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,

With a backdrop of continued accommodative policies among the world’s central banks and low growth, low inflation and low volatility, global financial markets performed well overall during the six months ended August 31, 2014. In the U.S., low borrowing costs, a surge in corporate mergers and healthy corporate earnings drove U.S. equity indices to successive record highs during the period. Fixed income markets also posted gains as long-term interest rates declined during the six month period and demand for debt securities outpaced supply. Bond yields, which generally move in the opposite direction of prices, tumbled lower over the six months and yields on longer maturity U.S. Treasury securities reached their lowest levels in more than a year. From May through June, market volatility retreated to lows not consistently seen since 2007, before spiking in July on geopolitical tensions, and then retreating again at the end of August. The Barclays U.S. Aggregate Index returned 2.74% for the six month period. The Standard & Poor’s 500 Index put an exclamation point on the six months by breaching the 2,000-point level for the first time and closing at a record high 2003.37 points on August 29, 2014.

“While both global bond and equity markets performed well during the past six months, there remained notable investor uncertainty about the timing and scope of any change in Fed interest rate policy and uneasiness about the run up in equity prices.”

In the broader U.S. economy, growth returned after a brief drop in the winter months and business investment and spending on durable goods also improved during the reporting period. While housing data were mixed, the unemployment rate dropped to 6.10% in August from 6.70% in March, and other jobs numbers showed meaningful improvement. In response to sustained improvement — particularly in jobs data — the U.S. Federal Reserve (the “Fed”) steadily reduced its Quantitative Easing program to $25 billion in monthly purchases of Treasury bonds and mortgage-backed securities by the end of August. Meanwhile, Fed Chairwoman Janet Yellen sought to reassure investors and the public at large that central bank policy would remain accommodative into 2015. In August, she reiterated that stance at a closely watched global economic conference in Jackson Hole, Wyoming.

While U.S. investors and policy makers were watching for signs of nascent inflationary pressures, the European Union began to confront the threat of potential price deflation. In an unprecedented move in June, European Central Bank President Mario Draghi cut the deposit rate to negative 0.10% from 0.00% in a bid to push banks to extend lending by effectively charging them for parking excess cash with the central bank. Draghi followed up in August with a statement that acknowledged the need to spur job creation and signaled his commitment to support growth and head off a destructive deflationary spiral. In Japan, weaker-than-expected economic data fueled

fears that policies aimed at reviving growth were faltering. Consumer spending shrank sharply, potentially due to an April increase in the nation’s consumption tax. Throughout the six month period, the Bank of Japan continued its aggressive program of bond purchases. For the six months ended August 31, 2014, the MSCI Europe, Australasian and Far East Index returned 4.02%.

Isolated geopolitical conflicts in Ukraine, Gaza and Iraq drove some investors toward so-called safe havens, particularly U.S. fixed income securities, but financial markets in general shrugged off much of the impact from these events. Elsewhere, a long-running dispute over restructured payments to holders of Argentina’s sovereign debt made headlines but had little effect on global bond markets.

Emerging markets generally performed well during the six month period, rebounding from a sell-off in late 2013. In China, domestic economic data weakened toward the end of the six month period. However, the government’s targeted stimulus appeared to be working to counter any slowdown in growth. Two of the world’s largest democracies, India and Indonesia, held generally peaceful elections, and Turkey’s prime minister was elected the next president, as expected. In Brazil, the death of opposition presidential candidate Eduardo Campos in an airplane crash raised uncertainty about the upcoming elections and prospects for change in Brazil’s economic policies. In Thailand, months of political unrest led to a military coup in May. For the six months ended August 31, 2014, the MSCI Emerging Markets Index returned 12.78%.

While both global bond and equity markets performed well during the past six months, there remained notable investor uncertainty about the timing and scope of any change in Fed interest rate policy and uneasiness about the run up in equity prices. Policymakers and economists stated their fear that investors had grown complacent amid the extended period of low volatility across stock, bond, foreign exchange and commodities markets. At the same time, moderate price inflation and a stronger dollar helped to dispel warnings that Fed policies would unleash rapid inflation and debase the U.S. currency. In the face of all these concerns, both bonds and equities generated positive returns for the six month period and rewarded those investors who maintained a diversified portfolio and a long-term perspective.

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

Sincerely yours,

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

Financial markets generally performed well, primarily driven by the accommodative stance of central banks throughout the six months ended August 31, 2014. The U.S. economy rebounded from a drop in gross domestic product in the winter months and returned to steady, positive growth for the remainder of the reporting period. While signs of price inflation emerged, the employment rate and consumer spending remain below the U.S. Federal Reserve’s stated policy targets and allowed the central bank to hold its policy guidance constant over the course of the six month period. In this environment, long term interest rates declined. Demand for longer maturity debt outpaced supply as investors sought the relatively attractive yields of U.S. Treasury securities compared with yields on foreign government bonds and in non-U.S. developed markets.

Amid low interest rates and improving credit quality, investors sought higher yields offered by longer maturity and lower quality debt securities. For the six month period, the Barclays U.S. Aggregate Index returned 2.74% and the Standard & Poor’s 500 Index returned 8.84%.

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?

For the six months ended August 31, 2014, the Fund underperformed the Barclays U.S. Aggregate Index (the “Benchmark”). The Fund’s shorter duration relative to the Benchmark and, to a lesser degree, its position on the yield curve both detracted from the Fund’s performance relative to the Benchmark. Duration measures the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease in price as interest rates go down or up, respectively, versus bonds with shorter duration. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a set point in time. The Fund’s overall corporate credit sector holdings and its mortgage pass-through holdings also detracted from relative performance.

The Fund’s overweight position and security selection in commercial mortgage-backed securities and asset-backed securities made a positive contribution to performance relative to the Benchmark.

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. At the end of the reporting period, the Fund was underweight in U.S. Treasuries and overweight in mortgage-backed securities.


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	26.4	%
Collateralized Mortgage Obligations	23.3
Corporate Bonds	18.8
Mortgage Pass-Through Securities	14.9
Asset-Backed Securities	5.9
Commercial Mortgage-Backed Securities	3.7
U.S. Government Agency Securities	2.4
Foreign Government Securities	1.3
Others (each less than 1.0%)	0.8
Short-Term Investment	2.5

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

***

Percentages indicated are based on total investments as of August 31, 2014. 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 August 31, 2014. 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, if applicable. 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 six months ended August 31, 2014. 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.

Overall, the U.S. equity market performed strongly during the six months ended August 31, 2014. Continued accommodative monetary policy from the U.S. Federal Reserve (the “Fed”), steady improvement in economic indicators, healthy corporate earnings and mergers and acquisitions activity drove the Benchmark higher during the reporting period.

All sectors in the Benchmark posted positive returns. The information technology and energy sectors were the greatest contributors to Benchmark performance, while the telecommunications and utilities sectors made the smallest contribution to Benchmark performance during the reporting period.

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.	3.4	%
	2.	Exxon Mobil Corp.	2.4
	3.	Microsoft Corp.	1.9
	4.	Johnson & Johnson	1.6
	5.	General Electric Co.	1.4
	6.	Berkshire Hathaway, Inc., Class B	1.4
	7.	Wells Fargo & Co.	1.4
	8.	Chevron Corp.	1.4
	9.	JPMorgan Chase & Co.	1.2
	10.	Procter & Gamble Co. (The)	1.2


PORTFOLIO COMPOSITION BY SECTOR****
Information Technology	19.1	%
Financials	15.9
Health Care	13.5
Consumer Discretionary	11.8
Energy	10.3
Industrials	10.1
Consumer Staples	9.3
Materials	3.5
Utilities	3.0
Telecommunication Services	2.3
Exchange Traded Fund	0.0	(a)
Short-Term Investments	1.2

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

***

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

****

Percentages indicated are based on total investments as of August 31, 2014. The Fund’s portfolio composition is subject to change.

(a)

Amount rounds to less than 0.1%.

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 Funds Index from February 7, 2005 to August 31, 2014. The performance of the Lipper S&P 500 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, if applicable. The performance of the Lipper S&P 500 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 S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. Stock Market. Index levels are based on total return in U.S. dollars. The Lipper S&P 500 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 six months ended August 31, 2014, the Fund outperformed the Barclays Intermediate U.S. Government/Credit Index (the “Benchmark”). The Fund’s position on the yield curve — particularly its underweight position in the two-to-five year portion — made a positive contribution to performance relative to the Benchmark, as short-to-intermediate interest rates rose during the period, which decreased the value of bonds with shorter maturities. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds for a given point in time. The Fund’s out-of-Benchmark position in mortgage securities, including mortgage pass-through, agency and non-agency collateralized mortgage obligations, also contributed to relative performance.

The Fund’s security selection in the corporate credit sector and U.S. Treasury securities detracted from performance relative to the Benchmark for the six months ended August 31, 2014.

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 in U.S. Treasuries and in the corporate credit sector. The Fund was overweight in the intermediate part (5-10 years) of the yield curve.


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	30.3	%
Collateralized Mortgage Obligations	19.8
Corporate Bonds	19.0
Mortgage Pass-Through Securities	10.4
Asset-Backed Securities	5.8
U.S. Government Agency Securities	2.5
Commercial Mortgage-Backed Securities	2.0
Foreign Government Securities	1.0
Supranational	0.1
Short-Term Investment	9.1

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

***

Percentages indicated are based on total investments as of August 31, 2014. 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 August 31, 2014. 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, if applicable. 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 — 5.9%
		Academic Loan Funding Trust,
	1,200	Series 2012-1A, Class A1, VAR, 0.955%, 12/27/22 (e)		1,210
	2,337	Series 2013-1A, Class A, VAR, 0.955%, 12/26/44 (e)		2,345
		Ally Auto Receivables Trust,
	282	Series 2012-1, Class A3, 0.930%, 02/16/16		282
	290	Series 2012-2, Class A3, 0.740%, 04/15/16		290
	565	Series 2012-3, Class A3, 0.850%, 08/15/16		566
	1,722	Series 2013-2, Class A3, 0.790%, 01/15/18		1,721
	300	Series 2013-2, Class A4, 1.240%, 11/15/18		301
		American Credit Acceptance Receivables Trust,
	266	Series 2012-3, Class A, 1.640%, 11/15/16 (e)		267
	768	Series 2013-1, Class A, 1.450%, 04/16/18 (e)		772
	463	Series 2013-2, Class A, 1.320%, 02/15/17 (e)		464
	2,447	Series 2014-2, Class A, 0.990%, 10/10/17 (e)		2,447
	1,182	Series 2014-2, Class B, 2.260%, 03/10/20 (e)		1,181
		AmeriCredit Automobile Receivables Trust,
	49	Series 2011-5, Class A3, 1.550%, 07/08/16		49
	36	Series 2012-1, Class A3, 1.230%, 09/08/16		37
	44	Series 2012-2, Class A3, 1.050%, 10/11/16		44
	210	Series 2012-3, Class A3, 0.960%, 01/09/17		210
	267	Series 2012-5, Class A3, 0.620%, 06/08/17		268
	824	Series 2013-4, Class A2, 0.740%, 11/08/16		825
	590	Series 2013-5, Class A3, 0.900%, 09/10/18		590
	163	Ascentium Equipment Receivables LLC, Series 2012-1A, Class A, 1.830%, 09/15/19 (e)		163
	2,050	Axis Equipment Finance Receivables II LLC, Series 2013-1A, Class A, 1.750%, 03/20/17 (e)		2,050
	176	Bank of America Auto Trust, Series 2012-1, Class A3, 0.780%, 06/15/16		176
	1,811	Bayview Opportunity Master Fund IIa Trust, Series 2013-8NPL, Class A, VAR, 3.228%, 03/28/33 (e)		1,815
	454	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.525%, 04/25/36		435
	678	BMW Vehicle Owner Trust, Series 2013-A, Class A3, 0.670%, 11/27/17		678
	937	BXG Receivables Note Trust, Series 2012-A, Class A, 2.660%, 12/02/27 (e)		933
	700	Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)		708


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	701	California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 08/15/17 (e)		704
	1,500	Capital Auto Receivables Asset Trust, Series 2013-3, Class A1B, VAR, 0.586%, 11/20/15		1,500
		CarFinance Capital Auto Trust,
	280	Series 2013-1A, Class A, 1.650%, 07/17/17 (e)		281
	320	Series 2013-2A, Class A, 1.750%, 11/15/17 (e)		321
	923	Series 2014-1A, Class A, 1.460%, 12/17/18 (e)		925
	375	Series 2014-1A, Class B, 2.720%, 04/15/20 (e)		378
	3,207	Carlyle Global Market Strategies Commodities Funding Ltd., (Cayman Islands), Series 2014-1A, Class A, VAR, 2.176%, 10/15/21 (e) (i)		3,207
		CarMax Auto Owner Trust,
	543	Series 2011-1, Class A4, 2.160%, 09/15/16		547
	314	Series 2011-3, Class A3, 1.070%, 06/15/16		314
	676	Series 2013-4, Class A3, 0.800%, 07/16/18		675
	440	Series 2013-4, Class A4, 1.280%, 05/15/19		439
	453	Carnow Auto Receivables Trust, Series 2013-1A, Class A, 1.160%, 10/16/17 (e)		453
	364	Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		375
	1,339	Chase Funding Trust, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34		1,354
	800	Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39		1,031
	314	Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.535%, 12/25/33		301
		CNH Equipment Trust,
	541	Series 2011-A, Class A4, 2.040%, 10/17/16		544
	270	Series 2012-A, Class A3, 0.940%, 05/15/17		270
		Concord Funding Co. LLC,
	2,800	Series 2012-2, Class A, 3.145%, 01/15/17 (e)		2,800
	1,650	Series 2013-1, Class A, 2.420%, 02/15/15 (e)		1,653
	1,095	Conix Mortgage Asset Trust, Series 2013-1, Class A, VAR, 4.704%, 12/25/47 (e) (i)		1,118
	832	Countrywide Asset -Backed Certificates, Series 2004-6, Class M1, VAR, 1.055%, 10/25/34		791
		CPS Auto Receivables Trust,
	556	Series 2011-C, Class A, 4.210%, 03/15/19 (e)		571


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	292	Series 2012-A, Class A, 2.780%, 06/17/19 (e)		297
	1,726	Series 2012-B, Class A, 2.520%, 09/16/19 (e)		1,749
	2,495	Series 2013-C, Class A, 1.640%, 04/16/18 (e)		2,509
	3,312	Series 2013-D, Class A, 1.540%, 07/16/18 (e)		3,326
	438	Series 2014-A, Class A, 1.210%, 08/15/18 (e)		438
		CPS Auto Trust,
	1,016	Series 2012-C, Class A, 1.820%, 12/16/19 (e)		1,027
	162	Series 2012-D, Class A, 1.480%, 03/16/20 (e)		163
		Credit Acceptance Auto Loan Trust,
	228	Series 2012-1A, Class A, 2.200%, 09/16/19 (e)		229
	1,512	Series 2012-2A, Class A, 1.520%, 03/16/20 (e)		1,517
	813	Discover Card Execution Note Trust, Series 2012-A1, Class A1, 0.810%, 08/15/17		815
		Exeter Automobile Receivables Trust,
	303	Series 2012-2A, Class A, 1.300%, 06/15/17 (e)		304
	582	Series 2013-1A, Class A, 1.290%, 10/16/17 (e)		583
	1,436	Series 2013-2A, Class A, 1.490%, 11/15/17 (e)		1,441
	1,056	Series 2014-1A, Class A, 1.290%, 05/15/18 (e)		1,058
	349	Fifth Third Auto Trust, Series 2013-1, Class A3, 0.880%, 10/16/17		350
	314	First Investors Auto Owner Trust, Series 2012-2A, Class A2, 1.470%, 05/15/18 (e)		315
		Flagship Credit Auto Trust,
	885	Series 2013-1, Class A, 1.320%, 04/16/18 (e)		886
	1,358	Series 2013-2, Class A, 1.940%, 01/15/19 (e)		1,362
	1,347	Series 2014-1, Class A, 1.210%, 04/15/19 (e)		1,346
	245	Series 2014-1, Class B, 2.550%, 02/18/20 (e)		245
		Ford Credit Auto Lease Trust,
	503	Series 2013-B, Class A3, 0.760%, 09/15/16		504
	265	Series 2014-A, Class A2A, 0.500%, 10/15/16		265


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Ford Credit Auto Owner Trust,
	434	Series 2012-A, Class A3, 0.840%, 08/15/16		435
	252	Series 2012-B, Class A3, 0.720%, 12/15/16		252
	529	Series 2012-D, Class A3, 0.510%, 04/15/17		530
	669	Ford Credit Floorplan Master Owner Trust, Series 2013-1, Class A2, VAR, 0.535%, 01/15/18		670
	541	Freedom Trust, Series 2011-2, Class A11, VAR, 5.000%, 08/01/46 (e)		553
		FRT Trust,
	1,017	Series 2013-1A, Class A1N, SUB, 3.960%, 10/25/33 (e) (i)		1,025
	469	Series 2013-1A, Class AR, SUB, 4.210%, 10/25/18 (e) (i)		468
	1,892	GCAT, Series 2014-1A, Class A1, VAR, 3.228%, 07/25/19 (e)		1,892
	274	GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		271
		GE Equipment Midticket LLC,
	515	Series 2012-1, Class A3, 0.600%, 05/23/16		516
	360	Series 2012-1, Class A4, 0.780%, 09/22/20		360
	3,844	GLC Trust, Series 2014-A, Class A, 3.000%, 07/15/21 (e)		3,824
		GMAT Trust,
	1,777	Series 2013-1A, Class A, SUB, 3.967%, 11/25/43 (e)		1,782
	1,228	Series 2014-1A, Class A, SUB, 3.721%, 02/25/44 (e)		1,231
		HLSS Servicer Advance Receivables Backed Notes,
	2,662	Series 2013-T2, Class A2, 1.147%, 05/16/44 (e)		2,664
	2,140	Series 2013-T7, Class AT7, 1.981%, 11/15/46 (e)		2,148
		HLSS Servicer Advance Receivables Trust,
	1,560	Series 2012-T2, Class A2, 1.990%, 10/15/45 (e)		1,572
	1,197	Series 2013-T1, Class A2, 1.495%, 01/16/46 (e)		1,199
	497	Series 2013-T1, Class B2, 1.744%, 01/16/46 (e)		496
	718	Series 2014-T1, Class AT1, 1.244%, 01/17/45 (e)		719
	997	Series 2014-T2, Class AT2, 2.217%, 01/15/47 (e)		1,005
	177	Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.355%, 03/25/36		139


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
		Honda Auto Receivables Owner Trust,
	388	Series 2012-1, Class A4, 0.970%, 04/16/18		389
	187	Series 2012-2, Class A3, 0.700%, 02/16/16		188
	1	Series 2013-1, Class A2, 0.350%, 06/22/15		1
	1,527	Series 2013-4, Class A3, 0.690%, 09/18/17		1,528
	930	Series 2014-2, Class A3, 0.770%, 03/19/18		930
		HSBC Home Equity Loan Trust USA,
	680	Series 2006-1, Class A1, VAR, 0.316%, 01/20/36		676
	1,312	Series 2007-3, Class APT, VAR, 1.356%, 11/20/36		1,312
		Huntington Auto Trust,
	66	Series 2011-1A, Class A3, 1.010%, 01/15/16 (e)		66
	1,000	Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)		1,005
	262	Series 2012-1, Class A3, 0.810%, 09/15/16		262
		Hyundai Auto Receivables Trust,
	360	Series 2010-B, Class A4, 1.630%, 03/15/17		362
	116	Series 2011-A, Class A4, 1.780%, 12/15/15		116
	427	Series 2011-B, Class A4, 1.650%, 02/15/17		428
	104	Series 2013-A, Class A2, 0.400%, 12/15/15		104
	581	John Deere Owner Trust, Series 2012-B, Class A4, 0.690%, 01/15/19		580
		KGS-Alpha Capital Markets LP,
	19,491	VAR, 11.244%, 08/25/38		746
	12,198	Series 2013-2, VAR, 18.053%, 03/25/39		702
	275	Kondaur Mortgage Asset Trust LLC, Series 2013-1, Class A, VAR, 4.458%, 08/25/52 (e)		276
	269	Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.505%, 07/25/34 (e)		267
	434	Long Beach Mortgage Loan Trust, Series 2006-WL2, Class 2A3, VAR, 0.355%, 01/25/36		411
		LV Tower 52 Issuer LLC,
	2,749	Series 2013-1, Class A, 5.500%, 06/15/18 (e) (i)		2,752
	1,430	Series 2013-1, Class M, 7.500%, 06/15/18 (e) (i)		1,430
	210	Macquarie Equipment Funding Trust, Series 2012-A, Class A2, 0.610%, 04/20/15 (e)		210
	625	Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class M2, VAR, 2.405%, 03/25/32		625
	1,076	Mid-State Capital Corp. Trust, Series 2006- 1, Class M1, 6.083%, 10/15/40 (e)		1,109
	2,637	MMCA Auto Owner Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e)		2,658


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Nationstar Agency Advance Funding Trust,
	1,078	Series 2013-T1A, Class AT1, 0.997%, 02/15/45 (e)		1,077
	439	Series 2013-T2A, Class AT2, 1.892%, 02/18/48 (e)		428
	216	Series 2013-T2A, Class BT2, 2.487%, 02/18/48 (e)		214
	930	Navitas Equipment Receivables LLC, Series 2013-1, Class A, 1.950%, 11/15/16 (e)		930
	689	NCUA Guaranteed Notes Trust, Series 2010-A1, Class A, VAR, 0.509%, 12/07/20		690
	964	New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33		991
	2,417	New Residential Advance Receivables Trust, Series 2014-T1, Class A1, 1.274%, 03/15/45 (e)		2,420
	611	Nissan Auto Lease Trust, Series 2013-B, Class A3, 0.750%, 06/15/16		610
	333	Nissan Auto Receivables Owner Trust, Series 2012-A, Class A4, 1.000%, 07/16/18		335
	5,697	Normandy Mortgage Loan Co. LLC, Series 2013-NPL3, Class A, SUB, 4.949%, 09/16/43 (e)		5,688
		NYMT Residential LLC,
	1,500	Series 2012-RP1A, Class NOTE, VAR, 4.250%, 12/25/17 (e) (i)		1,500
	2,298	Series 2013-RP3A, Class NOTE, SUB, 4.850%, 09/25/18 (e) (i)		2,298
	1,952	OnDeck Asset Securitization Trust LLC, Series 2014-1A, Class A, 3.150%, 05/17/18 (e)		1,958
		OneMain Financial Issuance Trust,
	2,744	Series 2014-1A, Class A, 2.430%, 06/18/24 (e)		2,744
	402	Series 2014-1A, Class B, 3.240%, 06/18/24 (e)		405
	3,672	Series 2014-2A, Class A, 2.470%, 09/18/24 (e)		3,673
	1,491	Series 2014-2A, Class B, 3.020%, 09/18/24 (e)		1,491
	1,012	Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-MCW1, Class M1, VAR, 1.092%, 10/25/34		1,006
	670	PFS Tax Lien Trust, Series 2014-1, Class NOTE, 1.440%, 05/15/29 (e)		672
	1,000	Progreso Receivables Funding I LLC, Series 2013-A, Class A, 4.000%, 07/09/18 (e)		1,007
	2,353	Progreso Receivables Funding II LLC, Series 2014-A, Class A, 3.500%, 07/08/19 (e)		2,353
	2,178	RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.455%, 03/25/36		2,123
	2,727	RBSHD Trust, Series 2013-1A, Class A, SUB, 4.685%, 10/25/47 (e) (i)		2,738


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	296	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37		160
	345	RMAT, Series 2012-1A, Class A1, VAR, 2.734%, 08/26/52 (e) (i)		347
		Santander Drive Auto Receivables Trust,
	8	Series 2012-3, Class A3, 1.080%, 04/15/16		8
	59	Series 2012-6, Class A3, 0.620%, 07/15/16		59
	443	Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33		448
	300	Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 3.509%, 01/25/36		224
	611	Selene Non-Performing Loans LLC, Series 2014-1A, Class A, SUB, 2.981%, 05/25/54 (e)		611
		SNAAC Auto Receivables Trust,
	124	Series 2013-1A, Class A, 1.140%, 07/16/18 (e)		124
	968	Series 2014-1A, Class A, 1.030%, 09/17/18 (e)		968
		SpringCastle America Funding LLC,
	3,372	Series 2013-1A, Class A, 4.000%, 04/03/21 (e)		3,385
	6,542	Series 2013-1A, Class B, 4.000%, 12/03/24 (e)		6,561
		Springleaf Funding Trust,
	9,200	Series 2013-AA, Class A, 2.580%, 09/15/21 (e)		9,268
	3,000	Series 2013-BA, Class A, 3.920%, 01/16/23 (e)		3,069
	2,000	Series 2013-BA, Class B, 4.820%, 01/16/23 (e)		2,082
	6,533	Series 2014-AA, Class A, 2.410%, 12/15/22 (e)		6,529
	525	Series 2014-AA, Class B, 3.450%, 12/15/22 (e)		525
		Stanwich Mortgage Loan Co. LLC,
	680	Series 2012-NPL4, Class A, 2.981%, 09/15/42 (e)		680
	1,607	Series 2013-NPL2, Class A, 3.228%, 04/16/59 (e)		1,610
	1,477	Stanwich Mortgage Loan Trust, Series 2013-NPL1, Class A, 2.981%, 02/16/43 (e)		1,475
	179	Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32		187
	3,844	Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.555%, 10/15/15 (e)		3,869
	3,085	Truman Capital Mortgage Loan Trust, Series 2014-NLP1, Class A1, SUB, 3.228%, 07/25/53 (e)		3,081


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	1,361	U.S. Residential Opportunity Fund Trust, Series 2014-1A, Class NOTE, SUB, 3.466%, 03/25/34 (e)		1,365
		Vericrest Opportunity Loan Transferee LLC,
	578	Series 2013-NPL4, Class A1, SUB, 3.960%, 11/25/53 (e)		581
	2,987	Series 2013-NPL7, Class A1, SUB, 3.625%, 11/25/53 (e)		2,998
	2,757	Series 2014-NPL1, Class A1, SUB, 3.625%, 10/27/53 (e)		2,762
	2,771	Series 2014-NPL2, Class A1, SUB, 3.625%, 11/25/53 (e)		2,779
	5,111	Series 2014-NPL3, Class A1, SUB, 3.250%, 11/25/53 (e)		5,121
	3,979	Series 2014-NPL4, Class A1, SUB, 3.125%, 04/27/54 (e)		3,978
	2,449	Series 2014-NPL5, Class A1, SUB, 3.228%, 09/25/58 (e)		2,440
	295	Volkswagen Auto Lease Trust, Series 2012-A, Class A3, 0.870%, 07/20/15		296
	853	Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16		855
	1,547	VOLT NPL IX LLC, Series 2013-NPL3, Class A1, SUB, 4.250%, 04/25/53 (e)		1,557
	2,059	VOLT XIX LLC, Series 2013-NPL5, Class A1, SUB, 3.625%, 04/25/55 (e)		2,065
	1,149	VOLT XV LLC, Series 2014-3A, Class A1, SUB, 3.250%, 05/26/54 (e)		1,157
		VOLT XX LLC,
	3,458	Series 2013-NPL6, Class A1, SUB, 3.625%, 03/25/54 (e)		3,477
	1,299	Series 2013-NPL6, Class A2, SUB, 5.250%, 03/25/54 (e)		1,305
		Westgate Resorts LLC,
	616	Series 2012-1, Class A, 4.500%, 09/20/25 (e)		621
	949	Series 2012-2A, Class A, 3.000%, 01/20/25 (e)		957
	512	Series 2012-3A, Class A, 2.500%, 03/20/25 (e)		515
	1,081	Series 2013-1A, Class A, 2.250%, 08/20/25 (e)		1,083
		World Omni Auto Receivables Trust,
	1,164	Series 2013-B, Class A3, 0.830%, 08/15/18		1,166
	413	Series 2013-B, Class A4, 1.320%, 01/15/20		413

		Total Asset-Backed Securities (Cost $223,188)		225,104


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — 23.2%
			Agency CMO — 16.2%
	652		Federal Home Loan Bank, Series TQ-2015, Class A, 5.065%, 10/20/15		679
	197		Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 8, Class ZA, 7.000%, 03/25/23		219
			Federal Home Loan Mortgage Corp. REMIC,
	9		Series 11, Class D, 9.500%, 07/15/19		9
	8		Series 22, Class C, 9.500%, 04/15/20		9
	13		Series 23, Class F, 9.600%, 04/15/20		15
	—	(h)	Series 41, Class I, HB, 84.000%, 05/15/20		—	(h)
	1		Series 47, Class F, 10.000%, 06/15/20		1
	3		Series 99, Class Z, 9.500%, 01/15/21		4
	—	(h)	Series 204, Class E, HB, IF, 1,857.616%, 05/15/23		—	(h)
	—	(h)	Series 1045, Class G, HB, 1,066.209%, 02/15/21		—	(h)
	5		Series 1065, Class J, 9.000%, 04/15/21		6
	1		Series 1079, Class S, HB, IF, 33.473%, 05/15/21		2
	5		Series 1084, Class F, VAR, 1.105%, 05/15/21		5
	3		Series 1084, Class S, HB, IF, 44.528%, 05/15/21		6
	10		Series 1116, Class I, 5.500%, 08/15/21		11
	13		Series 1144, Class KB, 8.500%, 09/15/21		15
	—	(h)	Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21		—	(h)
	—	(h)	Series 1196, Class B, HB, IF, 1,180.777%, 01/15/22		5
	10		Series 1250, Class J, 7.000%, 05/15/22		11
	18		Series 1343, Class LA, 8.000%, 08/15/22		20
	22		Series 1343, Class LB, 7.500%, 08/15/22		26
	39		Series 1370, Class JA, VAR, 1.305%, 09/15/22		39
	40		Series 1455, Class WB, IF, 4.598%, 12/15/22		42
	177		Series 1466, Class PZ, 7.500%, 02/15/23		199
	3		Series 1470, Class F, VAR, 1.668%, 02/15/23		3
	198		Series 1498, Class I, VAR, 1.305%, 04/15/23		203
	291		Series 1502, Class PX, 7.000%, 04/15/23		322
	35		Series 1505, Class Q, 7.000%, 05/15/23		38
	81		Series 1518, Class G, IF, 8.875%, 05/15/23		96
	26		Series 1541, Class M, HB, IF, 24.849%, 07/15/23		42
	71		Series 1541, Class O, VAR, 1.830%, 07/15/23		72


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	8	Series 1570, Class F, VAR, 2.168%, 08/15/23		8
	272	Series 1573, Class PZ, 7.000%, 09/15/23		305
	162	Series 1591, Class PV, 6.250%, 10/15/23		178
	27	Series 1602, Class SA, HB, IF, 22.246%, 10/15/23		48
	702	Series 1608, Class L, 6.500%, 09/15/23		769
	39	Series 1609, Class LG, IF, 16.997%, 11/15/23		41
	474	Series 1638, Class H, 6.500%, 12/15/23		524
	331	Series 1642, Class PJ, 6.000%, 11/15/23		369
	14	Series 1671, Class QC, IF, 10.000%, 02/15/24		18
	16	Series 1686, Class SH, IF, 18.889%, 02/15/24		23
	113	Series 1695, Class EB, 7.000%, 03/15/24		127
	23	Series 1699, Class FC, VAR, 0.755%, 03/15/24		23
	125	Series 1700, Class GA, PO, 02/15/24		117
	316	Series 1706, Class K, 7.000%, 03/15/24		358
	11	Series 1709, Class FA, VAR, 1.680%, 03/15/24		11
	35	Series 1745, Class D, 7.500%, 08/15/24		40
	683	Series 1760, Class ZD, VAR, 2.030%, 02/15/24		700
	255	Series 1798, Class F, 5.000%, 05/15/23		277
	4	Series 1807, Class G, 9.000%, 10/15/20		4
	66	Series 1829, Class ZB, 6.500%, 03/15/26		73
	70	Series 1863, Class Z, 6.500%, 07/15/26		77
	39	Series 1865, Class D, PO, 02/15/24		34
	52	Series 1890, Class H, 7.500%, 09/15/26		60
	146	Series 1899, Class ZE, 8.000%, 09/15/26		170
	9	Series 1935, Class FL, VAR, 0.855%, 02/15/27		9
	111	Series 1963, Class Z, 7.500%, 01/15/27		128
	16	Series 1970, Class PG, 7.250%, 07/15/27		18
	207	Series 1981, Class Z, 6.000%, 05/15/27		231
	78	Series 1987, Class PE, 7.500%, 09/15/27		87
	181	Series 2019, Class Z, 6.500%, 12/15/27		205
	54	Series 2033, Class SN, HB, IF, 28.431%, 03/15/24		24
	148	Series 2038, Class PN, IO, 7.000%, 03/15/28		29
	310	Series 2040, Class PE, 7.500%, 03/15/28		356
	47	Series 2043, Class CJ, 6.500%, 04/15/28		54
	250	Series 2054, Class PV, 7.500%, 05/15/28		287
	425	Series 2075, Class PH, 6.500%, 08/15/28		477
	478	Series 2075, Class PM, 6.250%, 08/15/28		539


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	134	Series 2086, Class GB, 6.000%, 09/15/28		150
	201	Series 2089, Class PJ, IO, 7.000%, 10/15/28		39
	589	Series 2095, Class PE, 6.000%, 11/15/28		652
	183	Series 2125, Class JZ, 6.000%, 02/15/29		202
	43	Series 2132, Class SB, HB, IF, 29.875%, 03/15/29		78
	24	Series 2134, Class PI, IO, 6.500%, 03/15/19		3
	246	Series 2136, Class PG, 6.000%, 03/15/29		275
	73	Series 2141, Class IO, IO, 7.000%, 04/15/29		14
	65	Series 2163, Class PC, IO, 7.500%, 06/15/29		12
	687	Series 2169, Class TB, 7.000%, 06/15/29		788
	357	Series 2172, Class QC, 7.000%, 07/15/29		403
	320	Series 2176, Class OJ, 7.000%, 08/15/29		370
	182	Series 2201, Class C, 8.000%, 11/15/29		212
	166	Series 2209, Class TC, 8.000%, 01/15/30		199
	282	Series 2210, Class Z, 8.000%, 01/15/30		327
	57	Series 2224, Class CB, 8.000%, 03/15/30		69
	157	Series 2230, Class Z, 8.000%, 04/15/30		184
	122	Series 2234, Class PZ, 7.500%, 05/15/30		141
	105	Series 2247, Class Z, 7.500%, 08/15/30		121
	155	Series 2256, Class MC, 7.250%, 09/15/30		178
	305	Series 2259, Class ZM, 7.000%, 10/15/30		350
	9	Series 2261, Class ZY, 7.500%, 10/15/30		11
	36	Series 2262, Class Z, 7.500%, 10/15/30		42
	346	Series 2271, Class PC, 7.250%, 12/15/30		397
	414	Series 2283, Class K, 6.500%, 12/15/23		462
	154	Series 2296, Class PD, 7.000%, 03/15/31		178
	49	Series 2306, Class K, PO, 05/15/24		46
	115	Series 2306, Class SE, IF, IO, 8.070%, 05/15/24		21
	213	Series 2313, Class LA, 6.500%, 05/15/31		240
	276	Series 2325, Class PM, 7.000%, 06/15/31		296
	220	Series 2344, Class QG, 6.000%, 08/15/16		228
	1,618	Series 2344, Class ZD, 6.500%, 08/15/31		1,855
	138	Series 2344, Class ZJ, 6.500%, 08/15/31		157
	148	Series 2345, Class NE, 6.500%, 08/15/31		166
	85	Series 2345, Class PQ, 6.500%, 08/15/16		89
	137	Series 2351, Class PZ, 6.500%, 08/15/31		154
	1,261	Series 2353, Class AZ, 6.000%, 09/15/31		1,383
	93	Series 2353, Class TD, 6.000%, 09/15/16		97
	74	Series 2355, Class BP, 6.000%, 09/15/16		77
	48	Series 2359, Class PM, 6.000%, 09/15/16		50


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	542	Series 2359, Class ZB, 8.500%, 06/15/31		651
	131	Series 2360, Class PG, 6.000%, 09/15/16		136
	29	Series 2363, Class PF, 6.000%, 09/15/16		30
	59	Series 2366, Class MD, 6.000%, 10/15/16		62
	272	Series 2367, Class ME, 6.500%, 10/15/31		300
	192	Series 2391, Class QR, 5.500%, 12/15/16		199
	91	Series 2394, Class MC, 6.000%, 12/15/16		95
	543	Series 2396, Class FM, VAR, 0.605%, 12/15/31		548
	301	Series 2399, Class OH, 6.500%, 01/15/32		341
	497	Series 2399, Class TH, 6.500%, 01/15/32		560
	474	Series 2410, Class NG, 6.500%, 02/15/32		540
	183	Series 2410, Class OE, 6.375%, 02/15/32		197
	332	Series 2410, Class QS, IF, 19.097%, 02/15/32		502
	176	Series 2410, Class QX, IF, IO, 8.495%, 02/15/32		49
	368	Series 2412, Class SP, IF, 15.790%, 02/15/32		475
	548	Series 2420, Class XK, 6.500%, 02/15/32		621
	450	Series 2423, Class MC, 7.000%, 03/15/32		518
	417	Series 2423, Class MT, 7.000%, 03/15/32		480
	100	Series 2425, Class OB, 6.000%, 03/15/17		105
	874	Series 2430, Class WF, 6.500%, 03/15/32		984
	475	Series 2434, Class TC, 7.000%, 04/15/32		532
	565	Series 2435, Class CJ, 6.500%, 04/15/32		616
	393	Series 2436, Class MC, 7.000%, 04/15/32		442
	317	Series 2444, Class ES, IF, IO, 7.795%, 03/15/32		88
	216	Series 2450, Class GZ, 7.000%, 05/15/32		247
	254	Series 2450, Class SW, IF, IO, 7.845%, 03/15/32		57
	1,231	Series 2455, Class GK, 6.500%, 05/15/32		1,384
	45	Series 2458, Class QE, 5.500%, 06/15/17		47
	380	Series 2462, Class JG, 6.500%, 06/15/32		428
	839	Series 2464, Class SI, IF, IO, 7.845%, 02/15/32		223
	856	Series 2466, Class PH, 6.500%, 06/15/32		928
	369	Series 2474, Class NR, 6.500%, 07/15/32		415
	494	Series 2484, Class LZ, 6.500%, 07/15/32		558
	677	Series 2500, Class MC, 6.000%, 09/15/32		767
	39	Series 2503, Class BH, 5.500%, 09/15/17		41
	188	Series 2508, Class AQ, 5.500%, 10/15/17		199
	488	Series 2512, Class PG, 5.500%, 10/15/22		535
	276	Series 2535, Class BK, 5.500%, 12/15/22		303
	373	Series 2537, Class TE, 5.500%, 12/15/17		394


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	932	Series 2543, Class YX, 6.000%, 12/15/32		1,036
	837	Series 2544, Class HC, 6.000%, 12/15/32		930
	1,033	Series 2552, Class ME, 6.000%, 01/15/33		1,146
	1,025	Series 2567, Class QD, 6.000%, 02/15/33		1,130
	673	Series 2568, Class KG, 5.500%, 02/15/23		742
	111	Series 2571, Class SK, HB, IF, 33.832%, 09/15/23		200
	2,518	Series 2575, Class ME, 6.000%, 02/15/33		2,793
	303	Series 2586, Class WI, IO, 6.500%, 03/15/33		56
	799	Series 2587, Class WX, 5.000%, 03/15/18		843
	681	Series 2596, Class QG, 6.000%, 03/15/33		750
	267	Series 2611, Class UH, 4.500%, 05/15/18		280
	477	Series 2617, Class GR, 4.500%, 05/15/18		500
	391	Series 2626, Class NS, IF, IO, 6.395%, 06/15/23		29
	554	Series 2631, Class LC, 4.500%, 06/15/18		581
	269	Series 2636, Class Z, 4.500%, 06/15/18		282
	351	Series 2637, Class SA, IF, IO, 5.945%, 06/15/18		25
	24	Series 2638, Class DS, IF, 8.445%, 07/15/23		27
	257	Series 2650, Class PO, PO, 12/15/32		254
	1,059	Series 2650, Class SO, PO, 12/15/32		1,032
	406	Series 2651, Class VZ, 4.500%, 07/15/18		427
	237	Series 2672, Class ME, 5.000%, 11/15/22		240
	1,811	Series 2675, Class CK, 4.000%, 09/15/18		1,897
	2,861	Series 2684, Class PO, PO, 01/15/33		2,812
	215	Series 2691, Class ME, 4.500%, 04/15/32		217
	127	Series 2692, Class SC, IF, 12.977%, 07/15/33		154
	552	Series 2695, Class DG, 4.000%, 10/15/18		576
	28	Series 2696, Class CO, PO, 10/15/18		27
	1,565	Series 2710, Class HB, 5.500%, 11/15/23		1,716
	269	Series 2715, Class OG, 5.000%, 01/15/23		272
	999	Series 2716, Class UN, 4.500%, 12/15/23		1,067
	486	Series 2720, Class PC, 5.000%, 12/15/23		522
	435	Series 2744, Class PE, 5.500%, 02/15/34		464
	763	Series 2744, Class TU, 5.500%, 05/15/32		796
	51	Series 2764, Class TE, 5.000%, 10/15/32		51
	159	Series 2777, Class OM, PO, 12/15/32		159
	36	Series 2780, Class JG, 4.500%, 04/15/19		37
	998	Series 2783, Class AT, 4.000%, 04/15/19		1,045
	2,484	Series 2809, Class UC, 4.000%, 06/15/19		2,599
	87	Series 2827, Class XO, PO, 01/15/23		87
	76	Series 2835, Class QO, PO, 12/15/32		70


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	126	Series 2840, Class JO, PO, 06/15/23		117
	301	Series 2922, Class JN, 4.500%, 02/15/20		313
	668	Series 2934, Class EC, PO, 02/15/20		658
	3	Series 2934, Class EN, PO, 02/15/18		3
	557	Series 2934, Class HI, IO, 5.000%, 02/15/20		51
	514	Series 2934, Class KI, IO, 5.000%, 02/15/20		45
	438	Series 2958, Class QD, 4.500%, 04/15/20		460
	1,122	Series 2962, Class BE, 4.500%, 04/15/20		1,194
	2,270	Series 2965, Class GD, 4.500%, 04/15/20		2,401
	59	Series 2989, Class PO, PO, 06/15/23		59
	4,237	Series 2990, Class UZ, 5.750%, 06/15/35		4,518
	1,483	Series 3004, Class EK, 5.500%, 07/15/35		1,547
	15	Series 3007, Class AI, IO, 5.500%, 07/15/24		—	(h)
	73	Series 3014, Class OD, PO, 08/15/35		60
	3	Series 3047, Class OB, 5.500%, 12/15/33		3
	944	Series 3047, Class OD, 5.500%, 10/15/35		1,073
	507	Series 3049, Class XF, VAR, 0.505%, 05/15/33		507
	3,095	Series 3064, Class MC, 5.500%, 11/15/35		3,548
	65	Series 3068, Class AO, PO, 01/15/35		65
	373	Series 3068, Class QB, 4.500%, 06/15/20		387
	2,141	Series 3074, Class BH, 5.000%, 11/15/35		2,328
	527	Series 3085, Class WF, VAR, 0.955%, 08/15/35		536
	929	Series 3102, Class FB, VAR, 0.455%, 01/15/36		931
	225	Series 3102, Class HS, HB, IF, 23.998%, 01/15/36		327
	960	Series 3117, Class EO, PO, 02/15/36		884
	553	Series 3117, Class OK, PO, 02/15/36		508
	18	Series 3122, Class ZB, 6.000%, 03/15/36		24
	2,067	Series 3131, Class BK, 5.500%, 03/15/26		2,282
	179	Series 3134, Class PO, PO, 03/15/36		165
	848	Series 3138, Class PO, PO, 04/15/36		799
	31	Series 3149, Class SO, PO, 05/15/36		25
	739	Series 3151, Class UC, 5.500%, 08/15/35		785
	664	Series 3152, Class MO, PO, 03/15/36		618
	184	Series 3171, Class MO, PO, 06/15/36		172
	668	Series 3179, Class OA, PO, 07/15/36		621
	182	Series 3194, Class SA, IF, IO, 6.945%, 07/15/36		33
	666	Series 3211, Class SO, PO, 09/15/36		612
	322	Series 3218, Class AO, PO, 09/15/36		298


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	701	Series 3219, Class DI, IO, 6.000%, 04/15/36		136
	1,500	Series 3229, Class HE, 5.000%, 10/15/26		1,649
	648	Series 3232, Class ST, IF, IO, 6.545%, 10/15/36		83
	287	Series 3233, Class OP, PO, 05/15/36		265
	85	Series 3242, Class NE, 5.750%, 02/15/34		85
	445	Series 3256, Class PO, PO, 12/15/36		405
	872	Series 3260, Class CS, IF, IO, 5.985%, 01/15/37		111
	464	Series 3261, Class OA, PO, 01/15/37		425
	260	Series 3274, Class JO, PO, 02/15/37		241
	218	Series 3275, Class FL, VAR, 0.595%, 02/15/37		218
	1,090	Series 3290, Class SB, IF, IO, 6.295%, 03/15/37		163
	2,133	Series 3315, Class HZ, 6.000%, 05/15/37		2,357
	87	Series 3318, Class AO, PO, 05/15/37		72
	155	Series 3326, Class JO, PO, 06/15/37		145
	521	Series 3331, Class PO, PO, 06/15/37		475
	563	Series 3385, Class SN, IF, IO, 5.845%, 11/15/37		70
	741	Series 3387, Class SA, IF, IO, 6.265%, 11/15/37		91
	1,150	Series 3404, Class SC, IF, IO, 5.845%, 01/15/38		135
	4,971	Series 3422, Class AI, IO, SUB, 0.250%, 01/15/38		69
	731	Series 3424, Class PI, IF, IO, 6.645%, 04/15/38		103
	1,397	Series 3481, Class SJ, IF, IO, 5.695%, 08/15/38		186
	974	Series 3505, Class SA, IF, IO, 5.845%, 01/15/39		142
	1,111	Series 3511, Class SA, IF, IO, 5.845%, 02/15/39		164
	415	Series 3549, Class FA, VAR, 1.355%, 07/15/39		422
	423	Series 3607, Class BO, PO, 04/15/36		384
	1,072	Series 3607, Class OP, PO, 07/15/37		979
	630	Series 3607, Class PO, PO, 05/15/37		589
	189	Series 3611, Class PO, PO, 07/15/34		175
	523	Series 3621, Class BO, PO, 01/15/40		482
	593	Series 3720, Class A, 4.500%, 09/15/25		644
	1,884	Series 3739, Class LI, IO, 4.000%, 03/15/34		119
	4,817	Series 3747, Class HI, IO, 4.500%, 07/15/37		500


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	1,000	Series 3747, Class PY, 4.000%, 10/15/40		1,043
	2,444	Series 3759, Class HI, IO, 4.000%, 08/15/37		280
	2,351	Series 3760, Class GI, IO, 4.000%, 10/15/37		218
	9,334	Series 3774, Class EW, 3.500%, 12/15/25		9,710
	5,000	Series 3793, Class AB, 3.500%, 01/15/26		5,162
	152	Series 3798, Class BF, VAR, 0.455%, 06/15/24		152
	864	Series 3804, Class FN, VAR, 0.605%, 03/15/39		865
	3,684	Series 3819, Class ZQ, 6.000%, 04/15/36		4,139
	750	Series 3852, Class QN, IF, 5.500%, 05/15/41		791
	2,073	Series 3852, Class TP, IF, 5.500%, 05/15/41		2,202
	2,803	Series 3920, Class LP, 5.000%, 01/15/34		3,062
	1,446	Series 3925, Class FL, VAR, 0.605%, 01/15/41		1,457
	1,222	Series 3957, Class B, 4.000%, 11/15/41		1,273
	1,493	Series 3966, Class NA, 4.000%, 12/15/41		1,553
	1,031	Series 3997, Class PF, VAR, 0.605%, 11/15/39		1,033
	3,391	Series 4048, Class FJ, VAR, 0.556%, 07/15/37		3,387
	2,000	Series 4217, Class KY, 3.000%, 06/15/43		1,860
	7,791	Series 4219, Class JA, 3.500%, 08/15/39		8,041
	2,501	Series 4240, Class B, 3.000%, 08/15/33		2,298
	3,684	Series 4251, Class KW, 2.500%, 04/15/28		3,432
		Federal Home Loan Mortgage Corp. STRIPS,
	2	Series 134, Class B, IO, 9.000%, 04/01/22		1
	1,390	Series 233, Class 11, IO, 5.000%, 09/15/35		218
	1,974	Series 233, Class 13, IO, 5.000%, 09/15/35		308
	375	Series 243, Class 16, IO, 4.500%, 11/15/20		28
	846	Series 243, Class 17, IO, 4.500%, 12/15/20		63
	8,509	Series 262, Class 35, 3.500%, 07/15/42		8,692
	2,382	Series 264, Class F1, VAR, 0.705%, 07/15/42		2,394
	2,201	Series 267, Class F5, VAR, 0.655%, 08/15/42		2,206
	2,703	Series 281, Class F1, VAR, 0.655%, 10/15/42		2,708
	9,145	Series 299, Class 300, 3.000%, 01/15/43		9,082
	2,452	Series 310, Class PO, PO, 09/15/43		1,813
	4,903	Series 323, Class 300, 3.000%, 01/15/44		4,929


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	531	Series T-41, Class 3A, VAR, 6.539%, 07/25/32		608
	315	Series T-51, Class 2A, VAR, 7.500%, 08/25/42		378
	1,865	Series T-54, Class 2A, 6.500%, 02/25/43		2,212
	559	Series T-54, Class 3A, 7.000%, 02/25/43		680
	225	Series T-58, Class APO, PO, 09/25/43		196
	493	Series T-59, Class 1AP, PO, 10/25/43		427
	1,953	Series T-76, Class 2A, VAR, 1.516%, 10/25/37		1,917
		Federal National Mortgage Association — ACES,
	3,300	Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20		3,655
	1,416	Series 2011-M2, Class A2, 3.645%, 04/25/21		1,525
	8,500	Series 2011-M2, Class A3, 3.764%, 04/25/21		9,214
	527	Series 2012-M11, Class FA, VAR, 0.676%, 08/25/19		529
	4,100	Series 2012-M9, Class A2, 2.482%, 04/25/22		4,084
	4,200	Series 2013-M13, Class A2, VAR, 2.624%, 04/25/23		4,170
	1,878	Series 2013-M7, Class A2, 2.280%, 12/27/22		1,820
	8,000	Series 2013-M9, Class A2, VAR, 2.389%, 01/25/23		7,846
	2,664	Series 2014-M2, Class A2, VAR, 3.513%, 12/25/23		2,831
	2,500	Series 2014-M3, Class A2, VAR, 3.501%, 01/25/24		2,650
	4,545	Series 2014-M5, Class ASQ2, 2.034%, 03/25/19		4,598
	1,081	Series 2014-M5, Class FA, VAR, 0.521%, 01/25/17		1,083
		Federal National Mortgage Association Grantor Trust,
	910	Series 2002-T19, Class A2, 7.000%, 07/25/42		1,046
	695	Series 2004-T3, Class 1A3, 7.000%, 02/25/44		793
		Federal National Mortgage Association REMIC,
	4	Series 1988-7, Class Z, 9.250%, 04/25/18		5
	10	Series 1989-70, Class G, 8.000%, 10/25/19		11
	4	Series 1989-78, Class H, 9.400%, 11/25/19		4
	8	Series 1989-83, Class H, 8.500%, 11/25/19		9


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — continued
	6		Series 1989-89, Class H, 9.000%, 11/25/19		7
	6		Series 1990-1, Class D, 8.800%, 01/25/20		7
	1		Series 1990-60, Class K, 5.500%, 06/25/20		1
	3		Series 1990-63, Class H, 9.500%, 06/25/20		3
	2		Series 1990-93, Class G, 5.500%, 08/25/20		2
	—	(h)	Series 1990-94, Class H, HB, 505.000%, 08/25/20		—	(h)
	—	(h)	Series 1990-95, Class J, HB, 1,118.040%, 08/25/20		1
	15		Series 1990-102, Class J, 6.500%, 08/25/20		16
	17		Series 1990-120, Class H, 9.000%, 10/25/20		19
	2		Series 1990-134, Class SC, HB, IF, 21.368%, 11/25/20		3
	—	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20		2
	—	(h)	Series 1991-7, Class K, HB, 908.500%, 02/25/21		—	(h)
	7		Series 1991-24, Class Z, 5.000%, 03/25/21		7
	1		Series 1992-101, Class J, 7.500%, 06/25/22		1
	39		Series 1992-136, Class PK, 6.000%, 08/25/22		42
	33		Series 1992-143, Class MA, 5.500%, 09/25/22		35
	91		Series 1992-163, Class M, 7.750%, 09/25/22		102
	147		Series 1992-188, Class PZ, 7.500%, 10/25/22		169
	59		Series 1993-21, Class KA, 7.700%, 03/25/23		67
	89		Series 1993-25, Class J, 7.500%, 03/25/23		100
	23		Series 1993-27, Class SA, IF, 15.500%, 02/25/23		32
	35		Series 1993-62, Class SA, IF, 18.975%, 04/25/23		51
	18		Series 1993-165, Class SD, IF, 13.440%, 09/25/23		23
	38		Series 1993-165, Class SK, IF, 12.500%, 09/25/23		44
	27		Series 1993-179, Class SB, HB, IF, 26.828%, 10/25/23		44
	18		Series 1993-179, Class SC, IF, 10.500%, 10/25/23		22
	40		Series 1993-199, Class FA, VAR, 0.705%, 10/25/23		40
	50		Series 1993-205, Class H, PO, 09/25/23		44


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	79	Series 1993-225, Class UB, 6.500%, 12/25/23		89
	27	Series 1993-230, Class FA, VAR, 0.755%, 12/25/23		27
	70	Series 1993-247, Class FE, VAR, 1.155%, 12/25/23		72
	33	Series 1993-247, Class SU, IF, 12.282%, 12/25/23		42
	45	Series 1993-250, Class Z, 7.000%, 12/25/23		46
	282	Series 1994-37, Class L, 6.500%, 03/25/24		317
	1,406	Series 1994-40, Class Z, 6.500%, 03/25/24		1,544
	63	Series 1995-2, Class Z, 8.500%, 01/25/25		74
	269	Series 1995-19, Class Z, 6.500%, 11/25/23		307
	301	Series 1996-14, Class SE, IF, IO, 8.260%, 08/25/23		64
	7	Series 1996-27, Class FC, VAR, 0.655%, 03/25/17		7
	26	Series 1996-59, Class J, 6.500%, 08/25/22		28
	299	Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		14
	19	Series 1997-27, Class J, 7.500%, 04/18/27		21
	46	Series 1997-29, Class J, 7.500%, 04/20/27		54
	305	Series 1997-39, Class PD, 7.500%, 05/20/27		356
	26	Series 1997-42, Class ZC, 6.500%, 07/18/27		29
	534	Series 1997-61, Class ZC, 7.000%, 02/25/23		602
	90	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		18
	11	Series 1998-4, Class C, PO, 04/25/23		11
	159	Series 1998-36, Class ZB, 6.000%, 07/18/28		177
	100	Series 1998-43, Class SA, IF, IO, 17.307%, 04/25/23		37
	198	Series 1998-66, Class SB, IF, IO, 7.995%, 12/25/28		37
	96	Series 1999-17, Class C, 6.350%, 04/25/29		107
	447	Series 1999-18, Class Z, 5.500%, 04/18/29		486
	108	Series 1999-38, Class SK, IF, IO, 7.895%, 08/25/23		12
	49	Series 1999-52, Class NS, HB, IF, 22.946%, 10/25/23		76
	140	Series 1999-62, Class PB, 7.500%, 12/18/29		161
	425	Series 2000-2, Class ZE, 7.500%, 02/25/30		488


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — continued
	259		Series 2000-20, Class SA, IF, IO, 8.945%, 07/25/30		66
	33		Series 2000-52, Class IO, IO, 8.500%, 01/25/31		8
	150		Series 2001-4, Class PC, 7.000%, 03/25/21		164
	93		Series 2001-7, Class PF, 7.000%, 03/25/31		107
	—	(h)	Series 2001-7, Class PR, 6.000%, 03/25/16		—	(h)
	—	(h)	Series 2001-10, Class PR, 6.000%, 04/25/16		—	(h)
	295		Series 2001-30, Class PM, 7.000%, 07/25/31		337
	318		Series 2001-33, Class ID, IO, 6.000%, 07/25/31		63
	289		Series 2001-36, Class DE, 7.000%, 08/25/31		331
	671		Series 2001-44, Class MY, 7.000%, 09/25/31		771
	100		Series 2001-44, Class PD, 7.000%, 09/25/31		114
	111		Series 2001-44, Class PU, 7.000%, 09/25/31		128
	1,066		Series 2001-48, Class Z, 6.500%, 09/25/21		1,179
	81		Series 2001-49, Class Z, 6.500%, 09/25/31		91
	85		Series 2001-52, Class KB, 6.500%, 10/25/31		95
	66		Series 2001-52, Class XN, 6.500%, 11/25/15		67
	972		Series 2001-61, Class Z, 7.000%, 11/25/31		1,100
	57		Series 2001-71, Class MB, 6.000%, 12/25/16		59
	118		Series 2001-71, Class QE, 6.000%, 12/25/16		123
	40		Series 2001-72, Class SX, IF, 17.105%, 12/25/31		50
	204		Series 2001-74, Class MB, 6.000%, 12/25/16		212
	86		Series 2002-1, Class HC, 6.500%, 02/25/22		95
	112		Series 2002-1, Class SA, HB, IF, 24.684%, 02/25/32		185
	70		Series 2002-1, Class UD, HB, IF, 23.957%, 12/25/23		108
	174		Series 2002-2, Class UC, 6.000%, 02/25/17		181
	390		Series 2002-3, Class OG, 6.000%, 02/25/17		405
	88		Series 2002-7, Class OG, 6.000%, 03/25/17		92
	244		Series 2002-7, Class TG, 6.000%, 03/25/17		253
	97		Series 2002-10, Class SB, IF, 18.828%, 03/25/17		113


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	1,046	Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32		54
	16	Series 2002-13, Class ST, IF, 10.000%, 03/25/32		20
	88	Series 2002-19, Class PE, 6.000%, 04/25/17		91
	30	Series 2002-21, Class LO, PO, 04/25/32		28
	298	Series 2002-21, Class PE, 6.500%, 04/25/32		337
	236	Series 2002-24, Class AJ, 6.000%, 04/25/17		248
	85	Series 2002-25, Class SG, IF, 18.948%, 05/25/17		101
	767	Series 2002-28, Class PK, 6.500%, 05/25/32		863
	180	Series 2002-37, Class Z, 6.500%, 06/25/32		200
	171	Series 2002-42, Class C, 6.000%, 07/25/17		180
	1,047	Series 2002-48, Class GH, 6.500%, 08/25/32		1,180
	380	Series 2002-62, Class ZE, 5.500%, 11/25/17		400
	104	Series 2002-63, Class KC, 5.000%, 10/25/17		109
	178	Series 2002-77, Class S, IF, 14.199%, 12/25/32		231
	590	Series 2002-83, Class CS, 6.881%, 08/25/23		661
	743	Series 2002-94, Class BK, 5.500%, 01/25/18		777
	393	Series 2003-3, Class HJ, 5.000%, 02/25/18		414
	2,773	Series 2003-22, Class UD, 4.000%, 04/25/33		2,920
	1,099	Series 2003-33, Class IA, IO, 6.500%, 05/25/33		206
	720	Series 2003-34, Class AX, 6.000%, 05/25/33		795
	1,516	Series 2003-34, Class ED, 6.000%, 05/25/33		1,733
	44	Series 2003-35, Class UC, 3.750%, 05/25/33		46
	132	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		32
	1,204	Series 2003-39, Class LW, 5.500%, 05/25/23		1,317
	964	Series 2003-41, Class PE, 5.500%, 05/25/23		1,047
	274	Series 2003-42, Class GB, 4.000%, 05/25/33		295


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	15	Series 2003-45, Class AI, IO, 5.500%, 05/25/33		—	(h)
	490	Series 2003-47, Class PE, 5.750%, 06/25/33		539
	177	Series 2003-52, Class SX, HB, IF, 22.485%, 10/25/31		284
	136	Series 2003-64, Class SX, IF, 13.360%, 07/25/33		166
	562	Series 2003-71, Class DS, IF, 7.259%, 08/25/33		583
	189	Series 2003-71, Class IM, IO, 5.500%, 12/25/31		3
	1,127	Series 2003-72, Class IE, IO, 5.500%, 08/25/33		229
	87	Series 2003-74, Class SH, IF, 9.891%, 08/25/33		100
	337	Series 2003-76, Class GQ, 4.500%, 08/25/18		355
	772	Series 2003-80, Class SY, IF, IO, 7.495%, 06/25/23		63
	592	Series 2003-81, Class LC, 4.500%, 09/25/18		623
	1,322	Series 2003-83, Class PG, 5.000%, 06/25/23		1,395
	264	Series 2003-91, Class SD, IF, 12.242%, 09/25/33		316
	1,508	Series 2003-116, Class SB, IF, IO, 7.445%, 11/25/33		319
	208	Series 2003-122, Class TE, 5.000%, 12/25/22		209
	354	Series 2003-128, Class NG, 4.000%, 01/25/19		370
	104	Series 2003-130, Class SX, IF, 11.287%, 01/25/34		123
	135	Series 2003-132, Class OA, PO, 08/25/33		125
	1,447	Series 2004-4, Class QI, IF, IO, 6.945%, 06/25/33		197
	137	Series 2004-4, Class QM, IF, 13.890%, 06/25/33		168
	638	Series 2004-10, Class SC, HB, IF, 27.980%, 02/25/34		857
	610	Series 2004-25, Class PC, 5.500%, 01/25/34		650
	1,070	Series 2004-25, Class SA, IF, 19.099%, 04/25/34		1,498
	2,030	Series 2004-27, Class HB, 4.000%, 05/25/19		2,145
	418	Series 2004-36, Class PC, 5.500%, 02/25/34		445


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	1,377	Series 2004-36, Class SA, IF, 19.099%, 05/25/34		1,890
	441	Series 2004-36, Class SN, IF, 13.890%, 07/25/33		512
	1,205	Series 2004-37, Class AG, 4.500%, 11/25/32		1,244
	541	Series 2004-46, Class QB, HB, IF, 23.380%, 05/25/34		789
	1,775	Series 2004-46, Class SK, IF, 16.074%, 05/25/34		2,280
	284	Series 2004-51, Class SY, IF, 13.930%, 07/25/34		368
	335	Series 2004-53, Class NC, 5.500%, 07/25/24		367
	402	Series 2004-59, Class BG, PO, 12/25/32		367
	859	Series 2004-61, Class FH, VAR, 0.955%, 11/25/32		877
	113	Series 2004-61, Class SK, IF, 8.500%, 11/25/32		135
	248	Series 2004-76, Class CL, 4.000%, 10/25/19		259
	512	Series 2004-79, Class SP, IF, 19.374%, 11/25/34		688
	112	Series 2004-81, Class AC, 4.000%, 11/25/19		117
	2	Series 2004-92, Class JO, PO, 12/25/34		2
	118	Series 2005-52, Class PA, 6.500%, 06/25/35		126
	1,497	Series 2005-56, Class S, IF, IO, 6.555%, 07/25/35		279
	348	Series 2005-66, Class SG, IF, 16.987%, 07/25/35		460
	666	Series 2005-68, Class BC, 5.250%, 06/25/35		718
	1,626	Series 2005-68, Class PG, 5.500%, 08/25/35		1,793
	902	Series 2005-68, Class UC, 5.000%, 06/25/35		965
	685	Series 2005-74, Class CS, IF, 19.594%, 05/25/35		944
	5,864	Series 2005-84, Class XM, 5.750%, 10/25/35		6,377
	2,515	Series 2005-109, Class PC, 6.000%, 12/25/35		2,770
	8,506	Series 2005-110, Class GK, 5.500%, 08/25/34		8,995
	4,326	Series 2005-110, Class GL, 5.500%, 12/25/35		4,920


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	2,151	Series 2005-110, Class MN, 5.500%, 06/25/35		2,309
	496	Series 2005-116, Class PB, 6.000%, 04/25/34		516
	175	Series 2006-15, Class OT, PO, 01/25/36		170
	520	Series 2006-16, Class OA, PO, 03/25/36		478
	692	Series 2006-22, Class AO, PO, 04/25/36		609
	220	Series 2006-23, Class KO, PO, 04/25/36		207
	2,129	Series 2006-39, Class WC, 5.500%, 01/25/36		2,334
	112	Series 2006-42, Class CF, VAR, 0.605%, 06/25/36		112
	1,131	Series 2006-44, Class GO, PO, 06/25/36		1,066
	2,580	Series 2006-44, Class P, PO, 12/25/33		2,397
	1,609	Series 2006-46, Class UC, 5.500%, 12/25/35		1,768
	1,665	Series 2006-53, Class US, IF, IO, 6.425%, 06/25/36		277
	1,507	Series 2006-56, Class FC, VAR, 0.445%, 07/25/36		1,508
	1,523	Series 2006-56, Class PF, VAR, 0.505%, 07/25/36		1,527
	853	Series 2006-56, Class PO, PO, 07/25/36		777
	1,072	Series 2006-58, Class AP, PO, 07/25/36		1,003
	125	Series 2006-58, Class FL, VAR, 0.615%, 07/25/36		126
	503	Series 2006-58, Class PO, PO, 07/25/36		468
	683	Series 2006-59, Class QO, PO, 01/25/33		674
	3,396	Series 2006-60, Class DZ, 6.500%, 07/25/36		4,189
	767	Series 2006-65, Class QO, PO, 07/25/36		723
	188	Series 2006-72, Class TO, PO, 08/25/36		176
	3,169	Series 2006-77, Class PC, 6.500%, 08/25/36		3,588
	639	Series 2006-79, Class DO, PO, 08/25/36		603
	535	Series 2006-90, Class AO, PO, 09/25/36		511
	211	Series 2006-109, Class PO, PO, 11/25/36		200
	1,635	Series 2006-110, Class PO, PO, 11/25/36		1,517
	140	Series 2006-111, Class EO, PO, 11/25/36		129
	884	Series 2006-118, Class A2, VAR, 0.215%, 12/25/36		866
	196	Series 2006-119, Class PO, PO, 12/25/36		182
	3,092	Series 2006-124, Class HB, VAR, 5.974%, 11/25/36		3,155
	1,000	Series 2006-128, Class BP, 5.500%, 01/25/37		1,096


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	926	Series 2006-130, Class GI, IO, 6.500%, 07/25/32		158
	785	Series 2007-7, Class SG, IF, IO, 6.345%, 08/25/36		158
	2,523	Series 2007-14, Class ES, IF, IO, 6.285%, 03/25/37		376
	235	Series 2007-15, Class NO, PO, 03/25/22		229
	863	Series 2007-16, Class FC, VAR, 0.905%, 03/25/37		879
	286	Series 2007-42, Class AO, PO, 05/25/37		264
	340	Series 2007-48, Class PO, PO, 05/25/37		312
	1,005	Series 2007-54, Class FA, VAR, 0.555%, 06/25/37		1,007
	5,531	Series 2007-60, Class AX, IF, IO, 6.995%, 07/25/37		913
	260	Series 2007-77, Class FG, VAR, 0.655%, 03/25/37		262
	1,400	Series 2007-81, Class GE, 6.000%, 08/25/37		1,601
	1,440	Series 2007-84, Class PG, 6.000%, 12/25/36		1,505
	3,587	Series 2007-88, Class VI, IF, IO, 6.385%, 09/25/37		535
	2,434	Series 2007-91, Class ES, IF, IO, 6.305%, 10/25/37		323
	1,727	Series 2007-97, Class KI, IO, 7.000%, 05/25/33		345
	2,914	Series 2007-101, Class A2, VAR, 0.405%, 06/27/36		2,869
	621	Series 2007-106, Class A7, VAR, 6.061%, 10/25/37		688
	3,000	Series 2007-114, Class A6, VAR, 0.355%, 10/27/37		2,994
	2,105	Series 2007-116, Class HI, IO, VAR, 1.496%, 01/25/38		171
	36	Series 2007-118, Class IO, IO, 6.000%, 06/25/36		1
	1,319	Series 2008-1, Class BI, IF, IO, 5.755%, 02/25/38		140
	949	Series 2008-10, Class XI, IF, IO, 6.075%, 03/25/38		112
	542	Series 2008-16, Class IS, IF, IO, 6.045%, 03/25/38		86
	687	Series 2008-19, Class IC, IO, 5.000%, 03/25/23		47
	765	Series 2008-24, Class DY, 5.000%, 04/25/23		809
	582	Series 2008-27, Class SN, IF, IO, 6.745%, 04/25/38		89


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	341	Series 2008-39, Class CI, IO, 4.500%, 05/25/18		21
	443	Series 2008-42, Class AO, PO, 09/25/36		423
	46	Series 2008-44, Class PO, PO, 05/25/38		40
	707	Series 2008-47, Class SI, IF, IO, 6.345%, 06/25/23		75
	850	Series 2008-53, Class CI, IF, IO, 7.045%, 07/25/38		152
	361	Series 2008-76, Class GF, VAR, 0.805%, 09/25/23		363
	1,938	Series 2008-80, Class SA, IF, IO, 5.695%, 09/25/38		225
	1,184	Series 2008-81, Class SB, IF, IO, 5.695%, 09/25/38		136
	1,598	Series 2009-6, Class GS, IF, IO, 6.395%, 02/25/39		220
	772	Series 2009-9, Class IO, IO, 5.000%, 02/25/24		72
	707	Series 2009-18, Class IO, IO, 5.000%, 03/25/24		57
	2,500	Series 2009-19, Class IP, IO, 5.500%, 10/25/36		574
	1,276	Series 2009-60, Class HT, 6.000%, 08/25/39		1,431
	874	Series 2009-62, Class HJ, 6.000%, 05/25/39		970
	1,273	Series 2009-70, Class CO, PO, 01/25/37		1,179
	995	Series 2009-86, Class UI, IO, 4.000%, 10/25/14		—	(h)
	786	Series 2009-99, Class SC, IF, IO, 6.025%, 12/25/39		105
	1,016	Series 2009-103, Class MB, VAR, 2.365%, 12/25/39		1,035
	1,286	Series 2010-45, Class BD, 4.500%, 11/25/38		1,333
	1,473	Series 2010-49, Class SC, IF, 12.350%, 03/25/40		1,747
	940	Series 2010-64, Class DM, 5.000%, 06/25/40		1,029
	1,088	Series 2010-71, Class HJ, 5.500%, 07/25/40		1,220
	2,315	Series 2010-133, Class A, 5.500%, 05/25/38		2,534
	3,117	Series 2010-147, Class SA, IF, IO, 6.375%, 01/25/41		721
	1,375	Series 2010-148, Class MA, 4.000%, 02/25/39		1,450
	1,253	Series 2011-2, Class WA, VAR, 5.829%, 02/25/51		1,383


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
			Agency CMO — continued
	1,737		Series 2011-22, Class MA, 6.500%, 04/25/38		1,964
	3,454		Series 2011-30, Class LS, IO, VAR, 1.968%, 04/25/41		271
	2,500		Series 2011-31, Class DB, 3.500%, 04/25/31		2,567
	7,500		Series 2011-44, Class EB, 3.000%, 05/25/26		7,508
	826		Series 2011-75, Class FA, VAR, 0.705%, 08/25/41		834
	1,681		Series 2011-118, Class MT, 7.000%, 11/25/41		1,935
	2,293		Series 2011-130, Class CA, 6.000%, 12/25/41		2,515
	1,430		Series 2012-14, Class FB, VAR, 0.605%, 08/25/37		1,438
	7,975		Series 2012-47, Class HF, VAR, 0.555%, 05/25/27		8,006
	3,000		Series 2012-66, Class CB, 3.000%, 06/25/32		2,796
	5,654		Series 2012-99, Class AE, 2.500%, 05/25/39		5,633
	3,570		Series 2012-108, Class F, VAR, 0.655%, 10/25/42		3,558
	4,414		Series 2012-137, Class CF, VAR, 0.455%, 08/25/41		4,369
	2,000		Series 2013-81, Class TA, 3.000%, 02/25/43		1,986
	1,694		Series 2013-90, Class PM, 3.500%, 09/25/43		1,713
	2,354		Series 2013-92, Class PO, PO, 09/25/43		1,769
	3,349		Series 2013-101, Class AE, 3.000%, 10/25/33		3,287
	3,563		Series 2013-101, Class DO, PO, 10/25/43		2,702
	3,000		Series 2013-101, Class E, 3.000%, 10/25/33		2,934
	3,500		Series 2013-103, Class VG, 3.000%, 03/25/30		3,345
	4,000		Series 2013-108, Class GU, 3.000%, 10/25/33		3,796
	4,777		Series 2013-128, Class PO, PO, 12/25/43		3,609
	—	(h)	Series G-17, Class S, HB, VAR, 1,064.924%, 06/25/21		5
	19		Series G-28, Class S, IF, 14.945%, 09/25/21		24
	24		Series G-35, Class M, 8.750%, 10/25/21		27
	8		Series G-51, Class SA, HB, IF, 23.983%, 12/25/21		12


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — continued
	—	(h)	Series G92-27, Class SQ, HB, IF, 1,858.090%, 05/25/22		1
	126		Series G92-35, Class E, 7.500%, 07/25/22		141
	—	(h)	Series G92-35, Class G, HB, 1,184.775%, 07/25/22		2
	15		Series G92-42, Class Z, 7.000%, 07/25/22		16
	307		Series G92-44, Class ZQ, 8.000%, 07/25/22		331
	20		Series G92-52, Class FD, VAR, 0.176%, 09/25/22		20
	147		Series G92-54, Class ZQ, 7.500%, 09/25/22		163
	19		Series G92-59, Class F, VAR, 1.368%, 10/25/22		19
	39		Series G92-61, Class Z, 7.000%, 10/25/22		45
	26		Series G92-62, Class B, PO, 10/25/22		25
	131		Series G93-1, Class KA, 7.900%, 01/25/23		150
	30		Series G93-5, Class Z, 6.500%, 02/25/23		33
	39		Series G93-14, Class J, 6.500%, 03/25/23		43
	91		Series G93-17, Class SI, IF, 6.000%, 04/25/23		101
	83		Series G93-27, Class FD, VAR, 1.035%, 08/25/23		85
	20		Series G93-37, Class H, PO, 09/25/23		18
	40		Series G95-1, Class C, 8.800%, 01/25/25		46
			Federal National Mortgage Association REMIC Trust,
	905		Series 2003-W1, Class 1A1, VAR, 5.887%, 12/25/42		1,022
	350		Series 2003-W1, Class 2A, VAR, 6.591%, 12/25/42		412
	132		Series 2003-W4, Class 2A, VAR, 6.364%, 10/25/42		147
	61		Series 2007-W7, Class 1A4, HB, IF, 38.250%, 07/25/37		92
	2,164		Series 2009-W1, Class A, 6.000%, 12/25/49		2,430
			Federal National Mortgage Association STRIPS,
	1		Series 23, Class 2, IO, 10.000%, 09/25/17		—	(h)
	—	(h)	Series 50, Class 2, IO, 10.500%, 03/25/19		—	(h)
	12		Series 218, Class 2, IO, 7.500%, 04/25/23		3
	13		Series 265, Class 2, 9.000%, 03/25/24		15
	150		Series 329, Class 1, PO, 01/25/33		139
	402		Series 339, Class 18, IO, 4.500%, 07/25/18		25
	575		Series 339, Class 21, IO, 4.500%, 08/25/18		31
	287		Series 339, Class 28, IO, 5.500%, 08/25/18		20
	201		Series 345, Class 6, IO, VAR, 5.000%, 12/25/33		36


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	705	Series 351, Class 7, IO, VAR, 5.000%, 04/25/34		111
	584	Series 355, Class 11, IO, 6.000%, 07/25/34		104
	243	Series 355, Class 31, IO, VAR, 4.500%, 12/25/18		15
	1,022	Series 365, Class 8, IO, 5.500%, 05/25/36		177
	127	Series 368, Class 3, IO, 4.500%, 11/25/20		9
	523	Series 374, Class 5, IO, 5.500%, 08/25/36		90
	274	Series 383, Class 32, IO, 6.000%, 01/25/38		51
	723	Series 383, Class 33, IO, 6.000%, 01/25/38		134
	171	Series 393, Class 6, IO, 5.500%, 04/25/37		30
		Federal National Mortgage Association Trust,
	240	Series 2004-W1, Class 2A2, 7.000%, 12/25/33		280
	1,002	Series 2004-W15, Class 2AF, VAR, 0.405%, 08/25/44		993
	701	Series 2004-W2, Class 2A2, 7.000%, 02/25/44		812
	2,552	Series 2005-W3, Class 2AF, VAR, 0.375%, 03/25/45		2,547
	884	Series 2006-W2, Class 1AF1, VAR, 0.375%, 02/25/46		880
		Government National Mortgage Association,
	1,375	Series 1994-7, Class PQ, 6.500%, 10/16/24		1,573
	939	Series 1999-4, Class ZB, 6.000%, 02/20/29		1,052
	964	Series 1999-10, Class ZC, 6.500%, 04/20/29		1,084
	90	Series 1999-30, Class S, IF, IO, 8.445%, 08/16/29		24
	197	Series 1999-40, Class ZW, 7.500%, 11/20/29		229
	277	Series 1999-41, Class Z, 8.000%, 11/16/29		328
	136	Series 2000-9, Class Z, 8.000%, 06/20/30		162
	1,303	Series 2000-9, Class ZJ, 8.500%, 02/16/30		1,554
	229	Series 2000-12, Class ST, HB, IF, 38.721%, 02/16/30		415
	1,777	Series 2000-21, Class Z, 9.000%, 03/16/30		2,124
	13	Series 2000-30, Class ST, IF, 11.050%, 12/16/22		15
	262	Series 2000-31, Class Z, 9.000%, 10/20/30		302
	151	Series 2000-35, Class ZA, 9.000%, 11/20/30		161
	21	Series 2000-36, Class IK, IO, 9.000%, 11/16/30		4
	110	Series 2001-6, Class SD, IF, IO, 8.395%, 03/16/31		32
	211	Series 2001-7, Class PK, 6.500%, 03/20/31		238


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	180	Series 2001-35, Class SA, IF, IO, 8.095%, 08/16/31		49
	148	Series 2001-36, Class S, IF, IO, 7.895%, 08/16/31		39
	771	Series 2001-64, Class MQ, 6.500%, 12/20/31		888
	198	Series 2002-3, Class SP, IF, IO, 7.235%, 01/16/32		58
	255	Series 2002-7, Class PG, 6.500%, 01/20/32		289
	788	Series 2002-24, Class AG, IF, IO, 7.795%, 04/16/32		182
	71	Series 2002-24, Class SB, IF, 11.692%, 04/16/32		90
	1,706	Series 2002-31, Class SE, IF, IO, 7.345%, 04/16/30		372
	493	Series 2002-40, Class UK, 6.500%, 06/20/32		562
	27	Series 2002-41, Class SV, IF, 9.000%, 06/16/32		33
	1,872	Series 2002-45, Class QE, 6.500%, 06/20/32		2,136
	633	Series 2002-47, Class PG, 6.500%, 07/16/32		725
	1,198	Series 2002-47, Class ZA, 6.500%, 07/20/32		1,367
	1,019	Series 2002-52, Class GH, 6.500%, 07/20/32		1,178
	444	Series 2002-70, Class PS, IF, IO, 7.544%, 08/20/32		37
	949	Series 2002-75, Class PB, 6.000%, 11/20/32		1,123
	831	Series 2003-11, Class SK, IF, IO, 7.545%, 02/16/33		198
	345	Series 2003-12, Class SP, IF, IO, 7.544%, 02/20/33		97
	74	Series 2003-24, Class PO, PO, 03/16/33		63
	1,319	Series 2003-40, Class TJ, 6.500%, 03/20/33		1,538
	753	Series 2003-46, Class MG, 6.500%, 05/20/33		885
	937	Series 2003-46, Class TC, 6.500%, 03/20/33		1,063
	320	Series 2003-52, Class AP, PO, 06/16/33		295
	1,707	Series 2003-58, Class BE, 6.500%, 01/20/33		1,941
	93	Series 2003-90, Class PO, PO, 10/20/33		85
	1,112	Series 2003-112, Class SA, IF, IO, 6.395%, 12/16/33		235


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	918	Series 2003-112, Class TS, IF, IO, 6.795%, 10/20/32		54
	3,161	Series 2004-11, Class SW, IF, IO, 5.344%, 02/20/34		427
	78	Series 2004-15, Class SA, IF, 19.235%, 12/20/32		83
	423	Series 2004-28, Class S, IF, 19.236%, 04/16/34		590
	16	Series 2004-68, Class PO, PO, 05/20/31		16
	162	Series 2004-73, Class AE, IF, 14.535%, 08/17/34		206
	1,778	Series 2004-90, Class SI, IF, IO, 5.945%, 10/20/34		270
	1,216	Series 2005-3, Class SB, IF, IO, 5.945%, 01/20/35		177
	3,100	Series 2005-17, Class SL, IF, IO, 6.545%, 07/20/34		554
	318	Series 2005-35, Class FL, VAR, 0.506%, 03/20/32		318
	65	Series 2005-39, Class KI, IO, 5.500%, 03/20/34		2
	3,143	Series 2005-58, Class NI, IO, 5.500%, 08/20/35		587
	320	Series 2005-68, Class DP, IF, 16.060%, 06/17/35		425
	4,403	Series 2005-68, Class KI, IF, IO, 6.145%, 09/20/35		651
	527	Series 2005-69, Class SY, IF, IO, 6.595%, 11/20/33		78
	570	Series 2005-91, Class PI, IO, 6.000%, 12/20/35		114
	294	Series 2006-16, Class OP, PO, 03/20/36		278
	827	Series 2006-38, Class SW, IF, IO, 6.345%, 06/20/36		89
	959	Series 2006-59, Class SD, IF, IO, 6.545%, 10/20/36		155
	1,608	Series 2006-65, Class SA, IF, IO, 6.644%, 11/20/36		261
	1,025	Series 2007-9, Class DI, IF, IO, 6.355%, 03/20/37		142
	2,384	Series 2007-17, Class JI, IF, IO, 6.655%, 04/16/37		382
	256	Series 2007-17, Class JO, PO, 04/16/37		228
	1,434	Series 2007-19, Class SD, IF, IO, 6.045%, 04/20/37		223
	1,410	Series 2007-26, Class SC, IF, IO, 6.045%, 05/20/37		212
	1,095	Series 2007-27, Class SA, IF, IO, 6.045%, 05/20/37		167


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	339	Series 2007-28, Class BO, PO, 05/20/37		315
	905	Series 2007-36, Class SE, IF, IO, 6.315%, 06/16/37		147
	2,543	Series 2007-40, Class SB, IF, IO, 6.595%, 07/20/37		362
	1,521	Series 2007-42, Class SB, IF, IO, 6.595%, 07/20/37		220
	2,500	Series 2007-47, Class PH, 6.000%, 07/16/37		2,993
	1,090	Series 2007-50, Class AI, IF, IO, 6.620%, 08/20/37		173
	156	Series 2007-53, Class SW, IF, 19.738%, 09/20/37		213
	705	Series 2007-57, Class PO, PO, 03/20/37		672
	864	Series 2007-57, Class QA, IF, IO, 6.345%, 10/20/37		119
	899	Series 2007-71, Class SB, IF, IO, 6.545%, 07/20/36		70
	804	Series 2007-72, Class US, IF, IO, 6.395%, 11/20/37		108
	819	Series 2007-73, Class MI, IF, IO, 5.844%, 11/20/37		112
	1,587	Series 2007-76, Class SA, IF, IO, 6.374%, 11/20/37		235
	832	Series 2007-79, Class SY, IF, IO, 6.395%, 12/20/37		115
	520	Series 2007-81, Class SP, IF, IO, 6.495%, 12/20/37		74
	936	Series 2007-82, Class SA, IF, IO, 6.374%, 12/20/37		130
	459	Series 2008-2, Class MS, IF, IO, 7.005%, 01/16/38		83
	1,531	Series 2008-2, Class NS, IF, IO, 6.385%, 01/16/38		253
	890	Series 2008-10, Class S, IF, IO, 5.675%, 02/20/38		123
	83	Series 2008-23, Class IO, IO, 6.000%, 02/20/37		1
	647	Series 2008-25, Class SB, IF, IO, 6.744%, 03/20/38		101
	649	Series 2008-32, Class PI, IO, 5.500%, 10/16/37		85
	1,242	Series 2008-36, Class SH, IF, IO, 6.145%, 04/20/38		157
	6,316	Series 2008-40, Class SA, IF, IO, 6.245%, 05/16/38		1,141
	1,209	Series 2008-41, Class SA, IF, IO, 6.185%, 05/20/38		189


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	774	Series 2008-55, Class SA, IF, IO, 6.045%, 06/20/38		108
	252	Series 2008-60, Class PO, PO, 01/20/38		249
	669	Series 2008-65, Class ME, 5.750%, 09/20/37		682
	410	Series 2008-71, Class SC, IF, IO, 5.844%, 08/20/38		51
	899	Series 2008-93, Class AS, IF, IO, 5.545%, 12/20/38		116
	1,303	Series 2009-6, Class SA, IF, IO, 5.945%, 02/16/39		196
	864	Series 2009-10, Class SL, IF, IO, 6.345%, 03/16/34		64
	2,466	Series 2009-12, Class IE, IO, 5.500%, 03/20/39		438
	907	Series 2009-14, Class KI, IO, 6.500%, 03/20/39		185
	828	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		171
	2,343	Series 2009-22, Class SA, IF, IO, 6.114%, 04/20/39		282
	656	Series 2009-25, Class SE, IF, IO, 7.445%, 09/20/38		117
	555	Series 2009-33, Class CI, IO, 5.500%, 05/20/39		97
	548	Series 2009-33, Class TI, IO, 6.000%, 05/20/39		104
	970	Series 2009-43, Class SA, IF, IO, 5.794%, 06/20/39		135
	815	Series 2009-65, Class IQ, IO, 6.000%, 12/20/38		115
	2,078	Series 2009-72, Class SM, IF, IO, 6.095%, 08/16/39		307
	456	Series 2009-79, Class OK, PO, 11/16/37		426
	688	Series 2010-14, Class CO, PO, 08/20/35		652
	516	Series 2010-130, Class CP, 7.000%, 10/16/40		606
	3,735	Series 2010-157, Class OP, PO, 12/20/40		3,025
	3,699	Series 2010-H17, Class XQ, VAR, 5.241%, 07/20/60		4,131
	1,196	Series 2011-22, Class WA, VAR, 5.967%, 02/20/37		1,335
	2,501	Series 2011-75, Class SM, IF, IO, 6.445%, 05/20/41		458
	3,069	Series 2012-61, Class FM, VAR, 0.555%, 05/16/42		3,091
	898	Series 2012-141, Class WC, VAR, 3.757%, 01/20/42		938


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	4,456	Series 2012-H10, Class FA, VAR, 0.706%, 12/20/61		4,465
	2,483	Series 2012-H15, Class FA, VAR, 0.606%, 05/20/62		2,485
	3,388	Series 2012-H21, Class CF, VAR, 0.856%, 05/20/61		3,410
	2,925	Series 2012-H21, Class DF, VAR, 0.805%, 05/20/61		2,934
	4,789	Series 2012-H22, Class FD, VAR, 0.625%, 01/20/61		4,794
	1,537	Series 2012-H24, Class FA, VAR, 0.606%, 03/20/60		1,538
	3,361	Series 2012-H24, Class FG, VAR, 0.585%, 04/20/60		3,363
	1,939	Series 2012-H26, Class MA, VAR, 0.706%, 07/20/62		1,945
	2,749	Series 2012-H28, Class FA, VAR, 0.736%, 09/20/62		2,752
	3,853	Series 2012-H30, Class PA, VAR, 0.601%, 11/20/59		3,856
	2,148	Series 2012-H31, Class FD, VAR, 0.496%, 12/20/62		2,133
	4,122	Series 2013-54, Class WA, VAR, 4.709%, 11/20/42		4,467
	3,263	Series 2013-75, Class WA, VAR, 5.233%, 06/20/40		3,685
	1,696	Series 2013-91, Class WA, VAR, 4.519%, 04/20/43		1,823
	1,300	Series 2013-116, Class JY, 4.000%, 08/16/43		1,371
	3,078	Series 2013-H01, Class FA, 1.650%, 01/20/63		3,050
	1,507	Series 2013-H03, Class FA, VAR, 0.455%, 08/20/60		1,505
	1,510	Series 2013-H04, Class BA, 1.650%, 02/20/63		1,495
	4,859	Series 2013-H05, Class FB, VAR, 0.556%, 02/20/62		4,860
	1,869	Series 2013-H07, Class HA, VAR, 0.566%, 03/20/63		1,860
	9,957	Series 2013-H07, Class JA, 1.750%, 03/20/63		9,891
	1,781	Series 2013-H08, Class FC, VAR, 0.606%, 02/20/63		1,776
	1,983	Series 2013-H09, Class HA, 1.650%, 04/20/63		1,962
	4,330	Series 2013-H18, Class JA, VAR, 0.755%, 08/20/63		4,349


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	1,969	Series 2014-H01, Class FD, VAR, 0.805%, 01/20/64		1,983
		Vendee Mortgage Trust,
	483	Series 1994-1, Class 1, VAR, 5.576%, 02/15/24		529
	764	Series 1994-1, Class 2ZB, 6.500%, 02/15/24		837
	691	Series 1996-1, Class 1Z, 6.750%, 02/15/26		791
	554	Series 1996-2, Class 1Z, 6.750%, 06/15/26		640
	964	Series 1997-1, Class 2Z, 7.500%, 02/15/27		1,137
	1,156	Series 1998-1, Class 2E, 7.000%, 03/15/28		1,344
	2,189	Series 1999-1, Class 2Z, 6.500%, 01/15/29		2,489
	5,987	Series 2003-2, Class Z, 5.000%, 05/15/33		6,780

				618,945

		Non-Agency CMO — 7.0%
	123	AAM ACE Resecuritization Trust, Series 2011-1, Class A20, VAR, 0.370%, 02/02/37 (e)		121
		AJAX Mortgage Loan Trust,
	2,478	Series 2013-A, Class A, VAR, 3.500%, 02/25/51 (e) (i)		2,454
	2,833	Series 2013-C, Class A, SUB, 4.500%, 03/25/35 (e) (i)		2,865
		Alternative Loan Trust,
	13,673	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		14,008
	36	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		36
	1,908	Series 2005-1CB, Class 1A6, IF, IO, 6.945%, 03/25/35		405
	4,714	Series 2005-20CB, Class 3A8, IF, IO, 4.595%, 07/25/35		570
	7,994	Series 2005-22T1, Class A2, IF, IO, 4.915%, 06/25/35		1,074
	4,830	Series 2005-28CB, Class 1A4, 5.500%, 08/25/35		4,620
	167	Series 2005-28CB, Class 3A5, 6.000%, 08/25/35		140
	6,484	Series 2005-37T1, Class A2, IF, IO, 4.895%, 09/25/35		910
	4,238	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		3,915
	10,657	Series 2005-54CB, Class 1A2, IF, IO, 4.695%, 11/25/35		1,266
	2,638	Series 2005-57CB, Class 3A2, IF, IO, 4.945%, 12/25/35		369
	1,582	Series 2005-64CB, Class 1A9, 5.500%, 12/25/35		1,485


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Non-Agency CMO — continued
	5,930		Series 2005-J1, Class 1A4, IF, IO, 4.945%, 02/25/35		563
	2,340		Series 2006-26CB, Class A9, 6.500%, 09/25/36		2,063
			American General Mortgage Loan Trust,
	142		Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		141
	—	(h)	Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e)		—	(h)
	718		Series 2010-1A, Class A2, VAR, 5.650%, 03/25/58 (e)		724
	1,140		Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e)		1,171
	473		Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e)		491
			ASG Resecuritization Trust,
	632		Series 2009-1, Class A60, VAR, 2.056%, 06/26/37 (e)		623
	246		Series 2009-2, Class A55, VAR, 4.872%, 05/24/36 (e)		246
	1,000		Series 2009-2, Class G60, VAR, 4.872%, 05/24/36 (e)		1,015
	3,047		Series 2009-3, Class A65, VAR, 2.066%, 03/26/37 (e)		3,043
	1,699		Series 2009-4, Class A60, 6.000%, 06/28/37 (e)		1,726
	725		Series 2010-2, Class A60, VAR, 1.841%, 01/28/37 (e)		714
	810		Series 2011-1, Class 3A50, VAR, 2.563%, 11/28/35 (e)		794
			Banc of America Alternative Loan Trust,
	169		Series 2003-2, Class PO, PO, 04/25/33		141
	148		Series 2003-9, Class 1CB2, 5.500%, 11/25/33		151
	294		Series 2003-11, Class PO, PO, 01/25/34		247
	143		Series 2004-6, Class 15PO, PO, 07/25/19		135
	1,445		Series 2005-5, Class 1CB1, 5.500%, 06/25/35		1,366
	3,855		Series 2005-6, Class CBIO, IO, 5.500%, 07/25/35		792
	1,199		Series 2006-4, Class 1A4, 6.000%, 05/25/46		803
	2,143		Banc of America Funding Corp., Series 2012-R6, Class 1A1, 3.000%, 10/26/39 (e) (i)		2,127
			Banc of America Funding Trust,
	352		Series 2004-1, Class PO, PO, 03/25/34		280
	513		Series 2004-2, Class 30PO, PO, 09/20/34		437


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	266	Series 2004-C, Class 1A1, VAR, 5.045%, 12/20/34		264
	783	Series 2005-6, Class 2A7, 5.500%, 10/25/35		785
	520	Series 2005-7, Class 30PO, PO, 11/25/35		390
	345	Series 2005-8, Class 30PO, PO, 01/25/36		265
	1,428	Series 2005-E, Class 4A1, VAR, 2.683%, 03/20/35		1,431
	577	Series 2006-A, Class 3A2, VAR, 2.740%, 02/20/36		468
	446	Series 2010-R5, Class 1A1, 5.500%, 10/26/37 (e)		455
		Banc of America Mortgage Trust,
	109	Series 2003-3, Class 2A1, VAR, 0.705%, 05/25/18		105
	99	Series 2003-6, Class 2A1, VAR, 0.605%, 08/25/18		97
	42	Series 2003-7, Class A2, 4.750%, 09/25/18		43
	142	Series 2003-8, Class APO, PO, 11/25/33		114
	903	Series 2004-3, Class 15IO, IO, VAR, 0.045%, 04/25/19		4
	59	Series 2004-4, Class APO, PO, 05/25/34		51
	994	Series 2004-5, Class 2A2, 5.500%, 06/25/34		1,014
	473	Series 2004-6, Class 2A5, PO, 07/25/34		393
	266	Series 2004-6, Class APO, PO, 07/25/34		240
	30	Series 2004-8, Class 5PO, PO, 05/25/32		27
	35	Series 2004-8, Class XPO, PO, 10/25/34		31
	263	Series 2004-A, Class 2A2, VAR, 2.679%, 02/25/34		264
	1,033	Series 2004-J, Class 3A1, VAR, 2.913%, 11/25/34		1,034
	1,004	Series 2005-10, Class 1A6, 5.500%, 11/25/35		990
		BCAP LLC Trust,
	374	Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e)		388
	484	Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)		500
	659	Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e)		665
	196	Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e)		199
	610	Series 2010-RR6, Class 22A3, VAR, 4.370%, 06/26/36 (e)		621
	427	Series 2010-RR7, Class 16A1, VAR, 0.818%, 02/26/47 (e)		424


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	216	Series 2010-RR7, Class 1A5, VAR, 4.924%, 04/26/35 (e)		215
	1,996	Series 2010-RR7, Class 2A1, VAR, 2.073%, 07/26/45 (e)		2,006
	263	Series 2010-RR8, Class 3A3, VAR, 5.067%, 05/26/35 (e)		267
	1,500	Series 2010-RR8, Class 3A4, VAR, 5.067%, 05/26/35 (e)		1,418
	866	Series 2011-R11, Class 25A5, VAR, 4.000%, 08/26/21 (e)		878
	2,001	Series 2011-RR10, Class 2A1, VAR, 1.007%, 09/26/37 (e)		1,835
	1,806	Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e)		1,833
	1,640	Series 2011-RR5, Class 11A3, VAR, 0.305%, 05/28/36 (e)		1,610
	369	Series 2011-RR5, Class 14A3, VAR, 2.501%, 07/26/36 (e)		367
	1,202	Series 2012-RR10, Class 3A1, VAR, 0.345%, 05/26/36 (e)		1,138
	1,342	Series 2012-RR2, Class 1A1, VAR, 0.325%, 08/26/36 (e)		1,309
	1,085	Series 2012-RR3, Class 2A5, VAR, 2.079%, 05/26/37 (e)		1,087
		Bear Stearns ARM Trust,
	168	Series 2003-7, Class 3A, VAR, 2.423%, 10/25/33		169
	743	Series 2004-1, Class 12A1, VAR, 2.707%, 04/25/34		745
	163	Series 2004-2, Class 14A, VAR, 3.035%, 05/25/34		164
	1,636	Series 2005-5, Class A1, VAR, 2.180%, 08/25/35		1,658
	3,912	Series 2006-1, Class A1, VAR, 2.369%, 02/25/36		3,938
		CAM Mortgage Trust,
	147	Series 2014-1, Class A, SUB, 3.352%, 12/15/53 (e)		148
	1,251	Series 2014-2, Class A, SUB, 2.600%, 05/15/48 (e)		1,251
		CHL Mortgage Pass-Through Trust,
	201	Series 2003-J7, Class 4A3, IF, 9.572%, 08/25/18		210
	536	Series 2004-7, Class 2A1, VAR, 2.469%, 06/25/34		529
	310	Series 2004-8, Class 2A1, 4.500%, 06/25/19		320
	207	Series 2004-HYB1, Class 2A, VAR, 2.557%, 05/20/34		198


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	750	Series 2004-HYB3, Class 2A, VAR, 2.329%, 06/20/34		721
	646	Series 2004-HYB6, Class A3, VAR, 2.479%, 11/20/34		623
	267	Series 2004-J8, Class 1A2, 4.750%, 11/25/19		274
	1,354	Series 2005-16, Class A23, 5.500%, 09/25/35		1,264
	3,367	Series 2005-22, Class 2A1, VAR, 2.554%, 11/25/35		2,870
		Citicorp Mortgage Securities REMIC Pass- Through Certificates Trust,
	148	Series 2005-5, Class APO, PO, 08/25/35		131
	142	Series 2005-8, Class APO, PO, 11/25/35		114
		Citigroup Mortgage Loan Trust,
	1,240	Series 2008-AR4, Class 1A1A, VAR, 2.734%, 11/25/38 (e)		1,245
	530	Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e)		553
	4,278	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		4,406
	4,593	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		4,724
		Citigroup Mortgage Loan Trust, Inc.,
	289	Series 2003-1, Class 2A5, 5.250%, 10/25/33		295
	150	Series 2003-1, Class 2A6, PO, 10/25/33		128
	102	Series 2003-1, Class PO2, PO, 10/25/33		92
	111	Series 2003-1, Class PO3, PO, 09/25/33		99
	113	Series 2003-UP3, Class A3, 7.000%, 09/25/33		117
	175	Series 2003-UST1, Class A1, 5.500%, 12/25/18		180
	33	Series 2003-UST1, Class PO1, PO, 12/25/18		31
	33	Series 2003-UST1, Class PO3, PO, 12/25/18		33
	161	Series 2004-UST1, Class A6, VAR, 2.616%, 08/25/34		156
	419	Series 2005-1, Class 2A1A, VAR, 2.674%, 04/25/35		323
	504	Series 2005-2, Class 2A11, 5.500%, 05/25/35		527
	525	Series 2005-5, Class 1A2, VAR, 2.832%, 08/25/35		388
	471	Series 2012-A, Class A, 2.500%, 06/25/51 (e) (i)		457
		Credit Suisse First Boston Mortgage Securities Corp.,
	634	Series 2003-1, Class DB1, VAR, 6.685%, 02/25/33		642


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	107	Series 2003-17, Class 2A1, 5.000%, 07/25/18		110
	374	Series 2003-21, Class 1A4, 5.250%, 09/25/33		386
	523	Series 2003-25, Class 1P, PO, 10/25/33		453
	32	Series 2004-5, Class 5P, PO, 08/25/19		32
	2,143	Series 2005-4, Class 3A18, 5.500%, 06/25/35		2,165
	2,384	Series 2005-4, Class 3A23, 5.500%, 06/25/35		2,367
		CSMC,
	849	Series 2011-9R, Class A1, VAR, 2.155%, 03/27/46 (e)		852
	1,644	Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)		1,661
		CSMC Trust,
	627	Series 2010-16, Class A3, VAR, 3.519%, 06/25/50 (e)		639
	8,315	Series 2010-11R, Class A6, VAR, 1.156%, 06/28/47 (e)		7,965
	475	Series 2011-1R, Class A1, VAR, 1.155%, 02/27/47 (e)		475
	805	Series 2011-6R, Class 3A1, VAR, 2.616%, 07/28/36 (e)		810
	766	Series 2012-3R, Class 1A1, VAR, 2.357%, 07/27/37 (e)		763
	70	Deutsche Mortgage Securities, Inc., Mortgage Loan Resecuritization Trust, Series 2009-RS2, Class 4A1, VAR, 0.282%, 04/26/37 (e)		69
	590	FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/18 (e)		596
	4	First Boston Mortgage Securities Corp. 1987 STRIPS, Series C, Class PO, PO, 04/25/17		4
		First Horizon Alternative Mortgage Securities Trust,
	1,134	Series 2004-AA4, Class A1, VAR, 2.233%, 10/25/34		1,132
	1,666	Series 2005-FA8, Class 1A19, 5.500%, 11/25/35		1,475
	2,834	Series 2007-FA4, Class 1A2, IF, IO, 5.495%, 08/25/37		564
		First Horizon Mortgage Pass-Through Trust,
	695	Series 2004-AR2, Class 2A1, VAR, 2.628%, 05/25/34		695
	1,491	Series 2005-AR1, Class 2A2, VAR, 2.575%, 04/25/35		1,498
	282	Freedom Trust, Series 2011-4, Class A18, VAR, 5.000%, 03/25/37 (e)		284


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
		GMACM Mortgage Loan Trust,
	609	Series 2003-AR1, Class A4, VAR, 2.911%, 10/19/33		607
	294	Series 2004-J5, Class A7, 6.500%, 01/25/35		308
	116	Series 2004-J6, Class 1A1, 5.000%, 01/25/20		120
	4,605	Series 2005-AR3, Class 3A4, VAR, 2.800%, 06/19/35		4,570
		GSMPS Mortgage Loan Trust,
	935	Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e)		981
	1,358	Series 2005-RP3, Class 1AF, VAR, 0.505%, 09/25/35 (e)		1,161
	1,026	Series 2005-RP3, Class 1AS, IO, VAR, 4.823%, 09/25/35 (e)		141
	4,522	Series 2006-RP2, Class 1AS2, IF, IO, 5.893%, 04/25/36 (e)		580
		GSR Mortgage Loan Trust,
	662	Series 2004-6F, Class 3A4, 6.500%, 05/25/34		711
	634	Series 2004-8F, Class 2A3, 6.000%, 09/25/34		660
	652	Series 2004-13F, Class 3A3, 6.000%, 11/25/34		645
	293	Series 2005-4F, Class AP, PO, 05/25/35		264
	2,736	Series 2005-7F, Class 3A9, 6.000%, 09/25/35		2,837
	3,348	Series 2006-1F, Class 2A4, 6.000%, 02/25/36		3,067
	2,880	Series 2007-1F, Class 2A4, 5.500%, 01/25/37		2,883
	3,783	Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.000%, 05/26/53 (e) (i)		3,703
	312	Impac CMB Trust, Series 2005-4, Class 2A1, VAR, 0.455%, 05/25/35		312
		Impac Secured Assets Trust,
	650	Series 2006-1, Class 2A1, VAR, 0.505%, 05/25/36		645
	763	Series 2006-2, Class 2A1, VAR, 0.505%, 08/25/36		752
	14,765	IndyMac INDX Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.000%, 08/25/35		5
		JP Morgan Mortgage Trust,
	1,406	Series 2006-A2, Class 4A1, VAR, 2.495%, 08/25/34		1,405


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	1,935	Series 2006-A2, Class 5A3, VAR, 2.518%, 11/25/33		1,932
	349	Series 2006-A3, Class 6A1, VAR, 3.128%, 08/25/34		353
	427	JP Morgan Resecuritization Trust, Series
		2009-6, Class 4A1, VAR, 2.528%, 09/26/36 (e)		431
		Lehman Mortgage Trust,
	666	Series 2006-2, Class 1A1, VAR, 6.127%, 04/25/36		631
	1,258	Series 2008-2, Class 1A6, 6.000%, 03/25/38		1,137
	1,000	LVII Resecuritization Trust, Series 2009-3, Class M3, VAR, 5.180%, 11/27/37 (e)		1,011
		MASTR Adjustable Rate Mortgages Trust,
	86	Series 2004-4, Class 2A1, VAR, 1.933%, 05/25/34		78
	795	Series 2004-13, Class 2A1, VAR, 2.642%, 04/21/34		804
	1,902	Series 2004-13, Class 3A7, VAR, 2.636%, 11/21/34		1,940
	388	Series 2004-15, Class 3A1, VAR, 2.893%, 12/25/34		391
		MASTR Alternative Loan Trust,
	209	Series 2003-3, Class 1A1, 6.500%, 05/25/33		221
	543	Series 2003-9, Class 8A1, 6.000%, 01/25/34		544
	629	Series 2004-3, Class 2A1, 6.250%, 04/25/34		665
	901	Series 2004-4, Class 10A1, 5.000%, 05/25/24		953
	469	Series 2004-6, Class 30PO, PO, 07/25/34		367
	683	Series 2004-6, Class 7A1, 6.000%, 07/25/34		695
	324	Series 2004-7, Class 30PO, PO, 08/25/34		259
	1,172	Series 2004-8, Class 6A1, 5.500%, 09/25/19		1,215
	178	Series 2004-10, Class 1A1, 4.500%, 09/25/19		182
		MASTR Asset Securitization Trust,
	52	Series 2003-2, Class 2A1, 4.500%, 03/25/18		52
	18	Series 2003-3, Class 4A1, 5.000%, 04/25/18		18
	82	Series 2003-4, Class 3A2, 5.000%, 05/25/18		83
	115	Series 2003-12, Class 30PO, PO, 12/25/33		104


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	85	Series 2004-1, Class 30PO, PO, 02/25/34		74
	28	Series 2004-4, Class 3A1, 4.500%, 04/25/19		28
	49	Series 2004-6, Class 15PO, PO, 07/25/19		48
	70	Series 2004-8, Class 1A1, 4.750%, 08/25/19		72
	31	Series 2004-8, Class PO, PO, 08/25/19		28
	2,669	MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.505%, 05/25/35 (e)		2,202
	1,090	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		872
		Merrill Lynch Mortgage Investors Trust,
	344	Series 2003-E, Class A1, VAR, 0.775%, 10/25/28		341
	810	Series 2004-1, Class 2A1, VAR, 2.147%, 12/25/34		794
	619	Series 2004-A, Class A1, VAR, 0.615%, 04/25/29		596
	29	ML Trust XLVII, Series 47, Class Z, 8.985%, 10/20/20		31
	646	MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.475%, 02/25/35		633
	492	NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		502
		Nomura Asset Acceptance Corp. Alternative Loan Trust,
	260	Series 2003-A1, Class A1, 5.500%, 05/25/33		268
	116	Series 2003-A1, Class A2, 6.000%, 05/25/33		120
	47	Series 2003-A1, Class A5, 7.000%, 04/25/33		49
	6	Series 2003-A1, Class A7, 5.000%, 04/25/18		6
		PaineWebber CMO Trust,
	1	Series H, Class 4, 8.750%, 04/01/18		1
	8	Series P, Class 4, 8.500%, 08/01/19		8
	318	Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.495%, 05/25/35		324
		RALI Trust,
	87	Series 2002-QS16, Class A3, IF, 16.299%, 10/25/17		90
	276	Series 2002-QS8, Class A5, 6.250%, 06/25/17		280
	4,482	Series 2003-QR19, Class CB4, 5.750%, 10/25/33		4,664


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	589	Series 2003-QS12, Class A2A, IF, IO, 7.445%, 06/25/18		62
	179	Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18		13
	1,260	Series 2003-QS14, Class A1, 5.000%, 07/25/18		1,281
	403	Series 2003-QS18, Class A1, 5.000%, 09/25/18		413
	1,512	Series 2003-QS19, Class A1, 5.750%, 10/25/33		1,594
	232	Series 2003-QS3, Class A2, IF, 16.159%, 02/25/18		261
	78	Series 2003-QS3, Class A8, IF, IO, 7.445%, 02/25/18		2
	577	Series 2003-QS9, Class A3, IF, IO, 7.395%, 05/25/18		61
	2,159	Series 2004-QA6, Class NB2, VAR, 2.961%, 12/26/34		1,807
		RBSSP Resecuritization Trust,
	441	Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e)		468
	8	Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e)		8
	549	Series 2009-9, Class 7A4, VAR, 6.000%, 07/26/37 (e)		562
	794	Series 2009-12, Class 1A1, VAR, 5.860%, 11/25/33 (e)		839
	776	Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e)		789
	145	Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e)		146
		Residential Asset Securitization Trust,
	333	Series 2003-A13, Class A3, 5.500%, 01/25/34		343
	26	Series 2003-A14, Class A1, 4.750%, 02/25/19		27
	2,935	Series 2005-A2, Class A4, IF, IO, 4.895%, 03/25/35		412
	763	Series 2006-A4, Class 2A5, 6.000%, 05/25/36		705
		RFMSI Trust,
	464	Series 2003-S13, Class A3, 5.500%, 06/25/33		466
	98	Series 2003-S14, Class A4, PO, 07/25/18		97
	203	Series 2004-S3, Class A1, 4.750%, 03/25/19		207
	459	Series 2004-S6, Class 2A6, PO, 06/25/34		393
	97	Series 2004-S9, Class 2A1, 4.750%, 12/25/19		98


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	798	Series 2005-SA4, Class 1A1, VAR, 2.669%, 09/25/35		670
	19	RFSC Trust, Series 2003-RM2, Class AP-3, PO, 05/25/33		17
		Salomon Brothers Mortgage Securities VII, Inc.,
	290	Series 2003-HYB1, Class A, VAR, 2.612%, 09/25/33		296
	39	Series 2003-UP2, Class PO1, PO, 12/25/18		35
		Springleaf Mortgage Loan Trust,
	1,283	Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e)		1,334
	2,100	Series 2011-1A, Class A2, VAR, 5.450%, 01/25/58 (e)		2,200
	1,600	Series 2012-1A, Class M3, VAR, 6.000%, 09/25/57 (e)		1,706
	2,000	Series 2012-2A, Class M4, VAR, 6.000%, 10/25/57 (e)		2,091
	2,704	Series 2012-3A, Class A, VAR, 1.570%, 12/25/59 (e)		2,703
	1,130	Series 2012-3A, Class M1, VAR, 2.660%, 12/25/59 (e)		1,130
	589	Series 2012-3A, Class M2, VAR, 3.560%, 12/25/59 (e)		598
	455	Series 2012-3A, Class M3, VAR, 4.440%, 12/25/59 (e)		466
	267	Series 2012-3A, Class M4, VAR, 5.300%, 12/25/59 (e)		275
	2,161	Series 2013-1A, Class A, VAR, 1.270%, 06/25/58 (e)		2,154
	1,116	Series 2013-1A, Class M1, VAR, 2.310%, 06/25/58 (e)		1,092
	900	Series 2013-1A, Class M2, VAR, 3.140%, 06/25/58 (e)		895
	634	Series 2013-1A, Class M3, VAR, 3.790%, 06/25/58 (e)		639
	3,414	Series 2013-2A, Class A, VAR, 1.780%, 12/25/65 (e)		3,409
	1,058	Series 2013-2A, Class M1, VAR, 3.520%, 12/25/65 (e)		1,080
	849	Series 2013-3A, Class A, VAR, 1.870%, 09/25/57 (e)		847
	2,131	Series 2013-3A, Class M1, VAR, 3.790%, 09/25/57 (e)		2,147
	3,500	Station Place Securitization Trust, Series 2013-1, Class A, VAR, 1.377%, 02/25/15		3,500
	941	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 2.371%, 06/25/34		936


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	820	Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1, VAR, 0.486%, 10/19/34		780
		Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
	909	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		930
	1,614	Series 2004-5H, Class A4, 5.540%, 12/25/33		1,660
		Structured Asset Securities Corp. Trust,
	172	Series 2005-6, Class 4A1, 5.000%, 05/25/35		174
	238	Series 2005-10, Class 5A9, 5.250%, 12/25/34		241
		Thornburg Mortgage Securities Trust,
	491	Series 2003-4, Class A1, VAR, 0.795%, 09/25/43		482
	455	Series 2004-4, Class 3A, VAR, 2.000%, 12/25/44		457
		WaMu Mortgage Pass-Through Certificates Trust,
	182	Series 2003-AR8, Class A, VAR, 2.397%, 08/25/33		188
	2,678	Series 2003-AR9, Class 1A6, VAR, 2.408%, 09/25/33		2,773
	388	Series 2003-AR9, Class 2A, VAR, 2.442%, 09/25/33		394
	225	Series 2003-S8, Class A6, 4.500%, 09/25/18		228
	1,460	Series 2003-S9, Class A8, 5.250%, 10/25/33		1,502
	146	Series 2003-S9, Class P, PO, 10/25/33		113
	236	Series 2004-AR3, Class A1, VAR, 2.377%, 06/25/34		241
	197	Series 2004-AR3, Class A2, VAR, 2.377%, 06/25/34		202
	2,156	Series 2004-RS2, Class A4, 5.000%, 11/25/33		2,209
	299	Series 2006-AR10, Class 2P, VAR, 2.297%, 09/25/36		265
	224	Series 2006-AR12, Class 2P, VAR, 1.949%, 10/25/36		164
		Washington Mutual Mortgage Pass- Through Certificates WMALT Trust,
	9,794	Series 2005-2, Class 1A4, IF, IO, 4.895%, 04/25/35		1,399
	1,932	Series 2005-2, Class 2A3, IF, IO, 4.845%, 04/25/35		248


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	2,464	Series 2005-3, Class CX, IO, 5.500%, 05/25/35		519
	3,002	Series 2005-4, Class CB7, 5.500%, 06/25/35		2,804
	2,456	Series 2005-4, Class CX, IO, 5.500%, 06/25/35		520
	699	Series 2005-6, Class 2A4, 5.500%, 08/25/35		647
	4,476	Series 2005-6, Class 2A9, 5.500%, 08/25/35		4,155
	1,919	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		1,930
		Wells Fargo Mortgage-Backed Securities Trust,
	237	Series 2003-K, Class 1A1, VAR, 2.491%, 11/25/33		241
	448	Series 2003-K, Class 1A2, VAR, 2.491%, 11/25/33		458
	552	Series 2004-EE, Class 2A1, VAR, 2.612%, 12/25/34		563
	607	Series 2004-EE, Class 3A1, VAR, 2.533%, 12/25/34		616
	2,881	Series 2004-P, Class 2A1, VAR, 2.613%, 09/25/34		2,945
	577	Series 2004-V, Class 1A1, VAR, 2.608%, 10/25/34		584
	273	Series 2005-16, Class APO, PO, 01/25/36		214
	413	Series 2005-AR16, Class 2A1, VAR, 2.619%, 02/25/34		420
	5,014	Series 2005-AR3, Class 1A1, VAR, 2.619%, 03/25/35		5,097
	531	Series 2005-AR8, Class 2A1, VAR, 2.600%, 06/25/35		535
	579	Series 2006-2, Class APO, PO, 03/25/36		369
	288	Series 2006-4, Class 1APO, PO, 04/25/36		223
	1,440	Series 2007-7, Class A7, 6.000%, 06/25/37		1,426
	409	Series 2007-11, Class A14, 6.000%, 08/25/37		408

				267,026

		Total Collateralized Mortgage Obligations (Cost $836,935)		885,971

	Commercial Mortgage-Backed Securities — 3.7%
		A10 Securitization LLC,
	803	Series 2012-1, Class A, 3.492%, 04/15/24 (e)		805
	1,016	Series 2013-1, Class A, 2.400%, 11/15/25 (e)		1,019


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		A10 Term Asset Financing LLC,
	3,566	Series 2013-2, Class A, 2.620%, 11/15/27 (e)		3,562
	696	Series 2013-2, Class B, 4.380%, 11/15/27 (e)		697
		ACRE Commercial Mortgage Trust, (Cayman Islands),
	360	Series 2014-FL2, Class B, VAR, 2.200%, 08/15/31 (e)		360
	360	Series 2014-FL2, Class C, VAR, 2.650%, 08/15/31 (e)		359
	560	BAMLL Commercial Mortgage Securities Trust, Series 2012-PARK, Class A, 2.959%, 12/10/30 (e)		557
		Banc of America Commercial Mortgage Trust,
	385	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		403
	2,195	Series 2006-4, Class A4, 5.634%, 07/10/46		2,329
	915	Series 2006-5, Class A4, 5.414%, 09/10/47		975
	1,500	Series 2007-5, Class A4, 5.492%, 02/10/51		1,620
		Banc of America Merrill Lynch Commercial Mortgage, Inc.,
	400	Series 2005-3, Class A4, 4.668%, 07/10/43		408
	1,610	Series 2005-3, Class AM, 4.727%, 07/10/43		1,645
	1,300	Banc of America Re-REMIC Trust, Series 2014-520M, Class C, VAR, 4.354%, 08/15/46 (e)		1,248
		BB-UBS Trust,
	4,400	Series 2012-SHOW, Class A, 3.430%, 11/05/36 (e)		4,375
	2,500	Series 2012-TFT, Class A, 2.892%, 06/05/30 (e)		2,438
		Bear Stearns Commercial Mortgage Securities Trust,
	37,145	Series 2005-PWR8, Class X1, IO, VAR, 0.942%, 06/11/41 (e)		134
	3,148	Series 2006-PW11, Class A4, VAR, 5.600%, 03/11/39		3,304
	89,588	CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.556%, 12/11/49 (e)		685
	900	CGBAM Commercial Mortgage Trust, Series 2014 -HD, Class A, VAR, 0.955%, 02/15/31 (e)		900
	1,250	Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43		1,276


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
Commercial Mortgage-Backed Securities — continued
			COBALT CMBS Commercial Mortgage Trust,
	551		Series 2006-C1, Class A4, 5.223%, 08/15/48		587
	17,313		Series 2006-C1, Class IO, IO, VAR, 0.978%, 08/15/48		279
			COMM Mortgage Trust,
	1,100		Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43		1,116
	2,986		Series 2012-CR2, Class XA, IO, VAR, 2.081%, 08/15/45		311
	3,500		Series 2013-300P, Class A1, 4.353%, 08/10/30 (e)		3,807
	1,060		Series 2013-SFS, Class A2, VAR, 3.086%, 04/12/35 (e)		1,052
	1,000		Series 2014-TWC, Class A, VAR, 1.006%, 02/13/32 (e)		1,000
	300		Commercial Mortgage Pass-Through Certificates, Series 2012-MVP, Class A, VAR, 2.094%, 11/17/26 (e)		302
			Commercial Mortgage Trust,
	500		Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42		505
	300		Series 2006-GG7, Class AM, VAR, 6.014%, 07/10/38		322
	700		Credit Suisse Commercial Mortgage Trust, Series 2006-C2, Class A3, VAR, 5.857%, 03/15/39		737
	2,018		CSMC, Series 2014-ICE, Class A, VAR, 1.050%, 04/15/27 (e)		2,021
	1,183		DBRR Trust, Series 2013-EZ2, Class A, VAR, 0.853%, 02/25/45 (e)		1,181
	—	(h)	FDIC Guaranteed Notes Trust, Series 2010-C1, Class A, 2.980%, 12/06/20 (e)		—	(h)
			Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates,
	2,557		Series K029, Class A2, VAR, 3.320%, 02/25/23		2,678
	2,500		Series KSMC, Class A2, 2.615%, 01/25/23		2,484
	1,866		GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48		1,887
	3,925		GMAC Commercial Mortgage Securities, Inc. Trust, Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		4,067
	1,396		GS Mortgage Securities Corp. II, Series 2013-KING, Class A, 2.706%, 12/10/27 (e)		1,412
	488		GS Mortgage Securities Corp. Trust, Series 2013-NYC5, Class A, 2.318%, 01/10/30 (e)		492


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	865	GS Mortgage Securities Trust, Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38		904
	1,000	GSMS Trust, Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e)		1,074
		JP Morgan Chase Commercial Mortgage Securities Trust,
	1,000	Series 2005-CB11, Class AJ, VAR, 5.568%, 08/12/37		1,022
	400	Series 2006-LDP9, Class AMS, 5.337%, 05/15/47		402
	1,000	Series 2007-C1, Class A4, 5.716%, 02/15/51		1,092
	998	Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2, 3.985%, 02/15/36 (e)		1,028
		LB-UBS Commercial Mortgage Trust,
	1,000	Series 2006-C1, Class A4, 5.156%, 02/15/31		1,040
	39,781	Series 2006-C7, Class XW, IO, VAR, 0.849%, 11/15/38 (e)		507
	300	Series 2007-C1, Class AM, 5.455%, 02/15/40		325
	819	Series 2007-C2, Class A3, 5.430%, 02/15/40		892
	2,834	Merrill Lynch Mortgage Trust, Series 2005- LC1, Class A4, VAR, 5.291%, 01/12/44		2,957
		ML-CFC Commercial Mortgage Trust,
	3,088	Series 2006-1, Class A4, VAR, 5.651%, 02/12/39		3,245
	28,867	Series 2006-4, Class XC, IO, VAR, 0.274%, 12/12/49 (e)		325
	2,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 02/15/47		2,094
		Morgan Stanley Capital I Trust,
	34,541	Series 2006-IQ12, Class X1, IO, VAR, 0.679%, 12/15/43 (e)		330
	66,930	Series 2007-HQ11, Class X, IO, VAR, 0.392%, 02/12/44 (e)		280
	764	Series 2011-C3, Class A3, 4.054%, 07/15/49		817
		Morgan Stanley Re-REMIC Trust,
	1,146	Series 2012-IO, Class AXA, 1.000%, 03/27/51 (e)		1,149
	4,252	Series 2012-XA, Class A, 2.000%, 07/27/49 (e)		4,274
	1,800	Series 2012-XA, Class B, 0.250%, 07/27/49 (e)		1,557


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Commercial Mortgage-Backed Securities — continued
		NCUA Guaranteed Notes Trust,
	20,500	Series 2010-C1, Class A2, 2.900%, 10/29/20		21,172
	10,035	Series 2010-C1, Class APT, 2.650%, 10/29/20		10,208
		NorthStar, (Cayman Islands),
	2,324	Series 2013-1A, Class A, VAR, 2.005%, 08/25/29 (e)		2,326
	1,392	Series 2013-1A, Class B, VAR, 5.155%, 08/25/29 (e)		1,406
	1,667	NorthStar Mortgage Trust, Series 2012-1, Class A, VAR, 1.355%, 08/25/29 (e)		1,669
	1,719	ORES NPL LLC, Series 2013-LV2, Class A, 3.081%, 09/25/25 (e)		1,719
	664	RBS Commercial Funding, Inc. Trust, Series 2013 -SMV, Class A, 3.260%, 03/11/31 (e)		650
	1,414	RCMC LLC, Series 2012-CRE1, Class A, 5.623%, 11/15/44 (e)		1,457
	1,342	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.560%, 08/15/39		1,353
	2,236	UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e)		2,258
		UBS-Barclays Commercial Mortgage Trust,
	1,053	Series 2012-C2, Class A4, 3.525%, 05/10/63		1,090
	10,293	Series 2012-C2, Class XA, IO, VAR, 1.929%, 05/10/63 (e)		864
	857	Series 2013-C6, Class A4, 3.244%, 04/10/46		865
		VNDO Mortgage Trust,
	1,398	Series 2012-6AVE, Class A, 2.996%, 11/15/30 (e)		1,384
	4,000	Series 2013-PENN, Class A, 3.808%, 12/13/29 (e)		4,225
	2,500	Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class A, VAR, 2.800%, 03/18/28 (e)		2,502
	1,405	Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e)		1,406
		WFRBS Commercial Mortgage Trust,
	1,700	Series 2011-C3, Class A4, 4.375%, 03/15/44 (e)		1,856
	800	Series 2012-C6, Class A4, 3.440%, 04/15/45		830
	400	Series 2013-C11, Class D, VAR, 4.322%, 03/15/45 (e)		381

		Total Commercial Mortgage-Backed Securities (Cost $136,600)		140,274


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — 18.8%
		Consumer Discretionary — 1.3%
		Auto Components — 0.1%
		Johnson Controls, Inc.,
	591	3.750%, 12/01/21		618
	675	4.250%, 03/01/21		729
	173	4.950%, 07/02/64		179
	1,000	5.250%, 12/01/41		1,098

				2,624

		Automobiles — 0.1%
		Daimler Finance North America LLC,
	421	1.650%, 04/10/15 (e)		424
	532	1.875%, 01/11/18 (e)		536
	981	2.375%, 08/01/18 (e)		1,002
	739	2.625%, 09/15/16 (e)		762
	1,425	2.950%, 01/11/17 (e)		1,480

				4,204

		Media — 0.9%
		21st Century Fox America, Inc.,
	100	6.200%, 12/15/34		124
	400	6.650%, 11/15/37		512
	250	6.900%, 08/15/39		331
	1,075	7.300%, 04/30/28		1,360
	505	8.000%, 10/17/16		578
	430	8.875%, 04/26/23		582
		CBS Corp.,
	475	3.700%, 08/15/24		480
	360	4.900%, 08/15/44		370
	140	5.500%, 05/15/33		156
	265	5.750%, 04/15/20		305
	250	Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22		364
		Comcast Corp.,
	555	4.200%, 08/15/34		570
	1,082	4.250%, 01/15/33		1,125
	2,910	5.900%, 03/15/16		3,139
	400	6.450%, 03/15/37		524
	1,355	6.500%, 11/15/35		1,782
		Cox Communications, Inc.,
	446	3.250%, 12/15/22 (e)		438
	162	5.450%, 12/15/14		164
	125	8.375%, 03/01/39 (e)		182
	450	Cox Enterprises, Inc., 7.375%, 07/15/27 (e)		576
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	435	3.800%, 03/15/22		453
	1,000	4.600%, 02/15/21		1,100


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Media — continued
	862	5.000%, 03/01/21		966
	2,000	6.000%, 08/15/40		2,378
		Discovery Communications LLC,
	1,016	4.375%, 06/15/21		1,107
	319	4.950%, 05/15/42		335
	1,197	Historic TW, Inc., 9.150%, 02/01/23		1,671
		NBCUniversal Media LLC,
	310	4.375%, 04/01/21		343
	800	5.950%, 04/01/41		1,005
	515	6.400%, 04/30/40		681
		Thomson Reuters Corp., (Canada),
	1,278	3.950%, 09/30/21		1,349
	441	4.500%, 05/23/43		435
	325	4.700%, 10/15/19		358
		Time Warner Cable, Inc.,
	359	5.500%, 09/01/41		416
	1,218	5.850%, 05/01/17		1,360
	400	6.550%, 05/01/37		512
	800	8.250%, 04/01/19		1,006
		Time Warner Entertainment Co. LP,
	160	8.375%, 03/15/23		217
	1,250	8.375%, 07/15/33		1,880
		Time Warner, Inc.,
	555	4.750%, 03/29/21		615
	313	5.375%, 10/15/41		346
	150	6.200%, 03/15/40		181
	172	6.250%, 03/29/41		211
	265	6.500%, 11/15/36		332
	250	7.625%, 04/15/31		346
	171	7.700%, 05/01/32		241
		Viacom, Inc.,
	153	1.250%, 02/27/15		154
	500	3.125%, 06/15/22		497
	67	3.250%, 03/15/23		66
	808	3.875%, 12/15/21		852
	464	4.375%, 03/15/43		434
	100	4.500%, 03/01/21		109
	250	4.500%, 02/27/42		241
	130	6.250%, 04/30/16		142
	333	Walt Disney Co. (The), 0.450%, 12/01/15		333

				36,334

		Multiline Retail — 0.1%
	280	Kohl’s Corp., 6.250%, 12/15/17		320


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Multiline Retail — continued
		Macy’s Retail Holdings, Inc.,
	516	2.875%, 02/15/23		502
	462	4.375%, 09/01/23		494
	157	5.125%, 01/15/42		172
	230	7.450%, 07/15/17		268
	455	Nordstrom, Inc., 4.000%, 10/15/21		491
	200	Target Corp., 6.000%, 01/15/18		229

				2,476

		Specialty Retail — 0.1%
	217	Bed Bath & Beyond, Inc., 4.915%, 08/01/34		226
	533	Gap, Inc. (The), 5.950%, 04/12/21		617
	1,785	Home Depot, Inc. (The), 5.400%, 03/01/16		1,913
		Lowe’s Cos., Inc.,
	739	4.650%, 04/15/42		799
	326	5.125%, 11/15/41		375
	750	Series B, 7.110%, 05/15/37		1,030

				4,960

		Total Consumer Discretionary		50,598

		Consumer Staples — 1.0%
		Beverages — 0.3%
		Anheuser-Busch Cos. LLC,
	600	5.500%, 01/15/18		676
	920	5.750%, 04/01/36		1,150
	900	Anheuser-Busch InBev Finance, Inc., 3.700%, 02/01/24		945
	359	Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19		443
	440	Coca-Cola Co. (The), 4.875%, 03/15/19		496
		Diageo Capital plc, (United Kingdom),
	264	1.500%, 05/11/17		267
	510	4.828%, 07/15/20		574
	800	Diageo Finance B.V., (Netherlands), 5.300%, 10/28/15		844
	255	Diageo Investment Corp., 8.000%, 09/15/22		336
	890	FBG Finance Pty Ltd., (Australia), 5.125%, 06/15/15 (e)		922
	355	Heineken N.V., (Netherlands), 1.400%, 10/01/17 (e)		354
		PepsiCo, Inc.,
	287	1.250%, 08/13/17		288
	368	3.000%, 08/25/21		378
	59	7.900%, 11/01/18		73
	500	VAR, 0.445%, 02/26/16		501


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Beverages — continued
		SABMiller Holdings, Inc.,
	574	1.850%, 01/15/15 (e)		577
	698	3.750%, 01/15/22 (e)		733
	250	SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e)		274

				9,831

		Food & Staples Retailing — 0.3%
		CVS Caremark Corp.,
	536	4.000%, 12/05/23		565
	322	5.300%, 12/05/43		376
	979	5.750%, 05/15/41		1,198
	250	6.125%, 09/15/39		320
	1,042	CVS Pass-Through Trust, 5.926%, 01/10/34 (e)		1,228
		Kroger Co. (The),
	900	4.000%, 02/01/24		940
	1,100	5.000%, 04/15/42		1,199
	2,480	7.500%, 04/01/31		3,365
	1,031	Walgreen Co., 3.100%, 09/15/22		1,022
		Wal-Mart Stores, Inc.,
	762	5.250%, 09/01/35		909
	255	6.200%, 04/15/38		337
	350	7.550%, 02/15/30		508

				11,967

		Food Products — 0.4%
	200	Archer-Daniels-Midland Co., 5.935%, 10/01/32		251
	1,415	Bunge Ltd. Finance Corp., 8.500%, 06/15/19		1,772
	191	Bunge N.A. Finance LP, 5.900%, 04/01/17		212
		Cargill, Inc.,
	600	3.300%, 03/01/22 (e)		618
	535	4.307%, 05/14/21 (e)		587
	850	7.350%, 03/06/19 (e)		1,030
		ConAgra Foods, Inc.,
	223	1.300%, 01/25/16		225
	227	2.100%, 03/15/18		227
	365	Kellogg Co., 1.750%, 05/17/17		370
		Kraft Foods Group, Inc.,
	814	3.500%, 06/06/22		837
	694	5.000%, 06/04/42		755
	1,187	6.125%, 08/23/18		1,370
	1,793	6.875%, 01/26/39		2,382
	1,500	Mondelez International, Inc., 4.000%, 02/01/24		1,577


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Food Products — continued
	777	Tyson Foods, Inc., 3.950%, 08/15/24		795

				13,008

		Household Products — 0.0% (g)
		Kimberly-Clark Corp.,
	220	2.400%, 03/01/22		216
	71	7.500%, 11/01/18		87
	728	Procter & Gamble — ESOP, Series A, 9.360%, 01/01/21		918
	140	Procter & Gamble Co. (The), 5.500%, 02/01/34		174

				1,395

		Total Consumer Staples		36,201

		Energy — 1.7%
		Energy Equipment & Services — 0.2%
	199	Cameron International Corp., 4.000%, 12/15/23		209
		Halliburton Co.,
	714	3.500%, 08/01/23		740
	1,620	7.450%, 09/15/39		2,387
	188	National Oilwell Varco, Inc., 1.350%, 12/01/17		188
		Noble Holding International Ltd., (Cayman Islands),
	113	3.950%, 03/15/22		117
	83	5.250%, 03/15/42		87
	441	Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e)		461
		Transocean, Inc., (Cayman Islands),
	361	3.800%, 10/15/22		352
	256	6.375%, 12/15/21		290
	905	6.500%, 11/15/20		1,024
	198	7.350%, 12/15/41		237
	100	7.500%, 04/15/31		119
		Weatherford International Ltd., (Bermuda),
	311	4.500%, 04/15/22		332
	113	5.950%, 04/15/42		130
	110	6.500%, 08/01/36		133
	350	9.875%, 03/01/39		554

				7,360

		Oil, Gas & Consumable Fuels — 1.5%
	160	Alberta Energy Co., Ltd., (Canada), 7.375%, 11/01/31		215
	330	Anadarko Petroleum Corp., 8.700%, 03/15/19		421
		Apache Corp.,
	138	3.250%, 04/15/22		141


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Oil, Gas & Consumable Fuels — continued
	556	4.750%, 04/15/43		590
	500	6.900%, 09/15/18		594
	235	BG Energy Capital plc, (United Kingdom), 5.125%, 10/15/41 (e)		264
		BP Capital Markets plc, (United Kingdom),
	92	1.375%, 11/06/17		92
	929	1.846%, 05/05/17		946
	1,283	2.237%, 05/10/19		1,290
	882	2.750%, 05/10/23		858
	437	3.814%, 02/10/24		458
	900	4.742%, 03/11/21		1,009
	200	Burlington Resources Finance Co., (Canada), 7.400%, 12/01/31		290
		Canadian Natural Resources Ltd., (Canada),
	350	6.250%, 03/15/38		442
	1,000	6.750%, 02/01/39		1,333
		Cenovus Energy, Inc., (Canada),
	208	3.000%, 08/15/22		206
	490	4.450%, 09/15/42		498
	450	6.750%, 11/15/39		598
		Chevron Corp.,
	560	2.355%, 12/05/22		545
	1,000	4.950%, 03/03/19		1,132
	1,789	CNOOC Nexen Finance 2014 ULC, (Canada), 4.250%, 04/30/24		1,861
	230	Conoco Funding Co., (Canada), 7.250%, 10/15/31		334
		ConocoPhillips,
	325	5.200%, 05/15/18		364
	525	5.750%, 02/01/19		608
	150	6.000%, 01/15/20		178
	200	6.500%, 02/01/39		271
	1,045	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		1,150
		Devon Energy Corp.,
	750	3.250%, 05/15/22		764
	522	4.750%, 05/15/42		553
	360	6.300%, 01/15/19		421
		Encana Corp., (Canada),
	545	6.500%, 05/15/19		642
	150	6.500%, 08/15/34		190
	925	Eni S.p.A., (Italy), Series EX2, 5.700%, 10/01/40 (e)		1,059
		Enterprise Products Operating LLC,
	475	3.900%, 02/15/24		495
	318	5.100%, 02/15/45		351


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — continued
		EOG Resources, Inc.,
	379	2.625%, 03/15/23		369
	600	4.100%, 02/01/21		654
	180	Hess Corp., 7.875%, 10/01/29		252
		Kerr-McGee Corp.,
	200	6.950%, 07/01/24		256
	1,000	7.875%, 09/15/31		1,425
		Magellan Midstream Partners LP,
	1,127	5.150%, 10/15/43		1,260
	250	6.550%, 07/15/19		296
		Marathon Oil Corp.,
	902	5.900%, 03/15/18		1,027
	1,620	6.000%, 10/01/17		1,841
	402	Occidental Petroleum Corp., 1.750%, 02/15/17		408
		Petrobras Global Finance B.V., (Netherlands),
	841	4.375%, 05/20/23		830
	2,622	6.250%, 03/17/24		2,881
		Petrobras International Finance Co., (Cayman Islands),
	1,020	5.375%, 01/27/21		1,075
	110	6.750%, 01/27/41		123
	175	7.875%, 03/15/19		204
		Petro-Canada, (Canada),
	324	6.050%, 05/15/18		372
	1,045	6.800%, 05/15/38		1,403
		Petroleos Mexicanos, (Mexico),
	393	4.875%, 01/18/24 (e)		427
	846	6.375%, 01/23/45 (e)		1,024
		Phillips 66,
	314	2.950%, 05/01/17		328
	182	4.300%, 04/01/22		197
	831	Sinopec Group Overseas Development Ltd., (United Kingdom), 4.375%, 10/17/23 (e)		874
		Spectra Energy Capital LLC,
	1,500	5.650%, 03/01/20		1,690
	500	6.200%, 04/15/18		572
	400	8.000%, 10/01/19		502
		Spectra Energy Partners LP,
	524	2.950%, 09/25/18		543
	452	5.950%, 09/25/43		546
		Statoil ASA, (Norway),
	906	1.150%, 05/15/18		893
	353	1.200%, 01/17/18		351
	406	2.450%, 01/17/23		395


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Oil, Gas & Consumable Fuels — continued
	1,071	2.650%, 01/15/24		1,043
	313	2.900%, 11/08/20		322
	467	3.125%, 08/17/17		492
	300	3.150%, 01/23/22		310
	253	4.250%, 11/23/41		260
		Suncor Energy, Inc., (Canada),
	180	5.950%, 12/01/34		219
	250	6.850%, 06/01/39		339
		Talisman Energy, Inc., (Canada),
	1,125	5.500%, 05/15/42		1,243
	185	5.850%, 02/01/37		208
	190	6.250%, 02/01/38		224
	850	7.750%, 06/01/19		1,047
	554	Texas Eastern Transmission LP, 2.800%, 10/15/22 (e)		530
		Tosco Corp.,
	310	7.800%, 01/01/27		439
	400	8.125%, 02/15/30		602
	124	Total Capital Canada Ltd., (Canada), VAR, 0.614%, 01/15/16		125
		Total Capital International S.A., (France),
	135	0.750%, 01/25/16		136
	262	1.500%, 02/17/17		265
	508	1.550%, 06/28/17		514
	500	2.750%, 06/19/21		502
	233	2.875%, 02/17/22		235
		Total Capital S.A., (France),
	1,400	2.300%, 03/15/16		1,436
	370	4.125%, 01/28/21		405
		TransCanada PipeLines Ltd., (Canada),
	550	6.200%, 10/15/37		709
	340	6.500%, 08/15/18		400
	1,100	7.250%, 08/15/38		1,562

				57,748

		Total Energy		65,108

		Financials — 8.5%
		Banks — 3.6%
	669	ABN AMRO Bank N.V., (Netherlands), 2.500%, 10/30/18 (e)		680
	550	ANZ New Zealand International Ltd., (New Zealand), 3.125%, 08/10/15 (e)		563
		Australia & New Zealand Banking Group Ltd., (Australia),
	1,268	2.400%, 11/23/16 (e)		1,309
	900	3.250%, 03/01/16 (e)		934
	228	4.875%, 01/12/21 (e)		258


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Banks — continued
		Bank of America Corp.,
	600	2.000%, 01/11/18		603
	1,500	Series L, 2.650%, 04/01/19		1,515
	520	3.625%, 03/17/16		541
	972	4.000%, 04/01/24		1,002
	547	4.100%, 07/24/23		571
	2,065	5.000%, 05/13/21		2,309
	2,730	5.625%, 10/14/16		2,977
	740	5.625%, 07/01/20		848
	645	Series L, 5.650%, 05/01/18		725
	420	5.750%, 12/01/17		471
	400	5.875%, 01/05/21		467
	2,996	6.400%, 08/28/17		3,404
	1,564	6.875%, 04/25/18		1,824
	875	7.625%, 06/01/19		1,071
	1,510	7.800%, 09/15/16		1,697
		Bank of Montreal, (Canada),
	741	1.300%, 10/31/14 (e)		742
	1,666	1.400%, 09/11/17		1,670
	1,106	2.550%, 11/06/22		1,078
		Bank of Nova Scotia (The), (Canada),
	1,034	1.650%, 10/29/15 (e)		1,048
	2,000	2.550%, 01/12/17		2,069
	737	3.400%, 01/22/15		746
		Bank of Tokyo-Mitsubishi UFJ Ltd. (The), (Japan),
	1,275	2.350%, 02/23/17 (e)		1,310
	679	3.850%, 01/22/15 (e)		688
	1,600	Banque Federative du Credit Mutuel S.A., (France), 1.700%, 01/20/17 (e)		1,609
		Barclays Bank plc, (United Kingdom),
	276	2.250%, 05/10/17 (e)		284
	800	2.500%, 09/21/15 (e)		817
	1,735	2.750%, 02/23/15		1,753
	324	3.750%, 05/15/24		331
	310	Series 1, 5.000%, 09/22/16		335
	1,000	6.050%, 12/04/17 (e)		1,125
		BB&T Corp.,
	750	3.950%, 04/29/16		790
	740	4.900%, 06/30/17		809
	380	6.850%, 04/30/19		458
	632	BNZ International Funding Ltd., (New Zealand), 2.350%, 03/04/19 (e)		635
	695	Branch Banking & Trust Co., 5.625%, 09/15/16		757


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Banks — continued
		Canadian Imperial Bank of Commerce, (Canada),
	226	0.900%, 10/01/15		227
	4,000	2.600%, 07/02/15 (e)		4,075
	1,650	Capital One Bank USA N.A., 3.375%, 02/15/23		1,644
		Citigroup, Inc.,
	423	3.375%, 03/01/23		425
	871	3.750%, 06/16/24		889
	500	4.450%, 01/10/17		536
	433	4.500%, 01/14/22		472
	42	4.587%, 12/15/15		44
	871	4.700%, 05/29/15		897
	483	4.750%, 05/19/15		497
	3,127	5.000%, 09/15/14		3,133
	250	5.300%, 05/06/44		268
	298	5.375%, 08/09/20		341
	865	5.500%, 09/13/25		969
	321	5.875%, 01/30/42		395
	2,154	6.000%, 08/15/17		2,422
	526	6.010%, 01/15/15		537
	475	6.125%, 11/21/17		539
	250	6.625%, 01/15/28		313
	400	8.125%, 07/15/39		614
	1,409	8.500%, 05/22/19		1,785
		Comerica, Inc.,
	260	3.000%, 09/16/15		266
	148	3.800%, 07/22/26		149
	1,080	Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e)		1,111
		Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., (Netherlands),
	143	2.125%, 10/13/15		146
	2,400	3.200%, 03/11/15 (e)		2,435
	455	3.375%, 01/19/17		480
	789	3.875%, 02/08/22		844
	500	5.800%, 09/30/10 (e) (††)		583
		Discover Bank,
	1,000	3.200%, 08/09/21		1,003
	601	4.200%, 08/08/23		635
	2,011	DNB Boligkreditt A.S., (Norway), 2.100%, 10/14/15 (e)		2,047
		Fifth Third Bancorp,
	70	2.300%, 03/01/19		70
	760	5.450%, 01/15/17		830
	600	Fifth Third Bank, 2.375%, 04/25/19		605


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Banks — continued
		HSBC Bank plc, (United Kingdom),
	1,438	1.500%, 05/15/18 (e)		1,424
	666	4.125%, 08/12/20 (e)		724
	575	4.750%, 01/19/21 (e)		646
		HSBC Holdings plc, (United Kingdom),
	500	4.000%, 03/30/22		535
	530	4.875%, 01/14/22		598
	556	5.100%, 04/05/21		637
	600	6.100%, 01/14/42		780
	300	KeyCorp, 5.100%, 03/24/21		341
	2,100	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		2,424
		National Australia Bank Ltd., (Australia),
	1,500	2.000%, 06/20/17 (e)		1,530
	750	2.750%, 09/28/15 (e)		768
	1,000	3.000%, 07/27/16 (e)		1,041
	795	3.750%, 03/02/15 (e)		808
	250	National City Bank, 5.800%, 06/07/17		280
		Nordea Bank AB, (Sweden),
	1,000	1.625%, 05/15/18 (e)		997
	1,800	3.125%, 03/20/17 (e)		1,885
	945	4.875%, 05/13/21 (e)		1,033
	837	Oversea-Chinese Banking Corp., Ltd., (Singapore), 1.625%, 03/13/15 (e)		841
	400	PNC Bank N.A., 6.875%, 04/01/18		468
	182	PNC Financial Services Group, Inc. (The), 3.900%, 04/29/24		186
		PNC Funding Corp.,
	709	3.300%, 03/08/22		728
	567	4.375%, 08/11/20		624
	970	5.250%, 11/15/15		1,022
	950	5.625%, 02/01/17		1,040
	595	6.700%, 06/10/19		714
		Royal Bank of Canada, (Canada),
	985	1.200%, 09/19/17		982
	1,789	2.000%, 10/01/18		1,814
	1,000	2.200%, 07/27/18		1,020
	402	Skandinaviska Enskilda Banken AB, (Sweden), 1.750%, 03/19/18 (e)		402
	927	SpareBank 1 Boligkreditt A.S., (Norway), 1.750%, 11/15/19 (e)		908
	1,148	Stadshypotek AB, (Sweden), 1.875%, 10/02/19 (e)		1,135
	1,300	Standard Chartered plc, (United Kingdom), 5.200%, 01/26/24 (e)		1,408
	880	SunTrust Banks, Inc., 6.000%, 09/11/17		990


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Banks — continued
	1,411	Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16		1,471
		Toronto-Dominion Bank (The), (Canada),
	2,350	1.500%, 03/13/17 (e)		2,375
	1,140	2.200%, 07/29/15 (e)		1,159
		U.S. Bancorp,
	550	1.650%, 05/15/17		557
	675	2.450%, 07/27/15		688
	540	3.000%, 03/15/22		548
	566	4.125%, 05/24/21		622
	1,277	7.500%, 06/01/26		1,726
	4,780	Wachovia Corp., 5.750%, 02/01/18		5,433
		Wells Fargo & Co.,
	1,826	2.625%, 12/15/16		1,894
	850	3.500%, 03/08/22		885
	484	4.100%, 06/03/26		495
	702	4.480%, 01/16/24		752
	500	4.600%, 04/01/21		558
	1,280	5.606%, 01/15/44		1,503
	2,350	5.625%, 12/11/17		2,658
	1,045	SUB, 3.676%, 06/15/16		1,099
		Wells Fargo Bank N.A.,
	1,515	Series AI, 4.750%, 02/09/15		1,544
	1,000	5.600%, 03/15/16		1,073
	250	5.750%, 05/16/16		271
	250	6.000%, 11/15/17		284
		Westpac Banking Corp., (Australia),
	900	4.200%, 02/27/15		917
	2,141	4.875%, 11/19/19		2,417

				136,711

		Capital Markets — 1.7%
	1,500	Ameriprise Financial, Inc., 4.000%, 10/15/23		1,590
		Bank of New York Mellon Corp. (The),
	357	1.200%, 02/20/15		358
	1,789	2.400%, 01/17/17		1,844
	900	Series 001, 2.950%, 06/18/15		919
	413	3.550%, 09/23/21		436
	950	3.650%, 02/04/24		992
	760	4.600%, 01/15/20		845
		BlackRock, Inc.,
	660	3.375%, 06/01/22		685
	540	3.500%, 12/10/14		545
	540	3.500%, 03/18/24		553
	867	Series 2, 5.000%, 12/10/19		991
	385	6.250%, 09/15/17		440


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Capital Markets — continued
	1,940	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		2,282
	340	Charles Schwab Corp. (The), 3.225%, 09/01/22		346
	728	Credit Suisse, (Switzerland), 2.300%, 05/28/19		729
		Deutsche Bank AG, (Germany),
	650	3.250%, 01/11/16		672
	355	6.000%, 09/01/17		400
	500	FMR LLC, 6.450%, 11/15/39 (e)		648
		Goldman Sachs Group, Inc. (The),
	545	2.625%, 01/31/19		552
	764	2.900%, 07/19/18		786
	400	3.300%, 05/03/15		408
	3,060	3.625%, 02/07/16		3,177
	492	3.700%, 08/01/15		506
	800	4.000%, 03/03/24		825
	848	5.250%, 07/27/21		956
	1,366	5.375%, 03/15/20		1,543
	760	5.500%, 11/15/14		768
	800	5.750%, 01/24/22		928
	4,310	5.950%, 01/18/18		4,863
	949	Series D, 6.000%, 06/15/20		1,104
	245	6.150%, 04/01/18		279
	175	6.250%, 09/01/17		198
	685	6.750%, 10/01/37		845
	2,678	7.500%, 02/15/19		3,236
		ING Bank N.V., (Netherlands),
	500	1.375%, 03/07/16 (e)		504
	216	2.000%, 09/25/15 (e)		219
	1,445	3.750%, 03/07/17 (e)		1,526
	657	Invesco Finance plc, (United Kingdom), 4.000%, 01/30/24		695
		Jefferies Group LLC,
	450	3.875%, 11/09/15		465
	1,015	5.125%, 04/13/18		1,109
	1,010	6.450%, 06/08/27		1,145
	325	6.875%, 04/15/21		384
	555	8.500%, 07/15/19		693
		Macquarie Bank Ltd., (Australia),
	373	2.000%, 08/15/16 (e)		380
	291	2.600%, 06/24/19 (e)		294
	2,847	5.000%, 02/22/17 (e)		3,086
		Macquarie Group Ltd., (Australia),
	1,200	6.000%, 01/14/20 (e)		1,361


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Capital Markets — continued
	1,400	6.250%, 01/14/21 (e)		1,614
	250	7.625%, 08/13/19 (e)		302
		Morgan Stanley,
	179	1.750%, 02/25/16		181
	625	4.000%, 07/24/15		644
	893	4.200%, 11/20/14		900
	871	5.000%, 11/24/25		935
	1,000	5.450%, 01/09/17		1,095
	1,021	5.500%, 07/24/20		1,161
	380	5.500%, 07/28/21		437
	1,265	5.625%, 09/23/19		1,446
	360	5.750%, 01/25/21		418
	400	6.625%, 04/01/18		463
	970	7.300%, 05/13/19		1,174
		Nomura Holdings, Inc., (Japan),
	1,050	4.125%, 01/19/16		1,093
	150	5.000%, 03/04/15		153
	547	6.700%, 03/04/20		658
		State Street Corp.,
	369	3.100%, 05/15/23		364
	1,164	3.700%, 11/20/23		1,223
		UBS AG, (Switzerland),
	1,337	3.875%, 01/15/15		1,354
	365	4.875%, 08/04/20		411
	244	5.750%, 04/25/18		278
	247	5.875%, 12/20/17		280

				64,694

		Consumer Finance — 0.8%
	700	American Express Co., 7.000%, 03/19/18		824
		American Express Credit Corp.,
	480	2.375%, 03/24/17		494
	1,028	2.800%, 09/19/16		1,067
		American Honda Finance Corp.,
	667	1.450%, 02/27/15 (e)		671
	363	1.500%, 09/11/17 (e)		364
	533	1.600%, 02/16/18 (e)		533
	565	2.125%, 02/28/17 (e)		579
	417	2.125%, 10/10/18		423
	1,599	2.600%, 09/20/16 (e)		1,656
	150	7.625%, 10/01/18 (e)		183
		Capital One Financial Corp.,
	273	1.000%, 11/06/15		273
	1,281	3.500%, 06/15/23		1,290


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Consumer Finance — continued
		Caterpillar Financial Services Corp.,
	402	2.850%, 06/01/22		403
	560	5.500%, 03/15/16		601
	340	7.050%, 10/01/18		410
	585	7.150%, 02/15/19		713
		Ford Motor Credit Co. LLC,
	513	2.375%, 03/12/19		514
	1,653	3.000%, 06/12/17		1,714
	1,917	3.984%, 06/15/16		2,014
	561	4.207%, 04/15/16		589
	200	4.250%, 09/20/22		214
	803	VAR, 1.483%, 05/09/16		815
		HSBC Finance Corp.,
	3,538	5.000%, 06/30/15		3,665
	207	7.350%, 11/27/32		263
		HSBC USA, Inc.,
	800	1.625%, 01/16/18		802
	1,500	2.375%, 02/13/15		1,514
		John Deere Capital Corp.,
	759	1.200%, 10/10/17		757
	335	1.700%, 01/15/20		329
	400	2.250%, 04/17/19		406
	233	3.150%, 10/15/21		241
	874	Nissan Motor Acceptance Corp., 1.800%, 03/15/18 (e)		874
	663	PACCAR Financial Corp., 1.600%, 03/15/17		672
		Toyota Motor Credit Corp.,
	1,120	1.000%, 02/17/15		1,124
	2,480	2.000%, 09/15/16		2,539
	558	2.000%, 10/24/18		563
	962	3.200%, 06/17/15		983

				31,076

		Diversified Financial Services — 1.1%
	1,231	Associates Corp. of North America, 6.950%, 11/01/18		1,456
	1,455	Bank of America N.A., 5.300%, 03/15/17		1,587
		Berkshire Hathaway, Inc.,
	1,387	3.400%, 01/31/22		1,449
	840	3.750%, 08/15/21		904
	725	Caisse Centrale Desjardins, (Canada),
		2.550%, 03/24/16 (e)		747
		CME Group, Inc.,
	1,230	3.000%, 09/15/22		1,237
	285	5.300%, 09/15/43		334


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Diversified Financial Services — continued
	400	Countrywide Financial Corp., 6.250%, 05/15/16		433
		General Electric Capital Corp.,
	167	1.000%, 12/11/15		168
	1,100	1.625%, 07/02/15		1,112
	750	2.300%, 04/27/17		771
	2,000	3.150%, 09/07/22		2,028
	650	4.625%, 01/07/21		728
	2,100	4.650%, 10/17/21		2,353
	191	5.300%, 02/11/21		219
	2,500	5.400%, 02/15/17		2,753
	1,785	5.500%, 01/08/20		2,061
	4,380	5.625%, 05/01/18		4,985
	330	5.875%, 01/14/38		410
	2,772	Series A, 6.750%, 03/15/32		3,731
		Intercontinental Exchange, Inc.,
	447	2.500%, 10/15/18		457
	884	4.000%, 10/15/23		940
	300	Murray Street Investment Trust I, SUB, 4.647%, 03/09/17		323
	290	National Rural Utilities Cooperative Finance Corp., 10.375%, 11/01/18		387
	550	Principal Life Global Funding I, 5.050%, 03/15/15 (e)		563
		Private Export Funding Corp.,
	5,000	Series EE, 2.800%, 05/15/22		5,112
	681	Series KK, 3.550%, 01/15/24		721
		Shell International Finance B.V., (Netherlands),
	212	1.125%, 08/21/17		212
	1,020	4.300%, 09/22/19		1,131
	1,005	4.375%, 03/25/20		1,123
	1,280	6.375%, 12/15/38		1,731
	300	Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)		330

				42,496

		Insurance — 1.0%
		ACE INA Holdings, Inc.,
	455	2.600%, 11/23/15		466
	410	5.600%, 05/15/15		424
	520	AIG SunAmerica Global Financing X, 6.900%, 03/15/32 (e)		710
	651	Allstate Corp. (The), 3.150%, 06/15/23		658
		American International Group, Inc.,
	471	4.125%, 02/15/24		501
	3,020	5.450%, 05/18/17		3,347


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Insurance — continued
		Aon Corp.,
	402	3.125%, 05/27/16		416
	346	3.500%, 09/30/15		357
	306	6.250%, 09/30/40		392
		Berkshire Hathaway Finance Corp.,
	404	1.300%, 05/15/18		399
	233	2.450%, 12/15/15		239
	1,111	2.900%, 10/15/20		1,142
	233	3.000%, 05/15/22		236
	748	4.300%, 05/15/43		766
	1,574	4.400%, 05/15/42		1,634
	1,810	5.400%, 05/15/18		2,047
	120	Chubb Corp. (The), 5.750%, 05/15/18		137
		CNA Financial Corp.,
	750	5.850%, 12/15/14		761
	798	5.875%, 08/15/20		925
	408	Liberty Mutual Group, Inc., 5.000%, 06/01/21 (e)		451
		Lincoln National Corp.,
	345	4.200%, 03/15/22		371
	253	4.850%, 06/24/21		283
	280	Massachusetts Mutual Life Insurance Co., 5.375%, 12/01/41 (e)		323
		MassMutual Global Funding II,
	1,500	2.000%, 04/05/17 (e)		1,529
	626	2.500%, 10/17/22 (e)		611
	540	3.125%, 04/14/16 (e)		561
		MetLife, Inc.,
	600	4.875%, 11/13/43		662
	555	Series A, 6.817%, 08/15/18		659
		Metropolitan Life Global Funding I,
	638	1.300%, 04/10/17 (e)		639
	604	1.700%, 06/29/15 (e)		611
	300	1.875%, 06/22/18 (e)		300
	820	2.500%, 09/29/15 (e)		838
	400	3.125%, 01/11/16 (e)		413
	1,900	3.650%, 06/14/18 (e)		2,028
	1,277	3.875%, 04/11/22 (e)		1,367
	1,750	Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e)		2,765
		New York Life Global Funding,
	740	0.750%, 07/24/15 (e)		743
	350	1.300%, 01/12/15 (e)		351
	951	2.150%, 06/18/19 (e)		956
	650	Pacific Life Global Funding, 5.000%, 05/15/17 (e)		700


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Insurance — continued
	570	Pacific Life Insurance Co., 9.250%, 06/15/39 (e)		898
	384	Pricoa Global Funding I, 1.600%, 05/29/18 (e)		381
	166	Principal Financial Group, Inc., 1.850%, 11/15/17		167
		Principal Life Global Funding II,
	304	1.000%, 12/11/15 (e)		305
	953	2.250%, 10/15/18 (e)		961
	1,750	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		2,388
	285	Travelers Cos., Inc. (The), 5.800%, 05/15/18		324

				38,142

		Real Estate Investment Trusts (REITs) — 0.3%
		American Tower Corp.,
	450	3.500%, 01/31/23		443
	567	5.000%, 02/15/24		613
	471	American Tower Trust I, 1.551%, 03/15/18 (e)		466
		Equity Commonwealth,
	600	5.875%, 09/15/20		652
	1,345	6.650%, 01/15/18		1,492
	608	ERP Operating LP, 4.625%, 12/15/21		675
		HCP, Inc.,
	492	2.625%, 02/01/20		491
	234	3.875%, 08/15/24		236
	230	4.200%, 03/01/24		237
	598	4.250%, 11/15/23		621
	970	5.375%, 02/01/21		1,101
	732	Health Care REIT, Inc., 4.500%, 01/15/24		772
	534	Prologis LP, 4.250%, 08/15/23		563
		Simon Property Group LP,
	917	2.150%, 09/15/17		941
	579	4.125%, 12/01/21		629
	32	4.200%, 02/01/15		32
	200	4.375%, 03/01/21		221
	685	6.100%, 05/01/16		737
	345	6.125%, 05/30/18		399

				11,321

		Total Financials		324,440

		Health Care — 0.7%
		Biotechnology — 0.3%
		Amgen, Inc.,
	491	3.625%, 05/22/24		499
	1,000	3.875%, 11/15/21		1,065
	237	4.500%, 03/15/20		260


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Biotechnology — continued
	500	4.950%, 10/01/41		538
	2,000	5.150%, 11/15/41		2,213
	265	5.650%, 06/15/42		315
	680	5.700%, 02/01/19		780
	720	5.750%, 03/15/40		862
		Celgene Corp.,
	1,336	3.250%, 08/15/22		1,356
	659	3.625%, 05/15/24		672

				8,560

		Health Care Equipment & Supplies — 0.0% (g)
		Baxter International, Inc.,
	286	1.850%, 06/15/18		287
	270	4.625%, 03/15/15		276
	100	Becton Dickinson and Co., 5.000%, 05/15/19		113

				676

		Health Care Providers & Services — 0.2%
		Aetna, Inc.,
	265	4.500%, 05/15/42		271
	440	6.750%, 12/15/37		594
	900	Express Scripts Holding Co., 3.500%, 06/15/24		904
	164	McKesson Corp., 0.950%, 12/04/15		165
	370	Medco Health Solutions, Inc., 2.750%, 09/15/15		378
		UnitedHealth Group, Inc.,
	173	2.750%, 02/15/23		169
	400	2.875%, 03/15/23		397
	1,050	3.375%, 11/15/21		1,096
	620	6.625%, 11/15/37		838
	353	Ventas Realty LP, 3.750%, 05/01/24		353
		WellPoint, Inc.,
	467	2.300%, 07/15/18		473
	615	3.125%, 05/15/22		616
	280	3.300%, 01/15/23		281
	500	4.625%, 05/15/42		508
	535	4.650%, 01/15/43		551
	648	4.650%, 08/15/44		670

				8,264

		Life Sciences Tools & Services — 0.0% (g)
		Thermo Fisher Scientific, Inc.,
	176	1.300%, 02/01/17		176
	687	4.150%, 02/01/24		726

				902


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Pharmaceuticals — 0.2%
		AbbVie, Inc.,
	992	1.750%, 11/06/17		997
	609	2.900%, 11/06/22		599
	937	Actavis Funding SCS, (Luxembourg), 3.850%, 06/15/24 (e)		948
	275	Actavis, Inc., 3.250%, 10/01/22		273
		GlaxoSmithKline Capital, Inc.,
	750	5.650%, 05/15/18		859
	530	6.375%, 05/15/38		699
		Merck & Co., Inc.,
	650	1.300%, 05/18/18		646
	474	2.400%, 09/15/22		461
	562	2.800%, 05/18/23		558
	560	Novartis Capital Corp., 3.400%, 05/06/24		576
	650	Pfizer, Inc., 3.000%, 06/15/23		657
		Zoetis, Inc.,
	193	1.875%, 02/01/18		193
	123	4.700%, 02/01/43		128

				7,594

		Total Health Care		25,996

		Industrials — 1.2%
		Aerospace & Defense — 0.2%
	557	Airbus Group Finance B.V., (Netherlands), 2.700%, 04/17/23 (e)		542
	400	BAE Systems Holdings, Inc., 6.375%, 06/01/19 (e)		468
	676	BAE Systems plc, (United Kingdom), 5.800%, 10/11/41 (e)		829
	200	Boeing Co. (The), 7.950%, 08/15/24		282
	415	Honeywell International, Inc., 5.300%, 03/01/18		469
		Lockheed Martin Corp.,
	387	2.125%, 09/15/16		397
	1,281	4.070%, 12/15/42		1,271
	292	4.850%, 09/15/41		323
	300	Northrop Grumman Systems Corp., 7.750%, 02/15/31		420
	215	Precision Castparts Corp., 0.700%, 12/20/15		215
		United Technologies Corp.,
	214	1.800%, 06/01/17		218
	681	3.100%, 06/01/22		695
	914	4.500%, 06/01/42		984
	1,261	6.125%, 02/01/19		1,482

				8,595


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Air Freight & Logistics — 0.0% (g)
		United Parcel Service of America, Inc.,
	355	8.375%, 04/01/20		463
	160	SUB, 8.375%, 04/01/30		239
	214	United Parcel Service, Inc., 2.450%, 10/01/22		209

				911

		Airlines — 0.1%
	430	Air Canada 2013-1 Class A Pass-Through Trust, (Canada), 4.125%, 05/15/25 (e)		437
	235	American Airlines 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21		255
	649	American Airlines 2013-2 Class A Pass-Through Trust, 4.950%, 01/15/23		700
	213	Continental Airlines 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20		241
	421	Continental Airlines 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22		470
	206	Continental Airlines 2012-2 Class A Pass-Through Trust, 4.000%, 10/29/24		211
	479	Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		514
	178	Delta Air Lines 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19		194
	432	Delta Air Lines 2012-1 Class A Pass-Through Trust, 4.750%, 05/07/20		469

				3,491

		Commercial Services & Supplies — 0.1%
		ADT Corp. (The),
	820	3.500%, 07/15/22		732
	264	4.125%, 06/15/23		245
	328	4.875%, 07/15/42		279
	200	Pitney Bowes, Inc., 5.600%, 03/15/18		221
	614	Republic Services, Inc., 3.550%, 06/01/22		641
		Waste Management, Inc.,
	214	4.750%, 06/30/20		239
	465	7.375%, 03/11/19		567

				2,924

		Construction & Engineering — 0.1%
		ABB Finance USA, Inc.,
	226	1.625%, 05/08/17		228
	292	2.875%, 05/08/22		292
	145	4.375%, 05/08/42		153
	789	Fluor Corp., 3.375%, 09/15/21		822

				1,495


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Electrical Equipment — 0.0% (g)
		Eaton Corp.,
	182	1.500%, 11/02/17		182
	170	4.000%, 11/02/32		173
	570	5.600%, 05/15/18		647
	300	7.625%, 04/01/24		387

				1,389

		Industrial Conglomerates — 0.1%
	667	Danaher Corp., 3.900%, 06/23/21		726
		General Electric Co.,
	212	2.700%, 10/09/22		209
	436	3.375%, 03/11/24		448
	539	Hutchison Whampoa International 12 II Ltd., (Cayman Islands), 3.250%, 11/08/22 (e)		538
	412	Ingersoll-Rand Global Holding Co., Ltd., 4.250%, 06/15/23		439
		Koninklijke Philips N.V., (Netherlands),
	970	3.750%, 03/15/22		1,026
	409	5.750%, 03/11/18		465
	130	7.200%, 06/01/26		166

				4,017

		Machinery — 0.1%
	164	Caterpillar, Inc., 2.600%, 06/26/22		161
		Deere & Co.,
	819	2.600%, 06/08/22		807
	346	3.900%, 06/09/42		342
		Illinois Tool Works, Inc.,
	400	3.500%, 03/01/24		417
	1,920	3.900%, 09/01/42		1,867
	290	Ingersoll-Rand Co., 6.391%, 11/15/27		354
	215	Parker Hannifin Corp., 5.500%, 05/15/18		243

				4,191

		Road & Rail — 0.5%
		Burlington Northern Santa Fe LLC,
	200	3.000%, 03/15/23		197
	522	3.050%, 03/15/22		527
	300	3.450%, 09/15/21		313
	136	3.600%, 09/01/20		144
	249	3.750%, 04/01/24		259
	375	4.375%, 09/01/42		378
	769	5.150%, 09/01/43		861
	1,000	5.400%, 06/01/41		1,165
	540	5.650%, 05/01/17		603
	335	5.750%, 03/15/18		381


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Road & Rail — continued
	425	5.750%, 05/01/40		516
	250	6.700%, 08/01/28		315
	250	Canadian Pacific Railway Co., (Canada), 7.125%, 10/15/31		341
		CSX Corp.,
	400	3.400%, 08/01/24		407
	191	4.100%, 03/15/44		187
	300	4.250%, 06/01/21		329
	575	5.500%, 04/15/41		677
	145	6.250%, 04/01/15		150
	215	7.375%, 02/01/19		261
	500	7.900%, 05/01/17		582
		ERAC USA Finance LLC,
	355	2.750%, 03/15/17 (e)		367
	559	4.500%, 08/16/21 (e)		612
	436	5.625%, 03/15/42 (e)		511
	350	6.375%, 10/15/17 (e)		400
	746	6.700%, 06/01/34 (e)		961
		Norfolk Southern Corp.,
	746	3.250%, 12/01/21		771
	595	3.950%, 10/01/42		574
	100	6.000%, 03/15/05 (†)		126
	1,776	6.000%, 05/23/11 (†††)		2,203
	365	7.700%, 05/15/17		426
	479	Penske Truck Leasing Co. LP/PTL Finance Corp., 2.875%, 07/17/18 (e)		493
		Ryder System, Inc.,
	484	2.500%, 03/01/17		499
	434	3.600%, 03/01/16		452
		Union Pacific Corp.,
	182	2.950%, 01/15/23		183
	838	3.646%, 02/15/24		877
	710	4.163%, 07/15/22		780
	200	4.300%, 06/15/42		207
	235	4.875%, 01/15/15		239

				19,274

		Total Industrials		46,287

		Information Technology — 1.2%
		Communications Equipment — 0.1%
		Cisco Systems, Inc.,
	197	2.900%, 03/04/21		202
	500	3.625%, 03/04/24		521
	988	5.500%, 02/22/16		1,060
	350	5.500%, 01/15/40		419


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Communications Equipment — continued
	755	5.900%, 02/15/39		943

				3,145

		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	219	3.000%, 03/01/18		226
	575	3.375%, 11/01/15		591
	190	4.500%, 03/01/23		199
	165	6.000%, 04/01/20		187
	500	6.875%, 06/01/18		574
	1,163	7.500%, 01/15/27		1,449

				3,226

		Internet Software & Services — 0.1%
		eBay, Inc.,
	375	2.600%, 07/15/22		364
	1,125	2.875%, 08/01/21		1,127
	500	3.450%, 08/01/24		503
	271	4.000%, 07/15/42		248

				2,242

		IT Services — 0.3%
		International Business Machines Corp.,
	409	1.250%, 02/06/17		412
	3,267	1.625%, 05/15/20		3,151
	2,600	5.700%, 09/14/17		2,942
	765	6.220%, 08/01/27		978
	1,075	7.625%, 10/15/18		1,319
		Xerox Corp.,
	271	2.950%, 03/15/17		282
	270	4.500%, 05/15/21		293
	610	5.625%, 12/15/19		698
	550	6.750%, 02/01/17		619

				10,694

		Semiconductors & Semiconductor Equipment — 0.1%
		Intel Corp.,
	772	3.300%, 10/01/21		806
	685	4.000%, 12/15/32		690
	1,460	National Semiconductor Corp., 6.600%, 06/15/17		1,675
	365	Texas Instruments, Inc., 1.650%, 08/03/19		358

				3,529

		Software — 0.2%
	470	Intuit, Inc., 5.750%, 03/15/17		521
		Microsoft Corp.,
	262	0.875%, 11/15/17		260


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Software — continued
	720	1.625%, 09/25/15		730
	384	2.125%, 11/15/22		370
	810	2.375%, 05/01/23		786
	1,155	3.625%, 12/15/23		1,223
	117	4.500%, 10/01/40		125
		Oracle Corp.,
	586	Series NOTE, 2.800%, 07/08/21		592
	1,000	3.625%, 07/15/23		1,046
	457	4.300%, 07/08/34		477
	500	5.000%, 07/08/19		567
	1,422	5.250%, 01/15/16		1,514
	813	5.750%, 04/15/18		930
	475	6.500%, 04/15/38		628

				9,769

		Technology Hardware, Storage & Peripherals — 0.3%
		Apple, Inc.,
	2,556	2.400%, 05/03/23		2,452
	2,364	2.850%, 05/06/21		2,407
	2,069	VAR, 0.489%, 05/03/18		2,071
	300	Dell, Inc., 7.100%, 04/15/28		305
		EMC Corp.,
	850	1.875%, 06/01/18		852
	1,000	3.375%, 06/01/23		1,014
		Hewlett-Packard Co.,
	282	4.300%, 06/01/21		303
	472	4.375%, 09/15/21		511
	201	4.650%, 12/09/21		222
	849	6.000%, 09/15/41		1,006

				11,143

		Total Information Technology		43,748

		Materials — 0.6%
		Chemicals — 0.4%
	500	CF Industries, Inc., 7.125%, 05/01/20		610
		Dow Chemical Co. (The),
	542	3.000%, 11/15/22		535
	470	4.125%, 11/15/21		503
	223	4.250%, 11/15/20		243
	200	5.250%, 11/15/41		223
	375	7.375%, 11/01/29		510
	73	8.550%, 05/15/19		93
		E.I. du Pont de Nemours & Co.,
	635	1.950%, 01/15/16		647
	350	4.900%, 01/15/41		386
	1,740	6.000%, 07/15/18		2,020


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Chemicals — continued
		Ecolab, Inc.,
	447	1.450%, 12/08/17		447
	150	5.500%, 12/08/41		176
		Monsanto Co.,
	664	2.750%, 07/15/21		667
	253	4.200%, 07/15/34		263
	278	4.700%, 07/15/64		288
		Mosaic Co. (The),
	280	3.750%, 11/15/21		293
	1,456	4.250%, 11/15/23		1,556
	79	4.875%, 11/15/41		82
	861	5.450%, 11/15/33		981
	347	5.625%, 11/15/43		401
	85	Potash Corp. of Saskatchewan, Inc., (Canada), 3.250%, 12/01/17		90
		PPG Industries, Inc.,
	114	5.500%, 11/15/40		137
	700	6.650%, 03/15/18		813
	355	9.000%, 05/01/21		467
	662	Praxair, Inc., 4.625%, 03/30/15		678
		Union Carbide Corp.,
	1,000	7.500%, 06/01/25		1,295
	850	7.750%, 10/01/96		1,109

				15,513

		Metals & Mining — 0.2%
		BHP Billiton Finance USA Ltd., (Australia),
	815	3.850%, 09/30/23		868
	410	5.400%, 03/29/17		454
	560	6.500%, 04/01/19		671
		Freeport-McMoRan, Inc.,
	1,329	2.150%, 03/01/17		1,354
	1,138	3.875%, 03/15/23		1,155
	299	5.450%, 03/15/43		323
	283	Nucor Corp., 4.000%, 08/01/23		296
	295	Placer Dome, Inc., (Canada), 6.450%, 10/15/35		334
		Rio Tinto Finance USA Ltd., (Australia),
	117	3.500%, 11/02/20		123
	550	3.750%, 09/20/21		586
	650	9.000%, 05/01/19		846
	393	Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17		398


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Metals & Mining — continued
	676	Teck Resources Ltd., (Canada), 4.750%, 01/15/22		716

				8,124

		Total Materials		23,637

		Telecommunication Services — 1.0%
		Diversified Telecommunication Services — 0.9%
		AT&T, Inc.,
	731	0.900%, 02/12/16		733
	840	3.900%, 03/11/24		880
	879	4.300%, 12/15/42		855
	462	4.350%, 06/15/45		450
	850	4.450%, 05/15/21		942
	375	5.350%, 09/01/40		419
	250	5.500%, 02/01/18		282
	2,700	6.300%, 01/15/38		3,372
	358	BellSouth Telecommunications LLC, 6.300%, 12/15/15		361
		British Telecommunications plc, (United Kingdom),
	200	2.000%, 06/22/15		202
	531	2.350%, 02/14/19		537
	150	9.625%, 12/15/30		242
	600	Centel Capital Corp., 9.000%, 10/15/19		727
		Deutsche Telekom International Finance B.V., (Netherlands),
	336	2.250%, 03/06/17 (e)		343
	232	4.875%, 03/06/42 (e)		247
	400	6.000%, 07/08/19		467
	325	8.607%, 06/15/30		486
	1,742	GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e)		1,783
	267	Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17		268
		Orange S.A., (France),
	560	2.750%, 09/14/16		579
	1,305	9.000%, 03/01/31		1,993
	741	Qwest Corp., 6.750%, 12/01/21		862
		Telefonica Emisiones S.A.U., (Spain),
	252	3.192%, 04/27/18		263
	319	5.134%, 04/27/20		355
	316	5.462%, 02/16/21		359
	207	5.877%, 07/15/19		239
	300	6.421%, 06/20/16		328
		Verizon Communications, Inc.,
	432	2.625%, 02/21/20 (e)		433


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Diversified Telecommunication Services — continued
	381	3.450%, 03/15/21		395
	938	4.150%, 03/15/24		993
	1,762	4.500%, 09/15/20		1,936
	4,762	4.862%, 08/21/46 (e)		4,991
	100	5.850%, 09/15/35		119
	980	6.400%, 09/15/33		1,237
	175	6.400%, 02/15/38		219
	500	Verizon New England, Inc., 7.875%, 11/15/29		648
		Verizon Pennsylvania LLC,
	750	6.000%, 12/01/28		830
	1,444	8.350%, 12/15/30		1,922
	500	8.750%, 08/15/31		685

				32,982

		Wireless Telecommunication Services — 0.1%
		America Movil S.A.B. de C.V., (Mexico),
	640	2.375%, 09/08/16		656
	592	3.125%, 07/16/22		587
	485	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		492
		Rogers Communications, Inc., (Canada),
	1,547	4.100%, 10/01/23		1,622
	400	8.750%, 05/01/32		578
		Vodafone Group plc, (United Kingdom),
	350	1.500%, 02/19/18		347
	1,200	1.625%, 03/20/17		1,208

				5,490

		Total Telecommunication Services		38,472

		Utilities — 1.6%
		Electric Utilities — 1.1%
	239	Alabama Power Co., 6.125%, 05/15/38		315
	286	American Electric Power Co., Inc., 1.650%, 12/15/17		287
		Arizona Public Service Co.,
	296	4.500%, 04/01/42		316
	467	5.050%, 09/01/41		541
	455	Baltimore Gas & Electric Co., 2.800%, 08/15/22		454
	1,025	Cleveland Electric Illuminating Co. (The), Series D, 7.880%, 11/01/17		1,220
	831	Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e)		900
	195	Connecticut Light & Power Co. (The), 5.650%, 05/01/18		222
	224	DTE Electric Co., 2.650%, 06/15/22		223


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Electric Utilities — continued
		Duke Energy Carolinas LLC,
	129	4.250%, 12/15/41		134
	660	5.100%, 04/15/18		740
	100	6.000%, 01/15/38		130
		Duke Energy Florida, Inc.,
	290	5.650%, 06/15/18		333
	245	6.400%, 06/15/38		334
	1,320	Duke Energy Indiana, Inc., 6.350%, 08/15/38		1,802
		Duke Energy Progress, Inc.,
	540	2.800%, 05/15/22		544
	273	4.100%, 05/15/42		277
	125	4.100%, 03/15/43		128
	325	5.300%, 01/15/19		370
		Electricite de France S.A., (France),
	770	2.150%, 01/22/19 (e)		776
	1,300	6.000%, 01/22/14 (e) (††††)		1,513
	950	Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)		1,057
		Florida Power & Light Co.,
	420	5.950%, 10/01/33		550
	350	5.950%, 02/01/38		455
	210	Georgia Power Co., 5.950%, 02/01/39		265
	229	Great Plains Energy, Inc., 4.850%, 06/01/21		254
		Hydro-Quebec, (Canada),
	350	Series IO, 8.050%, 07/07/24		489
	1,000	Series HY, 8.400%, 01/15/22		1,323
	100	Indiana Michigan Power Co., 7.000%, 03/15/19		121
	100	Jersey Central Power & Light Co., 7.350%, 02/01/19		120
	808	John Sevier Combined Cycle Generation LLC, 4.626%, 01/15/42		893
		Kansas City Power & Light Co.,
	403	3.150%, 03/15/23		407
	1,400	5.300%, 10/01/41		1,610
	125	MidAmerican Energy Co., 5.300%, 03/15/18		141
		Nevada Power Co.,
	55	5.375%, 09/15/40		67
	305	5.450%, 05/15/41		377
	720	6.500%, 08/01/18		846
	100	Series N, 6.650%, 04/01/36		136
		NextEra Energy Capital Holdings, Inc.,
	196	1.200%, 06/01/15		197
	371	2.400%, 09/15/19		373
	725	6.000%, 03/01/19		841
	300	7.875%, 12/15/15		327


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Electric Utilities — continued
	300	Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)		335
	510	Northern States Power Co., 6.250%, 06/01/36		690
	320	Ohio Power Co., 6.050%, 05/01/18		367
		Oncor Electric Delivery Co. LLC,
	840	6.800%, 09/01/18		992
	110	7.000%, 09/01/22		141
		Pacific Gas & Electric Co.,
	544	2.450%, 08/15/22		527
	71	3.250%, 09/15/21		73
	250	3.250%, 06/15/23		252
	217	4.450%, 04/15/42		225
	390	4.500%, 12/15/41		407
	810	5.625%, 11/30/17		913
	100	6.050%, 03/01/34		125
	160	8.250%, 10/15/18		199
		PacifiCorp,
	180	5.500%, 01/15/19		206
	150	5.650%, 07/15/18		172
		PECO Energy Co.,
	350	2.375%, 09/15/22		341
	175	5.350%, 03/01/18		196
	1,085	Potomac Electric Power Co., 6.500%, 11/15/37		1,471
	673	Progress Energy, Inc., 3.150%, 04/01/22		683
		Public Service Co. of Colorado,
	250	2.250%, 09/15/22		241
	90	3.200%, 11/15/20		93
	125	5.800%, 08/01/18		143
	2,490	Public Service Co. of Oklahoma, Series G, 6.625%, 11/15/37		3,335
		Public Service Electric & Gas Co.,
	210	5.300%, 05/01/18		237
	317	5.375%, 11/01/39		388
	65	South Carolina Electric & Gas Co., 4.500%, 06/01/64		67
		Southern California Edison Co.,
	318	Series C, 3.500%, 10/01/23		333
	175	4.150%, 09/15/14		175
	785	5.500%, 08/15/18		895
	200	Series 08-A, 5.950%, 02/01/38		257
	1,185	6.050%, 03/15/39		1,552
	363	Southern Co. (The), 1.950%, 09/01/16		371
	570	Southwestern Public Service Co., Series G, 8.750%, 12/01/18		722


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Electric Utilities — continued
	312	State Grid Overseas Investment Ltd., (United Kingdom), 1.750%, 05/22/18 (e)		307
		Virginia Electric and Power Co.,
	64	3.450%, 02/15/24		66
	1,415	5.400%, 04/30/18		1,600
	630	5.950%, 09/15/17		717
		Wisconsin Electric Power Co.,
	21	2.950%, 09/15/21		21
	275	6.250%, 12/01/15		294
		Xcel Energy, Inc.,
	162	0.750%, 05/09/16		162
	92	4.800%, 09/15/41		102
	200	6.500%, 07/01/36		267

				43,068

		Gas Utilities — 0.0% (g)
		Atmos Energy Corp.,
	828	4.150%, 01/15/43		852
	375	8.500%, 03/15/19		476
	308	Boston Gas Co., 4.487%, 02/15/42 (e)		323
	335	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		383

				2,034

		Independent Power & Renewable Electricity Producers — 0.1%
		Exelon Generation Co. LLC,
	1,020	4.000%, 10/01/20		1,076
	235	5.750%, 10/01/41		266
		PSEG Power LLC,
	442	4.300%, 11/15/23		467
	772	5.125%, 04/15/20		862
	202	Southern Power Co., 5.150%, 09/15/41		229

				2,900

		Multi-Utilities — 0.4%
		AGL Capital Corp.,
	563	3.500%, 09/15/21		590
	208	4.400%, 06/01/43		214
	1,445	5.875%, 03/15/41		1,820
	1,243	6.375%, 07/15/16		1,359
	596	Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40		737
		Consumers Energy Co.,
	216	2.850%, 05/15/22		218
	130	5.650%, 04/15/20		152


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Corporate Bonds — continued
		Multi-Utilities — continued
	235	Delmarva Power & Light Co., 4.000%, 06/01/42		235
		Dominion Resources, Inc.,
	920	Series F, 5.250%, 08/01/33		1,057
	300	7.000%, 06/15/38		414
	600	8.875%, 01/15/19		765
	289	DTE Energy Co., Series F, 3.850%, 12/01/23		303
		NiSource Finance Corp.,
	370	3.850%, 02/15/23		384
	360	4.450%, 12/01/21		390
	1,256	5.800%, 02/01/42		1,460
		San Diego Gas & Electric Co.,
	379	3.950%, 11/15/41		382
	275	6.000%, 06/01/26		344
		Sempra Energy,
	350	2.875%, 10/01/22		348
	236	3.550%, 06/15/24		241
	1,013	4.050%, 12/01/23		1,082
	1,150	6.150%, 06/15/18		1,329
	180	6.500%, 06/01/16		197
	460	9.800%, 02/15/19		605

				14,626

		Total Utilities		62,628

		Total Corporate Bonds (Cost $664,804)		717,115

	Foreign Government Securities — 1.3%
		Federative Republic of Brazil, (Brazil),
	825	4.250%, 01/07/25		856
	472	5.000%, 01/27/45		484
		Israel Government AID Bond, (Israel),
	20,000	Zero Coupon, 03/15/18		18,923
	1,500	Zero Coupon, 11/01/23		1,155
	1,500	Zero Coupon, 11/01/24		1,110
	1,000	5.500%, 09/18/33		1,293
	1,776	Series 6-Z, Zero Coupon, 02/15/22		1,467
		Province of Ontario, (Canada),
	1,387	1.650%, 09/27/19		1,365
	700	2.700%, 06/16/15		714
	2,220	2.950%, 02/05/15		2,245
	377	Province of Quebec, (Canada), Series A, SUB, 7.365%, 03/06/26		513
	1,133	Republic of Poland, (Poland), 4.000%, 01/22/24		1,188
		Republic of South Africa, (South Africa),
	1,436	5.375%, 07/24/44		1,499


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	640		5.875%, 09/16/25		724
			Republic of Turkey, (Turkey),
	719		5.750%, 03/22/24		798
	351		6.625%, 02/17/45		420
	5,000		Tunisia Government AID Bond, (Tunisia), 1.686%, 07/16/19		4,977
			United Mexican States, (Mexico),
	2,030		3.500%, 01/21/21		2,111
	1,732		4.000%, 10/02/23		1,838
	120		4.750%, 03/08/44		126
	4,913		5.550%, 01/21/45		5,748

			Total Foreign Government Securities (Cost $47,752)		49,554

	Mortgage Pass-Through Securities — 14.8%
			Federal Home Loan Mortgage Corp.,
	28		ARM, 2.089%, 07/01/19		28
	412		ARM, 2.125%, 10/01/36		437
	106		ARM, 2.220%, 10/01/36		111
	354		ARM, 2.226%, 12/01/36		377
	399		ARM, 2.290%, 11/01/36		425
	881		ARM, 2.304%, 04/01/34		937
	964		ARM, 2.309%, 03/01/37		1,029
	35		ARM, 2.314%, 04/01/30		37
	255		ARM, 2.348%, 02/01/36		273
	540		ARM, 2.355%, 12/01/33		577
	609		ARM, 2.375%, 05/01/36 - 11/01/36		651
	187		ARM, 2.505%, 02/01/37		201
	352		ARM, 2.693%, 12/01/34		376
	562		ARM, 2.785%, 10/01/36		602
	328		ARM, 3.473%, 07/01/36		342
	502		ARM, 3.555%, 02/01/36		533
	1,726		ARM, 4.000%, 07/01/40		1,836
	474		ARM, 5.045%, 01/01/35		499
			Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	—	(h)	4.000%, 05/01/19		—	(h)
	107		4.500%, 08/01/18		113
	269		5.000%, 12/01/18		284
	2,455		5.500%, 06/01/17 - 01/01/24		2,706
	40		6.000%, 04/01/18		42
	324		6.500%, 08/01/16 - 02/01/19		339
	3		7.000%, 04/01/17		3
	—	(h)	7.500%, 10/01/14		—	(h)
	—	(h)	8.500%, 11/01/15		—	(h)


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Mortgage Pass-Through Securities — continued
		Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	2,674	3.500%, 01/01/32 - 03/01/32		2,801
	95	6.000%, 12/01/22		106
	278	6.500%, 11/01/22		313
		Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	4,436	3.500%, 04/01/43		4,564
	1,253	4.000%, 09/01/35		1,330
	5,561	4.500%, 05/01/41		6,037
	4,828	5.000%, 09/01/34 - 08/01/40		5,337
	1,860	5.500%, 10/01/33 - 07/01/35		2,072
	340	6.000%, 12/01/33 - 01/01/34		387
	1,704	6.500%, 11/01/34 - 11/01/36		1,940
	532	7.000%, 07/01/32 - 10/01/36		588
	631	Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30		718
		Federal Home Loan Mortgage Corp. Gold Pools, Other,
	2,877	3.000%, 03/01/33		2,956
	23,943	3.500%, 10/01/32 - 06/01/43		24,805
	9,301	4.000%, 01/01/32 - 01/01/43		9,911
	396	5.500%, 10/01/33 - 01/01/34		430
	577	6.000%, 02/01/33		626
	58	7.000%, 07/01/29		64
		Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	1	12.000%, 08/01/15 - 07/01/19		1
		Federal National Mortgage Association,
	67	ARM, 1.688%, 09/01/34		70
	984	ARM, 1.784%, 01/01/33		1,043
	689	ARM, 1.788%, 07/01/33		749
	593	ARM, 1.834%, 05/01/35		632
	7	ARM, 1.875%, 03/01/19		7
	1,704	ARM, 1.899%, 01/01/35		1,793
	1,311	ARM, 1.910%, 09/01/35		1,382
	444	ARM, 1.921%, 11/01/34		473
	597	ARM, 1.940%, 07/01/36		637
	5	ARM, 1.973%, 01/01/19		5
	297	ARM, 2.038%, 04/01/34		312
	998	ARM, 2.046%, 11/01/34		1,054
	621	ARM, 2.120%, 01/01/35		659
	956	ARM, 2.124%, 06/01/35		1,017
	315	ARM, 2.135%, 08/01/34		340
	279	ARM, 2.142%, 01/01/36		296
	169	ARM, 2.143%, 09/01/35		181
	180	ARM, 2.170%, 07/01/34		192


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	774	ARM, 2.175%, 10/01/34		825
	486	ARM, 2.180%, 10/01/34		518
	286	ARM, 2.189%, 09/01/34		305
	259	ARM, 2.199%, 02/01/35		276
	170	ARM, 2.220%, 05/01/35		180
	230	ARM, 2.248%, 06/01/36		246
	20	ARM, 2.262%, 04/01/34		20
	596	ARM, 2.267%, 08/01/34		635
	296	ARM, 2.277%, 07/01/33 - 11/01/33		305
	210	ARM, 2.295%, 01/01/34		224
	606	ARM, 2.321%, 07/01/33		646
	478	ARM, 2.335%, 05/01/34		512
	1,631	ARM, 2.338%, 04/01/35		1,737
	395	ARM, 2.354%, 04/01/35		424
	205	ARM, 2.428%, 01/01/38		220
	443	ARM, 2.475%, 09/01/33		472
	295	ARM, 2.505%, 10/01/34		317
	67	ARM, 2.614%, 09/01/27		71
	634	ARM, 2.692%, 10/01/36		682
	106	ARM, 2.750%, 02/01/34		106
	72	ARM, 2.875%, 01/01/36		72
	49	ARM, 3.705%, 03/01/29		52
	2,000	3.760%, 11/01/23		2,155
		Federal National Mortgage Association, 15 Year, Single Family,
	617	3.500%, 09/01/18 - 07/01/19		653
	376	4.000%, 08/01/18 - 10/01/18		398
	1,994	4.500%, 06/01/18 - 12/01/19		2,120
	719	5.000%, 06/01/18 - 08/01/24		776
	680	5.500%, 03/01/20 - 07/01/20		721
	4,200	6.000%, 06/01/16 - 01/01/24		4,595
	176	6.500%, 03/01/17 - 08/01/20		185
	161	7.000%, 03/01/17 - 09/01/17		169
	3	7.500%, 03/01/17		3
	1	8.000%, 11/01/15		1
		Federal National Mortgage Association, 20 Year, Single Family,
	1,555	3.500%, 08/01/32		1,632
	108	4.500%, 04/01/24		116
	1,019	6.500%, 05/01/22 - 04/01/25		1,149
		Federal National Mortgage Association, 30 Year, FHA/VA,
	80	6.000%, 09/01/33		88
	1,022	6.500%, 03/01/29 - 08/01/39		1,134
	17	7.000%, 02/01/33		19
	48	8.000%, 06/01/28		55


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
Mortgage Pass-Through Securities — continued
	14		9.000%, 05/01/18 - 12/01/25		15
			Federal National Mortgage Association, 30 Year, Single Family,
	356		4.500%, 11/01/33 - 02/01/35		386
	1,398		5.000%, 07/01/33 - 09/01/35		1,557
	1,870		5.500%, 09/01/31 - 03/01/34		2,112
	2,355		6.000%, 12/01/28 - 09/01/37		2,680
	1,093		6.500%, 11/01/29 - 08/01/31		1,252
	907		7.000%, 01/01/24 - 01/01/39		1,008
	356		7.500%, 08/01/36 - 11/01/37		391
	559		8.000%, 03/01/27 - 11/01/28		668
	1		9.000%, 04/01/26		1
	13		9.500%, 07/01/28		14
	—	(h)	12.500%, 01/01/16		—	(h)
			Federal National Mortgage Association, Other,
	1,453		VAR, 0.515%, 01/01/23		1,466
	2,902		VAR, 0.545%, 01/01/23		2,927
	4,931		VAR, 0.615%, 11/01/23		4,971
	4,000		VAR, 0.625%, 12/01/23		4,030
	3,000		VAR, 0.645%, 11/01/23		3,000
	952		VAR, 0.955%, 03/01/22		952
	2,408		VAR, 6.070%, 11/01/18		2,598
	2,000		1.690%, 12/01/19		1,957
	3,450		1.792%, 05/01/20		3,396
	3,917		1.808%, 06/01/20		3,854
	1,997		1.940%, 07/01/19		2,002
	1,500		2.066%, 12/01/20		1,470
	12,000		2.077%, 06/01/20		12,012
	4,569		2.097%, 08/01/19		4,580
	5,407		2.190%, 09/01/21 - 12/01/22		5,255
	1,987		2.211%, 04/01/19		2,016
	1,464		2.221%, 04/01/19		1,477
	3,971		2.283%, 12/01/22		3,881
	5,360		2.390%, 12/01/22		5,289
	5,389		2.418%, 12/01/22		5,306
	1,953		2.428%, 05/01/23		1,912
	3,375		2.449%, 11/01/22		3,335
	3,000		2.459%, 12/01/22		2,965
	3,500		2.480%, 12/01/22		3,461
	5,607		2.490%, 10/01/17		5,791
	2,940		2.500%, 06/01/23		2,886
	4,000		2.531%, 11/01/22		3,976
	2,903		2.542%, 02/01/23		2,874
	1,468		2.593%, 06/01/23		1,452
	6,955		2.604%, 10/01/22 - 05/01/23		6,874
	3,000		2.670%, 07/01/22		3,022


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	6,776	2.690%, 10/01/17		7,044
	3,363	2.703%, 04/01/23		3,380
	4,955	2.808%, 07/01/23		5,035
	3,214	2.841%, 03/01/22		3,197
	1,565	2.862%, 05/01/22		1,593
	3,740	2.970%, 11/01/18		3,897
	7,289	3.000%, 02/01/22 - 01/01/43		7,424
	1,444	3.038%, 05/01/22		1,484
	5,939	3.050%, 04/01/22		6,148
	6,986	3.070%, 01/01/22		7,249
	4,500	3.079%, 07/01/22		4,635
	2,000	3.120%, 01/01/22		2,082
	2,732	3.160%, 02/01/22		2,854
	1,831	3.224%, 05/01/22		1,904
	9,714	3.230%, 11/01/20		10,221
	1,458	3.255%, 12/01/21		1,525
	2,203	3.260%, 01/01/22		2,317
	1,974	3.290%, 10/01/20		2,083
	3,904	3.306%, 02/01/22		4,086
	943	3.375%, 11/01/20		1,002
	1,962	3.461%, 11/01/20		2,077
	48,128	3.500%, 12/01/32 - 08/01/43		49,634
	2,000	3.503%, 08/01/17		2,113
	1,925	3.520%, 01/01/18		2,047
	1,441	3.544%, 09/01/20		1,530
	2,500	3.590%, 08/01/23		2,687
	2,836	3.600%, 09/01/20		3,037
	7,394	3.621%, 09/01/20		7,881
	4,881	3.658%, 10/01/20		5,212
	1,500	3.690%, 11/01/23		1,608
	4,571	3.730%, 07/01/22		4,920
	1,879	3.740%, 07/01/20		2,025
	3,000	3.760%, 10/01/23		3,229
	972	3.761%, 01/01/25		1,026
	5,000	3.792%, 07/01/23		5,356
	2,915	3.802%, 09/01/20		3,134
	3,000	3.895%, 09/01/21		3,236
	2,869	3.906%, 09/01/21		3,104
	6,679	3.916%, 09/01/21		7,231
	1,943	3.930%, 07/01/20		2,111
	4,667	3.947%, 06/01/17		4,952
	4,750	3.980%, 11/01/16		4,798
	1,540	3.999%, 01/01/21		1,672
	9,407	4.000%, 10/01/32 - 07/01/42		9,984
	5,000	4.019%, 09/01/21		5,436
	1,984	4.061%, 01/01/21		2,159


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Mortgage Pass-Through Securities — continued
	7,954	4.081%, 07/01/20 - 07/01/21		8,675
	1,410	4.130%, 07/01/20		1,546
	2,380	4.250%, 04/01/21		2,640
	1,654	4.257%, 04/01/20		1,813
	4,438	4.267%, 11/01/19 - 08/01/21		4,870
	2,096	4.290%, 06/01/20		2,314
	1,346	4.302%, 01/01/21		1,495
	1,439	4.317%, 07/01/21		1,599
	1,457	4.350%, 04/01/20		1,612
	944	4.368%, 04/01/20		1,048
	1,936	4.369%, 02/01/20		2,140
	1,429	4.380%, 01/01/21		1,587
	1,866	4.381%, 11/01/19		2,048
	1,981	4.390%, 05/01/21		2,205
	2,000	4.391%, 04/01/21		2,218
	2,000	4.402%, 07/01/21		2,217
	2,396	4.443%, 08/01/20 - 04/01/21		2,648
	2,106	4.474%, 04/01/21		2,341
	5,000	4.484%, 06/01/21		5,539
	917	4.500%, 03/01/20		1,013
	6,440	4.514%, 12/01/19		7,166
	4,226	4.540%, 01/01/20		4,675
	2,000	4.546%, 02/01/20		2,216
	2,870	4.629%, 02/01/21		3,205
	3,839	4.794%, 01/01/21		4,315
	1,878	5.414%, 07/01/19		2,123
	413	5.500%, 03/01/17 - 09/01/33		450
	1,170	6.000%, 09/01/37 - 06/01/39		1,273
	350	6.500%, 01/01/36 - 07/01/36		394
	61	7.000%, 10/01/46		67
	49	10.561%, 04/15/19		55
		Government National Mortgage Association II, 30 Year, Single Family,
	303	4.500%, 08/20/33		332
	3,131	6.000%, 09/20/38		3,524
	61	7.500%, 02/20/28 - 09/20/28		73
	96	8.000%, 12/20/25 - 09/20/28		113
	31	8.500%, 05/20/25		36
		Government National Mortgage Association II, Other,
	10,107	4.375%, 06/20/63		10,941
	10,415	4.433%, 05/20/63		11,418
	3,088	4.462%, 05/20/63		3,389
	2,055	4.479%, 04/20/63		2,231


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Government National Mortgage Association, 15 Year, Single Family,
	44	6.500%, 06/15/17		45
	18	8.000%, 01/15/16		19
		Government National Mortgage Association, 30 Year, Single Family,
	313	6.500%, 03/15/28 - 04/15/33		358
	188	7.000%, 02/15/33 - 06/15/33		213
	43	7.500%, 11/15/22 - 09/15/28		48
	16	8.000%, 09/15/22 - 08/15/28		17
	2	9.000%, 12/15/16		2
	572	9.500%, 10/15/24		643

		Total Mortgage Pass-Through Securities (Cost $554,075)		566,739

	Municipal Bonds — 0.3% (t)
		California — 0.0% (g)
	440	Los Angeles City Department of Airports, International Airport, Series C, Rev., 6.582%, 05/15/39		562
	350	State of California, Various Purpose, GO, 7.300%, 10/01/39		506

				1,068

		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, General Purpose, Series D, 5.600%, 03/15/40		448
	2,500	Port Authority of New York & New Jersey, Consolidated, Rev., 4.458%, 10/01/62		2,628
	1,825	Port Authority of New York & New Jersey, Consolidated 164, Rev., 5.647%, 11/01/40		2,287

				5,363

		Ohio — 0.1%
	1,315	American Municipal Power, Inc., Meldahl Hydroelectric Project, Series B, Rev., 7.499%, 02/15/50		1,877
	1,563	Ohio State University, General Receipts, Series A, Rev., 4.800%, 06/01/11 (†††)		1,690

				3,567

		Total Municipal Bonds (Cost $8,733)		10,157

	Supranational — 0.1%
	3,000	African Development Bank, 8.800%, 09/01/19		3,822


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Supranational — continued
	641	Corp. Andina de Fomento, 3.750%, 01/15/16		665

		Total Supranational (Cost $4,435)		4,487

	U.S. Government Agency Securities — 2.4%
	1,525	Federal Home Loan Bank, 5.500%, 07/15/36		2,021
	6,000	Federal National Mortgage Association, Zero Coupon, 06/01/17		5,827
		Financing Corp. Fico,
	4,500	Zero Coupon, 05/11/18		4,250
	2,000	Zero Coupon, 04/05/19		1,839
	1,240	Zero Coupon, 09/26/19		1,122
		Government Trust Certificate,
	4,000	Zero Coupon, 10/01/15		3,954
	5,000	Zero Coupon, 04/01/16		4,899
	13,319	Zero Coupon, 10/01/19		11,647
		Residual Funding Corp. STRIPS,
	7,300	Zero Coupon, 10/15/19		6,609
	30,450	Zero Coupon, 07/15/20		26,880
	12,930	Zero Coupon, 10/15/20		11,311
		Tennessee Valley Authority,
	304	4.625%, 09/15/60		339
	3,521	5.250%, 09/15/39		4,389
	1,115	5.880%, 04/01/36		1,489
		Tennessee Valley Authority STRIPS,
	2,000	Zero Coupon, 05/01/19		1,819
	5,000	Zero Coupon, 11/01/25		3,483
	800	Zero Coupon, 06/15/35		360

		Total U.S. Government Agency Securities (Cost $91,597)		92,238

	U.S. Treasury Obligations — 26.3%
		U.S. Treasury Bonds,
	200	4.250%, 05/15/39		244
	4,900	4.375%, 02/15/38		6,077
	7,575	4.500%, 02/15/36		9,550
	1,300	4.500%, 05/15/38		1,642
	1,750	4.500%, 08/15/39		2,219
	1,500	4.750%, 02/15/37		1,957
	15,370	5.000%, 05/15/37		20,721
	850	5.250%, 02/15/29		1,114
	1,250	5.375%, 02/15/31		1,686
	750	6.125%, 11/15/27		1,049
	300	6.125%, 08/15/29		428
	2,506	6.250%, 08/15/23		3,326
	900	6.250%, 05/15/30		1,310
	525	6.625%, 02/15/27		756
	4,690	7.500%, 11/15/16		5,393


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	1,881	7.875%, 02/15/21		2,566
	864	8.125%, 05/15/21		1,201
	1,845	8.500%, 02/15/20		2,499
	7,000	8.750%, 08/15/20		9,742
	20,115	8.875%, 08/15/17		24,754
		U.S. Treasury Coupon STRIPS,
	19,751	1.523%, 08/15/16 (n)		19,535
	17,000	1.821%, 05/15/21 (n)		14,783
	8,400	1.859%, 05/15/18 (n)		7,998
	2,000	2.026%, 02/15/18 (n)		1,916
	2,435	2.051%, 02/15/20 (n)		2,203
	17,095	2.271%, 02/15/21 (n)		14,998
	500	2.486%, 11/15/23 (n)		399
	15,768	2.502%, 02/15/22 (n)		13,368
	1,300	2.540%, 08/15/23 (n)		1,047
	1,500	2.572%, 05/15/22 (n)		1,261
	15,200	2.621%, 05/15/23 (n)		12,343
	4,800	2.631%, 08/15/22 (n)		4,003
	15,025	2.705%, 11/15/21 (n)		12,846
	38,935	2.948%, 08/15/20 (n)		34,655
	1,592	3.046%, 08/15/26 (n)		1,152
	17,577	3.057%, 05/15/19 (n)		16,259
	800	3.058%, 05/15/35 (n)		420
	6,100	3.205%, 08/15/21 (n)		5,262
	5,600	3.280%, 05/15/28 (n)		3,789
	27,150	3.288%, 11/15/26 (n)		19,464
	4,250	3.303%, 02/15/32 (n)		2,506
	50,504	3.335%, 05/15/20 (n)		45,331
	1,650	3.366%, 08/15/34 (n)		890
	3,350	3.449%, 08/15/32 (n)		1,939
	3,000	3.471%, 05/15/31 (n)		1,818
	8,300	3.478%, 11/15/27 (n)		5,726
	20,432	3.545%, 02/15/23 (n)		16,729
	28,300	3.574%, 02/15/27 (n)		20,100
	8,650	3.580%, 11/15/31 (n)		5,147
	10,550	3.609%, 05/15/32 (n)		6,165
	1,600	3.675%, 08/15/29 (n)		1,033
	4,805	3.721%, 02/15/29 (n)		3,159
	21,411	3.722%, 08/15/17 (n)		20,793
	8,000	3.748%, 02/15/31 (n)		4,891
	22,360	3.807%, 08/15/19 (n)		20,544
	18,741	3.841%, 08/15/18 (n)		17,724
	7,140	3.936%, 11/15/32 (n)		4,098
	4,500	3.964%, 08/15/31 (n)		2,701
	2,500	4.024%, 02/15/33 (n)		1,422
	6,400	4.044%, 05/15/30 (n)		4,020


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
U.S. Treasury Obligations — continued
	20,736	4.199%, 02/15/17 (n)		20,339
	600	4.239%, 08/15/24 (n)		467
	600	4.275%, 02/15/26 (n)		443
	11,150	4.282%, 05/15/33 (n)		6,285
	2,200	4.295%, 11/15/24 (n)		1,697
	2,800	4.321%, 05/15/34 (n)		1,524
	4,750	4.445%, 11/15/33 (n)		2,630
	1,650	4.489%, 11/15/29 (n)		1,055
	9,925	4.517%, 11/15/30 (n)		6,128
	100	4.646%, 08/15/35 (n)		52
	6,675	4.673%, 08/15/27 (n)		4,651
	8,860	4.674%, 02/15/28 (n)		6,053
	1,200	4.832%, 02/15/35 (n)		636
	5,000	4.838%, 02/15/34 (n)		2,744
	22,839	4.964%, 11/15/17 (n)		22,020
	3,050	5.003%, 08/15/33 (n)		1,703
	22,100	5.078%, 02/15/30 (n)		14,019
	8,200	5.279%, 08/15/30 (n)		5,104
	1,500	5.464%, 05/15/26 (n)		1,095
	2,500	5.499%, 11/15/28 (n)		1,660
	2,550	5.536%, 05/15/27 (n)		1,794
	200	5.594%, 05/15/24 (n)		157
	13,857	5.613%, 11/15/16 (n)		13,659
	3,000	5.714%, 08/15/28 (n)		2,011
	17,230	5.772%, 02/15/15 (n)		17,223
	3,595	6.321%, 05/15/15 (n)		3,592
	46,801	6.340%, 02/15/16 (n)		46,574
	2,049	6.360%, 08/15/15 (n)		2,046
	14,257	6.406%, 11/15/15 (n)		14,225
	13,056	7.051%, 11/15/14 (n)		13,054
		U.S. Treasury Inflation Indexed Bonds,
	300	2.500%, 01/15/29		425
	799	3.625%, 04/15/28		1,668
		U.S. Treasury Inflation Indexed Notes,
	1,000	0.500%, 04/15/15		1,105
	1,000	1.125%, 01/15/21		1,168
	630	1.375%, 07/15/18		750
		U.S. Treasury Notes,
	8,000	0.750%, 12/31/17		7,900
	3,560	0.875%, 01/31/18		3,526
	1,500	1.000%, 06/30/19		1,456
	4,510	1.000%, 11/30/19		4,348
	31,250	1.250%, 10/31/18		31,003
	11,635	1.375%, 11/30/18		11,595
	7,400	1.500%, 08/31/18		7,432
	10,000	2.000%, 02/15/22		9,937


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	12,245	2.125%, 12/31/15		12,550
	7,500	2.125%, 08/31/20		7,605
	1,000	2.125%, 01/31/21		1,010
	36,000	2.125%, 08/15/21		36,211
	10,000	2.250%, 07/31/18		10,341
	21,972	2.625%, 12/31/14		22,157
	1,000	2.625%, 02/29/16		1,034
	4,575	2.625%, 04/30/16		4,744
	9,300	2.625%, 01/31/18		9,750
	700	2.625%, 08/15/20		730
	2,300	2.625%, 11/15/20		2,395
	17,985	2.750%, 05/31/17		18,903
	2,000	2.750%, 12/31/17		2,105
	9,000	3.125%, 10/31/16		9,487
	6,015	3.125%, 04/30/17		6,379
	11,638	3.125%, 05/15/19		12,449
	7,250	3.125%, 05/15/21		7,773
	15,700	3.250%, 12/31/16		16,632
	12,300	3.250%, 03/31/17		13,070
	2,600	3.500%, 02/15/18		2,803
	450	3.500%, 05/15/20		492
	7,000	3.625%, 02/15/21		7,719
	2,500	3.750%, 11/15/18		2,737
	10,000	4.000%, 02/15/15		10,177
		U.S. Treasury Principal STRIPS,
	16,180	Zero Coupon, 02/15/15		16,174
	1,000	Zero Coupon, 05/15/16		993

		Total U.S. Treasury Obligations (Cost $955,567)		1,006,044

	Loan Assignments — 0.3%
		Financials — 0.3%
		Real Estate Management & Development — 0.3%
	1,657	Fiveten Group Holdings Ltd., Revolving Loan, (United Kingdom), VAR, 4.500%, 04/10/15 (i)		1,648
	2,017	Invitation Homes, Revolving Loan, VAR, 3.750%, 03/15/15 (i)		2,007
	5,974	Progress Residential LP, Revolving Loan, VAR, 4.000%, 09/04/15 (i)		5,944
	4,193	Tricon Capital Group Inc., Revolving Loan, (Canada), VAR, 4.100%, 06/13/15 (i)		4,172

		Total Loan Assignments (Cost $13,840)		13,771


SHARES			VALUE($)
	Short-Term Investment — 2.5%
		Investment Company — 2.5%
	95,077	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.030% (b) (l) (m) (Cost $95,077)		95,077

		Total Investments — 99.6% (Cost $3,632,603)		3,806,531
		Other Assets in Excess of Liabilities — 0.4%		13,808

		NET ASSETS — 100.0%	$	3,820,339

Percentages indicated are based on net assets.


SHARES			SECURITY DESCRIPTION	VALUE($)

	Common Stocks — 98.6%
			Consumer Discretionary — 11.7%
			Auto Components — 0.4%
	5		BorgWarner, Inc.		298
	6		Delphi Automotive plc, (United Kingdom)		402
	6		Goodyear Tire & Rubber Co. (The)		150
	14		Johnson Controls, Inc.		679

					1,529

			Automobiles — 0.7%
	83		Ford Motor Co.		1,442
	28		General Motors Co.		958
	5		Harley-Davidson, Inc.		291

					2,691

			Distributors — 0.1%
	3		Genuine Parts Co.		282

			Diversified Consumer Services — 0.1%
	—	(h)	Graham Holdings Co., Class B		68
	6		H&R Block, Inc.		193

					261

			Hotels, Restaurants & Leisure — 1.6%
	9		Carnival Corp.		348
	1		Chipotle Mexican Grill, Inc. (a)		442
	3		Darden Restaurants, Inc.		131
	5		Marriott International, Inc., Class A		319
	21		McDonald’s Corp.		1,940
	16		Starbucks Corp.		1,227
	4		Starwood Hotels & Resorts Worldwide, Inc.		340
	3		Wyndham Worldwide Corp.		216
	2		Wynn Resorts Ltd.		327
	9		Yum! Brands, Inc.		669

					5,959

			Household Durables — 0.4%
	7		D.R. Horton, Inc.		146
	3		Garmin Ltd., (Switzerland)		140
	1		Harman International Industries, Inc.		164
	3		Leggett & Platt, Inc.		102
	4		Lennar Corp., Class A		144
	1		Mohawk Industries, Inc. (a)		187
	6		Newell Rubbermaid, Inc.		194
	7		PulteGroup, Inc.		137
	2		Whirlpool Corp.		249

					1,463

			Internet & Catalog Retail — 1.3%
	8		Amazon.com, Inc. (a)		2,647
	2		Expedia, Inc.		185


SHARES		SECURITY DESCRIPTION	VALUE($)


		Internet & Catalog Retail — continued
	1	Netflix, Inc. (a)		599
	1	Priceline Group, Inc. (The) (a)		1,366
	2	TripAdvisor, Inc. (a)		231

				5,028

		Leisure Products — 0.1%
	2	Hasbro, Inc.		127
	7	Mattel, Inc.		245

				372

		Media — 3.5%
	5	Cablevision Systems Corp., Class A		84
	10	CBS Corp. (Non-Voting), Class B		605
	54	Comcast Corp., Class A		2,980
	10	DIRECTV (a)		848
	5	Discovery Communications, Inc., Class A (a)		200
	5	Discovery Communications, Inc., Class C (a)		196
	5	Gannett Co., Inc.		160
	9	Interpublic Group of Cos., Inc. (The)		173
	10	News Corp., Class A (a)		184
	5	Omnicom Group, Inc.		390
	2	Scripps Networks Interactive, Inc., Class A		179
	6	Time Warner Cable, Inc.		863
	18	Time Warner, Inc.		1,423
	40	Twenty-First Century Fox, Inc., Class A		1,420
	8	Viacom, Inc., Class B		665
	34	Walt Disney Co. (The)		3,031

				13,401

		Multiline Retail — 0.6%
	6	Dollar General Corp. (a)		406
	4	Dollar Tree, Inc. (a)		232
	2	Family Dollar Stores, Inc.		160
	4	Kohl’s Corp.		240
	8	Macy’s, Inc.		470
	3	Nordstrom, Inc.		204
	13	Target Corp.		797

				2,509

		Specialty Retail — 2.1%
	1	AutoNation, Inc. (a)		72
	1	AutoZone, Inc. (a)		375
	4	Bed Bath & Beyond, Inc. (a)		274
	6	Best Buy Co., Inc.		184
	5	CarMax, Inc. (a)		242
	2	GameStop Corp., Class A		101
	5	Gap, Inc. (The)		251
	29	Home Depot, Inc. (The)		2,679


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — continued
		Specialty Retail — continued
	5	L Brands, Inc.		328
	21	Lowe’s Cos., Inc.		1,097
	2	O’Reilly Automotive, Inc. (a)		347
	2	PetSmart, Inc.		149
	4	Ross Stores, Inc.		335
	14	Staples, Inc.		158
	2	Tiffany & Co.		235
	15	TJX Cos., Inc. (The)		874
	3	Tractor Supply Co.		194
	2	Urban Outfitters, Inc. (a)		85

				7,980

		Textiles, Apparel & Luxury Goods — 0.8%
	6	Coach, Inc.		212
	1	Fossil Group, Inc. (a)		101
	4	Michael Kors Holdings Ltd., (Hong Kong) (a)		302
	15	NIKE, Inc., Class B		1,213
	2	PVH Corp.		201
	1	Ralph Lauren Corp.		207
	3	Under Armour, Inc., Class A (a)		232
	7	V.F. Corp.		462

				2,930

		Total Consumer Discretionary		44,405

		Consumer Staples — 9.3%
		Beverages — 2.1%
	3	Brown-Forman Corp., Class B		315
	79	Coca-Cola Co. (The)		3,302
	5	Coca-Cola Enterprises, Inc.		234
	4	Constellation Brands, Inc., Class A (a)		308
	4	Dr. Pepper Snapple Group, Inc.		259
	3	Molson Coors Brewing Co., Class B		246
	3	Monster Beverage Corp. (a)		251
	32	PepsiCo, Inc.		2,936

				7,851

		Food & Staples Retailing — 2.2%
	9	Costco Wholesale Corp.		1,111
	24	CVS Caremark Corp.		1,945
	11	Kroger Co. (The)		544
	5	Safeway, Inc.		168
	12	Sysco Corp.		463
	18	Walgreen Co.		1,113
	34	Wal-Mart Stores, Inc.		2,549
	8	Whole Foods Market, Inc.		301

				8,194


SHARES		SECURITY DESCRIPTION	VALUE($)


		Food Products — 1.6%
	14	Archer-Daniels-Midland Co. (m)		683
	4	Campbell Soup Co.		168
	9	ConAgra Foods, Inc.		284
	13	General Mills, Inc.		687
	3	Hershey Co. (The)		286
	3	Hormel Foods Corp.		143
	2	JM Smucker Co. (The)		223
	5	Kellogg Co.		347
	3	Keurig Green Mountain, Inc.		354
	12	Kraft Foods Group, Inc.		734
	3	McCormick & Co., Inc. (Non-Voting)		190
	4	Mead Johnson Nutrition Co.		405
	35	Mondelez International, Inc., Class A		1,282
	6	Tyson Foods, Inc., Class A		219

				6,005

		Household Products — 1.9%
	3	Clorox Co. (The)		239
	18	Colgate-Palmolive Co.		1,179
	8	Kimberly-Clark Corp.		852
	57	Procter & Gamble Co. (The)		4,709

				6,979

		Personal Products — 0.1%
	9	Avon Products, Inc. (m)		128
	5	Estee Lauder Cos., Inc. (The), Class A		406

				534

		Tobacco — 1.4%
	42	Altria Group, Inc.		1,792
	8	Lorillard, Inc.		453
	33	Philip Morris International, Inc.		2,819
	7	Reynolds American, Inc.		381

				5,445

		Total Consumer Staples		35,008

		Energy — 10.3%
		Energy Equipment & Services — 2.0%
	9	Baker Hughes, Inc.		631
	4	Cameron International Corp. (a)		318
	1	Diamond Offshore Drilling, Inc.		63
	5	Ensco plc, (United Kingdom), Class A		247
	5	FMC Technologies, Inc. (a)		305
	18	Halliburton Co.		1,196
	2	Helmerich & Payne, Inc.		238
	5	Nabors Industries Ltd., (Bermuda)		149
	9	National Oilwell Varco, Inc.		777


SHARES			SECURITY DESCRIPTION	VALUE($)

	Common Stocks — continued
			Energy Equipment & Services — continued
	5		Noble Corp. plc, (United Kingdom)		151
	—	(h)	Paragon Offshore plc (a)		—	(h)
	27		Schlumberger Ltd.		2,990
	7		Transocean Ltd., (Switzerland)		275

					7,340

			Oil, Gas & Consumable Fuels — 8.3%
	11		Anadarko Petroleum Corp.		1,192
	8		Apache Corp.		822
	9		Cabot Oil & Gas Corp.		293
	11		Chesapeake Energy Corp.		288
	40		Chevron Corp.		5,161
	2		Cimarex Energy Co.		265
	26		ConocoPhillips		2,088
	5		CONSOL Energy, Inc.		194
	7		Denbury Resources, Inc.		127
	8		Devon Energy Corp.		606
	11		EOG Resources, Inc.		1,258
	3		EQT Corp.		315
	90		Exxon Mobil Corp.		8,944
	6		Hess Corp. (m)		559
	14		Kinder Morgan, Inc.		563
	14		Marathon Oil Corp.		590
	6		Marathon Petroleum Corp.		550
	4		Murphy Oil Corp.		221
	3		Newfield Exploration Co. (a)		128
	8		Noble Energy, Inc.		543
	16		Occidental Petroleum Corp.		1,707
	4		ONEOK, Inc.		306
	6		Peabody Energy Corp.		90
	12		Phillips 66		1,031
	3		Pioneer Natural Resources Co.		625
	4		QEP Resources, Inc.		134
	4		Range Resources Corp.		278
	7		Southwestern Energy Co. (a)		304
	14		Spectra Energy Corp.		585
	3		Tesoro Corp.		175
	11		Valero Energy Corp.		605
	15		Williams Cos., Inc. (The)		919

					31,466

			Total Energy		38,806

			Financials — 15.9%
			Banks — 5.8%
	220		Bank of America Corp.		3,543
	15		BB&T Corp.		562
	64		Citigroup, Inc.		3,286


SHARES		SECURITY DESCRIPTION	VALUE($)


		Banks — continued
	4	Comerica, Inc.		191
	18	Fifth Third Bancorp		363
	17	Huntington Bancshares, Inc.		171
	79	JPMorgan Chase & Co. (q)		4,712
	18	KeyCorp		252
	3	M&T Bank Corp.		336
	11	PNC Financial Services Group, Inc. (The)		948
	29	Regions Financial Corp.		293
	11	SunTrust Banks, Inc.		425
	38	U.S. Bancorp		1,607
	100	Wells Fargo & Co.		5,163
	4	Zions Bancorp		121

				21,973

		Capital Markets — 2.2%
	1	Affiliated Managers Group, Inc. (a)		245
	4	Ameriprise Financial, Inc.		500
	24	Bank of New York Mellon Corp. (The)		936
	3	BlackRock, Inc.		866
	25	Charles Schwab Corp. (The)		699
	6	E*TRADE Financial Corp. (a)		134
	8	Franklin Resources, Inc.		475
	9	Goldman Sachs Group, Inc. (The)		1,560
	9	Invesco Ltd.		370
	2	Legg Mason, Inc.		106
	29	Morgan Stanley		1,006
	5	Northern Trust Corp.		324
	9	State Street Corp.		650
	6	T. Rowe Price Group, Inc.		446

				8,317

		Consumer Finance — 0.9%
	19	American Express Co. (m)		1,707
	12	Capital One Financial Corp.		982
	10	Discover Financial Services		609
	9	Navient Corp.		159

				3,457

		Diversified Financial Services — 1.9%
	38	Berkshire Hathaway, Inc., Class B (a)		5,175
	7	CME Group, Inc.		506
	2	Intercontinental Exchange, Inc.		456
	7	Leucadia National Corp.		166
	6	McGraw Hill Financial, Inc.		462
	4	Moody’s Corp.		368
	2	NASDAQ OMX Group, Inc. (The)		107

				7,240


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — continued
		Insurance — 2.8%
	7	ACE Ltd., (Switzerland)		752
	10	Aflac, Inc. (m)		582
	9	Allstate Corp. (The)		559
	30	American International Group, Inc. (m)		1,698
	6	Aon plc, (United Kingdom)		541
	2	Assurant, Inc.		100
	5	Chubb Corp. (The)		471
	3	Cincinnati Financial Corp.		148
	10	Genworth Financial, Inc., Class A (a)		148
	9	Hartford Financial Services Group, Inc. (The)		349
	6	Lincoln National Corp.		304
	6	Loews Corp.		280
	12	Marsh & McLennan Cos., Inc.		611
	24	MetLife, Inc.		1,290
	6	Principal Financial Group, Inc.		311
	11	Progressive Corp. (The)		285
	10	Prudential Financial, Inc.		868
	3	Torchmark Corp.		151
	7	Travelers Cos., Inc. (The)		689
	5	Unum Group		196
	6	XL Group plc, (Ireland)		194

				10,527

		Real Estate Investment Trusts (REITs) — 2.2%
	8	American Tower Corp. (m)		817
	3	Apartment Investment & Management Co., Class A (m)		105
	3	AvalonBay Communities, Inc. (m)		393
	3	Boston Properties, Inc. (m)		389
	7	Crown Castle International Corp. (m)		556
	7	Equity Residential (m)		468
	1	Essex Property Trust, Inc. (m)		253
	11	General Growth Properties, Inc. (m)		268
	10	HCP, Inc. (m)		416
	6	Health Care REIT, Inc. (m)		432
	16	Host Hotels & Resorts, Inc. (m)		362
	9	Kimco Realty Corp. (m)		202
	3	Macerich Co. (The) (m)		192
	4	Plum Creek Timber Co., Inc. (m)		151
	10	Prologis, Inc. (m)		428
	3	Public Storage (m)		532
	7	Simon Property Group, Inc. (m)		1,106
	6	Ventas, Inc. (m)		406
	4	Vornado Realty Trust (m)		386
	11	Weyerhaeuser Co. (m)		374

				8,236


SHARES		SECURITY DESCRIPTION	VALUE($)


		Real Estate Management & Development — 0.0% (g)
	6	CBRE Group, Inc., Class A (a)		186

		Thrifts & Mortgage Finance — 0.1%
	10	Hudson City Bancorp, Inc.		98
	6	People’s United Financial, Inc.		97

				195

		Total Financials		60,131

		Health Care — 13.5%
		Biotechnology — 2.8%
	4	Alexion Pharmaceuticals, Inc. (a)		701
	16	Amgen, Inc.		2,210
	5	Biogen Idec, Inc. (a)		1,704
	17	Celgene Corp. (a)		1,593
	32	Gilead Sciences, Inc. (a)		3,460
	2	Regeneron Pharmaceuticals, Inc. (a)		585
	5	Vertex Pharmaceuticals, Inc. (a)		463

				10,716

		Health Care Equipment & Supplies — 2.1%
	31	Abbott Laboratories (m)		1,329
	11	Baxter International, Inc.		852
	4	Becton, Dickinson & Co. (m)		474
	28	Boston Scientific Corp. (a)		351
	2	C.R. Bard, Inc.		237
	4	CareFusion Corp. (a)		199
	9	Covidien plc, (Ireland)		820
	3	DENTSPLY International, Inc.		142
	2	Edwards Lifesciences Corp. (a)		219
	1	Intuitive Surgical, Inc. (a)		354
	21	Medtronic, Inc.		1,336
	6	St . Jude Medical, Inc.		390
	6	Stryker Corp.		516
	2	Varian Medical Systems, Inc. (a)		185
	4	Zimmer Holdings, Inc.		349

				7,753

		Health Care Providers & Services — 2.1%
	7	Aetna, Inc.		615
	5	AmerisourceBergen Corp.		366
	7	Cardinal Health, Inc.		525
	6	Cigna Corp.		532
	4	DaVita HealthCare Partners, Inc. (a)		278
	16	Express Scripts Holding Co. (a)		1,197
	3	Humana, Inc.		417
	2	Laboratory Corp. of America Holdings (a)		191
	5	McKesson Corp.		942
	2	Patterson Cos., Inc.		69


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — continued
		Health Care Providers & Services — continued
	3	Quest Diagnostics, Inc.		191
	2	Tenet Healthcare Corp. (a)		125
	21	UnitedHealth Group, Inc.		1,779
	6	WellPoint, Inc.		682

				7,909

		Health Care Technology — 0.1%
	6	Cerner Corp. (a)		356

		Life Sciences Tools & Services — 0.5%
	7	Agilent Technologies, Inc.		399
	2	PerkinElmer, Inc.		106
	8	Thermo Fisher Scientific, Inc.		1,004
	2	Waters Corp. (a)		184

				1,693

		Pharmaceuticals — 5.9%
	33	AbbVie, Inc.		1,841
	6	Actavis plc (a)		1,258
	6	Allergan, Inc.		1,020
	35	Bristol-Myers Squibb Co.		1,758
	21	Eli Lilly & Co.		1,311
	4	Hospira, Inc. (a)		188
	59	Johnson & Johnson		6,145
	2	Mallinckrodt plc (a)		193
	61	Merck & Co., Inc.		3,678
	8	Mylan, Inc. (a)		380
	3	Perrigo Co. plc, (Ireland)		417
	134	Pfizer, Inc.		3,926
	10	Zoetis, Inc.		372

				22,487

		Total Health Care		50,914

		Industrials — 10.1%
		Aerospace & Defense — 2.5%
	14	Boeing Co. (The)		1,781
	7	General Dynamics Corp.		841
	16	Honeywell International, Inc. (m)		1,562
	2	L-3 Communications Holdings, Inc.		199
	6	Lockheed Martin Corp.		971
	4	Northrop Grumman Corp.		571
	3	Precision Castparts Corp.		740
	7	Raytheon Co.		631
	3	Rockwell Collins, Inc.		218
	6	Textron, Inc.		222
	18	United Technologies Corp.		1,907

				9,643


SHARES		SECURITY DESCRIPTION	VALUE($)


		Air Freight & Logistics — 0.7%
	3	C.H. Robinson Worldwide, Inc.		212
	4	Expeditors International of Washington, Inc.		171
	6	FedEx Corp.		860
	15	United Parcel Service, Inc., Class B		1,437

				2,680

		Airlines — 0.3%
	18	Delta Air Lines, Inc.		703
	14	Southwest Airlines Co.		464

				1,167

		Building Products — 0.1%
	2	Allegion plc, (Ireland)		97
	7	Masco Corp.		175

				272

		Commercial Services & Supplies — 0.5%
	4	ADT Corp. (The)		134
	2	Cintas Corp.		140
	4	Iron Mountain, Inc.		129
	4	Pitney Bowes, Inc.		115
	6	Republic Services, Inc.		220
	2	Stericycle, Inc. (a)		211
	10	Tyco International Ltd., (Switzerland)		431
	9	Waste Management, Inc.		425

				1,805

		Construction & Engineering — 0.1%
	3	Fluor Corp.		246
	3	Jacobs Engineering Group, Inc. (a)		149
	5	Quanta Services, Inc. (a)		166

				561

		Electrical Equipment — 0.6%
	5	AMETEK, Inc.		272
	10	Eaton Corp. plc		697
	15	Emerson Electric Co.		941
	3	Rockwell Automation, Inc.		338

				2,248

		Industrial Conglomerates — 2.3%
	13	3M Co.		1,874
	13	Danaher Corp.		965
	210	General Electric Co.		5,456
	2	Roper Industries, Inc.		315

				8,610

		Machinery — 1.6%
	13	Caterpillar, Inc.		1,426
	4	Cummins, Inc.		520


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — continued
		Machinery — continued
	8	Deere & Co.		641
	3	Dover Corp.		306
	3	Flowserve Corp.		218
	8	Illinois Tool Works, Inc.		701
	5	Ingersoll-Rand plc		316
	2	Joy Global, Inc.		132
	7	PACCAR, Inc.		467
	2	Pall Corp.		194
	3	Parker-Hannifin Corp.		360
	4	Pentair plc, (United Kingdom)		278
	1	Snap-on, Inc.		152
	3	Stanley Black & Decker, Inc.		299
	4	Xylem, Inc.		143

				6,153

		Professional Services — 0.2%
	1	Dun & Bradstreet Corp. (The)		91
	3	Equifax, Inc.		201
	6	Nielsen N.V.		298
	3	Robert Half International, Inc.		145

				735

		Road & Rail — 1.0%
	21	CSX Corp.		650
	2	Kansas City Southern		266
	6	Norfolk Southern Corp.		694
	1	Ryder System, Inc.		101
	19	Union Pacific Corp.		1,997

				3,708

		Trading Companies & Distributors — 0.2%
	6	Fastenal Co.		259
	1	W.W. Grainger, Inc.		314

				573

		Total Industrials		38,155

		Information Technology — 19.1%
		Communications Equipment — 1.6%
	107	Cisco Systems, Inc.		2,681
	2	F5 Networks, Inc. (a)		197
	2	Harris Corp.		159
	10	Juniper Networks, Inc.		230
	5	Motorola Solutions, Inc.		281
	35	QUALCOMM, Inc.		2,690

				6,238

		Electronic Equipment, Instruments & Components — 0.4%
	3	Amphenol Corp., Class A		339
	27	Corning, Inc.		572


SHARES		SECURITY DESCRIPTION	VALUE($)


		Electronic Equipment, Instruments & Components — continued
	3	FLIR Systems, Inc.		100
	4	Jabil Circuit, Inc.		84
	9	TE Connectivity Ltd., (Switzerland)		536

				1,631

		Internet Software & Services — 3.2%
	4	Akamai Technologies, Inc. (a)		225
	24	eBay, Inc. (a)		1,326
	36	Facebook, Inc., Class A (a)		2,694
	6	Google, Inc., Class A (a)		3,454
	6	Google, Inc., Class C (a)		3,391
	3	VeriSign, Inc. (a)		148
	20	Yahoo!, Inc. (a)		755

				11,993

		IT Services — 3.3%
	13	Accenture plc, (Ireland), Class A		1,075
	1	Alliance Data Systems Corp. (a)		300
	10	Automatic Data Processing, Inc.		843
	13	Cognizant Technology Solutions Corp., Class A (a)		583
	3	Computer Sciences Corp.		181
	6	Fidelity National Information Services, Inc.		342
	5	Fiserv, Inc. (a)		337
	20	International Business Machines Corp.		3,832
	21	MasterCard, Inc., Class A		1,595
	7	Paychex, Inc.		282
	3	Teradata Corp. (a)		151
	3	Total System Services, Inc.		109
	11	Visa, Inc., Class A		2,237
	11	Western Union Co. (The)		197
	23	Xerox Corp.		316

				12,380

		Semiconductors & Semiconductor Equipment — 2.4%
	7	Altera Corp.		232
	7	Analog Devices, Inc.		336
	25	Applied Materials, Inc.		589
	5	Avago Technologies Ltd., (Singapore)		433
	12	Broadcom Corp., Class A		458
	1	First Solar, Inc. (a)		104
	104	Intel Corp.		3,640
	3	KLA-Tencor Corp.		267
	3	Lam Research Corp.		244
	5	Linear Technology Corp.		223
	4	Microchip Technology, Inc.		205
	22	Micron Technology, Inc. (a)		731


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — continued
		Semiconductors & Semiconductor Equipment — continued
	12	NVIDIA Corp.		227
	23	Texas Instruments, Inc.		1,089
	6	Xilinx, Inc.		238

				9,016

		Software — 3.6%
	10	Adobe Systems, Inc. (a)		697
	5	Autodesk, Inc. (a)		256
	7	CA, Inc.		189
	3	Citrix Systems, Inc. (a)		241
	7	Electronic Arts, Inc. (a)		249
	6	Intuit, Inc.		494
	157	Microsoft Corp.		7,151
	72	Oracle Corp.		2,986
	4	Red Hat, Inc. (a)		242
	12	salesforce.com, Inc. (a)		699
	14	Symantec Corp.		352

				13,556

		Technology Hardware, Storage & Peripherals — 4.6%
	126	Apple, Inc. (m)		12,943
	43	EMC Corp.		1,266
	39	Hewlett-Packard Co.		1,489
	7	NetApp, Inc.		293
	5	SanDisk Corp.		464
	7	Seagate Technology plc, (Ireland)		428
	4	Western Digital Corp.		451

				17,334

		Total Information Technology		72,148

		Materials — 3.4%
		Chemicals — 2.5%
	4	Air Products & Chemicals, Inc. (m)		592
	1	Airgas, Inc.		155
	1	CF Industries Holdings, Inc.		281
	25	Dow Chemical Co. (The)		1,350
	19	E.I. du Pont de Nemours & Co.		1,271
	3	Eastman Chemical Co.		259
	6	Ecolab, Inc.		650
	3	FMC Corp.		184
	2	International Flavors & Fragrances, Inc.		173
	9	LyondellBasell Industries N.V., Class A		997
	11	Monsanto Co.		1,270
	7	Mosaic Co. (The)		324
	3	PPG Industries, Inc.		596
	6	Praxair, Inc.		807
	2	Sherwin-Williams Co. (The)		387


SHARES		SECURITY DESCRIPTION	VALUE($)


		Chemicals — continued
	2	Sigma-Aldrich Corp.		259

				9,555

		Construction Materials — 0.1%
	1	Martin Marietta Materials, Inc.		167
	3	Vulcan Materials Co.		173

				340

		Containers & Packaging — 0.2%
	2	Avery Dennison Corp.		96
	3	Ball Corp.		187
	2	Bemis Co., Inc.		86
	4	MeadWestvaco Corp.		151
	3	Owens-Illinois, Inc. (a)		107
	4	Sealed Air Corp.		147

				774

		Metals & Mining — 0.5%
	25	Alcoa, Inc. (m)		408
	2	Allegheny Technologies, Inc.		96
	22	Freeport -McMoRan, Inc.		791
	10	Newmont Mining Corp. (m)		283
	7	Nucor Corp.		362

				1,940

		Paper & Forest Products — 0.1%
	9	International Paper Co.		439

		Total Materials		13,048

		Telecommunication Services — 2.3%
		Diversified Telecommunication Services — 2.3%
	109	AT&T, Inc.		3,800
	12	CenturyLink, Inc.		492
	21	Frontier Communications Corp.		143
	87	Verizon Communications, Inc. (m)		4,320
	13	Windstream Holdings, Inc.		142

		Total Telecommunication Services		8,897

		Utilities — 3.0%
		Electric Utilities — 1.7%
	10	American Electric Power Co., Inc.		549
	15	Duke Energy Corp.		1,096
	7	Edison International		403
	4	Entergy Corp.		291
	18	Exelon Corp.		601
	9	FirstEnergy Corp.		301
	9	NextEra Energy, Inc.		899
	7	Northeast Utilities		304
	5	Pepco Holdings, Inc.		145


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — continued
		Electric Utilities — continued
	2	Pinnacle West Capital Corp. (m)		132
	14	PPL Corp.		482
	19	Southern Co. (The)		828
	11	Xcel Energy, Inc.		337

				6,368

		Gas Utilities — 0.1%
	2	AGL Resources, Inc.		133

		Independent Power & Renewable Electricity Producers — 0.1%
	14	AES Corp.		210
	7	NRG Energy, Inc.		217

				427

		Multi-Utilities — 1.1%
	5	Ameren Corp.		203
	9	CenterPoint Energy, Inc.		224
	6	CMS Energy Corp.		172
	6	Consolidated Edison, Inc.		355
	12	Dominion Resources, Inc.		855
	4	DTE Energy Co.		290
	2	Integrys Energy Group, Inc.		114
	7	NiSource, Inc.		262
	10	PG&E Corp.		452
	11	Public Service Enterprise Group, Inc.		396
	3	SCANA Corp.		154
	5	Sempra Energy		506
	4	TECO Energy, Inc.		78


SHARES			SECURITY DESCRIPTION	VALUE($)


			Multi-Utilities — continued
	5		Wisconsin Energy Corp.		214

					4,275

			Total Utilities		11,203

			Total Common Stocks (Cost $179,688)		372,715

	Exchange Traded Fund — 0.0% (g)
			U.S. Equity — 0.0% (g)
	—	(h)	SPDR S&P 500 ETF Trust (Cost $8)		20


PRINCIPAL AMOUNT($)
	Short-Term Investments — 1.2%
			U.S. Treasury Obligation — 0.1%
	345		U.S. Treasury Bills, 0.048%, 01/08/15 (k) (n)		345


SHARES
			Investment Company — 1.1%
	4,312		JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.030% (b) (l) (m)		4,312

			Total Short-Term Investments (Cost $4,657)		4,657

			Total Investments — 99.8% (Cost $184,353)		377,392
			Other Assets in Excess of Liabilities — 0.2%		731

			NET ASSETS — 100.0%	$	378,123

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — 5.8%
	96	Academic Loan Funding Trust, Series 2012-1A, Class A1, VAR, 0.955%, 12/27/22 (e)		97
		Ally Auto Receivables Trust,
	25	Series 2012-1, Class A3, 0.930%, 02/16/16		24
	112	Series 2012-2, Class A3, 0.740%, 04/15/16		112
	344	Series 2013-2, Class A3, 0.790%, 01/15/18		344
	120	Series 2013-2, Class A4, 1.240%, 11/15/18		120
		American Credit Acceptance Receivables Trust,
	18	Series 2012-2, Class A, 1.890%, 07/15/16 (e)		19
	16	Series 2012-3, Class A, 1.640%, 11/15/16 (e)		16
	87	Series 2013-2, Class A, 1.320%, 02/15/17 (e)		87
		AmeriCredit Automobile Receivables Trust,
	9	Series 2011-5, Class A3, 1.550%, 07/08/16		9
	15	Series 2012-1, Class A3, 1.230%, 09/08/16		15
	18	Series 2013-1, Class A2, 0.490%, 06/08/16		18
	53	Series 2013-1, Class A3, 0.610%, 10/10/17		53
	264	Series 2013-4, Class A2, 0.740%, 11/08/16		264
	157	Series 2013-5, Class A3, 0.900%, 09/10/18		158
	246	AXIS Equipment Finance Receivables II LLC, Series 2013-1A, Class A, 1.750%, 03/20/17 (e)		246
	41	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.525%, 04/25/36		40
	45	BMW Vehicle Lease Trust, Series 2013-1, Class A3, 0.540%, 09/21/15		45
	170	BMW Vehicle Owner Trust, Series 2013-A, Class A3, 0.670%, 11/27/17		170
	100	Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)		101
	52	California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 08/15/17 (e)		53
		Capital Auto Receivables Asset Trust,
	185	Series 2013-1, Class A2, 0.620%, 07/20/16		185
	250	Series 2013-3, Class A1B, VAR, 0.586%, 11/20/15		250
		CarFinance Capital Auto Trust,
	40	Series 2013-2A, Class A, 1.750%, 11/15/17 (e)		40
	266	Series 2014-1A, Class A, 1.460%, 12/17/18 (e)		267
	125	Series 2014-1A, Class B, 2.720%, 04/15/20 (e)		126


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	250	Carlyle Global Market Strategies Commodities Funding Ltd., (Cayman Islands), Series 2014-1A, Class A, VAR, 2.176%, 10/15/21 (e) (i)		250
		CarMax Auto Owner Trust,
	154	Series 2013-4, Class A3, 0.800%, 07/16/18		154
	137	Series 2013-4, Class A4, 1.280%, 05/15/19		136
	337	Series 2014-2, Class A3, 0.980%, 01/15/19		337
	121	Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		125
	350	CFC 2012-1 LLC, Series 2014-2A, Class A, 1.440%, 11/16/20 (e)		350
	29	CNH Equipment Trust, Series 2012-A, Class A3, 0.940%, 05/15/17		29
		Concord Funding Co. LLC,
	300	Series 2012-2, Class A, 3.145%, 01/15/17 (e)		300
	100	Series 2013-1, Class A, 2.420%, 02/15/15 (e)		100
		CPS Auto Receivables Trust,
	30	Series 2011-C, Class A, 4.210%, 03/15/19 (e)		30
	27	Series 2012-A, Class A, 2.780%, 06/17/19 (e)		27
	168	Series 2012-B, Class A, 2.520%, 09/16/19 (e)		170
	368	Series 2014-A, Class A, 1.210%, 08/15/18 (e)		369
	333	Series 2014-B, Class A, 1.110%, 11/15/18 (e)		333
	204	Discover Card Execution Note Trust, Series 2012-A1, Class A1, 0.810%, 08/15/17		204
		Exeter Automobile Receivables Trust,
	72	Series 2013-2A, Class A, 1.490%, 11/15/17 (e)		72
	263	Series 2014-1A, Class A, 1.290%, 05/15/18 (e)		264
	175	Fifth Third Auto Trust, Series 2013-1, Class A3, 0.880%, 10/16/17		176
		First Investors Auto Owner Trust,
	31	Series 2012-2A, Class A2, 1.470%, 05/15/18 (e)		31
	44	Series 2013-1A, Class A2, 0.900%, 10/15/18 (e)		45
	238	Flagship Credit Auto Trust, Series 2013-2, Class A, 1.940%, 01/15/19 (e)		238
		Ford Credit Auto Lease Trust,
	235	Series 2013-B, Class A3, 0.760%, 09/15/16		236
	100	Series 2013-B, Class A4, 0.960%, 10/15/16		100


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — continued
	53		Series 2014-A, Class A2A, 0.500%, 10/15/16		53
	83		Series 2014-B, Class A3, 0.890%, 09/15/17		83
	33		Series 2014-B, Class A4, 1.100%, 11/15/17		33
			Ford Credit Auto Owner Trust,
	44		Series 2012-A, Class A3, 0.840%, 08/15/16		44
	80		Series 2012-D, Class A3, 0.510%, 04/15/17		80
	140		Ford Credit Floorplan Master Owner Trust, Series 2013-1, Class A2, VAR, 0.535%, 01/15/18		140
	284		GCAT, Series 2014-1A, Class A1, VAR, 3.228%, 07/25/19 (e)		284
	63		GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		63
			GE Equipment Midticket LLC,
	129		Series 2012-1, Class A3, 0.600%, 05/23/16		129
	60		Series 2012-1, Class A4, 0.780%, 09/22/20		60
			GMAT Trust,
	289		Series 2013-1A, Class A, SUB, 3.967%, 11/25/43 (e)		290
	137		Series 2014-1A, Class A, SUB, 3.721%, 02/25/44 (e)		137
	357		HLSS Servicer Advance Receivables Backed Notes, Series 2013-T7, Class AT7, 1.981%, 11/15/46 (e)		358
			HLSS Servicer Advance Receivables Trust,
	244		Series 2012-T2, Class A2, 1.990%, 10/15/45 (e)		246
	165		Series 2013-T1, Class A2, 1.495%, 01/16/46 (e)		165
	108		Series 2014-T1, Class AT1, 1.244%, 01/17/45 (e)		108
	167		Series 2014-T2, Class AT2, 2.217%, 01/15/47 (e)		169
			Honda Auto Receivables Owner Trust,
	37		Series 2012-1, Class A3, 0.770%, 01/15/16		38
	56		Series 2012-1, Class A4, 0.970%, 04/16/18		56
	—	(h)	Series 2013-1, Class A2, 0.350%, 06/22/15		—	(h)
	382		Series 2013-4, Class A3, 0.690%, 09/18/17		382
	140		Series 2013-4, Class A4, 1.040%, 02/18/20		140
	186		Series 2014-2, Class A3, 0.770%, 03/19/18		186
			HSBC Home Equity Loan Trust USA,
	34		Series 2006-1, Class A1, VAR, 0.316%, 01/20/36		34
	39		Series 2007-3, Class APT, VAR, 1.356%, 11/20/36		39
			Huntington Auto Trust,
	10		Series 2011-1A, Class A3, 1.010%, 01/15/16 (e)		10


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	100	Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)		100
	44	Series 2012-1, Class A3, 0.810%, 09/15/16		44
		Hyundai Auto Receivables Trust,
	10	Series 2012-A, Class A3, 0.720%, 03/15/16		10
	49	Series 2012-B, Class A3, 0.620%, 09/15/16		49
	281	Series 2014-B, Class A3, 0.900%, 12/17/18		281
	17	Macquarie Equipment Funding Trust, Series 2012-A, Class A2, 0.610%, 04/20/15 (e)		17
	276	MMCA Auto Owner Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e)		279
	135	Nationstar Agency Advance Funding Trust, Series 2013-T1A, Class AT1, 0.997%, 02/15/45 (e)		135
	124	Navitas Equipment Receivables LLC, Series 2013-1, Class A, 1.950%, 11/15/16 (e)		124
	122	Nissan Auto Lease Trust, Series 2013-B, Class A3, 0.750%, 06/15/16		122
		Nissan Auto Receivables Owner Trust,
	117	Series 2012-A, Class A4, 1.000%, 07/16/18		117
	1	Series 2013-A, Class A2, 0.370%, 09/15/15		1
	475	Normandy Mortgage Loan Co. LLC, Series 2013-NPL3, Class A, SUB, 4.949%, 09/16/43 (e)		474
	328	NYMT Residential LLC, Series 2013-RP3A, Class NOTE, SUB, 4.850%, 09/25/18 (e) (i)		328
	552	OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 09/18/24 (e)		552
	150	Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-MCW1, Class M1, VAR, 1.092%, 10/25/34		149
	500	Progreso Receivables Funding II LLC, Series 2014-A, Class A, 3.500%, 07/08/19 (e)		500
	109	RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.455%, 03/25/36		106
		Santander Drive Auto Receivables Trust,
	25	Series 2012-5, Class A3, 0.830%, 12/15/16		25
	10	Series 2012-6, Class A3, 0.620%, 07/15/16		10
	41	Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 3.509%, 01/25/36		31
	204	Selene Non-Performing Loans LLC, Series 2014-1A, Class A, SUB, 2.981%, 05/25/54 (e)		204
	16	SNAAC Auto Receivables Trust, Series 2013-1A, Class A, 1.140%, 07/16/18 (e)		16


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — continued
		Springleaf Funding Trust,
	950	Series 2013-AA, Class A, 2.580%, 09/15/21 (e)		957
	840	Series 2014-AA, Class A, 2.410%, 12/15/22 (e)		839
	31	Stanwich Mortgage Loan Co. LLC, Series 2012-NPL4, Class A, 2.981%, 09/15/42 (e)		31
	148	Stanwich Mortgage Loan Trust, Series 2013-NPL1, Class A, 2.981%, 02/16/43 (e)		148
	175	Tidewater Auto Receivables Trust, Series 2014-AA, Class A3, 1.400%, 07/15/18 (e)		175
	455	Toyota Auto Receivables Owner Trust, Series 2014-A, Class A2, 0.410%, 08/15/16		455
	321	Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.555%, 10/15/15 (e)		323
	360	Truman Capital Mortgage Loan Trust, Series 2014-NLP1, Class A1, SUB, 3.228%, 07/25/53 (e)		360
	154	USAA Auto Owner Trust, Series 2014-1, Class A2, 0.380%, 10/17/16		154
		Vericrest Opportunity Loan Transferee LLC,
	597	Series 2014-NPL4, Class A1, SUB, 3.125%, 04/27/54 (e)		597
	429	Series 2014-NPL5, Class A1, SUB, 3.228%, 09/25/58 (e)		427
	85	Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16		86
	308	VOLT NPL IX LLC, Series 2013-NPL3, Class A1, SUB, 4.250%, 04/25/53 (e)		310
	109	VOLT NPL X LLC, Series 2013-NPL4, Class A1, SUB, 3.960%, 11/25/53 (e)		110
	258	VOLT XIX LLC, Series 2013-NPL5, Class A1, SUB, 3.625%, 04/25/55 (e)		258
	383	VOLT XV LLC, Series 2014-3A, Class A1, SUB, 3.250%, 05/26/54 (e)		385
	70	Westgate Resorts LLC, Series 2012-1, Class A, 4.500%, 09/20/25 (e)		71
		World Omni Auto Receivables Trust,
	62	Series 2012-A, Class A3, 0.640%, 02/15/17		62
	407	Series 2013-B, Class A3, 0.830%, 08/15/18		408
	127	Series 2013-B, Class A4, 1.320%, 01/15/20		127

		Total Asset-Backed Securities (Cost $20,150)		20,219


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — 19.7%
			Agency CMO — 15.9%
	46		Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 24, Class ZE, 6.250%, 11/25/23		51
			Federal Home Loan Mortgage Corp. REMIC,
	2		Series 11, Class D, 9.500%, 07/15/19		2
	—	(h)	Series 41, Class I, HB, 84.000%, 05/15/20		—	(h)
	1		Series 46, Class B, 7.800%, 09/15/20		2
	—	(h)	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		2
	9		Series 114, Class H, 6.950%, 01/15/21		10
	—	(h)	Series 1079, Class S, HB, IF, 33.473%, 05/15/21		1
	—	(h)	Series 1084, Class F, VAR, 1.105%, 05/15/21		—	(h)
	—	(h)	Series 1084, Class S, HB, IF, 44.528%, 05/15/21		1
	8		Series 1144, Class KB, 8.500%, 09/15/21		9
	—	(h)	Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21		—	(h)
	—	(h)	Series 1196, Class B, HB, IF, 1,180.777%, 01/15/22		1
	6		Series 1206, Class IA, 7.000%, 03/15/22		7
	4		Series 1250, Class J, 7.000%, 05/15/22		4
	14		Series 1343, Class LA, 8.000%, 08/15/22		17
	62		Series 1466, Class PZ, 7.500%, 02/15/23		69
	1		Series 1470, Class F, VAR, 1.668%, 02/15/23		1
	23		Series 1491, Class I, 7.500%, 04/15/23		26
	23		Series 1518, Class G, IF, 8.875%, 05/15/23		27
	20		Series 1541, Class O, VAR, 1.830%, 07/15/23		20
	3		Series 1602, Class SA, HB, IF, 22.246%, 10/15/23		5
	72		Series 1608, Class L, 6.500%, 09/15/23		79
	11		Series 1609, Class LG, IF, 16.997%, 11/15/23		12
	4		Series 1671, Class L, 7.000%, 02/15/24		5
	13		Series 1700, Class GA, PO, 02/15/24		12
	126		Series 1706, Class K, 7.000%, 03/15/24		142
	419		Series 1720, Class PL, 7.500%, 04/15/24		479
	12		Series 1745, Class D, 7.500%, 08/15/24		14
	26		Series 1798, Class F, 5.000%, 05/15/23		28
	1		Series 1807, Class G, 9.000%, 10/15/20		1
	131		Series 1927, Class PH, 7.500%, 01/15/27		150
	54		Series 1981, Class Z, 6.000%, 05/15/27		60
	18		Series 1987, Class PE, 7.500%, 09/15/27		20


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	8	Series 2033, Class SN, HB, IF, 28.431%, 03/15/24		4
	21	Series 2038, Class PN, IO, 7.000%, 03/15/28		4
	109	Series 2040, Class PE, 7.500%, 03/15/28		125
	18	Series 2056, Class TD, 6.500%, 05/15/18		19
	121	Series 2063, Class PG, 6.500%, 06/15/28		135
	20	Series 2064, Class TE, 7.000%, 06/15/28		23
	84	Series 2075, Class PH, 6.500%, 08/15/28		94
	81	Series 2075, Class PM, 6.250%, 08/15/28		91
	26	Series 2089, Class PJ, IO, 7.000%, 10/15/28		5
	49	Series 2125, Class JZ, 6.000%, 02/15/29		54
	11	Series 2163, Class PC, IO, 7.500%, 06/15/29		2
	231	Series 2169, Class TB, 7.000%, 06/15/29		265
	77	Series 2172, Class QC, 7.000%, 07/15/29		86
	1	Series 2196, Class TL, 7.500%, 11/15/29		1
	39	Series 2201, Class C, 8.000%, 11/15/29		46
	95	Series 2210, Class Z, 8.000%, 01/15/30		110
	26	Series 2224, Class CB, 8.000%, 03/15/30		31
	47	Series 2256, Class MC, 7.250%, 09/15/30		54
	66	Series 2259, Class ZM, 7.000%, 10/15/30		75
	58	Series 2271, Class PC, 7.250%, 12/15/30		66
	54	Series 2283, Class K, 6.500%, 12/15/23		60
	25	Series 2296, Class PD, 7.000%, 03/15/31		29
	13	Series 2306, Class K, PO, 05/15/24		13
	32	Series 2306, Class SE, IF, IO, 8.070%, 05/15/24		6
	30	Series 2333, Class HC, 6.000%, 07/15/31		29
	10	Series 2344, Class QG, 6.000%, 08/15/16		11
	492	Series 2344, Class ZD, 6.500%, 08/15/31		563
	61	Series 2344, Class ZJ, 6.500%, 08/15/31		69
	48	Series 2345, Class NE, 6.500%, 08/15/31		54
	19	Series 2345, Class PQ, 6.500%, 08/15/16		20
	30	Series 2347, Class VP, 6.500%, 03/15/20		32
	53	Series 2351, Class PZ, 6.500%, 08/15/31		59
	13	Series 2355, Class BP, 6.000%, 09/15/16		14
	14	Series 2360, Class PG, 6.000%, 09/15/16		15
	13	Series 2366, Class MD, 6.000%, 10/15/16		13
	19	Series 2391, Class QR, 5.500%, 12/15/16		20
	43	Series 2410, Class NG, 6.500%, 02/15/32		49
	68	Series 2410, Class OE, 6.375%, 02/15/32		73
	28	Series 2410, Class QX, IF, IO, 8.495%, 02/15/32		8
	109	Series 2412, Class SP, IF, 15.790%, 02/15/32		141
	32	Series 2423, Class MC, 7.000%, 03/15/32		36
	67	Series 2423, Class MT, 7.000%, 03/15/32		77


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — continued
	243		Series 2435, Class CJ, 6.500%, 04/15/32		265
	73		Series 2441, Class GF, 6.500%, 04/15/32		82
	70		Series 2444, Class ES, IF, IO, 7.795%, 03/15/32		19
	86		Series 2450, Class GZ, 7.000%, 05/15/32		98
	28		Series 2450, Class SW, IF, IO, 7.845%, 03/15/32		6
	126		Series 2455, Class GK, 6.500%, 05/15/32		142
	165		Series 2466, Class DH, 6.500%, 06/15/32		186
	79		Series 2474, Class NR, 6.500%, 07/15/32		89
	148		Series 2484, Class LZ, 6.500%, 07/15/32		167
	182		Series 2500, Class MC, 6.000%, 09/15/32		206
	262		Series 2512, Class PG, 5.500%, 10/15/22		287
	50		Series 2535, Class BK, 5.500%, 12/15/22		54
	70		Series 2537, Class TE, 5.500%, 12/15/17		74
	302		Series 2543, Class YX, 6.000%, 12/15/32		336
	398		Series 2568, Class KG, 5.500%, 02/15/23		439
	541		Series 2575, Class ME, 6.000%, 02/15/33		601
	43		Series 2586, Class WI, IO, 6.500%, 03/15/33		8
	—	(h)	Series 2617, Class GR, 4.500%, 05/15/18		—	(h)
	76		Series 2622, Class PE, 4.500%, 05/15/18		80
	47		Series 2631, Class LC, 4.500%, 06/15/18		50
	76		Series 2651, Class VZ, 4.500%, 07/15/18		79
	25		Series 2672, Class ME, 5.000%, 11/15/22		26
	—	(h)	Series 2675, Class CK, 4.000%, 09/15/18		—	(h)
	172		Series 2684, Class PO, PO, 01/15/33		169
	93		Series 2744, Class TU, 5.500%, 05/15/32		97
	30		Series 2777, Class KO, PO, 02/15/33		30
	420		Series 2907, Class VC, 4.500%, 05/15/34		425
	111		Series 2934, Class EC, PO, 02/15/20		110
	129		Series 2990, Class SL, HB, IF, 23.925%, 06/15/34		179
	1,222		Series 2990, Class UZ, 5.750%, 06/15/35		1,303
	304		Series 2999, Class ND, 4.500%, 07/15/20		322
	36		Series 3068, Class AO, PO, 01/15/35		36
	154		Series 3117, Class EO, PO, 02/15/36		141
	17		Series 3117, Class OK, PO, 02/15/36		15
	248		Series 3122, Class OH, PO, 03/15/36		235
	239		Series 3137, Class XP, 6.000%, 04/15/36		263
	6		Series 3149, Class SO, PO, 05/15/36		5
	332		Series 3152, Class MO, PO, 03/15/36		309
	142		Series 3171, Class MO, PO, 06/15/36		133
	61		Series 3179, Class OA, PO, 07/15/36		56
	486		Series 3202, Class HI, IF, IO, 6.495%, 08/15/36		71


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	81	Series 3232, Class ST, IF, IO, 6.545%, 10/15/36		10
	90	Series 3253, Class PO, PO, 12/15/21		90
	54	Series 3316, Class JO, PO, 05/15/37		50
	279	Series 3481, Class SJ, IF, IO, 5.695%, 08/15/38		37
	122	Series 3607, Class AO, PO, 04/15/36		111
	34	Series 3607, Class EO, PO, 02/15/33		34
	76	Series 3611, Class PO, PO, 07/15/34		70
	200	Series 3666, Class VA, 5.500%, 12/15/22		202
	630	Series 3680, Class MA, 4.500%, 07/15/39		688
	308	Series 3804, Class FN, VAR, 0.605%, 03/15/39		309
	737	Series 3819, Class ZQ, 6.000%, 04/15/36		828
	309	Series 3997, Class PF, VAR, 0.605%, 11/15/39		310
	928	Series 4219, Class JA, 3.500%, 08/15/39		957
		Federal Home Loan Mortgage Corp. STRIPS,
	44	Series 243, Class 16, IO, 4.500%, 11/15/20		3
	892	Series 262, Class 35, 3.500%, 07/15/42		912
	880	Series 267, Class F5, VAR, 0.655%, 08/15/42		882
	903	Series 274, Class F1, VAR, 0.655%, 08/15/42		905
	880	Series 279, Class F6, VAR, 0.605%, 09/15/42		878
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	41	Series T-41, Class 3A, VAR, 6.539%, 07/25/32		47
	34	Series T-51, Class 2A, VAR, 7.500%, 08/25/42		41
	346	Series T-54, Class 2A, 6.500%, 02/25/43		410
	120	Series T-54, Class 3A, 7.000%, 02/25/43		146
	905	Series T-56, Class A5, 5.231%, 05/25/43		979
	30	Series T-58, Class APO, PO, 09/25/43		26
	244	Series T-76, Class 2A, VAR, 1.516%, 10/25/37		240
		Federal National Mortgage Association - ACES,
	500	Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20		554
	452	Series 2012-M11, Class FA, VAR, 0.676%, 08/25/19		454
	1,000	Series 2012-M9, Class A2, 2.482%, 04/25/22		996
	444	Series 2014-M2, Class A2, VAR, 3.513%, 12/25/23		471


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — continued
	2,000		Series 2014-M3, Class A2, VAR, 3.501%, 01/25/24		2,120
	101		Federal National Mortgage Association Grantor Trust, Series 2001-T10, Class A2, 7.500%, 12/25/41		117
			Federal National Mortgage Association REMIC,
	1		Series 1988-7, Class Z, 9.250%, 04/25/18		1
	5		Series 1989-70, Class G, 8.000%, 10/25/19		6
	3		Series 1989-78, Class H, 9.400%, 11/25/19		3
	2		Series 1989-83, Class H, 8.500%, 11/25/19		2
	2		Series 1989-89, Class H, 9.000%, 11/25/19		2
	1		Series 1990-1, Class D, 8.800%, 01/25/20		1
	1		Series 1990-7, Class B, 8.500%, 01/25/20		1
	1		Series 1990-60, Class K, 5.500%, 06/25/20		1
	1		Series 1990-63, Class H, 9.500%, 06/25/20		1
	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)
	8		Series 1990-102, Class J, 6.500%, 08/25/20		8
	2		Series 1990-120, Class H, 9.000%, 10/25/20		2
	1		Series 1990-134, Class SC, HB, IF, 21.368%, 11/25/20		1
	—	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20		—	(h)
	—	(h)	Series 1991-7, Class K, HB, 908.500%, 02/25/21		—	(h)
	2		Series 1991-42, Class S, IF, 17.404%, 05/25/21		3
	41		Series 1992-107, Class SB, HB, IF, 29.609%, 06/25/22		67
	3		Series 1992-143, Class MA, 5.500%, 09/25/22		3
	20		Series 1993-25, Class J, 7.500%, 03/25/23		23
	134		Series 1993-37, Class PX, 7.000%, 03/25/23		151
	49		Series 1993-54, Class Z, 7.000%, 04/25/23		55
	10		Series 1993-62, Class SA, IF, 18.975%, 04/25/23		15
	13		Series 1993-122, Class M, 6.500%, 07/25/23		14
	5		Series 1993-165, Class SD, IF, 13.440%, 09/25/23		6
	21		Series 1993-178, Class PK, 6.500%, 09/25/23		23
	349		Series 1993-183, Class KA, 6.500%, 10/25/23		384


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	149	Series 1993-189, Class PL, 6.500%, 10/25/23		167
	32	Series 1993-247, Class SA, HB, IF, 28.053%, 12/25/23		55
	24	Series 1993-250, Class Z, 7.000%, 12/25/23		24
	2	Series 1994-9, Class E, PO, 11/25/23		2
	89	Series 1996-14, Class SE, IF, IO, 8.260%, 08/25/23		19
	3	Series 1996-27, Class FC, VAR, 0.655%, 03/25/17		3
	10	Series 1996-59, Class J, 6.500%, 08/25/22		11
	44	Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27		2
	44	Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		2
	20	Series 1997-27, Class J, 7.500%, 04/18/27		23
	27	Series 1997-29, Class J, 7.500%, 04/20/27		32
	59	Series 1997-39, Class PD, 7.500%, 05/20/27		69
	18	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		4
	2	Series 1998-4, Class C, PO, 04/25/23		2
	16	Series 1998-36, Class ZB, 6.000%, 07/18/28		18
	199	Series 1998-43, Class EA, PO, 04/25/23		191
	114	Series 2000-2, Class ZE, 7.500%, 02/25/30		131
	42	Series 2001-4, Class PC, 7.000%, 03/25/21		46
	79	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		16
	95	Series 2001-36, Class DE, 7.000%, 08/25/31		110
	20	Series 2001-44, Class PD, 7.000%, 09/25/31		23
	152	Series 2001-48, Class Z, 6.500%, 09/25/21		168
	19	Series 2001-49, Class Z, 6.500%, 09/25/31		21
	31	Series 2001-71, Class MB, 6.000%, 12/25/16		32
	35	Series 2001-71, Class QE, 6.000%, 12/25/16		36
	230	Series 2001-74, Class MB, 6.000%, 12/25/16		239
	16	Series 2001-81, Class LO, PO, 01/25/32		15
	46	Series 2002-1, Class HC, 6.500%, 02/25/22		51
	23	Series 2002-1, Class SA, HB, IF, 24.684%, 02/25/32		38
	19	Series 2002-2, Class UC, 6.000%, 02/25/17		20
	34	Series 2002-3, Class OG, 6.000%, 02/25/17		35
	57	Series 2002-21, Class PE, 6.500%, 04/25/32		65
	74	Series 2002-24, Class AJ, 6.000%, 04/25/17		77
	59	Series 2002-28, Class PK, 6.500%, 05/25/32		66
	64	Series 2002-37, Class Z, 6.500%, 06/25/32		72
	97	Series 2002-94, Class BK, 5.500%, 01/25/18		101


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — continued
	202		Series 2003-22, Class UD, 4.000%, 04/25/33		213
	162		Series 2003-34, Class GB, 6.000%, 03/25/33		180
	304		Series 2003-34, Class GE, 6.000%, 05/25/33		355
	14		Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		3
	239		Series 2003-47, Class PE, 5.750%, 06/25/33		264
	28		Series 2003-52, Class SX, HB, IF, 22.485%, 10/25/31		45
	29		Series 2003-64, Class SX, IF, 13.360%, 07/25/33		36
	126		Series 2003-71, Class DS, IF, 7.259%, 08/25/33		131
	98		Series 2003-80, Class SY, IF, IO, 7.495%, 06/25/23		8
	102		Series 2003-83, Class PG, 5.000%, 06/25/23		107
	24		Series 2003-91, Class SD, IF, 12.242%, 09/25/33		28
	203		Series 2003-116, Class SB, IF, IO, 7.445%, 11/25/33		43
	—	(h)	Series 2003-128, Class NG, 4.000%, 01/25/19		—	(h)
	24		Series 2003-130, Class SX, IF, 11.287%, 01/25/34		29
	219		Series 2004-25, Class PC, 5.500%, 01/25/34		233
	143		Series 2004-25, Class SA, IF, 19.099%, 04/25/34		200
	146		Series 2004-36, Class PC, 5.500%, 02/25/34		155
	135		Series 2004-36, Class SA, IF, 19.099%, 05/25/34		186
	89		Series 2004-46, Class SK, IF, 16.074%, 05/25/34		114
	873		Series 2004-50, Class VZ, 5.500%, 07/25/34		955
	72		Series 2004-61, Class SH, HB, IF, 23.368%, 11/25/32		112
	68		Series 2004-74, Class SW, IF, 15.190%, 11/25/31		96
	90		Series 2004-76, Class CL, 4.000%, 10/25/19		94
	132		Series 2005-45, Class DC, HB, IF, 23.742%, 06/25/35		198
	31		Series 2005-52, Class PA, 6.500%, 06/25/35		33
	100		Series 2005-56, Class S, IF, IO, 6.555%, 07/25/35		19
	197		Series 2005-56, Class TP, IF, 17.685%, 08/25/33		262
	640		Series 2005-68, Class PG, 5.500%, 08/25/35		705
	246		Series 2005-73, Class PS, IF, 16.313%, 08/25/35		314


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	114	Series 2005-74, Class CS, IF, 19.594%, 05/25/35		157
	220	Series 2005-106, Class US, HB, IF, 23.998%, 11/25/35		332
	747	Series 2005-121, Class DX, 5.500%, 01/25/26		822
	242	Series 2006-27, Class OH, PO, 04/25/36		230
	74	Series 2006-44, Class P, PO, 12/25/33		69
	452	Series 2006-56, Class FC, VAR, 0.445%, 07/25/36		452
	114	Series 2006-59, Class QO, PO, 01/25/33		112
	75	Series 2006-65, Class QO, PO, 07/25/36		70
	111	Series 2006-72, Class GO, PO, 08/25/36		103
	240	Series 2006-77, Class PC, 6.500%, 08/25/36		271
	91	Series 2006-79, Class DO, PO, 08/25/36		86
	162	Series 2006-110, Class PO, PO, 11/25/36		150
	309	Series 2006-124, Class HB, VAR, 5.974%, 11/25/36		315
	126	Series 2007-14, Class ES, IF, IO, 6.285%, 03/25/37		19
	92	Series 2007-79, Class SB, HB, IF, 23.448%, 08/25/37		136
	500	Series 2007-81, Class GE, 6.000%, 08/25/37		572
	239	Series 2007-88, Class VI, IF, IO, 6.385%, 09/25/37		36
	609	Series 2007-91, Class ES, IF, IO, 6.305%, 10/25/37		81
	124	Series 2007-106, Class A7, VAR, 6.061%, 10/25/37		138
	153	Series 2007-116, Class HI, IO, VAR, 1.496%, 01/25/38		12
	68	Series 2008-10, Class XI, IF, IO, 6.075%, 03/25/38		8
	54	Series 2008-16, Class IS, IF, IO, 6.045%, 03/25/38		9
	98	Series 2008-28, Class QS, HB, IF, 20.235%, 04/25/38		133
	136	Series 2008-46, Class HI, IO, VAR, 1.742%, 06/25/38		14
	129	Series 2009-69, Class PO, PO, 09/25/39		122
	758	Series 2009-71, Class BC, 4.500%, 09/25/24		829
	254	Series 2009-103, Class MB, VAR, 2.365%, 12/25/39		259
	435	Series 2010-71, Class HJ, 5.500%, 07/25/40		488
	775	Series 2010-133, Class A, 5.500%, 05/25/38		848
	1,000	Series 2011-44, Class EB, 3.000%, 05/25/26		1,001


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — continued
	561		Series 2011-118, Class MT, 7.000%, 11/25/41		645
	537		Series 2011-118, Class NT, 7.000%, 11/25/41		623
	332		Series 2012-47, Class HF, VAR, 0.555%, 05/25/27		334
	—	(h)	Series 2012-108, Class F, VAR, 0.655%, 10/25/42		—	(h)
	903		Series 2012-112, Class FD, VAR, 0.655%, 10/25/42		901
	473		Series 2013-101, Class DO, PO, 10/25/43		359
	478		Series 2013-128, Class PO, PO, 12/25/43		361
	2		Series G-14, Class L, 8.500%, 06/25/21		3
	11		Series G-18, Class Z, 8.750%, 06/25/21		12
	1		Series G-22, Class G, 6.000%, 12/25/16		1
	9		Series G-35, Class M, 8.750%, 10/25/21		10
	36		Series G92-35, Class E, 7.500%, 07/25/22		40
	2		Series G92-42, Class Z, 7.000%, 07/25/22		2
	23		Series G92-44, Class ZQ, 8.000%, 07/25/22		25
	34		Series G92-54, Class ZQ, 7.500%, 09/25/22		37
	8		Series G93-5, Class Z, 6.500%, 02/25/23		9
	12		Series G95-1, Class C, 8.800%, 01/25/25		14
			Federal National Mortgage Association REMIC Trust,
	154		Series 2003-W1, Class 1A1, VAR, 5.887%, 12/25/42		174
	37		Series 2003-W4, Class 2A, VAR, 6.364%, 10/25/42		42
	36		Series 2007-W7, Class 1A4, HB, IF, 38.250%, 07/25/37		55
			Federal National Mortgage Association STRIPS,
	—	(h)	Series 50, Class 2, IO, 10.500%, 03/25/19		—	(h)
	2		Series 218, Class 2, IO, 7.500%, 04/25/23		1
	88		Series 300, Class 1, PO, 09/25/24		84
	15		Series 329, Class 1, PO, 01/25/33		14
			Federal National Mortgage Association Trust,
	84		Series 2004-W2, Class 2A2, 7.000%, 02/25/44		97
	263		Series 2005-W3, Class 2AF, VAR, 0.375%, 03/25/45		263
			Government National Mortgage Association,
	185		Series 1994-7, Class PQ, 6.500%, 10/16/24		211
	277		Series 1999-10, Class ZC, 6.500%, 04/20/29		311
	19		Series 1999-30, Class S, IF, IO, 8.445%, 08/16/29		5
	30		Series 1999-41, Class Z, 8.000%, 11/16/29		35
	12		Series 2000-9, Class Z, 8.000%, 06/20/30		15


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	257	Series 2000-9, Class ZJ, 8.500%, 02/16/30		306
	72	Series 2001-7, Class PK, 6.500%, 03/20/31		81
	166	Series 2001-64, Class MQ, 6.500%, 12/20/31		191
	27	Series 2002-7, Class PG, 6.500%, 01/20/32		31
	35	Series 2002-31, Class S, IF, IO, 8.545%, 01/16/31		11
	102	Series 2002-40, Class UK, 6.500%, 06/20/32		116
	96	Series 2002-47, Class PG, 6.500%, 07/16/32		110
	121	Series 2002-47, Class PY, 6.000%, 07/20/32		136
	121	Series 2002-47, Class ZA, 6.500%, 07/20/32		139
	20	Series 2003-24, Class PO, PO, 03/16/33		17
	304	Series 2003-40, Class TJ, 6.500%, 03/20/33		354
	106	Series 2003-52, Class AP, PO, 06/16/33		97
	25	Series 2004-28, Class S, IF, 19.236%, 04/16/34		35
	2	Series 2004-68, Class PO, PO, 05/20/31		2
	65	Series 2004-71, Class SB, HB, IF, 28.701%, 09/20/34		103
	43	Series 2004-73, Class AE, IF, 14.535%, 08/17/34		55
	346	Series 2004-90, Class SI, IF, IO, 5.945%, 10/20/34		53
	107	Series 2005-68, Class DP, IF, 16.060%, 06/17/35		142
	688	Series 2005-68, Class KI, IF, IO, 6.145%, 09/20/35		102
	75	Series 2006-59, Class SD, IF, IO, 6.545%, 10/20/36		12
	275	Series 2007-17, Class JI, IF, IO, 6.655%, 04/16/37		44
	328	Series 2007-27, Class SA, IF, IO, 6.045%, 05/20/37		50
	509	Series 2007-40, Class SB, IF, IO, 6.595%, 07/20/37		72
	306	Series 2007-45, Class QA, IF, IO, 6.485%, 07/20/37		44
	311	Series 2007-50, Class AI, IF, IO, 6.620%, 08/20/37		50
	76	Series 2007-53, Class ES, IF, IO, 6.395%, 09/20/37		11
	78	Series 2007-53, Class SW, IF, 19.738%, 09/20/37		107
	173	Series 2007-57, Class QA, IF, IO, 6.345%, 10/20/37		24
	90	Series 2007-71, Class SB, IF, IO, 6.545%, 07/20/36		7


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — continued
	161	Series 2007-72, Class US, IF, IO, 6.395%, 11/20/37		22
	159	Series 2007-76, Class SA, IF, IO, 6.374%, 11/20/37		24
	46	Series 2008-25, Class SB, IF, IO, 6.744%, 03/20/38		7
	93	Series 2008-33, Class XS, IF, IO, 7.545%, 04/16/38		21
	264	Series 2008-40, Class SA, IF, IO, 6.245%, 05/16/38		48
	421	Series 2008-50, Class KB, 6.000%, 06/20/38		472
	221	Series 2008-55, Class SA, IF, IO, 6.045%, 06/20/38		31
	225	Series 2008-93, Class AS, IF, IO, 5.545%, 12/20/38		29
	87	Series 2009-6, Class SA, IF, IO, 5.945%, 02/16/39		13
	99	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		20
	347	Series 2009-22, Class SA, IF, IO, 6.114%, 04/20/39		42
	312	Series 2009-31, Class ST, IF, IO, 6.194%, 03/20/39		36
	312	Series 2009-31, Class TS, IF, IO, 6.145%, 03/20/39		35
	258	Series 2009-79, Class OK, PO, 11/16/37		241
	512	Series 2009-106, Class ST, IF, IO, 5.844%, 02/20/38		69
	143	Series 2010-14, Class AO, PO, 12/20/32		140
	172	Series 2010-130, Class CP, 7.000%, 10/16/40		202
	596	Series 2011-137, Class WA, VAR, 5.522%, 07/20/40		676
	488	Series 2012-H21, Class DF, VAR, 0.805%, 05/20/61		489
	406	Series 2012-H24, Class FA, VAR, 0.606%, 03/20/60		407
	485	Series 2012-H26, Class MA, VAR, 0.706%, 07/20/62		486
	848	Series 2013-91, Class WA, VAR, 4.519%, 04/20/43		912
	377	Series 2013-H03, Class FA, VAR, 0.455%, 08/20/60		376
	498	Series 2013-H07, Class JA, 1.750%, 03/20/63		494
	115	NCUA Guaranteed Notes Trust, Series 2010-R3, Class 3A, 2.400%, 12/08/20		116
		Vendee Mortgage Trust,
	541	Series 1993-1, Class ZB, 7.250%, 02/15/23		621


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	240	Series 1994-1, Class 1, VAR, 5.576%, 02/15/24		263
	345	Series 1996-1, Class 1Z, 6.750%, 02/15/26		395
	116	Series 1996-2, Class 1Z, 6.750%, 06/15/26		134
	461	Series 1997-1, Class 2Z, 7.500%, 02/15/27		543
	113	Series 1998-1, Class 2E, 7.000%, 03/15/28		132

				55,442

		Non-Agency CMO — 3.8%
		Alternative Loan Trust,
	1,836	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		1,880
	4	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		4
	348	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		322
	13	American General Mortgage Loan Trust, Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		13
		ASG Resecuritization Trust,
	104	Series 2009-1, Class A60, VAR, 2.056%, 06/26/37 (e)		102
	26	Series 2009-2, Class A55, VAR, 4.872%, 05/24/36 (e)		26
	287	Series 2009-3, Class A65, VAR, 2.066%, 03/26/37 (e)		287
		Banc of America Alternative Loan Trust,
	78	Series 2003-7, Class 2A4, 5.000%, 09/25/18		79
	30	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		30
	36	Series 2003-11, Class PO, PO, 01/25/34		31
	34	Banc of America Funding Trust, Series 2004-1, Class PO, PO, 03/25/34		27
		Banc of America Mortgage Trust,
	17	Series 2003-8, Class APO, PO, 11/25/33		13
	20	Series 2004-1, Class APO, PO, 02/25/34		18
	53	Series 2004-3, Class 1A26, 5.500%, 04/25/34		54
	24	Series 2004-6, Class APO, PO, 07/25/34		22
		BCAP LLC Trust,
	336	Series 2010-RR7, Class 2A1, VAR, 2.073%, 07/26/45 (e)		338
	306	Series 2011-RR10, Class 2A1, VAR, 1.007%, 09/26/37 (e)		280
	23	Series 2011-RR5, Class 14A3, VAR, 2.501%, 07/26/36 (e)		23
	190	Series 2012-RR2, Class 1A1, VAR, 0.325%, 08/26/36 (e)		186


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — continued
	108	Bear Stearns ARM Trust, Series 2005-5, Class A1, VAR, 2.180%, 08/25/35		110
	188	CAM Mortgage Trust, Series 2014-2, Class A, SUB, 2.600%, 05/15/48 (e)		187
		CHL Mortgage Pass-Through Trust,
	12	Series 2003-J13, Class PO, PO, 01/25/34		11
	22	Series 2003-J7, Class 4A3, IF, 9.572%, 08/25/18		23
	79	Series 2004-5, Class 1A4, 5.500%, 06/25/34		85
	31	Series 2004-HYB3, Class 2A, VAR, 2.329%, 06/20/34		30
	328	Series 2005-22, Class 2A1, VAR, 2.554%, 11/25/35		279
		Citigroup Mortgage Loan Trust,
	144	Series 2008-AR4, Class 1A1A, VAR, 2.734%, 11/25/38 (e)		145
	428	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		441
	230	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		236
		Citigroup Mortgage Loan Trust, Inc.,
	30	Series 2003-UP3, Class A3, 7.000%, 09/25/33		31
	24	Series 2003-UST1, Class A1, 5.500%, 12/25/18		24
	3	Series 2003-UST1, Class PO1, PO, 12/25/18		3
	4	Series 2003-UST1, Class PO3, PO, 12/25/18		4
	41	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 2A5, 5.000%, 10/25/18		42
		CSMC,
	723	Series 2010-11R, Class A6, VAR, 1.156%, 06/28/47 (e)		693
	125	Series 2011-9R, Class A1, VAR, 2.155%, 03/27/46 (e)		125
	99	Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)		100
	149	Deutsche Alt-A Securities, Inc., Mortgage Loan Trust, Series 2005-3, Class 1A1, VAR, 5.347%, 06/25/20		150
	15	Deutsche Mortgage Securities, Inc., Mortgage Loan Trust, Series 2004-1, Class 2APO, PO, 10/25/18		14
	85	FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/18 (e)		86
		First Horizon Mortgage Pass-Through Trust,
	147	Series 2004-AR7, Class 2A2, VAR, 2.552%, 02/25/35		147


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	166	Series 2005-AR1, Class 2A2, VAR, 2.575%, 04/25/35		167
	317	GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3, 5.500%, 02/25/36		296
	51	Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO, PO, 04/25/33		29
	255	IndyMac INDX Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.000%, 08/25/35		—	(h)
		JP Morgan Mortgage Trust,
	70	Series 2006-A2, Class 4A1, VAR, 2.495%, 08/25/34		70
	248	Series 2006-A2, Class 5A3, VAR, 2.518%, 11/25/33		248
		MASTR Adjustable Rate Mortgages Trust,
	47	Series 2004-3, Class 4A2, VAR, 2.327%, 04/25/34		44
	201	Series 2004-13, Class 2A1, VAR, 2.642%, 04/21/34		203
		MASTR Alternative Loan Trust,
	155	Series 2003-9, Class 8A1, 6.000%, 01/25/34		155
	382	Series 2004-4, Class 10A1, 5.000%, 05/25/24		405
	27	Series 2004-7, Class 30PO, PO, 08/25/34		22
	29	Series 2004-10, Class 1A1, 4.500%, 09/25/19		29
	135	Series 2005-6, Class 3A1, 5.500%, 11/25/20		133
		MASTR Asset Securitization Trust,
	55	Series 2003-2, Class 1A1, 5.000%, 03/25/18		55
	8	Series 2004-8, Class PO, PO, 08/25/19		7
	76	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		60
		Merrill Lynch Mortgage Investors Trust,
	86	Series 2003-E, Class A1, VAR, 0.775%, 10/25/28		85
	124	Series 2004-A, Class A1, VAR, 0.615%, 04/25/29		119
	51	MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.475%, 02/25/35		50
	66	NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		67
		Nomura Asset Acceptance Corp. Alternative Loan Trust,
	47	Series 2003-A1, Class A1, 5.500%, 05/25/33		49


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Non-Agency CMO — continued
	23		Series 2003-A1, Class A2, 6.000%, 05/25/33		24
	10		Series 2003-A1, Class A5, 7.000%, 04/25/33		10
	—	(h)	PaineWebber CMO Trust, Series H, Class 4, 8.750%, 04/01/18		—	(h)
			RALI Trust,
	25		Series 2002-QS16, Class A3, IF, 16.299%, 10/25/17		26
	125		Series 2002-QS8, Class A5, 6.250%, 06/25/17		127
	37		Series 2003-QS3, Class A2, IF, 16.159%, 02/25/18		42
	142		Series 2003-QS9, Class A3, IF, IO, 7.395%, 05/25/18		15
	161		Series 2004-QS3, Class CB, 5.000%, 03/25/19		164
	118		Reperforming Loan REMIC Trust, Series 2005-R1, Class 2APO, PO, 03/25/35 (e)		103
	13		Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.750%, 02/25/19		13
			Salomon Brothers Mortgage Securities VII, Inc.,
	70		Series 2003-HYB1, Class A, VAR, 2.612%, 09/25/33		71
	6		Series 2003-UP2, Class PO1, PO, 12/25/18		5
			Springleaf Mortgage Loan Trust,
	128		Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e)		133
	255		Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e)		258
	193		Series 2012-3A, Class A, VAR, 1.570%, 12/25/59 (e)		193
	103		Series 2012-3A, Class M1, VAR, 2.660%, 12/25/59 (e)		103
	130		Series 2013-1A, Class A, VAR, 1.270%, 06/25/58 (e)		130
	273		Series 2013-2A, Class A, VAR, 1.780%, 12/25/65 (e)		273
	125		Series 2013-2A, Class M1, VAR, 3.520%, 12/25/65 (e)		128
	213		Series 2013-3A, Class A, VAR, 1.870%, 09/25/57 (e)		213
	306		Series 2013-3A, Class M1, VAR, 3.790%, 09/25/57 (e)		308
	110		Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-33H, Class 1A1, 5.500%, 10/25/33		113
	64		Structured Asset Securities Corp. Trust, Series 2005-6, Class 4A1, 5.000%, 05/25/35		65


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
		WaMu Mortgage Pass-Through Certificates Trust,
	30	Series 2002-S8, Class 2A7, 5.250%, 01/25/18		30
	148	Series 2003-AR5, Class A7, VAR, 2.443%, 06/25/33		151
	79	Series 2004-AR3, Class A2, VAR, 2.377%, 06/25/34		80
	281	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7, 5.500%, 06/25/35		262
		Washington Mutual MSC Mortgage Pass-Through Certificates Trust,
	36	Series 2003-MS2, Class 1A1, 5.750%, 02/25/33		38
	9	Series 2003-MS7, Class P, PO, 03/25/33		7
	211	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		212
		Wells Fargo Mortgage-Backed Securities Trust,
	58	Series 2003-K, Class 1A1, VAR, 2.491%, 11/25/33		59
	94	Series 2004-EE, Class 3A1, VAR, 2.533%, 12/25/34		95
	302	Series 2004-P, Class 2A1, VAR, 2.613%, 09/25/34		308
	501	Series 2005-AR3, Class 1A1, VAR, 2.619%, 03/25/35		510

				13,263

		Total Collateralized Mortgage Obligations (Cost $65,427)		68,705

	Commercial Mortgage-Backed Securities — 2.0%
		A10 Term Asset Financing LLC,
	429	Series 2013-2, Class A, 2.620%, 11/15/27 (e)		428
	250	Series 2014-1, Class A1, 1.720%, 04/15/33 (e)		251
		Banc of America Commercial Mortgage Trust,
	50	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		52
	290	Series 2006-4, Class A4, 5.634%, 07/10/46		308
	300	Series 2007-5, Class A4, 5.492%, 02/10/51		324
	150	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-3, Class AM, 4.727%, 07/10/43		153
	200	BB-UBS Trust, Series 2012-TFT, Class A, 2.892%, 06/05/30 (e)		195
	360	Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW11, Class A4, VAR, 5.600%, 03/11/39		378


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	14,450	CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.556%, 12/11/49 (e)		110
		COMM Mortgage Trust,
	500	Series 2012-9W57, Class A, 2.365%, 02/10/29 (e)		513
	423	Series 2014-KYO, Class A, VAR, 1.057%, 06/11/27 (e)		423
	90	Commercial Mortgage Pass-Through Certificates, Series 2012-MVP, Class A, VAR, 2.094%, 11/17/26 (e)		91
	202	CSMC, Series 2014-ICE, Class A, VAR, 1.050%, 04/15/27 (e)		202
	134	DBRR Trust, Series 2013-EZ2, Class A, VAR, 0.853%, 02/25/45 (e)		134
	273	GMAC Commercial Mortgage Securities, Inc. Trust, Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		283
	50	LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31		52
	350	Morgan Stanley Re-REMIC Trust, Series 2012-XA, Class A, 2.000%, 07/27/49 (e)		352
	653	NCUA Guaranteed Notes Trust, Series 2010-C1, Class APT, 2.650%, 10/29/20		664
		NorthStar, (Cayman Islands),
	325	Series 2013-1A, Class A, VAR, 2.005%, 08/25/29 (e)		326
	250	Series 2013-1A, Class B, VAR, 5.155%, 08/25/29 (e)		252
	91	NorthStar Mortgage Trust, Series 2012-1, Class A, VAR, 1.355%, 08/25/29 (e)		91
	206	ORES NPL LLC, Series 2013-LV2, Class A, 3.081%, 09/25/25 (e)		206
	239	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.560%, 08/15/39		241
	116	UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e)		117
	104	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.525%, 05/10/63		108
	500	VNDO Mortgage Trust, Series 2013-PENN, Class A, 3.808%, 12/13/29 (e)		528
	197	Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e)		197

		Total Commercial Mortgage-Backed Securities (Cost $6,814)		6,979

	Corporate Bonds — 18.9%
		Consumer Discretionary — 1.0%
		Auto Components — 0.0% (g)
	99	Johnson Controls, Inc., 3.750%, 12/01/21		104


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Automobiles — 0.1%
		Daimler Finance North America LLC,
	150	1.650%, 04/10/15 (e)		151
	150	1.875%, 01/11/18 (e)		151
	150	2.625%, 09/15/16 (e)		155

				457

		Media — 0.6%
		21st Century Fox America, Inc.,
	100	7.250%, 05/18/18		119
	100	7.700%, 10/30/25		132
		CBS Corp.,
	94	3.700%, 08/15/24		95
	25	4.300%, 02/15/21		27
	25	5.750%, 04/15/20		29
	100	Comcast Corp., 5.900%, 03/15/16		108
	16	Cox Communications, Inc., 5.450%, 12/15/14		16
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	150	4.600%, 02/15/21		165
	353	5.000%, 03/01/21		395
	78	Discovery Communications LLC, 4.375%, 06/15/21		85
		Thomson Reuters Corp., (Canada),
	105	3.950%, 09/30/21		111
	60	4.700%, 10/15/19		66
		Time Warner Cable, Inc.,
	57	5.850%, 05/01/17		64
	50	6.750%, 07/01/18		59
	150	8.250%, 04/01/19		189
	35	8.750%, 02/14/19		44
		Viacom, Inc.,
	18	1.250%, 02/27/15		18
	50	3.125%, 06/15/22		50
	11	3.250%, 03/15/23		11
	43	3.875%, 12/15/21		45
	50	4.500%, 03/01/21		55
	15	6.250%, 04/30/16		16
	42	Walt Disney Co. (The), 0.450%, 12/01/15		42

				1,941

		Multiline Retail — 0.2%
	40	Kohl’s Corp., 6.250%, 12/15/17		46
		Macy’s Retail Holdings, Inc.,
	37	2.875%, 02/15/23		36
	49	4.375%, 09/01/23		52
	25	7.450%, 07/15/17		29


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Multiline Retail — continued
	35	Nordstrom, Inc., 4.000%, 10/15/21		38
	400	Target Corp., 6.000%, 01/15/18		458

				659

		Specialty Retail — 0.1%
	32	Bed Bath & Beyond, Inc., 4.915%, 08/01/34		33
	59	Gap, Inc. (The), 5.950%, 04/12/21		69
	130	Home Depot, Inc. (The), 5.400%, 03/01/16		139

				241

		Total Consumer Discretionary		3,402

		Consumer Staples — 0.8%
		Beverages — 0.3%
	75	Anheuser-Busch Cos. LLC, 5.500%, 01/15/18		85
	150	Anheuser-Busch InBev Finance, Inc., 3.700%, 02/01/24		157
	139	Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19		171
	50	Coca-Cola Co. (The), 4.875%, 03/15/19		56
	70	Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20		79
	30	Diageo Finance B.V., (Netherlands), 5.300%, 10/28/15		32
	85	FBG Finance Pty Ltd., (Australia), 5.125%, 06/15/15 (e)		88
	30	Heineken N.V., (Netherlands), 1.400%, 10/01/17 (e)		30
		PepsiCo, Inc.,
	180	1.250%, 08/13/17		181
	31	3.000%, 08/25/21		32
	6	7.900%, 11/01/18		7
	30	SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e)		33

				951

		Food & Staples Retailing — 0.2%
	179	CVS Caremark Corp., 4.000%, 12/05/23		189
	53	CVS Pass-Through Trust, 5.926%, 01/10/34 (e)		62
		Kroger Co. (The),
	50	2.200%, 01/15/17		51
	90	4.000%, 02/01/24		94
	30	6.150%, 01/15/20		35
	75	6.400%, 08/15/17		86
	94	Walgreen Co., 3.100%, 09/15/22		93

				610

		Food Products — 0.3%
	135	Bunge Ltd. Finance Corp., 8.500%, 06/15/19		169
	14	Bunge N.A. Finance LP, 5.900%, 04/01/17		16


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Food Products — continued
		Cargill, Inc.,
	100	3.300%, 03/01/22 (e)		103
	106	4.307%, 05/14/21 (e)		116
	24	ConAgra Foods, Inc., 2.100%, 03/15/18		24
		Kraft Foods Group, Inc.,
	52	5.375%, 02/10/20		59
	332	6.125%, 08/23/18		383
	150	Mondelez International, Inc., 4.000%, 02/01/24		158
	73	Tyson Foods, Inc., 3.950%, 08/15/24		75

				1,103

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

				96

		Total Consumer Staples		2,760

		Energy — 1.6%
		Energy Equipment & Services — 0.1%
	14	Cameron International Corp., 4.000%, 12/15/23		15
	107	Halliburton Co., 3.500%, 08/01/23		111
	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)		49
		Transocean, Inc., (Cayman Islands),
	39	3.800%, 10/15/22		38
	35	6.375%, 12/15/21		40
	100	6.500%, 11/15/20		113
	33	Weatherford International Ltd., (Bermuda), 4.500%, 04/15/22		35

				428

		Oil, Gas & Consumable Fuels — 1.5%
		Apache Corp.,
	42	3.250%, 04/15/22		43
	25	6.900%, 09/15/18		30
		BP Capital Markets plc, (United Kingdom),
	20	1.375%, 11/06/17		20
	233	2.237%, 05/10/19		235
	106	2.750%, 05/10/23		103
	66	3.814%, 02/10/24		69
	100	4.742%, 03/11/21		112
	150	Canadian Natural Resources Ltd., (Canada), 5.900%, 02/01/18		170


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Oil, Gas & Consumable Fuels — continued
	21	Cenovus Energy, Inc., (Canada), 3.000%, 08/15/22		21
	40	Chevron Corp., 2.355%, 12/05/22		39
	200	CNOOC Nexen Finance 2014 ULC, (Canada), 4.250%, 04/30/24		208
	150	ConocoPhillips, 5.750%, 02/01/19		174
	190	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		209
	150	Devon Energy Corp., 1.875%, 05/15/17		152
	80	Encana Corp., (Canada), 6.500%, 05/15/19		94
	200	Eni S.p.A., (Italy), 4.150%, 10/01/20 (e)		213
	49	Enterprise Products Operating LLC, 3.900%, 02/15/24		51
		EOG Resources, Inc.,
	23	2.625%, 03/15/23		22
	100	4.100%, 02/01/21		109
	50	Magellan Midstream Partners LP, 6.550%, 07/15/19		59
		Marathon Oil Corp.,
	228	5.900%, 03/15/18		260
	175	6.000%, 10/01/17		199
	35	Occidental Petroleum Corp., 1.750%, 02/15/17		36
	40	PC Financial Partnership, 5.000%, 11/15/14		40
		Petrobras Global Finance B.V., (Netherlands),
	84	4.375%, 05/20/23		83
	295	6.250%, 03/17/24		324
		Petrobras International Finance Co., (Cayman Islands),
	90	5.375%, 01/27/21		95
	50	7.875%, 03/15/19		58
	97	Petro-Canada, (Canada), 6.050%, 05/15/18		111
	69	Petroleos Mexicanos, (Mexico), 4.875%, 01/18/24 (e)		75
	43	Phillips 66, 2.950%, 05/01/17		45
	200	Sinopec Group Overseas Development Ltd., (United Kingdom), 4.375%, 10/17/23 (e)		210
		Spectra Energy Capital LLC,
	150	5.650%, 03/01/20		169
	140	6.200%, 04/15/18		160
	50	8.000%, 10/01/19		63
	79	Spectra Energy Partners LP, 2.950%, 09/25/18		82
		Statoil ASA, (Norway),
	143	2.650%, 01/15/24		139
	42	2.900%, 11/08/20		43
	67	3.125%, 08/17/17		71
	83	3.150%, 01/23/22		86


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Oil, Gas & Consumable Fuels — continued
	50	Talisman Energy, Inc., (Canada), 7.750%, 06/01/19		62
		Total Capital International S.A., (France),
	27	0.750%, 01/25/16		27
	44	1.500%, 02/17/17		44
	75	1.550%, 06/28/17		76
	150	2.750%, 06/19/21		151
	175	Total Capital S.A., (France), 2.300%, 03/15/16		179
		TransCanada PipeLines Ltd., (Canada),
	100	6.500%, 08/15/18		118
	30	7.125%, 01/15/19		36

				5,175

		Total Energy		5,603

		Financials — 10.5%
		Banks — 4.3%
	200	ABN AMRO Bank N.V., (Netherlands), 2.500%, 10/30/18 (e)		203
	100	ANZ New Zealand International Ltd., (New Zealand), 3.125%, 08/10/15 (e)		102
	250	Australia & New Zealand Banking Group Ltd., (Australia), 2.400%, 11/23/16 (e)		258
		Bank of America Corp.,
	42	4.100%, 07/24/23		44
	200	Series C, 5.000%, 01/15/15		203
	100	5.000%, 05/13/21		112
	130	5.625%, 07/01/20		149
	300	Series L, 5.650%, 05/01/18		337
	170	5.750%, 12/01/17		191
	50	5.875%, 01/05/21		58
	814	6.400%, 08/28/17		925
	100	6.500%, 08/01/16		110
	266	6.875%, 04/25/18		310
		Bank of Montreal, (Canada),
	250	1.300%, 10/31/14 (e)		250
	85	2.550%, 11/06/22		83
		Bank of Nova Scotia (The), (Canada),
	121	1.650%, 10/29/15 (e)		123
	175	2.550%, 01/12/17		181
	123	3.400%, 01/22/15		124
	136	Bank of Tokyo-Mitsubishi UFJ Ltd. (The), (Japan), 3.850%, 01/22/15 (e)		138
	200	Banque Federative du Credit Mutuel S.A., (France), 1.700%, 01/20/17 (e)		201
		Barclays Bank plc, (United Kingdom),
	200	2.500%, 09/21/15 (e)		205


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Banks — continued
	100	2.750%, 02/23/15		101
	250	6.050%, 12/04/17 (e)		281
		BB&T Corp.,
	125	3.950%, 04/29/16		132
	100	4.900%, 06/30/17		109
	300	Capital One Bank USA N.A., 3.375%, 02/15/23		299
		Citigroup, Inc.,
	13	1.250%, 01/15/16		13
	135	3.375%, 03/01/23		136
	73	3.750%, 06/16/24		74
	3	4.587%, 12/15/15		3
	59	4.750%, 05/19/15		61
	506	5.000%, 09/15/14		507
	14	5.375%, 08/09/20		16
	115	5.500%, 09/13/25		129
	13	6.000%, 08/15/17		15
	192	6.010%, 01/15/15		196
	300	6.125%, 11/21/17		340
		Comerica, Inc.,
	55	3.000%, 09/16/15		57
	16	3.800%, 07/22/26		16
	250	Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e)		257
		Cooperatieve Centrale Raiffeisen- Boerenleenbank B.A., (Netherlands),
	250	3.200%, 03/11/15 (e)		254
	34	3.375%, 01/19/17		36
	118	3.875%, 02/08/22		126
	350	Fifth Third Bancorp, 5.450%, 01/15/17		382
		HSBC Holdings plc, (United Kingdom),
	196	4.000%, 03/30/22		210
	300	4.875%, 01/14/22		338
	50	KeyCorp, 5.100%, 03/24/21		57
	300	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		346
		National Australia Bank Ltd., (Australia),
	300	2.750%, 09/28/15 (e)		307
	100	3.750%, 03/02/15 (e)		102
	300	Nordea Bank AB, (Sweden), 3.125%, 03/20/17 (e)		314
		PNC Funding Corp.,
	133	4.375%, 08/11/20		146
	265	5.125%, 02/08/20		302
	110	5.250%, 11/15/15		116
	115	5.625%, 02/01/17		126


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Banks — continued
		Royal Bank of Canada, (Canada),
	239	2.000%, 10/01/18		242
	125	2.200%, 07/27/18		128
	200	2.300%, 07/20/16		206
	250	Stadshypotek AB, (Sweden), 1.875%, 10/02/19 (e)		247
	200	Standard Chartered plc, (United Kingdom), 5.200%, 01/26/24 (e)		217
		Toronto-Dominion Bank (The), (Canada),
	200	1.500%, 03/13/17 (e)		202
	235	2.200%, 07/29/15 (e)		239
		U.S. Bancorp,
	150	2.450%, 07/27/15		153
	208	2.875%, 11/20/14		209
	850	Wachovia Corp., 5.750%, 02/01/18		966
		Wells Fargo & Co.,
	237	4.480%, 01/16/24		254
	415	5.625%, 12/11/17		469
	500	SUB, 3.676%, 06/15/16		526
		Wells Fargo Bank N.A.,
	315	Series AI, 4.750%, 02/09/15		321
	250	6.000%, 11/15/17		284
	285	Westpac Banking Corp., (Australia), 4.875%, 11/19/19		322

				15,196

		Capital Markets — 2.4%
	120	Ameriprise Financial, Inc., 4.000%, 10/15/23		127
		Bank of New York Mellon Corp. (The),
	250	Series 1, 2.950%, 06/18/15		255
	75	3.100%, 01/15/15		76
	100	3.650%, 02/04/24		104
	75	4.600%, 01/15/20		84
		BlackRock, Inc.,
	325	3.500%, 12/10/14		328
	326	Series 2, 5.000%, 12/10/19		373
	150	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		176
	40	Charles Schwab Corp. (The), 3.225%, 09/01/22		41
		Goldman Sachs Group, Inc. (The),
	100	1.600%, 11/23/15		101
	68	2.625%, 01/31/19		69
	100	3.300%, 05/03/15		102
	255	3.625%, 02/07/16		265
	66	3.700%, 08/01/15		68
	120	4.000%, 03/03/24		123


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Capital Markets — continued
	68	5.375%, 03/15/20		77
	300	5.500%, 11/15/14		303
	80	5.750%, 01/24/22		93
	1,100	5.950%, 01/18/18		1,241
	250	7.500%, 02/15/19		302
	200	ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e)		211
	71	Invesco Finance plc, (United Kingdom), 4.000%, 01/30/24		75
		Jefferies Group LLC,
	111	3.875%, 11/09/15		115
	150	5.125%, 04/13/18		164
	45	6.875%, 04/15/21		53
	80	8.500%, 07/15/19		100
		Macquarie Bank Ltd., (Australia),
	93	2.000%, 08/15/16 (e)		95
	263	5.000%, 02/22/17 (e)		285
		Macquarie Group Ltd., (Australia),
	150	6.000%, 01/14/20 (e)		170
	40	7.625%, 08/13/19 (e)		48
		Morgan Stanley,
	104	4.000%, 07/24/15		107
	195	4.200%, 11/20/14		196
	93	5.000%, 11/24/25		100
	166	5.500%, 07/24/20		189
	100	5.500%, 07/28/21		115
	450	5.625%, 09/23/19		514
	100	5.750%, 01/25/21		116
	100	6.625%, 04/01/18		116
	100	7.300%, 05/13/19		121
		Nomura Holdings, Inc., (Japan),
	85	4.125%, 01/19/16		89
	84	6.700%, 03/04/20		101
		State Street Corp.,
	36	3.100%, 05/15/23		35
	192	3.700%, 11/20/23		202
		UBS AG, (Switzerland),
	500	3.875%, 01/15/15		506
	100	5.750%, 04/25/18		114
	100	5.875%, 12/20/17		114

				8,359

		Consumer Finance — 1.1%
	139	American Express Credit Corp., 2.800%, 09/19/16		144
		American Honda Finance Corp.,
	333	1.450%, 02/27/15 (e)		335


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Consumer Finance — continued
	200	2.125%, 02/28/17 (e)		205
	83	2.125%, 10/10/18		84
	110	Capital One Financial Corp., 3.500%, 06/15/23		111
		Caterpillar Financial Services Corp.,
	250	1.000%, 11/25/16		251
	58	2.850%, 06/01/22		58
	100	5.500%, 03/15/16		107
	65	7.050%, 10/01/18		78
	100	7.150%, 02/15/19		122
		Ford Motor Credit Co. LLC,
	550	2.375%, 03/12/19		551
	200	3.000%, 06/12/17		207
	200	4.250%, 09/20/22		214
	250	HSBC USA, Inc., 2.375%, 02/13/15		252
		John Deere Capital Corp.,
	50	2.250%, 04/17/19		51
	33	3.150%, 10/15/21		34
	73	Nissan Motor Acceptance Corp., 1.800%, 03/15/18 (e)		73
	66	PACCAR Financial Corp., 1.600%, 03/15/17		67
		Toyota Motor Credit Corp.,
	225	1.750%, 05/22/17		229
	200	2.000%, 09/15/16		205
	105	2.000%, 10/24/18		106
	100	2.050%, 01/12/17		102
	154	3.200%, 06/17/15		157

				3,743

		Diversified Financial Services — 1.4%
	161	Associates Corp. of North America, 6.950%, 11/01/18		190
	425	Bank of America N.A., 5.300%, 03/15/17		463
		Berkshire Hathaway, Inc.,
	80	2.100%, 08/14/19		80
	202	3.400%, 01/31/22		211
	98	3.750%, 08/15/21		106
	25	Countrywide Financial Corp., 6.250%, 05/15/16		27
		General Electric Capital Corp.,
	17	1.000%, 12/11/15		17
	220	4.375%, 09/16/20		242
	800	4.650%, 10/17/21		896
	500	5.400%, 02/15/17		551
	140	5.500%, 01/08/20		162
	335	5.625%, 05/01/18		381
		Intercontinental Exchange, Inc.,
	47	2.500%, 10/15/18		48
	88	4.000%, 10/15/23		94


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Diversified Financial Services — continued
		Private Export Funding Corp.,
	500	Series EE, 2.800%, 05/15/22		511
	200	Series KK, 3.550%, 01/15/24		212
		Shell International Finance B.V., (Netherlands),
	42	1.125%, 08/21/17		42
	184	3.100%, 06/28/15		188
	195	4.375%, 03/25/20		218
	100	Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)		110

				4,749

		Insurance — 1.0%
		ACE INA Holdings, Inc.,
	45	2.600%, 11/23/15		46
	50	5.600%, 05/15/15		52
	61	Allstate Corp. (The), 3.150%, 06/15/23		62
		American International Group, Inc.,
	59	4.125%, 02/15/24		63
	350	5.450%, 05/18/17		388
	45	Aon Corp., 3.500%, 09/30/15		46
		Berkshire Hathaway Finance Corp.,
	65	1.300%, 05/15/18		64
	356	2.900%, 10/15/20		366
	150	5.400%, 05/15/18		170
	90	CNA Financial Corp., 5.875%, 08/15/20		104
	80	Jackson National Life Global Funding, 4.700%, 06/01/18 (e)		88
	41	Liberty Mutual Group, Inc., 5.000%, 06/01/21 (e)		45
	35	Lincoln National Corp., 4.200%, 03/15/22		38
		MassMutual Global Funding II,
	300	2.000%, 04/05/17 (e)		306
	100	3.125%, 04/14/16 (e)		104
		Metropolitan Life Global Funding I,
	100	1.500%, 01/10/18 (e)		100
	107	1.700%, 06/29/15 (e)		108
	200	2.500%, 09/29/15 (e)		204
	175	3.650%, 06/14/18 (e)		187
	100	3.875%, 04/11/22 (e)		107
		New York Life Global Funding,
	170	1.300%, 01/12/15 (e)		171
	73	2.150%, 06/18/19 (e)		73
	125	3.000%, 05/04/15 (e)		127
	150	Pacific Life Global Funding, 5.000%, 05/15/17 (e)		161
	16	Principal Financial Group, Inc., 1.850%, 11/15/17		16


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Insurance — continued
		Principal Life Global Funding II,
	35	1.000%, 12/11/15 (e)		35
	106	2.250%, 10/15/18 (e)		107
	150	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		205

				3,543

		Real Estate Investment Trusts (REITs) — 0.3%
		American Tower Corp.,
	80	3.500%, 01/31/23		79
	38	5.000%, 02/15/24		41
	45	American Tower Trust I, 1.551%, 03/15/18 (e)		45
		Equity Commonwealth,
	125	5.875%, 09/15/20		136
	150	6.650%, 01/15/18		166
	27	ERP Operating LP, 4.625%, 12/15/21		30
		HCP, Inc.,
	52	2.625%, 02/01/20		52
	23	3.875%, 08/15/24		23
	17	4.200%, 03/01/24		18
	38	4.250%, 11/15/23		39
	92	5.375%, 02/01/21		104
	73	Health Care REIT, Inc., 4.500%, 01/15/24		77
	53	Prologis LP, 4.250%, 08/15/23		56
		Simon Property Group LP,
	81	4.125%, 12/01/21		88
	17	4.200%, 02/01/15		17
	40	4.375%, 03/01/21		44
	50	5.650%, 02/01/20		58
	40	6.100%, 05/01/16		43
	50	6.125%, 05/30/18		58

				1,174

		Total Financials		36,764

		Health Care — 0.6%
		Biotechnology — 0.2%
		Amgen, Inc.,
	400	3.875%, 11/15/21		426
	44	4.500%, 03/15/20		48
	40	5.700%, 02/01/19		46
		Celgene Corp.,
	98	3.250%, 08/15/22		100
	44	3.625%, 05/15/24		45

				665

		Health Care Equipment & Supplies — 0.0% (g)
	50	Baxter International, Inc., 4.625%, 03/15/15		51


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Health Care Equipment & Supplies — continued
	40	Becton Dickinson and Co., 5.000%, 05/15/19		45

				96

		Health Care Providers & Services — 0.2%
	72	Express Scripts Holding Co., 3.500%, 06/15/24		72
	17	McKesson Corp., 0.950%, 12/04/15		17
	50	Medco Health Solutions, Inc., 2.750%, 09/15/15		51
	112	UnitedHealth Group, Inc., 3.375%, 11/15/21		117
	44	Ventas Realty LP, 3.750%, 05/01/24		44
		WellPoint, Inc.,
	93	2.300%, 07/15/18		95
	115	3.125%, 05/15/22		115

				511

		Life Sciences Tools & Services — 0.0% (g)
		Thermo Fisher Scientific, Inc.,
	22	1.300%, 02/01/17		22
	69	4.150%, 02/01/24		73

				95

		Pharmaceuticals — 0.2%
		AbbVie, Inc.,
	119	1.750%, 11/06/17		120
	87	2.900%, 11/06/22		85
	69	Actavis Funding SCS, (Luxembourg), 3.850%, 06/15/24 (e)		70
	150	GlaxoSmithKline Capital, Inc., 5.650%, 05/15/18		171
		Merck & Co., Inc.,
	75	1.300%, 05/18/18		75
	62	2.400%, 09/15/22		60

				581

		Total Health Care		1,948

		Industrials — 1.1%
		Aerospace & Defense — 0.1%
	43	Airbus Group Finance B.V., (Netherlands), 2.700%, 04/17/23 (e)		42
	70	BAE Systems Holdings, Inc., 6.375%, 06/01/19 (e)		82
	100	Honeywell International, Inc., 5.300%, 03/01/18		113
	47	Lockheed Martin Corp., 2.125%, 09/15/16		48
	43	Precision Castparts Corp., 0.700%, 12/20/15		43
	50	United Technologies Corp., 6.125%, 02/01/19		59

				387


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Air Freight & Logistics — 0.2%
	541	Federal Express Corp. 1998 Pass-Through Trust, 6.720%, 01/15/22		634
	115	United Parcel Service of America, Inc., 8.375%, 04/01/20		150

				784

		Airlines — 0.1%
	189	American Airlines 2013-2 Class A Pass-Through Trust, 4.950%, 01/15/23		204
	30	Continental Airlines 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20		34
	58	Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		62

				300

		Commercial Services & Supplies — 0.1%
		ADT Corp. (The),
	70	3.500%, 07/15/22		63
	24	4.125%, 06/15/23		22
	50	Pitney Bowes, Inc., 5.600%, 03/15/18		55
	60	Waste Management, Inc., 7.375%, 03/11/19		73

				213

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

				146

		Electrical Equipment — 0.0% (g)
		Eaton Corp.,
	27	1.500%, 11/02/17		27
	50	5.600%, 05/15/18		57

				84

		Industrial Conglomerates — 0.1%
	175	General Electric Co., 3.375%, 03/11/24		180
	34	Ingersoll-Rand Global Holding Co., Ltd., 4.250%, 06/15/23		36
	152	Koninklijke Philips N.V., (Netherlands), 3.750%, 03/15/22		161

				377

		Machinery — 0.1%
		Caterpillar, Inc.,
	74	1.500%, 06/26/17		75
	31	2.600%, 06/26/22		30
	89	Deere & Co., 2.600%, 06/08/22		88


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Machinery — continued
	25	Parker Hannifin Corp., 5.500%, 05/15/18		28

				221

		Road & Rail — 0.4%
		Burlington Northern Santa Fe LLC,
	43	3.050%, 03/15/22		43
	32	3.450%, 09/15/21		33
	19	3.600%, 09/01/20		20
	100	3.750%, 04/01/24		104
	100	5.650%, 05/01/17		112
		CSX Corp.,
	100	3.400%, 08/01/24		102
	30	6.250%, 04/01/15		31
	30	7.375%, 02/01/19		36
	50	7.900%, 05/01/17		58
		ERAC USA Finance LLC,
	48	2.750%, 03/15/17 (e)		50
	27	4.500%, 08/16/21 (e)		29
		Norfolk Southern Corp.,
	138	3.250%, 12/01/21		143
	50	7.700%, 05/15/17		58
	53	Penske Truck Leasing Co. LP/PTL Finance Corp., 2.875%, 07/17/18 (e)		55
		Ryder System, Inc.,
	48	2.500%, 03/01/17		50
	55	3.600%, 03/01/16		57
		Union Pacific Corp.,
	21	2.950%, 01/15/23		21
	75	3.646%, 02/15/24		78
	233	4.163%, 07/15/22		256
	100	4.875%, 01/15/15		102

				1,438

		Total Industrials		3,950

		Information Technology — 1.0%
		Communications Equipment — 0.0% (g)
	55	Cisco Systems, Inc., 2.900%, 03/04/21		56

		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	32	3.000%, 03/01/18		33
	55	3.375%, 11/01/15		56
	16	4.500%, 03/01/23		17
	100	6.875%, 06/01/18		115
	13	7.500%, 01/15/27		16

				237


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Internet Software & Services — 0.0% (g)
	125	eBay, Inc., 2.875%, 08/01/21		125

		IT Services — 0.3%
		International Business Machines Corp.,
	126	1.250%, 02/06/17		127
	309	1.625%, 05/15/20		298
	150	5.700%, 09/14/17		170
	200	7.625%, 10/15/18		245
		Xerox Corp.,
	39	2.950%, 03/15/17		41
	50	5.625%, 12/15/19		57
	40	6.750%, 02/01/17		45

				983

		Semiconductors & Semiconductor Equipment — 0.0% (g)
	30	National Semiconductor Corp., 6.600%, 06/15/17		34
	73	Texas Instruments, Inc., 1.650%, 08/03/19		72

				106

		Software — 0.3%
	25	Intuit, Inc., 5.750%, 03/15/17		28
		Microsoft Corp.,
	23	0.875%, 11/15/17		23
	120	1.625%, 09/25/15		121
	34	2.125%, 11/15/22		33
	68	2.375%, 05/01/23		66
	167	3.625%, 12/15/23		177
		Oracle Corp.,
	200	3.625%, 07/15/23		209
	200	5.250%, 01/15/16		213
	100	5.750%, 04/15/18		115

				985

		Technology Hardware, Storage & Peripherals — 0.3%
		Apple, Inc.,
	199	2.400%, 05/03/23		191
	201	2.850%, 05/06/21		205
	207	VAR, 0.489%, 05/03/18		207
		EMC Corp.,
	100	1.875%, 06/01/18		100
	100	3.375%, 06/01/23		102
		Hewlett-Packard Co.,
	118	4.375%, 09/15/21		128
	45	4.650%, 12/09/21		49

				982

		Total Information Technology		3,474


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Materials — 0.6%
		Chemicals — 0.4%
	125	CF Industries, Inc., 7.125%, 05/01/20		153
		Dow Chemical Co. (The),
	81	4.125%, 11/15/21		87
	38	4.250%, 11/15/20		41
	20	8.550%, 05/15/19		26
		E.I. du Pont de Nemours & Co.,
	101	1.950%, 01/15/16		103
	100	6.000%, 07/15/18		116
	73	Monsanto Co., 2.750%, 07/15/21		73
		Mosaic Co. (The),
	34	3.750%, 11/15/21		36
	212	4.250%, 11/15/23		226
	25	Potash Corp. of Saskatchewan, Inc., (Canada), 3.250%, 12/01/17		26
	230	Praxair, Inc., 4.625%, 03/30/15		236
	150	Union Carbide Corp., 7.500%, 06/01/25		194

				1,317

		Metals & Mining — 0.2%
		BHP Billiton Finance USA Ltd., (Australia),
	37	1.000%, 02/24/15		37
	95	3.850%, 09/30/23		101
	100	5.400%, 03/29/17		111
	100	6.500%, 04/01/19		120
		Freeport-McMoRan, Inc.,
	128	2.150%, 03/01/17		130
	107	3.875%, 03/15/23		109
	27	Nucor Corp., 4.000%, 08/01/23		28
	27	Rio Tinto Finance USA Ltd., (Australia), 3.500%, 11/02/20		28
	58	Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17		59
	42	Teck Resources Ltd., (Canada), 4.750%, 01/15/22		45

				768

		Total Materials		2,085

		Telecommunication Services — 0.6%
		Diversified Telecommunication Services — 0.5%
		AT&T, Inc.,
	204	0.900%, 02/12/16		205
	100	4.450%, 05/15/21		111
	180	5.500%, 02/01/18		203
	41	BellSouth Telecommunications LLC, 6.300%, 12/15/15		41


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Diversified Telecommunication Services — continued
	100	British Telecommunications plc, (United Kingdom), 5.950%, 01/15/18		114
	27	Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17		27
	61	Orange S.A., (France), 2.750%, 09/14/16		63
	148	Qwest Corp., 6.750%, 12/01/21		172
		Telefonica Emisiones S.A.U., (Spain),
	19	5.134%, 04/27/20		21
	12	5.877%, 07/15/19		14
		Verizon Communications, Inc.,
	115	2.625%, 02/21/20 (e)		115
	72	3.450%, 03/15/21		75
	156	4.150%, 03/15/24		165
	353	4.500%, 09/15/20		388

				1,714

		Wireless Telecommunication Services — 0.1%
	40	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		40
	160	Rogers Communications, Inc., (Canada), 4.100%, 10/01/23		168
		Vodafone Group plc, (United Kingdom),
	100	1.500%, 02/19/18		99
	100	1.625%, 03/20/17		101

				408

		Total Telecommunication Services		2,122

		Utilities — 1.1%
		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
	50	Cleveland Electric Illuminating Co. (The), Series D, 7.880%, 11/01/17		59
	30	Connecticut Light & Power Co. (The), 5.650%, 05/01/18		34
	20	DTE Electric Co., 2.650%, 06/15/22		20
	60	Duke Energy Indiana, Inc., 3.750%, 07/15/20		64
		Duke Energy Progress, Inc.,
	40	2.800%, 05/15/22		40
	150	5.300%, 01/15/19		171
	60	Electricite de France S.A., (France), 2.150%, 01/22/19 (e)		60
	100	Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)		111
		Indiana Michigan Power Co.,
	100	Series J, 3.200%, 03/15/23		101
	135	7.000%, 03/15/19		163


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Electric Utilities — continued
	25	Jersey Central Power & Light Co., 7.350%, 02/01/19		30
	47	Kansas City Power & Light Co., 3.150%, 03/15/23		47
	60	Nevada Power Co., 7.125%, 03/15/19		73
		NextEra Energy Capital Holdings, Inc.,
	25	1.200%, 06/01/15		25
	27	2.400%, 09/15/19		27
	150	7.875%, 12/15/15		164
	40	Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)		45
	25	Ohio Power Co., 6.050%, 05/01/18		29
	50	Oncor Electric Delivery Co. LLC, 6.800%, 09/01/18		59
		Pacific Gas & Electric Co.,
	68	2.450%, 08/15/22		66
	50	3.250%, 06/15/23		50
	125	5.625%, 11/30/17		141
		PacifiCorp,
	140	3.600%, 04/01/24		146
	100	3.850%, 06/15/21		108
	60	5.650%, 07/15/18		69
	75	PECO Energy Co., 5.350%, 03/01/18		84
	51	Public Service Co. of Colorado, 3.200%, 11/15/20		53
	74	Public Service Co. of Oklahoma, 4.400%, 02/01/21		82
	212	Southern California Edison Co., Series C, 3.500%, 10/01/23		222
	45	Southern Co. (The), 1.950%, 09/01/16		46
	30	Southwestern Public Service Co., Series G, 8.750%, 12/01/18		38
		Virginia Electric and Power Co.,
	21	3.450%, 02/15/24		22
	100	5.400%, 04/30/18		113
	100	Wisconsin Electric Power Co., 6.250%, 12/01/15		107
	27	Xcel Energy, Inc., 0.750%, 05/09/16		27

				2,766

		Gas Utilities — 0.0% (g)
	30	Atmos Energy Corp., 8.500%, 03/15/19		38
	50	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		57

				95


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Independent Power & Renewable Electricity Producers — 0.0% (g)
	72	Exelon Generation Co. LLC, 4.000%, 10/01/20		76
	37	PSEG Power LLC, 4.300%, 11/15/23		39

				115

		Multi-Utilities — 0.3%
		AGL Capital Corp.,
	94	3.500%, 09/15/21		99
	100	6.375%, 07/15/16		109
	50	Consumers Energy Co., 5.650%, 04/15/20		58
	150	Dominion Resources, Inc., 8.875%, 01/15/19		191
	180	NiSource Finance Corp., 4.450%, 12/01/21		195
		Sempra Energy,
	48	4.050%, 12/01/23		51
	150	9.800%, 02/15/19		198

				901

		Total Utilities		3,877

		Total Corporate Bonds (Cost $61,846)		65,985

	Foreign Government Securities — 1.0%
		Israel Government AID Bond, (Israel),
	1,557	Zero Coupon, 08/15/20		1,361
	500	Series 6-Z, Zero Coupon, 02/15/22		413
		Province of Ontario, (Canada),
	400	0.950%, 05/26/15		402
	250	2.700%, 06/16/15		255
	300	2.950%, 02/05/15		303
	92	Republic of Poland, (Poland), 4.000%, 01/22/24		96
	200	Republic of Turkey, (Turkey), 5.750%, 03/22/24		222
		United Mexican States, (Mexico),
	244	3.500%, 01/21/21		254
	116	4.000%, 10/02/23		123

		Total Foreign Government Securities (Cost $3,351)		3,429

	Mortgage Pass-Through Securities — 10.3%
		Federal Home Loan Mortgage Corp.,
	133	ARM, 2.040%, 01/01/37		140
	242	ARM, 2.098%, 08/01/36		257
	29	ARM, 2.235%, 01/01/27		31
	13	ARM, 2.250%, 07/01/26		13
	193	ARM, 2.309%, 03/01/37		206
	116	ARM, 2.332%, 09/01/36		124
	63	ARM, 2.378%, 11/01/36		67


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


	323		ARM, 2.412%, 12/01/34		345
	150		ARM, 2.429%, 09/01/36		161
	280		ARM, 2.506%, 06/01/36		301
	161		ARM, 2.664%, 04/01/38		174
	100		ARM, 2.826%, 02/01/37		108
			Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	94		4.000%, 06/01/19		99
	26		4.500%, 10/01/18		28
	186		5.500%, 06/01/17 - 01/01/24		205
	18		6.000%, 10/01/17 - 04/01/18		19
	205		6.500%, 01/01/17 - 03/01/22		215
	—	(h)	7.500%, 10/01/14		—	(h)
			Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	8		6.000%, 12/01/22		9
	45		6.500%, 11/01/22 - 08/01/26		51
			Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	60		6.000%, 01/01/34		69
	71		7.000%, 04/01/26 - 02/01/37		81
	6		7.500%, 08/01/25		6
	7		8.000%, 07/01/20 - 11/01/24		7
	18		8.500%, 07/01/28		22
	308		Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30		350
			Federal Home Loan Mortgage Corp. Gold Pools, Other,
	2,663		3.500%, 05/01/33 - 05/01/43		2,749
	450		4.000%, 06/01/42		478
	165		6.000%, 02/01/33		179
			Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	—	(h)	12.000%, 08/01/15 - 07/01/19		—	(h)
			Federal National Mortgage Association,
	54		ARM, 1.798%, 02/01/37		57
	3		ARM, 1.875%, 03/01/19		2
	81		ARM, 1.885%, 08/01/35		86
	183		ARM, 1.899%, 01/01/35		193
	164		ARM, 1.910%, 09/01/35		173
	265		ARM, 1.916%, 02/01/35		282
	213		ARM, 2.070%, 01/01/35		222
	113		ARM, 2.093%, 09/01/36		120
	106		ARM, 2.127%, 11/01/33		112
	169		ARM, 2.143%, 09/01/35		181
	300		ARM, 2.153%, 09/01/34		321
	173		ARM, 2.199%, 02/01/35		184


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — continued
	71		ARM, 2.241%, 08/01/36		77
	147		ARM, 2.267%, 08/01/34		157
	132		ARM, 2.354%, 04/01/35		141
	—	(h)	ARM, 2.375%, 08/01/19		—	(h)
	205		ARM, 2.405%, 02/01/37		220
	126		ARM, 2.406%, 04/01/33		135
	122		ARM, 2.445%, 07/01/46		131
	177		ARM, 2.475%, 09/01/33		189
	147		ARM, 2.505%, 10/01/34		158
	12		ARM, 2.614%, 09/01/27		13
	281		ARM, 2.836%, 02/01/36		299
	9		ARM, 3.705%, 03/01/29		10
			Federal National Mortgage Association, 15 Year, Single Family,
	46		4.000%, 05/01/19		49
	236		4.500%, 05/01/18 - 05/01/19		251
	306		5.000%, 06/01/18 - 04/01/19		327
	193		5.500%, 01/01/20 - 06/01/20		205
	281		6.000%, 03/01/21 - 01/01/24		306
	41		6.500%, 03/01/17 - 08/01/20		43
			Federal National Mortgage Association, 20 Year, Single Family,
	72		6.000%, 04/01/24		81
	95		6.500%, 05/01/22		107
			Federal National Mortgage Association, 30 Year, FHA/VA,
	13		6.000%, 09/01/33		14
	25		6.500%, 03/01/29		29
	6		8.500%, 02/01/30		6
	8		9.000%, 09/01/19 - 12/01/30		8
	5		9.500%, 12/01/18		6
			Federal National Mortgage Association, 30 Year, Single Family,
	71		4.500%, 08/01/33		77
	1,082		5.000%, 07/01/33 - 08/01/40		1,204
	103		5.500%, 12/01/33		116
	523		6.000%, 12/01/32 - 09/01/37		595
	40		6.500%, 08/01/31		47
	6		7.000%, 09/01/27 - 08/01/32		7
	11		7.500%, 11/01/22 - 10/01/24		12
	380		8.000%, 03/01/21 - 11/01/32		439
	7		8.500%, 07/01/24 - 06/01/25		8
	—	(h)	9.000%, 04/01/26		—	(h)
	3		10.000%, 02/01/24		3
	—	(h)	12.500%, 01/01/16		—	(h)
			Federal National Mortgage Association, Other,
	500		VAR, 0.625%, 12/01/23		504


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	1,000	VAR, 0.635%, 08/01/23		1,008
	948	1.940%, 01/01/17		954
	1,000	2.056%, 01/01/17		999
	1,000	2.294%, 12/01/22		978
	500	2.314%, 12/01/22		490
	990	2.480%, 06/01/19		1,011
	1,973	2.764%, 06/01/23		1,997
	2,352	3.590%, 12/01/20		2,517
	1,000	3.658%, 10/01/20		1,068
	1,500	3.760%, 10/01/23 - 11/01/23		1,616
	895	4.000%, 07/01/42		951
	408	4.271%, 06/01/21		447
	1,045	4.298%, 03/01/21		1,153
	1,942	4.380%, 01/01/21 - 04/01/21		2,159
	495	4.390%, 05/01/21		551
	786	4.443%, 04/01/21		872
	917	4.500%, 03/01/20		1,013
	109	5.500%, 04/01/38		119
	125	6.000%, 03/01/37		139
		Government National Mortgage Association II, 30 Year, Single Family,
	320	6.000%, 03/20/28 - 09/20/38		360
	12	7.500%, 02/20/28 - 09/20/28		15
	31	8.000%, 12/20/25 - 08/20/28		36
	20	8.500%, 03/20/25 - 05/20/25		22
		Government National Mortgage Association, 15 Year, Single Family,
	13	6.000%, 10/15/17		14
	3	8.000%, 01/15/16		3
		Government National Mortgage Association, 30 Year, Single Family,
	341	6.000%, 11/15/28 - 12/15/38		386
	294	6.500%, 01/15/24 - 12/15/35		340
	281	7.000%, 08/15/23 - 06/15/35		319
	25	7.500%, 11/15/22 - 09/15/28		28
	6	8.000%, 07/15/22 - 08/15/28		6
	3	8.500%, 11/15/17		3
	7	9.000%, 08/15/16 - 11/15/24		8
	128	9.500%, 09/15/18 - 12/15/25		145
	1	12.000%, 11/15/19		1

		Total Mortgage Pass-Through Securities (Cost $34,716)		36,129

	Supranational — 0.1%
	150	African Development Bank, 8.800%, 09/01/19 (Cost $189)		191


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	U.S. Government Agency Securities — 2.5%
		Federal National Mortgage Association,
	1,000	Zero Coupon, 06/01/17		971
	800	5.000%, 05/11/17		886
	375	Federal National Mortgage Association STRIPS, Zero Coupon, 11/15/21		315
		Financing Corp.,
	1,440	Zero Coupon, 05/11/18		1,360
	500	Zero Coupon, 04/05/19		460
	584	Zero Coupon, 09/26/19		528
	1,000	Government Trust Certificate, Zero Coupon, 10/01/15		988
		Residual Funding Corp. STRIPS,
	250	Zero Coupon, 10/15/19		226
	1,750	Zero Coupon, 07/15/20		1,545
	1,000	Tennessee Valley Authority, 5.500%, 07/18/17		1,126
	333	Tennessee Valley Authority STRIPS, Zero Coupon, 05/01/19		303

		Total U.S. Government Agency Securities (Cost $8,489)		8,708

	U.S. Treasury Obligations — 30.1%
		U.S. Treasury Bonds,
	1,225	7.500%, 11/15/16		1,408
	250	8.750%, 08/15/20		348
	1,500	8.875%, 08/15/17		1,846
	835	11.250%, 02/15/15		877
		U.S. Treasury Coupon STRIPS,
	700	0.925%, 05/15/18 (n)		666
	2,200	1.837%, 02/15/18 (n)		2,108
	2,150	1.967%, 05/15/21 (n)		1,870
	3,275	2.257%, 02/15/21 (n)		2,873
	4,446	2.283%, 08/15/17 (n)		4,318
	3,750	2.410%, 02/15/20 (n)		3,392
	2,400	2.464%, 02/15/22 (n)		2,035
	300	2.484%, 05/15/23 (n)		244
	150	2.487%, 11/15/23 (n)		120
	1,495	2.497%, 05/15/19 (n)		1,383
	150	2.514%, 05/15/22 (n)		126
	6,700	2.557%, 08/15/21 (n)		5,779
	3,577	2.597%, 08/15/16 (n)		3,538
	3,720	2.681%, 02/15/23 (n)		3,046
	53	2.683%, 02/15/28 (n)		36
	1,000	2.686%, 08/15/22 (n)		834
	4,350	2.713%, 08/15/19 (n)		3,997
	2,300	2.852%, 11/15/21 (n)		1,966
	1,224	2.913%, 02/15/17 (n)		1,200
	47	3.041%, 08/15/26 (n)		34


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	10,348	3.056%, 05/15/20 (n)		9,288
	300	3.148%, 11/15/26 (n)		215
	12,550	3.292%, 08/15/20 (n)		11,170
	100	3.317%, 08/15/27 (n)		70
	150	3.344%, 11/15/27 (n)		103
	700	3.722%, 11/15/16 (n)		690
	2,290	3.771%, 11/15/17 (n)		2,208
	3,325	5.853%, 02/15/15 (n)		3,324
	4,266	6.310%, 02/15/16 (n)		4,245
		U.S. Treasury Inflation Indexed Notes,
	1,700	0.500%, 04/15/15		1,878
	700	1.125%, 01/15/21		818
		U.S. Treasury Notes,
	593	0.875%, 01/31/18		587
	800	1.000%, 11/30/19		771
	1,500	1.250%, 10/31/18		1,488
	5,500	1.500%, 08/31/18		5,524
	350	2.625%, 08/15/20		365
	400	2.625%, 11/15/20		417
	1,500	2.750%, 11/30/16		1,571
	1,000	3.125%, 04/30/17		1,061
	850	3.125%, 05/15/21		911
	7,900	3.250%, 12/31/16		8,369
	1,050	3.500%, 02/15/18		1,132
	1,550	3.500%, 05/15/20		1,694
	450	3.625%, 02/15/21		496
	700	4.000%, 02/15/15		713
	400	4.250%, 11/15/17		440
	200	4.500%, 02/15/16		212
	1,000	4.750%, 08/15/17		1,111

		Total U.S. Treasury Obligations (Cost $102,027)		104,915


SHARES
	Short-Term Investment — 9.0%
		Investment Company — 9.0%
	31,493	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.030% (b) (l) (m) (Cost $31,493)		31,493

		Total Investments — 99.4% (Cost $334,502)		346,753
		Other Assets in Excess of Liabilities — 0.6%		2,188

		NET ASSETS — 100.0%	$	348,941

Percentages indicated are based on net assets.


ARM		— Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2014.
CDO		— Collateralized Debt Obligation
CMBS		— Commercial Mortgage Backed Security
CMO		— Collateralized Mortgage Obligation
ESOP		— Employee Stock Ownership Program
ETF		— Exchange Traded Fund
FHA		— Federal Housing Administration
FHLMC		— Federal Home Loan Mortgage Corp.
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 August 31, 2014. 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.
REMIC		— Real Estate Mortgage Investment Conduit
Rev.		— Revenue
SPDR		— Standard & Poor’s Depository Receipts
STRIPS		— Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.


SUB		— Step-Up Bond. The interest rate shown is the rate in effect as of August 31, 2014.
VA		— Veterans Administration
VAR		— Variable Rate Security. The interest rate shown is the rate in effect as of August 31, 2014.

(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 August 31, 2014.
(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 which is a security in the Fund’s index.
(t)		— The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(†)		— Security matures in 2105.
(††)		— Security matures in 2110.
(†††)		— Security matures in 2111.
(††††)		— Security matures in 2114.

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 Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on prices received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. The pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers 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 pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair 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, various forms of credit enhancements, such as bond insurance, 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. Securities listed on the NASDAQ Stock Market LLC are generally valued at 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. Investments in open-end investment companies are valued at each underlying investment company’s net asset value per share (“NAV”) as of the report date.

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 these 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 pricing services or values received are deemed not representative of fair value, values will be obtained from a third party broker-dealer or counterparty.

Securities or other assets for which market quotations are not readily available or for which market quotations are deemed to 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”), has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”) and J.P. Morgan Asset Management’s Legal, Compliance and Risk Management groups 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 employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The 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.

See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value Level 3 securities held by Core Bond Trust and Intermediate Bond Trust at August 31, 2014.

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 among Levels 1 and 2 during the six months ended August 31, 2014.

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),

respectively, which resulted in a lack of or increase in available market inputs to determine price.

The change in unrealized appreciation (depreciation) attributable to securities owned at August 31, 2014, 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.

The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

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”).

Illiquid securities are securities which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately their fair value and include, but are 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 August 31, 2014, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A under the Securities Act.

The following are the value and percentage of net assets of illiquid securities as of August 31, 2014 (amounts in thousands):

C. Loan Assignments — Core Bond Trust invests in loan assignments of all or a portion of the loans. When the Fund purchases a loan assignment the Fund has direct rights against the borrower on a loan provided, however, the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. As a result, the Fund assumes the credit risk of the Borrower (“Intermediate Participants”) and any other persons interpositioned between the Fund and the Borrower. Although certain loan assignments are secured by collateral, the Fund could experience delays or limitations in realizing the value on such collateral or have its interest subordinated to other indebtedness of the Borrower. In addition, loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid, when purchased, may become illiquid.

D. Unfunded Commitments — Core Bond Trust may enter into commitments to buy and sell investments including commitments to buy loan assignments to settle on future dates as part of its normal investment activities. Unfunded commitments may include revolving loan facilities which may obligate the Fund to provide cash to the borrower on demand. Commitments are generally traded and priced as part of a related loan assignment (Note 2.C.). The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities. The Fund segregates security positions such that sufficient liquid assets will be available for the commitments on a future date. Credit risk exists on these commitments to the extent of any difference between the sales price and current value of the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. The Fund may receive an ongoing commitment fee based on the undrawn portion of the underlying loan facility, which is recorded as a component of interest income on the Statements of Operations.

At August 31, 2014, Core Bond Trust had the following loan commitments in which all or a portion of the commitment was unfunded which could be extended at the option of the borrower (amounts in thousands):

E. 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 change in net unrealized appreciation/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 six months ended August 31, 2014 (amounts in thousands):

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

F. 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):

G. 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.

H. 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.

I. 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 capital gains 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 August 31, 2014, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s 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 remains subject to examination by the Internal Revenue Service.

J. 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.

A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, the Adviser, an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of each 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 Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator, an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at a 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. For these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. 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, if any, are presented separately in the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, 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 Adviser, 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 Adviser 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 six months ended August 31, 2014. The contractual expense limitation percentages in the table above are in place until at least June 30, 2015.

For the six months ended August 31, 2014, 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 Adviser or its affiliates. The Adviser 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 six months ended August 31, 2014 were as follows (amounts in thousands):

F. Other — Certain officers of the Trust are affiliated with the Adviser 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 six months ended August 31, 2014, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.

The Funds may use related party broker-dealers. For the six months ended August 31, 2014, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.

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

During the six months ended August 31, 2014, 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 August 31, 2014 were as follows (amounts in thousands):

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after February 28, 2011 are 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 August 31, 2014, the Funds did not have any post-enactment net capital loss carryforwards.

As of February 28, 2014, 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 adviser or its affiliates who maintain one or more separately managed private accounts. One or more affiliates of the Adviser have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Fund’s assets for each of the Core Bond Trust, Equity Index Trust and Intermediate Bond Trust.

Exchange Traded Funds may use derivative instruments in connection with their individual investment strategies including futures contracts, forward foreign currency exchange contracts, options, swaps and other derivatives, which are also subject to specific risks related to their structure, sector or market and may be riskier than investments in securities.

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 Funds invest in floating rate loans and other floating rate debt securities. Although these securities are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate securities may decline if their rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given the historically low interest rate environment, risks associated with rising rates are heightened. 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.

During the six months ended August 31, 2014, certain shareholders of Core Bond Trust purchased shares and Core Bond Trust received portfolio securities primarily by means of a subscription in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as of the close of business on the dates and at the market values listed below (amounts in thousands):

As a shareholder of the Funds, you incur ongoing costs, including investment advisory 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, March 1, 2014, and continued to hold your shares at the end of the reporting period, August 31, 2014.

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.

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2014, at which the Trustees considered the continuation of the investment advisory agreements for each of the Funds whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 20, 2014.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Funds’ expense ratios and those of their peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Lipper Inc. (“Lipper”), an independent provider of investment company data. The Trustees’ independent consultant also provided additional analyses of the performance of the Funds in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed agreements with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed agreements. The Trustees also discussed the proposed agreements in executive sessions with

independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.

The Trustees considered information provided with respect to the Funds over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of the Advisory Agreement was in the best interests of each Fund and its shareholders.

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

Nature, Extent and Quality of Services Provided by the Adviser

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

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

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

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

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

Fall-Out Benefits

The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

The Trustees also considered that JPMFM, an affiliate of the Adviser, earns fees from the Funds for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.

Economies of Scale

The Trustees considered the extent to which the Funds benefit from economies of scale. The Trustees noted that the proposed investment advisory fee schedule for the Funds does not contain breakpoints but that the Adviser has implemented fee waivers and expense limitations. The Trustees considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure was reasonable in light of the fee waivers and expense limitations that the Advisor and Administrator have in place that serve to limit the overall net expense ratio for each Fund at competitive levels, and that shareholders of the Funds effectively participated in the economies of scale through the fee waivers and expense limitations.

Independent Written Evaluation of the Funds’ Chief Compliance Officer

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

Fees Relative to Adviser’s Other Clients

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

Investment Performance

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

The Trustees noted that Core Bond Trust’s performance was in the first quintile for each of the one-, three-, and five-year periods ended December 31, 2013. The Trustees also noted that the independent consultant indicated that the Fund’s overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, concluded that the performance was reasonable.

The Trustees noted that Equity Index Trust’s performance was in the first quintile for each of the one-, three- and five-year periods ended December 31, 2013, and that the independent consultant indicated that Fund’s overall performance was

satisfactory. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, concluded that the performance was reasonable.

The Trustees noted that Intermediate Bond Trust’s performance was in the first quintile for each of the one-, three-, and five-year periods ended December 31, 2013, and that the independent consultant indicated that the Fund’s overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, concluded that the performance was reasonable.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate paid by each Fund to the Adviser and compared that rate to the information prepared by Lipper concerning management fee rates paid by other funds in the same Lipper category as each Fund. The Trustees recognized that Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and the administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver

and/or expense reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios are summarized below:

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

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

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

The Trust held a meeting of shareholders on July 23, 2014, for the purpose of considering and voting upon the election of Trustees.

Trustees were elected by the shareholders of all of the series of the Trust, including each of the Funds. The results of the voting were as follows:


	Votes Received (Amounts in thousands)
John F. Finn
In Favor		4,607,844
Withheld		0

Dr. Matthew Goldstein
In Favor		4,607,844
Withheld		0

Robert J. Higgins
In Favor		4,607,844
Withheld		0

Frankie D. Hughes
In Favor		4,607,844
Withheld		0

Peter C. Marshall
In Favor		4,607,844
Withheld		0

Mary E. Martinez
In Favor		4,607,844
Withheld		0

Marilyn McCoy
In Favor		4,607,844
Withheld		0


	Votes Received (Amounts in thousands)
Mitchell M. Merin
In Favor		4,607,844
Withheld		0

William G. Morton, Jr.
In Favor		4,607,844
Withheld		0

Robert A. Oden, Jr.
In Favor		4,607,844
Withheld		0

Marian U. Pardo
In Favor		4,607,844
Withheld		0

Frederick W. Ruebeck
In Favor		4,607,844
Withheld		0

James J. Schonbachler
In Favor		4,607,844
Withheld		0

J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

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

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The 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. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time

periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

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

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

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

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

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

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

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

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

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

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



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			94

Notes to Financial Statements			96

Schedule of Shareholder Expenses			106

Board Approval of Investment Advisory Agreements			107

Special Shareholder Meeting Results			110


REPORTING PERIOD RETURN:
Fund*			2.56%
Barclays U.S. Aggregate Index			2.74%

Net Assets as of 8/31/2014 (In Thousands)			$3,820,339
Duration as of 8/31/2014			4.81 years


AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2014

	INCEPTION DATE OF FUND		6 MONTH*			1 YEAR			3 YEAR			5 YEAR			SINCE INCEPTION
		February 7, 2005		2.56	%		5.32	%		3.63	%		5.69	%		5.66	%


REPORTING PERIOD RETURN:
JPMorgan Equity Index Trust*		8.77%
S&P 500 Index**		8.84%

Net Assets as of 8/31/2014 (In Thousands)	$	378,123


AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2014

	INCEPTION DATE OF FUND		6 MONTH*			1 YEAR			3 YEAR			5 YEAR			SINCE INCEPTION
		February 7, 2005		8.77	%		25.07	%		20.44	%		16.72	%		7.59	%


REPORTING PERIOD RETURN:
Fund*			1.53%
Barclays Intermediate U.S. Government/Credit Index			1.41%

Net Assets as of 8/31/2014 (In Thousands)			$348,941
Duration as of 8/31/2014			3.43 years


	Core Bond Trust		Equity Index Trust			Intermediate Bond Trust
ASSETS:
Investments in non-affiliates, at value	$	3,711,454	$	368,368		$	315,260
Investments in affiliates, at value		95,077		9,024			31,493

Total investment securities, at value		3,806,531		377,392			346,753
Cash		—		—			41
Receivables:
Investment securities sold		387		—			93
Fund shares sold		610		—			1,000
Interest and dividends from non-affiliates		15,802		789			1,248
Dividends from affiliates		2		—	(a)		1
Variation margin on futures contracts		—		11			—
Prepaid expenses		41		3			4

Total Assets		3,823,373		378,195			349,140


LIABILITIES:
Payables:
Due to custodian		1,638		—			—
Distributions		268		—			68
Fund shares redeemed		384		—			—
Unrealized depreciation on unfunded commitments		31		—			—
Accrued liabilities:
Investment advisory fees		306		15			13
Administration fees		104		6			5
Custodian and accounting fees		218		29			75
Trustees’ and Chief Compliance Officer’s fees		6		—	(a)		—	(a)
Audit fees		44		21			36
Other		35		1			2

Total Liabilities		3,034		72			199

Net Assets	$	3,820,339	$	378,123		$	348,941


NET ASSETS:
Paid-in-Capital	$	3,633,329	$	215,227		$	334,959
Accumulated undistributed (distributions in excess of) net investment income		4,364		1,499			287
Accumulated net realized gains (losses)		8,749		(31,838	)		1,444
Net unrealized appreciation (depreciation)		173,897		193,235			12,251

Total Net Assets	$	3,820,339	$	378,123		$	348,941


Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):		358,892		15,591			33,512

Net asset value, offering and redemption price per share (b)	$	10.64	$	24.25		$	10.41


Cost of investments in non-affiliates	$	3,537,526	$	177,228		$	303,009
Cost of investments in affiliates		95,077		7,125			31,493


	Core Bond Trust						Equity Index Trust
	Six Months Ended August 31, 2014 (Unaudited)			Year Ended February 28, 2014			Six Months Ended August 31, 2014 (Unaudited)			Year Ended February 28, 2014
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	66,056		$	137,789		$	3,555		$	6,962
Net realized gain (loss)		6,064			7,055			9,094			12,219
Distributions of capital gains received from investment company affiliates		—			1			—			—	(a)
Change in net unrealized appreciation/depreciation		24,991			(123,685	)		18,601			58,781

Change in net assets resulting from operations		97,111			21,160			31,250			77,962


DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income		(68,238	)		(133,909	)		(3,214	)		(6,806	)
From net realized gains		—			(2,110	)		—			—

Total distributions to shareholders		(68,238	)		(136,019	)		(3,214	)		(6,806	)

CAPITAL TRANSACTIONS:
Proceeds from shares issued		255,966			667,144			8,222			14,789
Subscriptions in-kind (See Note 7)		14,902			—			—			—
Distributions reinvested		66,095			131,927			3,214			6,806
Cost of shares redeemed		(410,631	)		(532,846	)		(28,727	)		(48,708	)

Change in net assets resulting from capital transactions		(73,668	)		266,225			(17,291	)		(27,113	)


NET ASSETS:
Change in net assets		(44,795	)		151,366			10,745			44,043
Beginning of period		3,865,134			3,713,768			367,378			323,335

End of period	$	3,820,339		$	3,865,134		$	378,123		$	367,378

Accumulated undistributed (distributions in excess of) net investment income	$	4,364		$	6,546		$	1,499		$	1,158


SHARE TRANSACTIONS:
Issued		24,160			62,858			362			723
Subscriptions in-kind (See Note 7)		1,394			—			—			—
Reinvested		6,240			12,447			137			336
Redeemed		(38,734	)		(50,404	)		(1,242	)		(2,373	)

Change in Shares		(6,940	)		24,901			(743	)		(1,314	)


	Intermediate Bond Trust
	Six Months Ended August 31, 2014 (Unaudited)			Year Ended February 28, 2014
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	5,038		$	11,308
Net realized gain (loss)		601			1,299
Distributions of capital gains received from investment company affiliates		—			—	(a)
Change in net unrealized appreciation/depreciation		(573	)		(10,852	)

Change in net assets resulting from operations		5,066			1,755


DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income		(5,046	)		(11,070	)
From net realized gains		—			(219	)

Total distributions to shareholders		(5,046	)		(11,289	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		34,289			35,383
Distributions reinvested		4,600			10,598
Cost of shares redeemed		(38,623	)		(65,743	)

Change in net assets resulting from capital transactions		266			(19,762	)


NET ASSETS:
Change in net assets		286			(29,296	)
Beginning of period		348,655			377,951

End of period	$	348,941		$	348,655

Accumulated undistributed (distributions in excess of) net investment income	$	287		$	295


SHARE TRANSACTIONS:
Issued		3,292			3,386
Reinvested		442			1,014
Redeemed		(3,720	)		(6,290	)

Change in Shares		14			(1,890	)


	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
Six Months Ended August 31, 2014 (Unaudited)	$	10.57	$	0.18	$	0.08		$	0.26	$	(0.19	)	$	—		$	—		$	(0.19	)
Year Ended February 28, 2014		10.89		0.38		(0.32	)		0.06		(0.37	)		(0.01	)		—			(0.38	)
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	)

Equity Index Trust
Six Months Ended August 31, 2014 (Unaudited)		22.49		0.23		1.74			1.97		(0.21	)		—			—			(0.21	)
Year Ended February 28, 2014		18.32		0.42		4.15			4.57		(0.40	)		—			—			(0.40	)
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	)

Intermediate Bond Trust
Six Months Ended August 31, 2014 (Unaudited)		10.41		0.16		—			0.16		(0.16	)		—			—			(0.16	)
Year Ended February 28, 2014		10.68		0.32		(0.26	)		0.06		(0.32	)		(0.01	)		—			(0.33	)
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	)


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

$	10.64		2.46	%	$	3,820,339		0.15	%		3.39	%		0.42	%		6	%
	10.57		0.58			3,865,134		0.14			3.60			0.42			18
	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


	24.25		8.77			378,123		0.10			1.91			0.38			2
	22.49		25.21			367,378		0.10			2.01			0.38			5
	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


	10.41		1.53			348,941		0.14			2.97			0.47			8
	10.41		0.53			348,655		0.14			3.07			0.46			17
	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


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Debt Securities
Asset-Backed Securities	$	—	$	107,695	$	117,409	$	225,104
Collateralized Mortgage Obligations
Agency CMO		—		614,116		4,829		618,945
Non-Agency CMO		—		220,132		46,894		267,026

Total Collateralized Mortgage Obligations		—		834,248		51,723		885,971

Commercial Mortgage-Backed Securities		—		122,647		17,627		140,274
Corporate Bonds
Consumer Discretionary		—		50,598		—		50,598
Consumer Staples		—		36,201		—		36,201
Energy		—		65,108		—		65,108
Financials		—		324,440		—		324,440
Health Care		—		25,996		—		25,996
Industrials		—		42,796		3,491		46,287
Information Technology		—		43,748		—		43,748
Materials		—		23,637		—		23,637
Telecommunication Services		—		38,472		—		38,472
Utilities		—		62,628		—		62,628

Total Corporate Bonds		—		713,624		3,491		717,115

Foreign Government Securities		—		49,554		—		49,554
Mortgage Pass-Through Securities		—		566,739		—		566,739
Municipal Bonds		—		10,157		—		10,157
Supranational		—		4,487		—		4,487
U.S. Government Agency Securities		—		92,238		—		92,238
U.S. Treasury Obligations		—		1,006,044		—		1,006,044
Loan Assignments
Financials		—		—		13,771		13,771
Short-Term Investment
Investment Company		95,077		—		—		95,077

Total Investments in Securities	$	95,077	$	3,507,433	$	204,021	$	3,806,531


Core Bond Trust	Balance as of 02/28/14		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 08/31/14
Investments in Securities
Asset-Backed Securities	$	95,936	$	73		$	83		$	26		$	48,028	$	(25,137	)	$	—	$	(1,600	)	$	117,409
Collateralized Mortgage Obligations — Agency CMO		5,515		(2	)		84			(839	)		1,185		(113	)		2,731		(3,732	)		4,829
Collateralized Mortgage Obligations — Non-Agency CMO		48,682		—			(1,187	)		509			5		(2,923	)		3,741		(1,933	)		46,894
Commercial Mortgage-Backed Securities		18,872		—			339			(1,122	)		2,338		(2,800	)		—		—			17,627
Corporate Bonds — Industrials		3,605		—			(4	)		(1	)		35		(144	)		—		—			3,491
Loan Assignments — Financials		13,732		—			(12	)		—			11,237		(11,186	)		—		—			13,771

Total	$	186,342	$	71		$	(697	)	$	(1,427	)	$	62,828	$	(42,303	)	$	6,472	$	(7,265	)	$	204,021


JPMorgan Intermediate Bond Trust	Balance as of 02/28/14		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 08/31/14
Investments in Securities
Asset-Backed Securities	$	3,909	$	—	$	—	(a)	$	—	(a)	$	4,012		$	(1,048	)	$	—	$	—		$	6,873
Collateralized Mortgage Obligations — Agency CMO		251		—		2			(4	)		(2	)		(2	)		52		(250	)		47
Collateralized Mortgage Obligations — Non-Agency CMO		981		—		(26	)		30			—			(74	)		49		—			960
Commercial Mortgaged Backed — Securities		1,116		—		(3	)		(25	)		—			(176	)		—		—			912
Common Stocks — Industrials		945		—		3			(1	)		—			(13	)		—		—			934

	$	7,202	$	—	$	(24	)	$	—		$	4,010		$	(1,313	)	$	101	$	(250	)	$	9,726


	Fair Value at August 31, 2014		Valuation Technique(s)	Unobservable Input	Range (Weighted Average)
	$	65,362	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 17.15% (0.94%)
				Constant Default Rate		0.00% - 6.95% (2.61%)
				Yield (Discount Rate of Cash Flows)		0.00% - 6.95% (2.61%)

Asset-Backed Securities		65,362



AUGUST 31, 2014	JPMORGAN INSTITUTIONAL TRUST FUNDS	1



2	JPMORGAN INSTITUTIONAL TRUST FUNDS	AUGUST 31, 2014



AUGUST 31, 2014	JPMORGAN INSTITUTIONAL TRUST FUNDS	3



4	JPMORGAN INSTITUTIONAL TRUST FUNDS	AUGUST 31, 2014


	Value		Percentage
Core Bond Trust	$	42,260		1.11	%
Intermediate Bond Trust		578		0.17


	Term	Maturity Date		Commitment Fee Rate			Rate if Funded			Unfunded Commitment				Funded Commitment				Total Commitment
Security Description	Term	Maturity Date		Commitment Fee Rate			Rate if Funded			Par Amount		Value		Par Amount		Value		Par Amount		Value
FiveTen Group Holding, Ltd. (i)	Revolving Loan		04/10/15		0.500	%		4.500	%	$	843	$	839	$	1,657	$	1,648	$	2,500	$	2,487
Invitation Homes (i)	Revolving Loan		03/15/15		0.500			3.750			176		175		2,017		2,007		2,193		2,182
Progress Residential LP (i)	Revolving Loan		09/04/15		0.500			3.734			3,026		3,011		5,974		5,944		9,000		8,955
Tricon Capital Group, Inc. (i)	Revolving Loan		06/13/15		0.500			4.100			2,307		2,296		4,193		4,172		6,500		6,468

										$	6,352	$	6,321	$	13,841	$	13,771	$	20,193	$	20,092


	Equity Index Trust
Futures Contracts:
Average Notional Balance Long	$	3,388
Ending Notional Balance Long		4,703


Affiliate	Value at February 28, 2014		Purchase Cost		Sales Proceeds		Realized Gain/Loss		Dividend/ Interest Income		Shares at August 31, 2014		Value at August 31, 2014
Core Bond Trust
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares	$	44,100	$	423,964	$	372,987	$	—	$	9		95,077	$	95,077

Equity Index Trust
JPMorgan Chase & Co. (common stock)*	$	4,667	$	69	$	228	$	50	$	63		79	$	4,712
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares		2,082		23,650		21,420		—		1		4,312		4,312

	$	6,749	$	23,719	$	21,648	$	50	$	64		4,391	$	9,024

Intermediate Bond Trust
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares	$	6,291	$	61,939	$	36,737	$		$	2		31,493	$	31,493


Core Bond Trust	0.30	%
Equity Index Trust	0.25
Intermediate Bond Trust	0.30


	Contractual Waivers
	Investment Advisory		Administration		Total		Contractual Reimbursement
Core Bond Trust	$	4,156	$	1,088	$	5,244	$	36
Equity Index Trust		388		133		521		—
Intermediate Bond Trust		427		116		543		—


	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Purchases of U.S. Government		Sales of U.S. Government
Core Bond Trust	$	139,575	$	264,603	$	80,402	$	111,580
Equity Index Trust		5,495		24,197		—		—
Intermediate Bond Trust		16,787		28,215		7,578		22,983


	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Core Bond Trust	$	3,632,603	$	189,571	$	15,643	$	173,928
Equity Index Trust		184,353		194,352		1,313		193,039
Intermediate Bond Trust		334,502		13,039		788		12,251


	2017		2018		2019		Total
Equity Index Trust	$	2,174	$	14,260	$	7,018	$	23,452


Date	Market Value		Type
May 28, 2014	$	14,902		Subscriptions-in-kind


	Beginning Account Value March 1, 2014		Ending Account Value August 31, 2014		Expenses Paid During the Period*		Annualized Expense Ratio
Core Bond Trust
Actual	$	1,000.00	$	1,024.60	$	0.77		0.15	%
Hypothetical		1,000.00		1,024.45		0.77		0.15

Equity Index Trust
Actual		1,000.00		1,087.70		0.53		0.10
Hypothetical		1,000.00		1,024.70		0.51		0.10

Intermediate Bond Trust
Actual		1,000.00		1,015.30		0.71		0.14
Hypothetical		1,000.00		1,024.50		0.71		0.14


		^© JPMorgan Chase & Co., 2014. All rights reserved. August 2014.		SAN-INSTT-814


By:		/s/ Robert L. Young
		Robert L. Young
		President and Principal Executive Officer
		November 7, 2014