7.250%, 12/15/30		109
	126	Series 2283, Class K, 6.500%, 12/15/23		142
	46	Series 2296, Class PD, 7.000%, 03/15/31		54
	24	Series 2306, Class K, PO, 05/15/24		23
	59	Series 2306, Class SE, IF, IO, 8.640%, 05/15/24		13
	70	Series 2333, Class HC, 6.000%, 07/15/31		70
	42	Series 2344, Class QG, 6.000%, 08/15/16		44
	1,000	Series 2344, Class ZD, 6.500%, 08/15/31		1,093
	135	Series 2344, Class ZJ, 6.500%, 08/15/31		148
	85	Series 2345, Class NE, 6.500%, 08/15/31		89
	79	Series 2345, Class PQ, 6.500%, 08/15/16		82
	80	Series 2347, Class VP, 6.500%, 03/15/20		80
	125	Series 2351, Class PZ, 6.500%, 08/15/31		141
	55	Series 2355, Class BP, 6.000%, 09/15/16		58
	59	Series 2360, Class PG, 6.000%, 09/15/16		63
	51	Series 2366, Class MD, 6.000%, 10/15/16		54
	86	Series 2391, Class QR, 5.500%, 12/15/16		91
	80	Series 2410, Class NG, 6.500%, 02/15/32		88
	114	Series 2410, Class OE, 6.375%, 02/15/32		126
	45	Series 2410, Class QX, IF, IO, 8.402%, 02/15/32		11
	220	Series 2412, Class SP, IF, 15.603%, 02/15/32		289
	51	Series 2423, Class MC, 7.000%, 03/15/32		60
	108	Series 2423, Class MT, 7.000%, 03/15/32		121
	243	Series 2435, Class CJ, 6.500%, 04/15/32		282
	148	Series 2441, Class GF, 6.500%, 04/15/32		169
	125	Series 2444, Class ES, IF, IO, 7.702%, 03/15/32		25
	143	Series 2450, Class GZ, 7.000%, 05/15/32		170
	50	Series 2450, Class SW, IF, IO, 7.752%, 03/15/32		10
	239	Series 2455, Class GK, 6.500%, 05/15/32		272
	355	Series 2466, Class DH, 6.500%, 06/15/32		393
	245	Series 2466, Class PG, 6.500%, 04/15/32		255
	163	Series 2474, Class NR, 6.500%, 07/15/32		183
	309	Series 2484, Class LZ, 6.500%, 07/15/32		353
	475	Series 2500, Class MC, 6.000%, 09/15/32		519
	607	Series 2512, Class PG, 5.500%, 10/15/22		662
	113	Series 2535, Class BK, 5.500%, 12/15/22		124
	240	Series 2537, Class TE, 5.500%, 12/15/17		257
	675	Series 2543, Class YX, 6.000%, 12/15/32		754


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,000	Series 2568, Class KG, 5.500%, 02/15/23		1,093
	810	Series 2575, Class ME, 6.000%, 02/15/33		916
	91	Series 2586, Class WI, IO, 6.500%, 03/15/33		17
	109	Series 2587, Class CO, PO, 03/15/32		108
	17	Series 2594, Class VQ, 6.000%, 08/15/20		17
	179	Series 2597, Class AD, 6.500%, 03/15/32		182
	17	Series 2597, Class DS, IF, IO, 7.302%, 02/15/33		1
	29	Series 2599, Class DS, IF, IO, 6.752%, 02/15/33		1
	61	Series 2610, Class DS, IF, IO, 6.852%, 03/15/33		1
	319	Series 2617, Class GR, 4.500%, 05/15/18		340
	1	Series 2619, Class IM, IO, 5.000%, 10/15/21		—	(h)
	271	Series 2622, Class PE, 4.500%, 05/15/18		288
	150	Series 2631, Class LC, 4.500%, 06/15/18		161
	202	Series 2640, Class VE, 3.250%, 07/15/22		205
	234	Series 2651, Class VZ, 4.500%, 07/15/18		249
	264	Series 2657, Class MD, 5.000%, 12/15/20		266
	202	Series 2672, Class ME, 5.000%, 11/15/22		214
	452	Series 2675, Class CK, 4.000%, 09/15/18		479
	117	Series 2682, Class YS, IF, 8.598%, 10/15/33		117
	928	Series 2684, Class PO, PO, 01/15/33		909
	25	Series 2691, Class WS, IF, 8.627%, 10/15/33		25
	302	Series 2695, Class DE, 4.000%, 01/15/17		305
	55	Series 2705, Class SC, IF, 8.627%, 11/15/33		55
	55	Series 2705, Class SD, IF, 8.680%, 11/15/33		55
	278	Series 2744, Class TU, 5.500%, 05/15/32		294
	39	Series 2755, Class PA, PO, 02/15/29		39
	36	Series 2755, Class SA, IF, 13.703%, 05/15/30		39
	580	Series 2777, Class KO, PO, 02/15/33		573
	300	Series 2802, Class MB, 5.500%, 11/15/31		306
	70	Series 2815, Class YS, IF, 9.532%, 01/15/34		70
	773	Series 2907, Class VC, 4.500%, 05/15/34		844
	247	Series 2934, Class EC, PO, 02/15/20		239
	233	Series 2990, Class SL, HB, IF, 23.582%, 06/15/34		357
	500	Series 2999, Class ND, 4.500%, 07/15/20		547
	239	Series 3068, Class AO, PO, 01/15/35		236
	311	Series 3117, Class EO, PO, 02/15/36		294
	37	Series 3117, Class OK, PO, 02/15/36		36
	496	Series 3122, Class OH, PO, 03/15/36		475
	433	Series 3137, Class XP, 6.000%, 04/15/36		489
	23	Series 3149, Class SO, PO, 05/15/36		21
	541	Series 3152, Class MO, PO, 03/15/36		507


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	245		Series 3171, Class MO, PO, 06/15/36		232
	229		Series 3179, Class OA, PO, 07/15/36		218
	918		Series 3202, Class HI, IF, IO, 6.401%, 08/15/36		156
	222		Series 3232, Class ST, IF, IO, 6.452%, 10/15/36		34
	279		Series 3253, Class PO, PO, 12/15/21		269
	185		Series 3316, Class JO, PO, 05/15/37		171
	506		Series 3481, Class SJ, IF, IO, 5.602%, 08/15/38		68
	288		Series 3607, Class AO, PO, 04/15/36		264
	222		Series 3607, Class EO, PO, 02/15/33		217
	205		Series 3611, Class PO, PO, 07/15/34		191
	898		Series 3666, Class VA, 5.500%, 12/15/22		996
	902		Series 3680, Class MA, 4.500%, 07/15/39		978
	835		Series 3804, Class FN, VAR, 0.698%, 03/15/39		836
	1,056		Series 3819, Class ZQ, 6.000%, 04/15/36		1,230
	110		Federal Home Loan Mortgage Corp. STRIPS, Series 243, Class 16, IO, 4.500%, 11/15/20		10
			Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	54		Series T-41, Class 3A, VAR, 6.987%, 07/25/32		62
	45		Series T-51, Class 2A, VAR, 7.500%, 08/25/42		53
	448		Series T-54, Class 2A, 6.500%, 02/25/43		500
	155		Series T-54, Class 3A, 7.000%, 02/25/43		182
	1,189		Series T-56, Class A5, 5.231%, 05/25/43		1,295
	41		Series T-58, Class APO, PO, 09/25/43		34
	324		Series T-76, Class 2A, VAR, 4.749%, 10/25/37		332
	500		Federal National Mortgage Association, Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20		553
	152		Federal National Mortgage Association Grantor Trust, Series 2001-T10, Class A2, 7.500%, 12/25/41		176
			Federal National Mortgage Association REMICS,
	3		Series 1988-7, Class Z, 9.250%, 04/25/18		3
	11		Series 1989-70, Class G, 8.000%, 10/25/19		13
	4		Series 1989-78, Class H, 9.400%, 11/25/19		5
	3		Series 1989-83, Class H, 8.500%, 11/25/19		4
	3		Series 1989-89, Class H, 9.000%, 11/25/19		4
	1		Series 1990-1, Class D, 8.800%, 01/25/20		1
	2		Series 1990-7, Class B, 8.500%, 01/25/20		2
	2		Series 1990-60, Class K, 5.500%, 06/25/20		2
	2		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


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — Continued
	13		Series 1990-102, Class J, 6.500%, 08/25/20		15
	4		Series 1990-120, Class H, 9.000%, 10/25/20		5
	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)
	5		Series 1991-42, Class S, IF, 17.238%, 05/25/21		7
	86		Series 1992-107, Class SB, HB, IF, 29.329%, 06/25/22		158
	6		Series 1992-143, Class MA, 5.500%, 09/25/22		7
	43		Series 1993-25, Class J, 7.500%, 03/25/23		50
	249		Series 1993-37, Class PX, 7.000%, 03/25/23		286
	88		Series 1993-54, Class Z, 7.000%, 04/25/23		101
	18		Series 1993-62, Class SA, IF, 17.684%, 04/25/23		27
	24		Series 1993-122, Class M, 6.500%, 07/25/23		26
	9		Series 1993-165, Class SD, IF, 12.266%, 09/25/23		12
	39		Series 1993-178, Class PK, 6.500%, 09/25/23		44
	724		Series 1993-183, Class KA, 6.500%, 10/25/23		813
	295		Series 1993-189, Class PL, 6.500%, 10/25/23		332
	17		Series 1993-225, Class SG, HB, IF, 26.464%, 12/25/13		20
	63		Series 1993-247, Class SA, HB, IF, 25.603%, 12/25/23		104
	105		Series 1993-250, Class Z, 7.000%, 12/25/23		111
	80		Series 1993-257, Class C, PO, 06/25/23		79
	4		Series 1994-9, Class E, PO, 11/25/23		4
	163		Series 1996-14, Class SE, IF, IO, 8.740%, 08/25/23		36
	8		Series 1996-27, Class FC, VAR, 0.750%, 03/25/17		8
	20		Series 1996-59, Class J, 6.500%, 08/25/22		23
	25		Series 1996-59, Class K, 6.500%, 07/25/23		26
	84		Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27		4
	83		Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		4
	46		Series 1997-27, Class J, 7.500%, 04/18/27		51
	40		Series 1997-29, Class J, 7.500%, 04/20/27		46
	88		Series 1997-39, Class PD, 7.500%, 05/20/27		103
	34		Series 1997-81, Class PI, IO, 7.000%, 12/18/27		6
	3		Series 1998-4, Class C, PO, 04/25/23		3
	50		Series 1998-36, Class ZB, 6.000%, 07/18/28		54


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	379	Series 1998-43, Class EA, PO, 04/25/23		355
	201	Series 2000-2, Class ZE, 7.500%, 02/25/30		238
	71	Series 2001-4, Class PC, 7.000%, 03/25/21		78
	33	Series 2001-5, Class OW, 6.000%, 03/25/16		34
	195	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		44
	175	Series 2001-36, Class DE, 7.000%, 08/25/31		207
	50	Series 2001-44, Class PD, 7.000%, 09/25/31		59
	309	Series 2001-48, Class Z, 6.500%, 09/25/21		344
	48	Series 2001-49, Class Z, 6.500%, 09/25/31		55
	108	Series 2001-71, Class MB, 6.000%, 12/25/16		116
	144	Series 2001-71, Class QE, 6.000%, 12/25/16		153
	800	Series 2001-74, Class MB, 6.000%, 12/25/16		854
	35	Series 2001-81, Class LO, PO, 01/25/32		34
	100	Series 2002-1, Class HC, 6.500%, 02/25/22		107
	42	Series 2002-1, Class SA, HB, IF, 24.395%, 02/25/32		74
	65	Series 2002-2, Class UC, 6.000%, 02/25/17		69
	134	Series 2002-3, Class OG, 6.000%, 02/25/17		143
	129	Series 2002-21, Class PE, 6.500%, 04/25/32		143
	240	Series 2002-24, Class AJ, 6.000%, 04/25/17		260
	121	Series 2002-28, Class PK, 6.500%, 05/25/32		139
	157	Series 2002-37, Class Z, 6.500%, 06/25/32		173
	442	Series 2002-84, Class VB, 5.500%, 04/25/15		460
	9	Series 2002-91, Class UH, IO, 5.500%, 06/25/22		—	(h)
	342	Series 2002-94, Class BK, 5.500%, 01/25/18		368
	202	Series 2003-22, Class UD, 4.000%, 04/25/33		220
	162	Series 2003-34, Class GB, 6.000%, 03/25/33		189
	304	Series 2003-34, Class GE, 6.000%, 05/25/33		365
	32	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		6
	405	Series 2003-47, Class PE, 5.750%, 06/25/33		468
	75	Series 2003-52, Class SX, HB, IF, 22.218%, 10/25/31		123
	81	Series 2003-64, Class SX, IF, 13.081%, 07/25/33		101
	307	Series 2003-71, Class DS, IF, 7.110%, 08/25/33		301
	215	Series 2003-73, Class GA, 3.500%, 05/25/31		218
	286	Series 2003-80, Class SY, IF, IO, 7.406%, 06/25/23		35
	315	Series 2003-83, Class PG, 5.000%, 06/25/23		337
	53	Series 2003-91, Class SD, IF, 12.093%, 09/25/33		60
	379	Series 2003-116, Class SB, IF, IO, 7.356%, 11/25/33		73


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	46	Series 2003-128, Class KE, 4.500%, 01/25/14		47
	500	Series 2003-128, Class NG, 4.000%, 01/25/19		534
	92	Series 2003-130, Class SX, IF, 11.154%, 01/25/34		102
	56	Series 2004-14, Class SD, IF, 8.709%, 03/25/34		56
	1,000	Series 2004-21, Class AE, 4.000%, 04/25/19		1,071
	26	Series 2004-21, Class CO, PO, 04/25/34		25
	405	Series 2004-25, Class PC, 5.500%, 01/25/34		458
	274	Series 2004-25, Class SA, IF, 18.854%, 04/25/34		389
	263	Series 2004-36, Class PC, 5.500%, 02/25/34		298
	216	Series 2004-36, Class SA, IF, 18.854%, 05/25/34		305
	166	Series 2004-46, Class SK, IF, 15.829%, 05/25/34		214
	762	Series 2004-50, Class VZ, 5.500%, 07/25/34		886
	29	Series 2004-61, Class CO, PO, 10/25/31		29
	128	Series 2004-61, Class SH, HB, IF, 23.012%, 11/25/32		205
	145	Series 2004-74, Class SW, IF, 15.009%, 11/25/31		197
	263	Series 2004-76, Class CL, 4.000%, 10/25/19		279
	1,750	Series 2004-86, Class AE, 4.500%, 02/25/32		1,813
	51	Series 2005-40, Class YA, 5.000%, 09/25/20		51
	206	Series 2005-45, Class DC, HB, IF, 23.415%, 06/25/35		333
	110	Series 2005-52, Class PA, 6.500%, 06/25/35		119
	191	Series 2005-56, Class S, IF, IO, 6.466%, 07/25/35		31
	353	Series 2005-56, Class TP, IF, 17.418%, 08/25/33		490
	1,099	Series 2005-68, Class PG, 5.500%, 08/25/35		1,250
	420	Series 2005-73, Class PS, IF, 16.090%, 08/25/35		588
	196	Series 2005-74, Class CS, IF, 19.349%, 05/25/35		278
	388	Series 2005-106, Class US, HB, IF, 23.672%, 11/25/35		628
	1,000	Series 2005-121, Class DX, 5.500%, 01/25/26		1,126
	488	Series 2006-27, Class OH, PO, 04/25/36		459
	582	Series 2006-43, Class VB, 6.500%, 10/25/17		597
	200	Series 2006-44, Class P, PO, 12/25/33		191
	915	Series 2006-56, Class FC, VAR, 0.534%, 07/25/36		912
	409	Series 2006-59, Class QO, PO, 01/25/33		397
	178	Series 2006-65, Class QO, PO, 07/25/36		167


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	258	Series 2006-72, Class GO, PO, 08/25/36		244
	457	Series 2006-77, Class PC, 6.500%, 08/25/36		520
	211	Series 2006-79, Class DO, PO, 08/25/36		200
	443	Series 2006-110, Class PO, PO, 11/25/36		421
	1,000	Series 2006-124, Class HB, VAR, 5.951%, 11/25/36		1,098
	363	Series 2007-14, Class ES, IF, IO, 6.196%, 03/25/37		52
	221	Series 2007-79, Class SB, HB, IF, 23.122%, 08/25/37		335
	500	Series 2007-81, Class GE, 6.000%, 08/25/37		584
	865	Series 2007-84, Class PD, 6.000%, 08/25/32		876
	403	Series 2007-88, Class VI, IF, IO, 6.296%, 09/25/37		69
	1,036	Series 2007-91, Class ES, IF, IO, 6.216%, 10/25/37		163
	4	Series 2007-97, Class MS, IF, 14.219%, 12/25/31		4
	258	Series 2007-106, Class A7, VAR, 5.955%, 10/25/37		288
	240	Series 2007-116, Class HI, IO, VAR, 6.078%, 01/25/38		17
	180	Series 2008-10, Class XI, IF, IO, 5.986%, 03/25/38		26
	218	Series 2008-16, Class IS, IF, IO, 5.956%, 03/25/38		30
	232	Series 2008-28, Class QS, IF, 19.968%, 04/25/38		331
	246	Series 2008-46, Class HI, IO, VAR, 6.468%, 06/25/38		16
	71	Series 2008-66, Class GD, 6.000%, 06/25/30		73
	274	Series 2009-69, Class PO, PO, 09/25/39		260
	758	Series 2009-71, Class BC, 4.500%, 09/25/24		861
	417	Series 2009-103, Class MB, VAR, 4.000%, 12/25/39		444
	814	Series 2010-71, Class HJ, 5.500%, 07/25/40		902
	1,305	Series 2010-133, Class A, 5.500%, 05/25/38		1,390
	933	Series 2011-118, Class MT, 7.000%, 11/25/41		1,127
	923	Series 2011-118, Class NT, 7.000%, 11/25/41		1,082
	991	Series 2011-149, Class EF, VAR, 0.744%, 07/25/41		989
	4	Series G-14, Class L, 8.500%, 06/25/21		5
	19	Series G-18, Class Z, 8.750%, 06/25/21		22
	5	Series G-22, Class G, 6.000%, 12/25/16		5
	15	Series G-35, Class M, 8.750%, 10/25/21		17
	59	Series G92-35, Class E, 7.500%, 07/25/22		66
	4	Series G92-42, Class Z, 7.000%, 07/25/22		4


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	63	Series G92-44, Class ZQ, 8.000%, 07/25/22		71
	63	Series G92-54, Class ZQ, 7.500%, 09/25/22		71
	14	Series G93-5, Class Z, 6.500%, 02/25/23		15
	18	Series G95-1, Class C, 8.800%, 01/25/25		21
		Federal National Mortgage Association STRIPS,
	1	Series 50, Class 2, IO, 10.500%, 03/01/19		—	(h)
	4	Series 218, Class 2, IO, 7.500%, 04/01/23		1
	182	Series 300, Class 1, PO, 09/01/24		172
	42	Series 329, Class 1, PO, 01/01/33		40
		Federal National Mortgage Association Whole Loan,
	211	Series 2003-W1, Class 1A1, VAR, 6.273%, 12/25/42		241
	60	Series 2003-W4, Class 2A, VAR, 6.500%, 10/25/42		68
	144	Series 2004-W2, Class 2A2, 7.000%, 02/25/44		164
	443	Series 2005-W3, Class 2AF, VAR, 0.464%, 03/25/45		441
	111	Series 2007-W7, Class 1A4, HB, IF, 37.716%, 07/25/37		215
		Government National Mortgage Association,
	51	Series 1994-3, Class PQ, 7.488%, 07/16/24		62
	168	Series 1994-4, Class KQ, 7.988%, 07/16/24		194
	320	Series 1994-7, Class PQ, 6.500%, 10/16/24		375
	77	Series 1995-3, Class DQ, 8.050%, 06/16/25		89
	19	Series 1995-7, Class CQ, 7.500%, 09/16/25		21
	151	Series 1996-16, Class E, 7.500%, 08/16/26		174
	29	Series 1998-26, Class K, 7.500%, 09/17/25		34
	438	Series 1999-10, Class ZC, 6.500%, 04/20/29		512
	50	Series 1999-30, Class S, IF, IO, 8.353%, 08/16/29		11
	47	Series 1999-41, Class Z, 8.000%, 11/16/29		55
	40	Series 1999-44, Class PC, 7.500%, 12/20/29		46
	91	Series 2000-6, Class Z, 7.500%, 02/20/30		106
	17	Series 2000-9, Class Z, 8.000%, 06/20/30		20
	380	Series 2000-9, Class ZJ, 8.500%, 02/16/30		461
	145	Series 2000-14, Class PD, 7.000%, 02/16/30		171
	40	Series 2000-16, Class ZN, 7.500%, 02/16/30		43
	224	Series 2000-37, Class B, 8.000%, 12/20/30		261
	120	Series 2001-7, Class PK, 6.500%, 03/20/31		130
	7	Series 2001-32, Class WA, IF, 19.511%, 07/20/31		12
	264	Series 2001-64, Class MQ, 6.500%, 12/20/31		280
	44	Series 2002-7, Class PG, 6.500%, 01/20/32		52
	61	Series 2002-31, Class S, IF, IO, 8.453%, 01/16/31		19


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	171	Series 2002-40, Class UK, 6.500%, 06/20/32		201
	166	Series 2002-47, Class PG, 6.500%, 07/16/32		195
	213	Series 2002-47, Class PY, 6.000%, 07/20/32		240
	206	Series 2002-47, Class ZA, 6.500%, 07/20/32		236
	17	Series 2002-51, Class SG, HB, IF, 31.436%, 04/20/31		30
	95	Series 2002-54, Class GB, 6.500%, 08/20/32		110
	60	Series 2003-4, Class NI, IO, 5.500%, 01/20/32		2
	84	Series 2003-4, Class NY, 5.500%, 12/20/13		88
	35	Series 2003-24, Class PO, PO, 03/16/33		32
	304	Series 2003-40, Class TJ, 6.500%, 03/20/33		373
	172	Series 2003-52, Class AP, PO, 06/16/33		158
	37	Series 2004-28, Class S, IF, 18.982%, 04/16/34		54
	57	Series 2004-68, Class PO, PO, 05/20/31		56
	136	Series 2004-71, Class SB, HB, IF, 28.259%, 09/20/34		224
	72	Series 2004-73, Class AE, IF, 14.348%, 08/17/34		92
	672	Series 2004-90, Class SI, IF, IO, 5.855%, 10/20/34		102
	200	Series 2005-68, Class DP, IF, 15.841%, 06/17/35		259
	1,440	Series 2005-68, Class KI, IF, IO, 6.055%, 09/20/35		231
	161	Series 2006-59, Class SD, IF, IO, 6.455%, 10/20/36		27
	538	Series 2007-17, Class JI, IF, IO, 6.563%, 04/16/37		86
	652	Series 2007-27, Class SA, IF, IO, 5.955%, 05/20/37		99
	1,069	Series 2007-40, Class SB, IF, IO, 6.505%, 07/20/37		176
	672	Series 2007-45, Class QA, IF, IO, 6.395%, 07/20/37		110
	232	Series 2007-49, Class NO, PO, 12/20/35		228
	808	Series 2007-50, Class AI, IF, IO, 6.530%, 08/20/37		130
	163	Series 2007-53, Class ES, IF, IO, 6.305%, 09/20/37		26
	203	Series 2007-53, Class SW, IF, 19.469%, 09/20/37		281
	400	Series 2007-57, Class QA, IF, IO, 6.254%, 10/20/37		61
	273	Series 2007-71, Class SB, IF, IO, 6.455%, 07/20/36		32
	387	Series 2007-72, Class US, IF, IO, 6.305%, 11/20/37		60


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	387	Series 2007-76, Class SA, IF, IO, 6.284%, 11/20/37		58
	105	Series 2008-25, Class SB, IF, IO, 6.654%, 03/20/38		18
	223	Series 2008-33, Class XS, IF, IO, 7.453%, 04/16/38		33
	453	Series 2008-40, Class SA, IF, IO, 6.153%, 05/16/38		97
	500	Series 2008-50, Class KB, 6.000%, 06/20/38		577
	559	Series 2008-55, Class SA, IF, IO, 5.955%, 06/20/38		83
	474	Series 2008-93, Class AS, IF, IO, 5.455%, 12/20/38		59
	217	Series 2009-6, Class SA, IF, IO, 5.852%, 02/16/39		27
	224	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		40
	843	Series 2009-22, Class SA, IF, IO, 6.024%, 04/20/39		118
	849	Series 2009-31, Class ST, IF, IO, 6.104%, 03/20/39		120
	849	Series 2009-31, Class TS, IF, IO, 6.055%, 03/20/39		121
	532	Series 2009-79, Class OK, PO, 11/16/37		492
	1,103	Series 2009-106, Class ST, IF, IO, 5.754%, 02/20/38		165
	326	Series 2010-14, Class AO, PO, 12/20/32		310
	381	Series 2010-130, Class CP, 7.000%, 10/16/40		444
	965	Series 2011-137, Class WA, VAR, 5.541%, 07/20/40		1,080
		NCUA Guaranteed Notes,
	771	Series 2010-C1, Class APT, 2.650%, 10/29/20		805
	199	Series 2010-R3, Class 3A, 2.400%, 12/08/20		204
		Vendee Mortgage Trust,
	818	Series 1993-1, Class ZB, 7.250%, 02/15/23		932
	327	Series 1994-1, Class 1, VAR, 5.628%, 02/15/24		368
	481	Series 1996-1, Class 1Z, 6.750%, 02/15/26		553
	164	Series 1996-2, Class 1Z, 6.750%, 06/15/26		193
	648	Series 1997-1, Class 2Z, 7.500%, 02/15/27		762
	162	Series 1998-1, Class 2E, 7.000%, 03/15/28		189

				85,736

		Non-Agency CMO — 6.1%
		American General Mortgage Loan Trust,
	350	Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e)		355


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	200	Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e)		204
	400	Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		412
		ASG Resecuritization Trust,
	229	Series 2009-1, Class A60, VAR, 4.938%, 06/26/37 (e)		228
	238	Series 2009-2, Class A55, VAR, 5.196%, 05/24/36 (e)		236
	536	Series 2009-3, Class A65, VAR, 4.839%, 03/26/37 (e)		527
		Banc of America Alternative Loan Trust,
	191	Series 2003-7, Class 2A4, 5.000%, 09/25/18		196
	145	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		148
	56	Series 2003-11, Class PO, PO, 01/25/34		39
		Banc of America Funding Corp.,
	63	Series 2004-1, Class PO, PO, 03/25/34		52
	14	Series 2004-3, Class 1A7, 5.500%, 10/25/34		14
		Banc of America Mortgage Securities, Inc.,
	38	Series 2003-8, Class APO, PO, 11/25/33		30
	71	Series 2004-1, Class APO, PO, 02/25/34		54
	200	Series 2004-3, Class 1A26, 5.500%, 04/25/34		204
	58	Series 2004-6, Class APO, PO, 07/25/34		42
		BCAP LLC Trust,
	531	Series 2010-RR7, Class 2A1, VAR, 4.624%, 07/26/45 (e)		500
	179	Series 2011-RR5, Class 14A3, VAR, 1.414%, 07/26/36 (e) (f) (i)		169
	478	Series 2011-RR10, Class 2A1, VAR, 0.525%, 09/26/37 (e)		410
	500	Series 2012-RR2, Class 1A1, VAR, Zero Coupon, 08/26/36 (e) (f) (i)		463
	187	Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-5, Class A1, VAR, 2.220%, 08/25/35		179
		Citigroup Mortgage Loan Trust, Inc.,
	34	Series 2003-UP3, Class A3, 7.000%, 09/25/33		35
	118	Series 2003-UST1, Class A1, 5.500%, 12/25/18		124
	17	Series 2003-UST1, Class PO1, PO, 12/25/18		14
	14	Series 2003-UST1, Class PO3, PO, 12/25/18		12
	241	Series 2008-AR4, Class 1A1A, VAR, 3.075%, 11/25/38 (e)		240
	1,216	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		1,243
	646	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		666


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
		Countrywide Alternative Loan Trust,
	293	Series 2002-8, Class A4, 6.500%, 07/25/32		307
	1,590	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		1,521
	232	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		237
	12	Series 2005-26CB, Class A10, IF, 12.608%, 07/25/35		12
	487	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		386
		Countrywide Home Loan Mortgage Pass-Through Trust,
	285	Series 2003-26, Class 1A6, 3.500%, 08/25/33		284
	82	Series 2003-J7, Class 4A3, IF, 9.458%, 08/25/18		82
	52	Series 2003-J13, Class PO, PO, 01/25/34		38
	152	Series 2004-5, Class 1A4, 5.500%, 06/25/34		158
	48	Series 2004-HYB3, Class 2A, VAR, 2.559%, 06/20/34		38
	467	Series 2005-22, Class 2A1, VAR, 2.713%, 11/25/35		326
	240	Series 2005-R1, Class 2APO, PO, 03/25/35 (e)		176
		Credit Suisse Mortgage Capital Certificates,
	72	Series 2010-15R, Class 7A1, VAR, 4.748%, 10/26/37 (e)		72
	1,246	Series 2011-7R, Class A1, VAR, 1.494%, 08/28/47 (e)		1,223
	431	Series 2011-9R, Class A1, VAR, 2.244%, 03/27/46 (e)		425
	275	Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)		276
	145	CS First Boston Mortgage Securities Corp., Series 2003-23, Class 2A5, 5.000%, 10/25/18		150
	341	Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 1A1, VAR, 5.296%, 06/25/20		337
	45	Deutsche Mortgage Securities, Inc., Series 2004-1, Class 2APO, PO, 10/25/18		42
		First Horizon Asset Securities, Inc.,
	58	Series 2004-AR7, Class 2A1, VAR, 2.617%, 02/25/35		56
	202	Series 2004-AR7, Class 2A2, VAR, 2.617%, 02/25/35		183
	232	Series 2005-AR1, Class 2A2, VAR, 2.673%, 04/25/35		218
	500	GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3, 5.500%, 02/25/36		448


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
			Non-Agency CMO — Continued
	60		Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO, PO, 04/25/33		44
	384		Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.122%, 08/25/35		2
			JP Morgan Mortgage Trust,
	131		Series 2006-A2, Class 4A1, VAR, 2.747%, 08/25/34		127
	446		Series 2006-A2, Class 5A3, VAR, 2.647%, 11/25/33		435
			MASTR Adjustable Rate Mortgages Trust,
	56		Series 2004-3, Class 4A2, VAR, 2.392%, 04/25/34		52
	418		Series 2004-13, Class 2A1, VAR, 2.662%, 04/21/34		412
	100		Series 2004-13, Class 3A6, VAR, 2.718%, 11/21/34		99
			MASTR Alternative Loans Trust,
	268		Series 2003-9, Class 8A1, 6.000%, 01/25/34		269
	850		Series 2004-4, Class 10A1, 5.000%, 05/25/24		878
	43		Series 2004-7, Class 30PO, PO, 08/25/34		33
	68		Series 2004-10, Class 1A1, 4.500%, 09/25/19		70
	312		Series 2005-6, Class 3A1, 5.500%, 11/25/20		301
			MASTR Asset Securitization Trust,
	190		Series 2003-2, Class 1A1, 5.000%, 03/25/18		195
	31		Series 2004-8, Class PO, PO, 08/25/19		26
	202		MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		158
	66		MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.564%, 02/25/35		53
			Nomura Asset Acceptance Corp.,
	91		Series 2003-A1, Class A1, 5.500%, 05/25/33		95
	28		Series 2003-A1, Class A2, 6.000%, 05/25/33		28
	13		Series 2003-A1, Class A5, 7.000%, 04/25/33		14
	89		Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		88
	—	(h)	Paine Webber CMO Trust, Series H, Class 4, 8.750%, 04/01/18		—	(h)
			Residential Accredit Loans, Inc.,
	371		Series 2002-QS8, Class A5, 6.250%, 06/25/17		380
	67		Series 2002-QS16, Class A3, IF, 16.113%, 10/25/17		76
	95		Series 2003-QS3, Class A2, IF, 15.963%, 02/25/18		102
	388		Series 2003-QS9, Class A3, IF, IO, 7.306%, 05/25/18		58
	348		Series 2004-QS3, Class CB, 5.000%, 03/25/19		353


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	23	Series 2004-QS8, Class A2, 5.000%, 06/25/34		23
	39	Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.750%, 02/25/19		39
		Salomon Brothers Mortgage Securities VII, Inc.,
	139	Series 2003-HYB1, Class A, VAR, 2.736%, 09/25/33		133
	18	Series 2003-UP2, Class PO1, PO, 12/25/18		16
	284	Springleaf Mortgage Loan Trust, Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e)		289
		Structured Asset Securities Corp.,
	195	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		197
	178	Series 2005-6, Class 4A1, 5.000%, 05/25/35		176
	187	Vericrest Opportunity Loan Transferee, Series 2011-NL3A, Class A1, VAR, 5.194%, 09/25/51 (e)		187
		WaMu Mortgage Pass-Through Certificates,
	122	Series 2002-S8, Class 2A7, 5.250%, 01/25/18		125
	236	Series 2003-AR5, Class A7, VAR, 2.581%, 06/25/33		238
	31	Series 2003-S11, Class 2A5, IF, 16.379%, 11/25/33		33
	130	Series 2004-AR3, Class A2, VAR, 2.549%, 06/25/34		128
	365	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,
	69	Series 2003-MS2, Class 1A1, 5.750%, 02/25/33		73
	21	Series 2003-MS7, Class P, PO, 03/25/33		17
	260	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		260
		Wells Fargo Mortgage-Backed Securities Trust,
	38	Series 2003-11, Class 1APO, PO, 10/25/18		32
	181	Series 2003-13, Class A7, 4.500%, 11/25/18		184
	156	Series 2003-15, Class 1A1, 4.750%, 12/25/18		161
	150	Series 2003-K, Class 1A1, VAR, 4.430%, 11/25/33		152
	60	Series 2004-7, Class 2A2, 5.000%, 07/25/19		62
	178	Series 2004-BB, Class A4, VAR, 2.618%, 01/25/35		178
	170	Series 2004-EE, Class 3A1, VAR, 2.749%, 12/25/34		170


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	526	Series 2004-P, Class 2A1, VAR, 2.677%, 09/25/34		519

				21,841

		Total Collateralized Mortgage Obligations (Cost $99,504)		107,577

	Commercial Mortgage-Backed Securities — 1.2%
		Banc of America Merrill Lynch Commercial Mortgage, Inc.,
	150	Series 2005-3, Class AM, 4.727%, 07/10/43		159
	393	Series 2005-6, Class ASB, VAR, 5.193%, 09/10/47		413
	50	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		56
	300	Series 2006-4, Class A4, 5.634%, 07/10/46		340
		Bear Stearns Commercial Mortgage Securities,
	197	Series 2005-PWR9, Class AAB, 4.804%, 09/11/42		207
	360	Series 2006-PW11, Class A4, VAR, 5.459%, 03/11/39		407
	1	Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.730%, 03/15/49		1
	17,793	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.188%, 12/11/49 (e)		155
	300	GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		330
	50	LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31		56
	321	Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43		324
		Morgan Stanley Reremic Trust,
	63	Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e)		62
	400	Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		425
	220	Series 2011-IO, Class A, 2.500%, 03/23/51 (e)		221
	1,000	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.707%, 08/15/39		1,082

		Total Commercial Mortgage-Backed Securities (Cost $3,923)		4,238

	Corporate Bonds — 18.6%
		Consumer Discretionary — 1.1%
		Auto Components — 0.0% (g)
	99	Johnson Controls, Inc., 3.750%, 12/01/21		105


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Automobiles — 0.0% (g)
	150	Daimler Finance North America LLC, 2.625%, 09/15/16 (e)		154

		Hotels, Restaurants & Leisure — 0.1%
	150	McDonald’s Corp., 4.300%, 03/01/13		155

		Household Durables — 0.0% (g)
	50	Newell Rubbermaid, Inc., 4.700%, 08/15/20		54

		Media — 0.7%
		CBS Corp.,
	25	5.750%, 04/15/20		29
	135	8.875%, 05/15/19		180
	200	Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13		216
	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		163
	353	5.000%, 03/01/21		392
	78	Discovery Communications LLC, 4.375%, 06/15/21		86
		News America, Inc.,
	100	7.250%, 05/18/18		121
	100	7.700%, 10/30/25		122
		Thomson Reuters Corp., (Canada),
	105	3.950%, 09/30/21		111
	60	4.700%, 10/15/19		66
		Time Warner Cable, Inc.,
	100	5.850%, 05/01/17		118
	50	6.750%, 07/01/18		61
	100	8.250%, 02/14/14		114
	150	8.250%, 04/01/19		195
	35	8.750%, 02/14/19		46
	223	Time Warner Entertainment Co. LP, 10.150%, 05/01/12		226
		Viacom, Inc.,
	33	1.250%, 02/27/15		33
	43	3.875%, 12/15/21		45
	50	4.500%, 03/01/21		55

				2,551

		Multiline Retail — 0.2%
		Kohl’s Corp.,
	40	4.000%, 11/01/21		42
	40	6.250%, 12/15/17		47
		Macy’s Retail Holdings, Inc.,
	22	3.875%, 01/15/22		23
	25	7.450%, 07/15/17		31


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Multiline Retail — Continued
	35	Nordstrom, Inc., 4.000%, 10/15/21		38
	400	Target Corp., 6.000%, 01/15/18		490

				671

		Specialty Retail — 0.1%
	59	Gap, Inc. (The), 5.950%, 04/12/21		59
	130	Home Depot, Inc., 5.400%, 03/01/16		151
	77	Lowe’s Cos., Inc., 3.800%, 11/15/21		83
	95	Staples, Inc., 9.750%, 01/15/14		109

				402

		Total Consumer Discretionary		4,092

		Consumer Staples — 0.8%
		Beverages — 0.3%
	75	Anheuser-Busch Cos. LLC, 5.500%, 01/15/18		88
	200	Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19		263
		Coca-Cola Co. (The),
	100	3.625%, 03/15/14		106
	50	4.875%, 03/15/19		59
	70	Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20		81
		Diageo Finance B.V., (Netherlands),
	30	5.300%, 10/28/15		35
	100	5.500%, 04/01/13		105
	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		32
	6	7.900%, 11/01/18		8
	30	SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e)		35

				939

		Food & Staples Retailing — 0.1%
	56	CVS Pass-Through Trust, 5.926%, 01/10/34 (e)		61
		Kroger Co. (The),
	50	2.200%, 01/15/17		51
	30	6.150%, 01/15/20		37
	75	6.400%, 08/15/17		91
	50	7.500%, 01/15/14		56

				296

		Food Products — 0.4%
		Bunge Ltd. Finance Corp.,
	50	5.875%, 05/15/13		52


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Food Products — Continued
	135	8.500%, 06/15/19		167
	14	Bunge N.A. Finance LP, 5.900%, 04/01/17		15
		Cargill, Inc.,
	100	3.300%, 03/01/22 (e)		101
	106	4.307%, 05/14/21 (e)		114
		Kellogg Co.,
	100	4.250%, 03/06/13		104
	200	5.125%, 12/03/12		207
		Kraft Foods, Inc.,
	100	5.375%, 02/10/20		117
	450	6.125%, 02/01/18		539

				1,416

		Household Products — 0.0% (g)
	20	Kimberly-Clark Corp., 2.400%, 03/01/22		19
	76	Procter & Gamble - ESOP, 9.360%, 01/01/21		102

				121

		Total Consumer Staples		2,772

		Energy — 0.8%
		Energy Equipment & Services — 0.1%
	12	Noble Holding International Ltd., (Cayman Islands), 3.950%, 03/15/22		12
	47	Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e)		49
		Transocean, Inc., (Cayman Islands),
	35	6.375%, 12/15/21		41
	100	6.500%, 11/15/20		117

				219

		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		179
	150	ConocoPhillips, 5.750%, 02/01/19		185
	80	Encana Corp., (Canada), 6.500%, 05/15/19		95
	200	ENI S.p.A., (Italy), 4.150%, 10/01/20 (e)		201
	100	EOG Resources, Inc., 4.100%, 02/01/21		111
		Marathon Oil Corp.,
	228	5.900%, 03/15/18		269
	175	6.000%, 10/01/17		206
	35	Occidental Petroleum Corp., 1.750%, 02/15/17		35
	40	PC Financial Partnership, 5.000%, 11/15/14		44
	90	Petrobras International Finance Co., (Cayman Islands), 5.375%, 01/27/21		97
	97	Petro-Canada, (Canada), 6.050%, 05/15/18		117


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
		Shell International Finance B.V., (Netherlands),
	55	1.875%, 03/25/13		56
	184	3.100%, 06/28/15		198
	55	4.000%, 03/21/14		59
	195	4.375%, 03/25/20		228
		Statoil ASA, (Norway),
	67	3.125%, 08/17/17		72
	83	3.150%, 01/23/22		86
	50	Talisman Energy, Inc., (Canada), 7.750%, 06/01/19		63
	44	Total Capital International S.A., (France), 1.500%, 02/17/17		44
	175	Total Capital S.A., (France), 2.300%, 03/15/16		182

				2,559

		Total Energy		2,778

		Financials — 11.1%
		Capital Markets — 2.7%
		Bank of New York Mellon Corp. (The),
	250	2.950%, 06/18/15		264
	75	3.100%, 01/15/15		79
	75	4.600%, 01/15/20		83
		BlackRock, Inc.,
	325	3.500%, 12/10/14		348
	326	5.000%, 12/10/19		372
	100	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		101
	40	Charles Schwab Corp. (The), 4.950%, 06/01/14		43
		Goldman Sachs Group, Inc. (The),
	255	3.625%, 02/07/16		256
	66	3.700%, 08/01/15		67
	68	5.375%, 03/15/20		70
	300	5.500%, 11/15/14		322
	80	5.750%, 01/24/22		83
	1,100	5.950%, 01/18/18		1,189
	250	7.500%, 02/15/19		285
		Jefferies Group, Inc.,
	111	3.875%, 11/09/15		106
	150	5.125%, 04/13/18		140
	125	8.500%, 07/15/19		134
		Lehman Brothers Holdings, Inc.,
	300	4.800%, 03/13/14 (d)		81
	350	6.000%, 07/19/12 (d)		95
	455	6.625%, 01/18/13 (d)		124
	75	6.750%, 12/28/17 (d)		—	(h)


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Capital Markets — Continued
		Macquarie Group Ltd., (Australia),
	150	6.000%, 01/14/20 (e)		148
	100	7.300%, 08/01/14 (e)		105
	40	7.625%, 08/13/19 (e)		41
		Merrill Lynch & Co., Inc.,
	200	5.000%, 01/15/15		206
	157	5.450%, 07/15/14		163
	50	6.150%, 04/25/13		52
	814	6.400%, 08/28/17		857
	266	6.875%, 04/25/18		290
		Morgan Stanley,
	104	4.000%, 07/24/15		104
	195	4.200%, 11/20/14		196
	147	4.750%, 04/01/14		149
	800	5.300%, 03/01/13		824
	166	5.500%, 07/24/20		163
	450	5.625%, 09/23/19		450
	175	5.750%, 08/31/12		179
	100	5.750%, 01/25/21		99
	250	6.000%, 05/13/14		262
	100	6.625%, 04/01/18		106
	100	7.300%, 05/13/19		108
		Nomura Holdings, Inc., (Japan),
	85	4.125%, 01/19/16		86
	178	6.700%, 03/04/20		193
	45	Northern Trust Corp., 5.500%, 08/15/13		48
		UBS AG, (Switzerland),
	500	3.875%, 01/15/15		519
	100	5.750%, 04/25/18		110
	100	5.875%, 12/20/17		111

				9,811

		Commercial Banks — 3.4%
	100	ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e)		101
	250	Australia & New Zealand Banking Group Ltd., (Australia), 2.400%, 11/23/16 (e)		252
	250	Bank of Montreal, (Canada), 1.300%, 10/31/14 (e)		253
		Bank of Nova Scotia, (Canada),
	121	1.650%, 10/29/15 (e)		123
	175	2.550%, 01/12/17		181
	123	3.400%, 01/22/15		131
	136	Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e)		144


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Commercial Banks — Continued
		Barclays Bank plc, (United Kingdom),
	410	2.500%, 01/23/13		414
	200	2.500%, 09/21/15 (e)		203
	100	3.900%, 04/07/15		104
	200	5.200%, 07/10/14		212
	250	6.050%, 12/04/17 (e)		254
		BB&T Corp.,
	70	3.375%, 09/25/13		73
	80	3.850%, 07/27/12		81
	125	3.950%, 04/29/16		136
	100	4.900%, 06/30/17		109
	150	5.700%, 04/30/14		165
	152	Branch Banking & Trust Co., 4.875%, 01/15/13		157
	1,000	Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e)		1,050
	55	Comerica, Inc., 3.000%, 09/16/15		57
		Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., (Netherlands),
	34	3.375%, 01/19/17		35
	118	3.875%, 02/08/22		118
		Credit Suisse, (Switzerland),
	100	5.400%, 01/14/20		100
	350	6.000%, 02/15/18		369
	350	Fifth Third Bancorp, 5.450%, 01/15/17		382
	300	HSBC Holdings plc, (United Kingdom), 4.875%, 01/14/22		325
	250	HSBC USA, Inc., 2.375%, 02/13/15		253
	200	ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e)		199
	100	KeyCorp, 6.500%, 05/14/13		106
	163	Macquarie Bank Ltd., (Australia), 5.000%, 02/22/17 (e)		165
	300	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		348
		National Australia Bank Ltd., (Australia),
	200	2.500%, 01/08/13 (e)		202
	300	2.750%, 09/28/15 (e)		305
	100	3.750%, 03/02/15 (e)		105
	100	Nordea Bank AB, (Sweden), 1.750%, 10/04/13 (e)		100
		PNC Funding Corp.,
	133	4.375%, 08/11/20		147
	265	5.125%, 02/08/20		306
	110	5.250%, 11/15/15		123
	115	5.625%, 02/01/17		127


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Commercial Banks — Continued
	250	Rabobank Nederland N.V., (Netherlands), 3.200%, 03/11/15 (e)		257
	170	SunTrust Banks, Inc., 5.250%, 11/05/12		175
	235	Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e)		244
		U.S. Bancorp,
	150	2.450%, 07/27/15		156
	208	2.875%, 11/20/14		218
	250	Wachovia Bank N.A., 6.000%, 11/15/17		287
		Wachovia Corp.,
	235	4.875%, 02/15/14		248
	850	5.750%, 02/01/18		986
		Wells Fargo & Co.,
	415	5.625%, 12/11/17		480
	500	SUB, 3.676%, 06/15/16		536
	315	Wells Fargo Bank N.A., 4.750%, 02/09/15		339
	285	Westpac Banking Corp., (Australia), 4.875%, 11/19/19		306

				12,247

		Consumer Finance — 0.8%
		American Express Credit Corp.,
	139	2.800%, 09/19/16		144
	200	7.300%, 08/20/13		217
		American Honda Finance Corp.,
	333	1.450%, 02/27/15 (e)		334
	200	2.125%, 02/28/17 (e)		201
	250	Capital One Bank USA N.A., 8.800%, 07/15/19		306
		Capital One Financial Corp.,
	100	6.750%, 09/15/17		116
	245	7.375%, 05/23/14		273
		HSBC Finance Corp.,
	200	5.250%, 01/15/14		211
	202	6.375%, 11/27/12		209
	33	John Deere Capital Corp., 3.150%, 10/15/21		34
	100	SLM Corp., 5.375%, 01/15/13		103
	91	Springleaf Finance Corp., 5.375%, 10/01/12		86
		Toyota Motor Credit Corp.,
	120	1.000%, 02/17/15		120
	200	2.000%, 09/15/16		203
	100	2.050%, 01/12/17		102
	154	3.200%, 06/17/15		164
	100	Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e)		101

				2,924


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Diversified Financial Services — 2.4%
	250	Associates Corp. of North America, 6.950%, 11/01/18		283
	300	BA Covered Bond Issuer, 5.500%, 06/14/12 (e)		304
		Bank of America Corp.,
	130	5.625%, 07/01/20		135
	300	5.650%, 05/01/18		311
	90	5.700%, 01/24/22		95
	170	5.750%, 12/01/17		178
	50	5.875%, 01/05/21		53
	100	6.500%, 08/01/16		108
	125	7.375%, 05/15/14		135
	425	Bank of America N.A., 5.300%, 03/15/17		432
		BP Capital Markets plc, (United Kingdom),
	100	3.125%, 03/10/12		100
	100	4.742%, 03/11/21		115
	300	5.250%, 11/07/13		322
		Caterpillar Financial Services Corp.,
	100	5.500%, 03/15/16		116
	150	6.200%, 09/30/13		163
	65	7.050%, 10/01/18		83
	100	7.150%, 02/15/19		130
		Citigroup, Inc.,
	43	4.587%, 12/15/15		46
	125	4.750%, 05/19/15		132
	506	5.000%, 09/15/14		527
	54	5.375%, 08/09/20		59
	700	6.000%, 08/15/17		780
	285	6.010%, 01/15/15		310
	300	6.125%, 11/21/17		336
		CME Group, Inc.,
	110	5.400%, 08/01/13		117
	190	5.750%, 02/15/14		208
	190	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		226
	27	ERAC USA Finance LLC, 4.500%, 08/16/21 (e)		28
		General Electric Capital Corp.,
	220	4.375%, 09/16/20		235
	800	4.650%, 10/17/21		870
	500	5.400%, 02/15/17		574
	475	5.625%, 05/01/18		548
	500	5.650%, 06/09/14		548
	100	Textron Financial Corp., 5.400%, 04/28/13		104

				8,711


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Insurance — 1.3%
		ACE INA Holdings, Inc.,
	45	2.600%, 11/23/15		46
	50	5.600%, 05/15/15		57
		Aflac, Inc.,
	28	2.650%, 02/15/17		28
	32	4.000%, 02/15/22		32
	25	8.500%, 05/15/19		33
		American International Group, Inc.,
	385	4.250%, 05/15/13		393
	350	5.450%, 05/18/17		372
	200	5.600%, 10/18/16		215
	45	Aon Corp., 3.500%, 09/30/15		47
	607	ASIF Global Financing XIX, 4.900%, 01/17/13 (e)		619
	150	Berkshire Hathaway Finance Corp., 5.400%, 05/15/18		178
		Berkshire Hathaway, Inc.,
	202	3.400%, 01/31/22		206
	98	3.750%, 08/15/21		103
	90	CNA Financial Corp., 5.875%, 08/15/20		98
		Jackson National Life Global Funding,
	80	4.700%, 06/01/18 (e)		85
	405	6.125%, 05/30/12 (e)		410
	100	MassMutual Global Funding II, 2.300%, 09/28/15 (e)		103
		Metropolitan Life Global Funding I,
	200	2.000%, 01/09/15 (e)		202
	175	3.650%, 06/14/18 (e)		180
	222	5.200%, 09/18/13 (e)		236
	50	Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e)		52
	170	New York Life Global Funding, 1.300%, 01/12/15 (e)		171
	150	Pacific Life Global Funding, 5.000%, 05/15/17 (e)		159
	200	Pricoa Global Funding I, 5.450%, 06/11/14 (e)		215
	100	Principal Life Income Funding Trusts, 5.300%, 04/24/13		105
	150	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		201
	200	Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e)		218
	50	Travelers Property Casualty Corp., 5.000%, 03/15/13		52

				4,816


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Real Estate Investment Trusts (REITs) — 0.3%
		CommonWealth REIT,
	125	5.875%, 09/15/20		128
	150	6.650%, 01/15/18		162
	27	ERP Operating LP, 4.625%, 12/15/21		29
		HCP, Inc.,
	8	3.750%, 02/01/19		8
	92	5.375%, 02/01/21		101
		Simon Property Group LP,
	81	4.125%, 12/01/21		87
	17	4.200%, 02/01/15		18
	40	4.375%, 03/01/21		44
	100	5.625%, 08/15/14		108
	50	5.650%, 02/01/20		59
	40	6.100%, 05/01/16		46
	50	6.125%, 05/30/18		60
	159	WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e)		186

				1,036

		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)		527

				552

		Total Financials		40,097

		Health Care — 0.4%
		Biotechnology — 0.1%
		Amgen, Inc.,
	400	3.875%, 11/15/21		416
	44	4.500%, 03/15/20		48
	40	5.700%, 02/01/19		46

				510

		Health Care Equipment & Supplies — 0.1%
		Baxter International, Inc.,
	50	4.000%, 03/01/14		53
	50	4.625%, 03/15/15		56
	40	Becton Dickinson and Co., 5.000%, 05/15/19		47

				156

		Health Care Providers & Services — 0.1%
	50	Medco Health Solutions, Inc., 2.750%, 09/15/15		51
	112	UnitedHealth Group, Inc., 3.375%, 11/15/21		118


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Health Care Providers & Services — Continued
		WellPoint, Inc.,
	27	5.875%, 06/15/17		31
	18	7.000%, 02/15/19		23

				223

		Pharmaceuticals — 0.1%
	100	AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14		111
	150	GlaxoSmithKline Capital, Inc., 5.650%, 05/15/18		183
	75	Merck & Co., Inc., 6.000%, 09/15/17		93

				387

		Total Health Care		1,276

		Industrials — 0.9%
		Aerospace & Defense — 0.1%
	100	Honeywell International, Inc., 5.300%, 03/01/18		120
	47	Lockheed Martin Corp., 2.125%, 09/15/16		48
	50	United Technologies Corp., 6.125%, 02/01/19		62

				230

		Airlines — 0.1%
	87	American Airlines, 2011-2 Class A Pass-Through Trust, 8.625%, 10/15/21		92
	37	Continental Airlines, 1999-2 Class C-2 Pass-Through Trust, 7.256%, 03/15/20		41
	76	Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		81

				214

		Commercial Services & Supplies — 0.1%
	100	Allied Waste North America, Inc., 6.875%, 06/01/17		105
		Pitney Bowes, Inc.,
	125	4.875%, 08/15/14		133
	100	5.000%, 03/15/15		107
	50	5.600%, 03/15/18		53
	60	Waste Management, Inc., 7.375%, 03/11/19		76

				474

		Construction & Engineering — 0.0% (g)
	70	Fluor Corp., 3.375%, 09/15/21		71

		Industrial Conglomerates — 0.0% (g)
	100	Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)		117


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Industrial Conglomerates — Continued
	50	Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19		64

				181

		Machinery — 0.0% (g)
	50	Eaton Corp., 5.600%, 05/15/18		59
	25	Parker Hannifin Corp., 5.500%, 05/15/18		29

				88

		Road & Rail — 0.6%
		Burlington Northern Santa Fe LLC,
	43	3.050%, 03/15/22		43
	32	3.450%, 09/15/21		33
	19	3.600%, 09/01/20		20
	100	5.650%, 05/01/17		117
	100	7.000%, 02/01/14		111
		CSX Corp.,
	30	6.250%, 04/01/15		34
	30	7.375%, 02/01/19		38
	50	7.900%, 05/01/17		63
	615	Federal Express Corp. 1998 Pass Through Trust, 6.720%, 01/15/22		734
		Norfolk Southern Corp.,
	138	3.250%, 12/01/21		142
	50	7.700%, 05/15/17		63
		Ryder System, Inc.,
	48	2.500%, 03/01/17		48
	55	3.600%, 03/01/16		58
		Union Pacific Corp.,
	233	4.163%, 07/15/22		257
	100	4.875%, 01/15/15		110
	82	5.650%, 05/01/17		97
	115	United Parcel Service of America, Inc., 8.375%, 04/01/20		161

				2,129

		Total Industrials		3,387

		Information Technology — 0.7%
		Computers & Peripherals — 0.3%
	256	Dell, Inc., 3.100%, 04/01/16		273
		Hewlett-Packard Co.,
	195	4.375%, 09/15/21		206
	325	5.400%, 03/01/17		367
	200	6.125%, 03/01/14		218

				1,064


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	25	3.375%, 11/01/15		26
	150	6.875%, 07/01/13		160

				186

		IT Services — 0.2%
		International Business Machines Corp.,
	126	1.250%, 02/06/17		126
	150	5.700%, 09/14/17		182
	200	7.625%, 10/15/18		271

				579

		Office Electronics — 0.0% (g)
		Xerox Corp.,
	50	5.625%, 12/15/19		55
	40	6.750%, 02/01/17		47

				102

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

		Software — 0.1%
	25	Intuit, Inc., 5.750%, 03/15/17		28
	120	Microsoft Corp., 1.625%, 09/25/15		124
		Oracle Corp.,
	200	5.250%, 01/15/16		232
	100	5.750%, 04/15/18		123

				507

		Total Information Technology		2,475

		Materials — 0.4%
		Chemicals — 0.3%
	100	Air Products & Chemicals, Inc., 4.150%, 02/01/13		103
		Dow Chemical Co. (The),
	61	4.125%, 11/15/21		65
	38	4.250%, 11/15/20		41
	60	7.600%, 05/15/14		68
	40	8.550%, 05/15/19		53
		El du Pont de Nemours & Co.,
	101	1.950%, 01/15/16		104
	50	4.125%, 03/06/13		52
	100	6.000%, 07/15/18		125
	34	Mosaic Co. (The), 3.750%, 11/15/21		36
	100	Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13		104
	230	Praxair, Inc., 4.625%, 03/30/15		256


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Chemicals — Continued
	150	Union Carbide Corp., 7.500%, 06/01/25		178

				1,185

		Metals & Mining — 0.1%
		BHP Billiton Finance USA Ltd., (Australia),
	37	1.000%, 02/24/15		37
	83	1.625%, 02/24/17		83
	100	5.400%, 03/29/17		118
	100	6.500%, 04/01/19		126
		Rio Tinto Finance USA Ltd., (Australia),
	27	3.500%, 11/02/20		28
	50	8.950%, 05/01/14		58

				450

		Total Materials		1,635

		Telecommunication Services — 0.9%
		Diversified Telecommunication Services — 0.8%
		AT&T, Inc.,
	100	4.450%, 05/15/21		112
	135	5.100%, 09/15/14		149
	150	5.500%, 02/01/18		179
	15	BellSouth Corp., 5.200%, 09/15/14		17
	100	BellSouth Telecommunications, Inc., 6.300%, 12/15/15		107
	100	British Telecommunications plc, (United Kingdom), 5.950%, 01/15/18		117
	61	France Telecom S.A., (France), 2.750%, 09/14/16		63
	500	GTE Corp., 6.840%, 04/15/18		618
	148	Qwest Corp., 6.750%, 12/01/21		169
		Telecom Italia Capital S.A., (Luxembourg),
	280	4.950%, 09/30/14		283
	225	5.250%, 11/15/13		228
		Telefonica Emisiones S.A.U., (Spain),
	275	5.855%, 02/04/13		284
	30	5.877%, 07/15/19		32
	100	Verizon Communications, Inc., 5.500%, 02/15/18		119
	250	Verizon Maryland, Inc., 7.150%, 05/01/23		264
	100	Verizon New England, Inc., 4.750%, 10/01/13		105

				2,846

		Wireless Telecommunication Services — 0.1%
	150	Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14		163
	40	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		41


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Wireless Telecommunication Services — Continued
	125	Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15		141

				345

		Total Telecommunication Services		3,191

		Utilities — 1.5%
		Electric Utilities — 0.9%
		Carolina Power & Light Co.,
	233	5.125%, 09/15/13		249
	150	5.300%, 01/15/19		177
	100	CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14		108
	50	Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17		63
	30	Connecticut Light & Power Co. (The), 5.650%, 05/01/18		36
	200	Duke Energy Carolinas LLC, 5.625%, 11/30/12		207
	60	Duke Energy Indiana, Inc., 3.750%, 07/15/20		65
	100	Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)		99
	72	Exelon Generation Co. LLC, 4.000%, 10/01/20		75
	40	Georgia Power Co., 6.000%, 11/01/13		44
	135	Indiana Michigan Power Co., 7.000%, 03/15/19		168
	25	Jersey Central Power & Light Co., 7.350%, 02/01/19		32
	16	Kiowa Power Partners LLC, 4.811%, 12/30/13 (e)		16
	60	Nevada Power Co., 7.125%, 03/15/19		76
	150	NextEra Energy Capital Holdings, Inc., 7.875%, 12/15/15		180
	40	Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)		44
	180	Nisource Finance Corp., 4.450%, 12/01/21		191
	25	Ohio Power Co., 6.050%, 05/01/18		30
		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		149
	60	PacifiCorp, 5.650%, 07/15/18		72
	75	Peco Energy Co., 5.350%, 03/01/18		89
	51	Public Service Co. of Colorado, 3.200%, 11/15/20		54
	74	Public Service Co. of Oklahoma, 4.400%, 02/01/21		80
	200	Public Service Electric & Gas Co., 6.330%, 11/01/13		218


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Electric Utilities — Continued
		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		41
		Spectra Energy Capital LLC,
	100	5.500%, 03/01/14		106
	30	5.668%, 08/15/14		33
	140	6.200%, 04/15/18		162
	50	8.000%, 10/01/19		64
		Virginia Electric and Power Co.,
	210	5.100%, 11/30/12		217
	100	5.400%, 04/30/18		119

				3,440

		Gas Utilities — 0.2%
		AGL Capital Corp.,
	94	3.500%, 09/15/21		95
	50	4.450%, 04/15/13		51
	100	6.375%, 07/15/16		117
		Atmos Energy Corp.,
	100	5.125%, 01/15/13		104
	30	8.500%, 03/15/19		40
	50	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		58
		TransCanada PipeLines Ltd., (Canada),
	100	4.000%, 06/15/13		104
	100	6.500%, 08/15/18		125
	30	7.125%, 01/15/19		38

				732

		Independent Power Producers & Energy Traders —0.0% (g)
	150	PPL Energy Supply LLC, 4.600%, 12/15/21		156

		Multi-Utilities — 0.3%
		Dominion Resources, Inc.,
	195	6.250%, 06/30/12		199
	150	8.875%, 01/15/19		202
	100	KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12		103
	50	PG&E Corp., 5.750%, 04/01/14		55
		Sempra Energy,
	80	8.900%, 11/15/13		89
	150	9.800%, 02/15/19		205
		Wisconsin Electric Power Co.,
	30	6.000%, 04/01/14		33


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Multi-Utilities — Continued
	100		6.250%, 12/01/15		118

					1,004

			Water Utilities — 0.1%
	200		American Water Capital Corp., 6.085%, 10/15/17		234

			Total Utilities		5,566

			Total Corporate Bonds (Cost $63,651)		67,269

	Foreign Government Securities — 1.0%
			Israel Government AID Bond, (Israel),
	1,000		Zero Coupon, 08/15/17		923
	1,000		Zero Coupon, 08/15/18		892
	1,557		Zero Coupon, 08/15/20		1,285
	100		Province of Manitoba, (Canada), 2.125%, 04/22/13		102
			Province of Ontario, (Canada),
	250		2.700%, 06/16/15		264
	300		2.950%, 02/05/15		318

			Total Foreign Government Securities (Cost $3,661)		3,784

	Mortgage Pass-Through Securities — 12.2%
			Federal Home Loan Mortgage Corp.,
	150		ARM, 2.203%, 01/01/37		158
	48		ARM, 2.210%, 01/01/27		50
	336		ARM, 2.289%, 08/01/36		354
	15		ARM, 2.375%, 07/01/26		16
	266		ARM, 2.486%, 03/01/37		284
	143		ARM, 2.538%, 09/01/36		153
	545		ARM, 2.622%, 12/01/34		579
	241		ARM, 2.669%, 09/01/36		258
	227		ARM, 4.831%, 04/01/38		241
	147		ARM, 5.471%, 02/01/37		155
	423		ARM, 6.024%, 06/01/36		455
	213		ARM, 6.664%, 11/01/36		230
			Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	277		4.000%, 06/01/19		293
	71		4.500%, 10/01/18		76
	477		5.500%, 06/01/17 - 01/01/24		518
	285		6.000%, 10/01/17 - 04/01/18		307
	684		6.500%, 01/01/17 - 03/01/22		744
	43		7.000%, 09/01/12 - 01/01/17		43
	—	(h)	7.500%, 10/01/14		—	(h)


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
		Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	20	6.000%, 12/01/22		22
	102	6.500%, 12/01/13 - 08/01/26		114
		Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	123	6.000%, 01/01/34		138
	189	7.000%, 04/01/22 - 02/01/37		218
	9	7.500%, 08/01/25		11
	12	8.000%, 07/01/20 - 11/01/24		14
	32	8.500%, 07/01/28		38
	594	Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30		712
	536	Federal Home Loan Mortgage Corp. Gold Pools, Other, 6.000%, 02/01/33		588
		Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	3	12.000%, 08/01/15 - 07/01/19		3
		Federal National Mortgage Association,
	7	ARM, 1.911%, 03/01/19		7
	227	ARM, 2.056%, 01/01/35		239
	246	ARM, 2.131%, 09/01/35		259
	146	ARM, 2.135%, 08/01/35		153
	89	ARM, 2.192%, 02/01/37		94
	331	ARM, 2.119%, 02/01/35		350
	155	ARM, 2.297%, 11/01/33		164
	263	ARM, 2.330%, 01/01/35		275
	286	ARM, 2.340%, 09/01/35		304
	221	ARM, 2.347%, 08/01/34		232
	378	ARM, 2.352%, 09/01/34		401
	176	ARM, 2.423%, 04/01/33		186
	229	ARM, 2.547%, 10/01/34		242
	293	ARM, 2.560%, 09/01/33		311
	100	ARM, 2.592%, 08/01/36		107
	213	ARM, 2.601%, 02/01/35		226
	188	ARM, 2.658%, 07/01/46		200
	223	ARM, 2.671%, 04/01/35		234
	246	ARM, 2.673%, 02/01/37		262
	2	ARM, 2.796%, 08/01/19		2
	352	ARM, 3.031%, 02/01/36		371
	21	ARM, 3.084%, 09/01/27		22
	20	ARM, 3.898%, 03/01/29		21
	174	ARM, 6.200%, 09/01/36		188
		Federal National Mortgage Association, 15 Year, Single Family,
	421	4.000%, 09/01/18 - 05/01/19		449
	1,329	4.500%, 05/01/18 - 05/01/19		1,435


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	762	5.000%, 12/01/16 - 04/01/19		833
	513	5.500%, 01/01/20 - 06/01/20		559
	686	6.000%, 03/01/21 - 01/01/24		742
	137	6.500%, 05/01/13 - 08/01/20		149
	3	7.500%, 10/01/12		3
	1	8.000%, 11/01/12		1
		Federal National Mortgage Association, 20 Year, Single Family,
	157	6.000%, 04/01/24		174
	212	6.500%, 05/01/22		238
		Federal National Mortgage Association, 30 Year, FHA/VA,
	20	6.000%, 09/01/33		22
	39	6.500%, 03/01/29		45
	27	8.500%, 08/01/27 - 02/01/30		30
	15	9.000%, 09/01/19 - 12/01/30		16
	9	9.500%, 12/01/18		11
		Federal National Mortgage Association, 30 Year, Single Family,
	184	4.500%, 08/01/33		196
	2,062	5.000%, 07/01/33 - 08/01/40		2,245
	2,605	5.500%, 09/01/33 - 02/01/38		2,851
	1,167	6.000%, 12/01/32 - 09/01/37		1,296
	66	6.500%, 08/01/31		76
	16	7.000%, 07/01/25 - 08/01/32		19
	20	7.500%, 11/01/22 - 05/01/25		23
	659	8.000%, 03/01/21 - 11/01/32		804
	11	8.500%, 07/01/24 - 06/01/25		13
	1	9.000%, 04/01/26		1
	5	10.000%, 02/01/24		5
	3	12.500%, 01/01/16		3
		Federal National Mortgage Association, Other,
	998	1.940%, 01/01/17		1,022
	1,000	1.990%, 01/01/17		1,000
	2,939	2.970%, 11/01/18		3,088
	2,456	3.590%, 12/01/20		2,648
	1,000	3.658%, 10/01/20		1,073
	1,086	4.160%, 03/01/21		1,207
	478	4.291%, 06/01/21		538
	1,987	4.380%, 01/01/21 - 04/01/21		2,235
	500	4.390%, 05/01/21		563
	800	4.443%, 04/01/21		896
	968	4.500%, 03/01/20		1,083
	433	5.500%, 04/01/38		466
	499	6.000%, 03/01/37		544


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
		Government National Mortgage Association II, 30 Year, Single Family,
	1,190	6.000%, 03/20/28 - 09/20/38		1,335
	17	7.500%, 02/20/28 - 09/20/28		20
	47	8.000%, 12/20/25 - 10/20/28		56
	28	8.500%, 03/20/25 - 05/20/25		34
		Government National Mortgage Association, 15 Year, Single Family,
	41	6.000%, 10/15/17		45
	22	8.000%, 01/15/16		24
		Government National Mortgage Association, 30 Year, Single Family,
	699	6.000%, 11/15/28 - 12/15/38		796
	467	6.500%, 01/15/24 - 12/15/35		539
	437	7.000%, 08/15/23 - 06/15/35		505
	32	7.500%, 11/15/22 - 09/15/28		38
	12	8.000%, 05/15/22 - 08/15/28		12
	8	8.500%, 11/15/17		8
	15	9.000%, 08/15/16 - 11/15/24		17
	276	9.500%, 09/15/18 - 12/15/25		330
	6	12.000%, 11/15/19		7

		Total Mortgage Pass-Through Securities (Cost $41,833)		43,990

	Supranational — 0.0% (g)
	40	Corp. Andina de Fomento, 5.200%, 05/21/13 (Cost $40)		42

	U.S. Government Agency Securities — 2.1%
	500	Federal Farm Credit Bank, 5.125%, 11/15/18		605
		Federal National Mortgage Association,
	1,300	Zero Coupon, 07/05/14		1,273
	1,000	Zero Coupon, 06/01/17		927
	800	5.000%, 05/11/17		954
	500	Federal National Mortgage Association STRIPS, 11/15/21		383
		Financing Corp. Fico,
	500	Zero Coupon, 04/05/19		434
	300	Zero Coupon, 09/26/19		255
	1,000	Government Trust Certificate, Zero Coupon, 10/01/15		948
	450	Residual Funding Corp. STRIPS, Zero Coupon, 07/15/20		375
	1,000	Tennessee Valley Authority, 5.500%, 07/18/17		1,218
	333	Tennessee Valley Authority STRIPS, Zero Coupon, 05/01/19		286

		Total U.S. Government Agency Securities (Cost $7,195)		7,658


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	U.S. Treasury Obligations — 30.2%
		U.S. Treasury Bonds,
	1,225	7.500%, 11/15/16		1,603
	320	8.500%, 02/15/20		489
	250	8.750%, 05/15/20		389
	250	8.750%, 08/15/20		392
	3,000	8.875%, 08/15/17		4,267
		U.S. Treasury Bonds STRIPS,
	100	08/15/26		66
	300	11/15/26		197
		U.S. Treasury Inflation Indexed Notes,
	1,000	0.500%, 04/15/15		1,109
	700	1.125%, 01/15/21		825
	1,850	2.000%, 04/15/12		2,069
		U.S. Treasury Notes,
	400	1.375%, 12/31/18		400
	4,900	1.500%, 08/31/18		4,969
	1,500	1.750%, 10/31/18		1,542
	1,500	2.125%, 12/31/15		1,586
	1,500	2.250%, 07/31/18		1,593
	1,500	2.750%, 11/30/16		1,634
	1,755	2.750%, 05/31/17		1,918
	3,000	2.750%, 12/31/17		3,282
	1,000	3.125%, 04/30/17		1,111
	7,900	3.250%, 12/31/16		8,801
	1,000	3.250%, 03/31/17		1,117
	1,000	4.750%, 08/15/17		1,201
		U.S. Treasury STRIPS,
	202	11/15/13		201
	800	02/15/14 (m)		795
	4,566	05/15/14 (m)		4,530
	1,500	08/15/14 (m)		1,486
	3,518	11/15/14 (m)		3,477
	3,325	02/15/15		3,277
	32	08/15/15		31
	4,952	11/15/15 (m)		4,841
	5,766	02/15/16 (m)		5,617
	1,072	05/15/16		1,038
	2,005	08/15/16		1,933
	700	11/15/16		671
	1,224	02/15/17		1,168
	4,446	08/15/17		4,196
	1,960	11/15/17		1,838
	2,200	02/15/18		2,048
	495	05/15/19		444
	4,350	08/15/19		3,870
	2,000	02/15/20		1,747


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	U.S. Treasury Obligations — Continued
	13,948	05/15/20		12,076
	150	05/15/20		131
	12,550	08/15/20		10,771
	1,450	05/15/21		1,208
	100	08/15/21		83
	1,350	11/15/21		1,104

		Total U.S. Treasury Obligations (Cost $101,567)		109,141


SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 2.3%
		Investment Company — 2.3%
	8,286	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.170% (b) (l) (Cost $8,286)		8,286

		Total Investments — 100.1% (Cost $339,230)		361,569
		Liabilities in Excess of Other Assets — (0.1)%		(264	)

		NET ASSETS — 100.0%	$	361,305

Percentages indicated are based on net assets.


ARM		— Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 29, 2012.
CMO		— Collateralized Mortgage Obligation
ESOP		— Employee Stock Ownership Program
ETF		— Exchange Traded Fund
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 IOs, 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 February 29, 2012. 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 February 29, 2012.


VA		— Veterans Administration
VAR		— Variable Rate Security. The interest rate shown is the rate in effect as of February 29, 2012.



(a)	— Non-income producing security.
(b)	— Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(c)	— Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction.
(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	$	23,502		0.7	%
	Intermediate Bond Trust		966		0.3

(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 February 29, 2012.
(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, unfunded commitments and/or forward foreign currency exchange 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 investment objective of Core Bond Trust is to seek to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.

The investment objective of Equity Index Trust is to seek investment results that correspond to the aggregate price and dividend performance of securities in the Standard and Poor’s 500 Composite Stock Price Index.

The investment objective of Intermediate Bond Trust is to seek current income consistent with the preservation of capital by investing in high- and medium-grade fixed income securities with intermediate maturities.

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 prices 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 fund’s net asset value per share as of the report date. 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 Funds primarily employ 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 Funds 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. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. 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 year ended February 29, 2012.

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 February 29, 2012, 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 are 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. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds.

The following is the value and percentage of net assets of illiquid securities as of February 29, 2012 (amounts in thousands):

C. Futures Contracts — Equity Index Trust uses index futures contracts to gain or reduce exposure to its index, 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 year ended February 29, 2012 (amounts in thousands):

D. Transactions with Affiliates — An issuer which is under common control with the Funds may be considered 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. The Goldman Sachs Bank USA, doing business as Goldman Sachs Agency Lending (“GSAL”), serves as lending agent for the Equity Index Trust pursuant to a Securities Lending Agreement (the “GSAL 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.

For the year ended February 29, 2012, the Equity Index Trust Fund earned approximately $1,000 from the investment of cash collateral, prior to rebates of fees, from an investment in an affiliated fund as described below.

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 GSAL 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 February 29, 2012, 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, GSAL has agreed to indemnify the Fund from losses resulting from a borrower’s failure to return a loaned security.

The Advisor 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 generally 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.

The following amounts were reclassified within the capital accounts (amounts in thousands):

The reclassifications for the Funds relate primarily to distribution reclassification (Core Bond Trust and Intermediate Bond Trust), distributions from investments in real estate investment trusts (Equity Index Trust) and distributions in excess (Intermediate Bond Trust).

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.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, and successor in interest to J.P. Morgan Investor Services Co., serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB 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 expenses 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 expense limitation agreements were in effect for the year ended February 29, 2012. The expense limitation percentages in the table above are in place until at least June 30, 2012.

For the year ended February 29, 2012, 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 year ended February 29, 2012 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 year ended February 29, 2012, 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 year ended February 29, 2012, 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 year ended February 29, 2012, 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 February 29, 2012, were as follows (amounts in thousands):

For the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals (Core Bond Trust and Equity Index Trust) and Deflation Tips Adjustment (Core Bond Trust and Intermediate Bond Trust).

The tax character of distributions paid during the fiscal year ended February 29, 2012 was as follows (amounts in thousands):

The tax character of distributions paid during the fiscal year ended February 28, 2011 was as follows (amounts in thousands):

At February 29, 2012, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):

For the Funds, the cumulative timing differences primarily consist of trustee deferred compensation (Equity Index Trust), distributions payable (Core Bond Trust and Intermediate Bond Trust), post-October loss deferrals (Equity Index Trust) and wash sale loss deferrals.

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds 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 Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

As of February 29, 2012, Equity Index Trust had post-enactment net long-term capital loss carryforwards of approximately $694,000.

As of February 29, 2012, the following Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):

During the year ended February 29, 2012, the Funds utilized capital loss carryforwards as follows (amounts in thousands):

Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended February 29, 2012, Equity Index Trust deferred to March 1, 2012 post-October capital losses of approximately $4,801,000.

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. In addition, Equity Index Trust has a shareholder that owns a significant portion of the Fund’s outstanding shares. 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):

To the Board of Trustees of JPMorgan Institutional Trust and Shareholders of JPMorgan Core Bond Trust, JPMorgan Equity Index Trust and JPMorgan Intermediate Bond Trust:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Core Bond Trust, JPMorgan Equity Index Trust and JPMorgan Intermediate Bond Trust (hereafter referred to as the “Funds”) at February 29, 2012, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 29, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

The following table includes additional information about the Funds’ Trustees:

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

As a shareholder of the Funds, you incur ongoing costs, including investment advisory fees, 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 ongoing 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, September 1, 2011, and continued to hold your shares at the end of the reporting period, February 29, 2012.

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.

Certain tax information for the JPMorgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended February 29, 2012. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2012. The information necessary to complete your income tax returns for the calendar year ending December 31, 2012 will be received under separate cover.

Dividends Received Deductions (DRD)

The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended February 29, 2012:


	Dividends Received Deduction
Equity Index Trust		100	%

Long Term Capital Gain Designation — 15%

Each Fund hereby designates the following amount as long-term capital gain distributions for the purpose of the dividend paid deduction on its respective tax return for the fiscal year ended February 29, 2012 (amounts in thousands).


	Long-Term Capital Gain Distribution
Core Bond Trust	$	7,851
Intermediate Bond Trust		1,990

Qualified Dividend Income (QDI)

For the fiscal year ended February 29, 2012, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):


	Qualified Dividend Income
Equity Index Trust	$	7,278

Treasury Income

The following represents the percentage of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 29, 2012:


	Income from U.S. Treasury Obligations
Core Bond Trust		12.73	%
Intermediate Bond Trust		12.90

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.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.

(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.

The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.

(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)).

The audit committee financial expert is John F. Finn. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.

(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.

Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.

(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.

The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended February 29, 2012 and February 28, 2011, respectively.

For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.

(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.

Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of

Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.

One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.

(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.

The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:

These amounts also include the aggregate non audit fees billed by the Independent Registered Public Accounting firm for services rendered to J.P. Morgan Chase & Co. (“JPMC”) and certain related entities.

(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.

The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.

(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.

Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.

(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:
Fund*		8.24%
Barclays Capital U.S. Aggregate Index		8.37%

Net Assets as of 2/29/2012 (In Thousands)	$	3,458,321
Duration as of 2/29/2012		4.8 years


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012

	INCEPTION DATE OF CLASS		1 YEAR			3 YEAR			5 YEAR			SINCE INCEPTION
		2/07/05		8.24	%		10.14	%		7.71	%		6.58	%


REPORTING PERIOD RETURN:
JPMorgan Equity Index Trust*		4.97%
S&P 500 Index (1)		5.12%

Net Assets as of 2/29/2011 (In Thousands)	$	301,098


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012

	INCEPTION DATE OF CLASS		1 YEAR			3 YEAR			5 YEAR			SINCE INCEPTION
		2/07/05		4.97	%		25.40	%		1.45	%		3.83	%


REPORTING PERIOD RETURN:
Fund*			7.98%
Barclays Capital Intermediate U.S. Government/Credit Index			6.45%

Net Assets as of 2/29/2012 (In Thousands)			$361,305
Duration as of 2/29/2012			4.2 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			80

Financial Highlights			84

Notes to Financial Statements			86

Report of Independent Registered Public Accounting Firm			95

Trustees			96

Officers			98

Schedule of Shareholder Expenses			99

Tax Letter			100


	Core Bond Trust			Equity Index Trust			Intermediate Bond Trust
ASSETS:
Investments in non-affiliates, at value	$	3,366,283		$	294,412		$	353,283
Investments in affiliates, at value		83,998			6,184			8,286

Total investment securities, at value		3,450,281			300,596			361,569
Cash		210			—			15
Receivables:
Investment securities sold		3,153			1			110
Fund shares sold		11,170			—			—
Interest and dividends from non-affiliates		16,813			729			1,599
Dividends from affiliates		17			—	(a)		2

Total Assets		3,481,644			301,326			363,295


LIABILITIES:
Payables:
Dividends		275			—			45
Investment securities purchased		21,490			115			1,747
Collateral for securities lending program		—			33			—
Fund shares redeemed		1,100			—			137
Variation margin on futures contracts		—			14			—
Accrued liabilities:
Investment advisory fees		328			17			10
Custodian and accounting fees		46			19			17
Trustees’ and Chief Compliance Officer’s fees		1			1			1
Audit fees		33			21			30
Other		50			8			3

Total Liabilities		23,323			228			1,990

Net Assets	$	3,458,321		$	301,098		$	361,305


NET ASSETS:
Paid-in-Capital	$	3,207,718		$	269,438		$	339,025
Accumulated undistributed (distributions in excess of) net investment income		(316	)		1,329			(59	)
Accumulated net realized gains (losses)		2,163			(56,629	)		—
Net unrealized appreciation (depreciation)		248,756			86,960			22,339

Total Net Assets	$	3,458,321		$	301,098		$	361,305

Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): (b)		319,575			18,211			33,985

Net Asset Value, offering and redemption price per share	$	10.82		$	16.53		$	10.63


Cost of investments in non-affiliates	$	3,117,527		$	207,974		$	330,944
Cost of investments in affiliates		83,998			5,877			8,286
Value of securities on loan		—			31			—


	Core Bond Trust						Equity Index Trust						Intermediate Bond Trust
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	149,725		$	153,933		$	6,700		$	5,902		$	13,338		$	17,106
Net realized gain (loss)		15,415			8,065			(2,629	)		(5,765	)		3,171			1,914
Change in net unrealized appreciation (depreciation)		90,772			54,989			12,157			62,868			7,860			1,425

Change in net assets resulting from operations		255,912			216,987			16,228			63,005			24,369			20,445


DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income		(153,487	)		(153,857	)		(7,278	)		(5,840	)		(14,567	)		(17,137	)
From net realized gains		(4,919	)		—			—			—			(1,970	)		—
Return of capital		—			—			—			—			(790	)		—

Total distributions to shareholders		(158,406	)		(153,857	)		(7,278	)		(5,840	)		(17,327	)		(17,137	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		774,356			689,605			30,932			58,936			79,121			65,143
Subscriptions in-kind (See Note 7)		—			4,376			—			—			—			—
Dividends and distributions reinvested		154,789			124,882			7,278			2,401			16,912			15,597
Cost of shares redeemed		(590,970	)		(668,047	)		(87,258	)		(82,128	)		(108,690	)		(76,325	)

Change in net assets from capital transactions		338,175			150,816			(49,048	)		(20,791	)		(12,657	)		4,415


NET ASSETS:
Change in net assets		435,681			213,946			(40,098	)		36,374			(5,615	)		7,723
Beginning of period		3,022,640			2,808,694			341,196			304,822			366,920			359,197

End of period	$	3,458,321		$	3,022,640		$	301,098		$	341,196		$	361,305		$	366,920

Accumulated undistributed (distributions in excess of) net investment income	$	(316	)	$	492		$	1,329		$	1,969		$	(59	)	$	1


SHARE TRANSACTIONS:
Issued		72,277			65,779			2,053			4,008			7,492			6,221
Subscriptions in-kind (See Note 7)		—			426			—			—			—			—
Reinvested		14,484			11,847			481			172			1,602			1,490
Redeemed		(55,193	)		(63,504	)		(5,516	)		(5,706	)		(10,442	)		(7,326	)

Change in Shares		31,568			14,548			(2,982	)		(1,526	)		(1,348	)		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			Return of capital			Total distributions
Core Bond Trust
Year Ended February 29, 2012	$	10.50	$	0.50	$	0.35		$	0.85		$	(0.51	)	$	(0.02	)		—		$	(0.53	)
Year Ended February 28, 2011		10.27		0.55		0.23			0.78			(0.55	)		—			—			(0.55	)
Year Ended February 28, 2010		9.53		0.63		0.74			1.37			(0.63	)		—			—			(0.63	)
Year Ended February 28, 2009		10.09		0.55		(0.56	)		(0.01	)		(0.55	)		—			—			(0.55	)
Year Ended February 29, 2008		9.78		0.49		0.31			0.80			(0.49	)		—			—			(0.49	)

Equity Index Trust
Year Ended February 29, 2012		16.10		0.31		0.46			0.77			(0.34	)		—			—			(0.34	)
Year Ended February 28, 2011		13.42		0.28		2.67			2.95			(0.27	)		—			—			(0.27	)
Year Ended February 28, 2010		8.98		0.30		4.44			4.74			(0.30	)		—			—			(0.30	)
Year Ended February 28, 2009		16.27		0.33		(7.28	)		(6.95	)		(0.30	)		(0.04	)		—			(0.34	)
Year Ended February 29, 2008		17.53		0.35		(0.94	)		(0.59	)		(0.33	)		(0.34	)		—			(0.67	)

Intermediate Bond Trust
Year Ended February 29, 2012		10.38		0.43		0.38			0.81			(0.47	)		(0.06	)		(0.03	)		(0.56	)
Year Ended February 28, 2011		10.28		0.48		0.10			0.58			(0.48	)		—			—			(0.48	)
Year Ended February 28, 2010		9.70		0.53		0.58			1.11			(0.53	)		—			—			(0.53	)
Year Ended February 28, 2009		10.08		0.50		(0.38	)		0.12			(0.50	)		—			—			(0.50	)
Year Ended February 29, 2008		9.76		0.48		0.32			0.80			(0.48	)		—			—			(0.48	)


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

$	10.82		8.24	%	$	3,458,321		0.15	%		4.66	%		0.42	%		21	%
	10.50		7.71			3,022,640		0.14			5.23			0.42			20
	10.27		14.70			2,808,694		0.14			6.24			0.42			19
	9.53		(0.06	)		2,367,508		0.15			5.60			0.44			13
	10.09		8.49			2,626,150		0.15			5.00			0.42			16


	16.53		4.97			301,098		0.10			2.03			0.38			8
	16.10		22.38			341,196		0.10			1.95			0.40			13
	13.42		53.50			304,822		0.10			2.37			0.42			18
	8.98		(43.42	)		243,919		0.10			2.43			0.41			14
	16.27		(3.70	)		398,720		0.10			1.90			0.40			15


	10.63		7.98			361,305		0.14			4.05			0.48			35
	10.38		5.72			366,920		0.14			4.60			0.46			28
	10.28		11.72			359,197		0.15			5.33			0.47			23
	9.70		1.29			287,529		0.15			5.07			0.49			11
	10.08		8.41			349,739		0.15			4.85			0.45			17


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Debt Securities
Asset-Backed Securities	$	—	$	114,831	$	9,683	$	124,514
Collateralized Mortgage
Obligations
Agency		—		802,320		—		802,320
Non-Agency		—		409,162		13,819		422,981

Total Collateralized Mortgage Obligations		—		1,211,482		13,819		1,225,301

Commercial Mortgage-Backed Securities		—		69,955		—		69,955
Corporate Bonds
Consumer Discretionary		—		49,158		—		49,158
Consumer Staples		—		30,595		—		30,595
Energy		—		34,030		—		34,030
Financials		—		343,817		—		343,817
Health Care		—		12,580		—		12,580
Industrials		—		29,438		—		29,438
Information Technology		—		31,634		—		31,634
Materials		—		18,446		—		18,446
Telecommunication Services		—		40,196		—		40,196
Utilities		—		67,871		—		67,871

Total Corporate Bonds		—		657,765		—		657,765

Foreign Government Securities		—		41,110		—		41,110
Mortgage Pass-Through Securities		—		387,275		—		387,275
Municipal Bonds		—		6,077		—		6,077
Supranational		—		1,071		—		1,071
U.S. Government Agency Securities		—		46,225		—		46,225
U.S. Treasury Obligations		—		806,990		—		806,990
Short-Term Investment
Investment Company		83,998		—		—		83,998

Total Investments in Securities	$	83,998	$	3,342,781	$	23,502	$	3,450,281


Equity Index Trust
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	300,339	$	257	$	—	$	300,596

Appreciation in Other Financial Instruments
Futures Contracts	$	215	$	—	$	—	$	215


	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 02/29/12
Investments in Securities
Asset-Backed Securities	$	2,496	$	41		$	(5	)	$	6	$	11,182	$	(4,832	)	$	795	$	—	$	9,683
Non-Agency CMO		2,688		(1,586	)		1,282			13		16,498		(5,076	)		—		—		13,819

Total	$	5,184	$	(1,545	)	$	1,277		$	19	$	27,680	$	(9,908	)	$	795	$	—	$	23,502


	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 02/29/12
Investments in Securities
Asset-Backed Securities	$	—	$	—	(a)	$	1	$	—	(a)	$	249	$	(156	)	$	240	$	—		$	334
Non-Agency CMO		1,504		(174	)		136		—	(a)		701		(157	)		—		(1,378	)		632

Total	$	1,504	$	(174	)	$	137	$	—	(a)	$	950	$	(313	)	$	240	$	(1,378	)	$	966


	Equity Index Trust
Futures Contracts:
Average Notional Balance Long	$	3,844
Ending Notional Balance Long		2,797


Affiliate	Value at February 28, 2011		Purchase Cost		Sales Proceeds		Realized Gain (Loss)			Dividend/ Interest Income		Shares at February 29, 2012		Value at February 29, 2012
Core Bond Trust
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares	$	95,644	$	959,420	$	971,066	$	—		$	102		83,998	$	83,998


Equity Index Trust
JPMorgan Chase & Co. (common stock)*	$	5,094	$	239	$	870	$	(91	)	$	112		91	$	3,586
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares		3,077		42,262		42,774		—			3		2,565		2,565
JPMorgan Prime Money Market Fund, Capital Shares**		—		5,937		5,904		—			19		33		33

	$	8,171	$	48,438	$	49,548	$	(91	)	$	134		2,689	$	6,184


Intermediate Bond Trust
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares	$	11,727	$	133,121	$	136,562	$	—		$	11		8,286	$	8,286



FEBRUARY 29, 2012	JPMORGAN INSTITUTIONAL TRUST FUNDS	1



2	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 29, 2012



FEBRUARY 29, 2012	JPMORGAN INSTITUTIONAL TRUST FUNDS	3



4	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 29, 2012


	Value of Securities on Loan		Cash Collateral Posted by Borrower		Total Value of Collateral Investments
Equity Index Trust	$	31	$	33	$	33


	Paid-in-Capital			Accumulated Undistributed/ (Overdistributed) Net Investment Income			Accumulated Net Realized Gain (Loss) on Investments
Core Bond Trust	$	(21	)	$	2,954		$	(2,933	)
Equity Index Trust		2			(62	)		60
Intermediate Bond Trust		(1,150	)		1,169			(19	)


	Contractual Waivers
	Investment Advisory		Administration		Total
Core Bond Trust	$	5,454	$	3,220	$	8,674
Equity Index Trust		594		330		924
Intermediate Bond Trust		771		330		1,101


	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Purchases of U.S. Government		Sales of U.S. Government
Core Bond Trust	$	799,735	$	448,829	$	220,572	$	217,804
Equity Index Trust		26,154		75,532		—		—
Intermediate Bond Trust		68,376		58,623		42,577		66,073


	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Core Bond Trust	$	3,201,583	$	286,306	$	37,608	$	248,698
Equity Index Trust		233,867		78,488		11,759		66,729
Intermediate Bond Trust		339,242		27,359		5,032		22,327


	Ordinary Income		Net Long-Term Capital Gains		Return of Capital		Total Distributions Paid
Core Bond Trust	$	150,555	$	7,851	$	—	$	158,406
Equity Index Trust		7,278		—		—		7,278
Intermediate Bond Trust		14,547		1,990		790		17,327


	Ordinary Income		Total Distributions Paid
Core Bond Trust	$	153,857	$	153,857
Equity Index Trust		5,840		5,840
Intermediate Bond Trust		17,137		17,137


	Current Distributable Ordinary Income		Current Distributable Long-Term Capital-Gain or (Tax Basis Loss Carryover)			Unrealized Appreciation (Depreciation)
Core Bond Trust	$	—	$	2,197		$	248,698
Equity Index Trust		1,331		(31,596	)		66,729
Intermediate Bond Trust		—		—			22,327


	2017		2018		2019		Total
Equity Index Trust	$	9,624	$	14,261	$	7,018	$	30,903


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


Name (Year of Birth); Positions With the Fund (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees

William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1987.	Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000).	154	None.

John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	154	Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present).

Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999).	154	Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present).

Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.	Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).	154	None.

Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.	Self-employed business consultant (2002-present).	154	Director, Center for Communication, Hearing, and Deafness (1990-present).

Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.	Vice President of Administration and Planning, Northwestern University (1985-present).	154	Trustee, Carleton College (2003-present).

William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001).	154	Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present).

Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.	Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).	154	Trustee, American University in Cairo (1999-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, Carleton College (2002-2010).

Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987.	Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002).	154	Trustee, Morgan Stanley Funds (107 portfolios) (1992-present).


Name (Year of Birth), Positions Held with the Trust (Since)		Principal Occupations During Past 5 Years

Patricia A. Maleski (1960), President and Principal Executive Officer (2010)		Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001.

Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010)		Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008.

Frank J. Nasta (1964), Secretary (2008)		Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc.

Stephen M. Ungerman (1953), Chief Compliance Officer (2005)		Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Paul L. Gulinello (1950), AML Compliance Officer (2005)		Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972.

Elizabeth A. Davin (1964), Assistant Secretary (2005)*		Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.

Jessica K. Ditullio (1962), Assistant Secretary (2005)*		Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.

John T. Fitzgerald (1975), Assistant Secretary (2008)		Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011.

Carmine Lekstutis (1980) Assistant Secretary (2011)		Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.

Gregory S. Samuels (1980) Assistant Secretary (2010)		Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008.

Brian L. Duncan (1965), Assistant Treasurer (2008)*		Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007.

Jeffrey D. House (1972), Assistant Treasurer (2006)*		Vice President, JPMorgan Funds Management, Inc. since July 2006.

Laura S. Melman (1966), Assistant Treasurer (2006)		Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August 2006 to February 2011, responsible for Taxation.

Joseph Parascondola (1963), Assistant Treasurer (2011)		Vice President, JPMorgan Funds Management, Inc. since August 2006.

Matthew J. Plastina (1970), Assistant Treasurer (2011)		Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management.

Jeffery Reedy (1973), Assistant Treasurer (2011)*		Vice President, JPMorgan Funds Management, Inc. since February 2006.


	Beginning Account Value, September 1, 2011		Ending Account Value February 29, 2012		Expenses Paid During September 1, 2011 to February 29, 2012*		Annualized Expense Ratio
Core Bond Trust
Actual	$	1,000.00	$	1,030.60	$	0.76		0.15	%
Hypothetical		1,000.00		1,024.12		0.75		0.15

Equity Index Trust
Actual	$	1,000.00	$	1,131.90	$	0.48		0.10	%
Hypothetical		1,000.00		1,024.42		0.45		0.10

Intermediate Bond Trust
Actual	$	1,000.00	$	1,025.80	$	0.76		0.14	%
Hypothetical		1,000.00		1,024.12		0.75		0.14


		^© JPMorgan Chase & Co., 2012. All rights reserved. February 2012.		AN-INSTT-212


By:		/s/ Patricia A. Maleski
		Patricia A. Maleski
		President and Principal Executive Officer
		May 7, 2012