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 market and other conditions through the end of the reporting period and are subject to change without notice. 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:

Equity markets in most parts of the world posted strong returns for the twelve months ended February 28, 2013. This positive momentum has carried into March and, according to recent industry net flows into equity strategies, many investors are beginning to allocate more assets to stocks. The U.S. Federal Reserve has maintained its commitment to accommodative policies, a stance that has been largely followed by central banks and policy makers around the world. Chinese policy-makers have recently reversed gears, adopting a more pro-growth stance, while the Bank of Japan embarked on a major asset purchase program as a new pro-growth government came into power late in 2012. The European Central Bank (“ECB”) remained committed to preserving the euro, as it cut rates and introduced new programs designed to aid struggling euro zone members.

“The U.S. Federal Reserve has maintained its commitment to accommodative policies, a stance that has been largely followed by central banks and policy makers around the world.”

Stock returns across market capitalizations, countries and investment styles varied during the reporting period. Supported by improving economic data, especially in the real estate market, U.S. stocks outperformed international and emerging market stocks during the twelve months ended February 28, 2013.

U.S. Treasury Yields Remain Low

Despite a recent uptick in the last few months, yields for U.S. Treasury securities remain near historically low levels. The yield for 10-year U.S. Treasury securities ended February 2013 at 1.9%, while the yields for 2- and 30-year U.S. Treasury securities finished the reporting period at 0.3% and 3.1%, respectively.

As the low interest rate environment persists, an increasing amount of fixed income investors are turning to asset classes like high yield bonds and emerging market debt in search of higher yielding securities. Higher demand for these securities as well as strong fundamentals led to positive returns for high

yield bonds and emerging market debt during the twelve months ended February 28, 2013. Meanwhile, the reviving U.S. real estate market, along with the gradual cleansing of the excess of the mortgage bubble, has recently bolstered returns for mortgage-backed securities.

Maintain Exposure to a Variety of Asset Classes

Many signs are pointing to a steadily improving global economic backdrop. The U.S. economy has weathered the uncertainty of political gridlock and the February jobs report was unambiguously positive with 236,000 jobs added, a decline in the unemployment rate, and good gains in both wages and the length of the workweek. In addition, housing numbers, retail sales and industrial production all showed positive momentum in the first quarter. Meanwhile, China seems to be avoiding the economic “hard landing” that many investors feared, evidenced by its recently strong economic growth.

Of course, other parts of the world appear to be on less solid ground. Tension in the Middle East remains elevated. While aggressive actions taken by the ECB have quelled concerns surrounding Europe’s debt crisis, many countries are facing deteriorating economic conditions that in many cases are being exacerbated by austerity measures. The recent announcement of a plan to tax bank deposits in Cyprus serves as a reminder of the market volatility that can result from policy developments in the region.

As always, we encourage investors to maintain an appropriately balanced portfolio of stocks, bonds and alternative investments.

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. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

In most parts of the world, central banks continued their efforts to stimulate economic growth with accommodative policies. The U.S. Federal Open Market Committee extended its $400 billion “Operation Twist” program through the end of 2012 and announced an additional round of open ended quantitative easing in September. In Europe, the European Central Bank committed to doing whatever it took to preserve the euro, as it cut rates and introduced new programs designed to aid struggling euro zone members. Political gridlock in Washington, D.C. weighed on investors’ sentiment but concerns abated as the U.S. Senate and House of Representatives approved a “fiscal cliff” package early in 2013. The S&P 500 Index returned 13.46% for the twelve months ended February 28, 2013.

Despite an uptick late in the reporting period, interest rates for U.S. Treasury securities declined on most parts of the yield curve and finished the reporting period near historically low levels (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds).

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 28, 2013, the Fund’s relative outperformance versus the Barclays U.S. Aggregate Index (the “Benchmark”) was driven by the Fund’s security selection among mortgage-backed securities. The reviving U.S. real estate market and accommodative policies from the U.S. Federal Reserve bolstered returns for mortgage-backed securities. The Fund’s investments in non-agency mortgage backed securities performed particularly well and were strong contributors to relative performance. The Fund’s security selection among agency mortgage-backed securities also contributed to relative performance. The Fund’s investments in asset-backed securities also contributed to relative performance. The Fund’s underweight versus the Benchmark in the credit sector (non-U.S. Treasury securities) detracted from relative performance as tightening credit spreads supported this sector.

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 (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time).


PORTFOLIO COMPOSITION***
Collateralized Mortgage Obligations	29.8	%
U.S. Treasury Obligations	25.0
Corporate Bonds	19.6
Mortgage Pass-Through Securities	12.1
Asset-Backed Securities	5.5
Commercial Mortgage-Backed Securities	2.8
U.S. Government Agency Securities	1.5
Foreign Government Securities	1.1
Others (each less than 1.0%)	0.4
Short-Term Investment	2.2

The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values 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 28, 2013. The Fund’s portfolio 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 U.S. Aggregate Index and the Lipper Intermediate U.S. Government Funds Index from February 7, 2005 to February 28, 2013. 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 gain distributions, if any, and does not include a sales charge. The performance of the Barclays 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 gain distributions 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 incurred by the Fund. The Barclays U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. 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.

Fund 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 28, 2013. 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.

Accommodative policies from the U.S. Federal Reserve and improving economic data helped the Benchmark rally during the reporting period. In September, the U.S. Federal Reserve announced another asset purchase plan, indicating that it would buy $40 billion of agency mortgage-backed securities per month on an open-ended basis. Meanwhile, the U.S. housing and labor markets showed signs of recovery, as housing starts and nonfarm payrolls were better than investors had expected. Political gridlock in Washington, D.C. stalled the Benchmark’s rally but investors’ concerns abated as the U.S. Senate and House of Representatives approved a “fiscal cliff” package early in 2013. The Benchmark finished the reporting period with a 13.46% gain.

All sectors in the Benchmark posted positive returns. On a relative basis, the information technology and energy sectors underperformed other sectors in the Benchmark, while the telecommunication services and health care sectors outperformed other sectors in the Benchmark.

HOW WAS THE FUND POSITIONED?

Regardless of the market outlook, the Fund was managed in strict conformity with a full index replication strategy and aimed to hold the same stocks in nearly the same proportions as those found in the Benchmark.


TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO****
	1.	Apple, Inc.	3.0	%
	2.	Exxon Mobil Corp.	3.0
	3.	General Electric Co.	1.8
	4.	Chevron Corp.	1.7
	5.	International Business Machines Corp.	1.6
	6.	Google, Inc., Class A	1.6
	7.	Johnson & Johnson	1.5
	8.	Microsoft Corp.	1.5
	9.	Procter & Gamble Co. (The)	1.5
	10.	AT&T, Inc.	1.5


PORTFOLIO COMPOSITION BY SECTOR****
Information Technology	18.1	%
Financials	15.7
Health Care	12.1
Consumer Discretionary	11.4
Energy	11.0
Consumer Staples	10.8
Industrials	10.2
Materials	3.4
Utilities	3.4
Telecommunication Services	3.0
Investment Company	0.1
Short-Term Investments	0.8

“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 as of February 28, 2013. The Fund’s portfolio composition is subject to change.

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 Equity Index Trust, the S&P 500 Index and the Lipper S&P 500 Objective Funds Index from February 7, 2005 to February 28, 2013. 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 gain distributions, 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 gain distributions of the securities included in the benchmark. The performance of the Lipper S&P 500 Objective Funds Index includes expenses asso-

ciated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred 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.

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 28, 2013, the Fund’s relative outperformance versus the Barclays Intermediate U.S. Government/Credit Index (“Benchmark”) was driven, in part, by its allocation to mortgage-backed securities, which are not represented in the Benchmark. The reviving U.S. real estate market and accommodative U.S. Federal Reserve policies bolstered returns for mortgage-backed securities. The Fund’s investments in non-agency mortgage-backed securities performed particularly well and were strong contributors to relative performance. The Fund’s security selection among agency mortgage-backed securities also contributed to relative performance. The Fund’s underweight of the credit sector (non-U.S. Treasury securities) detracted from relative performance as tightening credit spreads supported this sector.

HOW WAS THE FUND POSITIONED?

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 the credit sector. The Fund was overweight the intermediate part (5-10 years) of the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time).


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	35.7	%
Collateralized Mortgage Obligations	24.4
Corporate Bonds	18.0
Mortgage Pass-Through Securities	11.1
Asset-Backed Securities	4.2
U.S. Government Agency Securities	2.3
Commercial Mortgage-Backed Securities	1.5
Others (each less than 1.0%)	0.8
Short-Term Investment	2.0

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 28, 2013. The Fund’s portfolio 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 Intermediate U.S. Government/Credit Index and the Lipper Short-Intermediate U.S. Government Funds Index from February 7, 2005 to February 28, 2013. 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 gain distributions, if any, and does not include a sales charge. The performance of the Barclays 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 gain distributions 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 incurred by the Fund. The Barclays 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.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — 5.5%
	1,979	Academic Loan Funding Trust, Series 2012-1A, Class A1, VAR, 1.002%, 12/27/22 (e)		2,002
		AH Mortgage Advance Co., Ltd., (Cayman Islands),
	2,588	Series SART-3, Class 1A1, 2.980%, 03/13/43 (e)		2,592
	4,725	Series SART-3, Class 1A2, 3.720%, 03/13/44 (e)		4,855
		Ally Auto Receivables Trust,
	382	Series 2010-3, Class A3, 1.110%, 10/15/14		383
	677	Series 2010-3, Class A4, 1.550%, 08/17/15		684
	112	Series 2010-4, Class A3, 0.910%, 11/17/14		112
	330	Series 2011-1, Class A3, 1.380%, 01/15/15		331
	1,418	Series 2012-1, Class A3, 0.930%, 02/16/16		1,426
	980	Series 2012-2, Class A3, 0.740%, 04/15/16		984
	1,064	Series 2012-3, Class A2, 0.700%, 01/15/15		1,066
	1,123	Series 2012-3, Class A3, 0.850%, 08/15/16		1,130
	1,642	Series 2012-4, Class A2, 0.480%, 05/15/15		1,643
	1,843	Series 2012-5, Class A2, 0.450%, 07/15/15		1,844
		American Credit Acceptance Receivables Trust,
	830	Series 2012-1, Class A2, 3.040%, 10/15/15 (e)		837
	1,265	Series 2012-3, Class A, 1.640%, 11/15/16 (e)		1,266
		AmeriCredit Automobile Receivables Trust,
	327	Series 2010-3, Class A3, 1.140%, 04/08/15		327
	181	Series 2010-4, Class A3, 1.270%, 04/08/15		181
	250	Series 2011-1, Class A3, 1.390%, 09/08/15		251
	217	Series 2011-3, Class A2, 0.840%, 11/10/14		217
	126	Series 2011-4, Class A2, 0.920%, 03/09/15		126
	1,414	Series 2011-4, Class A3, 1.170%, 05/09/16		1,422
	1,195	Series 2011-5, Class A3, 1.550%, 07/08/16		1,209
	730	Series 2012-1, Class A2, 0.910%, 10/08/15		732


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	235	Series 2012-1, Class A3, 1.230%, 09/08/16		237
	123	Series 2012-2, Class A3, 1.050%, 10/11/16		124
	572	Series 2012-3, Class A2, 0.710%, 12/08/15		573
	361	Series 2012-3, Class A3, 0.960%, 01/09/17		364
	400	Series 2012-4, Class A2, 0.490%, 04/08/16		400
	1,000	Series 2012-5, Class A2, 0.510%, 01/08/16		1,000
	290	Series 2012-5, Class A3, 0.620%, 06/08/17		290
	715	Ascentium Equipment Receivables LLC, Series 2012-1A, Class A, 1.830%, 09/15/19 (e)		715
		Bank of America Auto Trust,
	230	Series 2010-1A, Class A4, 2.180%, 02/15/17 (e)		231
	589	Series 2012-1, Class A3, 0.780%, 06/15/16		592
	3,987	Bayview Opportunity Master Fund Trust IIB LP, Series 2013-8NPL, Class A, VAR, 3.228%, 03/28/33 (i)		3,987
	626	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.572%, 04/25/36		586
	622	BMW Vehicle Lease Trust, Series 2012-1, Class A3, 0.750%, 02/20/15		624
	1,369	BXG Receivables Note Trust, Series 2012-A, Class A, 2.660%, 12/02/27 (e)		1,370
	700	Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)		717
	1,882	California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 08/15/17 (e)		1,882
		CarMax Auto Owner Trust,
	766	Series 2011-1, Class A3, 1.290%, 09/15/15		770
	885	Series 2011-1, Class A4, 2.160%, 09/15/16		908
	1,350	Series 2011-3, Class A3, 1.070%, 06/15/16		1,359
	415	Series 2012-3, Class A2, 0.430%, 09/15/15		415
	166	CarNow Auto Receivables Trust, Series 2012-1A, Class A, 2.090%, 01/15/15 (e)		166
	511	Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		525


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — Continued
	1,703	Chase Funding Trust, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34		1,716
	800	Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39		1,034
	1,316	Citigroup Mortgage Loan Trust, Series 2011-5, Class 1A1, VAR, 0.392%, 02/25/46 (e) (i)		1,222
	460	Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.582%, 12/25/33		420
		CNH Equipment Trust,
	315	Series 2010-C, Class A3, 1.170%, 05/15/15		316
	512	Series 2011-A, Class A3, 1.200%, 05/16/16		514
	747	Series 2011-A, Class A4, 2.040%, 10/17/16		765
	275	Series 2012-A, Class A2, 0.650%, 07/15/15		276
	920	Series 2012-A, Class A3, 0.940%, 05/15/17		926
	949	Series 2012-C, Class A2, 0.440%, 02/16/16		949
	2,800	Concord Funding Co. LLC, Series 2012-2, Class A, 3.145%, 01/15/17 (e)		2,800
	832	Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.802%, 10/25/34		708
		CPS Auto Receivables Trust,
	1,208	Series 2011-C, Class A, 4.210%, 03/15/19 (e)		1,258
	636	Series 2012-A, Class A, 2.780%, 06/17/19 (e)		649
	3,428	Series 2012-B, Class A, 2.520%, 09/16/19 (e)		3,441
		CPS Auto Trust,
	2,045	Series 2012-C, Class A, 1.820%, 12/16/19 (e)		2,055
	338	Series 2012-D, Class A, 1.480%, 03/16/20 (e)		339
		Credit Acceptance Auto Loan Trust,
	1,300	Series 2011-1, Class A, 2.610%, 03/15/19 (e)		1,324
	565	Series 2012-1A, Class A, 2.200%, 09/16/19 (e)		573
	1,512	Series 2012-2A, Class A, 1.520%, 03/16/20 (e)		1,522
		Discover Card Master Trust,
	1,040	Series 2008-A4, Class A4, 5.650%, 12/15/15		1,056


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	813	Series 2012-A1, Class A1, 0.810%, 08/15/17		819
	1,258	Exeter Automobile Receivables Trust, Series 2012-2A, Class A, 1.300%, 06/15/17 (e)		1,262
	159	First Franklin Mortgage Loan Trust, Series 2006-FF17, Class A4, VAR, 0.302%, 12/25/36		155
	955	First Investors Auto Owner Trust, Series 2012-2A, Class A2, 1.470%, 05/15/18 (e)		957
	337	Flagship Credit Auto Trust, Series 2012-1, Class A, 1.860%, 01/15/15 (e)		338
		Ford Credit Auto Owner Trust,
	186	Series 2009-B, Class A4, 4.500%, 07/15/14		188
	1,754	Series 2012-A, Class A3, 0.840%, 08/15/16		1,762
	600	Series 2012-B, Class A3, 0.720%, 12/15/16		602
	913	Series 2012-D, Class A2, 0.400%, 09/15/15		913
	659	Series 2012-D, Class A3, 0.510%, 04/15/17		659
	669	Ford Credit Floorplan Master Owner Trust, Series 2013-1, Class A2, VAR, 0.581%, 01/15/18		669
	2,078	Fortress Opportunities Residential Transaction, Series 2011-1A, Class A1, VAR, 7.211%, 10/25/47 (e)		2,092
		Freedom Trust,
	288	Series 2011-1, Class A13, VAR, 0.366%, 11/30/37 (e) (i)		286
	952	Series 2011-2, Class A11, VAR, 3.632%, 08/01/46 (e)		974
	360	GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		352
		GE Equipment Midticket LLC,
	800	Series 2012-1, Class A3, 0.600%, 05/23/16		801
	360	Series 2012-1, Class A4, 0.780%, 09/22/20		361
	562	GE Equipment Transportation LLC, Series 2012-2, Class A2, 0.470%, 04/24/15		562
	128	Harley-Davidson Motorcycle Trust, Series 2010-1, Class A3, 1.160%, 02/15/15		128


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — Continued
		HLSS Servicer Advance Receivables Backed Notes,
	1,954	Series 2012-T2, Class A1, 1.340%, 10/15/43 (e)		1,961
	1,560	Series 2012-T2, Class A2, 1.990%, 10/15/45 (e)		1,592
	1,607	Series 2013-T1, Class A1, 0.898%, 01/15/44 (e)		1,608
	1,197	Series 2013-T1, Class A2, 1.495%, 01/16/46 (e)		1,206
	497	Series 2013-T1, Class B2, 1.744%, 01/16/46 (e)		498
	227	Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.402%, 03/25/36		176
		Honda Auto Receivables Owner Trust,
	550	Series 2011-1, Class A4, 1.800%, 04/17/17		557
	809	Series 2012-1, Class A3, 0.770%, 01/15/16		812
	388	Series 2012-1, Class A4, 0.970%, 04/16/18		392
	413	Series 2012-2, Class A3, 0.700%, 02/16/16		415
	284	Series 2013-1, Class A2, 0.350%, 06/22/15		284
		HSBC Home Equity Loan Trust USA,
	1,040	Series 2006-1, Class A1, VAR, 0.361%, 01/20/36		1,020
	153	Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36		153
	1,949	Series 2007-3, Class APT, VAR, 1.402%, 11/20/36		1,953
		Huntington Auto Trust,
	28	Series 2011-1A, Class A2, 0.760%, 04/15/14 (e)		28
	1,000	Series 2011-1A, Class A3, 1.010%, 01/15/16 (e)		1,005
	1,000	Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)		1,014
	692	Series 2012-1, Class A3, 0.810%, 09/15/16		695
	687	Series 2012-2, Class A2, 0.380%, 09/15/15		687
		Hyundai Auto Receivables Trust,
	243	Series 2010-B, Class A3, 0.970%, 04/15/15		243
	710	Series 2010-B, Class A4, 1.630%, 03/15/17		723


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	325	Series 2011-A, Class A3, 1.160%, 04/15/15		326
	520	Series 2011-A, Class A4, 1.780%, 12/15/15		528
	675	Series 2011-B, Class A3, 1.040%, 09/15/15		678
	824	Series 2011-B, Class A4, 1.650%, 02/15/17		839
	865	Series 2012-A, Class A3, 0.720%, 03/15/16		868
	1,000	Series 2013-A, Class A2, 0.400%, 12/15/15		1,000
		John Deere Owner Trust,
	346	Series 2011-A, Class A3, 1.290%, 01/15/16		348
	355	Series 2011-A, Class A4, 1.960%, 04/16/18		362
	1,079	Series 2012-B, Class A2, 0.430%, 02/17/15		1,080
	581	Series 2012-B, Class A4, 0.690%, 01/15/19		582
	118	LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) (i)		118
	934	Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.552%, 07/25/34 (e)		923
		Long Beach Mortgage Loan Trust,
	434	Series 2006-8, Class 2A2, VAR, 0.292%, 09/25/36		197
	589	Series 2006-WL2, Class 2A3, VAR, 0.402%, 01/25/36		538
	2,420	Macquarie Equipment Funding Trust, Series 2012-A, Class A2, 0.610%, 04/20/15 (e)		2,420
	1,328	Madison Avenue Manufactured Housing Contract, Series 2002-A, Class M2, VAR, 2.452%, 03/25/32		1,299
		Mercedes-Benz Auto Receivables Trust,
	85	Series 2010-1, Class A3, 1.420%, 08/15/14		85
	413	Series 2012-1, Class A2, 0.370%, 03/16/15		413
	1,176	Mid-State Capital Corp. Trust, Series 2006-1, Class M1, 6.083%, 10/15/40 (e)		1,173
	3,100	MMCA Auto Owner Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e)		3,134
		Nationstar Agency Advance Funding Trust,
	1,078	Series 2013-T1A, Class AT1, 0.997%, 02/15/45 (e)		1,080


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — Continued
	439	Series 2013-T2A, Class AT2, 1.892%, 02/18/48 (e)		443
	216	Series 2013-T2A, Class BT2, 2.487%, 02/18/48 (e)		218
	1,070	NCUA Guaranteed Notes Trust, Series 2010-A1, Class A, VAR, 0.549%, 12/07/20		1,073
	1,000	New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.283%, 11/25/33		1,024
	421	Newcastle Investment Trust, Series 2011-MH1, Class A, 2.450%, 12/10/33 (e)		430
	938	Nissan Auto Lease Trust, Series 2012-B, Class A2A, 0.450%, 06/15/15		939
		Nissan Auto Receivables Owner Trust,
	211	Series 2010-A, Class A3, 0.870%, 07/15/14		211
	450	Series 2010-A, Class A4, 1.310%, 09/15/16		453
	672	Series 2012-A, Class A3, 0.730%, 05/16/16		675
	333	Series 2012-A, Class A4, 1.000%, 07/16/18		337
	1,500	NYMT Residential LLC, Series 2012-RP1A, VAR, 4.250%, 12/25/17 (e) (i)		1,500
	1,572	Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-MCW1, Class M1, VAR, 1.139%, 10/25/34		1,537
		PennyMac Loan Trust,
	295	Series 2011-NPL1, Class A, VAR, 5.250%, 09/25/51 (e) (i)		295
	1,082	Series 2012-NPL1, Class A, VAR, 3.422%, 05/28/52 (e) (i)		1,082
	3,000	RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.502%, 03/25/36		2,786
	141	Real Estate Asset Trust, Series 2011-2A, Class A1, 5.750%, 05/25/49 (e) (i)		141
	298	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37		169
	1,887	Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (i)		1,889
		Resort Finance Timeshare Receivables Trust,
	3,203	Series 2012-1, Class A1, SUB, 6.250%, 07/05/18 (i)		3,203
	2,130	Series 2012-2, 5.750%, 09/05/18 (i)		2,130
	1,904	RMAT, Series 2012-1A, Class A1, VAR, 2.734%, 08/26/52 (e) (i)		1,935
		Santander Drive Auto Receivables Trust,
	700	Series 2010-A, Class A4, 2.390%, 06/15/17 (e)		714


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	450	Series 2011-1, Class B, 2.350%, 11/16/15		457
	263	Series 2011-S2A, Class B, 2.060%, 06/15/17 (e)		264
	555	Series 2011-S2A, Class D, 3.350%, 06/15/17 (e)		558
	1,039	Series 2012-1, Class A2, 1.250%, 04/15/15		1,042
	411	Series 2012-1, Class A3, 1.490%, 10/15/15		415
	508	Series 2012-2, Class A2, 0.910%, 05/15/15		510
	427	Series 2012-2, Class A3, 1.220%, 12/15/15		430
	269	Series 2012-3, Class A3, 1.080%, 04/15/16		271
	500	Series 2012-6, Class A2, 0.470%, 09/15/15		500
	333	Series 2012-6, Class A3, 0.620%, 07/15/16		333
	588	Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33		598
	317	Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 4.051%, 01/25/36		208
	504	SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 06/15/16 (e)		508
	6,000	Springleaf Funding Trust, Series 2013-AA, Class A, 2.580%, 09/15/21 (e)		5,940
		Stanwich Mortgage Loan Co. LLC,
	4,388	Series 2012-NPL4, Class A, 2.981%, 09/15/42 (e) (i)		4,399
	5,731	Series 2012-NPL5, Class A, 2.981%, 10/18/42 (e) (i)		5,740
	4,288	Stanwich Mortgage Loan Trust, Series 2013-NPL1, Class A, 2.981%, 02/16/43 (e) (i)		4,291
	3,500	Station Place Securitization Trust, 0.000%, 02/25/15		3,500
	200	Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.472%, 06/25/35		199
	311	Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32		314
		Toyota Auto Receivables Owner Trust,
	264	Series 2010-C, Class A3, 0.770%, 04/15/14		264
	740	Series 2011-A, Class A3, 0.980%, 10/15/14		742


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — Continued
	1,540	Series 2011-A, Class A4, 1.560%, 05/15/15		1,559
	3,844	Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.601%, 10/15/15 (e)		3,920
	770	United Auto Credit Securitization Trust, Series 2012-1, Class A2, 1.100%, 03/16/15 (e)		770
	206	USAA Auto Owner Trust, Series 2012-1, Class A2, 0.380%, 06/15/15		206
	1,100	Volkswagen Auto Lease Trust, Series 2012-A, Class A3, 0.870%, 07/20/15		1,106
	2,127	Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16		2,139
		VOLT LLC,
	5,526	Series 2012-1A, Class A1, SUB, 4.949%, 04/25/17 (e) (i)		5,539
	4,648	Series 2012-RLF1, Class A, SUB, 3.475%, 12/25/17 (e) (i)		4,648
	2,258	Series 2012-RP2A, Class A1, 4.704%, 06/26/17 (e) (i)		2,312
	300	Series 2012-RP2A, Class A2, 8.836%, 06/26/17 (e)		313
	1,289	Series 2012-RP3A, Class A1, SUB, 3.475%, 11/27/17 (e)		1,311
		Westgate Resorts LLC,
	2,043	Series 2012-1, Class A, 4.500%, 09/20/25 (e)		2,094
	2,002	Series 2012-2A, Class A, 3.000%, 01/20/25 (e)		2,019
	975	Series 2012-3A, Class A, 2.500%, 03/20/25 (e)		977
	243	Westlake Automobile Receivables Trust, Series 2011-1A, Class A3, 1.490%, 06/16/14 (e)		244
		World Omni Auto Receivables Trust,
	956	Series 2010-A, Class A4, 2.210%, 05/15/15		965
	1,230	Series 2012-B, Class A2, 0.430%, 11/16/15		1,230

		Total Asset-Backed Securities (Cost $200,112)		202,230

	Collateralized Mortgage Obligations — 29.8%
		Agency CMO — 19.3%
	1,102	Federal Home Loan Bank, Series TQ-2015, Class A, 5.065%, 10/20/15		1,180
	270	Federal Home Loan Mortgage Corp.-Government National Mortgage Association, Series 8, Class ZA, 7.000%, 03/25/23		306


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — Continued
			Federal Home Loan Mortgage Corp. REMICS,
	24		Series 11, Class D, 9.500%, 07/15/19		25
	13		Series 22, Class C, 9.500%, 04/15/20		14
	20		Series 23, Class F, 9.600%, 04/15/20		22
	—	(h)	Series 41, Class I, HB, 84.000%, 05/15/20		—	(h)
	1		Series 47, Class F, 10.000%, 06/15/20		2
	6		Series 99, Class Z, 9.500%, 01/15/21		6
	—	(h)	Series 204, Class E, HB, IF, 1,838.732%, 05/15/23		—	(h)
	—	(h)	Series 1045, Class G, HB, 1,066.208%, 02/15/21		1
	8		Series 1065, Class J, 9.000%, 04/15/21		10
	2		Series 1079, Class S, HB, IF, 33.150%, 05/15/21		3
	7		Series 1084, Class F, VAR, 1.200%, 05/15/21		7
	5		Series 1084, Class S, HB, IF, 44.100%, 05/15/21		9
	16		Series 1116, Class I, 5.500%, 08/15/21		17
	15		Series 1144, Class KB, 8.500%, 09/15/21		18
	—	(h)	Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21		1
	—	(h)	Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22		9
	15		Series 1250, Class J, 7.000%, 05/15/22		18
	26		Series 1343, Class LA, 8.000%, 08/15/22		30
	32		Series 1343, Class LB, 7.500%, 08/15/22		38
	54		Series 1370, Class JA, VAR, 1.400%, 09/15/22		54
	56		Series 1455, Class WB, IF, 4.550%, 12/15/22		51
	252		Series 1466, Class PZ, 7.500%, 02/15/23		290
	4		Series 1470, Class F, VAR, 2.071%, 02/15/23		4
	276		Series 1498, Class I, VAR, 1.400%, 04/15/23		276
	388		Series 1502, Class PX, 7.000%, 04/15/23		445
	51		Series 1505, Class Q, 7.000%, 05/15/23		59
	113		Series 1518, Class G, IF, 8.829%, 05/15/23		129
	39		Series 1541, Class M, HB, IF, 23.268%, 07/15/23		61
	105		Series 1541, Class O, VAR, 1.320%, 07/15/23		108
	11		Series 1570, Class F, VAR, 2.571%, 08/15/23		11
	370		Series 1573, Class PZ, 7.000%, 09/15/23		424
	247		Series 1591, Class PV, 6.250%, 10/15/23		276


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2	Series 1595, Class D, 7.000%, 10/15/13		2
	11	Series 1596, Class D, 6.500%, 10/15/13		11
	27	Series 1602, Class SA, HB, IF, 21.938%, 10/15/23		43
	2	Series 1607, Class SA, HB, IF, 20.849%, 10/15/13		2
	1,056	Series 1608, Class L, 6.500%, 09/15/23		1,190
	183	Series 1609, Class LG, IF, 16.792%, 11/15/23		210
	578	Series 1638, Class H, 6.500%, 12/15/23		653
	472	Series 1642, Class PJ, 6.000%, 11/15/23		540
	14	Series 1671, Class QC, IF, 10.000%, 02/15/24		18
	18	Series 1686, Class SH, IF, 18.675%, 02/15/24		27
	163	Series 1695, Class EB, 7.000%, 03/15/24		188
	33	Series 1699, Class FC, VAR, 0.850%, 03/15/24		33
	171	Series 1700, Class GA, PO, 02/15/24		151
	452	Series 1706, Class K, 7.000%, 03/15/24		521
	15	Series 1709, Class FA, VAR, 1.020%, 03/15/24		16
	52	Series 1745, Class D, 7.500%, 08/15/24		60
	1,023	Series 1760, Class ZD, VAR, 1.370%, 02/15/24		1,084
	354	Series 1798, Class F, 5.000%, 05/15/23		386
	6	Series 1807, Class G, 9.000%, 10/15/20		7
	101	Series 1829, Class ZB, 6.500%, 03/15/26		113
	2	Series 1844, Class E, 6.500%, 10/15/13		2
	101	Series 1863, Class Z, 6.500%, 07/15/26		114
	39	Series 1865, Class D, PO, 02/15/24		30
	72	Series 1890, Class H, 7.500%, 09/15/26		84
	204	Series 1899, Class ZE, 8.000%, 09/15/26		240
	12	Series 1935, Class FL, VAR, 0.950%, 02/15/27		12
	154	Series 1963, Class Z, 7.500%, 01/15/27		181
	23	Series 1970, Class PG, 7.250%, 07/15/27		27
	232	Series 1981, Class Z, 6.000%, 05/15/27		254
	108	Series 1987, Class PE, 7.500%, 09/15/27		128
	265	Series 2019, Class Z, 6.500%, 12/15/27		299
	78	Series 2033, Class SN, HB, IF, 26.621%, 03/15/24		48
	209	Series 2038, Class PN, IO, 7.000%, 03/15/28		33
	423	Series 2040, Class PE, 7.500%, 03/15/28		497
	72	Series 2043, Class CJ, 6.500%, 04/15/28		82
	339	Series 2054, Class PV, 7.500%, 05/15/28		398


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	6	Series 2055, Class OE, 6.500%, 05/15/13		6
	631	Series 2075, Class PH, 6.500%, 08/15/28		723
	710	Series 2075, Class PM, 6.250%, 08/15/28		732
	204	Series 2086, Class GB, 6.000%, 09/15/28		222
	285	Series 2089, Class PJ, IO, 7.000%, 10/15/28		45
	926	Series 2095, Class PE, 6.000%, 11/15/28		1,045
	52	Series 2102, Class TC, 6.000%, 12/15/13		53
	36	Series 2102, Class TU, 6.000%, 12/15/13		36
	145	Series 2115, Class PE, 6.000%, 01/15/14		147
	297	Series 2125, Class JZ, 6.000%, 02/15/29		331
	68	Series 2132, Class SB, HB, IF, 29.676%, 03/15/29		130
	41	Series 2134, Class PI, IO, 6.500%, 03/15/19		6
	4	Series 2135, Class UK, IO, 6.500%, 03/15/14		—	(h)
	372	Series 2136, Class PG, 6.000%, 03/15/29		418
	107	Series 2141, Class IO, IO, 7.000%, 04/15/29		16
	90	Series 2163, Class PC, IO, 7.500%, 06/15/29		16
	1,055	Series 2169, Class TB, 7.000%, 06/15/29		1,233
	455	Series 2172, Class QC, 7.000%, 07/15/29		532
	436	Series 2176, Class OJ, 7.000%, 08/15/29		503
	245	Series 2201, Class C, 8.000%, 11/15/29		292
	211	Series 2209, Class TC, 8.000%, 01/15/30		249
	356	Series 2210, Class Z, 8.000%, 01/15/30		424
	95	Series 2224, Class CB, 8.000%, 03/15/30		114
	214	Series 2230, Class Z, 8.000%, 04/15/30		253
	182	Series 2234, Class PZ, 7.500%, 05/15/30		214
	150	Series 2247, Class Z, 7.500%, 08/15/30		177
	220	Series 2256, Class MC, 7.250%, 09/15/30		258
	423	Series 2259, Class ZM, 7.000%, 10/15/30		496
	10	Series 2261, Class ZY, 7.500%, 10/15/30		12
	53	Series 2262, Class Z, 7.500%, 10/15/30		63
	455	Series 2271, Class PC, 7.250%, 12/15/30		534
	693	Series 2283, Class K, 6.500%, 12/15/23		775
	218	Series 2296, Class PD, 7.000%, 03/15/31		255
	69	Series 2306, Class K, PO, 05/15/24		64
	164	Series 2306, Class SE, IF, IO, 8.730%, 05/15/24		36
	307	Series 2313, Class LA, 6.500%, 05/15/31		352
	424	Series 2325, Class PM, 7.000%, 06/15/31		463
	571	Series 2344, Class QG, 6.000%, 08/15/16		605
	2,537	Series 2344, Class ZD, 6.500%, 08/15/31		2,787


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	244	Series 2344, Class ZJ, 6.500%, 08/15/31		268
	198	Series 2345, Class NE, 6.500%, 08/15/31		205
	178	Series 2345, Class PQ, 6.500%, 08/15/16		183
	245	Series 2351, Class PZ, 6.500%, 08/15/31		276
	2,083	Series 2353, Class AZ, 6.000%, 09/15/31		2,324
	224	Series 2353, Class TD, 6.000%, 09/15/16		239
	197	Series 2355, Class BP, 6.000%, 09/15/16		208
	128	Series 2359, Class PM, 6.000%, 09/15/16		136
	896	Series 2359, Class ZB, 8.500%, 06/15/31		1,082
	344	Series 2360, Class PG, 6.000%, 09/15/16		365
	80	Series 2363, Class PF, 6.000%, 09/15/16		85
	151	Series 2366, Class MD, 6.000%, 10/15/16		160
	393	Series 2367, Class ME, 6.500%, 10/15/31		426
	542	Series 2391, Class QR, 5.500%, 12/15/16		572
	225	Series 2394, Class MC, 6.000%, 12/15/16		239
	777	Series 2396, Class FM, VAR, 0.651%, 12/15/31		781
	469	Series 2399, Class OH, 6.500%, 01/15/32		516
	822	Series 2399, Class TH, 6.500%, 01/15/32		903
	709	Series 2410, Class NG, 6.500%, 02/15/32		785
	259	Series 2410, Class OE, 6.375%, 02/15/32		284
	510	Series 2410, Class QS, IF, 18.977%, 02/15/32		723
	241	Series 2410, Class QX, IF, IO, 8.449%, 02/15/32		63
	548	Series 2412, Class SP, IF, 15.698%, 02/15/32		730
	884	Series 2420, Class XK, 6.500%, 02/15/32		969
	614	Series 2423, Class MC, 7.000%, 03/15/32		722
	570	Series 2423, Class MT, 7.000%, 03/15/32		637
	220	Series 2425, Class OB, 6.000%, 03/15/17		235
	1,280	Series 2430, Class WF, 6.500%, 03/15/32		1,474
	712	Series 2434, Class TC, 7.000%, 04/15/32		814
	565	Series 2435, Class CJ, 6.500%, 04/15/32		644
	563	Series 2436, Class MC, 7.000%, 04/15/32		657
	456	Series 2444, Class ES, IF, IO, 7.749%, 03/15/32		104
	301	Series 2450, Class GZ, 7.000%, 05/15/32		353
	365	Series 2450, Class SW, IF, IO, 7.799%, 03/15/32		84
	1,709	Series 2455, Class GK, 6.500%, 05/15/32		1,969
	133	Series 2458, Class QE, 5.500%, 06/15/17		141
	581	Series 2462, Class JG, 6.500%, 06/15/32		671
	1,403	Series 2464, Class SI, IF, IO, 7.799%, 02/15/32		250
	188	Series 2466, Class PG, 6.500%, 04/15/32		192


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	942	Series 2466, Class PH, 6.500%, 06/15/32		1,061
	590	Series 2474, Class NR, 6.500%, 07/15/32		663
	794	Series 2484, Class LZ, 6.500%, 07/15/32		915
	1,233	Series 2500, Class MC, 6.000%, 09/15/32		1,379
	86	Series 2503, Class BH, 5.500%, 09/15/17		92
	383	Series 2508, Class AQ, 5.500%, 10/15/17		411
	822	Series 2512, Class PG, 5.500%, 10/15/22		910
	78	Series 2515, Class DE, 4.000%, 03/15/32		79
	441	Series 2535, Class BK, 5.500%, 12/15/22		489
	731	Series 2537, Class TE, 5.500%, 12/15/17		783
	1,527	Series 2543, Class YX, 6.000%, 12/15/32		1,727
	1,465	Series 2544, Class HC, 6.000%, 12/15/32		1,660
	1,831	Series 2552, Class ME, 6.000%, 01/15/33		2,073
	1,481	Series 2567, Class QD, 6.000%, 02/15/33		1,658
	1,154	Series 2568, Class KG, 5.500%, 02/15/23		1,267
	158	Series 2571, Class SK, HB, IF, 33.632%, 09/15/23		295
	3,714	Series 2575, Class ME, 6.000%, 02/15/33		4,202
	481	Series 2586, Class WI, IO, 6.500%, 03/15/33		100
	1,564	Series 2587, Class WX, 5.000%, 03/15/18		1,677
	1,130	Series 2596, Class QG, 6.000%, 03/15/33		1,264
	36	Series 2597, Class DS, IF, IO, 7.349%, 02/15/33		1
	27	Series 2599, Class DS, IF, IO, 6.799%, 02/15/33		—	(h)
	35	Series 2610, Class DS, IF, IO, 6.899%, 03/15/33		—	(h)
	520	Series 2611, Class UH, 4.500%, 05/15/18		544
	932	Series 2617, Class GR, 4.500%, 05/15/18		993
	10	Series 2619, Class HR, 3.500%, 11/15/31		10
	1,071	Series 2626, Class NS, IF, IO, 6.349%, 06/15/23		80
	1,095	Series 2631, Class LC, 4.500%, 06/15/18		1,161
	528	Series 2636, Class Z, 4.500%, 06/15/18		558
	637	Series 2637, Class SA, IF, IO, 5.899%, 06/15/18		59
	58	Series 2638, Class DS, IF, 8.399%, 07/15/23		63
	243	Series 2640, Class UG, IO, 5.000%, 01/15/32		6
	332	Series 2640, Class UP, IO, 5.000%, 01/15/32		5
	1,359	Series 2645, Class BI, IO, 4.500%, 02/15/18		38
	529	Series 2650, Class PO, PO, 12/15/32		514
	1,821	Series 2650, Class SO, PO, 12/15/32		1,768


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	789	Series 2651, Class VZ, 4.500%, 07/15/18		835
	1,173	Series 2672, Class ME, 5.000%, 11/15/22		1,224
	3,371	Series 2675, Class CK, 4.000%, 09/15/18		3,557
	8,029	Series 2684, Class PO, PO, 01/15/33		7,899
	26	Series 2690, Class SJ, IF, 8.848%, 10/15/33		26
	888	Series 2691, Class ME, 4.500%, 04/15/32		907
	244	Series 2692, Class SC, IF, 12.884%, 07/15/33		285
	1,079	Series 2695, Class DG, 4.000%, 10/15/18		1,139
	92	Series 2696, Class CO, PO, 10/15/18		91
	629	Series 2702, Class PC, 5.000%, 01/15/23		659
	2,000	Series 2710, Class HB, 5.500%, 11/15/23		2,254
	1,112	Series 2715, Class OG, 5.000%, 01/15/23		1,151
	1,640	Series 2716, Class UN, 4.500%, 12/15/23		1,791
	842	Series 2720, Class PC, 5.000%, 12/15/23		922
	974	Series 2744, Class PE, 5.500%, 02/15/34		1,047
	1,382	Series 2744, Class TU, 5.500%, 05/15/32		1,467
	403	Series 2755, Class SA, IF, 13.798%, 05/15/30		431
	439	Series 2764, Class TE, 5.000%, 10/15/32		450
	619	Series 2777, Class OM, PO, 12/15/32		607
	81	Series 2780, Class JG, 4.500%, 04/15/19		83
	1,284	Series 2783, Class AT, 4.000%, 04/15/19		1,378
	4,495	Series 2809, Class UC, 4.000%, 06/15/19		4,748
	431	Series 2827, Class XO, PO, 01/15/23		420
	130	Series 2835, Class QO, PO, 12/15/32		121
	344	Series 2840, Class JO, PO, 06/15/23		333
	242	Series 2850, Class SN, IF, IO, 6.949%, 09/15/18		6
	318	Series 2872, Class JE, 4.500%, 02/15/18		319
	765	Series 2922, Class JN, 4.500%, 02/15/20		794
	1,059	Series 2934, Class EC, PO, 02/15/20		981
	47	Series 2934, Class EN, PO, 02/15/18		46
	882	Series 2934, Class HI, IO, 5.000%, 02/15/20		87
	864	Series 2934, Class KI, IO, 5.000%, 02/15/20		73
	797	Series 2958, Class QD, 4.500%, 04/15/20		850
	1,500	Series 2962, Class BE, 4.500%, 04/15/20		1,633
	3,425	Series 2965, Class GD, 4.500%, 04/15/20		3,703
	522	Series 2971, Class GC, 5.000%, 07/15/18		534
	162	Series 2989, Class PO, PO, 06/15/23		157
	4,281	Series 3004, Class EK, 5.500%, 07/15/35		4,427
	87	Series 3007, Class AI, IO, 5.500%, 07/15/24		4


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	126	Series 3014, Class OD, PO, 08/15/35		119
	1,023	Series 3047, Class OB, 5.500%, 12/15/33		1,057
	944	Series 3047, Class OD, 5.500%, 10/15/35		1,141
	864	Series 3049, Class XF, VAR, 0.551%, 05/15/33		866
	3,095	Series 3064, Class MC, 5.500%, 11/15/35		3,732
	279	Series 3068, Class AO, PO, 01/15/35		271
	682	Series 3068, Class QB, 4.500%, 06/15/20		711
	2,141	Series 3074, Class BH, 5.000%, 11/15/35		2,450
	966	Series 3085, Class WF, VAR, 1.001%, 08/15/35		977
	82	Series 3100, Class MA, VAR, 0.282%, 12/15/35		81
	1,457	Series 3102, Class FB, VAR, 0.501%, 01/15/36		1,461
	332	Series 3102, Class HS, HB, IF, 23.829%, 01/15/36		489
	1,562	Series 3117, Class EO, PO, 02/15/36		1,497
	901	Series 3117, Class OK, PO, 02/15/36		862
	137	Series 3122, Class ZB, 6.000%, 03/15/36		139
	2,750	Series 3131, Class BK, 5.500%, 03/15/26		3,095
	328	Series 3134, Class PO, PO, 03/15/36		313
	1,506	Series 3138, Class PO, PO, 04/15/36		1,416
	53	Series 3149, Class SO, PO, 05/15/36		50
	1,571	Series 3151, Class UC, 5.500%, 08/15/35		1,670
	934	Series 3152, Class MO, PO, 03/15/36		891
	260	Series 3171, Class MO, PO, 06/15/36		244
	1,533	Series 3179, Class OA, PO, 07/15/36		1,449
	609	Series 3194, Class SA, IF, IO, 6.899%, 07/15/36		82
	1,002	Series 3211, Class SO, PO, 09/15/36		956
	527	Series 3218, Class AO, PO, 09/15/36		496
	1,501	Series 3219, Class DI, IO, 6.000%, 04/15/36		222
	1,500	Series 3229, Class HE, 5.000%, 10/15/26		1,699
	1,314	Series 3232, Class ST, IF, IO, 6.499%, 10/15/36		181
	574	Series 3233, Class OP, PO, 05/15/36		543
	1,021	Series 3242, Class NE, 5.750%, 02/15/34		1,050
	647	Series 3256, Class PO, PO, 12/15/36		615
	1,341	Series 3260, Class CS, IF, IO, 5.939%, 01/15/37		218
	679	Series 3261, Class OA, PO, 01/15/37		651
	613	Series 3274, Class JO, PO, 02/15/37		586
	405	Series 3275, Class FL, VAR, 0.641%, 02/15/37		407


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,967	Series 3290, Class SB, IF, IO, 6.249%, 03/15/37		335
	2,822	Series 3315, Class HZ, 6.000%, 05/15/37		3,245
	1,322	Series 3316, Class GD, 5.500%, 06/15/35		1,352
	143	Series 3318, Class AO, PO, 05/15/37		137
	340	Series 3326, Class JO, PO, 06/15/37		328
	964	Series 3331, Class PO, PO, 06/15/37		924
	1,133	Series 3385, Class SN, IF, IO, 5.799%, 11/15/37		130
	1,351	Series 3387, Class SA, IF, IO, 6.219%, 11/15/37		187
	1,932	Series 3404, Class SC, IF, IO, 5.799%, 01/15/38		251
	6,031	Series 3422, Class AI, IO, SUB, 0.250%, 01/15/38		61
	1,560	Series 3424, Class PI, IF, IO, 6.599%, 04/15/38		266
	2,033	Series 3481, Class SJ, IF, IO, 5.649%, 08/15/38		262
	1,956	Series 3505, Class SA, IF, IO, 5.799%, 01/15/39		237
	2,230	Series 3511, Class SA, IF, IO, 5.799%, 02/15/39		272
	923	Series 3549, Class FA, VAR, 1.401%, 07/15/39		939
	796	Series 3607, Class BO, PO, 04/15/36		762
	1,442	Series 3607, Class OP, PO, 07/15/37		1,365
	932	Series 3607, Class PO, PO, 05/15/37		834
	335	Series 3611, Class PO, PO, 07/15/34		321
	866	Series 3621, Class BO, PO, 01/15/40		827
	917	Series 3720, Class A, 4.500%, 09/15/25		992
	2,984	Series 3739, Class LI, IO, 4.000%, 03/15/34		142
	7,607	Series 3747, Class HI, IO, 4.500%, 07/15/37		517
	1,000	Series 3747, Class PY, 4.000%, 10/15/40		1,099
	3,827	Series 3759, Class HI, IO, 4.000%, 08/15/37		263
	3,779	Series 3760, Class GI, IO, 4.000%, 10/15/37		282
	331	Series 3798, Class BF, VAR, 0.501%, 06/15/24		332
	1,702	Series 3804, Class FN, VAR, 0.651%, 03/15/39		1,711
	5,608	Series 3819, Class ZQ, 6.000%, 04/15/36		6,491
	901	Series 3852, Class QN, IF, 5.500%, 05/15/41		950
	2,546	Series 3852, Class TP, IF, 5.500%, 05/15/41		2,507


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	3,000	Series 3920, Class LP, 5.000%, 01/15/34		3,378
	1,797	Series 3925, Class FL, VAR, 0.651%, 01/15/41		1,807
	1,485	Series 3957, Class B, 4.000%, 11/15/41		1,591
	1,815	Series 3966, Class NA, 4.000%, 12/15/41		1,957
	1,519	Series 3997, Class PF, VAR, 0.651%, 11/15/39		1,528
	4,434	Series 4048, Class FJ, VAR, 0.602%, 07/15/37		4,451
		Federal Home Loan Mortgage Corp. STRIPS,
	3	Series 134, Class B, IO, 9.000%, 04/01/22		1
	2,549	Series 233, Class 11, IO, 5.000%, 09/15/35		334
	3,606	Series 233, Class 13, IO, 5.000%, 09/15/35		465
	665	Series 243, Class 16, IO, 4.500%, 11/15/20		60
	1,489	Series 243, Class 17, IO, 4.500%, 12/15/20		141
	9,369	Series 262, Class 35, 3.500%, 07/15/42		9,934
	1,961	Series 264, Class F1, VAR, 0.751%, 07/15/42		1,969
	2,445	Series 267, Class F5, VAR, 0.701%, 08/15/42		2,480
	2,989	Series 281, Class F1, VAR, 0.701%, 10/15/42		3,032
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	644	Series T-41, Class 3A, VAR, 6.695%, 07/25/32		728
	377	Series T-51, Class 2A, VAR, 7.500%, 08/25/42		441
	2,173	Series T-54, Class 2A, 6.500%, 02/25/43		2,589
	658	Series T-54, Class 3A, 7.000%, 02/25/43		797
	280	Series T-58, Class APO, PO, 09/25/43		237
	620	Series T-59, Class 1AP, PO, 10/25/43		458
	2,335	Series T-76, Class 2A, VAR, 3.398%, 10/25/37		2,364
		Federal National Mortgage Association—ACES,
	3,300	Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20		3,782
	1,416	Series 2011-M2, Class A2, 3.645%, 07/25/21		1,560
	8,500	Series 2011-M2, Class A3, 3.764%, 07/25/21		9,422
	1,337	Series 2012-M11, Class FA, VAR, 0.734%, 08/25/19		1,344


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
			Federal National Mortgage Association Grantor Trust,
	1,074		Series 2002-T19, Class A2, 7.000%, 07/25/42		1,304
	916		Series 2004-T3, Class 1A3, 7.000%, 02/25/44		1,089
			Federal National Mortgage Association REMIC Trust,
	1,102		Series 2003-W1, Class 1A1, VAR, 6.137%, 12/25/42		1,281
	419		Series 2003-W1, Class 2A, VAR, 6.896%, 12/25/42		500
	183		Series 2003-W4, Class 2A, VAR, 6.442%, 10/25/42		203
	142		Series 2007-W7, Class 1A4, HB, IF, 37.970%, 07/25/37		266
	3,033		Series 2009-W1, Class A, 6.000%, 12/25/49		3,535
			Federal National Mortgage Association REMICS,
	7		Series 1988-7, Class Z, 9.250%, 04/25/18		7
	17		Series 1989-70, Class G, 8.000%, 10/25/19		19
	6		Series 1989-78, Class H, 9.400%, 11/25/19		6
	11		Series 1989-83, Class H, 8.500%, 11/25/19		12
	10		Series 1989-89, Class H, 9.000%, 11/25/19		11
	10		Series 1990-1, Class D, 8.800%, 01/25/20		12
	1		Series 1990-60, Class K, 5.500%, 06/25/20		2
	4		Series 1990-63, Class H, 9.500%, 06/25/20		5
	3		Series 1990-93, Class G, 5.500%, 08/25/20		3
	—	(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		2
	20		Series 1990-102, Class J, 6.500%, 08/25/20		22
	28		Series 1990-120, Class H, 9.000%, 10/25/20		32
	3		Series 1990-134, Class SC, HB, IF, 21.272%, 11/25/20		5
	—	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20		4
	—	(h)	Series 1991-7, Class K, HB, 908.500%, 02/25/21		—	(h)


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	11	Series 1991-24, Class Z, 5.000%, 03/25/21		12
	1	Series 1992-101, Class J, 7.500%, 06/25/22		1
	52	Series 1992-136, Class PK, 6.000%, 08/25/22		57
	43	Series 1992-143, Class MA, 5.500%, 09/25/22		47
	128	Series 1992-163, Class M, 7.750%, 09/25/22		148
	202	Series 1992-188, Class PZ, 7.500%, 10/25/22		232
	82	Series 1993-21, Class KA, 7.700%, 03/25/23		94
	137	Series 1993-25, Class J, 7.500%, 03/25/23		158
	34	Series 1993-27, Class SA, IF, 15.500%, 02/25/23		46
	50	Series 1993-62, Class SA, IF, 18.034%, 04/25/23		72
	26	Series 1993-165, Class SD, IF, 12.584%, 09/25/23		31
	56	Series 1993-165, Class SK, IF, 12.500%, 09/25/23		70
	38	Series 1993-179, Class SB, HB, IF, 25.064%, 10/25/23		66
	26	Series 1993-179, Class SC, IF, 10.500%, 10/25/23		30
	85	Series 1993-199, Class FA, VAR, 0.769%, 10/25/23		86
	72	Series 1993-205, Class H, PO, 09/25/23		63
	21	Series 1993-220, Class SG, IF, 15.562%, 11/25/13		22
	114	Series 1993-225, Class UB, 6.500%, 12/25/23		124
	38	Series 1993-230, Class FA, VAR, 0.819%, 12/25/23		38
	105	Series 1993-247, Class FE, VAR, 1.219%, 12/25/23		107
	49	Series 1993-247, Class SU, IF, 11.879%, 12/25/23		60
	128	Series 1993-250, Class Z, 7.000%, 12/25/23		133
	420	Series 1994-37, Class L, 6.500%, 03/25/24		484
	1,995	Series 1994-40, Class Z, 6.500%, 03/25/24		2,228
	83	Series 1995-2, Class Z, 8.500%, 01/25/25		96
	269	Series 1995-19, Class Z, 6.500%, 11/25/23		317


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	429	Series 1996-14, Class SE, IF, IO, 8.850%, 08/25/23		82
	14	Series 1996-27, Class FC, VAR, 0.719%, 03/25/17		14
	40	Series 1996-59, Class J, 6.500%, 08/25/22		44
	441	Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		18
	34	Series 1997-27, Class J, 7.500%, 04/18/27		38
	60	Series 1997-29, Class J, 7.500%, 04/20/27		69
	380	Series 1997-39, Class PD, 7.500%, 05/20/27		445
	39	Series 1997-42, Class EN, 7.250%, 07/18/27		40
	43	Series 1997-42, Class ZC, 6.500%, 07/18/27		49
	751	Series 1997-61, Class ZC, 7.000%, 02/25/23		852
	126	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		19
	14	Series 1998-4, Class C, PO, 04/25/23		12
	312	Series 1998-36, Class ZB, 6.000%, 07/18/28		347
	149	Series 1998-43, Class SA, IF, IO, 19.313%, 04/25/23		60
	250	Series 1998-66, Class SB, IF, IO, 7.948%, 12/25/28		47
	148	Series 1999-17, Class C, 6.350%, 04/25/29		170
	783	Series 1999-18, Class Z, 5.500%, 04/18/29		874
	207	Series 1999-38, Class SK, IF, IO, 7.848%, 08/25/23		27
	71	Series 1999-52, Class NS, HB, IF, 22.815%, 10/25/23		117
	195	Series 1999-62, Class PB, 7.500%, 12/18/29		229
	618	Series 2000-2, Class ZE, 7.500%, 02/25/30		727
	318	Series 2000-20, Class SA, IF, IO, 8.898%, 07/25/30		79
	45	Series 2000-52, Class IO, IO, 8.500%, 01/25/31		8
	212	Series 2001-4, Class PC, 7.000%, 03/25/21		232
	13	Series 2001-5, Class OW, 6.000%, 03/25/16		13


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	136	Series 2001-7, Class PF, 7.000%, 03/25/31		159
	165	Series 2001-7, Class PR, 6.000%, 03/25/16		169
	141	Series 2001-10, Class PR, 6.000%, 04/25/16		144
	421	Series 2001-30, Class PM, 7.000%, 07/25/31		494
	530	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		102
	424	Series 2001-36, Class DE, 7.000%, 08/25/31		498
	930	Series 2001-44, Class MY, 7.000%, 09/25/31		1,090
	166	Series 2001-44, Class PD, 7.000%, 09/25/31		195
	200	Series 2001-44, Class PU, 7.000%, 09/25/31		235
	1,643	Series 2001-48, Class Z, 6.500%, 09/25/21		1,839
	135	Series 2001-49, Class Z, 6.500%, 09/25/31		156
	118	Series 2001-52, Class KB, 6.500%, 10/25/31		136
	210	Series 2001-52, Class XN, 6.500%, 11/25/15		221
	1,491	Series 2001-61, Class Z, 7.000%, 11/25/31		1,750
	135	Series 2001-71, Class MB, 6.000%, 12/25/16		143
	304	Series 2001-71, Class QE, 6.000%, 12/25/16		322
	73	Series 2001-72, Class SX, IF, 16.996%, 12/25/31		99
	468	Series 2001-74, Class MB, 6.000%, 12/25/16		497
	131	Series 2002-1, Class HC, 6.500%, 02/25/22		147
	155	Series 2002-1, Class SA, HB, IF, 24.532%, 02/25/32		260
	105	Series 2002-1, Class UD, HB, IF, 23.734%, 12/25/23		168
	392	Series 2002-2, Class UC, 6.000%, 02/25/17		417
	981	Series 2002-3, Class OG, 6.000%, 02/25/17		1,039
	216	Series 2002-7, Class OG, 6.000%, 03/25/17		229
	680	Series 2002-7, Class TG, 6.000%, 03/25/17		719


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	232	Series 2002-10, Class SB, IF, 18.716%, 03/25/17		283
	306	Series 2002-11, Class QG, 5.500%, 03/25/17		322
	1,438	Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32		74
	23	Series 2002-13, Class ST, IF, 10.000%, 03/25/32		27
	416	Series 2002-18, Class PC, 5.500%, 04/25/17		422
	238	Series 2002-19, Class PE, 6.000%, 04/25/17		252
	50	Series 2002-21, Class LO, PO, 04/25/32		47
	479	Series 2002-21, Class PE, 6.500%, 04/25/32		533
	527	Series 2002-24, Class AJ, 6.000%, 04/25/17		566
	150	Series 2002-25, Class SG, IF, 18.836%, 05/25/17		188
	1,225	Series 2002-28, Class PK, 6.500%, 05/25/32		1,410
	304	Series 2002-37, Class Z, 6.500%, 06/25/32		334
	377	Series 2002-42, Class C, 6.000%, 07/25/17		404
	1,628	Series 2002-48, Class GH, 6.500%, 08/25/32		1,877
	197	Series 2002-55, Class QE, 5.500%, 09/25/17		210
	2,269	Series 2002-56, Class UC, 5.500%, 09/25/17		2,418
	783	Series 2002-62, Class ZE, 5.500%, 11/25/17		836
	217	Series 2002-63, Class KC, 5.000%, 10/25/17		231
	304	Series 2002-77, Class S, IF, 14.114%, 12/25/32		371
	185	Series 2002-81, Class JO, PO, 04/25/32		184
	840	Series 2002-83, Class CS, 6.881%, 08/25/23		957
	2	Series 2002-91, Class UH, IO, 5.500%, 06/25/22		—	(h)
	1,682	Series 2002-94, Class BK, 5.500%, 01/25/18		1,787
	804	Series 2003-3, Class HJ, 5.000%, 02/25/18		858
	2,524	Series 2003-22, Class UD, 4.000%, 04/25/33		2,795
	130	Series 2003-23, Class PG, 5.500%, 01/25/32		131


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,711	Series 2003-33, Class IA, IO, 6.500%, 05/25/33		321
	1,169	Series 2003-34, Class AX, 6.000%, 05/25/33		1,321
	1,516	Series 2003-34, Class ED, 6.000%, 05/25/33		1,830
	71	Series 2003-35, Class UC, 3.750%, 05/25/33		76
	216	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		37
	1,319	Series 2003-39, Class LW, 5.500%, 05/25/23		1,492
	1,635	Series 2003-41, Class PE, 5.500%, 05/25/23		1,803
	433	Series 2003-42, Class GB, 4.000%, 05/25/33		469
	137	Series 2003-45, Class AI, IO, 5.500%, 05/25/33		5
	813	Series 2003-47, Class PE, 5.750%, 06/25/33		884
	351	Series 2003-52, Class SX, HB, IF, 22.345%, 10/25/31		572
	694	Series 2003-56, Class AZ, 5.500%, 08/25/31		702
	226	Series 2003-64, Class SX, IF, 13.246%, 07/25/33		274
	12	Series 2003-68, Class QP, 3.000%, 07/25/22		12
	847	Series 2003-71, Class DS, IF, 7.198%, 08/25/33		863
	766	Series 2003-71, Class IM, IO, 5.500%, 12/25/31		50
	1,844	Series 2003-72, Class IE, IO, 5.500%, 08/25/33		265
	146	Series 2003-74, Class SH, IF, 9.807%, 08/25/33		158
	629	Series 2003-76, Class GQ, 4.500%, 08/25/18		668
	1,534	Series 2003-80, Class SY, IF, IO, 7.448%, 06/25/23		160
	1,085	Series 2003-81, Class LC, 4.500%, 09/25/18		1,156
	2,586	Series 2003-83, Class PG, 5.000%, 06/25/23		2,763
	428	Series 2003-91, Class SD, IF, 12.164%, 09/25/33		512
	2,252	Series 2003-116, Class SB, IF, IO, 7.398%, 11/25/33		527
	2,533	Series 2003-117, Class JB, 3.500%, 06/25/33		2,658


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,030	Series 2003-122, Class TE, 5.000%, 12/25/22		1,073
	80	Series 2003-128, Class KE, 4.500%, 01/25/14		81
	700	Series 2003-128, Class NG, 4.000%, 01/25/19		738
	226	Series 2003-130, Class SX, IF, 11.217%, 01/25/34		259
	226	Series 2003-132, Class OA, PO, 08/25/33		214
	2,079	Series 2004-4, Class QI, IF, IO, 6.898%, 06/25/33		382
	197	Series 2004-4, Class QM, IF, 13.797%, 06/25/33		240
	1,012	Series 2004-10, Class SC, HB, IF, 27.793%, 02/25/34		1,441
	1,073	Series 2004-25, Class PC, 5.500%, 01/25/34		1,167
	1,584	Series 2004-25, Class SA, IF, 18.970%, 04/25/34		2,322
	7,708	Series 2004-27, Class HB, 4.000%, 05/25/19		8,202
	734	Series 2004-36, Class PC, 5.500%, 02/25/34		799
	1,826	Series 2004-36, Class SA, IF, 18.970%, 05/25/34		2,683
	740	Series 2004-36, Class SN, IF, 13.797%, 07/25/33		875
	3,581	Series 2004-37, Class AG, 4.500%, 11/25/32		3,689
	81	Series 2004-46, Class HS, IF, IO, 5.798%, 05/25/30		—	(h)
	776	Series 2004-46, Class QB, HB, IF, 23.193%, 05/25/34		1,117
	2,589	Series 2004-46, Class SK, IF, 15.945%, 05/25/34		3,319
	469	Series 2004-51, Class SY, IF, 13.837%, 07/25/34		576
	510	Series 2004-53, Class NC, 5.500%, 07/25/24		563
	689	Series 2004-59, Class BG, PO, 12/25/32		638
	1,219	Series 2004-61, Class FH, VAR, 1.002%, 11/25/32		1,235
	161	Series 2004-61, Class SK, IF, 8.500%, 11/25/32		180
	55	Series 2004-70, Class JA, 4.500%, 10/25/19		55
	488	Series 2004-76, Class CL, 4.000%, 10/25/19		515
	796	Series 2004-79, Class SP, IF, 19.245%, 11/25/34		1,129


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	217	Series 2004-81, Class AC, 4.000%, 11/25/19		229
	23	Series 2004-92, Class JO, PO, 12/25/34		22
	255	Series 2005-52, Class PA, 6.500%, 06/25/35		276
	2,235	Series 2005-56, Class S, IF, IO, 6.508%, 07/25/35		365
	237	Series 2005-59, Class PC, 5.500%, 03/25/31		237
	457	Series 2005-66, Class SG, IF, 16.871%, 07/25/35		630
	967	Series 2005-68, Class BC, 5.250%, 06/25/35		1,069
	2,133	Series 2005-68, Class PG, 5.500%, 08/25/35		2,410
	1,309	Series 2005-68, Class UC, 5.000%, 06/25/35		1,434
	953	Series 2005-74, Class CS, IF, 19.465%, 05/25/35		1,393
	8,689	Series 2005-84, Class XM, 5.750%, 10/25/35		9,796
	2,871	Series 2005-97, Class HC, 5.000%, 02/25/32		2,909
	3,425	Series 2005-109, Class PC, 6.000%, 12/25/35		3,915
	2,402	Series 2005-110, Class GJ, 5.500%, 11/25/30		2,416
	14,556	Series 2005-110, Class GK, 5.500%, 08/25/34		15,510
	4,326	Series 2005-110, Class GL, 5.500%, 12/25/35		5,152
	2,997	Series 2005-110, Class MN, 5.500%, 06/25/35		3,305
	1,075	Series 2005-116, Class PB, 6.000%, 04/25/34		1,153
	1,368	Series 2005-118, Class PN, 6.000%, 01/25/32		1,391
	319	Series 2006-15, Class OT, PO, 01/25/36		296
	749	Series 2006-16, Class OA, PO, 03/25/36		703
	906	Series 2006-22, Class AO, PO, 04/25/36		862
	327	Series 2006-23, Class KO, PO, 04/25/36		300
	3,149	Series 2006-39, Class WC, 5.500%, 01/25/36		3,473
	202	Series 2006-42, Class CF, VAR, 0.652%, 06/25/36		204
	1,914	Series 2006-44, Class GO, PO, 06/25/36		1,791
	4,329	Series 2006-44, Class P, PO, 12/25/33		4,145
	2,000	Series 2006-46, Class UC, 5.500%, 12/25/35		2,236


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2,877	Series 2006-53, Class US, IF, IO, 6.378%, 06/25/36		382
	2,314	Series 2006-56, Class FC, VAR, 0.492%, 07/25/36		2,317
	47	Series 2006-56, Class OA, PO, 10/25/24		47
	2,362	Series 2006-56, Class PF, VAR, 0.552%, 07/25/36		2,376
	1,323	Series 2006-56, Class PO, PO, 07/25/36		1,255
	2,035	Series 2006-58, Class AP, PO, 07/25/36		1,944
	204	Series 2006-58, Class FL, VAR, 0.662%, 07/25/36		206
	820	Series 2006-58, Class PO, PO, 07/25/36		769
	1,485	Series 2006-59, Class QO, PO, 01/25/33		1,445
	3,081	Series 2006-60, Class DZ, 6.500%, 07/25/36		3,874
	1,318	Series 2006-65, Class QO, PO, 07/25/36		1,233
	349	Series 2006-72, Class TO, PO, 08/25/36		327
	4,605	Series 2006-77, Class PC, 6.500%, 08/25/36		5,273
	1,043	Series 2006-79, Class DO, PO, 08/25/36		975
	740	Series 2006-90, Class AO, PO, 09/25/36		719
	337	Series 2006-109, Class PO, PO, 11/25/36		322
	2,884	Series 2006-110, Class PO, PO, 11/25/36		2,762
	243	Series 2006-111, Class EO, PO, 11/25/36		232
	1,173	Series 2006-118, Class A2, VAR, 0.262%, 12/25/36		1,111
	422	Series 2006-119, Class PO, PO, 12/25/36		396
	6,980	Series 2006-124, Class HB, VAR, 5.982%, 11/25/36		7,715
	1,000	Series 2006-128, Class BP, 5.500%, 01/25/37		1,180
	1,389	Series 2006-130, Class GI, IO, 6.500%, 07/25/32		210
	2,692	Series 2007-7, Class SG, IF, IO, 6.298%, 08/25/36		609
	4,764	Series 2007-14, Class ES, IF, IO, 6.238%, 03/25/37		761
	373	Series 2007-15, Class NO, PO, 03/25/22		340
	1,845	Series 2007-16, Class FC, VAR, 0.952%, 03/25/37		1,848
	502	Series 2007-42, Class AO, PO, 05/25/37		453
	1,500	Series 2007-46, Class VK, 5.500%, 03/25/22		1,557
	578	Series 2007-48, Class PO, PO, 05/25/37		553
	2,222	Series 2007-54, Class FA, VAR, 0.602%, 06/25/37		2,234
	8,979	Series 2007-60, Class AX, IF, IO, 6.948%, 07/25/37		1,936


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	492	Series 2007-77, Class FG, VAR, 0.702%, 03/25/37		496
	1,400	Series 2007-81, Class GE, 6.000%, 08/25/37		1,671
	5,000	Series 2007-84, Class PG, 6.000%, 12/25/36		5,395
	5,131	Series 2007-88, Class VI, IF, IO, 6.338%, 09/25/37		830
	3,503	Series 2007-91, Class ES, IF, IO, 6.258%, 10/25/37		597
	2,382	Series 2007-97, Class KI, IO, 7.000%, 05/25/33		385
	4,184	Series 2007-101, Class A2, VAR, 0.452%, 06/27/36		4,147
	1,024	Series 2007-106, Class A7, VAR, 5.984%, 10/25/37		1,148
	3,000	Series 2007-114, Class A6, VAR, 0.402%, 10/27/37		2,985
	2,553	Series 2007-116, Class HI, IO, VAR, 1.829%, 01/25/38		188
	122	Series 2007-118, Class IO, IO, 6.000%, 06/25/36		8
	2,783	Series 2008-1, Class BI, IF, IO, 5.708%, 02/25/38		332
	1,875	Series 2008-10, Class XI, IF, IO, 6.028%, 03/25/38		289
	1,272	Series 2008-16, Class IS, IF, IO, 5.998%, 03/25/38		216
	1,305	Series 2008-19, Class IC, IO, 5.000%, 03/25/23		104
	1,000	Series 2008-24, Class DY, 5.000%, 04/25/23		1,102
	1,211	Series 2008-27, Class SN, IF, IO, 6.698%, 04/25/38		214
	672	Series 2008-39, Class CI, IO, 4.500%, 05/25/18		51
	721	Series 2008-42, Class AO, PO, 09/25/36		685
	94	Series 2008-44, Class PO, PO, 05/25/38		89
	1,305	Series 2008-47, Class SI, IF, IO, 6.298%, 06/25/23		155
	1,663	Series 2008-53, Class CI, IF, IO, 6.998%, 07/25/38		265
	708	Series 2008-76, Class GF, VAR, 0.852%, 09/25/23		716
	3,393	Series 2008-80, Class SA, IF, IO, 5.648%, 09/25/38		431
	2,092	Series 2008-81, Class SB, IF, IO, 5.648%, 09/25/38		342
	3,105	Series 2009-6, Class GS, IF, IO, 6.348%, 02/25/39		535


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,307	Series 2009-9, Class IO, IO, 5.000%, 02/25/24		127
	1,244	Series 2009-18, Class IO, IO, 5.000%, 03/25/24		111
	2,500	Series 2009-19, Class IP, IO, 5.500%, 10/25/36		563
	2,085	Series 2009-60, Class HT, 6.000%, 08/25/39		2,410
	1,463	Series 2009-62, Class HJ, 6.000%, 05/25/39		1,603
	2,182	Series 2009-70, Class CO, PO, 01/25/37		2,083
	2,049	Series 2009-86, Class UI, IO, 4.000%, 10/25/14		89
	1,642	Series 2009-99, Class SC, IF, IO, 5.978%, 12/25/39		209
	1,272	Series 2009-103, Class MB, VAR, 3.085%, 12/25/39		1,366
	2,000	Series 2010-45, Class BD, 4.500%, 11/25/38		2,096
	2,029	Series 2010-49, Class SC, IF, 12.257%, 03/25/40		2,425
	1,352	Series 2010-64, Class DM, 5.000%, 06/25/40		1,506
	1,592	Series 2010-71, Class HJ, 5.500%, 07/25/40		1,822
	3,385	Series 2010-133, Class A, 5.500%, 05/25/38		3,665
	2,432	Series 2010-148, Class MA, 4.000%, 02/25/39		2,519
	2,342	Series 2011-2, Class WA, VAR, 5.795%, 02/25/51		2,556
	2,289	Series 2011-22, Class MA, 6.500%, 04/25/38		2,552
	5,451	Series 2011-30, Class LS, IO, VAR, 4.027%, 04/25/41		382
	1,185	Series 2011-75, Class FA, VAR, 0.752%, 08/25/41		1,196
	2,285	Series 2011-118, Class MT, 7.000%, 11/25/41		2,820
	3,386	Series 2011-130, Class CA, 6.000%, 12/25/41		3,766
	1,812	Series 2012-14, Class FB, VAR, 0.652%, 08/25/37		1,820
	10,543	Series 2012-47, Class HF, VAR, 0.602%, 05/25/27		10,628
	3,951	Series 2012-108, Class F, VAR, 0.702%, 10/25/42		3,983
	4,959	Series 2012-137, Class CF, VAR, 0.502%, 08/25/41		4,967


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — Continued
	1		Series G-17, Class S, HB, VAR, 1,058.376%, 06/25/21		11
	30		Series G-28, Class S, IF, 14.881%, 09/25/21		39
	34		Series G-35, Class M, 8.750%, 10/25/21		39
	12		Series G-51, Class SA, HB, IF, 26.406%, 12/25/21		19
	—	(h)	Series G92-27, Class SQ, HB, IF, 1,777.270%, 05/25/22		2
	173		Series G92-35, Class E, 7.500%, 07/25/22		194
	—	(h)	Series G92-35, Class G, HB, 1,184.775%, 07/25/22		4
	21		Series G92-42, Class Z, 7.000%, 07/25/22		24
	594		Series G92-44, Class ZQ, 8.000%, 07/25/22		659
	27		Series G92-52, Class FD, VAR, 0.239%, 09/25/22		26
	212		Series G92-54, Class ZQ, 7.500%, 09/25/22		238
	27		Series G92-59, Class F, VAR, 1.771%, 10/25/22		27
	53		Series G92-61, Class Z, 7.000%, 10/25/22		62
	39		Series G92-62, Class B, PO, 10/25/22		34
	186		Series G93-1, Class KA, 7.900%, 01/25/23		214
	41		Series G93-5, Class Z, 6.500%, 02/25/23		47
	52		Series G93-14, Class J, 6.500%, 03/25/23		58
	125		Series G93-17, Class SI, IF, 6.000%, 04/25/23		132
	117		Series G93-27, Class FD, VAR, 1.099%, 08/25/23		118
	29		Series G93-37, Class H, PO, 09/25/23		25
	49		Series G95-1, Class C, 8.800%, 01/25/25		58
			Federal National Mortgage Association STRIPS,
	3		Series 23, Class 2, IO, 10.000%, 09/01/17		1
	1		Series 50, Class 2, IO, 10.500%, 03/01/19		—	(h)
	17		Series 218, Class 2, IO, 7.500%, 04/01/23		3
	17		Series 265, Class 2, 9.000%, 03/01/24		20
	267		Series 329, Class 1, PO, 01/01/33		254
	796		Series 339, Class 18, IO, 4.500%, 07/01/18		62
	1,128		Series 339, Class 21, IO, 4.500%, 08/25/18		89
	556		Series 339, Class 28, IO, 5.500%, 07/01/18		49
	332		Series 345, Class 6, IO, VAR, 5.000%, 12/01/33		43
	1,173		Series 351, Class 7, IO, VAR, 5.000%, 04/01/34		158


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	925	Series 355, Class 11, IO, 6.000%, 07/01/34		172
	473	Series 355, Class 31, IO, VAR, 4.500%, 12/01/18		41
	1,914	Series 365, Class 8, IO, 5.500%, 05/01/36		266
	246	Series 368, Class 3, IO, 4.500%, 11/01/20		21
	973	Series 374, Class 5, IO, 5.500%, 08/01/36		129
	591	Series 383, Class 32, IO, 6.000%, 01/01/38		83
	1,549	Series 383, Class 33, IO, 6.000%, 01/01/38		217
	277	Series 393, Class 6, IO, 5.500%, 04/25/37		39
		Federal National Mortgage Association Trust,
	311	Series 2004-W1, Class 2A2, 7.000%, 12/25/33		371
	1,402	Series 2004-W15, Class 2AF, VAR, 0.452%, 08/25/44		1,393
	1,013	Series 2004-W2, Class 2A2, 7.000%, 02/25/44		1,196
	3,574	Series 2005-W3, Class 2AF, VAR, 0.422%, 03/25/45		3,545
	1,225	Series 2006-W2, Class 1AF1, VAR, 0.422%, 02/25/36		1,216
		Government National Mortgage Association,
	382	Series 1994-4, Class KQ, 7.988%, 07/16/24		460
	1,925	Series 1994-7, Class PQ, 6.500%, 10/16/24		2,253
	250	Series 1998-26, Class K, 7.500%, 09/17/25		287
	1,326	Series 1999-4, Class ZB, 6.000%, 02/20/29		1,515
	1,265	Series 1999-10, Class ZC, 6.500%, 04/20/29		1,487
	152	Series 1999-30, Class S, IF, IO, 8.398%, 08/16/29		35
	18	Series 1999-33, Class SM, IF, 9.200%, 09/16/29		21
	249	Series 1999-40, Class ZW, 7.500%, 11/20/29		296
	343	Series 1999-41, Class Z, 8.000%, 11/16/29		416
	130	Series 1999-44, Class PC, 7.500%, 12/20/29		151
	2,527	Series 1999-44, Class ZC, 8.500%, 12/16/29		3,104
	433	Series 1999-44, Class ZG, 8.000%, 12/20/29		536


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	169	Series 2000-9, Class Z, 8.000%, 06/20/30		207
	1,637	Series 2000-9, Class ZJ, 8.500%, 02/16/30		1,932
	291	Series 2000-12, Class ST, HB, IF, 38.492%, 02/16/30		535
	91	Series 2000-16, Class ZN, 7.500%, 02/16/30		95
	2,296	Series 2000-21, Class Z, 9.000%, 03/16/30		2,717
	421	Series 2000-26, Class TZ, 8.500%, 09/20/30		497
	101	Series 2000-26, Class Z, 7.750%, 09/20/30		118
	18	Series 2000-30, Class ST, IF, 11.050%, 12/16/22		22
	326	Series 2000-31, Class Z, 9.000%, 10/20/30		385
	192	Series 2000-35, Class ZA, 9.000%, 11/20/30		211
	32	Series 2000-36, Class IK, IO, 9.000%, 11/16/30		7
	163	Series 2001-4, Class SJ, IF, IO, 7.948%, 01/19/30		38
	143	Series 2001-6, Class SD, IF, IO, 8.348%, 03/16/31		36
	283	Series 2001-7, Class PK, 6.500%, 03/20/31		301
	15	Series 2001-32, Class WA, IF, 19.623%, 07/20/31		24
	235	Series 2001-35, Class SA, IF, IO, 8.048%, 08/16/31		56
	197	Series 2001-36, Class S, IF, IO, 7.848%, 08/16/31		47
	1,003	Series 2001-64, Class MQ, 6.500%, 12/20/31		1,060
	256	Series 2002-3, Class SP, IF, IO, 7.188%, 01/16/32		70
	343	Series 2002-7, Class PG, 6.500%, 01/20/32		406
	1,035	Series 2002-24, Class AG, IF, IO, 7.748%, 04/16/32		257
	92	Series 2002-24, Class SB, IF, 11.622%, 04/16/32		120
	2,300	Series 2002-31, Class SE, IF, IO, 7.298%, 04/16/30		504
	678	Series 2002-40, Class UK, 6.500%, 06/20/32		802
	37	Series 2002-41, Class SV, IF, 9.000%, 06/16/32		43


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2,557	Series 2002-45, Class QE, 6.500%, 06/20/32		2,974
	862	Series 2002-47, Class PG, 6.500%, 07/16/32		1,014
	1,624	Series 2002-47, Class ZA, 6.500%, 07/20/32		1,924
	47	Series 2002-51, Class SG, HB, IF, 31.630%, 04/20/31		96
	1,393	Series 2002-52, Class GH, 6.500%, 07/20/32		1,601
	880	Series 2002-70, Class PS, IF, IO, 7.499%, 08/20/32		95
	949	Series 2002-75, Class PB, 6.000%, 11/20/32		1,173
	103	Series 2003-4, Class NI, IO, 5.500%, 01/20/32		1
	141	Series 2003-4, Class NY, 5.500%, 12/20/13		143
	1,145	Series 2003-11, Class SK, IF, IO, 7.498%, 02/16/33		269
	472	Series 2003-12, Class SP, IF, IO, 7.499%, 02/20/33		122
	104	Series 2003-24, Class PO, PO, 03/16/33		95
	199	Series 2003-40, Class TC, 7.500%, 03/20/33		200
	1,319	Series 2003-40, Class TJ, 6.500%, 03/20/33		1,621
	753	Series 2003-46, Class MG, 6.500%, 05/20/33		934
	1,356	Series 2003-46, Class TC, 6.500%, 03/20/33		1,573
	411	Series 2003-52, Class AP, PO, 06/16/33		384
	2,150	Series 2003-58, Class BE, 6.500%, 01/20/33		2,538
	375	Series 2003-76, Class LS, IF, IO, 6.999%, 09/20/31		15
	127	Series 2003-90, Class PO, PO, 10/20/33		120
	1,587	Series 2003-112, Class SA, IF, IO, 6.348%, 12/16/33		299
	2,097	Series 2003-112, Class TS, IF, IO, 6.749%, 10/20/32		189
	4,670	Series 2004-11, Class SW, IF, IO, 5.299%, 02/20/34		658
	338	Series 2004-15, Class SA, IF, 19.111%, 12/20/32		390
	540	Series 2004-28, Class S, IF, 19.108%, 04/16/34		736
	259	Series 2004-68, Class PO, PO, 05/20/31		254


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	217	Series 2004-73, Class AE, IF, 14.439%, 08/17/34		267
	2,664	Series 2004-90, Class SI, IF, IO, 5.899%, 10/20/34		425
	1,873	Series 2005-3, Class SB, IF, IO, 5.899%, 01/20/35		298
	4,660	Series 2005-17, Class SL, IF, IO, 6.499%, 07/20/34		713
	420	Series 2005-35, Class FL, VAR, 0.551%, 03/20/32		422
	185	Series 2005-39, Class KI, IO, 5.500%, 03/20/34		12
	3,196	Series 2005-58, Class NI, IO, 5.500%, 08/20/35		712
	472	Series 2005-68, Class DP, IF, 15.948%, 06/17/35		618
	6,813	Series 2005-68, Class KI, IF, IO, 6.099%, 09/20/35		1,097
	1,075	Series 2005-69, Class SY, IF, IO, 6.549%, 11/20/33		128
	855	Series 2005-91, Class PI, IO, 6.000%, 12/20/35		139
	467	Series 2006-16, Class OP, PO, 03/20/36		444
	226	Series 2006-28, Class GO, PO, 03/20/35		222
	1,506	Series 2006-38, Class SW, IF, IO, 6.299%, 06/20/36		204
	1,616	Series 2006-59, Class SD, IF, IO, 6.499%, 10/20/36		275
	2,755	Series 2006-65, Class SA, IF, IO, 6.599%, 11/20/36		474
	1,573	Series 2007-9, Class DI, IF, IO, 6.309%, 03/20/37		267
	3,528	Series 2007-17, Class JI, IF, IO, 6.608%, 04/16/37		613
	378	Series 2007-17, Class JO, PO, 04/16/37		358
	2,403	Series 2007-19, Class SD, IF, IO, 5.999%, 04/20/37		361
	2,486	Series 2007-26, Class SC, IF, IO, 5.999%, 05/20/37		370
	1,654	Series 2007-27, Class SA, IF, IO, 5.999%, 05/20/37		256
	580	Series 2007-28, Class BO, PO, 05/20/37		554
	18	Series 2007-35, Class TO, PO, 04/20/35		18
	1,408	Series 2007-36, Class SE, IF, IO, 6.268%, 06/16/37		231
	4,008	Series 2007-40, Class SB, IF, IO, 6.549%, 07/20/37		671
	2,418	Series 2007-42, Class SB, IF, IO, 6.549%, 07/20/37		394


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2,500	Series 2007-47, Class PH, 6.000%, 07/16/37		3,141
	294	Series 2007-49, Class NO, PO, 12/20/35		291
	1,913	Series 2007-50, Class AI, IF, IO, 6.574%, 08/20/37		307
	274	Series 2007-53, Class SW, IF, 19.603%, 09/20/37		389
	1,127	Series 2007-57, Class PO, PO, 03/20/37		1,061
	1,431	Series 2007-57, Class QA, IF, IO, 6.299%, 10/20/37		234
	1,854	Series 2007-71, Class SB, IF, IO, 6.499%, 07/20/36		200
	1,390	Series 2007-72, Class US, IF, IO, 6.349%, 11/20/37		234
	1,407	Series 2007-73, Class MI, IF, IO, 5.799%, 11/20/37		203
	2,765	Series 2007-76, Class SA, IF, IO, 6.329%, 11/20/37		453
	1,413	Series 2007-79, Class SY, IF, IO, 6.349%, 12/20/37		231
	870	Series 2007-81, Class SP, IF, IO, 6.449%, 12/20/37		143
	1,563	Series 2007-82, Class SA, IF, IO, 6.329%, 12/20/37		253
	732	Series 2008-2, Class MS, IF, IO, 6.958%, 01/16/38		110
	2,439	Series 2008-2, Class NS, IF, IO, 6.338%, 01/16/38		341
	1,479	Series 2008-10, Class S, IF, IO, 5.629%, 02/20/38		207
	428	Series 2008-23, Class IO, IO, 6.000%, 02/20/37		27
	1,075	Series 2008-25, Class SB, IF, IO, 6.699%, 03/20/38		186
	1,050	Series 2008-32, Class PI, IO, 5.500%, 10/16/37		129
	2,050	Series 2008-36, Class SH, IF, IO, 6.099%, 04/20/38		323
	8,735	Series 2008-40, Class SA, IF, IO, 6.198%, 05/16/38		1,554
	2,110	Series 2008-41, Class SA, IF, IO, 6.139%, 05/20/38		335
	1,372	Series 2008-55, Class SA, IF, IO, 5.999%, 06/20/38		205
	523	Series 2008-60, Class PO, PO, 01/20/38		508
	2,000	Series 2008-65, Class ME, 5.750%, 09/20/37		2,151
	771	Series 2008-71, Class SC, IF, IO, 5.799%, 08/20/38		106


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,440	Series 2008-93, Class AS, IF, IO, 5.499%, 12/20/38		213
	2,460	Series 2009-6, Class SA, IF, IO, 5.898%, 02/16/39		367
	1,580	Series 2009-10, Class SL, IF, IO, 6.298%, 03/16/34		161
	3,000	Series 2009-12, Class IE, IO, 5.500%, 03/20/39		571
	1,510	Series 2009-14, Class KI, IO, 6.500%, 03/20/39		250
	1,366	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		230
	4,055	Series 2009-22, Class SA, IF, IO, 6.069%, 04/20/39		584
	1,155	Series 2009-25, Class SE, IF, IO, 7.399%, 09/20/38		215
	1,094	Series 2009-33, Class CI, IO, 5.500%, 05/20/39		137
	963	Series 2009-33, Class TI, IO, 6.000%, 05/20/39		152
	650	Series 2009-38, Class IO, IO, 5.000%, 09/16/31		25
	1,770	Series 2009-43, Class SA, IF, IO, 5.749%, 06/20/39		241
	1,457	Series 2009-65, Class IQ, IO, 6.000%, 12/20/38		195
	3,506	Series 2009-72, Class SM, IF, IO, 6.048%, 08/16/39		453
	697	Series 2009-79, Class OK, PO, 11/16/37		657
	700	Series 2010-14, Class CO, PO, 08/20/35		620
	811	Series 2010-130, Class CP, 7.000%, 10/16/40		957
	4,476	Series 2010-157, Class OP, PO, 12/20/40		3,944
	3,419	Series 2010-H17, Class XQ, VAR, 5.246%, 07/20/60		4,020
	1,526	Series 2011-22, Class WA, VAR, 5.947%, 02/20/37		1,716
	4,271	Series 2011-75, Class SM, IF, IO, 6.399%, 05/20/41		816
	3,698	Series 2012-61, Class FM, VAR, 0.602%, 05/16/42		3,707
	1,087	Series 2012-141, Class WC, VAR, 3.782%, 01/20/42		1,195
	4,884	Series 2012-H10, Class FA, VAR, 0.758%, 12/20/61		4,922
	2,945	Series 2012-H15, Class FA, VAR, 0.658%, 05/20/62		2,948
	3,473	Series 2012-H21, Class CF, VAR, 0.908%, 05/20/61		3,492


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2,999	Series 2012-H21, Class DF, VAR, 0.858%, 05/20/61		3,015
	4,995	Series 2012-H22, Class FD, VAR, 0.678%, 01/20/61		4,991
	1,881	Series 2012-H24, Class FA, VAR, 0.658%, 03/20/60		1,879
	3,971	Series 2012-H24, Class FG, VAR, 0.638%, 04/20/60		3,965
	1,995	Series 2012-H26, Class MA, VAR, 0.758%, 07/20/62		2,006
	3,000	Series 2012-H28, Class FA, VAR, 0.788%, 09/20/62		3,009
	4,769	Series 2012-H30, Class PA, VAR, 0.658%, 11/20/59		4,775
	3,111	Series 2013-H01, Class FA, 1.650%, 01/20/63		3,138
	2,000	Series 2013-H03, Class FA, VAR, 0.508%, 08/20/60		1,996
	1,501	Series 2013-H04, Class BA, 1.650%, 02/20/63		1,496
		NCUA Guaranteed Notes Trust,
	17,000	Series 2010-C1, Class A2, 2.900%, 10/29/20		18,208
	11,306	Series 2010-C1, Class APT, 2.650%, 10/29/20		11,981
		Vendee Mortgage Trust,
	579	Series 1994-1, Class 1, VAR, 5.629%, 02/15/24		654
	987	Series 1994-1, Class 2ZB, 6.500%, 02/15/24		1,114
	861	Series 1996-1, Class 1Z, 6.750%, 02/15/26		1,001
	625	Series 1996-2, Class 1Z, 6.750%, 06/15/26		736
	1,210	Series 1997-1, Class 2Z, 7.500%, 02/15/27		1,425
	1,443	Series 1998-1, Class 2E, 7.000%, 03/15/28		1,719
	2,770	Series 1999-1, Class 2Z, 6.500%, 01/15/29		3,285

				715,582

		Non-Agency CMO — 10.5%
	437	AAM ACE Resecuritization Trust, Series 2011-1, Class A20, VAR, 0.478%, 02/02/37 (e)		423
	354	ABN Amro Mortgage Corp., Series 2003-8, Class A3, 4.500%, 06/25/33		355
	2,983	AJAX Mortgage Loan Trust, Series 2013-A, Class A, VAR, 3.500%, 02/25/51 (e) (i)		2,963


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
		Alternative Loan Trust,
	399	Series 2002-8, Class A4, 6.500%, 07/25/32		415
	12,320	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		12,143
	1,398	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		1,433
	2,967	Series 2005-1CB, Class 1A6, IF, IO, 6.898%, 03/25/35		728
	5,825	Series 2005-20CB, Class 3A8, IF, IO, 4.548%, 07/25/35		849
	10,195	Series 2005-22T1, Class A2, IF, IO, 4.868%, 06/25/35		1,607
	6,050	Series 2005-28CB, Class 1A4, 5.500%, 08/25/35		5,838
	200	Series 2005-28CB, Class 3A5, 6.000%, 08/25/35		178
	8,007	Series 2005-37T1, Class A2, IF, IO, 4.848%, 09/25/35		1,276
	5,264	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		4,689
	13,235	Series 2005-54CB, Class 1A2, IF, IO, 4.648%, 11/25/35		2,076
	3,337	Series 2005-57CB, Class 3A2, IF, IO, 4.898%, 12/25/35		595
	2,046	Series 2005-64CB, Class 1A9, 5.500%, 12/25/35		1,800
	8,972	Series 2005-J1, Class 1A4, IF, IO, 4.898%, 02/25/35		1,194
	2,954	Series 2006-26CB, Class A9, 6.500%, 09/25/36		2,556
	312	Alternative Loan Trust Resecuritization, Series 2005-5R, Class A1, 5.250%, 12/25/18		314
		American General Mortgage Loan Trust,
	1,058	Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e)		1,060
	2,775	Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e)		2,822
	4,500	Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		4,803
	765	Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e)		787
	718	Series 2010-1A, Class A2, VAR, 5.650%, 03/25/58 (e)		759
	1,140	Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e)		1,205
	473	Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e)		503


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		ASG Resecuritization Trust,
	997	Series 2009-1, Class A60, VAR, 2.458%, 06/26/37 (e)		983
	1,473	Series 2009-2, Class A55, VAR, 5.014%, 05/24/36 (e)		1,518
	1,000	Series 2009-2, Class G60, VAR, 5.014%, 05/24/36 (e)		1,065
	4,560	Series 2009-3, Class A65, VAR, 2.487%, 03/26/37 (e)		4,560
	4,472	Series 2009-4, Class A60, 6.000%, 06/28/37 (e)		4,679
	1,137	Series 2010-2, Class A60, VAR, 2.119%, 01/28/37 (e)		1,113
	569	Series 2010-3, Class 2A22, VAR, 0.412%, 10/28/36 (e)		565
	930	Series 2011-1, Class 3A50, VAR, 2.711%, 11/28/35 (e) (i)		909
		Banc of America Alternative Loan Trust,
	234	Series 2003-2, Class PO, PO, 04/25/33		187
	477	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		491
	376	Series 2003-11, Class PO, PO, 01/25/34		302
	234	Series 2004-6, Class 15PO, PO, 07/25/19		214
	1,800	Series 2005-5, Class 1CB1, 5.500%, 06/25/35		1,787
	5,220	Series 2005-6, Class CBIO, IO, 5.500%, 07/25/35		839
	1,484	Series 2006-4, Class 1A4, 6.000%, 05/25/46		1,008
	2,903	Banc of America Funding Corp., Series 2012-R6, Class 1A1, 3.000%, 10/26/39 (e) (i)		2,905
		Banc of America Funding Trust,
	515	Series 2004-1, Class PO, PO, 03/25/34		405
	800	Series 2004-2, Class 30PO, PO, 09/20/34		708
	532	Series 2004-C, Class 1A1, VAR, 5.059%, 12/20/34		533
	1,167	Series 2005-6, Class 2A7, 5.500%, 10/25/35		1,191
	787	Series 2005-7, Class 30PO, PO, 11/25/35		635
	497	Series 2005-8, Class 30PO, PO, 01/25/36		367
	1,832	Series 2005-E, Class 4A1, VAR, 2.675%, 03/20/35		1,809
	682	Series 2006-A, Class 3A2, VAR, 2.912%, 02/20/36		529
	1,160	Series 2010-R5, Class 1A1, 5.500%, 10/26/37 (e)		1,204
		Banc of America Mortgage Trust,
	176	Series 2003-3, Class 2A1, VAR, 0.752%, 05/25/18		169


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	224	Series 2003-6, Class 2A1, VAR, 0.652%, 08/25/18		215
	81	Series 2003-7, Class A2, 4.750%, 09/25/18		84
	240	Series 2003-8, Class APO, PO, 11/25/33		204
	1,919	Series 2004-3, Class 15IO, IO, VAR, 0.266%, 04/25/19		9
	103	Series 2004-4, Class APO, PO, 05/25/34		88
	2,746	Series 2004-5, Class 2A2, 5.500%, 06/25/34		2,836
	657	Series 2004-6, Class 2A5, PO, 07/25/34		539
	426	Series 2004-6, Class APO, PO, 07/25/34		393
	50	Series 2004-8, Class 5PO, PO, 05/25/32		43
	48	Series 2004-8, Class XPO, PO, 10/25/34		42
	342	Series 2004-A, Class 2A2, VAR, 2.915%, 02/25/34		341
	1,323	Series 2004-J, Class 3A1, VAR, 3.231%, 11/25/34		1,313
	1,711	Series 2005-10, Class 1A6, 5.500%, 11/25/35		1,725
		BCAP LLC Trust,
	718	Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e)		706
	796	Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)		823
	924	Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e)		939
	664	Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e) (i)		663
	99	Series 2010-RR4, Class 2A1, VAR, 0.952%, 06/26/37 (e)		99
	1,022	Series 2010-RR6, Class 22A3, VAR, 4.830%, 06/26/36 (e)		1,040
	358	Series 2010-RR6, Class 5A1, VAR, 3.881%, 11/26/37 (e)		357
	521	Series 2010-RR7, Class 15A1, VAR, 1.010%, 01/26/36 (e)		509
	949	Series 2010-RR7, Class 16A1, VAR, 0.874%, 02/26/47 (e)		915
	606	Series 2010-RR7, Class 1A5, VAR, 5.000%, 04/26/35 (e)		594
	2,487	Series 2010-RR7, Class 2A1, VAR, 2.581%, 07/26/45 (e)		2,396
	602	Series 2010-RR8, Class 3A3, VAR, 5.068%, 05/26/35 (e)		609
	1,500	Series 2010-RR8, Class 3A4, VAR, 5.068%, 05/26/35 (e)		1,403
	1,800	Series 2011-R11, Class 25A5, VAR, 4.000%, 08/26/21 (e)		1,827


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	2,663	Series 2011-RR10, Class 2A1, VAR, 1.057%, 09/26/37 (e)		2,377
	2,120	Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (i)		2,075
	2,793	Series 2011-RR5, Class 11A3, VAR, 0.352%, 05/28/36 (e)		2,568
	1,408	Series 2011-RR5, Class 14A3, VAR, 2.902%, 07/26/36 (e) (i)		1,372
	1,854	Series 2012-RR10, Class 3A1, VAR, 0.394%, 05/26/36 (e) (i)		1,720
	2,602	Series 2012-RR2, Class 1A1, VAR, 0.372%, 08/26/36 (e) (i)		2,491
	1,879	Series 2012-RR3, Class 2A5, VAR, 4.930%, 05/26/37 (e)		1,855
		Bear Stearns ARM Trust,
	258	Series 2003-7, Class 3A, VAR, 2.730%, 10/25/33		260
	895	Series 2004-1, Class 12A1, VAR, 2.960%, 04/25/34		882
	324	Series 2004-2, Class 14A, VAR, 5.083%, 05/25/34		331
	2,225	Series 2005-5, Class A1, VAR, 2.240%, 08/25/35		2,239
	4,866	Series 2006-1, Class A1, VAR, 2.370%, 02/25/36		4,750
		CHL Mortgage Pass-Through Trust,
	1,280	Series 2003-26, Class 1A6, 3.500%, 08/25/33		1,279
	372	Series 2003-44, Class A9, PO, 10/25/33		369
	466	Series 2003-J7, Class 4A3, IF, 9.512%, 08/25/18		490
	685	Series 2004-7, Class 2A1, VAR, 2.987%, 06/25/34		674
	608	Series 2004-8, Class 2A1, 4.500%, 06/25/19		629
	263	Series 2004-HYB1, Class 2A, VAR, 2.830%, 05/20/34		258
	1,003	Series 2004-HYB3, Class 2A, VAR, 2.828%, 06/20/34		929
	814	Series 2004-HYB6, Class A3, VAR, 2.932%, 11/20/34		768
	460	Series 2004-J8, Class 1A2, 4.750%, 11/25/19		472
	2,785	Series 2005-16, Class A23, 5.500%, 09/25/35		2,787
	4,289	Series 2005-22, Class 2A1, VAR, 3.010%, 11/25/35		3,549
		Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust,
	217	Series 2005-5, Class APO, PO, 08/25/35		201


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	265	Series 2005-8, Class APO, PO, 11/25/35		209
		Citicorp Mortgage Securities, Inc.,
	899	Series 2004-1, Class 3A1, 4.750%, 01/25/34		912
	589	Series 2004-5, Class 2A5, 4.500%, 08/25/34		609
		Citigroup Mortgage Loan Trust,
	1,716	Series 2008-AR4, Class 1A1A, VAR, 2.948%, 11/25/38 (e)		1,740
	807	Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e)		848
	8,885	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		9,222
	9,491	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		10,047
	511	Series 2011-3, Class 1A1, VAR, 0.282%, 02/25/47 (e)		507
	615	Series 2011-10, Class 4A1, VAR, 0.394%, 02/25/46 (e) (i)		588
		Citigroup Mortgage Loan Trust, Inc.,
	530	Series 2003-1, Class 2A5, 5.250%, 10/25/33		541
	274	Series 2003-1, Class 2A6, PO, 10/25/33		240
	224	Series 2003-1, Class PO2, PO, 10/25/33		210
	166	Series 2003-1, Class PO3, PO, 09/25/33		141
	122	Series 2003-UP3, Class A3, 7.000%, 09/25/33		127
	502	Series 2003-UST1, Class A1, 5.500%, 12/25/18		524
	91	Series 2003-UST1, Class PO1, PO, 12/25/18		86
	56	Series 2003-UST1, Class PO3, PO, 12/25/18		51
	240	Series 2004-UST1, Class A6, VAR, 5.070%, 08/25/34		242
	485	Series 2005-1, Class 2A1A, VAR, 2.853%, 04/25/35		346
	699	Series 2005-2, Class 2A11, 5.500%, 05/25/35		717
	582	Series 2005-5, Class 1A2, VAR, 4.310%, 08/25/35		393
	591	Series 2012-A, Class A, 2.500%, 06/25/51 (e) (i)		585
		Credit Suisse First Boston Mortgage Securities Corp.,
	738	Series 2003-1, Class DB1, 6.564%, 02/25/33		770
	184	Series 2003-17, Class 2A1, 5.000%, 07/25/18		188


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	541	Series 2003-21, Class 1A4, 5.250%, 09/25/33		564
	687	Series 2003-25, Class 1P, PO, 10/25/33		594
	74	Series 2004-5, Class 5P, PO, 08/25/19		69
	1,973	Series 2005-4, Class 3A18, 5.500%, 06/25/35		1,989
	2,044	Series 2005-4, Class 3A22, 5.500%, 06/25/35		2,081
	2,196	Series 2005-4, Class 3A23, 5.500%, 06/25/35		2,163
		CSMC,
	627	Series 2010-16, Class A3, VAR, 3.897%, 06/25/50 (e)		612
	469	Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e)		469
	10,950	Series 2010-11R, Class A6, VAR, 1.203%, 06/28/47 (e)		10,340
	504	Series 2010-12R, Class 14A1, VAR, 2.865%, 09/26/46 (e)		503
	50	Series 2010-15R, Class 7A1, VAR, 1.432%, 10/26/37 (e)		49
	250	Series 2010-15R, Class 7A2, VAR, 1.432%, 10/26/37 (e)		245
	3,264	Series 2011-1R, Class A1, VAR, 1.203%, 02/27/47 (e)		3,248
	1,175	Series 2011-6R, Class 3A1, VAR, 2.963%, 07/28/36 (e)		1,138
	3,924	Series 2011-7R, Class A1, VAR, 1.453%, 08/28/47 (e)		3,896
	2,141	Series 2011-9R, Class A1, VAR, 2.203%, 03/27/46 (e)		2,153
	3,126	Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)		3,199
	1,551	Series 2012-3R, Class 1A1, VAR, 3.250%, 07/27/37 (e)		1,562
		Deutsche Mortgage Securities, Inc., Mortgage Loan Resecuritization Trust,
	451	Series 2009-RS2, Class 4A1, VAR, 0.334%, 04/26/37 (e)		440
	42	Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e)		42
	129	Deutsche Mortgage Securities, Inc., REMIC Trust, Series 2010-RS2, Class A1, VAR, 1.454%, 06/28/47 (e)		129
	10	First Boston Mortgage Securities Corp. 1987 STRIPS, Series C, Class PO, PO, 04/25/17		10
		First Horizon Alternative Mortgage Securities Trust,
	1,275	Series 2004-AA4, Class A1, VAR, 2.594%, 10/25/34		1,226


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	2,179	Series 2005-FA8, Class 1A19, 5.500%, 11/25/35		2,003
	3,376	Series 2007-FA4, Class 1A2, IF, IO, 5.448%, 08/25/37		619
		First Horizon Mortgage Pass-Through Trust,
	3,296	Series 2003-9, Class 1A6, 5.500%, 11/25/33		3,419
	1,003	Series 2004-AR2, Class 2A1, VAR, 2.626%, 05/25/34		994
	1,804	Series 2005-AR1, Class 2A2, VAR, 2.692%, 04/25/35		1,809
	1,238	Freedom Trust, Series 2011-4, Class A18, VAR, 4.003%, 03/25/37 (e)		1,249
		GMACM Mortgage Loan Trust,
	907	Series 2003-AR1, Class A4, VAR, 3.392%, 10/19/33		932
	471	Series 2004-J5, Class A7, 6.500%, 01/25/35		500
	217	Series 2004-J6, Class 1A1, 5.000%, 01/25/20		223
	178	Series 2005-AR3, Class 3A3, VAR, 3.559%, 06/19/35		179
	5,565	Series 2005-AR3, Class 3A4, VAR, 3.559%, 06/19/35		5,418
		GSMPS Mortgage Loan Trust,
	1,094	Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e)		1,151
	1,607	Series 2005-RP3, Class 1AF, VAR, 0.552%, 09/25/35 (e)		1,383
	1,214	Series 2005-RP3, Class 1AS, IO, VAR, 4.975%, 09/25/35 (e)		205
	5,304	Series 2006-RP2, Class 1AS2, IF, IO, 5.046%, 04/25/36 (e)		834
		GSR Mortgage Loan Trust,
	985	Series 2004-6F, Class 3A4, 6.500%, 05/25/34		1,049
	1,209	Series 2004-8F, Class 2A3, 6.000%, 09/25/34		1,265
	599	Series 2004-13F, Class 3A3, 6.000%, 11/25/34		592
	411	Series 2005-4F, Class AP, PO, 05/25/35		380
	4,546	Series 2005-7F, Class 3A9, 6.000%, 09/25/35		4,622
	4,762	Series 2006-1F, Class 2A4, 6.000%, 02/25/36		4,608
	4,507	Series 2007-1F, Class 2A4, 5.500%, 01/25/37		4,618
	476	Impac CMB Trust, Series 2005-4, Class 2A1, VAR, 0.502%, 05/25/35		470


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		Impac Secured Assets Trust,
	885	Series 2006-1, Class 2A1, VAR, 0.552%, 05/25/36		874
	1,264	Series 2006-2, Class 2A1, VAR, 0.552%, 08/25/36		1,222
	18,963	IndyMac INDX Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 08/25/35		3
		JP Morgan Mortgage Trust,
	2,082	Series 2006-A2, Class 4A1, VAR, 3.011%, 08/25/34		2,111
	2,764	Series 2006-A2, Class 5A3, VAR, 2.903%, 11/25/33		2,817
	511	Series 2006-A3, Class 6A1, VAR, 2.993%, 08/25/34		504
	780	JP Morgan Resecuritization Trust, Series 2009-6, Class 4A1, VAR, 5.462%, 09/26/36 (e)		769
		Lehman Mortgage Trust,
	920	Series 2006-2, Class 1A1, VAR, 6.377%, 04/25/36		877
	1,735	Series 2008-2, Class 1A6, 6.000%, 03/25/38		1,741
		LVII Resecuritization Trust,
	207	Series 2009-2, Class A5, VAR, 3.000%, 09/27/37 (e)		209
	1,000	Series 2009-3, Class M3, VAR, 5.121%, 11/27/37 (e)		1,064
		MASTR Adjustable Rate Mortgages Trust,
	94	Series 2004-4, Class 2A1, VAR, 2.125%, 05/25/34		82
	1,195	Series 2004-13, Class 2A1, VAR, 2.671%, 04/21/34		1,241
	258	Series 2004-13, Class 3A6, VAR, 2.629%, 11/21/34		258
	2,800	Series 2004-13, Class 3A7, VAR, 2.629%, 11/21/34		2,932
	410	Series 2004-15, Class 3A1, VAR, 3.287%, 12/25/34		396
		MASTR Alternative Loan Trust,
	246	Series 2003-3, Class 1A1, 6.500%, 05/25/33		257
	841	Series 2003-9, Class 8A1, 6.000%, 01/25/34		859
	812	Series 2004-3, Class 2A1, 6.250%, 04/25/34		830
	1,351	Series 2004-4, Class 10A1, 5.000%, 05/25/24		1,404
	581	Series 2004-6, Class 30PO, PO, 07/25/34		509


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	851	Series 2004-6, Class 7A1, 6.000%, 07/25/34		864
	444	Series 2004-7, Class 30PO, PO, 08/25/34		334
	1,774	Series 2004-8, Class 6A1, 5.500%, 09/25/19		1,866
	313	Series 2004-10, Class 1A1, 4.500%, 09/25/19		321
		MASTR Asset Securitization Trust,
	123	Series 2003-2, Class 2A1, 4.500%, 03/25/18		125
	25	Series 2003-3, Class 4A1, 5.000%, 04/25/18		26
	162	Series 2003-4, Class 3A2, 5.000%, 05/25/18		167
	181	Series 2003-12, Class 30PO, PO, 12/25/33		168
	128	Series 2004-1, Class 30PO, PO, 02/25/34		106
	69	Series 2004-4, Class 3A1, 4.500%, 04/25/19		71
	92	Series 2004-6, Class 15PO, PO, 07/25/19		86
	120	Series 2004-8, Class 1A1, 4.750%, 08/25/19		123
	62	Series 2004-8, Class PO, PO, 08/25/19		56
	920	Series 2006-2, Class 1A30, 6.000%, 06/25/36		904
	3,217	MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.552%, 05/25/35 (e)		2,690
	1,957	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		1,566
	1,103	Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A1, VAR, 2.388%, 12/25/34		1,118
	58	ML Trust XLVII, Series 47, Class Z, 8.985%, 10/20/20		64
	763	MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.522%, 02/25/35		729
	594	NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		600
		Nomura Asset Acceptance Corp. Alternative Loan Trust,
	279	Series 2003-A1, Class A1, 5.500%, 05/25/33		284
	127	Series 2003-A1, Class A2, 6.000%, 05/25/33		134
	62	Series 2003-A1, Class A5, 7.000%, 04/25/33		65
	9	Series 2003-A1, Class A7, 5.000%, 04/25/18		9


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		PaineWebber CMO Trust,
	2	Series H, Class 4, 8.750%, 04/01/18		2
	11	Series P, Class 4, 8.500%, 08/01/19		12
	519	Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.832%, 05/25/35		528
		RALI Trust,
	162	Series 2002-QS16, Class A3, IF, 16.201%, 10/25/17		182
	535	Series 2002-QS8, Class A5, 6.250%, 06/25/17		549
	5,822	Series 2003-QR19, Class CB4, 5.750%, 10/25/33		6,015
	1,054	Series 2003-QS12, Class A2A, IF, IO, 7.398%, 06/25/18		125
	321	Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18		27
	2,123	Series 2003-QS14, Class A1, 5.000%, 07/25/18		2,169
	690	Series 2003-QS18, Class A1, 5.000%, 09/25/18		711
	2,003	Series 2003-QS19, Class A1, 5.750%, 10/25/33		2,083
	434	Series 2003-QS3, Class A2, IF, 16.056%, 02/25/18		480
	320	Series 2003-QS3, Class A8, IF, IO, 7.398%, 02/25/18		22
	1,123	Series 2003-QS9, Class A3, IF, IO, 7.348%, 05/25/18		148
	2,665	Series 2004-QA6, Class NB2, VAR, 3.258%, 12/26/34		2,312
	14	Series 2004-QS8, Class A2, 5.000%, 06/25/34		14
		RBSSP Resecuritization Trust,
	640	Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e)		672
	684	Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e)		695
	987	Series 2009-9, Class 7A4, VAR, 6.000%, 07/26/37 (e)		1,004
	481	Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e)		495
	1,529	Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e)		1,622
	1,337	Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e)		1,379
	543	Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e)		547


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
		Residential Asset Securitization Trust,
	522	Series 2003-A13, Class A3, 5.500%, 01/25/34		523
	49	Series 2003-A14, Class A1, 4.750%, 02/25/19		50
	3,620	Series 2005-A2, Class A4, IF, IO, 4.848%, 03/25/35		664
	1,037	Series 2006-A4, Class 2A5, 6.000%, 05/25/36		880
		RFMSI Trust,
	1,130	Series 2003-S13, Class A3, 5.500%, 06/25/33		1,155
	202	Series 2003-S14, Class A4, PO, 07/25/18		192
	377	Series 2004-S3, Class A1, 4.750%, 03/25/19		387
	882	Series 2004-S6, Class 2A6, PO, 06/25/34		761
	173	Series 2004-S9, Class 2A1, 4.750%, 12/25/19		176
	899	Series 2005-SA4, Class 1A1, VAR, 3.145%, 09/25/35		778
	35	RFSC Trust, Series 2003-RM2, Class AP-3, PO, 05/25/33		29
		Salomon Brothers Mortgage Securities VII, Inc.,
	454	Series 2003-HYB1, Class A, VAR, 3.098%, 09/25/33		460
	67	Series 2003-UP2, Class PO1, PO, 12/25/18		61
		Springleaf Mortgage Loan Trust,
	2,284	Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e)		2,366
	2,100	Series 2011-1A, Class A2, VAR, 5.450%, 01/25/58 (e)		2,210
	893	Series 2012-1A, Class A, VAR, 2.667%, 09/25/57 (e)		903
	1,600	Series 2012-1A, Class M3, VAR, 6.000%, 09/25/57 (e)		1,665
	3,697	Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e)		3,741
	2,000	Series 2012-2A, Class M4, VAR, 6.000%, 10/25/57 (e)		2,060
	4,436	Series 2012-3A, Class A, VAR, 1.570%, 12/25/59 (e)		4,458
	1,130	Series 2012-3A, Class M1, VAR, 2.660%, 12/25/59 (e)		1,135
	589	Series 2012-3A, Class M2, VAR, 3.560%, 12/25/59 (e)		590
	455	Series 2012-3A, Class M3, VAR, 4.440%, 12/25/59 (e)		456
	267	Series 2012-3A, Class M4, VAR, 5.300%, 12/25/59 (e)		272


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	2,826	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.899%, 06/25/34		2,906
	936	Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1, VAR, 0.862%, 10/19/34		928
		Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
	63	Series 2002-10H, Class 1AP, PO, 05/25/32		51
	79	Series 2003-8, Class 1A2, 5.000%, 04/25/18		80
	1,242	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		1,256
	2,207	Series 2004-5H, Class A4, 5.540%, 12/25/33		2,282
		Structured Asset Securities Corp. Trust,
	334	Series 2005-6, Class 4A1, 5.000%, 05/25/35		338
	505	Series 2005-10, Class 5A9, 5.250%, 12/25/34		495
	741	Thornburg Mortgage Securities Trust, Series 2003-4, Class A1, VAR, 0.842%, 09/25/43		737
		Vericrest Opportunity Loan Transferee,
	2,264	Series 2012-NL2A, Class A1, 2.487%, 02/26/52 (e) (i)		2,271
	4,431	Series 2012-NL3A, Class A, VAR, 2.734%, 11/25/60 (e)		4,451
	2,365	Series 2013-1A, Class A, VAR, 3.105%, 11/25/50 (e) (i)		2,365
		Vericrest Opportunity Loan Trust,
	36	Series 2012-NL1A, Class A1, VAR, 4.213%, 03/25/49 (e) (i)		36
	308	Series 2012-NL1A, Class A2, VAR, 8.112%, 03/25/49 (e) (i)		311
		WaMu Mortgage Pass-Through Certificates,
	235	Series 2003-AR8, Class A, VAR, 2.460%, 08/25/33		241
	3,834	Series 2003-AR9, Class 1A6, VAR, 2.434%, 09/25/33		3,912
	581	Series 2003-AR9, Class 2A, VAR, 2.553%, 09/25/33		592
	464	Series 2003-S8, Class A6, 4.500%, 09/25/18		471
	2,224	Series 2003-S9, Class A8, 5.250%, 10/25/33		2,332
	211	Series 2003-S9, Class P, PO, 10/25/33		197
	316	Series 2004-AR3, Class A1, VAR, 2.565%, 06/25/34		321


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	265	Series 2004-AR3, Class A2, VAR, 2.565%, 06/25/34		269
	2,660	Series 2004-RS2, Class A4, 5.000%, 11/25/33		2,657
	416	Series 2006-AR10, Class 2P, VAR, 09/25/36		257
	278	Series 2006-AR12, Class 2P, VAR, 10/25/36		169
		Washington Mutual Mortgage Pass-Through Certificates WMALT,
	11,835	Series 2005-2, Class 1A4, IF, IO, 4.848%, 04/25/35		2,100
	2,497	Series 2005-2, Class 2A3, IF, IO, 4.798%, 04/25/35		404
	3,090	Series 2005-3, Class CX, IO, 5.500%, 05/25/35		844
	3,616	Series 2005-4, Class CB7, 5.500%, 06/25/35		3,506
	3,075	Series 2005-4, Class CX, IO, 5.500%, 06/25/35		822
	952	Series 2005-6, Class 2A4, 5.500%, 08/25/35		900
	5,951	Series 2005-6, Class 2A9, 5.500%, 08/25/35		5,483
	2,058	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		2,090
		Wells Fargo Mortgage-Backed Securities Trust,
	530	Series 2003-13, Class A7, 4.500%, 11/25/18		539
	520	Series 2003-15, Class 1A1, 4.750%, 12/25/18		536
	100	Series 2003-15, Class APO, PO, 12/25/18		93
	458	Series 2003-16, Class 2A1, 4.500%, 12/25/18		469
	389	Series 2003-K, Class 1A1, VAR, 4.430%, 11/25/33		398
	735	Series 2003-K, Class 1A2, VAR, 4.430%, 11/25/33		757
	186	Series 2004-2, Class APO, PO, 02/25/19		173
	245	Series 2004-7, Class 2A1, 4.500%, 07/25/19		251
	243	Series 2004-7, Class 2A2, 5.000%, 07/25/19		251
	691	Series 2004-BB, Class A4, VAR, 2.625%, 01/25/35		696
	834	Series 2004-EE, Class 2A1, VAR, 2.626%, 12/25/34		861
	876	Series 2004-EE, Class 3A1, VAR, 3.048%, 12/25/34		908


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	4,151	Series 2004-P, Class 2A1, VAR, 2.616%, 09/25/34		4,198
	857	Series 2004-V, Class 1A1, VAR, 2.654%, 10/25/34		877
	507	Series 2005-1, Class 2A1, 5.000%, 01/25/20		533
	138	Series 2005-13, Class APO, PO, 11/25/20		130
	508	Series 2005-16, Class APO, PO, 01/25/36		398
	528	Series 2005-AR16, Class 2A1, VAR, 2.713%, 02/25/34		522
	795	Series 2005-AR8, Class 2A1, VAR, 2.748%, 06/25/35		815
	994	Series 2006-2, Class APO, PO, 03/25/36		570
	476	Series 2006-4, Class 1APO, PO, 04/25/36		361
	2,232	Series 2007-7, Class A7, 6.000%, 06/25/37		2,244
	615	Series 2007-11, Class A14, 6.000%, 08/25/37		626

				389,649

		Total Collateralized Mortgage Obligations (Cost $1,013,517)		1,105,231

	Commercial Mortgage-Backed Securities — 2.8%
	2,406	A10 Securitization LLC, Series 2012-1, Class A, 3.492%, 04/15/24 (e)		2,443
	560	BAMLL Commercial Mortgage Securities Trust, Series 2012-PARK, Class A, 2.959%, 12/10/30 (e)		566
		Banc of America Commercial Mortgage Trust,
	365	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		406
	2,270	Series 2006-4, Class A4, 5.634%, 07/10/46		2,567
	915	Series 2006-5, Class A4, 5.414%, 09/10/47		1,030
		Banc of America Merrill Lynch Commercial Mortgage, Inc.,
	400	Series 2005-3, Class A4, 4.668%, 07/10/43		431
	1,610	Series 2005-3, Class AM, 4.727%, 07/10/43		1,717
	2,435	Series 2005-6, Class ASB, VAR, 5.187%, 09/10/47		2,491
		BB-UBS Trust,
	1,000	Series 2012-SHOW, Class A, 3.430%, 11/05/36 (e)		1,009
	2,500	Series 2012-TFT, Class A, 2.892%, 06/05/30 (e)		2,527


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Bear Stearns Commercial Mortgage Securities Trust,
	42,492	Series 2005-PWR8, Class X1, IO, VAR, 0.242%, 06/11/41 (e)		565
	878	Series 2005-PWR9, Class AAB, 4.804%, 09/11/42		910
	3,148	Series 2006-PW11, Class A4, VAR, 5.454%, 03/11/39		3,517
	99,580	CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.144%, 12/11/49 (e)		773
	1,250	Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43		1,340
		COBALT CMBS Commercial Mortgage Trust,
	605	Series 2006-C1, Class A4, 5.223%, 08/15/48		676
	25,530	Series 2006-C1, Class IO, IO, VAR, 0.742%, 08/15/48		557
		COMM Mortgage Trust,
	1,100	Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43		1,184
	3,057	Series 2012-CR2, Class XA, IO, VAR, 1.968%, 08/15/45		391
		Commercial Mortgage Pass-Through Certificates,
	700	Series 2006-C2, Class A3, VAR, 5.686%, 03/15/39		781
	336	Series 2012-MVP, Class A, VAR, 2.142%, 11/17/26 (e)		341
		Commercial Mortgage Trust,
	500	Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42		530
	300	Series 2006-GG7, Class AM, VAR, 5.862%, 07/10/38		336
		DBRR Trust,
	746	Series 2012-EZ1, Class A, 0.946%, 09/25/45 (e)		748
	2,647	Series 2013-EZ2, Class A, VAR, 0.853%, 02/25/43 (e)		2,647
	2,142	FDIC Guaranteed Notes Trust, Series 2010-C1, Class A, 2.980%, 12/06/20 (e)		2,239
	2,293	Fontainebleau Miami Beach Trust, Series 2012-FBLU, Class A, 2.887%, 05/05/27 (e)		2,349
	1,866	GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48		1,981
	4,265	GMAC Commercial Mortgage Securities, Inc. Trust, Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		4,642


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Commercial Mortgage-Backed Securities — Continued
	1,472	GS Mortgage Securities Corp., 2.706%, 12/10/27		1,523
	1,850	GS Mortgage Securities Corp. II Commercial Mortgage Pass-Through Certificates, Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38		1,938
	850	GS Mortgage Securities Trust, Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38		943
	1,000	GSMS Trust, Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e)		1,134
	1,000	JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB11, Class AJ, VAR, 5.363%, 08/12/37		1,078
	400	JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class AMS, 5.337%, 05/15/47		414
		LB-UBS Commercial Mortgage Trust,
	1,000	Series 2006-C1, Class A4, 5.156%, 02/15/31		1,103
	44,589	Series 2006-C7, Class XW, IO, VAR, 0.655%, 11/15/38 (e)		956
	300	Series 2007-C1, Class AM, 5.455%, 02/15/40		338
	1,000	Series 2007-C2, Class A3, 5.430%, 02/15/40		1,130
		Merrill Lynch Mortgage Trust,
	3,105	Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44		3,422
	1,442	Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43		1,444
		ML-CFC Commercial Mortgage Trust,
	3,207	Series 2006-1, Class A4, VAR, 5.482%, 02/12/39		3,577
	29,769	Series 2006-4, Class XC, IO, VAR, 0.203%, 12/12/49 (e)		360
		Morgan Stanley Capital I Trust,
	38,173	Series 2006-IQ12, Class X1, IO, VAR, 0.163%, 12/15/43 (e)		531
	79,369	Series 2007-HQ11, Class X, IO, VAR, 0.235%, 02/12/44 (e)		493
	764	Series 2011-C3, Class A3, 4.054%, 07/15/49		853
		Morgan Stanley Re-REMIC Trust,
	2,858	Series 2009-IO, Class A2, 5.000%, 07/17/56 (e)		2,891
	136	Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e)		136
	3,100	Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		3,207
	3,426	Series 2011-IO, Class A, 2.500%, 03/23/51 (e)		3,455


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	1,632	Series 2012-IO, Class AXA, 1.000%, 03/29/51		1,614
	6,812	Series 2012-XA, Class A, 2.000%, 07/27/49 (e)		6,897
	1,500	Series 2012-XA, Class B, 0.250%, 07/27/49 (e)		1,245
	2,293	NorthStar Mortgage Trust, Series 2012-1, Class A, VAR, 1.402%, 08/25/29 (e)		2,291
	664	RBSCF Trust, Series 2013-SMV, Class A, 3.260%, 03/11/31		685
	2,111	RCMC LLC, Series 2012-CRE1, Class A, 5.623%, 11/15/44 (e)		2,113
	4,930	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.540%, 08/15/39		5,184
	2,236	UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e)		2,338
		UBS-Barclays Commercial Mortgage Trust,
	1,053	Series 2012-C2, Class A4, 3.525%, 05/10/63		1,120
	10,532	Series 2012-C2, Class XA, IO, VAR, 1.821%, 05/10/63 (e)		1,105
	1,398	VNO Mortgage Trust, Series 2012-6AVE, Class A, 2.996%, 11/15/30 (e)		1,413
	2,948	Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e)		2,967
		WFRBS Commercial Mortgage Trust,
	1,700	Series 2011-C3, Class A4, 4.375%, 03/15/44 (e)		1,920
	800	Series 2012-C6, Class A4, 3.440%, 04/15/45		853

		Total Commercial Mortgage-Backed Securities (Cost $98,912)		104,365

	Corporate Bonds — 19.5%
		Consumer Discretionary — 1.5%
		Auto Components — 0.1%
		Johnson Controls, Inc.,
	591	3.750%, 12/01/21		624
	675	4.250%, 03/01/21		739
	1,000	5.250%, 12/01/41		1,101

				2,464

		Automobiles — 0.1%
		Daimler Finance North America LLC,
	421	1.650%, 04/10/15 (e)		426
	532	1.875%, 01/11/18 (e)		535
	739	2.625%, 09/15/16 (e)		770
	1,425	2.950%, 01/11/17 (e)		1,491
	1,000	6.500%, 11/15/13		1,040


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Automobiles — Continued
	331	Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e)		333

				4,595

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

		Household Durables — 0.0% (g)
	505	Newell Rubbermaid, Inc., 4.700%, 08/15/20		560

		Media — 1.0%
		CBS Corp.,
	140	5.500%, 05/15/33		150
	252	5.750%, 04/15/20		296
	150	7.875%, 09/01/23		198
	1,000	7.875%, 07/30/30		1,344
	190	8.875%, 05/15/19		255
	250	Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22		379
	624	Comcast Cable Communications LLC, 7.125%, 06/15/13		635
		Comcast Corp.,
	1,082	4.250%, 01/15/33		1,097
	2,885	5.900%, 03/15/16		3,304
	400	6.450%, 03/15/37		513
	1,355	6.500%, 11/15/35		1,740
		COX Communications, Inc.,
	446	3.250%, 12/15/22 (e)		448
	162	5.450%, 12/15/14		176
	125	8.375%, 03/01/39 (e)		185
	450	Cox Enterprises, Inc., 7.375%, 07/15/27 (e)		578
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	400	3.800%, 03/15/22		402
	1,000	4.600%, 02/15/21		1,073
	772	5.000%, 03/01/21		843
	2,000	6.000%, 08/15/40		2,086
		Discovery Communications LLC,
	1,016	4.375%, 06/15/21		1,119
	319	4.950%, 05/15/42		330
	1,177	Historic TW, Inc., 9.150%, 02/01/23		1,703
		NBCUniversal Media LLC,
	300	4.375%, 04/01/21		338
	800	5.950%, 04/01/41		988
	515	6.400%, 04/30/40		662
		News America, Inc.,
	100	6.200%, 12/15/34		119


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Media — Continued
	400	6.650%, 11/15/37		498
	250	6.900%, 08/15/39		323
	1,075	7.300%, 04/30/28		1,333
	500	8.000%, 10/17/16		610
	415	8.875%, 04/26/23		567
		Thomson Reuters Corp., (Canada),
	1,278	3.950%, 09/30/21		1,365
	325	4.700%, 10/15/19		372
	493	5.950%, 07/15/13		503
		Time Warner Cable, Inc.,
	359	5.500%, 09/01/41		376
	2,127	5.850%, 05/01/17		2,474
	400	6.550%, 05/01/37		463
	800	8.250%, 04/01/19		1,039
		Time Warner Entertainment Co. LP,
	120	8.375%, 03/15/23		165
	1,250	8.375%, 07/15/33		1,753
		Time Warner, Inc.,
	525	4.750%, 03/29/21		592
	313	5.375%, 10/15/41		337
	150	6.200%, 03/15/40		178
	172	6.250%, 03/29/41		206
	265	6.500%, 11/15/36		319
	250	7.625%, 04/15/31		339
	171	7.700%, 05/01/32		235
		Viacom, Inc.,
	208	1.250%, 02/27/15		210
	500	3.125%, 06/15/22		501
	808	3.875%, 12/15/21		866
	464	4.375%, 03/15/43 (e)		432
	100	4.500%, 03/01/21		112
	250	4.500%, 02/27/42		238
	333	Walt Disney Co. (The), 0.450%, 12/01/15		332

				37,699

		Multiline Retail — 0.1%
		Kohl’s Corp.,
	400	4.000%, 11/01/21		408
	275	6.250%, 12/15/17		318
		Macy’s Retail Holdings, Inc.,
	516	2.875%, 02/15/23		496
	157	5.125%, 01/15/42		162
	200	7.450%, 07/15/17		247
	455	Nordstrom, Inc., 4.000%, 10/15/21		504
		Target Corp.,
	200	6.000%, 01/15/18		244


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Multiline Retail — Continued
	800	7.000%, 01/15/38		1,141

				3,520

		Specialty Retail — 0.2%
	533	Gap, Inc. (The), 5.950%, 04/12/21		603
	1,765	Home Depot, Inc. (The), 5.400%, 03/01/16		2,004
		Lowe’s Cos., Inc.,
	739	4.650%, 04/15/42		775
	326	5.125%, 11/15/41		364
	750	7.110%, 05/15/37		1,017

				4,763

		Total Consumer Discretionary		54,001

		Consumer Staples — 1.0%
		Beverages — 0.3%
		Anheuser-Busch Cos. LLC,
	600	5.500%, 01/15/18		717
	905	5.750%, 04/01/36		1,111
		Anheuser-Busch InBev Worldwide, Inc.,
	114	1.500%, 07/14/14		116
	515	7.750%, 01/15/19		681
		Coca-Cola Co. (The),
	500	3.625%, 03/15/14		516
	410	4.875%, 03/15/19		486
		Diageo Capital plc, (United Kingdom),
	264	1.500%, 05/11/17		267
	510	4.828%, 07/15/20		597
		Diageo Finance B.V., (Netherlands),
	800	5.300%, 10/28/15		895
	530	5.500%, 04/01/13		532
	255	Diageo Investment Corp., 8.000%, 09/15/22		360
	890	FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e)		973
	355	Heineken N.V., (Netherlands), 1.400%, 10/01/17 (e)		354
		PepsiCo, Inc.,
	150	0.800%, 08/25/14		151
	287	1.250%, 08/13/17		288
	368	3.000%, 08/25/21		384
	54	7.900%, 11/01/18		72
	500	VAR, 0.497%, 02/26/16		500
		SABMiller Holdings, Inc.,
	574	1.850%, 01/15/15 (e)		584
	698	3.750%, 01/15/22 (e)		746
		SABMiller plc, (United Kingdom),
	700	5.700%, 01/15/14 (e)		731


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Beverages — Continued
	250	6.500%, 07/01/16 (e)		291

				11,352

		Food & Staples Retailing — 0.3%
		CVS Caremark Corp.,
	979	5.750%, 05/15/41		1,194
	250	6.125%, 09/15/39		315
	1,083	CVS Pass-Through Trust, 5.926%, 01/10/34 (e)		1,280
		Kroger Co. (The),
	1,100	5.000%, 04/15/42		1,120
	850	7.500%, 01/15/14		900
	2,460	7.500%, 04/01/31		3,135
	1,031	Walgreen Co., 3.100%, 09/15/22		1,035
		Wal-Mart Stores, Inc.,
	550	4.550%, 05/01/13		554
	752	5.250%, 09/01/35		891
	215	6.200%, 04/15/38		285
	350	7.550%, 02/15/30		508

				11,217

		Food Products — 0.4%
	200	Archer-Daniels-Midland Co., 5.935%, 10/01/32		247
		Bunge Ltd. Finance Corp.,
	165	5.875%, 05/15/13		167
	1,305	8.500%, 06/15/19		1,695
	191	Bunge N.A. Finance LP, 5.900%, 04/01/17		216
		Cargill, Inc.,
	600	3.300%, 03/01/22 (e)		610
	535	4.307%, 05/14/21 (e)		590
	850	7.350%, 03/06/19 (e)		1,092
		ConAgra Foods, Inc.,
	223	1.300%, 01/25/16		224
	286	2.100%, 03/15/18		290
		Kellogg Co.,
	365	1.750%, 05/17/17		372
	608	3.125%, 05/17/22		624
	477	4.250%, 03/06/13		477
		Kraft Foods Group, Inc.,
	814	3.500%, 06/06/22		852
	694	5.000%, 06/04/42		758
	1,187	6.125%, 08/23/18		1,451
	1,793	6.875%, 01/26/39		2,387
		Mondelez International, Inc.,
	378	6.125%, 02/01/18		456


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Food Products — Continued
	1,480	6.500%, 08/11/17		1,791

				14,299

		Household Products — 0.0% (g)
		Kimberly-Clark Corp.,
	220	2.400%, 03/01/22		221
	66	7.500%, 11/01/18		87
	110	Procter & Gamble Co. (The), 5.500%, 02/01/34		139

				447

		Personal Products — 0.0% (g)
	841	Procter & Gamble - ESOP, 9.360%, 01/01/21		1,117

		Total Consumer Staples		38,432

		Energy — 1.6%
		Energy Equipment & Services — 0.2%
	225	Cameron International Corp., 1.600%, 04/30/15		227
	1,605	Halliburton Co., 7.450%, 09/15/39		2,364
	188	National Oilwell Varco, Inc., 1.350%, 12/01/17		189
		Noble Holding International Ltd., (Cayman Islands),
	113	3.950%, 03/15/22		116
	83	5.250%, 03/15/42		84
	441	Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e)		468
		Transocean, Inc., (Cayman Islands),
	361	3.800%, 10/15/22		361
	256	6.375%, 12/15/21		302
	905	6.500%, 11/15/20		1,055
	198	7.350%, 12/15/41		247
	100	7.500%, 04/15/31		122
		Weatherford International Ltd., (Bermuda),
	311	4.500%, 04/15/22		321
	113	5.950%, 04/15/42		117
	110	6.500%, 08/01/36		120
	350	9.875%, 03/01/39		507

				6,600

		Oil, Gas & Consumable Fuels — 1.4%
	160	Alberta Energy Co., Ltd., (Canada), 7.375%, 11/01/31		199
		Anadarko Petroleum Corp.,
	125	5.750%, 06/15/14		132
	2,000	7.625%, 03/15/14		2,137
	265	8.700%, 03/15/19		355


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Oil, Gas & Consumable Fuels — Continued
		Apache Corp.,
	615	2.625%, 01/15/23		597
	190	3.250%, 04/15/22		197
	556	4.750%, 04/15/43		576
	500	6.900%, 09/15/18		629
	235	BG Energy Capital plc, (United Kingdom), 5.125%, 10/15/41 (e)		266
		BP Capital Markets plc, (United Kingdom),
	92	1.375%, 11/06/17		92
	929	1.846%, 05/05/17		951
	900	4.742%, 03/11/21		1,041
	2,122	5.250%, 11/07/13		2,192
		Canadian Natural Resources Ltd., (Canada),
	350	6.250%, 03/15/38		427
	1,000	6.750%, 02/01/39		1,293
		Cenovus Energy, Inc., (Canada),
	208	3.000%, 08/15/22		207
	490	4.450%, 09/15/42		486
	1,000	Chevron Corp., 4.950%, 03/03/19		1,196
	405	Conoco Funding Co., (Canada), 7.250%, 10/15/31		585
		ConocoPhillips,
	325	5.200%, 05/15/18		384
	450	5.750%, 02/01/19		551
	150	6.000%, 01/15/20		188
	200	6.500%, 02/01/39		275
	1,045	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		1,219
		Devon Energy Corp.,
	750	3.250%, 05/15/22		751
	522	4.750%, 05/15/42		517
	360	6.300%, 01/15/19		441
		Encana Corp., (Canada),
	545	6.500%, 05/15/19		668
	150	6.500%, 08/15/34		175
	925	Eni S.p.A., (Italy), 5.700%, 10/01/40 (e)		977
		EOG Resources, Inc.,
	379	2.625%, 03/15/23		376
	600	4.100%, 02/01/21		676
	180	Hess Corp., 7.875%, 10/01/29		232
		Kerr-McGee Corp.,
	200	6.950%, 07/01/24		248
	1,000	7.875%, 09/15/31		1,312
		Marathon Oil Corp.,
	888	5.900%, 03/15/18		1,061


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
	1,620	6.000%, 10/01/17		1,939
	402	Occidental Petroleum Corp., 1.750%, 02/15/17		413
		Petrobras International Finance Co.—Pifco, (Cayman Islands),
	1,020	5.375%, 01/27/21		1,114
	110	6.750%, 01/27/41		127
	175	7.875%, 03/15/19		214
		Petro-Canada, (Canada),
	324	6.050%, 05/15/18		391
	1,045	6.800%, 05/15/38		1,381
		Phillips 66,
	314	2.950%, 05/01/17		332
	182	4.300%, 04/01/22		201
		Shell International Finance B.V., (Netherlands),
	212	1.125%, 08/21/17		213
	270	1.875%, 03/25/13		270
	275	4.000%, 03/21/14		285
	1,020	4.300%, 09/22/19		1,181
	1,005	4.375%, 03/25/20		1,164
	1,280	6.375%, 12/15/38		1,769
		Spectra Energy Capital LLC,
	1,615	5.500%, 03/01/14		1,685
	500	6.200%, 04/15/18		606
	400	8.000%, 10/01/19		526
		Statoil ASA, (Norway),
	353	1.200%, 01/17/18		353
	406	2.450%, 01/17/23		399
	467	3.125%, 08/17/17		506
	300	3.150%, 01/23/22		317
	253	4.250%, 11/23/41		266
		Suncor Energy, Inc., (Canada),
	180	5.950%, 12/01/34		217
	250	6.850%, 06/01/39		335
		Talisman Energy, Inc., (Canada),
	1,125	5.500%, 05/15/42		1,179
	185	5.850%, 02/01/37		198
	190	6.250%, 02/01/38		213
	850	7.750%, 06/01/19		1,089
	400	Tosco Corp., 8.125%, 02/15/30		590
	124	Total Capital Canada Ltd., (Canada), VAR, 0.683%, 01/15/16		124
		Total Capital International S.A., (France),
	135	0.750%, 01/25/16		135
	262	1.500%, 02/17/17		267


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Oil, Gas & Consumable Fuels — Continued
	508	1.550%, 06/28/17		515
	233	2.875%, 02/17/22		241
		Total Capital S.A., (France),
	1,400	2.300%, 03/15/16		1,458
	370	4.125%, 01/28/21		417
		TransCanada PipeLines Ltd., (Canada),
	993	4.000%, 06/15/13		1,003
	550	6.200%, 10/15/37		704
	340	6.500%, 08/15/18		426
	1,100	7.250%, 08/15/38		1,543
	2,000	XTO Energy, Inc., 5.750%, 12/15/13		2,085

				52,000

		Total Energy		58,600

		Financials — 9.4%
		Capital Markets — 2.0%
		Bank of New York Mellon Corp. (The),
	357	1.200%, 02/20/15		362
	1,789	2.400%, 01/17/17		1,871
	900	2.950%, 06/18/15		948
	413	3.550%, 09/23/21		445
	750	4.600%, 01/15/20		861
	310	5.125%, 08/27/13		317
		BlackRock, Inc.,
	1,200	3.375%, 06/01/22		1,264
	540	3.500%, 12/10/14		568
	652	5.000%, 12/10/19		775
	385	6.250%, 09/15/17		468
		Blackstone Holdings Finance Co. LLC,
	1,940	5.875%, 03/15/21 (e)		2,235
	736	6.250%, 08/15/42 (e)		845
	260	Charles Schwab Corp. (The), 3.225%, 09/01/22		267
	755	Credit Suisse USA, Inc., 5.125%, 08/15/15		831
		Deutsche Bank AG, (Germany),
	650	3.250%, 01/11/16		690
	970	3.875%, 08/18/14		1,013
	355	6.000%, 09/01/17		424
	500	FMR LLC, 6.450%, 11/15/39 (e)		610
		Goldman Sachs Group, Inc. (The),
	400	3.300%, 05/03/15		418
	3,060	3.625%, 02/07/16		3,253
	492	3.700%, 08/01/15		520
	1,056	4.750%, 07/15/13		1,072
	2,658	5.150%, 01/15/14		2,759


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Capital Markets — Continued
	848	5.250%, 07/27/21		965
	1,366	5.375%, 03/15/20		1,570
	750	5.500%, 11/15/14		805
	800	5.750%, 01/24/22		939
	4,100	5.950%, 01/18/18		4,795
	949	6.000%, 06/15/20		1,132
	240	6.150%, 04/01/18		284
	340	6.250%, 09/01/17		401
	685	6.750%, 10/01/37		777
	2,570	7.500%, 02/15/19		3,249
		Jefferies Group, Inc.,
	450	3.875%, 11/09/15		470
	1,015	5.125%, 04/13/18		1,096
	1,000	6.450%, 06/08/27		1,080
	203	6.500%, 01/20/43		212
	780	8.500%, 07/15/19		973
		Macquarie Group Ltd., (Australia),
	1,200	6.000%, 01/14/20 (e)		1,312
	1,400	6.250%, 01/14/21 (e)		1,547
	750	7.300%, 08/01/14 (e)		804
	250	7.625%, 08/13/19 (e)		303
		Merrill Lynch & Co., Inc.,
	2,215	5.450%, 07/15/14		2,339
	1,702	6.150%, 04/25/13		1,716
	2,996	6.400%, 08/28/17		3,517
	1,564	6.875%, 04/25/18		1,896
		Morgan Stanley,
	179	1.750%, 02/25/16		180
	625	4.000%, 07/24/15		660
	893	4.200%, 11/20/14		936
	4,225	5.300%, 03/01/13		4,226
	1,000	5.450%, 01/09/17		1,119
	1,021	5.500%, 07/24/20		1,171
	380	5.500%, 07/28/21		436
	1,265	5.625%, 09/23/19		1,463
	360	5.750%, 01/25/21		417
	1,200	6.000%, 05/13/14		1,269
	400	6.625%, 04/01/18		476
	370	6.750%, 10/15/13		383
	970	7.300%, 05/13/19		1,203
		Nomura Holdings, Inc., (Japan),
	1,050	4.125%, 01/19/16		1,115
	150	5.000%, 03/04/15		160
	547	6.700%, 03/04/20		649
	226	Northern Trust Corp., 5.500%, 08/15/13		231


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Capital Markets — Continued
		UBS AG, (Switzerland),
	414	2.250%, 08/12/13		417
	1,337	3.875%, 01/15/15		1,422
	365	4.875%, 08/04/20		422
	244	5.750%, 04/25/18		290
	247	5.875%, 12/20/17		296

				73,939

		Commercial Banks — 2.9%
	550	ANZ New Zealand International Ltd., (New Zealand), 3.125%, 08/10/15 (e)		576
		Australia & New Zealand Banking Group Ltd., (Australia),
	1,268	2.400%, 11/23/16 (e)		1,334
	900	3.250%, 03/01/16 (e)		960
	228	4.875%, 01/12/21 (e)		265
	1,455	Bank of America N.A., 5.300%, 03/15/17		1,631
		Bank of Montreal, (Canada),
	741	1.300%, 10/31/14 (e)		752
	1,666	1.400%, 09/11/17		1,668
	1,106	2.550%, 11/06/22		1,084
		Bank of Nova Scotia, (Canada),
	1,034	1.650%, 10/29/15 (e)		1,063
	2,000	2.550%, 01/12/17		2,100
	737	3.400%, 01/22/15		775
		Bank of Tokyo-Mitsubishi UFJ Ltd. (The), (Japan),
	1,275	2.350%, 02/23/17 (e)		1,326
	679	3.850%, 01/22/15 (e)		717
		Barclays Bank plc, (United Kingdom),
	276	2.250%, 05/10/17 (e)		286
	800	2.500%, 09/21/15 (e)		831
	1,735	2.750%, 02/23/15		1,797
	310	Series 1, 5.000%, 09/22/16		349
	700	5.200%, 07/10/14		742
	1,000	6.050%, 12/04/17 (e)		1,119
		BB&T Corp.,
	655	3.375%, 09/25/13		666
	750	3.950%, 04/29/16		819
	740	4.900%, 06/30/17		831
	1,885	5.700%, 04/30/14		1,997
	370	6.850%, 04/30/19		475
	695	Branch Banking & Trust Co., 5.625%, 09/15/16		793
		Canadian Imperial Bank of Commerce, (Canada),
	226	0.900%, 10/01/15		227


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Commercial Banks — Continued
	4,000	2.600%, 07/02/15 (e)		4,189
	260	Comerica, Inc., 3.000%, 09/16/15		274
	1,080	Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e)		1,130
		Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., (Netherlands),
	143	2.125%, 10/13/15		148
	2,400	3.200%, 03/11/15 (e)		2,514
	455	3.375%, 01/19/17		490
	789	3.875%, 02/08/22		838
	500	5.800%, 09/30/10 (e)		572
		Credit Suisse, (Switzerland),
	500	5.000%, 05/15/13		505
	942	5.500%, 05/01/14		996
	2,011	DNB Boligkreditt A.S., (Norway), 2.100%, 10/14/15 (e)		2,082
	760	Fifth Third Bancorp, 5.450%, 01/15/17		857
		HSBC Bank plc, (United Kingdom),
	1,745	1.625%, 07/07/14 (e)		1,773
	1,438	3.100%, 05/24/16 (e)		1,527
	666	4.125%, 08/12/20 (e)		735
	575	4.750%, 01/19/21 (e)		659
		HSBC Holdings plc, (United Kingdom),
	500	4.000%, 03/30/22		538
	530	4.875%, 01/14/22		606
	556	5.100%, 04/05/21		648
	600	6.100%, 01/14/42		773
		ING Bank N.V., (Netherlands),
	500	1.370%, 03/07/16 (e)		499
	216	2.000%, 09/25/15 (e)		220
	1,445	3.750%, 03/07/17 (e)		1,549
	500	KeyCorp, 6.500%, 05/14/13		506
	2,847	Macquarie Bank Ltd., (Australia), 5.000%, 02/22/17 (e)		3,131
	2,100	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		2,554
		National Australia Bank Ltd., (Australia),
	1,500	2.000%, 06/20/17 (e)		1,553
	750	2.750%, 09/28/15 (e)		785
	1,000	3.000%, 07/27/16 (e)		1,059
	795	3.750%, 03/02/15 (e)		843
	1,353	National Bank of Canada, (Canada), 1.650%, 01/30/14 (e)		1,369
	250	National City Bank, 5.800%, 06/07/17		294
		Nordea Bank AB, (Sweden),
	600	1.750%, 10/04/13 (e)		604


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Commercial Banks — Continued
	1,800	3.125%, 03/20/17 (e)		1,910
	945	4.875%, 05/13/21 (e)		1,021
	837	Oversea-Chinese Banking Corp., Ltd., (Singapore), 1.625%, 03/13/15 (e)		850
	400	PNC Bank N.A., 6.875%, 04/01/18		498
		PNC Funding Corp.,
	659	3.300%, 03/08/22		681
	567	4.375%, 08/11/20		644
	940	5.250%, 11/15/15		1,048
	950	5.625%, 02/01/17		1,092
	595	6.700%, 06/10/19		757
	985	Royal Bank of Canada, (Canada), 1.200%, 09/19/17		987
	927	SpareBank 1 Boligkreditt A.S., (Norway), 1.750%, 11/15/19 (e)		915
	820	SunTrust Banks, Inc., 6.000%, 09/11/17		973
	1,411	Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16		1,507
		Toronto-Dominion Bank (The), (Canada),
	2,350	1.500%, 03/13/17 (e)		2,405
	1,140	2.200%, 07/29/15 (e)		1,184
		U.S. Bancorp,
	550	1.650%, 05/15/17		560
	675	2.450%, 07/27/15		707
	540	3.000%, 03/15/22		557
	566	4.125%, 05/24/21		634
	1,107	7.500%, 06/01/26		1,544
		Wachovia Bank N.A.,
	1,000	5.600%, 03/15/16		1,127
	250	6.000%, 11/15/17		300
	1,125	6.600%, 01/15/38		1,506
		Wachovia Corp.,
	695	4.875%, 02/15/14		724
	2,155	5.500%, 05/01/13		2,172
	4,780	5.750%, 02/01/18		5,704
		Wells Fargo & Co.,
	1,826	2.625%, 12/15/16		1,927
	850	3.500%, 03/08/22		897
	500	4.600%, 04/01/21		571
	2,350	5.625%, 12/11/17		2,790
	1,025	SUB, 3.676%, 06/15/16		1,112
		Wells Fargo Bank N.A.,
	1,515	4.750%, 02/09/15		1,625
	250	5.750%, 05/16/16		285
		Westpac Banking Corp., (Australia),
	900	4.200%, 02/27/15		963


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Commercial Banks — Continued
	2,141	4.875%, 11/19/19		2,512

				106,692

		Consumer Finance — 1.1%
	700	American Express Co., 7.000%, 03/19/18		877
		American Express Credit Corp.,
	361	2.375%, 03/24/17		377
	1,028	2.800%, 09/19/16		1,088
	1,150	5.125%, 08/25/14		1,225
	1,135	5.875%, 05/02/13		1,145
	400	7.300%, 08/20/13		413
		American Honda Finance Corp.,
	667	1.450%, 02/27/15 (e)		676
	363	1.500%, 09/11/17 (e)		366
	533	1.600%, 02/16/18 (e)		537
	565	2.125%, 02/28/17 (e)		584
	405	2.375%, 03/18/13 (e)		405
	1,599	2.600%, 09/20/16 (e)		1,681
	150	7.625%, 10/01/18 (e)		196
	1,650	Capital One Bank USA N.A., 3.375%, 02/15/23		1,660
		Capital One Financial Corp.,
	273	1.000%, 11/06/15		272
	1,165	6.750%, 09/15/17		1,414
	2,140	7.375%, 05/23/14		2,309
		Caterpillar Financial Services Corp.,
	402	2.850%, 06/01/22		410
	705	4.900%, 08/15/13		719
	560	5.500%, 03/15/16		636
	1,300	6.200%, 09/30/13		1,344
	305	7.050%, 10/01/18		392
	545	7.150%, 02/15/19		707
		Ford Motor Credit Co. LLC,
	1,253	3.000%, 06/12/17		1,285
	1,917	3.984%, 06/15/16		2,028
	561	4.207%, 04/15/16		597
	200	4.250%, 09/20/22		206
		HSBC Finance Corp.,
	1,000	4.750%, 07/15/13		1,015
	3,538	5.000%, 06/30/15		3,840
	2,200	5.250%, 01/15/14		2,286
	207	7.350%, 11/27/32		252
		HSBC USA, Inc.,
	800	1.625%, 01/16/18		803
	1,500	2.375%, 02/13/15		1,547


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Consumer Finance — Continued
		John Deere Capital Corp.,
	759	1.200%, 10/10/17		761
	335	1.700%, 01/15/20		330
	400	2.250%, 04/17/19		415
	233	3.150%, 10/15/21		245
	265	4.500%, 04/03/13		266
	663	PACCAR Financial Corp., 1.600%, 03/15/17		673
		Toyota Motor Credit Corp.,
	1,120	1.000%, 02/17/15		1,130
	2,480	2.000%, 09/15/16		2,572
	962	3.200%, 06/17/15		1,018

				40,702

		Diversified Financial Services — 1.8%
	1,221	Associates Corp. of North America, 6.950%, 11/01/18		1,495
		Bank of America Corp.,
	520	3.625%, 03/17/16		552
	150	4.900%, 05/01/13		151
	2,065	5.000%, 05/13/21		2,330
	2,720	5.625%, 10/14/16		3,073
	740	5.625%, 07/01/20		866
	645	5.650%, 05/01/18		749
	420	5.750%, 12/01/17		486
	400	5.875%, 01/05/21		475
	150	7.375%, 05/15/14		161
	600	7.625%, 06/01/19		765
	1,510	7.800%, 09/15/16		1,769
	725	Caisse Centrale Desjardins du Quebec, (Canada), 2.550%, 03/24/16 (e)		765
		Citigroup, Inc.,
	450	2.250%, 08/07/15		460
	423	3.375%, 03/01/23		427
	500	4.450%, 01/10/17		552
	433	4.500%, 01/14/22		482
	842	4.587%, 12/15/15		914
	856	4.700%, 05/29/15		918
	1,022	4.750%, 05/19/15		1,097
	3,127	5.000%, 09/15/14		3,289
	1,270	5.125%, 05/05/14		1,329
	1,225	5.375%, 08/09/20		1,438
	321	5.875%, 01/30/42		391
	120	6.000%, 12/13/13		125
	2,154	6.000%, 08/15/17		2,522
	780	6.010%, 01/15/15		847
	350	6.125%, 11/21/17		414


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Diversified Financial Services — Continued
	555	6.375%, 08/12/14		597
	600	6.500%, 08/19/13		616
	250	6.625%, 01/15/28		306
	400	8.125%, 07/15/39		594
	1,409	8.500%, 05/22/19		1,889
		CME Group, Inc.,
	1,155	3.000%, 09/15/22		1,168
	1,786	5.400%, 08/01/13		1,821
	1,500	5.750%, 02/15/14		1,572
		General Electric Capital Corp.,
	167	1.000%, 12/11/15		168
	1,100	1.625%, 07/02/15		1,120
	750	2.300%, 04/27/17		777
	2,000	3.150%, 09/07/22		2,002
	650	4.625%, 01/07/21		735
	2,100	4.650%, 10/17/21		2,370
	191	5.300%, 02/11/21		220
	2,500	5.400%, 02/15/17		2,878
	6,165	5.625%, 05/01/18		7,310
	1,000	5.650%, 06/09/14		1,065
	310	5.875%, 01/14/38		364
	2,622	6.750%, 03/15/32		3,356
	539	Hutchison Whampoa International 12 II Ltd., (Cayman Islands), 3.250%, 11/08/22 (e)		533
		MassMutual Global Funding II,
	1,500	2.000%, 04/05/17 (e)		1,539
	626	2.500%, 10/17/22 (e)		611
	338	2.875%, 04/21/14 (e)		347
	540	3.125%, 04/14/16 (e)		575
	1,120	Metlife of Connecticut Global Funding I, 5.125%, 08/15/14 (e)		1,194
		National Rural Utilities Cooperative Finance Corp.,
	665	4.750%, 03/01/14		693
	200	10.375%, 11/01/18		294
	550	Principal Life Global Funding I, 5.050%, 03/15/15 (e)		596
	640	Textron Financial Corp., 5.400%, 04/28/13		643

				66,795

		Insurance — 1.2%
		ACE INA Holdings, Inc.,
	455	2.600%, 11/23/15		478
	410	5.600%, 05/15/15		453
		Aflac, Inc.,
	228	2.650%, 02/15/17		240


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Insurance — Continued
	260	4.000%, 02/15/22		278
	317	6.450%, 08/15/40		399
	200	8.500%, 05/15/19		272
	520	AIG SunAmerica Global Financing X, 6.900%, 03/15/32 (e)		698
	1,047	Allstate Life Global Funding Trusts, 5.375%, 04/30/13		1,055
		American International Group, Inc.,
	1,499	4.250%, 05/15/13		1,511
	2,985	5.450%, 05/18/17		3,424
		Aon Corp.,
	402	3.125%, 05/27/16		424
	336	3.500%, 09/30/15		354
	306	6.250%, 09/30/40		395
		Berkshire Hathaway Finance Corp.,
	233	2.450%, 12/15/15		245
	233	3.000%, 05/15/22		238
	1,574	4.400%, 05/15/42		1,564
	1,000	4.600%, 05/15/13		1,008
	605	5.000%, 08/15/13		617
	1,670	5.400%, 05/15/18		2,002
		Berkshire Hathaway, Inc.,
	1,387	3.400%, 01/31/22		1,458
	840	3.750%, 08/15/21		907
	120	Chubb Corp. (The), 5.750%, 05/15/18		147
		CNA Financial Corp.,
	750	5.850%, 12/15/14		810
	785	5.875%, 08/15/20		932
	870	Jackson National Life Global Funding, 5.375%, 05/08/13 (e)		878
	372	Liberty Mutual Group, Inc., 4.950%, 05/01/22 (e)		406
		Lincoln National Corp.,
	345	4.200%, 03/15/22		373
	253	4.850%, 06/24/21		285
	280	Massachusetts Mutual Life Insurance Co., 5.375%, 12/01/41 (e)		319
	920	MetLife Institutional Funding II, VAR, 1.205%, 04/04/14 (e)		928
	535	MetLife, Inc., 6.817%, 08/15/18		669
		Metropolitan Life Global Funding I,
	604	1.700%, 06/29/15 (e)		617
	1,150	2.000%, 01/10/14 (e)		1,164
	820	2.500%, 09/29/15 (e)		854
	400	3.125%, 01/11/16 (e)		423
	1,900	3.650%, 06/14/18 (e)		2,086


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Insurance — Continued
	1,277	3.875%, 04/11/22 (e)		1,377
	200	5.125%, 04/10/13 (e)		201
	100	5.125%, 06/10/14 (e)		106
	1,093	5.200%, 09/18/13 (e)		1,121
	265	Monumental Global Funding III, 5.500%, 04/22/13 (e)		267
	1,750	Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e)		2,541
		New York Life Global Funding,
	740	0.750%, 07/24/15 (e)		743
	350	1.300%, 01/12/15 (e)		355
	775	4.650%, 05/09/13 (e)		781
	2,637	5.375%, 09/15/13 (e)		2,706
		Pacific Life Global Funding,
	650	5.000%, 05/15/17 (e)		690
	410	5.150%, 04/15/13 (e)		412
	570	Pacific Life Insurance Co., 9.250%, 06/15/39 (e)		833
	2,100	Pricoa Global Funding I, 5.450%, 06/11/14 (e)		2,230
	166	Principal Financial Group, Inc., 1.850%, 11/15/17		168
	304	Principal Life Global Funding II, 1.000%, 12/11/15 (e)		305
	1,750	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		2,396
	275	Travelers Cos., Inc. (The), 5.800%, 05/15/18		337
	325	Travelers Property Casualty Corp., 5.000%, 03/15/13		326

				46,806

		Real Estate Investment Trusts (REITs) — 0.3%
		CommonWealth REIT,
	600	5.875%, 09/15/20		649
	320	6.250%, 08/15/16		351
	1,340	6.650%, 01/15/18		1,524
	608	ERP Operating LP, 4.625%, 12/15/21		683
		HCP, Inc.,
	331	2.625%, 02/01/20		333
	161	3.750%, 02/01/19		173
	895	5.375%, 02/01/21		1,043
		Simon Property Group LP,
	917	2.150%, 09/15/17		949
	579	4.125%, 12/01/21		639
	32	4.200%, 02/01/15		34
	200	4.375%, 03/01/21		224
	705	5.625%, 08/15/14		756


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Real Estate Investment Trusts (REITs) — Continued
	675	6.100%, 05/01/16		774
	345	6.125%, 05/30/18		421
	370	6.750%, 05/15/14		391
	440	WEA Finance LLC, 7.125%, 04/15/18 (e)		544
		WEA Finance LLC/WT Finance Aust Pty Ltd.,
	579	3.375%, 10/03/22 (e)		588
	1,408	6.750%, 09/02/19 (e)		1,743

				11,819

		Thrifts & Mortgage Finance — 0.1%
	400	Countrywide Financial Corp., 6.250%, 05/15/16		446
		Stadshypotek AB, (Sweden),
	1,463	1.450%, 09/30/13 (e)		1,472
	1,148	1.875%, 10/02/19 (e)		1,149

				3,067

		Total Financials		349,820

		Health Care — 0.5%
		Biotechnology — 0.2%
		Amgen, Inc.,
	1,000	3.875%, 11/15/21		1,087
	237	4.500%, 03/15/20		269
	500	4.950%, 10/01/41		538
	2,000	5.150%, 11/15/41		2,190
	265	5.650%, 06/15/42		312
	570	5.700%, 02/01/19		685
	720	5.750%, 03/15/40		840
	1,336	Celgene Corp., 3.250%, 08/15/22		1,347

				7,268

		Health Care Equipment & Supplies — 0.0% (g)
		Baxter International, Inc.,
	380	4.000%, 03/01/14		393
	245	4.625%, 03/15/15		264
	100	Becton Dickinson and Co., 5.000%, 05/15/19		118

				775

		Health Care Providers & Services — 0.1%
		Aetna, Inc.,
	265	4.500%, 05/15/42		269
	440	6.750%, 12/15/37		588
	164	McKesson Corp., 0.950%, 12/04/15		164
	370	Medco Health Solutions, Inc., 2.750%, 09/15/15		387
		UnitedHealth Group, Inc.,
	173	2.750%, 02/15/23		171


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Health Care Providers & Services — Continued
	400	2.875%, 03/15/23		398
	975	3.375%, 11/15/21		1,026
	620	6.625%, 11/15/37		807
		WellPoint, Inc.,
	615	3.125%, 05/15/22		616
	280	3.300%, 01/15/23		283
	500	4.625%, 05/15/42		501
	535	4.650%, 01/15/43		541
	172	5.875%, 06/15/17		204
	115	7.000%, 02/15/19		143

				6,098

		Pharmaceuticals — 0.2%
		AbbVie, Inc.,
	952	1.750%, 11/06/17 (e)		964
	609	2.900%, 11/06/22 (e)		608
	275	Actavis, Inc., 3.250%, 10/01/22		277
	645	AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14		685
		GlaxoSmithKline Capital, Inc.,
	485	4.375%, 04/15/14		507
	750	5.650%, 05/15/18		910
	530	6.375%, 05/15/38		718
		Merck & Co., Inc.,
	474	2.400%, 09/15/22		469
	650	6.000%, 09/15/17		788
		Zoetis, Inc.,
	193	1.875%, 02/01/18 (e)		194
	123	4.700%, 02/01/43 (e)		126

				6,246

		Total Health Care		20,387

		Industrials — 1.2%
		Aerospace & Defense — 0.2%
	400	BAE Systems Holdings, Inc., 6.375%, 06/01/19 (e)		477
	676	BAE Systems plc, (United Kingdom), 5.800%, 10/11/41 (e)		780
	200	Boeing Co. (The), 7.950%, 08/15/24		290
	390	Honeywell International, Inc., 5.300%, 03/01/18		466
		Lockheed Martin Corp.,
	387	2.125%, 09/15/16		402
	1,281	4.070%, 12/15/42 (e)		1,199
	292	4.850%, 09/15/41		306
	215	Precision Castparts Corp., 0.700%, 12/20/15		215


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Aerospace & Defense — Continued
		United Technologies Corp.,
	214	1.800%, 06/01/17		221
	681	3.100%, 06/01/22		712
	914	4.500%, 06/01/42		983
	1,261	6.125%, 02/01/19		1,577

				7,628

		Air Freight & Logistics — 0.0% (g)
	214	United Parcel Service, Inc., 2.450%, 10/01/22		212

		Airlines — 0.1%
	240	American Airlines, 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21		258
	656	American Airlines, 2011-2 Class A Pass-Through Trust, 8.625%, 10/15/21		682
	243	Continental Airlines, 1999-2 Class C-2 Pass-Through Trust, 7.256%, 03/15/20		263
	447	Continental Airlines, 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22		506
	212	Continental Airlines, 2012-2 Class A Pass-Through Trust, 4.000%, 10/29/24		221
	574	Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		628
	213	Delta Air Lines, 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19		236
	482	Delta Air Lines, 2012-1 Class A Pass-Through Trust, 4.750%, 05/07/20		522

				3,316

		Commercial Services & Supplies — 0.1%
		ADT Corp. (The),
	420	3.500%, 07/15/22 (e)		411
	264	4.125%, 06/15/23 (e)		270
	328	4.875%, 07/15/42 (e)		313
		Pitney Bowes, Inc.,
	575	4.875%, 08/15/14		605
	1,020	5.000%, 03/15/15		1,077
	200	5.600%, 03/15/18		214
	614	Republic Services, Inc., 3.550%, 06/01/22		640
		Waste Management, Inc.,
	214	4.750%, 06/30/20		243
	455	7.375%, 03/11/19		578

				4,351

		Construction & Engineering — 0.1%
		ABB Finance USA, Inc.,
	226	1.625%, 05/08/17		229
	292	2.875%, 05/08/22		296


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Construction & Engineering — Continued
	145	4.375%, 05/08/42		152
	789	Fluor Corp., 3.375%, 09/15/21		827

				1,504

		Electrical Equipment — 0.0% (g)
		Eaton Corp.,
	182	1.500%, 11/02/17 (e)		182
	170	4.000%, 11/02/32 (e)		170
	500	5.600%, 05/15/18		590
	300	7.625%, 04/01/24		388

				1,330

		Industrial Conglomerates — 0.1%
	592	Danaher Corp., 3.900%, 06/23/21		660
	212	General Electric Co., 2.700%, 10/09/22		212
	290	Ingersoll-Rand Co., 6.391%, 11/15/27		345
		Koninklijke Philips Electronics N.V., (Netherlands),
	970	3.750%, 03/15/22		1,046
	409	5.750%, 03/11/18		490
	130	7.200%, 06/01/26		170
	300	Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)		347

				3,270

		Machinery — 0.1%
	164	Caterpillar, Inc., 2.600%, 06/26/22		165
		Deere & Co.,
	819	2.600%, 06/08/22		825
	346	3.900%, 06/09/42		349
	1,920	Illinois Tool Works, Inc., 3.900%, 09/01/42		1,868
	205	Parker Hannifin Corp., 5.500%, 05/15/18		245

				3,452

		Road & Rail — 0.5%
		Burlington Northern Santa Fe LLC,
	522	3.050%, 03/15/22		535
	300	3.450%, 09/15/21		319
	136	3.600%, 09/01/20		146
	375	4.375%, 09/01/42		380
	1,000	5.400%, 06/01/41		1,159
	540	5.650%, 05/01/17		635
	250	5.750%, 03/15/18		301
	425	5.750%, 05/01/40		513
	250	6.700%, 08/01/28		311
	450	7.000%, 02/01/14		476
		CSX Corp.,
	191	4.100%, 03/15/44		180


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Road & Rail — Continued
	300	4.250%, 06/01/21		333
	575	5.500%, 04/15/41		663
	145	6.250%, 04/01/15		161
	205	7.375%, 02/01/19		263
	500	7.900%, 05/01/17		620
		ERAC USA Finance LLC,
	154	2.250%, 01/10/14 (e)		156
	355	2.750%, 03/15/17 (e)		370
	559	4.500%, 08/16/21 (e)		615
	436	5.625%, 03/15/42 (e)		488
	350	6.375%, 10/15/17 (e)		422
	746	6.700%, 06/01/34 (e)		915
		Norfolk Southern Corp.,
	746	3.250%, 12/01/21		778
	595	3.950%, 10/01/42		569
	100	6.000%, 03/15/05		121
	1,776	6.000%, 05/23/11(†)		2,181
	355	7.700%, 05/15/17		447
	479	Penske Truck Leasing Co. LP/PTL Finance Corp., 2.875%, 07/17/18 (e)		484
		Ryder System, Inc.,
	484	2.500%, 03/01/17		497
	434	3.600%, 03/01/16		455
		Union Pacific Corp.,
	182	2.950%, 01/15/23		187
	710	4.163%, 07/15/22		798
	200	4.300%, 06/15/42		204
	235	4.875%, 01/15/15		253
	907	5.650%, 05/01/17		1,059
		United Parcel Service of America, Inc.,
	355	8.375%, 04/01/20		493
	160	SUB, 8.375%, 04/01/30		236

				18,723

		Total Industrials		43,786

		Information Technology — 0.9%
		Communications Equipment — 0.1%
		Cisco Systems, Inc.,
	878	5.500%, 02/22/16		1,000
	350	5.500%, 01/15/40		426
	755	5.900%, 02/15/39		955

				2,381

		Computers & Peripherals — 0.2%
	300	Dell, Inc., 7.100%, 04/15/28		305
		Hewlett-Packard Co.,
	583	2.600%, 09/15/17		584


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Computers & Peripherals — Continued
	600	4.300%, 06/01/21		600
	781	4.375%, 09/15/21		785
	387	4.650%, 12/09/21		397
	670	4.750%, 06/02/14		699
	1,365	5.400%, 03/01/17		1,492
	2,500	6.000%, 09/15/41		2,538
	1,230	6.125%, 03/01/14		1,292

				8,692

		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	219	3.000%, 03/01/18		220
	575	3.375%, 11/01/15		599
	190	4.500%, 03/01/23		190
	165	6.000%, 04/01/20		185
	899	6.875%, 07/01/13		917
	1,088	7.500%, 01/15/27		1,310

				3,421

		Internet Software & Services — 0.0% (g)
		eBay, Inc.,
	300	2.600%, 07/15/22		299
	271	4.000%, 07/15/42		251

				550

		IT Services — 0.2%
	1,040	HP Enterprise Services LLC, 6.000%, 08/01/13		1,062
		International Business Machines Corp.,
	409	1.250%, 02/06/17		413
	2,600	5.700%, 09/14/17		3,116
	690	6.220%, 08/01/27		923
	1,075	7.625%, 10/15/18		1,424

				6,938

		Office Electronics — 0.1%
		Xerox Corp.,
	196	2.950%, 03/15/17		201
	270	4.500%, 05/15/21		285
	610	5.625%, 12/15/19		692
	550	6.750%, 02/01/17		635
	100	8.250%, 05/15/14		108

				1,921

		Semiconductors & Semiconductor Equipment — 0.1%
		Intel Corp.,
	697	3.300%, 10/01/21		729
	685	4.000%, 12/15/32		676


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Semiconductors & Semiconductor Equipment — Continued
	1,360	National Semiconductor Corp., 6.600%, 06/15/17		1,663
		Texas Instruments, Inc.,
	750	1.375%, 05/15/14		759
	365	1.650%, 08/03/19		363

				4,190

		Software — 0.1%
	360	Intuit, Inc., 5.750%, 03/15/17		413
		Microsoft Corp.,
	262	0.875%, 11/15/17		261
	720	1.625%, 09/25/15		741
	384	2.125%, 11/15/22		374
	117	4.500%, 10/01/40		127
		Oracle Corp.,
	500	5.000%, 07/08/19		596
	1,412	5.250%, 01/15/16		1,594
	728	5.750%, 04/15/18		881
	465	6.500%, 04/15/38		630

				5,617

		Total Information Technology		33,710

		Materials — 0.5%
		Chemicals — 0.4%
		Dow Chemical Co. (The),
	542	3.000%, 11/15/22		530
	385	4.125%, 11/15/21		416
	203	4.250%, 11/15/20		223
	200	5.250%, 11/15/41		215
	370	7.375%, 11/01/29		491
	108	7.600%, 05/15/14		117
	158	8.550%, 05/15/19		213
		E.I. du Pont de Nemours & Co.,
	635	1.950%, 01/15/16		656
	350	4.900%, 01/15/41		402
	1,630	6.000%, 07/15/18		2,016
		Ecolab, Inc.,
	447	1.450%, 12/08/17		445
	150	5.500%, 12/08/41		175
		Mosaic Co. (The),
	280	3.750%, 11/15/21		294
	79	4.875%, 11/15/41		84
	875	Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13		875
		PPG Industries, Inc.,
	114	5.500%, 11/15/40		130


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Chemicals — Continued
	415	5.750%, 03/15/13		416
	700	6.650%, 03/15/18		864
	355	9.000%, 05/01/21		493
		Praxair, Inc.,
	662	4.625%, 03/30/15		717
	885	5.250%, 11/15/14		956
		Union Carbide Corp.,
	1,000	7.500%, 06/01/25		1,244
	850	7.750%, 10/01/96		996

				12,968

		Metals & Mining — 0.1%
		BHP Billiton Finance USA Ltd., (Australia),
	410	5.400%, 03/29/17		476
	425	5.500%, 04/01/14		448
	560	6.500%, 04/01/19		715
	1,329	Freeport-McMoRan Copper & Gold, Inc., 2.150%, 03/01/17		1,347
	295	Placer Dome, Inc., (Canada), 6.450%, 10/15/35		341
		Rio Tinto Finance USA Ltd., (Australia),
	117	3.500%, 11/02/20		124
	550	3.750%, 09/20/21		590
	650	9.000%, 05/01/19		904
	393	Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17		396

				5,341

		Total Materials		18,309

		Telecommunication Services — 1.1%
		Diversified Telecommunication Services — 1.0%
		AT&T, Inc.,
	345	0.900%, 02/12/16		345
	879	4.300%, 12/15/42 (e)		829
	462	4.350%, 06/15/45 (e)		435
	850	4.450%, 05/15/21		961
	386	5.100%, 09/15/14		412
	375	5.350%, 09/01/40		411
	250	5.500%, 02/01/18		295
	2,700	6.300%, 01/15/38		3,289
		BellSouth Corp.,
	1,373	5.200%, 09/15/14		1,466
	25	6.875%, 10/15/31		30
		BellSouth Telecommunications, Inc.,
	683	6.300%, 12/15/15		717
	300	7.000%, 10/01/25		374


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Diversified Telecommunication Services — Continued
		British Telecommunications plc, (United Kingdom),
	200	2.000%, 06/22/15		205
	150	9.625%, 12/15/30		233
	600	Centel Capital Corp., 9.000%, 10/15/19		744
		CenturyLink, Inc.,
	1,380	6.450%, 06/15/21		1,472
	920	7.600%, 09/15/39		904
		Deutsche Telekom International Finance B.V., (Netherlands),
	336	2.250%, 03/06/17 (e)		345
	1,150	4.875%, 07/08/14		1,213
	232	4.875%, 03/06/42 (e)		236
	400	6.000%, 07/08/19		486
	325	8.750%, 06/15/30		470
		France Telecom S.A., (France),
	560	2.750%, 09/14/16		586
	1,305	8.500%, 03/01/31		1,861
	2,100	GTE Corp., 6.840%, 04/15/18		2,609
	1,742	GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e)		1,884
	267	Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17		268
	741	Qwest Corp., 6.750%, 12/01/21		855
		Telecom Italia Capital S.A., (Luxembourg),
	1,000	4.950%, 09/30/14		1,035
	1,621	5.250%, 11/15/13		1,658
	765	6.999%, 06/04/18		866
		Telefonica Emisiones S.A.U., (Spain),
	316	5.462%, 02/16/21		333
	515	5.877%, 07/15/19		561
	300	6.421%, 06/20/16		330
		Verizon Communications, Inc.,
	650	5.500%, 04/01/17		758
	443	5.550%, 02/15/16		502
	100	5.850%, 09/15/35		118
	175	6.400%, 02/15/38		220
	1,250	7.350%, 04/01/39		1,743
	1,475	Verizon Global Funding Corp., 7.750%, 12/01/30		2,089
		Verizon Pennsylvania, Inc.,
	750	6.000%, 12/01/28		841
	1,444	8.350%, 12/15/30		1,935

				36,924


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Wireless Telecommunication Services — 0.1%
		America Movil S.A.B. de C.V., (Mexico),
	640	2.375%, 09/08/16		660
	592	3.125%, 07/16/22		587
	500	Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14		521
	485	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		507
		Vodafone Group plc, (United Kingdom),
	350	1.500%, 02/19/18		350
	1,200	1.625%, 03/20/17		1,214
	1,145	5.000%, 09/15/15		1,262

				5,101

		Total Telecommunication Services		42,025

		Utilities — 1.8%
		Electric Utilities — 1.3%
	229	Alabama Power Co., 6.125%, 05/15/38		297
	286	American Electric Power Co., Inc., 1.650%, 12/15/17		287
		Arizona Public Service Co.,
	296	4.500%, 04/01/42		314
	467	5.050%, 09/01/41		536
	380	Baltimore Gas & Electric Co., 2.800%, 08/15/22		384
		Carolina Power & Light Co.,
	525	2.800%, 05/15/22		539
	273	4.100%, 05/15/42		277
	888	5.125%, 09/15/13		910
	310	5.300%, 01/15/19		372
	1,005	Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17		1,261
	831	Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e)		910
	185	Connecticut Light & Power Co. (The), 5.650%, 05/01/18		222
	224	DTE Electric Co., 2.650%, 06/15/22		227
		Duke Energy Carolinas LLC,
	129	4.250%, 12/15/41		135
	660	5.100%, 04/15/18		784
	100	6.000%, 01/15/38		128
	1,310	Duke Energy Indiana, Inc., 6.350%, 08/15/38		1,709
	950	Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)		1,008
		Florida Power & Light Co.,
	420	5.950%, 10/01/33		548
	335	5.950%, 02/01/38		440


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Electric Utilities — Continued
		Florida Power Corp.,
	290	5.650%, 06/15/18		349
	240	6.400%, 06/15/38		321
		Georgia Power Co.,
	210	5.950%, 02/01/39		265
	225	6.000%, 11/01/13		233
	229	Great Plains Energy, Inc., 4.850%, 06/01/21		252
	1,000	Hydro-Quebec, (Canada), 8.400%, 01/15/22		1,429
	100	Indiana Michigan Power Co., 7.000%, 03/15/19		126
	100	Jersey Central Power & Light Co., 7.350%, 02/01/19		128
	774	John Sevier Combined Cycle Generation LLC, 4.626%, 01/15/42		871
	1,400	Kansas City Power & Light Co., 5.300%, 10/01/41		1,565
	34	Kiowa Power Partners LLC, 4.811%, 12/30/13 (e)		34
	105	MidAmerican Energy Co., 5.300%, 03/15/18		125
		Nevada Power Co.,
	55	5.375%, 09/15/40		66
	305	5.450%, 05/15/41		370
	720	6.500%, 08/01/18		900
	100	6.650%, 04/01/36		134
		NextEra Energy Capital Holdings, Inc.,
	196	1.200%, 06/01/15		198
	255	5.350%, 06/15/13		258
	725	6.000%, 03/01/19		857
	280	7.875%, 12/15/15		331
	300	Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)		348
		Nisource Finance Corp.,
	370	3.850%, 02/15/23		380
	360	4.450%, 12/01/21		394
	1,256	5.800%, 02/01/42		1,402
	510	Northern States Power Co., 6.250%, 06/01/36		687
		Ohio Power Co.,
	320	5.750%, 09/01/13		328
	310	6.050%, 05/01/18		373
		Oncor Electric Delivery Co. LLC,
	840	6.800%, 09/01/18		1,041
	110	7.000%, 09/01/22		141
		Pacific Gas & Electric Co.,
	544	2.450%, 08/15/22		537
	71	3.250%, 09/15/21		76


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Electric Utilities — Continued
	217	4.450%, 04/15/42		231
	390	4.500%, 12/15/41		418
	780	5.625%, 11/30/17		934
	100	6.050%, 03/01/34		128
	160	8.250%, 10/15/18		216
		PacifiCorp,
	180	5.500%, 01/15/19		219
	150	5.650%, 07/15/18		183
		Peco Energy Co.,
	350	2.375%, 09/15/22		350
	175	5.350%, 03/01/18		210
	1,070	Potomac Electric Power Co., 6.500%, 11/15/37		1,465
		Progress Energy, Inc.,
	673	3.150%, 04/01/22		683
	300	6.050%, 03/15/14		317
		Public Service Co. of Colorado,
	250	2.250%, 09/15/22		246
	90	3.200%, 11/15/20		97
	125	5.800%, 08/01/18		154
	2,490	Public Service Co. of Oklahoma, 6.625%, 11/15/37		3,248
		Public Service Electric & Gas Co.,
	205	5.300%, 05/01/18		243
	277	5.375%, 11/01/39		341
	2,000	6.330%, 11/01/13		2,075
		Southern California Edison Co.,
	175	4.150%, 09/15/14		184
	765	5.500%, 08/15/18		935
	391	5.750%, 03/15/14		412
	200	5.950%, 02/01/38		260
	1,185	6.050%, 03/15/39		1,567
		Southern Co. (The),
	363	1.950%, 09/01/16		375
	270	4.150%, 05/15/14		281
	570	Southwestern Public Service Co., 8.750%, 12/01/18		766
		Virginia Electric and Power Co.,
	1,395	5.400%, 04/30/18		1,675
	625	5.950%, 09/15/17		757
		Wisconsin Electric Power Co.,
	21	2.950%, 09/15/21		22
	450	6.000%, 04/01/14		476
	265	6.250%, 12/01/15		305
		Xcel Energy, Inc.,
	92	4.800%, 09/15/41		103


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Electric Utilities — Continued
	200	6.500%, 07/01/36		267

				45,950

		Gas Utilities — 0.2%
		AGL Capital Corp.,
	563	3.500%, 09/15/21		602
	345	4.450%, 04/15/13		347
	1,445	5.875%, 03/15/41		1,823
	1,243	6.375%, 07/15/16		1,453
		Atmos Energy Corp.,
	828	4.150%, 01/15/43		841
	285	8.500%, 03/15/19		386
	308	Boston Gas Co., 4.487%, 02/15/42 (e)		323
	335	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		399
	554	Texas Eastern Transmission LP, 2.800%, 10/15/22 (e)		552

				6,726

		Independent Power Producers & Energy Traders — 0.1%
		Exelon Generation Co. LLC,
	1,020	4.000%, 10/01/20		1,075
	235	5.750%, 10/01/41		260
	1,500	PPL Energy Supply LLC, 4.600%, 12/15/21		1,586
	772	PSEG Power LLC, 5.125%, 04/15/20		877
	202	Southern Power Co., 5.150%, 09/15/41		226

				4,024

		Multi-Utilities — 0.2%
	596	Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40		756
		Consumers Energy Co.,
	216	2.850%, 05/15/22		223
	130	5.650%, 04/15/20		159
	235	Delmarva Power & Light Co., 4.000%, 06/01/42		239
		Dominion Resources, Inc.,
	920	5.250%, 08/01/33		1,056
	300	7.000%, 06/15/38		420
	600	8.875%, 01/15/19		819
	375	PG&E Corp., 5.750%, 04/01/14		395
		San Diego Gas & Electric Co.,
	379	3.950%, 11/15/41		388
	275	6.000%, 06/01/26		365
		Sempra Energy,
	350	2.875%, 10/01/22		349
	1,145	6.150%, 06/15/18		1,401


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Multi-Utilities — Continued
	180	6.500%, 06/01/16		210
	860	8.900%, 11/15/13		910
	435	9.800%, 02/15/19		615

				8,305

		Water Utilities — 0.0% (g)
	1,100	American Water Capital Corp., 6.085%, 10/15/17		1,316

		Total Utilities		66,321

		Total Corporate Bonds (Cost $664,224)		725,391

	Foreign Government Securities — 1.1%
		Israel Government AID Bond, (Israel),
	1,973	Zero Coupon, 08/15/17		1,888
	20,000	Zero Coupon, 03/15/18		18,911
	1,500	Zero Coupon, 11/01/23		1,123
	1,500	Zero Coupon, 11/01/24		1,061
	1,000	5.500%, 09/18/33		1,316
	600	Province of Manitoba, (Canada), 2.125%, 04/22/13		601
		Province of Ontario, (Canada),
	1,387	1.650%, 09/27/19		1,383
	700	2.700%, 06/16/15		735
	2,220	2.950%, 02/05/15		2,325
	377	Province of Quebec, (Canada), SUB, 7.365%, 03/06/26		534
	5,000	Tunisia Government AID Bonds, (Tunisia), 1.686%, 07/16/19		5,049
		United Mexican States, (Mexico),
	120	4.750%, 03/08/44		126
	856	6.625%, 03/03/15		951
	3,338	7.500%, 04/08/33		4,815

		Total Foreign Government Securities (Cost $38,476)		40,818

	Mortgage Pass-Through Securities — 12.2%
		Federal Home Loan Mortgage Corp.,
	45	ARM, 2.086%, 07/01/19		48
	42	ARM, 2.328%, 04/01/30		44
	723	ARM, 2.355%, 12/01/33		770
	539	ARM, 2.482%, 10/01/36		573
	1,214	ARM, 2.586%, 03/01/37		1,300
	532	ARM, 2.693%, 12/01/34		568
	548	ARM, 2.703%, 11/01/36		585
	154	ARM, 2.714%, 10/01/36		164
	394	ARM, 2.721%, 12/01/36		421
	354	ARM, 2.722%, 02/01/36		375


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	274		ARM, 2.779%, 02/01/37		293
	1,252		ARM, 2.864%, 04/01/34		1,324
	716		ARM, 3.227%, 10/01/36		764
	886		ARM, 4.896%, 02/01/36		952
	956		ARM, 5.023%, 01/01/35		1,030
	667		ARM, 5.069%, 07/01/36		719
	188		ARM, 5.613%, 05/01/36		200
	890		ARM, 6.066%, 11/01/36		960
			Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	956		4.000%, 08/01/18 - 05/01/19		1,016
	167		4.500%, 08/01/18		177
	502		5.000%, 12/01/18		536
	4,179		5.500%, 06/01/17 - 01/01/24		4,524
	69		6.000%, 04/01/18		75
	656		6.500%, 08/01/16 - 02/01/19		702
	24		7.000%, 01/01/17 - 04/01/17		26
	—	(h)	7.500%, 10/01/14		—	(h)
	3		8.500%, 11/01/15		3
			Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	3,362		3.500%, 01/01/32 - 03/01/32		3,561
	153		6.000%, 12/01/22		168
	449		6.500%, 11/01/22		498
			Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	2,033		4.000%, 09/01/35		2,165
	7,083		4.500%, 05/01/41		7,600
	7,172		5.000%, 09/01/34 - 08/01/40		7,855
	2,857		5.500%, 10/01/33 - 07/01/35		3,140
	508		6.000%, 12/01/33 - 01/01/34		577
	3,113		6.500%, 11/01/34 - 11/01/36		3,569
	807		7.000%, 07/01/32 - 10/01/36		934
	958		Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30		1,129
			Federal Home Loan Mortgage Corp. Gold Pools, Other,
	10,379		3.500%, 10/01/32 - 06/01/42		11,109
	5,328		4.000%, 06/01/42		5,840
	498		5.500%, 10/01/33 - 01/01/34		539
	1,215		6.000%, 02/01/33		1,330
	164		7.000%, 07/01/29		178
			Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	4		12.000%, 08/01/15 - 07/01/19		4
			Federal National Mortgage Association,
	172		ARM, 1.813%, 09/01/34		182


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	15	ARM, 1.904%, 03/01/19		16
	1,073	ARM, 1.911%, 01/01/33		1,123
	704	ARM, 2.065%, 07/01/36		748
	1,691	ARM, 2.134%, 09/01/35		1,797
	1,949	ARM, 2.141%, 01/01/35		2,068
	392	ARM, 2.151%, 01/01/36		413
	331	ARM, 2.170%, 07/01/34		351
	609	ARM, 2.192%, 11/01/34		645
	819	ARM, 2.269%, 01/01/35		867
	366	ARM, 2.277%, 07/01/33 - 11/01/33		384
	779	ARM, 2.294%, 08/01/34		824
	8	ARM, 2.324%, 01/01/19		8
	910	ARM, 2.325%, 07/01/33		970
	739	ARM, 2.344%, 05/01/34		788
	2,200	ARM, 2.378%, 04/01/35		2,342
	928	ARM, 2.381%, 05/01/35		987
	584	ARM, 2.385%, 04/01/35		620
	262	ARM, 2.465%, 02/01/35		278
	89	ARM, 2.470%, 04/01/34		95
	398	ARM, 2.530%, 10/01/34		423
	1,235	ARM, 2.533%, 06/01/35		1,307
	398	ARM, 2.536%, 04/01/34		417
	1,053	ARM, 2.567%, 11/01/34		1,114
	234	ARM, 2.622%, 01/01/34		248
	971	ARM, 2.637%, 10/01/34		1,030
	658	ARM, 2.666%, 10/01/34		698
	220	ARM, 2.669%, 09/01/35		235
	390	ARM, 2.692%, 01/01/38		416
	223	ARM, 2.720%, 05/01/35		235
	339	ARM, 2.749%, 09/01/34		361
	413	ARM, 2.752%, 08/01/34		440
	321	ARM, 2.824%, 06/01/36		343
	92	ARM, 2.898%, 09/01/27		97
	622	ARM, 2.935%, 09/01/33		664
	708	ARM, 3.192%, 10/01/36		756
	142	ARM, 3.242%, 01/01/36		151
	202	ARM, 3.319%, 02/01/34		214
	80	ARM, 3.804%, 03/01/29		85
	1,040	ARM, 4.925%, 07/01/33		1,108
	575	ARM, 5.418%, 01/01/23		629
		Federal National Mortgage Association, 15 Year, Single Family,
	1,077	3.500%, 09/01/18 - 07/01/19		1,142
	3,104	4.000%, 07/01/18 - 11/01/18		3,328
	5,502	4.500%, 06/01/18 - 12/01/19		5,969
	1,334	5.000%, 12/01/16 - 08/01/24		1,445


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	1,324	5.500%, 03/01/20 - 07/01/20		1,420
	7,464	6.000%, 06/01/16 - 01/01/24		8,177
	295	6.500%, 03/01/17 - 08/01/20		320
	304	7.000%, 03/01/17 - 09/01/17		326
	8	7.500%, 03/01/17		9
	3	8.000%, 11/01/15		3
		Federal National Mortgage Association, 20 Year, Single Family,
	1,886	3.500%, 08/01/32		2,001
	219	4.500%, 04/01/24		239
	1,630	6.500%, 05/01/22 - 04/01/25		1,808
		Federal National Mortgage Association, 30 Year, FHA/VA,
	119	6.000%, 09/01/33		134
	1,715	6.500%, 03/01/29 - 08/01/39		1,948
	47	7.000%, 02/01/33		56
	57	8.000%, 06/01/28		68
	34	9.000%, 05/01/18 - 12/01/25		37
		Federal National Mortgage Association, 30 Year, Single Family,
	680	4.500%, 11/01/33 - 02/01/35		735
	1,985	5.000%, 07/01/33 - 09/01/35		2,219
	3,591	5.500%, 09/01/31 - 02/01/38		3,997
	4,049	6.000%, 12/01/28 - 09/01/37		4,530
	1,646	6.500%, 11/01/29 - 08/01/31		1,919
	1,636	7.000%, 01/01/24 - 01/01/39		1,921
	827	7.500%, 08/01/36 - 11/01/37		1,001
	760	8.000%, 03/01/27 - 11/01/28		929
	1	9.000%, 04/01/26		1
	15	9.500%, 07/01/28		17
	4	12.500%, 01/01/16		4
		Federal National Mortgage Association, Other,
	1,498	VAR, 0.569%, 01/01/23		1,497
	3,000	VAR, 0.599%, 10/01/22		2,999
	2,995	VAR, 0.600%, 01/01/23		2,994
	1,478	VAR, 0.949%, 01/01/19		1,488
	982	VAR, 1.009%, 03/01/22		992
	2,449	VAR, 6.070%, 11/01/18		2,648
	2,000	0.000%, 03/01/63		2,000
	2,000	1.690%, 12/01/19		2,011
	10,000	1.750%, 03/01/63		9,987
	1,500	2.000%, 12/01/20		1,503
	2,000	2.004%, 07/01/19		2,038
	4,569	2.097%, 08/01/19		4,700
	2,991	2.190%, 12/01/22		2,988
	2,000	2.211%, 04/01/19		2,086


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	1,495	2.221%, 04/01/19		1,546
	4,083	2.283%, 12/01/22		4,083
	234	2.350%, 03/15/18		234
	5,360	2.390%, 12/01/22		5,428
	5,523	2.418%, 12/01/22		5,568
	3,375	2.449%, 11/01/22		3,417
	3,000	2.459%, 12/01/22		3,037
	3,000	2.460%, 02/01/23		3,049
	3,500	2.480%, 12/01/22		3,547
	5,789	2.490%, 10/01/17		6,133
	4,000	2.531%, 11/01/22		4,028
	3,000	2.604%, 10/01/22		3,071
	3,000	2.670%, 07/01/22		3,075
	6,962	2.690%, 10/01/17		7,415
	3,301	2.841%, 03/01/22		3,427
	3,850	2.970%, 11/01/18		4,147
	1,482	3.038%, 05/01/22		1,564
	7,181	3.070%, 01/01/22		7,654
	453	3.100%, 03/15/20		453
	4,500	3.100%, 02/01/22		4,774
	3,878	3.224%, 01/01/22 - 05/01/22		4,144
	9,961	3.230%, 11/01/20		10,757
	1,511	3.255%, 12/01/21		1,622
	2,802	3.265%, 02/01/22		3,002
	2,000	3.290%, 10/01/20		2,167
	3,963	3.306%, 02/01/22		4,250
	2,261	3.368%, 01/01/22		2,438
	2,000	3.461%, 11/01/20		2,172
	970	3.487%, 11/01/20		1,059
	1,985	3.500%, 12/01/32		2,111
	2,000	3.503%, 08/01/17		2,180
	1,970	3.520%, 01/01/18		2,167
	1,480	3.544%, 09/01/20		1,615
	2,905	3.600%, 09/01/20		3,198
	7,600	3.621%, 09/01/20		8,331
	4,931	3.658%, 10/01/20		5,410
	1,928	3.740%, 07/01/20		2,139
	989	3.761%, 01/01/25		1,071
	2,983	3.802%, 09/01/20		3,298
	3,000	3.895%, 09/01/21		3,349
	2,939	3.906%, 09/01/21		3,275
	6,851	3.916%, 09/01/21		7,638
	1,985	3.930%, 07/01/20		2,227
	4,796	3.947%, 06/01/17		5,271
	4,750	3.980%, 11/01/16		4,986
	1,540	3.999%, 01/01/21		1,723


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	4,556	4.000%, 11/01/33 - 07/01/42		4,914
	5,000	4.019%, 09/01/21		5,608
	2,000	4.061%, 01/01/21		2,248
	7,956	4.081%, 07/01/20 - 07/01/21		8,946
	1,446	4.130%, 07/01/20		1,638
	2,380	4.250%, 04/01/21		2,728
	1,691	4.257%, 04/01/20		1,914
	4,471	4.267%, 11/01/19 - 08/01/21		5,066
	2,096	4.290%, 06/01/20		2,396
	1,486	4.350%, 04/01/20		1,704
	1,461	4.380%, 01/01/21		1,683
	1,913	4.381%, 11/01/19		2,189
	2,000	4.390%, 05/01/21		2,308
	2,000	4.391%, 04/01/21		2,292
	2,000	4.402%, 07/01/21		2,292
	2,448	4.443%, 08/01/20 - 04/01/21		2,800
	1,463	4.444%, 01/01/21		1,690
	1,471	4.461%, 07/01/21		1,697
	2,152	4.474%, 04/01/21		2,473
	5,000	4.484%, 06/01/21		5,765
	948	4.500%, 03/01/20		1,084
	966	4.514%, 04/01/20		1,113
	1,982	4.515%, 02/01/20		2,279
	6,770	4.530%, 12/01/19		7,922
	4,325	4.540%, 01/01/20		4,997
	2,000	4.546%, 02/01/20		2,298
	2,932	4.629%, 02/01/21		3,392
	3,913	4.794%, 01/01/21		4,559
	299	5.400%, 03/15/43		298
	635	5.500%, 03/01/17 - 09/01/33		682
	2,233	6.000%, 09/01/37 - 06/01/39		2,379
	755	6.500%, 01/01/36 - 07/01/36		837
	109	7.000%, 10/01/46		122
	84	10.890%, 04/15/19		92
		Government National Mortgage Association II, 30 Year, Single Family,
	427	4.500%, 08/20/33		469
	5,995	6.000%, 09/20/38		6,903
	75	7.500%, 02/20/28 - 09/20/28		92
	121	8.000%, 12/20/25 - 09/20/28		151
	34	8.500%, 05/20/25		42
		Government National Mortgage Association, 15 Year, Single Family,
	87	6.500%, 06/15/17		93
	90	8.000%, 01/15/16		94


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
		Government National Mortgage Association, 30 Year, Single Family,
	371	6.500%, 03/15/28 - 04/15/33		434
	262	7.000%, 02/15/33 - 06/15/33		309
	87	7.500%, 11/15/22 - 11/15/31		98
	20	8.000%, 09/15/22 - 08/15/28		22
	4	9.000%, 12/15/16		4
	957	9.500%, 10/15/24		1,100

		Total Mortgage Pass-Through Securities (Cost $427,848)		451,922

	Municipal Bonds — 0.3% (t)
		California — 0.0% (g)
	440	Los Angeles Department of Airports, Taxable Build America Bonds, Rev., 6.582%, 05/15/39		566
	350	State of California, Build America Bonds, GO, 7.300%, 10/01/39		490

				1,056

		Illinois — 0.0% (g)
	160	State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33		159

		New York — 0.2%
	360	New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, Rev., 5.600%, 03/15/40		450
	1,825	Port Authority of New York & New Jersey, Taxable Consolidated 164, Rev., 5.647%, 11/01/40		2,255
	2,500	Port Authority of New York & New Jersey, Taxable Consolidated 174, Rev., 4.458%, 10/01/62		2,522

				5,227

		Ohio — 0.1%
	1,315	American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50		1,765
	1,563	Ohio State University (The), Series A, Rev., 4.800%, 06/01/11		1,684

				3,449

		Total Municipal Bonds (Cost $8,740)		9,891

	Supranational — 0.1%
	3,000	African Development Bank, 8.800%, 09/01/19		4,012
		Corp. Andina de Fomento,
	641	3.750%, 01/15/16		679
	397	5.200%, 05/21/13		401

		Total Supranational (Cost $5,049)		5,092


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Government Agency Securities — 1.5%
	646	Federal Farm Credit Banks, 5.125%, 11/15/18		783
	1,525	Federal Home Loan Bank, 5.500%, 07/15/36		2,052
		Federal National Mortgage Association,
	6,000	Zero Coupon, 06/01/17		5,764
	1,000	5.000%, 05/11/17		1,178
		Financing Corp. Fico,
	3,500	Zero Coupon, 05/11/18		3,288
	2,000	Zero Coupon, 04/05/19		1,810
	1,240	Zero Coupon, 09/26/19		1,115
		Government Trust Certificate,
	4,000	Zero Coupon, 10/01/15		3,875
	5,000	Zero Coupon, 04/01/16		4,803
	13,319	Zero Coupon, 10/01/19		11,616
		Residual Funding Corp. STRIPS,
	4,000	Zero Coupon, 10/15/19		3,624
	11,050	Zero Coupon, 07/15/20		9,757
	4,930	Zero Coupon, 10/15/20		4,310
		Tennessee Valley Authority,
	304	4.625%, 09/15/60		347
	765	5.880%, 04/01/36		1,055
	2,000	Tennessee Valley Authority STRIPS, Zero Coupon, 05/01/19		1,790

		Total U.S. Government Agency Securities (Cost $54,459)		57,167

	U.S. Treasury Obligations — 25.0%
		U.S. Treasury Bonds,
	7,575	4.500%, 02/15/36		9,665
	600	4.500%, 05/15/38		768
	300	4.500%, 08/15/39		385
	1,500	4.750%, 02/15/37		1,984
	1,000	5.000%, 05/15/37		1,368
	1,250	5.375%, 02/15/31		1,740
	750	6.125%, 11/15/27		1,093
	300	6.125%, 08/15/29		445
	2,296	6.250%, 08/15/23		3,249
	900	6.250%, 05/15/30		1,359
	400	6.625%, 02/15/27		604
	4,690	7.500%, 11/15/16		5,894
	1,881	7.875%, 02/15/21		2,801
	864	8.125%, 05/15/21		1,312
	2,225	8.500%, 02/15/20		3,318
	1,500	8.750%, 05/15/20		2,281
	6,675	8.750%, 08/15/20		10,232
	22,765	8.875%, 08/15/17		31,019


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — Continued
		U.S. Treasury Inflation Indexed Bonds,
	300	2.500%, 01/15/29		449
	799	3.625%, 04/15/28 (m)		1,773
		U.S. Treasury Inflation Indexed Notes,
	1,000	0.500%, 04/15/15		1,114
	1,500	0.625%, 04/15/13		1,635
	1,000	1.125%, 01/15/21		1,236
	1,000	1.250%, 04/15/14		1,125
	630	1.375%, 07/15/18		787
	2,000	2.000%, 01/15/14		2,578
		U.S. Treasury Notes,
	1,500	0.250%, 10/31/13		1,501
	3,560	0.875%, 01/31/18		3,581
	4,510	1.000%, 11/30/19		4,454
	11,635	1.375%, 11/30/18		11,915
	4,900	1.500%, 08/31/18		5,060
	2,000	1.750%, 04/15/13		2,004
	1,000	1.750%, 01/31/14		1,015
	31,000	1.750%, 10/31/18 (m)		32,414
	1,000	1.875%, 02/28/14		1,017
	2,000	1.875%, 04/30/14		2,039
	12,245	2.125%, 12/31/15		12,862
	21,972	2.625%, 12/31/14		22,932
	1,000	2.625%, 02/29/16		1,068
	4,575	2.625%, 04/30/16		4,895
	9,300	2.625%, 01/31/18		10,145
	700	2.625%, 08/15/20		763
	1,000	2.625%, 11/15/20		1,089
	500	2.750%, 10/31/13		509
	19,485	2.750%, 05/31/17		21,240
	7,500	2.750%, 12/31/17		8,224
	1,000	3.125%, 04/30/13		1,005
	8,000	3.125%, 10/31/16		8,765
	6,015	3.125%, 04/30/17		6,643
	11,638	3.125%, 05/15/19		13,111
	5,400	3.125%, 05/15/21		6,071
	15,700	3.250%, 12/31/16		17,323
	12,300	3.250%, 03/31/17		13,630
	2,000	3.375%, 07/31/13		2,027
	900	3.500%, 02/15/18		1,020
	1,000	3.500%, 05/15/20		1,153
	7,000	3.625%, 02/15/21		8,144
	10,000	4.000%, 02/15/15		10,732
	2,000	4.250%, 08/15/13		2,038
	3,725	4.500%, 11/15/15		4,143
	10,375	4.750%, 08/15/17		12,251


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		U.S. Treasury STRIPS,
	14,400	02/15/14 (m)		14,373
	7,665	08/15/14 (m)		7,640
	23,533	11/15/14 (m)		23,437
	20,680	02/15/15		20,573
	17,230	02/15/15 (m)		17,141
	3,926	05/15/15		3,900
	3,253	08/15/15		3,227
	28,397	11/15/15		28,130
	5,445	11/15/15		5,395
	51,751	02/15/16		51,171
	14,070	05/15/16		13,877
	1,000	05/15/16		986
	5,681	08/15/16		5,587
	15,857	11/15/16		15,546
	20,629	02/15/17		20,151
	21,411	08/15/17		20,767
	20,589	11/15/17		19,881
	2,000	02/15/18		1,923
	8,400	05/15/18		8,039
	16,241	08/15/18		15,463
	6,982	02/15/19		6,568
	10,595	05/15/19		9,903
	22,360	08/15/19		20,757
	2,435	02/15/20		2,227
	67,929	05/15/20 (m)		61,635
	250	05/15/20		227
	37,935	08/15/20 (m)		34,157
	655	11/15/20		585
	345	02/15/21		305
	17,000	05/15/21		14,883
	4,300	08/15/21		3,731
	8,025	11/15/21		6,888
	6,778	02/15/22		5,764
	5,487	02/15/23		4,482
	1,000	05/15/23		809
	200	05/15/24		155
	600	08/15/24		460
	1,400	11/15/24		1,063
	1,000	02/15/26		719
	1,500	05/15/26		1,067
	1,592	08/15/26		1,120
	28,150	11/15/26		19,600
	28,300	02/15/27		19,482
	3,550	05/15/27		2,418
	5,000	08/15/27		3,368


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — Continued
	800	11/15/27		533
	8,860	02/15/28		5,844
	1,600	05/15/28		1,045
	3,000	08/15/28		1,939
	2,500	11/15/28		1,599
	925	02/15/29		585
	1,600	08/15/29		992
	1,650	11/15/29		1,013
	21,300	02/15/30		12,949
	2,000	05/15/30		1,204
	8,200	08/15/30		4,890
	7,425	11/15/30		4,383
	800	02/15/31		468
	2,000	05/15/31		1,158
	1,500	08/15/31		860
	3,000	11/15/31		1,704
	750	02/15/32		422
	1,000	05/15/32		557
	350	08/15/32		193
	6,140	11/15/32		3,356
	11,150	05/15/33		5,973
	3,050	08/15/33		1,618


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	4,500	11/15/33		2,361
	4,000	02/15/34		2,080
	2,800	05/15/34		1,442
	1,650	08/15/34		841
	2,850	02/15/35		1,424
	800	05/15/35		396
	100	08/15/35		49

		Total U.S. Treasury Obligations (Cost $846,634)		928,455


SHARES
	Short-Term Investment — 2.2%
		Investment Company — 2.2%
	82,653	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (Cost $82,653)		82,653

		Total Investments — 100.0% (Cost $3,440,624)		3,713,215
		Other Assets in Excess of Liabilities — 0.0% (g)		553

		NET ASSETS — 100.0%	$	3,713,768

Percentages indicated are based on net assets.


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 98.6%
		Consumer Discretionary — 11.3%
		Auto Components — 0.3%
	3	BorgWarner, Inc. (a)		205
	7	Delphi Automotive plc, (United Kingdom) (a)		291
	6	Goodyear Tire & Rubber Co. (The) (a)		75
	16	Johnson Controls, Inc.		506

				1,077

		Automobiles — 0.4%
	90	Ford Motor Co.		1,132
	5	Harley-Davidson, Inc.		280

				1,412

		Distributors — 0.1%
	4	Genuine Parts Co.		259

		Diversified Consumer Services — 0.1%
	2	Apollo Group, Inc., Class A (a)		40
	6	H&R Block, Inc.		159

				199

		Hotels, Restaurants & Leisure — 1.8%
	10	Carnival Corp.		375
	1	Chipotle Mexican Grill, Inc. (a)		235
	3	Darden Restaurants, Inc.		140
	6	International Game Technology		100
	6	Marriott International, Inc., Class A		229
	24	McDonald’s Corp.		2,266
	18	Starbucks Corp.		960
	5	Starwood Hotels & Resorts Worldwide, Inc.		278
	3	Wyndham Worldwide Corp.		199
	2	Wynn Resorts Ltd.		219
	11	Yum! Brands, Inc.		696

				5,697

		Household Durables — 0.3%
	7	D.R. Horton, Inc.		147
	3	Garmin Ltd., (Switzerland)		88
	2	Harman International Industries, Inc.		68
	3	Leggett & Platt, Inc.		102
	4	Lennar Corp., Class A		149
	7	Newell Rubbermaid, Inc.		158
	8	PulteGroup, Inc. (a)		153
	2	Whirlpool Corp.		207

				1,072

		Internet & Catalog Retail — 1.1%
	9	Amazon.com, Inc. (a)		2,254
	2	Expedia, Inc.		140
	1	Netflix, Inc. (a)		246


SHARES			SECURITY DESCRIPTION	VALUE($)

			Internet & Catalog Retail — Continued
	1		priceline.com, Inc. (a)		807
	3		TripAdvisor, Inc. (a)		117

					3,564

			Leisure Equipment & Products — 0.1%
	3		Hasbro, Inc.		109
	8		Mattel, Inc.		329

					438

			Media — 3.4%
	5		Cablevision Systems Corp., Class A		71
	14		CBS Corp. (Non-Voting), Class B		603
	63		Comcast Corp., Class A		2,489
	14		DIRECTV (a)		685
	6		Discovery Communications, Inc., Class A (a)		412
	5		Gannett Co., Inc.		108
	10		Interpublic Group of Cos., Inc. (The)		130
	47		News Corp., Class A		1,367
	6		Omnicom Group, Inc.		358
	2		Scripps Networks Interactive, Inc., Class A		129
	7		Time Warner Cable, Inc.		614
	22		Time Warner, Inc.		1,185
	11		Viacom, Inc., Class B		636
	42		Walt Disney Co. (The)		2,277
	—	(h)	Washington Post Co. (The), Class B		42

					11,106

			Multiline Retail — 0.8%
	6		Dollar General Corp. (a)		286
	5		Dollar Tree, Inc. (a)		242
	2		Family Dollar Stores, Inc.		130
	3		J.C. Penney Co., Inc.		59
	5		Kohl’s Corp.		230
	9		Macy’s, Inc.		382
	4		Nordstrom, Inc.		194
	15		Target Corp.		964

					2,487

			Specialty Retail — 2.2%
	2		Abercrombie & Fitch Co., Class A		87
	1		AutoNation, Inc. (a)		40
	1		AutoZone, Inc. (a)		330
	5		Bed Bath & Beyond, Inc. (a)		306
	6		Best Buy Co., Inc.		103
	5		CarMax, Inc. (a)		207
	3		GameStop Corp., Class A		72
	7		Gap, Inc. (The)		230


SHARES			SECURITY DESCRIPTION	VALUE($)
	Common Stocks — Continued
			Specialty Retail — Continued
	35		Home Depot, Inc. (The)		2,411
	6		Limited Brands, Inc.		257
	26		Lowe’s Cos., Inc.		1,010
	3		O’Reilly Automotive, Inc. (a)		275
	3		PetSmart, Inc.		165
	5		Ross Stores, Inc.		304
	16		Staples, Inc.		209
	3		Tiffany & Co.		188
	17		TJX Cos., Inc.		772
	3		Urban Outfitters, Inc. (a)		104

					7,070

			Textiles, Apparel & Luxury Goods — 0.7%
	7		Coach, Inc.		323
	1		Fossil, Inc. (a)		131
	17		NIKE, Inc., Class B		936
	2		PVH Corp.		223
	1		Ralph Lauren Corp.		250
	2		V.F. Corp.		334

					2,197

			Total Consumer Discretionary		36,578

			Consumer Staples — 10.7%
			Beverages — 2.4%
	4		Beam, Inc.		229
	4		Brown-Forman Corp., Class B		234
	91		Coca-Cola Co. (The)		3,515
	6		Coca-Cola Enterprises, Inc.		227
	4		Constellation Brands, Inc., Class A (a)		158
	—	(h)	Crimson Wine Group Ltd. (a)		4
	5		Dr. Pepper Snapple Group, Inc.		214
	4		Molson Coors Brewing Co., Class B		162
	4		Monster Beverage Corp. (a)		177
	36		PepsiCo, Inc.		2,759

					7,679

			Food & Staples Retailing — 2.3%
	10		Costco Wholesale Corp.		1,031
	29		CVS Caremark Corp.		1,500
	12		Kroger Co. (The)		353
	6		Safeway, Inc.		134
	14		Sysco Corp.		445
	20		Walgreen Co.		828
	39		Wal-Mart Stores, Inc.		2,787
	4		Whole Foods Market, Inc.		348

					7,426


SHARES		SECURITY DESCRIPTION	VALUE($)

		Food Products — 1.8%
	16	Archer-Daniels-Midland Co.		494
	4	Campbell Soup Co.		174
	10	ConAgra Foods, Inc.		327
	4	Dean Foods Co. (a)		72
	15	General Mills, Inc.		703
	8	H.J. Heinz Co.		547
	4	Hershey Co. (The)		293
	3	Hormel Foods Corp.		118
	3	JM Smucker Co. (The)		243
	6	Kellogg Co.		352
	14	Kraft Foods Group, Inc.		676
	3	McCormick & Co., Inc. (Non-Voting)		210
	5	Mead Johnson Nutrition Co.		358
	42	Mondelez International, Inc., Class A		1,157
	7	Tyson Foods, Inc., Class A		153

				5,877

		Household Products — 2.2%
	3	Clorox Co. (The)		258
	10	Colgate-Palmolive Co.		1,196
	9	Kimberly-Clark Corp.		868
	64	Procter & Gamble Co. (The)		4,903

				7,225

		Personal Products — 0.2%
	10	Avon Products, Inc.		199
	6	Estee Lauder Cos., Inc. (The), Class A		362

				561

		Tobacco — 1.8%
	48	Altria Group, Inc.		1,599
	9	Lorillard, Inc.		352
	39	Philip Morris International, Inc.		3,608
	8	Reynolds American, Inc.		334

				5,893

		Total Consumer Staples		34,661

		Energy — 11.0%
		Energy Equipment & Services — 1.9%
	10	Baker Hughes, Inc.		464
	6	Cameron International Corp. (a)		370
	2	Diamond Offshore Drilling, Inc.		114
	5	Ensco plc, (United Kingdom), Class A		329
	6	FMC Technologies, Inc. (a)		290
	22	Halliburton Co.		907
	2	Helmerich & Payne, Inc.		165
	7	Nabors Industries Ltd., (Bermuda) (a)		114


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — Continued
		Energy Equipment & Services — Continued
	10	National Oilwell Varco, Inc.		685
	6	Noble Corp., (Switzerland)		213
	3	Rowan Cos. plc, Class A (a)		101
	31	Schlumberger Ltd.		2,433

				6,185

		Oil, Gas & Consumable Fuels — 9.1%
	12	Anadarko Petroleum Corp.		936
	9	Apache Corp.		684
	5	Cabot Oil & Gas Corp.		306
	12	Chesapeake Energy Corp.		246
	46	Chevron Corp.		5,397
	29	ConocoPhillips		1,656
	5	CONSOL Energy, Inc.		172
	9	Denbury Resources, Inc. (a)		165
	9	Devon Energy Corp.		481
	6	EOG Resources, Inc.		801
	4	EQT Corp.		222
	107	Exxon Mobil Corp.		9,611
	7	Hess Corp.		465
	15	Kinder Morgan, Inc.		552
	17	Marathon Oil Corp.		557
	8	Marathon Petroleum Corp.		662
	4	Murphy Oil Corp.		265
	3	Newfield Exploration Co. (a)		74
	4	Noble Energy, Inc.		464
	19	Occidental Petroleum Corp.		1,570
	6	Peabody Energy Corp.		136
	15	Phillips 66		927
	3	Pioneer Natural Resources Co.		390
	4	QEP Resources, Inc.		128
	4	Range Resources Corp.		294
	8	Southwestern Energy Co. (a)		282
	16	Spectra Energy Corp.		455
	3	Tesoro Corp.		186
	13	Valero Energy Corp.		594
	16	Williams Cos., Inc. (The)		550
	5	WPX Energy, Inc. (a)		67

				29,295

		Total Energy		35,480

		Financials — 15.6%
		Capital Markets — 2.1%
	5	Ameriprise Financial, Inc.		338
	28	Bank of New York Mellon Corp. (The)		746
	3	BlackRock, Inc.		708


SHARES		SECURITY DESCRIPTION	VALUE($)

		Capital Markets — Continued
	26	Charles Schwab Corp. (The)		419
	6	E*TRADE Financial Corp. (a)		65
	3	Franklin Resources, Inc.		459
	10	Goldman Sachs Group, Inc. (The)		1,557
	10	Invesco Ltd.		280
	3	Legg Mason, Inc.		79
	33	Morgan Stanley		734
	5	Northern Trust Corp.		273
	11	State Street Corp.		619
	6	T. Rowe Price Group, Inc.		427

				6,704

		Commercial Banks — 2.7%
	16	BB&T Corp.		500
	4	Comerica, Inc.		154
	21	Fifth Third Bancorp		335
	6	First Horizon National Corp.		62
	20	Huntington Bancshares, Inc.		141
	22	KeyCorp		206
	3	M&T Bank Corp.		292
	12	PNC Financial Services Group, Inc.		777
	33	Regions Financial Corp.		254
	13	SunTrust Banks, Inc.		350
	44	U.S. Bancorp		1,504
	115	Wells Fargo & Co.		4,043
	4	Zions Bancorp		105

				8,723

		Consumer Finance — 0.9%
	23	American Express Co.		1,424
	14	Capital One Financial Corp.		699
	12	Discover Financial Services		458
	11	SLM Corp.		206

				2,787

		Diversified Financial Services — 3.6%
	254	Bank of America Corp.		2,849
	69	Citigroup, Inc.		2,897
	7	CME Group, Inc.		432
	2	IntercontinentalExchange, Inc. (a)		265
	89	JPMorgan Chase & Co. (q)		4,377
	5	Leucadia National Corp.		126
	7	McGraw-Hill Cos., Inc. (The)		304
	5	Moody’s Corp.		220
	3	NASDAQ OMX Group, Inc. (The)		87
	6	NYSE Euronext		213

				11,770


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — Continued
		Insurance — 4.1%
	8	ACE Ltd., (Switzerland)		683
	11	Aflac, Inc.		551
	11	Allstate Corp. (The)		522
	35	American International Group, Inc. (a)		1,321
	8	Aon plc, (United Kingdom)		458
	2	Assurant, Inc.		78
	43	Berkshire Hathaway, Inc., Class B (a)		4,386
	6	Chubb Corp. (The)		518
	3	Cincinnati Financial Corp.		155
	12	Genworth Financial, Inc., Class A (a)		99
	10	Hartford Financial Services Group, Inc.		243
	6	Lincoln National Corp.		191
	7	Loews Corp.		316
	13	Marsh & McLennan Cos., Inc.		476
	26	MetLife, Inc.		910
	6	Principal Financial Group, Inc.		205
	13	Progressive Corp. (The)		319
	11	Prudential Financial, Inc.		607
	2	Torchmark Corp.		126
	9	Travelers Cos., Inc. (The)		722
	6	Unum Group		158
	7	XL Group plc, (Ireland)		203

				13,247

		Real Estate Investment Trusts (REITs) — 2.1%
	9	American Tower Corp.		722
	3	Apartment Investment & Management Co., Class A		102
	3	AvalonBay Communities, Inc.		336
	4	Boston Properties, Inc.		369
	8	Equity Residential		417
	11	HCP, Inc.		520
	6	Health Care REIT, Inc.		392
	17	Host Hotels & Resorts, Inc.		284
	10	Kimco Realty Corp.		209
	4	Plum Creek Timber Co., Inc.		184
	11	Prologis, Inc.		423
	3	Public Storage		513
	7	Simon Property Group, Inc.		1,157
	7	Ventas, Inc.		492
	4	Vornado Realty Trust		320
	13	Weyerhaeuser Co.		375

				6,815

		Real Estate Management & Development — 0.0% (g)
	7	CBRE Group, Inc., Class A (a)		172


SHARES		SECURITY DESCRIPTION	VALUE($)

		Thrifts & Mortgage Finance — 0.1%
	11	Hudson City Bancorp, Inc.		95
	8	People’s United Financial, Inc.		107

				202

		Total Financials		50,420

		Health Care — 12.1%
		Biotechnology — 1.7%
	5	Alexion Pharmaceuticals, Inc. (a)		397
	18	Amgen, Inc.		1,651
	6	Biogen Idec, Inc. (a)		926
	10	Celgene Corp. (a)		1,027
	36	Gilead Sciences, Inc. (a)		1,524

				5,525

		Health Care Equipment & Supplies — 2.1%
	37	Abbott Laboratories		1,257
	13	Baxter International, Inc.		874
	5	Becton, Dickinson & Co.		408
	32	Boston Scientific Corp. (a)		239
	2	C.R. Bard, Inc.		178
	5	CareFusion Corp. (a)		171
	11	Covidien plc, (Ireland)		708
	3	DENTSPLY International, Inc.		138
	3	Edwards Lifesciences Corp. (a)		234
	1	Intuitive Surgical, Inc. (a)		477
	24	Medtronic, Inc.		1,070
	7	St. Jude Medical, Inc.		298
	7	Stryker Corp.		435
	3	Varian Medical Systems, Inc. (a)		182
	4	Zimmer Holdings, Inc.		306

				6,975

		Health Care Providers & Services — 1.9%
	8	Aetna, Inc.		372
	6	AmerisourceBergen Corp.		262
	8	Cardinal Health, Inc.		370
	7	Cigna Corp.		393
	3	Coventry Health Care, Inc.		144
	2	DaVita HealthCare Partners, Inc. (a)		236
	19	Express Scripts Holding Co. (a)		1,094
	4	Humana, Inc.		254
	2	Laboratory Corp. of America Holdings (a)		197
	6	McKesson Corp.		590
	2	Patterson Cos., Inc.		72
	4	Quest Diagnostics, Inc.		210
	3	Tenet Healthcare Corp. (a)		98


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — Continued
		Health Care Providers & Services — Continued
	24	UnitedHealth Group, Inc.		1,285
	7	WellPoint, Inc.		444

				6,021

		Health Care Technology — 0.1%
	3	Cerner Corp. (a)		300

		Life Sciences Tools & Services — 0.5%
	8	Agilent Technologies, Inc.		340
	4	Life Technologies Corp. (a)		236
	3	PerkinElmer, Inc.		92
	8	Thermo Fisher Scientific, Inc.		626
	2	Waters Corp. (a)		190

				1,484

		Pharmaceuticals — 5.8%
	37	AbbVie, Inc.		1,374
	3	Actavis, Inc. (a)		256
	7	Allergan, Inc.		785
	39	Bristol-Myers Squibb Co.		1,436
	24	Eli Lilly & Co.		1,314
	6	Forest Laboratories, Inc. (a)		203
	4	Hospira, Inc. (a)		114
	65	Johnson & Johnson		4,965
	72	Merck & Co., Inc.		3,058
	10	Mylan, Inc. (a)		284
	2	Perrigo Co.		235
	173	Pfizer, Inc.		4,743

				18,767

		Total Health Care		39,072

		Industrials — 10.1%
		Aerospace & Defense — 2.3%
	16	Boeing Co. (The)		1,229
	8	General Dynamics Corp.		531
	18	Honeywell International, Inc.		1,293
	2	L-3 Communications Holdings, Inc.		169
	6	Lockheed Martin Corp.		556
	6	Northrop Grumman Corp.		380
	3	Precision Castparts Corp.		639
	8	Raytheon Co.		424
	3	Rockwell Collins, Inc.		198
	7	Textron, Inc.		191
	20	United Technologies Corp.		1,797

				7,407


SHARES		SECURITY DESCRIPTION	VALUE($)

		Air Freight & Logistics — 0.8%
	4	C.H. Robinson Worldwide, Inc.		216
	5	Expeditors International of Washington, Inc.		191
	7	FedEx Corp.		725
	17	United Parcel Service, Inc., Class B		1,392

				2,524

		Airlines — 0.1%
	17	Southwest Airlines Co.		203

		Building Products — 0.0% (g)
	8	Masco Corp.		162

		Commercial Services & Supplies — 0.5%
	5	ADT Corp. (The)		262
	2	Avery Dennison Corp.		96
	2	Cintas Corp.		110
	4	Iron Mountain, Inc.		135
	5	Pitney Bowes, Inc.		62
	7	Republic Services, Inc.		221
	2	Stericycle, Inc. (a)		194
	11	Tyco International Ltd., (Switzerland)		351
	10	Waste Management, Inc.		383

				1,814

		Construction & Engineering — 0.2%
	4	Fluor Corp.		243
	3	Jacobs Engineering Group, Inc. (a)		150
	5	Quanta Services, Inc. (a)		142

				535

		Electrical Equipment — 0.7%
	11	Eaton Corp. plc, (Ireland)		674
	17	Emerson Electric Co.		966
	3	Rockwell Automation, Inc.		296
	2	Roper Industries, Inc.		289

				2,225

		Industrial Conglomerates — 2.5%
	15	3M Co.		1,558
	14	Danaher Corp.		844
	247	General Electric Co.		5,731

				8,133

		Machinery — 1.9%
	15	Caterpillar, Inc.		1,422
	4	Cummins, Inc.		482
	9	Deere & Co.		810
	4	Dover Corp.		309
	1	Flowserve Corp.		189


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — Continued
		Machinery — Continued
	10	Illinois Tool Works, Inc.		617
	7	Ingersoll-Rand plc, (Ireland)		347
	2	Joy Global, Inc.		158
	8	PACCAR, Inc.		394
	3	Pall Corp.		178
	4	Parker Hannifin Corp.		332
	5	Pentair Ltd., (Switzerland)		264
	1	Snap-on, Inc.		110
	4	Stanley Black & Decker, Inc.		313
	4	Xylem, Inc.		120

				6,045

		Professional Services — 0.1%
	1	Dun & Bradstreet Corp. (The)		85
	3	Equifax, Inc.		155
	3	Robert Half International, Inc.		118

				358

		Road & Rail — 0.8%
	24	CSX Corp.		557
	7	Norfolk Southern Corp.		543
	1	Ryder System, Inc.		68
	11	Union Pacific Corp.		1,518

				2,686

		Trading Companies & Distributors — 0.2%
	6	Fastenal Co.		328
	1	W.W. Grainger, Inc.		318

				646

		Total Industrials		32,738

		Information Technology — 18.0%
		Communications Equipment — 1.9%
	125	Cisco Systems, Inc.		2,606
	2	F5 Networks, Inc. (a)		176
	3	Harris Corp.		128
	6	JDS Uniphase Corp. (a)		78
	12	Juniper Networks, Inc. (a)		251
	7	Motorola Solutions, Inc.		411
	40	QUALCOMM, Inc.		2,632

				6,282

		Computers & Peripherals — 4.1%
	22	Apple, Inc.		9,774
	34	Dell, Inc.		479
	50	EMC Corp. (a)		1,141
	46	Hewlett-Packard Co.		932
	8	NetApp, Inc. (a)		285


SHARES		SECURITY DESCRIPTION	VALUE($)

		Computers & Peripherals — Continued
	6	SanDisk Corp. (a)		287
	8	Seagate Technology plc, (Ireland)		254
	5	Western Digital Corp.		244

				13,396

		Electronic Equipment, Instruments & Components — 0.4%
	4	Amphenol Corp., Class A		267
	35	Corning, Inc.		439
	4	FLIR Systems, Inc.		93
	4	Jabil Circuit, Inc.		83
	3	Molex, Inc.		90
	10	TE Connectivity Ltd., (Switzerland)		399

				1,371

		Internet Software & Services — 2.3%
	4	Akamai Technologies, Inc. (a)		154
	27	eBay, Inc. (a)		1,499
	6	Google, Inc., Class A (a)		5,020
	4	VeriSign, Inc. (a)		167
	24	Yahoo!, Inc. (a)		522

				7,362

		IT Services — 3.8%
	15	Accenture plc, (Ireland), Class A		1,118
	11	Automatic Data Processing, Inc.		701
	7	Cognizant Technology Solutions Corp., Class A (a)		542
	4	Computer Sciences Corp.		176
	6	Fidelity National Information Services, Inc.		221
	3	Fiserv, Inc. (a)		258
	25	International Business Machines Corp.		5,021
	3	MasterCard, Inc., Class A		1,302
	8	Paychex, Inc.		252
	7	SAIC, Inc.		79
	4	Teradata Corp. (a)		231
	4	Total System Services, Inc.		90
	12	Visa, Inc., Class A		1,947
	14	Western Union Co. (The)		197

				12,135

		Office Electronics — 0.1%
	30	Xerox Corp.		241

		Semiconductors & Semiconductor Equipment — 2.0%
	14	Advanced Micro Devices, Inc. (a)		35
	8	Altera Corp.		267
	7	Analog Devices, Inc.		321
	28	Applied Materials, Inc.		386


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — Continued
		Semiconductors & Semiconductor Equipment — Continued
	12	Broadcom Corp., Class A		417
	1	First Solar, Inc. (a)		36
	117	Intel Corp.		2,442
	4	KLA-Tencor Corp.		215
	4	Lam Research Corp. (a)		171
	5	Linear Technology Corp.		208
	13	LSI Corp. (a)		91
	5	Microchip Technology, Inc.		167
	24	Micron Technology, Inc. (a)		201
	15	NVIDIA Corp.		186
	4	Teradyne, Inc. (a)		74
	26	Texas Instruments, Inc.		907
	6	Xilinx, Inc.		229

				6,353

		Software — 3.4%
	12	Adobe Systems, Inc. (a)		458
	5	Autodesk, Inc. (a)		194
	3	BMC Software, Inc. (a)		135
	8	CA, Inc.		193
	4	Citrix Systems, Inc. (a)		312
	7	Electronic Arts, Inc. (a)		126
	7	Intuit, Inc.		422
	178	Microsoft Corp.		4,957
	88	Oracle Corp.		3,031
	5	Red Hat, Inc. (a)		231
	3	Salesforce.com, Inc. (a)		520
	16	Symantec Corp. (a)		383

				10,962

		Total Information Technology		58,102

		Materials — 3.4%
		Chemicals — 2.4%
	5	Air Products & Chemicals, Inc.		433
	2	Airgas, Inc.		166
	1	CF Industries Holdings, Inc.		297
	28	Dow Chemical Co. (The)		895
	22	E.I. du Pont de Nemours & Co.		1,051
	4	Eastman Chemical Co.		252
	6	Ecolab, Inc.		475
	3	FMC Corp.		195
	2	International Flavors & Fragrances, Inc.		140
	9	LyondellBasell Industries N.V., (Netherlands), Class A		524
	13	Monsanto Co.		1,271
	7	Mosaic Co. (The)		381


SHARES		SECURITY DESCRIPTION	VALUE($)

		Chemicals — Continued
	3	PPG Industries, Inc.		453
	7	Praxair, Inc.		791
	2	Sherwin-Williams Co. (The)		326
	3	Sigma-Aldrich Corp.		218

				7,868

		Construction Materials — 0.1%
	3	Vulcan Materials Co.		155

		Containers & Packaging — 0.1%
	4	Ball Corp.		161
	2	Bemis Co., Inc.		91
	4	Owens-Illinois, Inc. (a)		99
	5	Sealed Air Corp.		101

				452

		Metals & Mining — 0.6%
	25	Alcoa, Inc.		214
	3	Allegheny Technologies, Inc.		77
	3	Cliffs Natural Resources, Inc.		85
	22	Freeport-McMoRan Copper & Gold, Inc.		713
	12	Newmont Mining Corp.		471
	7	Nucor Corp.		337
	3	United States Steel Corp.		71

				1,968

		Paper & Forest Products — 0.2%
	10	International Paper Co.		455
	4	MeadWestvaco Corp.		147

				602

		Total Materials		11,045

		Telecommunication Services — 3.0%
		Diversified Telecommunication Services — 2.7%
	134	AT&T, Inc.		4,801
	15	CenturyLink, Inc.		509
	24	Frontier Communications Corp.		97
	67	Verizon Communications, Inc.		3,126
	14	Windstream Corp.		119

				8,652

		Wireless Telecommunication Services — 0.3%
	7	Crown Castle International Corp. (a)		482
	7	MetroPCS Communications, Inc. (a)		73
	71	Sprint Nextel Corp. (a)		410

				965

		Total Telecommunication Services		9,617


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — Continued
		Utilities — 3.4%
		Electric Utilities — 2.0%
	11	American Electric Power Co., Inc.		534
	17	Duke Energy Corp.		1,148
	8	Edison International		368
	4	Entergy Corp.		261
	20	Exelon Corp.		623
	10	FirstEnergy Corp.		389
	10	NextEra Energy, Inc.		716
	7	Northeast Utilities		307
	5	Pepco Holdings, Inc.		110
	3	Pinnacle West Capital Corp.		144
	14	PPL Corp.		422
	21	Southern Co. (The)		926
	11	Xcel Energy, Inc.		329

				6,277

		Gas Utilities — 0.1%
	3	AGL Resources, Inc.		111
	5	ONEOK, Inc.		216

				327

		Independent Power Producers & Energy Traders — 0.1%
	15	AES Corp. (The)		169
	8	NRG Energy, Inc.		182

				351

		Multi-Utilities — 1.2%
	6	Ameren Corp.		193
	10	CenterPoint Energy, Inc.		216
	6	CMS Energy Corp.		165
	7	Consolidated Edison, Inc.		407
	14	Dominion Resources, Inc.		757
	4	DTE Energy Co.		270
	2	Integrys Energy Group, Inc.		104
	7	NiSource, Inc.		202
	10	PG&E Corp.		432


SHARES		SECURITY DESCRIPTION	VALUE($)

		Multi-Utilities — Continued
	12	Public Service Enterprise Group, Inc.		388
	3	SCANA Corp.		151
	5	Sempra Energy		412
	5	TECO Energy, Inc.		83
	5	Wisconsin Energy Corp.		224

				4,004

		Total Utilities		10,959

		Total Common Stocks (Cost $203,061)		318,672

	Investment Company — 0.1%
	3	SPDR S&P 500 ETF Trust (Cost $347)		424


PRINCIPAL AMOUNT($)
	Short-Term Investments — 0.8%
	U.S. Treasury Obligation — 0.1%
	325	U.S. Treasury Bills, 0.055%, 04/04/13 (k) (n) (Cost $325)		325


SHARES
		Investment Company — 0.7%
	2,385	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (m) (Cost $2,385)		2,385

		Total Short-Term Investments (Cost $2,710)		2,710

		Total Investments — 99.5% (Cost $206,118)		321,806
		Other Assets in Excess of Liabilities — 0.5%		1,529

		NET ASSETS — 100.0%	$	323,335

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — 4.2%
	158	Academic Loan Funding Trust, Series 2012-1A, Class A1, VAR, 1.002%, 12/27/22 (e)		160
		Ally Auto Receivables Trust,
	49	Series 2010-4, Class A3, 0.910%, 11/17/14		49
	124	Series 2012-1, Class A3, 0.930%, 02/16/16		125
	377	Series 2012-2, Class A3, 0.740%, 04/15/16		379
	216	Series 2012-4, Class A2, 0.480%, 05/15/15		216
	198	Series 2012-5, Class A2, 0.450%, 07/15/15		198
		American Credit Acceptance Receivables Trust,
	83	Series 2012-1, Class A2, 3.040%, 10/15/15 (e)		84
	221	Series 2012-2, Class A, 1.890%, 07/15/16 (e)		222
	76	Series 2012-3, Class A, 1.640%, 11/15/16 (e)		76
		AmeriCredit Automobile Receivables Trust,
	48	Series 2010-3, Class A3, 1.140%, 04/08/15		48
	36	Series 2010-4, Class A3, 1.270%, 04/08/15		36
	15	Series 2011-3, Class A2, 0.840%, 11/10/14		15
	219	Series 2011-5, Class A3, 1.550%, 07/08/16		222
	122	Series 2012-1, Class A2, 0.910%, 10/08/15		122
	94	Series 2012-1, Class A3, 1.230%, 09/08/16		95
	70	Series 2012-4, Class A2, 0.490%, 04/08/16		70
	196	Series 2013-1, Class A2, 0.490%, 06/08/16		196
	53	Series 2013-1, Class A3, 0.610%, 10/10/17		53
		Bank of America Auto Trust,
	49	Series 2010-1A, Class A4, 2.180%, 02/15/17 (e)		49
	123	Series 2010-2, Class A4, 1.940%, 06/15/17		123
	57	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.572%, 04/25/36		53
		BMW Vehicle Lease Trust,
	146	Series 2013-1, Class A2, 0.400%, 01/20/15		146
	48	Series 2013-1, Class A3, 0.540%, 09/21/15		48
	100	Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)		102
	141	California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 08/15/17 (e)		141
	247	Capital Auto Receivables Asset Trust, Series 2013-1, Class A2, 0.620%, 07/20/16		247
	45	CarNow Auto Receivables Trust, Series 2012-1A, Class A, 2.090%, 01/15/15 (e)		45
	170	Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		175
		CNH Equipment Trust,
	63	Series 2010-C, Class A3, 1.170%, 05/15/15		63


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	23	Series 2012-A, Class A2, 0.650%, 07/15/15		23
	99	Series 2012-A, Class A3, 0.940%, 05/15/17		100
	158	Series 2012-C, Class A2, 0.440%, 02/16/16		158
	300	Concord Funding Co. LLC, Series 2012-2, Class A, 3.145%, 01/15/17 (e)		300
		CPS Auto Receivables Trust,
	64	Series 2011-C, Class A, 4.210%, 03/15/19 (e)		67
	58	Series 2012-A, Class A, 2.780%, 06/17/19 (e)		59
	333	Series 2012-B, Class A, 2.520%, 09/16/19 (e)		334
	204	Discover Card Master Trust, Series 2012-A1, Class A1, 0.810%, 08/15/17		206
	100	DT Auto Owner Trust, Series 2012-2A, Class A, 0.910%, 11/16/15 (e)		100
		First Investors Auto Owner Trust,
	96	Series 2012-2A, Class A2, 1.470%, 05/15/18 (e)		96
	100	Series 2013-1A, Class A2, 0.900%, 10/15/18 (e)		100
		Ford Credit Auto Owner Trust,
	75	Series 2009-B, Class A4, 4.500%, 07/15/14		75
	176	Series 2012-A, Class A3, 0.840%, 08/15/16		177
	100	Series 2012-D, Class A2, 0.400%, 09/15/15		100
	100	Series 2012-D, Class A3, 0.510%, 04/15/17		100
	140	Ford Credit Floorplan Master Owner Trust, Series 2013-1, Class A2, VAR, 0.581%, 01/15/18		140
	162	Fortress Opportunities Residential Transaction, Series 2011-1A, Class A1, VAR, 7.211%, 10/25/47 (e)		163
	83	GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		81
		GE Equipment Midticket LLC,
	200	Series 2012-1, Class A3, 0.600%, 05/23/16		200
	60	Series 2012-1, Class A4, 0.780%, 09/22/20		60
	60	GE Equipment Transportation LLC, Series 2012-2, Class A2, 0.470%, 04/24/15		60
	34	Harley-Davidson Motorcycle Trust, Series 2010-1, Class A3, 1.160%, 02/15/15		34
		HLSS Servicer Advance Receivables Backed Notes,
	232	Series 2012-T2, Class A1, 1.340%, 10/15/43 (e)		233
	244	Series 2012-T2, Class A2, 1.990%, 10/15/45 (e)		249
	193	Series 2013-T1, Class A1, 0.898%, 01/15/44 (e)		193


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
	165	Series 2013-T1, Class A2, 1.495%, 01/16/46 (e)		166
		Honda Auto Receivables Owner Trust,
	108	Series 2012-1, Class A3, 0.770%, 01/15/16		108
	56	Series 2012-1, Class A4, 0.970%, 04/16/18		57
	114	Series 2013-1, Class A2, 0.350%, 06/22/15		114
	70	HSBC Home Equity Loan Trust, Series 2005-2, Class A1, VAR, 0.471%, 01/20/35		68
		HSBC Home Equity Loan Trust USA,
	52	Series 2006-1, Class A1, VAR, 0.361%, 01/20/36		51
	58	Series 2007-3, Class APT, VAR, 1.402%, 11/20/36		58
		Huntington Auto Trust,
	9	Series 2011-1A, Class A2, 0.760%, 04/15/14 (e)		9
	150	Series 2011-1A, Class A3, 1.010%, 01/15/16 (e)		151
	100	Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)		101
	116	Series 2012-1, Class A3, 0.810%, 09/15/16		116
	172	Series 2012-2, Class A2, 0.380%, 09/15/15		172
		Hyundai Auto Receivables Trust,
	47	Series 2010-B, Class A3, 0.970%, 04/15/15		48
	104	Series 2012-A, Class A3, 0.720%, 03/15/16		104
	232	Series 2012-B, Class A2, 0.540%, 01/15/15		232
	119	Series 2012-B, Class A3, 0.620%, 09/15/16		119
	91	John Deere Owner Trust, Series 2012-B, Class A2, 0.430%, 02/17/15		91
	36	LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) (i)		36
	200	Macquarie Equipment Funding Trust, Series 2012-A, Class A2, 0.610%, 04/20/15 (e)		200
		Mercedes-Benz Auto Receivables Trust,
	16	Series 2010-1, Class A3, 1.420%, 08/15/14		16
	83	Series 2012-1, Class A2, 0.370%, 03/16/15		83
	325	MMCA Auto Owner Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e)		329
	135	Nationstar Agency Advance Funding Trust, Series 2013-T1A, Class AT1, 0.000%, 02/15/45 (e)		135
	94	Nissan Auto Lease Trust, Series 2012-B, Class A2A, 0.450%, 06/15/15		94
		Nissan Auto Receivables Owner Trust,
	32	Series 2010-A, Class A3, 0.870%, 07/15/14		32
	75	Series 2010-A, Class A4, 1.310%, 09/15/16		76
	91	Series 2012-A, Class A3, 0.730%, 05/16/16		92


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	117	Series 2012-A, Class A4, 1.000%, 07/16/18		118
	207	Series 2013-A, Class A2, 0.370%, 09/15/15		207
	233	Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-MCW1, Class M1, VAR, 1.139%, 10/25/34		228
	150	RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.502%, 03/25/36		139
	161	Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (i)		161
		Resort Finance Timeshare Receivables Trust,
	377	Series 2012-1, Class A1, SUB, 6.250%, 07/05/18 (i)		377
	710	Series 2012-2, 5.750%, 09/05/18 (i)		710
		Santander Drive Auto Receivables Trust,
	100	Series 2010-A, Class A4, 2.390%, 06/15/17 (e)		102
	100	Series 2011-1, Class B, 2.350%, 11/16/15		102
	19	Series 2011-S2A, Class B, 2.060%, 06/15/17 (e)		19
	83	Series 2012-1, Class A2, 1.250%, 04/15/15		84
	46	Series 2012-2, Class A2, 0.910%, 05/15/15		46
	53	Series 2012-2, Class A3, 1.220%, 12/15/15		53
	58	Series 2012-5, Class A2, 0.570%, 12/15/15		58
	60	Series 2012-5, Class A3, 0.830%, 12/15/16		60
	56	Series 2012-6, Class A3, 0.620%, 07/15/16		56
	43	Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 4.051%, 01/25/36		28
	44	SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 06/15/16 (e)		44
	500	Springleaf Funding Trust, Series 2013-AA, Class A, 2.580%, 09/15/21 (e)		495
		Stanwich Mortgage Loan Co. LLC,
	202	Series 2012-NPL4, Class A, 2.981%, 09/15/42 (e) (i)		203
	327	Series 2012-NPL5, Class A, 2.981%, 10/18/42 (e) (i)		328
	429	Stanwich Mortgage Loan Trust, Series 2013-NPL1, Class A, 2.981%, 02/16/43 (e) (i)		429
	39	Toyota Auto Receivables Owner Trust, Series 2010-C, Class A3, 0.770%, 04/15/14		39
	321	Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.601%, 10/15/15 (e)		327
	41	USAA Auto Owner Trust, Series 2012-1, Class A2, 0.380%, 06/15/15		41
	213	Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16		214


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
			Volt LLC,
	331		Series 2012-1A, Class A1, SUB, 4.949%, 04/25/17 (e) (i)		332
	169		Series 2012-RP2A, Class A1, 4.704%, 06/26/17 (e) (i)		173
	139		VOLT LLC, Series 2012-RP3A, Class A1, SUB, 3.475%, 11/27/17 (e)		142
	234		Westgate Resorts LLC, Series 2012-1, Class A, 4.500%, 09/20/25 (e)		240
			World Omni Auto Receivables Trust,
	94		Series 2010-A, Class A4, 2.210%, 05/15/15		95
	162		Series 2012-A, Class A2, 0.520%, 06/15/15		162
	102		Series 2012-A, Class A3, 0.640%, 02/15/17		103
	123		Series 2012-B, Class A2, 0.430%, 11/16/15		123

			Total Asset-Backed Securities (Cost $15,764)		15,862

	Collateralized Mortgage Obligations — 24.3%
			Agency CMO — 19.4%
	64		Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 24, Class ZE, 6.250%, 11/25/23		72
			Federal Home Loan Mortgage Corp. REMICS,
	5		Series 11, Class D, 9.500%, 07/15/19		5
	—	(h)	Series 41, Class I, HB, 84.000%, 05/15/20		—	(h)
	3		Series 46, Class B, 7.800%, 09/15/20		3
	1		Series 47, Class F, 10.000%, 06/15/20		1
	—	(h)	Series 85, Class C, 8.600%, 01/15/21		—	(h)
	2		Series 99, Class Z, 9.500%, 01/15/21		3
	14		Series 114, Class H, 6.950%, 01/15/21		16
	1		Series 1079, Class S, HB, IF, 33.150%, 05/15/21		1
	1		Series 1084, Class F, VAR, 1.200%, 05/15/21		1
	—	(h)	Series 1084, Class S, HB, IF, 44.100%, 05/15/21		1
	9		Series 1144, Class KB, 8.500%, 09/15/21		11
	—	(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		1
	9		Series 1206, Class IA, 7.000%, 03/15/22		11
	6		Series 1250, Class J, 7.000%, 05/15/22		7
	21		Series 1343, Class LA, 8.000%, 08/15/22		25
	88		Series 1466, Class PZ, 7.500%, 02/15/23		101
	1		Series 1470, Class F, VAR, 2.071%, 02/15/23		1
	32		Series 1491, Class I, 7.500%, 04/15/23		37
	32		Series 1518, Class G, IF, 8.829%, 05/15/23		37


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	30	Series 1541, Class O, VAR, 1.320%, 07/15/23		31
	3	Series 1602, Class SA, HB, IF, 21.938%, 10/15/23		5
	109	Series 1608, Class L, 6.500%, 09/15/23		123
	53	Series 1609, Class LG, IF, 16.792%, 11/15/23		61
	4	Series 1671, Class L, 7.000%, 02/15/24		5
	17	Series 1700, Class GA, PO, 02/15/24		15
	180	Series 1706, Class K, 7.000%, 03/15/24		207
	597	Series 1720, Class PL, 7.500%, 04/15/24		694
	18	Series 1745, Class D, 7.500%, 08/15/24		21
	36	Series 1798, Class F, 5.000%, 05/15/23		39
	2	Series 1807, Class G, 9.000%, 10/15/20		2
	170	Series 1927, Class PH, 7.500%, 01/15/27		199
	76	Series 1981, Class Z, 6.000%, 05/15/27		83
	24	Series 1987, Class PE, 7.500%, 09/15/27		29
	11	Series 2033, Class SN, HB, IF, 26.621%, 03/15/24		7
	30	Series 2038, Class PN, IO, 7.000%, 03/15/28		5
	149	Series 2040, Class PE, 7.500%, 03/15/28		175
	35	Series 2056, Class TD, 6.500%, 05/15/18		38
	173	Series 2063, Class PG, 6.500%, 06/15/28		198
	29	Series 2064, Class TE, 7.000%, 06/15/28		33
	124	Series 2075, Class PH, 6.500%, 08/15/28		142
	121	Series 2075, Class PM, 6.250%, 08/15/28		124
	36	Series 2089, Class PJ, IO, 7.000%, 10/15/28		6
	3	Series 2102, Class TC, 6.000%, 12/15/13		3
	19	Series 2115, Class PE, 6.000%, 01/15/14		19
	80	Series 2125, Class JZ, 6.000%, 02/15/29		89
	16	Series 2163, Class PC, IO, 7.500%, 06/15/29		3
	354	Series 2169, Class TB, 7.000%, 06/15/29		414
	98	Series 2172, Class QC, 7.000%, 07/15/29		114
	1	Series 2196, Class TL, 7.500%, 11/15/29		1
	53	Series 2201, Class C, 8.000%, 11/15/29		63
	120	Series 2210, Class Z, 8.000%, 01/15/30		142
	48	Series 2224, Class CB, 8.000%, 03/15/30		58
	67	Series 2256, Class MC, 7.250%, 09/15/30		79
	91	Series 2259, Class ZM, 7.000%, 10/15/30		107
	76	Series 2271, Class PC, 7.250%, 12/15/30		89
	90	Series 2283, Class K, 6.500%, 12/15/23		101
	35	Series 2296, Class PD, 7.000%, 03/15/31		41
	19	Series 2306, Class K, PO, 05/15/24		18
	46	Series 2306, Class SE, IF, IO, 8.730%, 05/15/24		10


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	68	Series 2333, Class HC, 6.000%, 07/15/31		68
	26	Series 2344, Class QG, 6.000%, 08/15/16		28
	771	Series 2344, Class ZD, 6.500%, 08/15/31		847
	108	Series 2344, Class ZJ, 6.500%, 08/15/31		119
	64	Series 2345, Class NE, 6.500%, 08/15/31		66
	50	Series 2345, Class PQ, 6.500%, 08/15/16		51
	56	Series 2347, Class VP, 6.500%, 03/15/20		57
	94	Series 2351, Class PZ, 6.500%, 08/15/31		106
	35	Series 2355, Class BP, 6.000%, 09/15/16		37
	37	Series 2360, Class PG, 6.000%, 09/15/16		39
	32	Series 2366, Class MD, 6.000%, 10/15/16		34
	54	Series 2391, Class QR, 5.500%, 12/15/16		57
	65	Series 2410, Class NG, 6.500%, 02/15/32		72
	96	Series 2410, Class OE, 6.375%, 02/15/32		105
	38	Series 2410, Class QX, IF, IO, 8.449%, 02/15/32		10
	162	Series 2412, Class SP, IF, 15.698%, 02/15/32		216
	43	Series 2423, Class MC, 7.000%, 03/15/32		51
	92	Series 2423, Class MT, 7.000%, 03/15/32		103
	243	Series 2435, Class CJ, 6.500%, 04/15/32		277
	114	Series 2441, Class GF, 6.500%, 04/15/32		131
	101	Series 2444, Class ES, IF, IO, 7.749%, 03/15/32		23
	120	Series 2450, Class GZ, 7.000%, 05/15/32		140
	40	Series 2450, Class SW, IF, IO, 7.799%, 03/15/32		9
	176	Series 2455, Class GK, 6.500%, 05/15/32		202
	243	Series 2466, Class DH, 6.500%, 06/15/32		269
	99	Series 2466, Class PG, 6.500%, 04/15/32		101
	127	Series 2474, Class NR, 6.500%, 07/15/32		143
	237	Series 2484, Class LZ, 6.500%, 07/15/32		273
	331	Series 2500, Class MC, 6.000%, 09/15/32		370
	442	Series 2512, Class PG, 5.500%, 10/15/22		489
	79	Series 2535, Class BK, 5.500%, 12/15/22		88
	137	Series 2537, Class TE, 5.500%, 12/15/17		147
	509	Series 2543, Class YX, 6.000%, 12/15/32		576
	683	Series 2568, Class KG, 5.500%, 02/15/23		750
	799	Series 2575, Class ME, 6.000%, 02/15/33		904
	68	Series 2586, Class WI, IO, 6.500%, 03/15/33		14
	4	Series 2597, Class DS, IF, IO, 7.349%, 02/15/33		—	(h)
	5	Series 2599, Class DS, IF, IO, 6.799%, 02/15/33		—	(h)
	6	Series 2610, Class DS, IF, IO, 6.899%, 03/15/33		—	(h)


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	211	Series 2617, Class GR, 4.500%, 05/15/18		225
	157	Series 2622, Class PE, 4.500%, 05/15/18		166
	94	Series 2631, Class LC, 4.500%, 06/15/18		99
	17	Series 2640, Class VE, 3.250%, 07/15/22		17
	147	Series 2651, Class VZ, 4.500%, 07/15/18		155
	126	Series 2672, Class ME, 5.000%, 11/15/22		131
	296	Series 2675, Class CK, 4.000%, 09/15/18		312
	484	Series 2684, Class PO, PO, 01/15/33		476
	168	Series 2744, Class TU, 5.500%, 05/15/32		178
	16	Series 2755, Class SA, IF, 13.798%, 05/15/30		17
	257	Series 2777, Class KO, PO, 02/15/33		253
	48	Series 2802, Class MB, 5.500%, 11/15/31		48
	735	Series 2907, Class VC, 4.500%, 05/15/34		766
	176	Series 2934, Class EC, PO, 02/15/20		164
	195	Series 2990, Class SL, HB, IF, 23.756%, 06/15/34		285
	500	Series 2999, Class ND, 4.500%, 07/15/20		538
	152	Series 3068, Class AO, PO, 01/15/35		148
	250	Series 3117, Class EO, PO, 02/15/36		240
	27	Series 3117, Class OK, PO, 02/15/36		26
	386	Series 3122, Class OH, PO, 03/15/36		339
	342	Series 3137, Class XP, 6.000%, 04/15/36		385
	11	Series 3149, Class SO, PO, 05/15/36		10
	467	Series 3152, Class MO, PO, 03/15/36		446
	200	Series 3171, Class MO, PO, 06/15/36		188
	139	Series 3179, Class OA, PO, 07/15/36		132
	757	Series 3202, Class HI, IF, IO, 6.449%, 08/15/36		109
	164	Series 3232, Class ST, IF, IO, 6.499%, 10/15/36		23
	179	Series 3253, Class PO, PO, 12/15/21		170
	119	Series 3316, Class JO, PO, 05/15/37		112
	407	Series 3481, Class SJ, IF, IO, 5.649%, 08/15/38		52
	230	Series 3607, Class AO, PO, 04/15/36		220
	135	Series 3607, Class EO, PO, 02/15/33		132
	134	Series 3611, Class PO, PO, 07/15/34		128
	835	Series 3666, Class VA, 5.500%, 12/15/22		882
	796	Series 3680, Class MA, 4.500%, 07/15/39		888
	608	Series 3804, Class FN, VAR, 0.651%, 03/15/39		611
	1,122	Series 3819, Class ZQ, 6.000%, 04/15/36		1,298
	456	Series 3997, Class PF, VAR, 0.651%, 11/15/39		458


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
		Federal Home Loan Mortgage Corp. STRIPS,
	78	Series 243, Class 16, IO, 4.500%, 11/15/20		7
	983	Series 262, Class 35, 3.500%, 07/15/42		1,042
	978	Series 267, Class F5, VAR, 0.701%, 08/15/42		992
	989	Series 274, Class F1, VAR, 0.701%, 08/15/42		996
	988	Series 279, Class F6, VAR, 0.651%, 09/15/42		994
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	50	Series T-41, Class 3A, VAR, 6.695%, 07/25/32		57
	40	Series T-51, Class 2A, VAR, 7.500%, 08/25/42		47
	403	Series T-54, Class 2A, 6.500%, 02/25/43		480
	141	Series T-54, Class 3A, 7.000%, 02/25/43		171
	1,068	Series T-56, Class A5, 5.231%, 05/25/43		1,193
	37	Series T-58, Class APO, PO, 09/25/43		32
	292	Series T-76, Class 2A, VAR, 3.398%, 10/25/37		296
		Federal National Mortgage Association - ACES,
	500	Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20		573
	1,146	Series 2012-M11, Class FA, VAR, 0.734%, 08/25/19		1,152
	136	Federal National Mortgage Association Grantor Trust, Series 2001-T10, Class A2, 7.500%, 12/25/41		166
		Federal National Mortgage Association REMIC Trust,
	188	Series 2003-W1, Class 1A1, VAR, 6.137%, 12/25/42		218
	52	Series 2003-W4, Class 2A, VAR, 6.442%, 10/25/42		58
	85	Series 2007-W7, Class 1A4, HB, IF, 37.970%, 07/25/37		159
		Federal National Mortgage Association REMICS,
	2	Series 1988-7, Class Z, 9.250%, 04/25/18		2
	9	Series 1989-70, Class G, 8.000%, 10/25/19		10
	4	Series 1989-78, Class H, 9.400%, 11/25/19		4
	3	Series 1989-83, Class H, 8.500%, 11/25/19		3
	3	Series 1989-89, Class H, 9.000%, 11/25/19		3
	1	Series 1990-1, Class D, 8.800%, 01/25/20		1
	2	Series 1990-7, Class B, 8.500%, 01/25/20		2
	1	Series 1990-60, Class K, 5.500%, 06/25/20		1
	2	Series 1990-63, Class H, 9.500%, 06/25/20		2


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — Continued
	1		Series 1990-93, Class G, 5.500%, 08/25/20		1
	—	(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		—	(h)
	10		Series 1990-102, Class J, 6.500%, 08/25/20		11
	4		Series 1990-120, Class H, 9.000%, 10/25/20		4
	1		Series 1990-134, Class SC, HB, IF, 21.272%, 11/25/20		1
	—	(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)
	4		Series 1991-42, Class S, IF, 17.292%, 05/25/21		6
	60		Series 1992-107, Class SB, HB, IF, 29.421%, 06/25/22		102
	5		Series 1992-143, Class MA, 5.500%, 09/25/22		5
	31		Series 1993-25, Class J, 7.500%, 03/25/23		36
	200		Series 1993-37, Class PX, 7.000%, 03/25/23		228
	70		Series 1993-54, Class Z, 7.000%, 04/25/23		79
	15		Series 1993-62, Class SA, IF, 18.034%, 04/25/23		21
	18		Series 1993-122, Class M, 6.500%, 07/25/23		20
	7		Series 1993-165, Class SD, IF, 12.584%, 09/25/23		9
	30		Series 1993-178, Class PK, 6.500%, 09/25/23		34
	519		Series 1993-183, Class KA, 6.500%, 10/25/23		583
	228		Series 1993-189, Class PL, 6.500%, 10/25/23		261
	6		Series 1993-225, Class SG, HB, IF, 26.596%, 12/25/13		7
	48		Series 1993-247, Class SA, HB, IF, 26.268%, 12/25/23		79
	69		Series 1993-250, Class Z, 7.000%, 12/25/23		72
	3		Series 1994-9, Class E, PO, 11/25/23		3
	126		Series 1996-14, Class SE, IF, IO, 8.850%, 08/25/23		24
	6		Series 1996-27, Class FC, VAR, 0.719%, 03/25/17		6
	15		Series 1996-59, Class J, 6.500%, 08/25/22		17
	69		Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27		3


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	65		Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		3
	37		Series 1997-27, Class J, 7.500%, 04/18/27		41
	35		Series 1997-29, Class J, 7.500%, 04/20/27		40
	74		Series 1997-39, Class PD, 7.500%, 05/20/27		86
	25		Series 1997-81, Class PI, IO, 7.000%, 12/18/27		4
	3		Series 1998-4, Class C, PO, 04/25/23		2
	32		Series 1998-36, Class ZB, 6.000%, 07/18/28		35
	296		Series 1998-43, Class EA, PO, 04/25/23		277
	166		Series 2000-2, Class ZE, 7.500%, 02/25/30		195
	59		Series 2001-4, Class PC, 7.000%, 03/25/21		65
	6		Series 2001-5, Class OW, 6.000%, 03/25/16		6
	132		Series 2001-33, Class ID, IO, 6.000%, 07/25/31		25
	140		Series 2001-36, Class DE, 7.000%, 08/25/31		165
	34		Series 2001-44, Class PD, 7.000%, 09/25/31		40
	234		Series 2001-48, Class Z, 6.500%, 09/25/21		261
	31		Series 2001-49, Class Z, 6.500%, 09/25/31		36
	72		Series 2001-71, Class MB, 6.000%, 12/25/16		77
	91		Series 2001-71, Class QE, 6.000%, 12/25/16		96
	528		Series 2001-74, Class MB, 6.000%, 12/25/16		561
	25		Series 2001-81, Class LO, PO, 01/25/32		24
	70		Series 2002-1, Class HC, 6.500%, 02/25/22		79
	32		Series 2002-1, Class SA, HB, IF, 24.532%, 02/25/32		53
	43		Series 2002-2, Class UC, 6.000%, 02/25/17		46
	85		Series 2002-3, Class OG, 6.000%, 02/25/17		90
	92		Series 2002-21, Class PE, 6.500%, 04/25/32		102
	165		Series 2002-24, Class AJ, 6.000%, 04/25/17		177
	94		Series 2002-28, Class PK, 6.500%, 05/25/32		108
	109		Series 2002-37, Class Z, 6.500%, 06/25/32		120
	—	(h)	Series 2002-91, Class UH, IO, 5.500%, 06/25/22		—	(h)
	219		Series 2002-94, Class BK, 5.500%, 01/25/18		233
	202		Series 2003-22, Class UD, 4.000%, 04/25/33		224
	162		Series 2003-34, Class GB, 6.000%, 03/25/33		187
	304		Series 2003-34, Class GE, 6.000%, 05/25/33		367
	22		Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		4
	398		Series 2003-47, Class PE, 5.750%, 06/25/33		433
	55		Series 2003-52, Class SX, HB, IF, 22.345%, 10/25/31		90


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	48	Series 2003-64, Class SX, IF, 13.246%, 07/25/33		59
	190	Series 2003-71, Class DS, IF, 7.198%, 08/25/33		193
	195	Series 2003-80, Class SY, IF, IO, 7.448%, 06/25/23		20
	199	Series 2003-83, Class PG, 5.000%, 06/25/23		213
	38	Series 2003-91, Class SD, IF, 12.164%, 09/25/33		46
	303	Series 2003-116, Class SB, IF, IO, 7.398%, 11/25/33		71
	11	Series 2003-128, Class KE, 4.500%, 01/25/14		12
	409	Series 2003-128, Class NG, 4.000%, 01/25/19		431
	53	Series 2003-130, Class SX, IF, 11.217%, 01/25/34		61
	947	Series 2004-21, Class AE, 4.000%, 04/25/19		999
	385	Series 2004-25, Class PC, 5.500%, 01/25/34		418
	211	Series 2004-25, Class SA, IF, 18.970%, 04/25/34		310
	256	Series 2004-36, Class PC, 5.500%, 02/25/34		279
	179	Series 2004-36, Class SA, IF, 18.970%, 05/25/34		263
	129	Series 2004-46, Class SK, IF, 15.945%, 05/25/34		166
	804	Series 2004-50, Class VZ, 5.500%, 07/25/34		931
	102	Series 2004-61, Class SH, HB, IF, 23.181%, 11/25/32		158
	105	Series 2004-74, Class SW, IF, 15.097%, 11/25/31		142
	177	Series 2004-76, Class CL, 4.000%, 10/25/19		186
	530	Series 2004-86, Class AE, 4.500%, 02/25/32		534
	172	Series 2005-45, Class DC, HB, IF, 23.570%, 06/25/35		285
	67	Series 2005-52, Class PA, 6.500%, 06/25/35		73
	149	Series 2005-56, Class S, IF, IO, 6.508%, 07/25/35		24
	279	Series 2005-56, Class TP, IF, 17.545%, 08/25/33		394
	884	Series 2005-68, Class PG, 5.500%, 08/25/35		998
	342	Series 2005-73, Class PS, IF, 16.196%, 08/25/35		443
	159	Series 2005-74, Class CS, IF, 19.465%, 05/25/35		232
	311	Series 2005-106, Class US, HB, IF, 23.827%, 11/25/35		470


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,000	Series 2005-121, Class DX, 5.500%, 01/25/26		1,123
	376	Series 2006-27, Class OH, PO, 04/25/36		333
	124	Series 2006-44, Class P, PO, 12/25/33		119
	694	Series 2006-56, Class FC, VAR, 0.492%, 07/25/36		695
	247	Series 2006-59, Class QO, PO, 01/25/33		241
	129	Series 2006-65, Class QO, PO, 07/25/36		120
	181	Series 2006-72, Class GO, PO, 08/25/36		174
	356	Series 2006-77, Class PC, 6.500%, 08/25/36		408
	149	Series 2006-79, Class DO, PO, 08/25/36		139
	286	Series 2006-110, Class PO, PO, 11/25/36		273
	698	Series 2006-124, Class HB, VAR, 5.982%, 11/25/36		771
	238	Series 2007-14, Class ES, IF, IO, 6.238%, 03/25/37		38
	160	Series 2007-79, Class SB, HB, IF, 23.277%, 08/25/37		227
	500	Series 2007-81, Class GE, 6.000%, 08/25/37		597
	342	Series 2007-88, Class VI, IF, IO, 6.338%, 09/25/37		55
	876	Series 2007-91, Class ES, IF, IO, 6.258%, 10/25/37		149
	205	Series 2007-106, Class A7, VAR, 5.984%, 10/25/37		230
	185	Series 2007-116, Class HI, IO, VAR, 1.829%, 01/25/38		14
	134	Series 2008-10, Class XI, IF, IO, 6.028%, 03/25/38		21
	127	Series 2008-16, Class IS, IF, IO, 5.998%, 03/25/38		22
	185	Series 2008-28, Class QS, HB, IF, 20.095%, 04/25/38		272
	159	Series 2008-46, Class HI, IO, VAR, 2.434%, 06/25/38		13
	206	Series 2009-69, Class PO, PO, 09/25/39		196
	758	Series 2009-71, Class BC, 4.500%, 09/25/24		871
	318	Series 2009-103, Class MB, VAR, 3.085%, 12/25/39		342
	637	Series 2010-71, Class HJ, 5.500%, 07/25/40		729
	1,133	Series 2010-133, Class A, 5.500%, 05/25/38		1,227
	762	Series 2011-118, Class MT, 7.000%, 11/25/41		941
	752	Series 2011-118, Class NT, 7.000%, 11/25/41		880
	905	Series 2011-149, Class EF, VAR, 0.702%, 07/25/41		911


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — Continued
	439		Series 2012-47, Class HF, VAR, 0.602%, 05/25/27		443
	494		Series 2012-108, Class F, VAR, 0.702%, 10/25/42		498
	991		Series 2012-112, Class FD, VAR, 0.702%, 10/25/42		999
	3		Series G-14, Class L, 8.500%, 06/25/21		4
	15		Series G-18, Class Z, 8.750%, 06/25/21		18
	3		Series G-22, Class G, 6.000%, 12/25/16		3
	12		Series G-35, Class M, 8.750%, 10/25/21		14
	49		Series G92-35, Class E, 7.500%, 07/25/22		55
	3		Series G92-42, Class Z, 7.000%, 07/25/22		3
	46		Series G92-44, Class ZQ, 8.000%, 07/25/22		51
	49		Series G92-54, Class ZQ, 7.500%, 09/25/22		55
	11		Series G93-5, Class Z, 6.500%, 02/25/23		13
	15		Series G95-1, Class C, 8.800%, 01/25/25		17
			Federal National Mortgage Association STRIPS,
	—	(h)	Series 50, Class 2, IO, 10.500%, 03/01/19		—	(h)
	3		Series 218, Class 2, IO, 7.500%, 04/01/23		1
	140		Series 300, Class 1, PO, 09/01/24		125
	27		Series 329, Class 1, PO, 01/01/33		26
			Federal National Mortgage Association Trust,
	121		Series 2004-W2, Class 2A2, 7.000%, 02/25/44		143
	369		Series 2005-W3, Class 2AF, VAR, 0.422%, 03/25/45		366
			Government National Mortgage Association,
	142		Series 1994-4, Class KQ, 7.988%, 07/16/24		171
	259		Series 1994-7, Class PQ, 6.500%, 10/16/24		303
	69		Series 1995-3, Class DQ, 8.050%, 06/16/25		80
	16		Series 1995-7, Class CQ, 7.500%, 09/16/25		18
	25		Series 1998-26, Class K, 7.500%, 09/17/25		28
	363		Series 1999-10, Class ZC, 6.500%, 04/20/29		427
	33		Series 1999-30, Class S, IF, IO, 8.398%, 08/16/29		8
	37		Series 1999-41, Class Z, 8.000%, 11/16/29		45
	35		Series 1999-44, Class PC, 7.500%, 12/20/29		40
	15		Series 2000-9, Class Z, 8.000%, 06/20/30		19
	322		Series 2000-9, Class ZJ, 8.500%, 02/16/30		380
	33		Series 2000-16, Class ZN, 7.500%, 02/16/30		34
	97		Series 2001-7, Class PK, 6.500%, 03/20/31		103
	6		Series 2001-32, Class WA, IF, 19.623%, 07/20/31		9
	216		Series 2001-64, Class MQ, 6.500%, 12/20/31		228
	37		Series 2002-7, Class PG, 6.500%, 01/20/32		44


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	56	Series 2002-31, Class S, IF, IO, 8.498%, 01/16/31		15
	140	Series 2002-40, Class UK, 6.500%, 06/20/32		166
	131	Series 2002-47, Class PG, 6.500%, 07/16/32		154
	174	Series 2002-47, Class PY, 6.000%, 07/20/32		200
	165	Series 2002-47, Class ZA, 6.500%, 07/20/32		195
	14	Series 2002-51, Class SG, HB, IF, 31.630%, 04/20/31		27
	19	Series 2003-4, Class NI, IO, 5.500%, 01/20/32		—	(h)
	38	Series 2003-4, Class NY, 5.500%, 12/20/13		38
	28	Series 2003-24, Class PO, PO, 03/16/33		25
	304	Series 2003-40, Class TJ, 6.500%, 03/20/33		374
	136	Series 2003-52, Class AP, PO, 06/16/33		127
	32	Series 2004-28, Class S, IF, 19.108%, 04/16/34		43
	32	Series 2004-68, Class PO, PO, 05/20/31		32
	101	Series 2004-71, Class SB, HB, IF, 28.479%, 09/20/34		156
	58	Series 2004-73, Class AE, IF, 14.439%, 08/17/34		72
	518	Series 2004-90, Class SI, IF, IO, 5.899%, 10/20/34		83
	157	Series 2005-68, Class DP, IF, 15.948%, 06/17/35		206
	1,065	Series 2005-68, Class KI, IF, IO, 6.099%, 09/20/35		171
	126	Series 2006-59, Class SD, IF, IO, 6.499%, 10/20/36		21
	407	Series 2007-17, Class JI, IF, IO, 6.608%, 04/16/37		71
	496	Series 2007-27, Class SA, IF, IO, 5.999%, 05/20/37		77
	802	Series 2007-40, Class SB, IF, IO, 6.549%, 07/20/37		134
	496	Series 2007-45, Class QA, IF, IO, 6.439%, 07/20/37		82
	73	Series 2007-49, Class NO, PO, 12/20/35		73
	547	Series 2007-50, Class AI, IF, IO, 6.574%, 08/20/37		88
	120	Series 2007-53, Class ES, IF, IO, 6.349%, 09/20/37		22
	137	Series 2007-53, Class SW, IF, 19.603%, 09/20/37		194
	286	Series 2007-57, Class QA, IF, IO, 6.299%, 10/20/37		47
	185	Series 2007-71, Class SB, IF, IO, 6.499%, 07/20/36		20


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	278	Series 2007-72, Class US, IF, IO, 6.349%, 11/20/37		47
	277	Series 2007-76, Class SA, IF, IO, 6.329%, 11/20/37		45
	77	Series 2008-25, Class SB, IF, IO, 6.699%, 03/20/38		13
	147	Series 2008-33, Class XS, IF, IO, 7.498%, 04/16/38		27
	365	Series 2008-40, Class SA, IF, IO, 6.198%, 05/16/38		65
	500	Series 2008-50, Class KB, 6.000%, 06/20/38		575
	392	Series 2008-55, Class SA, IF, IO, 5.999%, 06/20/38		59
	360	Series 2008-93, Class AS, IF, IO, 5.499%, 12/20/38		53
	164	Series 2009-6, Class SA, IF, IO, 5.898%, 02/16/39		24
	164	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		28
	601	Series 2009-22, Class SA, IF, IO, 6.069%, 04/20/39		87
	569	Series 2009-31, Class ST, IF, IO, 6.149%, 03/20/39		82
	569	Series 2009-31, Class TS, IF, IO, 6.099%, 03/20/39		81
	395	Series 2009-79, Class OK, PO, 11/16/37		372
	802	Series 2009-106, Class ST, IF, IO, 5.799%, 02/20/38		118
	241	Series 2010-14, Class AO, PO, 12/20/32		233
	270	Series 2010-130, Class CP, 7.000%, 10/16/40		319
	816	Series 2011-137, Class WA, VAR, 5.535%, 07/20/40		929
	500	Series 2012-H21, Class DF, VAR, 0.858%, 05/20/61		502
	497	Series 2012-H24, Class FA, VAR, 0.658%, 03/20/60		497
	499	Series 2012-H26, Class MA, VAR, 0.758%, 07/20/62		501
	500	Series 2013-H03, Class FA, VAR, 0.508%, 08/20/60		499
		NCUA Guaranteed Notes Trust,
	735	Series 2010-C1, Class APT, 2.650%, 10/29/20		780
	164	Series 2010-R3, Class 3A, 2.400%, 12/08/20		170
		Vendee Mortgage Trust,
	711	Series 1993-1, Class ZB, 7.250%, 02/15/23		838


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	299	Series 1994-1, Class 1, VAR, 5.629%, 02/15/24		337
	430	Series 1996-1, Class 1Z, 6.750%, 02/15/26		500
	146	Series 1996-2, Class 1Z, 6.750%, 06/15/26		172
	578	Series 1997-1, Class 2Z, 7.500%, 02/15/27		681
	141	Series 1998-1, Class 2E, 7.000%, 03/15/28		168

				73,380

		Non-Agency CMO — 4.9%
		Alternative Loan Trust,
	214	Series 2002-8, Class A4, 6.500%, 07/25/32		223
	1,684	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		1,660
	140	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		143
	433	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		385
		American General Mortgage Loan Trust,
	88	Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e)		88
	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)		427
		ASG Resecuritization Trust,
	164	Series 2009-1, Class A60, VAR, 2.458%, 06/26/37 (e)		161
	155	Series 2009-2, Class A55, VAR, 5.014%, 05/24/36 (e)		160
	430	Series 2009-3, Class A65, VAR, 2.487%, 03/26/37 (e)		430
		Banc of America Alternative Loan Trust,
	137	Series 2003-7, Class 2A4, 5.000%, 09/25/18		140
	95	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		98
	46	Series 2003-11, Class PO, PO, 01/25/34		38
	50	Banc of America Funding Trust, Series 2004-1, Class PO, PO, 03/25/34		40
		Banc of America Mortgage Trust,
	28	Series 2003-8, Class APO, PO, 11/25/33		24
	54	Series 2004-1, Class APO, PO, 02/25/34		47
	178	Series 2004-3, Class 1A26, 5.500%, 04/25/34		181
	38	Series 2004-6, Class APO, PO, 07/25/34		35
		BCAP LLC Trust,
	419	Series 2010-RR7, Class 2A1, VAR, 2.581%, 07/26/45 (e)		404


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — Continued
	407	Series 2011-RR10, Class 2A1, VAR, 1.057%, 09/26/37 (e)		363
	88	Series 2011-RR5, Class 14A3, VAR, 2.902%, 07/26/36 (e) (i)		86
	369	Series 2012-RR2, Class 1A1, VAR, 0.372%, 08/26/36 (e) (i)		353
	147	Bear Stearns ARM Trust, Series 2005-5, Class A1, VAR, 2.240%, 08/25/35		148
		CHL Mortgage Pass-Through Trust,
	202	Series 2003-26, Class 1A6, 3.500%, 08/25/33		202
	34	Series 2003-J13, Class PO, PO, 01/25/34		30
	50	Series 2003-J7, Class 4A3, IF, 9.512%, 08/25/18		53
	125	Series 2004-5, Class 1A4, 5.500%, 06/25/34		130
	41	Series 2004-HYB3, Class 2A, VAR, 2.828%, 06/20/34		38
	417	Series 2005-22, Class 2A1, VAR, 3.010%, 11/25/35		345
		Citigroup Mortgage Loan Trust,
	199	Series 2008-AR4, Class 1A1A, VAR, 2.948%, 11/25/38 (e)		202
	888	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		922
	475	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		503
		Citigroup Mortgage Loan Trust, Inc.,
	33	Series 2003-UP3, Class A3, 7.000%, 09/25/33		34
	67	Series 2003-UST1, Class A1, 5.500%, 12/25/18		70
	7	Series 2003-UST1, Class PO1, PO, 12/25/18		7
	7	Series 2003-UST1, Class PO3, PO, 12/25/18		6
	86	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 2A5, 5.000%, 10/25/18		90
		CSMC,
	952	Series 2010-11R, Class A6, VAR, 1.203%, 06/28/47 (e)		899
	10	Series 2010-15R, Class 7A1, VAR, 1.432%, 10/26/37 (e)		10
	696	Series 2011-7R, Class A1, VAR, 1.453%, 08/28/47 (e)		691
	315	Series 2011-9R, Class A1, VAR, 2.203%, 03/27/46 (e)		317
	188	Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)		192


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	239	Deutsche Alt-A Securities, Inc., Mortgage Loan Trust, Series 2005-3, Class 1A1, VAR, 5.317%, 06/25/20		245
	32	Deutsche Mortgage Securities, Inc., Mortgage Loan Trust, Series 2004-1, Class 2APO, PO, 10/25/18		30
		First Horizon Mortgage Pass-Through Trust,
	200	Series 2004-AR7, Class 2A2, VAR, 2.558%, 02/25/35		198
	201	Series 2005-AR1, Class 2A2, VAR, 2.692%, 04/25/35		201
	489	GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3, 5.500%, 02/25/36		479
	57	Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO, PO, 04/25/33		41
	327	IndyMac INDX Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 08/25/35		—	(h)
		JP Morgan Mortgage Trust,
	104	Series 2006-A2, Class 4A1, VAR, 3.011%, 08/25/34		105
	354	Series 2006-A2, Class 5A3, VAR, 2.903%, 11/25/33		361
		MASTR Adjustable Rate Mortgages Trust,
	50	Series 2004-3, Class 4A2, VAR, 2.552%, 04/25/34		50
	301	Series 2004-13, Class 2A1, VAR, 2.671%, 04/21/34		313
	8	Series 2004-13, Class 3A6, VAR, 2.629%, 11/21/34		7
		MASTR Alternative Loan Trust,
	240	Series 2003-9, Class 8A1, 6.000%, 01/25/34		245
	574	Series 2004-4, Class 10A1, 5.000%, 05/25/24		596
	38	Series 2004-7, Class 30PO, PO, 08/25/34		28
	51	Series 2004-10, Class 1A1, 4.500%, 09/25/19		52
	205	Series 2005-6, Class 3A1, 5.500%, 11/25/20		204
		MASTR Asset Securitization Trust,
	130	Series 2003-2, Class 1A1, 5.000%, 03/25/18		134
	16	Series 2004-8, Class PO, PO, 08/25/19		14
	136	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		109
	60	MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.522%, 02/25/35		58


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Non-Agency CMO — Continued
	80		NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		81
			Nomura Asset Acceptance Corp. Alternative Loan Trust,
	51		Series 2003-A1, Class A1, 5.500%, 05/25/33		52
	26		Series 2003-A1, Class A2, 6.000%, 05/25/33		27
	12		Series 2003-A1, Class A5, 7.000%, 04/25/33		13
	—	(h)	PaineWebber CMO Trust, Series H, Class 4, 8.750%, 04/01/18		—	(h)
			RALI Trust,
	47		Series 2002-QS16, Class A3, IF, 16.201%, 10/25/17		52
	243		Series 2002-QS8, Class A5, 6.250%, 06/25/17		248
	69		Series 2003-QS3, Class A2, IF, 16.056%, 02/25/18		77
	276		Series 2003-QS9, Class A3, IF, IO, 7.348%, 05/25/18		36
	268		Series 2004-QS3, Class CB, 5.000%, 03/25/19		280
	3		Series 2004-QS8, Class A2, 5.000%, 06/25/34		3
	172		Reperforming Loan REMIC Trust, Series 2005-R1, Class 2APO, PO, 03/25/35 (e)		138
	24		Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.750%, 02/25/19		25
			Salomon Brothers Mortgage Securities VII, Inc.,
	109		Series 2003-HYB1, Class A, VAR, 3.098%, 09/25/33		111
	10		Series 2003-UP2, Class PO1, PO, 12/25/18		9
			Springleaf Mortgage Loan Trust,
	228		Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e)		236
	425		Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e)		430
	317		Series 2012-3A, Class A, VAR, 1.570%, 12/25/59 (e)		319
	103		Series 2012-3A, Class M1, VAR, 2.660%, 12/25/59 (e)		103
	151		Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-33H, Class 1A1, 5.500%, 10/25/33		152
	125		Structured Asset Securities Corp. Trust, Series 2005-6, Class 4A1, 5.000%, 05/25/35		127
	3		Vericrest Opportunity Loan Trust, Series 2012-NL1A, Class A1, VAR, 4.213%, 03/25/49 (e) (i)		3


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		WaMu Mortgage Pass-Through Certificates,
	69	Series 2002-S8, Class 2A7, 5.250%, 01/25/18		71
	201	Series 2003-AR5, Class A7, VAR, 2.452%, 06/25/33		205
	105	Series 2004-AR3, Class A2, VAR, 2.565%, 06/25/34		107
	338	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2005-4, Class CB7, 5.500%, 06/25/35		328
		Washington Mutual MSC Mortgage Pass-Through Certificates,
	59	Series 2003-MS2, Class 1A1, 5.750%, 02/25/33		62
	14	Series 2003-MS7, Class P, PO, 03/25/33		12
	191	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		194
		Wells Fargo Mortgage-Backed Securities Trust,
	114	Series 2003-13, Class A7, 4.500%, 11/25/18		116
	93	Series 2003-15, Class 1A1, 4.750%, 12/25/18		96
	95	Series 2003-K, Class 1A1, VAR, 4.430%, 11/25/33		98
	35	Series 2004-7, Class 2A2, 5.000%, 07/25/19		37
	104	Series 2004-BB, Class A4, VAR, 2.625%, 01/25/35		105
	135	Series 2004-EE, Class 3A1, VAR, 3.048%, 12/25/34		140
	435	Series 2004-P, Class 2A1, VAR, 2.616%, 09/25/34		439

				18,581

		Total Collateralized Mortgage Obligations (Cost $85,175)		91,961

	Commercial Mortgage-Backed Securities — 1.5%
		Banc of America Commercial Mortgage Trust,
	50	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		56
	300	Series 2006-4, Class A4, 5.634%, 07/10/46		339
		Banc of America Merrill Lynch Commercial Mortgage, Inc.,
	150	Series 2005-3, Class AM, 4.727%, 07/10/43		160
	271	Series 2005-6, Class ASB, VAR, 5.187%, 09/10/47		277
	200	BB-UBS Trust, Series 2012-TFT, Class A, 2.892%, 06/05/30 (e)		202


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Bear Stearns Commercial Mortgage Securities Trust,
	121	Series 2005-PWR9, Class AAB, 4.804%, 09/11/42		125
	360	Series 2006-PW11, Class A4, VAR, 5.454%, 03/11/39		402
	16,061	CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.144%, 12/11/49 (e)		125
	101	Commercial Mortgage Pass-Through Certificates, Series 2012-MVP, Class A, VAR, 2.142%, 11/17/26 (e)		102
	300	DBRR Trust, Series 2013-EZ2, Class A, VAR, 0.853%, 02/25/43 (e)		300
	229	Fontainebleau Miami Beach Trust, Series 2012-FBLU, Class A, 2.887%, 05/05/27 (e)		235
	300	GMAC Commercial Mortgage Securities, Inc. Trust, Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		326
	50	LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31		55
	216	Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43		216
		Morgan Stanley Re-REMIC Trust,
	22	Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e)		22
	400	Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		414
	121	Series 2011-IO, Class A, 2.500%, 03/23/51 (e)		122
	561	Series 2012-XA, Class A, 2.000%, 07/27/49 (e)		568
	125	NorthStar Mortgage Trust, Series 2012-1, Class A, VAR, 1.402%, 08/25/29 (e)		125
	883	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.540%, 08/15/39		928
	116	UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e)		121
	104	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.525%, 05/10/63		111
	413	Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e)		416

		Total Commercial Mortgage-Backed Securities (Cost $5,503)		5,747

	Corporate Bonds — 18.0%
		Consumer Discretionary — 1.1%
		Auto Components — 0.0% (g)
	99	Johnson Controls, Inc., 3.750%, 12/01/21		105


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Automobiles — 0.2%
		Daimler Finance North America LLC,
	150	1.650%, 04/10/15 (e)		152
	150	1.875%, 01/11/18 (e)		151
	150	2.625%, 09/15/16 (e)		156
	100	Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e)		101

				560

		Hotels, Restaurants & Leisure — 0.0% (g)
	150	McDonald’s Corp., 4.300%, 03/01/13		150

		Household Durables — 0.0% (g)
	50	Newell Rubbermaid, Inc., 4.700%, 08/15/20		55

		Media — 0.6%
		CBS Corp.,
	25	4.300%, 02/15/21		27
	25	5.750%, 04/15/20		30
	135	8.875%, 05/15/19		181
	200	Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13		201
	100	Comcast Corp., 5.900%, 03/15/16		114
	16	COX Communications, Inc., 5.450%, 12/15/14		17
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	150	4.600%, 02/15/21		161
	353	5.000%, 03/01/21		385
	78	Discovery Communications LLC, 4.375%, 06/15/21		86
		News America, Inc.,
	100	7.250%, 05/18/18		127
	100	7.700%, 10/30/25		132
		Thomson Reuters Corp., (Canada),
	105	3.950%, 09/30/21		112
	60	4.700%, 10/15/19		69
		Time Warner Cable, Inc.,
	100	5.850%, 05/01/17		117
	50	6.750%, 07/01/18		61
	100	8.250%, 02/14/14		107
	150	8.250%, 04/01/19		195
	35	8.750%, 02/14/19		46
		Viacom, Inc.,
	33	1.250%, 02/27/15		33
	50	3.125%, 06/15/22		50
	43	3.875%, 12/15/21		46
	50	4.500%, 03/01/21		56
	42	Walt Disney Co. (The), 0.450%, 12/01/15		42

				2,395


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Multiline Retail — 0.2%
		Kohl’s Corp.,
	40	4.000%, 11/01/21		41
	40	6.250%, 12/15/17		46
		Macy’s Retail Holdings, Inc.,
	37	2.875%, 02/15/23		35
	25	7.450%, 07/15/17		31
	35	Nordstrom, Inc., 4.000%, 10/15/21		39
	400	Target Corp., 6.000%, 01/15/18		489

				681

		Specialty Retail — 0.1%
	59	Gap, Inc. (The), 5.950%, 04/12/21		67
	130	Home Depot, Inc. (The), 5.400%, 03/01/16		147

				214

		Total Consumer Discretionary		4,160

		Consumer Staples — 0.8%
		Beverages — 0.3%
	75	Anheuser-Busch Cos. LLC, 5.500%, 01/15/18		90
	200	Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19		265
		Coca-Cola Co. (The),
	100	3.625%, 03/15/14		103
	50	4.875%, 03/15/19		59
	70	Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20		82
		Diageo Finance B.V., (Netherlands),
	30	5.300%, 10/28/15		34
	100	5.500%, 04/01/13		100
	85	FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e)		93
	30	Heineken N.V., (Netherlands), 1.400%, 10/01/17 (e)		30
		PepsiCo, Inc.,
	33	0.800%, 08/25/14		33
	180	1.250%, 08/13/17		181
	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

				1,145

		Food & Staples Retailing — 0.1%
	55	CVS Pass-Through Trust, 5.926%, 01/10/34 (e)		65
		Kroger Co. (The),
	50	2.200%, 01/15/17		51
	30	6.150%, 01/15/20		36


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Food & Staples Retailing — Continued
	75	6.400%, 08/15/17		90
	50	7.500%, 01/15/14		53
	94	Walgreen Co., 3.100%, 09/15/22		94

				389

		Food Products — 0.4%
		Bunge Ltd. Finance Corp.,
	50	5.875%, 05/15/13		51
	135	8.500%, 06/15/19		175
	14	Bunge N.A. Finance LP, 5.900%, 04/01/17		16
		Cargill, Inc.,
	100	3.300%, 03/01/22 (e)		101
	106	4.307%, 05/14/21 (e)		117
	30	ConAgra Foods, Inc., 2.100%, 03/15/18		30
	100	Kellogg Co., 4.250%, 03/06/13		100
		Kraft Foods Group, Inc.,
	52	5.375%, 02/10/20		62
	332	6.125%, 08/23/18		406
		Mondelez International, Inc.,
	48	5.375%, 02/10/20		57
	118	6.125%, 02/01/18		143

				1,258

		Household Products — 0.0% (g)
	20	Kimberly-Clark Corp., 2.400%, 03/01/22		20

		Personal Products — 0.0% (g)
	70	Procter & Gamble - ESOP, 9.360%, 01/01/21		93

		Total Consumer Staples		2,905

		Energy — 1.2%
		Energy Equipment & Services — 0.1%
	15	National Oilwell Varco, Inc., 1.350%, 12/01/17		15
	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)		50
		Transocean, Inc., (Cayman Islands),
	39	3.800%, 10/15/22		39
	35	6.375%, 12/15/21		41
	100	6.500%, 11/15/20		117
	33	Weatherford International Ltd., (Bermuda), 4.500%, 04/15/22		34

				308

		Oil, Gas & Consumable Fuels — 1.1%
		Apache Corp.,
	58	2.625%, 01/15/23		56


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — Continued
	57	3.250%, 04/15/22		59
	25	6.900%, 09/15/18		32
		BP Capital Markets plc, (United Kingdom),
	20	1.375%, 11/06/17		20
	100	4.742%, 03/11/21		116
	300	5.250%, 11/07/13		310
	150	Canadian Natural Resources Ltd., (Canada), 5.900%, 02/01/18		180
	21	Cenovus Energy, Inc., (Canada), 3.000%, 08/15/22		21
	150	ConocoPhillips, 5.750%, 02/01/19		184
	190	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		222
	150	Devon Energy Corp., 1.875%, 05/15/17		151
	80	Encana Corp., (Canada), 6.500%, 05/15/19		98
	200	Eni S.p.A., (Italy), 4.150%, 10/01/20 (e)		206
		EOG Resources, Inc.,
	23	2.625%, 03/15/23		23
	100	4.100%, 02/01/21		112
		Marathon Oil Corp.,
	228	5.900%, 03/15/18		272
	175	6.000%, 10/01/17		210
	35	Occidental Petroleum Corp., 1.750%, 02/15/17		36
	40	PC Financial Partnership, 5.000%, 11/15/14		43
		Petrobras International Finance Co. - Pifco, (Cayman Islands),
	90	5.375%, 01/27/21		98
	50	7.875%, 03/15/19		61
	97	Petro-Canada, (Canada), 6.050%, 05/15/18		117
	43	Phillips 66, 2.950%, 05/01/17		45
		Shell International Finance B.V., (Netherlands),
	42	1.125%, 08/21/17		42
	55	1.875%, 03/25/13		55
	184	3.100%, 06/28/15		195
	55	4.000%, 03/21/14		57
	195	4.375%, 03/25/20		226
		Spectra Energy Capital LLC,
	100	5.500%, 03/01/14		104
	30	5.668%, 08/15/14		32
	140	6.200%, 04/15/18		170
	50	8.000%, 10/01/19		66
		Statoil ASA, (Norway),
	67	3.125%, 08/17/17		72
	83	3.150%, 01/23/22		88


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
	50	Talisman Energy, Inc., (Canada), 7.750%, 06/01/19		64
		Total Capital International S.A., (France),
	27	0.750%, 01/25/16		27
	44	1.500%, 02/17/17		45
	75	1.550%, 06/28/17		76
	175	Total Capital S.A., (France), 2.300%, 03/15/16		182
		TransCanada PipeLines Ltd., (Canada),
	100	4.000%, 06/15/13		101
	100	6.500%, 08/15/18		125
	30	7.125%, 01/15/19		39

				4,438

		Total Energy		4,746

		Financials — 10.1%
		Capital Markets — 2.7%
		Bank of New York Mellon Corp. (The),
	250	2.950%, 06/18/15		263
	75	3.100%, 01/15/15		79
	75	4.600%, 01/15/20		86
		BlackRock, Inc.,
	325	3.500%, 12/10/14		342
	326	5.000%, 12/10/19		388
	150	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		173
	40	Charles Schwab Corp. (The), 3.225%, 09/01/22		41
		Goldman Sachs Group, Inc. (The),
	100	1.600%, 11/23/15		101
	100	3.300%, 05/03/15		104
	255	3.625%, 02/07/16		271
	66	3.700%, 08/01/15		70
	68	5.375%, 03/15/20		78
	300	5.500%, 11/15/14		322
	80	5.750%, 01/24/22		94
	1,100	5.950%, 01/18/18		1,287
	250	7.500%, 02/15/19		316
		Jefferies Group, Inc.,
	111	3.875%, 11/09/15		116
	150	5.125%, 04/13/18		162
	125	8.500%, 07/15/19		156
		Macquarie Group Ltd., (Australia),
	150	6.000%, 01/14/20 (e)		164
	100	7.300%, 08/01/14 (e)		107
	40	7.625%, 08/13/19 (e)		49


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Capital Markets — Continued
		Merrill Lynch & Co., Inc.,
	200	5.000%, 01/15/15		213
	157	5.450%, 07/15/14		166
	50	6.150%, 04/25/13		50
	814	6.400%, 08/28/17		956
	266	6.875%, 04/25/18		322
		Morgan Stanley,
	104	4.000%, 07/24/15		110
	195	4.200%, 11/20/14		204
	800	5.300%, 03/01/13		800
	166	5.500%, 07/24/20		190
	100	5.500%, 07/28/21		115
	450	5.625%, 09/23/19		521
	100	5.750%, 01/25/21		116
	250	6.000%, 05/13/14		264
	100	6.625%, 04/01/18		119
	100	7.300%, 05/13/19		124
		Nomura Holdings, Inc., (Japan),
	85	4.125%, 01/19/16		90
	84	6.700%, 03/04/20		100
	45	Northern Trust Corp., 5.500%, 08/15/13		46
		UBS AG, (Switzerland),
	500	3.875%, 01/15/15		532
	100	5.750%, 04/25/18		119
	100	5.875%, 12/20/17		119

				10,045

		Commercial Banks — 3.1%
	100	ANZ New Zealand International Ltd., (New Zealand), 3.125%, 08/10/15 (e)		105
	250	Australia & New Zealand Banking Group Ltd., (Australia), 2.400%, 11/23/16 (e)		263
	425	Bank of America N.A., 5.300%, 03/15/17		476
		Bank of Montreal, (Canada),
	250	1.300%, 10/31/14 (e)		254
	85	2.550%, 11/06/22		83
		Bank of Nova Scotia, (Canada),
	121	1.650%, 10/29/15 (e)		124
	175	2.550%, 01/12/17		184
	123	3.400%, 01/22/15		129
	136	Bank of Tokyo-Mitsubishi UFJ Ltd. (The), (Japan), 3.850%, 01/22/15 (e)		144
		Barclays Bank plc, (United Kingdom),
	200	2.500%, 09/21/15 (e)		208
	100	2.750%, 02/23/15		103
	200	5.200%, 07/10/14		212


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Commercial Banks — Continued
	250	6.050%, 12/04/17 (e)		280
		BB&T Corp.,
	70	3.375%, 09/25/13		71
	125	3.950%, 04/29/16		137
	100	4.900%, 06/30/17		112
	150	5.700%, 04/30/14		159
	55	Comerica, Inc., 3.000%, 09/16/15		58
	250	Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e)		262
		Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., (Netherlands),
	250	3.200%, 03/11/15 (e)		262
	34	3.375%, 01/19/17		37
	118	3.875%, 02/08/22		125
	350	Fifth Third Bancorp, 5.450%, 01/15/17		395
		HSBC Holdings plc, (United Kingdom),
	196	4.000%, 03/30/22		211
	300	4.875%, 01/14/22		343
	200	ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e)		214
	100	KeyCorp, 6.500%, 05/14/13		101
	263	Macquarie Bank Ltd., (Australia), 5.000%, 02/22/17 (e)		289
	300	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		365
		National Australia Bank Ltd., (Australia),
	300	2.750%, 09/28/15 (e)		314
	100	3.750%, 03/02/15 (e)		106
		Nordea Bank AB, (Sweden),
	100	1.750%, 10/04/13 (e)		101
	300	3.125%, 03/20/17 (e)		318
		PNC Funding Corp.,
	133	4.375%, 08/11/20		151
	265	5.125%, 02/08/20		312
	110	5.250%, 11/15/15		123
	115	5.625%, 02/01/17		132
	200	Royal Bank of Canada, (Canada), 2.300%, 07/20/16		209
		Toronto-Dominion Bank (The), (Canada),
	200	1.500%, 03/13/17 (e)		205
	235	2.200%, 07/29/15 (e)		244
		U.S. Bancorp,
	150	2.450%, 07/27/15		157
	208	2.875%, 11/20/14		216
	250	Wachovia Bank N.A., 6.000%, 11/15/17		300


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Commercial Banks — Continued
		Wachovia Corp.,
	235	4.875%, 02/15/14		245
	850	5.750%, 02/01/18		1,014
		Wells Fargo & Co.,
	415	5.625%, 12/11/17		493
	500	SUB, 3.676%, 06/15/16		542
	315	Wells Fargo Bank N.A., 4.750%, 02/09/15		338
	285	Westpac Banking Corp., (Australia), 4.875%, 11/19/19		334

				11,560

		Consumer Finance — 1.0%
		American Express Credit Corp.,
	139	2.800%, 09/19/16		147
	200	7.300%, 08/20/13		206
		American Honda Finance Corp.,
	333	1.450%, 02/27/15 (e)		337
	200	2.125%, 02/28/17 (e)		207
	300	Capital One Bank USA N.A., 3.375%, 02/15/23		302
		Capital One Financial Corp.,
	100	6.750%, 09/15/17		122
	245	7.375%, 05/23/14		264
		Caterpillar Financial Services Corp.,
	58	2.850%, 06/01/22		59
	100	5.500%, 03/15/16		113
	150	6.200%, 09/30/13		155
	65	7.050%, 10/01/18		84
	100	7.150%, 02/15/19		130
		Ford Motor Credit Co. LLC,
	200	3.000%, 06/12/17		205
	200	4.250%, 09/20/22		206
	200	HSBC Finance Corp., 5.250%, 01/15/14		208
	250	HSBC USA, Inc., 2.375%, 02/13/15		258
		John Deere Capital Corp.,
	50	2.250%, 04/17/19		52
	33	3.150%, 10/15/21		35
	66	PACCAR Financial Corp., 1.600%, 03/15/17		67
		Toyota Motor Credit Corp.,
	120	1.000%, 02/17/15		121
	225	1.750%, 05/22/17		230
	200	2.000%, 09/15/16		207
	100	2.050%, 01/12/17		104
	154	3.200%, 06/17/15		163

				3,982


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Diversified Financial Services — 1.8%
	161	Associates Corp. of North America, 6.950%, 11/01/18		197
		Bank of America Corp.,
	100	5.000%, 05/13/21		113
	130	5.625%, 07/01/20		152
	300	5.650%, 05/01/18		348
	170	5.750%, 12/01/17		197
	50	5.875%, 01/05/21		59
	100	6.500%, 08/01/16		115
	125	7.375%, 05/15/14		135
		Citigroup, Inc.,
	100	1.250%, 01/15/16		100
	135	3.375%, 03/01/23		136
	43	4.587%, 12/15/15		47
	125	4.750%, 05/19/15		134
	506	5.000%, 09/15/14		532
	54	5.375%, 08/09/20		63
	13	6.000%, 08/15/17		15
	285	6.010%, 01/15/15		310
	300	6.125%, 11/21/17		355
		CME Group, Inc.,
	110	5.400%, 08/01/13		112
	190	5.750%, 02/15/14		199
		General Electric Capital Corp.,
	17	1.000%, 12/11/15		17
	220	4.375%, 09/16/20		246
	800	4.650%, 10/17/21		903
	500	5.400%, 02/15/17		576
	475	5.625%, 05/01/18		563
	500	5.650%, 06/09/14		533
		MassMutual Global Funding II,
	300	2.000%, 04/05/17 (e)		308
	100	3.125%, 04/14/16 (e)		106
	200	Metlife of Connecticut Global Funding I, 5.125%, 08/15/14 (e)		213
	100	Textron Financial Corp., 5.400%, 04/28/13		101

				6,885

		Insurance — 1.0%
		ACE INA Holdings, Inc.,
	45	2.600%, 11/23/15		47
	50	5.600%, 05/15/15		56
		Aflac, Inc.,
	28	2.650%, 02/15/17		30
	32	4.000%, 02/15/22		34
	25	8.500%, 05/15/19		34


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Insurance — Continued
		American International Group, Inc.,
	385	4.250%, 05/15/13		388
	350	5.450%, 05/18/17		402
	45	Aon Corp., 3.500%, 09/30/15		47
	150	Berkshire Hathaway Finance Corp., 5.400%, 05/15/18		180
		Berkshire Hathaway, Inc.,
	202	3.400%, 01/31/22		212
	98	3.750%, 08/15/21		106
	90	CNA Financial Corp., 5.875%, 08/15/20		107
	80	Jackson National Life Global Funding, 4.700%, 06/01/18 (e)		88
	37	Liberty Mutual Group, Inc., 4.950%, 05/01/22 (e)		41
	35	Lincoln National Corp., 4.200%, 03/15/22		38
		Metropolitan Life Global Funding I,
	100	1.500%, 01/10/18 (e)		100
	107	1.700%, 06/29/15 (e)		109
	200	2.500%, 09/29/15 (e)		208
	175	3.650%, 06/14/18 (e)		192
	100	3.875%, 04/11/22 (e)		108
	222	5.200%, 09/18/13 (e)		228
	50	Monumental Global Funding III, 5.500%, 04/22/13 (e)		50
		New York Life Global Funding,
	170	1.300%, 01/12/15 (e)		172
	125	3.000%, 05/04/15 (e)		132
	150	Pacific Life Global Funding, 5.000%, 05/15/17 (e)		159
	200	Pricoa Global Funding I, 5.450%, 06/11/14 (e)		212
	16	Principal Financial Group, Inc., 1.850%, 11/15/17		16
	35	Principal Life Global Funding II, 1.000%, 12/11/15 (e)		35
	100	Principal Life Income Funding Trusts, 5.300%, 04/24/13		101
	150	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		205
	50	Travelers Property Casualty Corp., 5.000%, 03/15/13		50

				3,887

		Real Estate Investment Trusts (REITs) — 0.3%
		CommonWealth REIT,
	125	5.875%, 09/15/20		135
	150	6.650%, 01/15/18		171
	27	ERP Operating LP, 4.625%, 12/15/21		30


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Real Estate Investment Trusts (REITs) — Continued
		HCP, Inc.,
	44	2.625%, 02/01/20		44
	8	3.750%, 02/01/19		9
	92	5.375%, 02/01/21		107
		Simon Property Group LP,
	81	4.125%, 12/01/21		89
	17	4.200%, 02/01/15		18
	40	4.375%, 03/01/21		45
	100	5.625%, 08/15/14		107
	50	5.650%, 02/01/20		60
	40	6.100%, 05/01/16		46
	50	6.125%, 05/30/18		61
	159	WEA Finance LLC/WT Finance Aust Pty Ltd., 6.750%, 09/02/19 (e)		197

				1,119

		Thrifts & Mortgage Finance — 0.2%
	25	Countrywide Financial Corp., 6.250%, 05/15/16		28
		Stadshypotek AB, (Sweden),
	523	1.450%, 09/30/13 (e)		526
	250	1.875%, 10/02/19 (e)		250

				804

		Total Financials		38,282

		Health Care — 0.5%
		Biotechnology — 0.2%
		Amgen, Inc.,
	400	3.875%, 11/15/21		435
	44	4.500%, 03/15/20		50
	40	5.700%, 02/01/19		48
	98	Celgene Corp., 3.250%, 08/15/22		99

				632

		Health Care Equipment & Supplies — 0.0% (g)
		Baxter International, Inc.,
	50	4.000%, 03/01/14		51
	50	4.625%, 03/15/15		54
	40	Becton Dickinson and Co., 5.000%, 05/15/19		47

				152

		Health Care Providers & Services — 0.1%
	17	McKesson Corp., 0.950%, 12/04/15		17
	50	Medco Health Solutions, Inc., 2.750%, 09/15/15		52
	112	UnitedHealth Group, Inc., 3.375%, 11/15/21		118


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Health Care Providers & Services — Continued
		WellPoint, Inc.,
	115	3.125%, 05/15/22		115
	27	5.875%, 06/15/17		32
	18	7.000%, 02/15/19		23

				357

		Pharmaceuticals — 0.2%
		AbbVie, Inc.,
	119	1.750%, 11/06/17 (e)		121
	87	2.900%, 11/06/22 (e)		87
	100	AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14		106
	150	GlaxoSmithKline Capital, Inc., 5.650%, 05/15/18		182
		Merck & Co., Inc.,
	62	2.400%, 09/15/22		61
	75	6.000%, 09/15/17		91

				648

		Total Health Care		1,789

		Industrials — 1.1%
		Aerospace & Defense — 0.1%
	70	BAE Systems Holdings, Inc., 6.375%, 06/01/19 (e)		83
	100	Honeywell International, Inc., 5.300%, 03/01/18		119
	47	Lockheed Martin Corp., 2.125%, 09/15/16		49
	43	Precision Castparts Corp., 0.700%, 12/20/15		43
	50	United Technologies Corp., 6.125%, 02/01/19		63

				357

		Airlines — 0.1%
	82	American Airlines, 2011-2 Class A Pass-Through Trust, 8.625%, 10/15/21		85
	34	Continental Airlines, 1999-2 Class C-2 Pass-Through Trust, 7.256%, 03/15/20		37
	70	Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		76

				198

		Commercial Services & Supplies — 0.1%
		ADT Corp. (The),
	70	3.500%, 07/15/22 (e)		68
	24	4.125%, 06/15/23 (e)		25
		Pitney Bowes, Inc.,
	125	4.875%, 08/15/14		131
	100	5.000%, 03/15/15		106


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Commercial Services & Supplies — Continued
	50	5.600%, 03/15/18		54
	60	Waste Management, Inc., 7.375%, 03/11/19		76

				460

		Construction & Engineering — 0.0% (g)
		ABB Finance USA, Inc.,
	32	1.625%, 05/08/17		32
	41	2.875%, 05/08/22		42
	70	Fluor Corp., 3.375%, 09/15/21		73

				147

		Electrical Equipment — 0.0% (g)
		Eaton Corp.,
	27	1.500%, 11/02/17 (e)		27
	50	5.600%, 05/15/18		59

				86

		Industrial Conglomerates — 0.1%
	152	Koninklijke Philips Electronics N.V., (Netherlands), 3.750%, 03/15/22		164
	100	Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)		116

				280

		Machinery — 0.1%
		Caterpillar, Inc.,
	74	1.500%, 06/26/17		75
	31	2.600%, 06/26/22		31
	89	Deere & Co., 2.600%, 06/08/22		90
	25	Parker Hannifin Corp., 5.500%, 05/15/18		30

				226

		Road & Rail — 0.6%
		Burlington Northern Santa Fe LLC,
	43	3.050%, 03/15/22		44
	32	3.450%, 09/15/21		34
	19	3.600%, 09/01/20		20
	100	5.650%, 05/01/17		118
	100	7.000%, 02/01/14		106
		CSX Corp.,
	30	6.250%, 04/01/15		33
	30	7.375%, 02/01/19		39
	50	7.900%, 05/01/17		62
		ERAC USA Finance LLC,
	48	2.750%, 03/15/17 (e)		50
	27	4.500%, 08/16/21 (e)		30
	575	Federal Express Corp. 1998 Pass-Through Trust, 6.720%, 01/15/22		703


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Road & Rail — Continued
		Norfolk Southern Corp.,
	138	3.250%, 12/01/21		144
	50	7.700%, 05/15/17		63
	53	Penske Truck Leasing Co. LP/PTL Finance Corp., 2.875%, 07/17/18 (e)		53
		Ryder System, Inc.,
	48	2.500%, 03/01/17		49
	55	3.600%, 03/01/16		58
		Union Pacific Corp.,
	21	2.950%, 01/15/23		22
	233	4.163%, 07/15/22		262
	100	4.875%, 01/15/15		107
	82	5.650%, 05/01/17		96
	115	United Parcel Service of America, Inc., 8.375%, 04/01/20		159

				2,252

		Total Industrials		4,006

		Information Technology — 0.7%
		Computers & Peripherals — 0.3%
		Hewlett-Packard Co.,
	208	2.600%, 09/15/17		208
	195	4.375%, 09/15/21		196
	87	4.650%, 12/09/21		90
	325	5.400%, 03/01/17		355
	200	6.125%, 03/01/14		210

				1,059

		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	32	3.000%, 03/01/18		32
	55	3.375%, 11/01/15		57
	16	4.500%, 03/01/23		16
	120	6.875%, 07/01/13		122
	13	7.500%, 01/15/27		16

				243

		IT Services — 0.2%
		International Business Machines Corp.,
	126	1.250%, 02/06/17		127
	100	1.875%, 05/15/19		102
	150	5.700%, 09/14/17		180
	200	7.625%, 10/15/18		265

				674


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Office Electronics — 0.0% (g)
		Xerox Corp.,
	39	2.950%, 03/15/17		40
	50	5.625%, 12/15/19		57
	40	6.750%, 02/01/17		46

				143

		Semiconductors & Semiconductor Equipment — 0.0% (g)
	30	National Semiconductor Corp., 6.600%, 06/15/17		37
	73	Texas Instruments, Inc., 1.650%, 08/03/19		72

				109

		Software — 0.1%
	25	Intuit, Inc., 5.750%, 03/15/17		29
		Microsoft Corp.,
	23	0.875%, 11/15/17		23
	120	1.625%, 09/25/15		123
	34	2.125%, 11/15/22		33
		Oracle Corp.,
	200	5.250%, 01/15/16		226
	100	5.750%, 04/15/18		121

				555

		Total Information Technology		2,783

		Materials — 0.4%
		Chemicals — 0.3%
		Dow Chemical Co. (The),
	61	4.125%, 11/15/21		66
	38	4.250%, 11/15/20		42
	25	7.600%, 05/15/14		27
	40	8.550%, 05/15/19		54
		E.I. du Pont de Nemours & Co.,
	101	1.950%, 01/15/16		104
	50	4.125%, 03/06/13		50
	100	6.000%, 07/15/18		124
	34	Mosaic Co. (The), 3.750%, 11/15/21		36
	100	Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13		100
	230	Praxair, Inc., 4.625%, 03/30/15		249
	150	Union Carbide Corp., 7.500%, 06/01/25		186

				1,038

		Metals & Mining — 0.1%
		BHP Billiton Finance USA Ltd., (Australia),
	37	1.000%, 02/24/15		37
	100	5.400%, 03/29/17		116
	100	6.500%, 04/01/19		128


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Metals & Mining — Continued
	128	Freeport-McMoRan Copper & Gold, Inc., 2.150%, 03/01/17		130
		Rio Tinto Finance USA Ltd., (Australia),
	27	3.500%, 11/02/20		28
	50	8.950%, 05/01/14		55
	58	Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17		59

				553

		Total Materials		1,591

		Telecommunication Services — 0.9%
		Diversified Telecommunication Services — 0.8%
		AT&T, Inc.,
	30	0.800%, 12/01/15		30
	69	0.900%, 02/12/16		69
	100	4.450%, 05/15/21		113
	135	5.100%, 09/15/14		144
	150	5.500%, 02/01/18		177
	165	BellSouth Corp., 5.200%, 09/15/14		176
	77	BellSouth Telecommunications, Inc., 6.300%, 12/15/15		81
	100	British Telecommunications plc, (United Kingdom), 5.950%, 01/15/18		119
	61	France Telecom S.A., (France), 2.750%, 09/14/16		64
	500	GTE Corp., 6.840%, 04/15/18		621
	27	Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17		27
	148	Qwest Corp., 6.750%, 12/01/21		171
		Telecom Italia Capital S.A., (Luxembourg),
	280	4.950%, 09/30/14		290
	225	5.250%, 11/15/13		230
	30	Telefonica Emisiones S.A.U., (Spain), 5.877%, 07/15/19		33
	100	Verizon Communications, Inc., 5.500%, 02/15/18		119
	250	Verizon Maryland, Inc., 7.150%, 05/01/23		252
	100	Verizon New England, Inc., 4.750%, 10/01/13		103

				2,819

		Wireless Telecommunication Services — 0.1%
	150	Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14		156
	40	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		42
		Vodafone Group plc, (United Kingdom),
	100	1.500%, 02/19/18		100


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Wireless Telecommunication Services — Continued
	100	1.625%, 03/20/17		101
	125	5.000%, 09/15/15		138

				537

		Total Telecommunication Services		3,356

		Utilities — 1.2%
		Electric Utilities — 0.8%
	27	American Electric Power Co., Inc., 1.650%, 12/15/17		27
	43	Baltimore Gas & Electric Co., 2.800%, 08/15/22		43
		Carolina Power & Light Co.,
	40	2.800%, 05/15/22		41
	233	5.125%, 09/15/13		239
	150	5.300%, 01/15/19		180
	50	Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17		63
	30	Connecticut Light & Power Co. (The), 5.650%, 05/01/18		36
	20	DTE Electric Co., 2.650%, 06/15/22		20
	60	Duke Energy Indiana, Inc., 3.750%, 07/15/20		66
	100	Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)		106
	40	Georgia Power Co., 6.000%, 11/01/13		41
	135	Indiana Michigan Power Co., 7.000%, 03/15/19		171
	25	Jersey Central Power & Light Co., 7.350%, 02/01/19		32
	8	Kiowa Power Partners LLC, 4.811%, 12/30/13 (e)		8
	60	Nevada Power Co., 7.125%, 03/15/19		78
		NextEra Energy Capital Holdings, Inc.,
	25	1.200%, 06/01/15		25
	150	7.875%, 12/15/15		178
	40	Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)		46
	180	Nisource Finance Corp., 4.450%, 12/01/21		197
	25	Ohio Power Co., 6.050%, 05/01/18		30
	50	Oncor Electric Delivery Co. LLC, 6.800%, 09/01/18		62
		Pacific Gas & Electric Co.,
	68	2.450%, 08/15/22		67
	125	5.625%, 11/30/17		150
		PacifiCorp,
	100	3.850%, 06/15/21		112
	60	5.650%, 07/15/18		73
	75	Peco Energy Co., 5.350%, 03/01/18		90


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Electric Utilities — Continued
	51	Public Service Co. of Colorado, 3.200%, 11/15/20		55
	74	Public Service Co. of Oklahoma, 4.400%, 02/01/21		83
	200	Public Service Electric & Gas Co., 6.330%, 11/01/13		208
		Southern Co. (The),
	45	1.950%, 09/01/16		46
	40	4.150%, 05/15/14		42
	30	Southwestern Public Service Co., Series G, 8.750%, 12/01/18		40
	100	Virginia Electric and Power Co., 5.400%, 04/30/18		120
		Wisconsin Electric Power Co.,
	30	6.000%, 04/01/14		32
	100	6.250%, 12/01/15		115

				2,922

		Gas Utilities — 0.1%
		AGL Capital Corp.,
	94	3.500%, 09/15/21		101
	50	4.450%, 04/15/13		50
	100	6.375%, 07/15/16		117
	30	Atmos Energy Corp., 8.500%, 03/15/19		41
	50	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		59

				368

		Independent Power Producers & Energy Traders — 0.0% (g)
	72	Exelon Generation Co. LLC, 4.000%, 10/01/20		76
	150	PPL Energy Supply LLC, 4.600%, 12/15/21		159

				235

		Multi-Utilities — 0.2%
	50	Consumers Energy Co., 5.650%, 04/15/20		61
	150	Dominion Resources, Inc., 8.875%, 01/15/19		205
	50	PG&E Corp., 5.750%, 04/01/14		53
		Sempra Energy,
	80	8.900%, 11/15/13		84
	150	9.800%, 02/15/19		212

				615

		Water Utilities — 0.1%
	200	American Water Capital Corp., 6.085%, 10/15/17		239

		Total Utilities		4,379

		Total Corporate Bonds (Cost $62,292)		67,997


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Foreign Government Securities — 0.7%
			Israel Government AID Bond, (Israel),
	329		Zero Coupon, 08/15/17		315
	1,557		Zero Coupon, 08/15/20		1,361
	100		Province of Manitoba, (Canada), 2.125%, 04/22/13		100
			Province of Ontario, (Canada),
	400		0.950%, 05/26/15		404
	250		2.700%, 06/16/15		263
	300		2.950%, 02/05/15		314

			Total Foreign Government Securities (Cost $2,623)		2,757

	Mortgage Pass-Through Securities — 11.1%
			Federal Home Loan Mortgage Corp.,
	15		ARM, 2.250%, 07/01/26		14
	40		ARM, 2.262%, 01/01/27		43
	149		ARM, 2.343%, 01/01/37		159
	300		ARM, 2.352%, 08/01/36		319
	243		ARM, 2.586%, 03/01/37		260
	450		ARM, 2.759%, 12/01/34		481
	132		ARM, 2.870%, 09/01/36		140
	201		ARM, 2.919%, 09/01/36		215
	120		ARM, 3.269%, 02/01/37		127
	211		ARM, 3.379%, 04/01/38		225
	355		ARM, 5.969%, 06/01/36		382
	104		ARM, 6.449%, 11/01/36		111
			Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	173		4.000%, 06/01/19		184
	46		4.500%, 10/01/18		50
	318		5.500%, 06/01/17 - 01/01/24		345
	126		6.000%, 10/01/17 - 04/01/18		129
	454		6.500%, 01/01/17 - 03/01/22		486
	3		7.000%, 01/01/17		3
	—	(h)	7.500%, 10/01/14		—	(h)
			Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	14		6.000%, 12/01/22		15
	71		6.500%, 12/01/13 - 08/01/26		79
			Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	87		6.000%, 01/01/34		99
	132		7.000%, 04/01/26 - 02/01/37		152
	7		7.500%, 08/01/25		9
	9		8.000%, 07/01/20 - 11/01/24		11
	26		8.500%, 07/01/28		32


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	467	Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30		551
		Federal Home Loan Mortgage Corp. Gold Pools, Other,
	490	3.500%, 06/01/42		520
	493	4.000%, 06/01/42		541
	347	6.000%, 02/01/33		380
		Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	1	12.000%, 08/01/15 - 07/01/19		1
		Federal National Mortgage Association,
	5	ARM, 1.904%, 03/01/19		5
	76	ARM, 1.961%, 02/01/37		80
	299	ARM, 2.048%, 02/01/35		316
	211	ARM, 2.134%, 09/01/35		225
	209	ARM, 2.141%, 01/01/35		222
	193	ARM, 2.294%, 08/01/34		204
	254	ARM, 2.346%, 01/01/35		267
	1	ARM, 2.375%, 08/01/19		1
	195	ARM, 2.385%, 04/01/35		207
	159	ARM, 2.423%, 04/01/33		169
	175	ARM, 2.465%, 02/01/35		185
	105	ARM, 2.469%, 08/01/35		112
	119	ARM, 2.500%, 11/01/33		126
	199	ARM, 2.530%, 10/01/34		212
	220	ARM, 2.537%, 02/01/37		232
	220	ARM, 2.669%, 09/01/35		234
	328	ARM, 2.721%, 09/01/34		349
	17	ARM, 2.898%, 09/01/27		18
	84	ARM, 2.911%, 08/01/36		90
	249	ARM, 2.935%, 09/01/33		265
	154	ARM, 2.945%, 07/01/46		165
	323	ARM, 3.077%, 02/01/36		343
	15	ARM, 3.804%, 03/01/29		16
	139	ARM, 6.177%, 09/01/36		148
		Federal National Mortgage Association, 15 Year, Single Family,
	83	4.000%, 05/01/19		89
	802	4.500%, 05/01/18 - 05/01/19		870
	551	5.000%, 12/01/16 - 04/01/19		606
	351	5.500%, 01/01/20 - 06/01/20		379
	473	6.000%, 03/01/21 - 01/01/24		514
	82	6.500%, 05/01/13 - 08/01/20		90
		Federal National Mortgage Association, 20 Year, Single Family,
	117	6.000%, 04/01/24		128
	161	6.500%, 05/01/22		178


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
			Federal National Mortgage Association, 30 Year, FHA/VA,
	20		6.000%, 09/01/33		22
	33		6.500%, 03/01/29		39
	15		8.500%, 02/01/30		17
	13		9.000%, 09/01/19 - 12/01/30		13
	8		9.500%, 12/01/18		9
			Federal National Mortgage Association, 30 Year, Single Family,
	120		4.500%, 08/01/33		130
	1,549		5.000%, 07/01/33 - 08/01/40		1,727
	1,723		5.500%, 09/01/33 - 02/01/38		1,898
	875		6.000%, 12/01/32 - 09/01/37		979
	58		6.500%, 08/01/31		66
	10		7.000%, 09/01/27 - 08/01/32		12
	18		7.500%, 11/01/22 - 05/01/25		21
	543		8.000%, 03/01/21 - 11/01/32		672
	9		8.500%, 07/01/24 - 06/01/25		11
	—	(h)	9.000%, 04/01/26		—	(h)
	4		10.000%, 02/01/24		4
	1		12.500%, 01/01/16		1
			Federal National Mortgage Association, Other,
	500		VAR, 0.549%, 01/01/23		500
	1,000		VAR, 0.550%, 01/01/23		1,000
	499		VAR, 0.569%, 01/01/23		499
	1,000		VAR, 0.585%, 02/01/23		1,001
	998		VAR, 0.600%, 01/01/23		998
	500		1.750%, 03/01/63		499
	979		2.004%, 01/01/17		1,002
	1,000		2.056%, 01/01/17		1,014
	22		2.350%, 03/15/18		22
	2,887		2.970%, 11/01/18		3,110
	42		3.100%, 03/15/20		42
	2,416		3.590%, 12/01/20		2,660
	1,000		3.658%, 10/01/20		1,097
	473		4.291%, 06/01/21		546
	1,071		4.298%, 03/01/21		1,219
	1,974		4.380%, 01/01/21 - 04/01/21		2,273
	500		4.390%, 05/01/21		577
	800		4.443%, 04/01/21		918
	948		4.500%, 03/01/20		1,084
	248		5.500%, 04/01/38		267
	326		6.000%, 03/01/37		353
			Government National Mortgage Association II, 30 Year, Single Family,
	594		6.000%, 03/20/28 - 09/20/38		684
	15		7.500%, 02/20/28 - 09/20/28		18


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	40	8.000%, 12/20/25 - 08/20/28		49
	24	8.500%, 03/20/25 - 05/20/25		29
		Government National Mortgage Association, 15 Year, Single Family,
	33	6.000%, 10/15/17		35
	13	8.000%, 01/15/16		14
		Government National Mortgage Association, 30 Year, Single Family,
	399	6.000%, 11/15/28 - 12/15/38		457
	378	6.500%, 01/15/24 - 12/15/35		433
	363	7.000%, 08/15/23 - 06/15/35		424
	30	7.500%, 11/15/22 - 09/15/28		36
	7	8.000%, 05/15/22 - 08/15/28		8
	6	8.500%, 11/15/17		6
	11	9.000%, 08/15/16 - 11/15/24		12
	212	9.500%, 09/15/18 - 12/15/25		242
	3	12.000%, 11/15/19		3

		Total Mortgage Pass-Through Securities (Cost $39,633)		41,860

	Supranational — 0.1%
	150	African Development Bank, 8.800%, 09/01/19		201
	40	Corp. Andina de Fomento, 5.200%, 05/21/13		40

		Total Supranational (Cost $240)		241

	U.S. Government Agency Securities — 2.3%
	323	Federal Farm Credit Bank, 5.125%, 11/15/18		391
		Federal National Mortgage Association,
	1,300	Zero Coupon, 07/05/14		1,290
	1,000	Zero Coupon, 06/01/17		961
	800	5.000%, 05/11/17		942
	500	Federal National Mortgage Association STRIPS, 11/15/21		406
		Financing Corp. Fico,
	440	Zero Coupon, 05/11/18		413
	500	Zero Coupon, 04/05/19		453
	584	Zero Coupon, 09/26/19		525
	1,000	Government Trust Certificate, Zero Coupon, 10/01/15		969
		Residual Funding Corp. STRIPS,
	250	Zero Coupon, 10/15/19		227
	800	Zero Coupon, 07/15/20		706
	1,000	Tennessee Valley Authority, 5.500%, 07/18/17		1,208
	333	Tennessee Valley Authority STRIPS, Zero Coupon, 05/01/19		298

		Total U.S. Government Agency Securities (Cost $8,283)		8,789


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — 35.6%
		U.S. Treasury Bonds,
	1,225	7.500%, 11/15/16		1,540
	320	8.500%, 02/15/20		477
	250	8.750%, 05/15/20		380
	250	8.750%, 08/15/20		383
	3,000	8.875%, 08/15/17		4,088
	835	11.250%, 02/15/15		1,014
		U.S. Treasury Bonds STRIPS,
	202	11/15/13		202
	800	02/15/14 (m)		798
	4,566	05/15/14 (m)		4,555
	1,500	08/15/14 (m)		1,495
	3,518	11/15/14 (m)		3,504
	3,325	02/15/15		3,308
	32	08/15/15		32
	4,952	11/15/15 (m)		4,905
	5,766	02/15/16 (m)		5,701
	1,072	05/15/16		1,057
	2,505	08/15/16		2,464
	700	11/15/16		686
	1,224	02/15/17		1,196
	4,446	08/15/17		4,312
	1,960	11/15/17		1,893
	2,200	02/15/18		2,115
	700	05/15/18		670
	495	05/15/19		463
	4,350	08/15/19		4,038
	2,000	02/15/20		1,829
	13,948	05/15/20		12,656
	150	05/15/20		136
	12,550	08/15/20		11,300
	2,150	05/15/21		1,882
	100	08/15/21		87
	2,000	11/15/21		1,717
	425	02/15/22		361
	47	08/15/26		33
	300	11/15/26		209
	53	02/15/28		35
		U.S. Treasury Inflation Indexed Notes,
	1,700	0.500%, 04/15/15		1,895
	700	1.125%, 01/15/21		865
	500	1.250%, 04/15/14		562
	250	2.000%, 01/15/14		322
		U.S. Treasury Notes,
	300	0.250%, 10/31/13		300
	500	0.500%, 10/15/13		501


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	593	0.875%, 01/31/18		597
	800	1.000%, 11/30/19		790
	400	1.375%, 12/31/18		409
	5,500	1.500%, 08/31/18		5,680
	500	1.750%, 04/15/13		501
	1,300	1.750%, 01/31/14		1,319
	1,500	1.750%, 10/31/18		1,568
	500	1.875%, 02/28/14		508
	1,100	1.875%, 04/30/14		1,121
	6,400	1.875%, 08/31/17		6,746
	1,500	2.250%, 07/31/18		1,610
	350	2.625%, 08/15/20		382
	400	2.625%, 11/15/20		436
	1,500	2.750%, 10/31/13		1,526
	1,500	2.750%, 11/30/16		1,625
	1,755	2.750%, 05/31/17		1,913
	3,000	2.750%, 12/31/17		3,289
	300	3.125%, 04/30/13		301
	1,000	3.125%, 04/30/17		1,104
	100	3.125%, 05/15/21		112
	7,900	3.250%, 12/31/16		8,717
	1,000	3.250%, 03/31/17		1,108
	800	3.375%, 07/31/13		811
	1,050	3.500%, 02/15/18		1,190
	1,550	3.500%, 05/15/20		1,788
	400	3.625%, 02/15/20		465
	700	4.000%, 02/15/15		751
	300	4.250%, 08/15/13		306
	400	4.250%, 11/15/17		466
	200	4.500%, 02/15/16		224
	1,000	4.750%, 08/15/17		1,181

		Total U.S. Treasury Obligations (Cost $126,535)		134,510


SHARES
	Short-Term Investment — 2.0%
		Investment Company — 2.0%
	7,515	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (Cost $7,515)		7,515

		Total Investments — 99.8% (Cost $353,563)		377,239

		Other Assets in Excess of Liabilities — 0.2%		712

		NET ASSETS — 100.0%	$	377,951

Percentages indicated are based on net assets.


ARM		— Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 28, 2013.
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 28, 2013. 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 28, 2013.
VA		— Veterans Administration
VAR		— Variable Rate Security. The interest rate shown is the rate in effect as of February 28, 2013.

(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.
(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.
(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 28, 2013.
(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.
(t)		— The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(†)		— Security matures in 2111.

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 Funds in the preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. 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. 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. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates fair 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 are generally 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 fair value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at each investment company’s net asset value per share as of the report date.

Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the fair value of the security or asset 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. The Board of Trustees has established an Audit and Valuation Committee to assist with the oversight of the valuation of the Funds’ securities. JPMorgan Funds Management, Inc. (the “Administrator”, or “JPMFM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”), a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc. (“JPMAM”), which is a wholly-owned subsidiary of JPMorgan, JPMAM’s Legal and Compliance, JPMAM’s Risk Management and the Funds’ Chief Compliance Officer. The VC’s responsibilities include making determinations regarding Level 3 fair value measurements (“Fair Values”) and/or providing recommendations for approval to the Board of Trustees’ Audit and Valuation Committee, in accordance with the Funds’ valuation policies.

The VC or Board of Trustees, as applicable, 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 VC or Board of Trustees 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. JPMFM and JPMIM are responsible for monitoring developments that may impact Fair Values and

for discussing and assessing Fair Values on an ongoing, and at least a quarterly, basis with the VC and Board of Trustees, as applicable. The appropriateness of Fair Values is assessed based on results of unchanged price review and consideration of macro or security specific events, back testing and broker and vendor due diligence.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market 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 the 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 28, 2013.

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 changes in net unrealized appreciation (depreciation) attributable to securities owned at February 28, 2013, which were valued using significant unobservable inputs (Level 3) were 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 and/or are illiquid. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). 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. As of February 28, 2013, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A under the Securities Act.

The following is the value and percentage of net assets of illiquid securities as of February 28, 2013 (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 also 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 are settled 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 the futures contract. 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 timely liquidation of positions.

The table below discloses the volume of the Fund’s futures contracts activity during the year ended February 28, 2013 (amounts in thousands):

D. Investment 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 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 28, 2013, the Equity Index Trust Fund earned less than $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 28, 2013, there were no securities out on loan. 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, the Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the 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 which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of 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. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of February 28, 2013, no liability for income tax is required in the Fund’s financial statements for net unrecognized tax benefits. However, Managements’ 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 Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

I. Distributions to Shareholders — Distributions 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 distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. 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 consent fees (Core Bond Trust and Intermediate Bond Trust), TIPS basis adjustment (Core Bond Trust), distribution reclassifications (Core Bond Trust) and distributions from investments in real estate investment trusts (Equity Index Trust).

A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, JPMIM 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 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, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.10% of the Funds’ average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, 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 to 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. Payments to the custodian 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, expenses related to litigation and potential litigation, 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 28, 2013. The contractual expense limitation percentages in the table above are in place until at least June 30, 2013.

For the year ended February 28, 2013, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect 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 these money market funds for the year ended February 28, 2013 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 Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the year ended February 28, 2013, the Funds 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 28, 2013, 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 28, 2013, 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 investment securities held at February 28, 2013 were as follows (amounts in thousands):

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

The tax character of distributions paid during the fiscal year ended February 28, 2013 was as follows (amounts in thousands):

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

As of February 28, 2013, 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 distributions payable (Core Bond Trust and Intermediate Bond Trust), trustee deferred compensation (Core Bond Trust, Equity Index Trust and Intermediate Bond Trust), capital loss carryforward (Core Bond Trust, Equity Index Trust and Intermediate Bond Trust), wash sale loss deferrals (Core Bond Trust, Equity Index Trust and Intermediate Bond Trust), treasury inflation protected securities (Intermediate Bond Trust), post-October loss deferrals (Core Bond Trust) and Deflation Tips Adjustment (Core Bond Trust).

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, 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 28, 2013, the following Funds had post-enactment net capital loss carryforwards (amounts in thousands):

As of February 28, 2013, 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):

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. The amount of exposure would depend on 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 by this shareholder may impact the Fund’s 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, 2013, 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 28, 2013, the results of each of their operations for the year then ended, the changes in each of 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 28, 2013 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, 2012, and continued to hold your shares at the end of the reporting period, February 28, 2013.

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 the Period” 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 28, 2013. 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, 2013. The information necessary to complete your income tax returns for the calendar year ending December 31, 2013 will be provided 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 28, 2013:


	Dividends Received Deduction
Equity Index Trust		98.58	%

Long Term Capital Gain Designation — 20%

The Fund hereby designates the following amount or maximum allowable 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 28, 2013 (amount in thousands):

Long-Term

Capital Gain

Distribution

Core Bond Trust

2,197

Qualified Dividend Income (QDI)

For the fiscal year ended February 28, 2013, certain dividends paid by the Funds may be subject to a maximum tax rate of 20%. Each Fund hereby designates the following amount or maximum allowable amount of ordinary income distributions treated as qualified dividends (amounts in thousands):


	Qualified Dividend Income
Equity Index Trust	$	6,817

Treasury Income

The following represents the percentage of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 28, 2013:


	Income from U.S. Treasury Obligations
Core Bond Trust		11.98	%
Intermediate Bond Trust		17.34

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 Mitchell Merin. 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 28, 2013 and February 29, 2012, 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:

(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.



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			89

Financial Highlights			92

Notes to Financial Statements			94

Report of Independent Registered Public Accounting Firm			104

Trustees			105

Officers			107

Schedule of Shareholder Expenses			108

Tax Letter			109


REPORTING PERIOD RETURN:
Fund*			4.70%
Barclays U.S. Aggregate Index			3.12%

Net Assets as of 2/28/2013 (In Thousands)			$3,713,768
Duration as of 2/28/2013			4.6 years


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2013

	INCEPTION DATE OF CLASS	1 YEAR			3 YEAR			5 YEAR			SINCE INCEPTION
	2/07/05		4.70	%		6.87	%		6.95	%		6.34	%


REPORTING PERIOD RETURN:
JPMorgan Equity Index Trust*		13.34%
S&P 500 Index**		13.46%

Net Assets as of 2/28/2013 (In Thousands)	$	323,335


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2013

	INCEPTION DATE OF CLASS		1 YEAR			3 YEAR			5 YEAR			SINCE INCEPTION
		2/07/05		13.34	%		13.34	%		4.81	%		4.97	%


REPORTING PERIOD RETURN:
Fund*			3.76%
Barclays Intermediate U.S. Government/Credit Index			3.01%

Net Assets as of 2/28/2013 (In Thousands)			$377,951
Duration as of 2/28/2013			3.7 years



	Core Bond Trust			Equity Index Trust			Intermediate Bond Trust
ASSETS:
Investments in non-affiliates, at value	$	3,630,562		$	315,044		$	369,724
Investments in affiliates, at value		82,653			6,762			7,515

Total investment securities, at value		3,713,215			321,806			377,239
Cash		4			—			—
Receivables:
Investment securities sold		287			—			31
Fund shares sold		10,000			800			—
Interest and dividends from non-affiliates		16,730			791			1,507
Dividends from affiliates		7			—	(a)		—	(a)

Total Assets		3,740,243			323,397			378,777


LIABILITIES:
Payables:
Dividends		254			—			79
Investment securities purchased		17,497			—			564
Fund shares redeemed		8,181			—			73
Variation margin on futures contracts		—			4			—
Accrued liabilities:
Investment advisory fees		340			17			26
Custodian and accounting fees		111			11			47
Trustees’ and Chief Compliance Officer’s fees		1			—	(a)		—	(a)
Audit fees		39			28			35
Other		52			2			2

Total Liabilities		26,475			62			826

Net Assets	$	3,713,768		$	323,335		$	377,951


NET ASSETS:
Paid-in-Capital	$	3,440,821		$	259,631		$	354,143
Accumulated undistributed (distributions in excess of) net investment income		2,621			1,134			369
Accumulated net realized gains (losses)		(2,265	)		(53,283	)		(237	)
Net unrealized appreciation (depreciation)		272,591			115,853			23,676

Total Net Assets	$	3,713,768		$	323,335		$	377,951


Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):		340,931			17,648			35,388

Net Asset Value, offering and redemption price per share (b)	$	10.89		$	18.32		$	10.68


Cost of investments in non-affiliates	$	3,357,971		$	200,531		$	346,048
Cost of investments in affiliates		82,653			5,587			7,515


	Core Bond Trust						Equity Index Trust						Intermediate Bond Trust
	Year Ended 2/28/2013			Year Ended 2/29/2012			Year Ended 2/28/2013			Year Ended 2/29/2012			Year Ended 2/28/2013			Year Ended 2/29/2012
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	143,453		$	149,725		$	6,749		$	6,700		$	12,548		$	13,338
Net realized gain (loss)		(2,198	)		15,415			3,217			(2,629	)		(237	)		3,171
Change in net unrealized appreciation/depreciation		23,835			90,772			28,893			12,157			1,337			7,860

Change in net assets resulting from operations		165,090			255,912			38,859			16,228			13,648			24,369


DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income		(140,546	)		(153,487	)		(6,817	)		(7,278	)		(12,120	)		(14,567	)
From net realized gains		(2,200	)		(4,919	)		—			—			—			(1,970	)
Return of capital		—			—			—			—			—			(790	)

Total distributions to shareholders		(142,746	)		(158,406	)		(6,817	)		(7,278	)		(12,120	)		(17,327	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		595,889			774,356			27,753			30,932			42,769			79,121
Subscriptions in-kind (See Note 7)		37,169			—			—			—			—			—
Distributions reinvested		139,355			154,789			6,805			7,278			11,611			16,912
Cost of shares redeemed		(539,310	)		(590,970	)		(44,363	)		(87,258	)		(39,262	)		(108,690	)

Change in net assets resulting from capital transactions		233,103			338,175			(9,805	)		(49,048	)		15,118			(12,657	)


NET ASSETS:
Change in net assets		255,447			435,681			22,237			(40,098	)		16,646			(5,615	)
Beginning of period		3,458,321			3,022,640			301,098			341,196			361,305			366,920

End of period	$	3,713,768		$	3,458,321		$	323,335		$	301,098		$	377,951		$	361,305

Accumulated undistributed (distributions in excess of) net investment income	$	2,621		$	(316	)	$	1,134		$	1,329		$	369		$	(59	)


SHARE TRANSACTIONS:
Issued		54,513			72,277			1,641			2,053			3,984			7,492
Subscriptions in-kind (See Note 7)		3,372			—			—			—			—			—
Reinvested		12,760			14,484			401			481			1,085			1,602
Redeemed		(49,289	)		(55,193	)		(2,605	)		(5,516	)		(3,666	)		(10,442	)

Change in Shares		21,356			31,568			(563	)		(2,982	)		1,403			(1,348	)


	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 28, 2013	$	10.82	$	0.43	$	0.08		$	0.51		$	(0.43	)	$	(0.01	)	$	—		$	(0.44	)
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	)

Equity Index Trust
Year Ended February 28, 2013		16.53		0.38		1.79			2.17			(0.38	)		—			—			(0.38	)
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	)

Intermediate Bond Trust
Year Ended February 28, 2013		10.63		0.36		0.04			0.40			(0.35	)		—			—			(0.35	)
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	)


		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 earning credits			Portfolio turnover rate (c)

$	10.89		4.70	%	$	3,713,768		0.15	%		3.97	%		0.42	%		16	%
	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


	18.32		13.34			323,335		0.10			2.22			0.38			7
	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


	10.68		3.76			377,951		0.14			3.33			0.47			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


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Investments in Securities
Debt Securities
Asset-Backed Securities	$	—	$	141,468	$	60,762		$	202,230
Collateralized Mortgage Obligations
Agency CMO		—		687,765		27,817			715,582
Non-Agency CMO		—		341,441		48,208			389,649

Total Collateralized Mortgage Obligations		—		1,029,206		76,025			1,105,231

Commercial Mortgage-Backed Securities		—		73,994		30,371			104,365
Corporate Bonds
Consumer Discretionary		—		54,001		—			54,001
Consumer Staples		—		38,432		—			38,432
Energy		—		58,600		—			58,600
Financials		—		349,820		—			349,820
Health Care		—		20,387		—			20,387
Industrials		—		40,470		3,316			43,786
Information Technology		—		33,710		—			33,710
Materials		—		18,309		—			18,309
Telecommunication Services		—		40,141		1,884			42,025
Utilities		—		66,321		—			66,321

Total Corporate Bonds		—		720,191		5,200			725,391

Foreign Government Securities		—		40,818		—			40,818
Mortgage Pass-Through Securities		—		439,935		11,987			451,922
Municipal Bonds		—		9,891		—			9,891
Supranational		—		5,092		—			5,092
U.S. Government Agency Securities		—		57,167		—			57,167
U.S. Treasury Obligations		—		928,455		—			928,455
Short-Term Investment
Investment Company		82,653		—		—			82,653

Total Investments in Securities	$	82,653	$	3,446,217	$	184,345	*	$	3,713,215


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	321,481	$	325	$	—	$	321,806

Appreciation in Other Financial Instruments
Futures Contracts	$	165	$	—	$	—	$	165



JPMorgan Core Bond Trust	Balance as of 02/29/12		Realized gain (loss)			Change in unrealized appreciation (depreciation)			Net amortization (accretion)			Purchases¹		Sales²			Transfers into Level 3		Transfers out of Level 3		Balance as of 02/28/13
Investments in Securities
Asset-Backed Securities	$	9,683	$	—	^(a)	$	728		$	15		$	65,939	$	(21,688	)	$	6,085	$	—	$	60,762
Collateralized Mortgage Obligations
Agency CMO		—		—	^(a)		(4,460	)		94			5,178		(6,433	)		33,438		—		27,817
Non-Agency CMO		13,819		(17	)		4,519			(268	)		31,903		(15,320	)		13,572		—		48,208
Commercial Mortgage-Backed Securities		—		—			542			(6	)		19,300		(6,672	)		17,207		—		30,371
Corporate Bonds
Industrials		—		—			91			(2	)		706		(191	)		2,712		—		3,316
Telecommunication Services		—		—			137			—			—		—			1,747		—		1,884
Mortgage Pass-Through Securities		—		—			15			—			11,972		—			—		—		11,987

Total	$	23,502	$	(17	)	$	1,572		$	(167	)	$	134,998	$	(50,304	)	$	74,761	$	—	$	184,345



JPMorgan Intermediate Bond Trust	Balance as of 02/29/12		Realized gain (loss)		Change in unrealized appreciation (depreciation)			Net accretion (amortization)			Purchases¹			Sales²			Transfers into Level 3		Transfers out of Level 3		Balance as of 02/28/13
Investments in Securities
Asset-Backed Securities	$	334	$	—	$	29		$	—	^(a)	$	4,480		$	(1,564	)	$	314	$	—	$	3,593
Collateralized Mortgage Obligations
Agency CMO		—		—		(222	)		3			—	^(a)		(210	)		1,798		—		1,369
Non-Agency CMO		632		—		2,932			(226	)		923			(3,337	)		160		—		1,084
Commercial Mortgage-Backed Securities		—		—		—	^(a)		—	^(a)		1,419			(329	)		376		—		1,466
Corporate Bond — Industrials		—		—		14			(3	)		—			(58	)		948		—		901
Mortgage Pass-Through Securities		—		—		—			—			499			—			—		—		499

Total	$	966	$	—	$	2,753		$	(226	)	$	7,321		$	(5,498	)	$	3,596	$	—	$	8,912


	Value		Percentage
Core Bond Trust	$	65,971		1.8	%
Intermediate Bond Trust		3,191		0.8



FEBRUARY 28, 2013	JPMORGAN INSTITUTIONAL TRUST FUNDS	1



2	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 28, 2013



FEBRUARY 28, 2013	JPMORGAN INSTITUTIONAL TRUST FUNDS	3



4	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 28, 2013


	Equity Index Trust
Futures Contracts:
Average Notional Balance Long	$	3,690
Ending Notional Balance Long		3,405


Affiliate	Value at February 29, 2012		Purchase Cost		Sales Proceeds		Realized Gain/Loss			Dividend/ Interest Income		Shares at February 28, 2013		Value at February 28, 2013
Core Bond Trust
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares	$	83,998	$	793,253	$	794,598	$	—		$	103		82,653	$	82,653

Equity Index Trust
JPMorgan Chase & Co. (common stock)*	$	3,586	$	185	$	261	$	(1	)	$	109		89	$	4,377
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares		2,565		36,251		36,431		—			5		2,385		2,385
JPMorgan Prime Money Market Fund, Capital Shares**		33		44		77		—			—		—		—

	$	6,184	$	36,480	$	36,769	$	(1	)	$	114		2,474	$	6,762

Intermediate Bond Trust
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares	$	8,286	$	91,955	$	92,726	$	—		$	18		7,515	$	7,515


	Paid-in-Capital			Accumulated undistributed (distributions in excess of) net investment income			Accumulated net realized gains (losses)
Core Bond Trust	$	—		$	30		$	(30	)
Equity index Trust		(2	)		(127	)		129
Intermediate Bond Trust		—	(a)		—	(a)		—	(a)


	Contractual Waivers
	Investment Advisory		Administration		Total
Core Bond Trust	$	6,127	$	3,604	$	9,731
Equity Index Trust		551		304		855
Intermediate Bond Trust		813		376		1,189


	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Purchases of U.S. Government		Sales of U.S. Government
Core Bond Trust	$	644,364	$	551,791	$	114,630	$	13,889
Equity Index Trust		21,329		31,638		—		—
Intermediate Bond Trust		46,611		53,735		23,235		1,613


	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Core Bond Trust	$	3,440,631	$	284,712	$	12,128	$	272,584
Equity Index Trust		226,421		100,253		4,868		95,385
Intermediate Bond Trust		353,573		24,150		484		23,666


	Ordinary Income		Net Long-Term Capital Gains		Total Distributions Paid
Core Bond Trust	$	140,549	$	2,197	$	142,746
Equity Index Trust		6,817		—		6,817
Intermediate Bond Trust		12,120		—		12,120


	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


	Current Distributable Ordinary Income		Current Distributable Long-Term Capital-Gain or (Tax Basis Loss Carryover)			Unrealized Appreciation (Depreciation)
Core Bond Trust	$	2,907	$	(1,037	)	$	272,584
Equity Index Trust		1,136		(32,814	)		95,385
Intermediate Bond Trust		462		(238	)		23,666


	Capital Loss Carryforward Character Long-Term
Core Bond Trust	$	1,037
Equity Index Trust		1,912
Intermediate Bond Trust		238


	2017		2018		2019		Total
Equity Index Trust	$	9,624	$	14,260	$	7,018	$	30,902


Date	Market Value		Type
November 28, 2012	$	31,680		Subscription-in-kind
November 29, 2012		5,489		Subscription-in-kind


Name (Year of Birth); Positions With the Funds (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

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).	171	Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present).

Dr. Matthew Goldstein (1941); Chairman since 2013; 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).	171	Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present); Trustee, Museum of Jewish Heritage (2011-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).	171	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).	171	Director, Center for Communication, Hearing, and Deafness (1990-present).

Mary E. Martinez (1960); Trustee of Trust effective January 1, 2013	Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).	171	Member, New York City Center Advisory Council (oversees public performing arts facilities) (2006-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).	171	Trustee, Carleton College (2003-present).

Mitchell M. Merin (1953); Trustee of Trust effective January 1, 2013	Retired (2005-Present); President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).	171	Director, Sun Life Financial (SLF) (2007 to Present) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010)

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).	171	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).	171	Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2013-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, Carleton College (2002-2010).


Name (Year of Birth); Positions With the Funds (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 (continued)

Marian U. Pardo** (1946); Trustee of Trust effective February 1, 2013	Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).	171	Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-Present)

Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.	Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).	171	Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present).

James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.	Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).	171	None.
Interested Trustee Not Affiliated With the Adviser

Frankie D. Hughes*** (1952), Trustee of Trust since 2008.	President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present).	171	Trustee, The Victory Portfolios (2000-2008).


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.

Kathryn A. Jackson (1962), AML Compliance Officer (2012)*		Vice President and AML Compliance Manager for JPMorgan Asset Management Compliance since 2011; Senior On-Boarding Specialist for JPMorgan Distribution Services, Inc. in Global Liquidity from 2008 to 2011; prior to joining JPMorgan, Ms. Jackson was a Financial Services Analyst responsible for on-boarding, compliance and training with Nationwide Securities LLC and 1717 Capital Management Company, both registered broker-dealers, from 2005 until 2008.

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.

Pamela L. Woodley (1971), Assistant Secretary (2012)		Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Michael M. D’Ambrosio (1969), Assistant Treasurer (2012)		Executive Director, JPMorgan Funds Management, Inc. from July 2012; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.

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

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.

Julie A. Roach (1971), Assistant Treasurer (2012)**		Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.

Gillian I. Sands (1969), Assistant Treasurer (2012)		Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).
Timothy J. Stewart (1974), Assistant Treasurer (2012)		Executive Director, JPMorgan Funds Management, Inc. from July 2012; Managing Director of Robeco Investment Management, Inc. (2011-2012); Chief Financial Officer (2008-2011) and Director of Operations (2003-2008), Robeco-Sage, a division of Robeco Investment Management, Inc.


	Beginning Account Value, September 1, 2012		Ending Account Value, February 28, 2013		Expenses Paid During the Period*		Annualized Expense Ratio
Core Bond Trust
Actual	$	1,000.00	$	1,009.40	$	0.75		0.15	%
Hypothetical		1,000.00		1,024.05		0.75		0.15

Equity Index Trust
Actual	$	1,000.00	$	1,088.70	$	0.52		0.10	%
Hypothetical		1,000.00		1,024.30		0.52		0.10

Intermediate Bond Trust
Actual	$	1,000.00	$	1,008.60	$	0.70		0.14	%
Hypothetical		1,000.00		1,024.10		0.70		0.14


		^© JPMorgan Chase & Co., 2013. All rights reserved. February 2013.		AN-INSTT-213


JPMorgan Institutional Trust

By:		/s/ Patricia A. Maleski
		Patricia A. Maleski
		President and Principal Executive Officer
		May 6, 2013


By:		/s/ Joy C. Dowd
		Joy C. Dowd
		Treasurer and Principal Financial Officer
		May 6, 2013