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,

Economic growth in the U.S. steadily accelerated over the past twelve months on the back of low interest rates, strong corporate earnings and falling oil prices. Over the same period, Japan’s economy slipped back into recession, growth faltered in the European Union (EU) and China’s economy began to cool. The changing circumstances drove central banks to divergent paths in the latter half of the twelve months ended February 28, 2015. The U.S. Federal Reserve (the “Fed”) responded to surging domestic employment by terminating its billion-dollar monthly bond buying program and indicating it may raise interest rates by mid-2015. The Bank of Japan unleashed a massive stimulus package and the European Central Bank (ECB) took unprecedented action to prevent a deflationary spiral. China’s central bank also employed “mini-stimulus” measures to counter slowing economic growth.

“By early 2015, there were signs of economic improvement in the EU and elsewhere, though the effectiveness of central banks’ policies and the impact of the global oil glut remained unclear.”

A key feature of the past six months was the remarkable drop in global oil prices. Starting June 19th, benchmark crude oil prices fell continuously for a record 145 days, hitting a low of $47.22 a barrel on January 14th. Oversupply and diminished global demand combined to drive prices down 58.6%.

Sustained economic growth in the U.S. made domestic financial markets particularly attractive during the twelve month reporting period. U.S. gross domestic product (GDP) rose from 4.6% growth in the three months ended June 30, 2014, to 5.0% in the three months ended October 31, 2014, before cooling to 2.2% growth in the final three months of 2014. Meanwhile, the U.S. economy added more than 200,000 jobs every month for the 12 months ended February 28, 2015. The unemployment rate fell to pre-financial crisis levels, dropping to 5.5% in February 2015 from 6.7% in February 2014. The past twelve months were also marked by the absence of meaningful inflationary pressure, mostly due to a sharp decline in global oil prices. For the twelve months ended February 28, 2015 overall consumer prices were flat, while core consumer prices excluding food and energy rose 1.7%.

Investor worries about the global economy and discrete geo-political risks drove demand for the perceived safe haven of U.S. markets. The strengthening U.S. dollar and extremely low yields on sovereign debt of industrialized nations added to the attraction of Treasuries. Yields, which generally move in the opposite direction of prices, fell 27.6% on 30-year Treasury

bonds and 24.8% on 10-year Treasury bonds. Meanwhile, U.S. equity indexes broke through multiple record highs in the latter half of the reporting period. For the twelve months ended February 28, 2015, the Standard & Poor’s 500 Index returned 15.5%, while the Barclays U.S. Aggregate Index returned 5.1%.

Meanwhile, weak growth in the euro zone drove the ECB to take unprecedented steps to stimulate the region’s economy. In June 2014, the ECB cut its deposit rate to negative 0.1% to encourage banks to extend lending and lift consumer spending. In late January 2015, the ECB made a widely anticipated decision to expand its program of bond purchases to stimulate credit growth. While growth remained weak, there were signs of improvement as euro zone GDP rose to 0.3% in the final three months of 2014 from 0.2% in the July-September 2014 period and 0.1% in the April-June 2014 period. However, monthly inflation data remained below the ECB’s target of just under 2.0%. Adding to investor uncertainty in the EU, voters in Greece installed the anti-austerity Syriza Party in government in January 2015. The move raised questions about the potential for Greece to leave the EU altogether, though after extended negotiations a revised bailout package was agreed upon. In Ukraine, fighting between the army and separatist rebels backed by Russia erupted during the summer months and again in early 2015, before a shaky truce had taken hold.

In Japan, Prime Minister Shinzo Abe approved a $29 billion plan at the end of 2014 to lift consumer spending and strengthen regional economic activity. The move followed a surprise move by the Bank of Japan at the end of October to greatly expand its asset purchases in response to two consecutive quarters of economic contraction. The combination of central bank and government stimulus drove Japanese equity prices higher during the twelve months ended February 28, 2015.

A weaker real estate market in China, along with high debt levels and excess factory capacity contributed to a slowdown in growth, and 2014 GDP narrowly missed the government’s target. At 7.4%, China’s 2014 growth was the slowest in 24 years. The People’s Bank of China responded to the slowdown with an interest rate cut and China’s government began formulating further stimulus plans.

The twelve month period was marked by both a divergence between the U.S. economy and the rest of the world and a striking drop in global energy prices. Central bank interventions remained a fact of life even as the Fed indicated it would move toward a more normalized policy stance sometime in 2015. It is worth noting that few economists had predicted steadily falling U.S. interest rates, which were a key contributor to the strength of U.S. equities and Treasury bonds during the latter half of the twelve month period. By early 2015, there were signs of economic improvement in the EU and elsewhere, though the effectiveness of central banks’ policies and the true impact of the global oil glut remained unclear.

U.S. financial markets generally performed well during the twelve month period. Equity prices as measured by the Standard & Poor’s 500 Index reached new closing highs in every month except January 2015. Meanwhile, U.S. bond markets produced generally positive returns amid a low-inflation, low-interest rate environment. U.S. interest rates steadily declined during the reporting period amid weaker-than-expected domestic growth. Economic weakness in Europe and Japan, geopolitical tensions, a stronger dollar and falling prices for commodities — notably crude oil –drove investors to buy U.S. Treasury securities as a safe haven. Extensive asset purchasing programs from the European Central Bank (ECB) and Bank of Japan drove down yields on sovereign debt, which also pushed investors into U.S. Treasury securities given their relatively higher yields.

Among other sectors of the bond market, debt securities of longer duration and lower credit quality generally outperformed shorter duration and higher rated securities as investors sought higher yields. However, high yield bonds (also known as “junk bonds”) underperformed other sectors, partly due to concerns that falling oil prices would hurt bonds of energy sector companies, which make up a significant portion of high-yield issuance. For the twelve months ended February 28, 2015, the Barclays U.S. Aggregate Index returned 5.1%.

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 twelve months ended February 28, 2015, the Fund underperformed the Barclays U.S. Aggregate Index (the “Benchmark”). Relative to the Benchmark, the Fund’s shorter duration was a leading detractor from performance. 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 fall or rise, respectively. The Fund’s underweight position in the 30-year maturity portion of the yield curve was also a leading detractor from relative performance. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.

The Fund’s overweight position in the mortgage-backed securities sector was a leading positive contributor to relative performance during the twelve month period.

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. Treasury securities and overweight mortgage-backed securities.


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	24.5	%
Collateralized Mortgage Obligations	20.4
Corporate Bonds	19.0
Mortgage Pass-Through Securities	16.2
Asset-Backed Securities	7.2
Commercial Mortgage-Backed Securities	3.6
U.S. Government Agency Securities	2.4
Foreign Government Securities	1.7
Others (each less than 1.0%)	0.6
Short-Term Investment	4.4

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 February 28, 2015. 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 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 28, 2005 to February 28, 2015. 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 twelve months ended February 28, 2015. 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 twelve months ended February 28, 2015. Continued accommodative monetary policy from the U.S. Federal Reserve, steady improvement in economic indicators, healthy corporate earnings and mergers and acquisitions activity drove the Benchmark higher during the reporting period. The latter half of the reporting period was marked by declining global oil prices.

All sectors in the Benchmark, with the exception of the energy sector, posted positive returns. The information technology and health care sectors were the greatest contributors to Benchmark performance, while the materials sector was the smallest contributor and the energy sector detracted from Benchmark performance.

HOW WAS THE FUND POSITIONED?

Regardless of the market outlook, the Fund was managed in conformity with an 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.	4.0	%
	2.	Exxon Mobil Corp.	2.0
	3.	Microsoft Corp.	1.9
	4.	Johnson & Johnson	1.5
	5.	Berkshire Hathaway, Inc., Class B	1.4
	6.	General Electric Co.	1.4
	7.	Wells Fargo & Co.	1.4
	8.	Procter & Gamble Co. (The)	1.2
	9.	JPMorgan Chase & Co.	1.2
	10.	Pfizer, Inc.	1.2


PORTFOLIO COMPOSITION BY SECTOR****
Information Technology	19.8	%
Financials	15.9
Health Care	14.6
Consumer Discretionary	12.4
Industrials	10.2
Consumer Staples	9.7
Energy	8.1
Materials	3.3
Utilities	3.0
Telecommunication Services	2.3
Exchange Traded Fund	0.0	(a)
Short-Term Investments	0.7

“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 February 28, 2015. The Fund’s portfolio composition is subject to change.

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

The 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 28, 2005 to February 28, 2015. 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?

For the twelve months ended February 28, 2015, 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 maturity portion — made a positive contribution to performance relative to the Benchmark. 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 underweight positions in the credit sector, particularly the industrial and non-corporate credit subsectors, detracted from 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 in the corporate credit sector. The Fund was overweight in securities with maturities in the intermediate part (5-10 years) of the yield curve.


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	31.0	%
Collateralized Mortgage Obligations	18.1
Corporate Bonds	17.8
Mortgage Pass-Through Securities	10.7
Asset-Backed Securities	7.9
U.S. Government Agency Securities	2.3
Commercial Mortgage-Backed Securities	2.3
Foreign Government Securities	1.7
Supranational	0.1
Short-Term Investment	8.1

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 February 28, 2015. The Fund’s portfolio composition is subject to change.

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 28, 2005 to February 28, 2015. 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 — 7.4%
		Academic Loan Funding Trust,
	1,729	Series 2012-1A, Class A1, VAR, 0.971%, 12/27/22 (e)		1,739
	2,038	Series 2013-1A, Class A, VAR, 0.971%, 12/26/44 (e)		2,032
		Ally Auto Receivables Trust,
	33	Series 2012-2, Class A3, 0.740%, 04/15/16		33
	223	Series 2012-3, Class A3, 0.850%, 08/15/16		223
	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		300
	1,981	Series 2014-SN2, Class A3, 1.030%, 09/20/17		1,980
		American Credit Acceptance Receivables Trust,
	63	Series 2012-3, Class A, 1.640%, 11/15/16 (e)		63
	424	Series 2013-1, Class A, 1.450%, 04/16/18 (e)		424
	160	Series 2013-2, Class A, 1.320%, 02/15/17 (e)		160
	1,328	Series 2014-2, Class A, 0.990%, 10/10/17 (e)		1,326
	1,182	Series 2014-2, Class B, 2.260%, 03/10/20 (e)		1,183
	895	Series 2014-4, Class A, 1.330%, 07/10/18 (e)		895
		AmeriCredit Automobile Receivables Trust,
	33	Series 2012-3, Class A3, 0.960%, 01/09/17		33
	109	Series 2012-5, Class A3, 0.620%, 06/08/17		109
	225	Series 2013-4, Class A2, 0.740%, 11/08/16		224
	590	Series 2013-5, Class A3, 0.900%, 09/10/18		590
	30	Ascentium Equipment Receivables LLC, Series 2012-1A, Class A, 1.830%, 09/15/19 (e)		30
	1,353	Axis Equipment Finance Receivables II LLC, Series 2013-1A, Class A, 1.750%, 03/20/17 (e)		1,353
	17	Bank of America Auto Trust, Series 2012-1, Class A3, 0.780%, 06/15/16		17
	406	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.541%, 04/25/36		388
	678	BMW Vehicle Owner Trust, Series 2013-A, Class A3, 0.670%, 11/27/17		678
	821	BXG Receivables Note Trust, Series 2012-A, Class A, 2.660%, 12/02/27 (e)		817
	700	Cabela’s Credit Card Master Note Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)		706


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	416	California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 08/15/17 (e)		417
		CarFinance Capital Auto Trust,
	282	Series 2013-1A, Class A, 1.650%, 07/17/17 (e)		283
	192	Series 2013-2A, Class A, 1.750%, 11/15/17 (e)		193
	660	Series 2014-1A, Class A, 1.460%, 12/17/18 (e)		659
	375	Series 2014-1A, Class B, 2.720%, 04/15/20 (e)		378
	1,680	Series 2015-1A, Class A, 1.750%, 06/15/21 (e)		1,673
	3,207	Carlyle Global Market Strategies Commodities Funding Ltd., (Cayman Islands), Series 2014-1A, Class A, VAR, 2.153%, 10/15/21 (e) (i)		3,207
		CarMax Auto Owner Trust,
	225	Series 2011-1, Class A4, 2.160%, 09/15/16		225
	676	Series 2013-4, Class A3, 0.800%, 07/16/18		675
	440	Series 2013-4, Class A4, 1.280%, 05/15/19		439
	750	Carnow Auto Receivables Trust, Series 2014-1A, Class B, 1.890%, 11/15/18 (e)		749
	301	Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		308
	1,212	Chase Funding Trust, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34		1,228
	800	Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39		1,102
	278	Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.551%, 12/25/33		266
	2,800	Concord Funding Co. LLC, Series 2012-2, Class A, 3.145%, 01/15/17 (e)		2,800
	1,079	Conix Mortgage Asset Trust, Series 2013-1, Class A, VAR, 4.704%, 12/25/47 (d) (i)		485
	1,596	Consumer Credit Origination Loan Trust, Series 2015-1, Class A, 2.820%, 03/15/21 (e)		1,596
		CPS Auto Receivables Trust,
	406	Series 2011-C, Class A, 4.210%, 03/15/19 (e)		414
	216	Series 2012-A, Class A, 2.780%, 06/17/19 (e)		219
	1,327	Series 2012-B, Class A, 2.520%, 09/16/19 (e)		1,334


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	1,809	Series 2013-C, Class A, 1.640%, 04/16/18 (e)		1,813
	2,478	Series 2013-D, Class A, 1.540%, 07/16/18 (e)		2,481
	341	Series 2014-A, Class A, 1.210%, 08/15/18 (e)		340
	3,752	Series 2014-D, Class A, 1.490%, 04/15/19 (e)		3,751
	700	Series 2014-D, Class C, 4.350%, 11/16/20 (e)		702
		CPS Auto Trust,
	792	Series 2012-C, Class A, 1.820%, 12/16/19 (e)		796
	127	Series 2012-D, Class A, 1.480%, 03/16/20 (e)		128
		Credit Acceptance Auto Loan Trust,
	743	Series 2012-2A, Class A, 1.520%, 03/16/20 (e)		745
	1,800	Series 2014-1A, Class A, 1.550%, 10/15/21 (e)		1,798
	787	CWABS, Inc. Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 1.071%, 10/25/34		762
		DT Auto Owner Trust,
	2,771	Series 2014-3A, Class A, 0.980%, 04/16/18 (e)		2,771
	1,951	Series 2015-1A, Class A, 1.060%, 09/17/18 (e)		1,950
		Exeter Automobile Receivables Trust,
	80	Series 2012-2A, Class A, 1.300%, 06/15/17 (e)		80
	300	Series 2013-1A, Class A, 1.290%, 10/16/17 (e)		300
	783	Series 2013-2A, Class A, 1.490%, 11/15/17 (e)		784
	678	Series 2014-1A, Class A, 1.290%, 05/15/18 (e)		678
	3,824	Series 2014-3A, Class A, 1.320%, 01/15/19 (e)		3,816
	556	Series 2014-3A, Class B, 2.770%, 11/15/19 (e)		552
	2,525	Series 2015-1A, Class A, 1.600%, 06/17/19 (e)		2,525
	1,125	Series 2015-1A, Class B, 2.840%, 03/16/20 (e)		1,125
		Fifth Third Auto Trust,
	344	Series 2013-1, Class A3, 0.880%, 10/16/17		345
	1,280	Series 2014-3, Class A2A, 0.570%, 05/15/17		1,279
	413	Series 2014-3, Class A3, 0.960%, 03/15/19		413


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		First Investors Auto Owner Trust,
	177	Series 2012-2A, Class A2, 1.470%, 05/15/18 (e)		177
	2,031	Series 2014-3A, Class A2, 1.060%, 11/15/18 (e)		2,030
	884	Series 2014-3A, Class A3, 1.670%, 11/16/20 (e)		884
		Flagship Credit Auto Trust,
	567	Series 2013-1, Class A, 1.320%, 04/16/18 (e)		567
	991	Series 2013-2, Class A, 1.940%, 01/15/19 (e)		996
	1,038	Series 2014-1, Class A, 1.210%, 04/15/19 (e)		1,036
	245	Series 2014-1, Class B, 2.550%, 02/18/20 (e)		246
	2,197	Series 2014-2, Class A, 1.430%, 12/16/19 (e)		2,194
	892	Series 2014-2, Class B, 2.840%, 11/16/20 (e)		894
	440	Series 2014-2, Class C, 3.950%, 12/15/20 (e)		442
		Ford Credit Auto Lease Trust,
	503	Series 2013-B, Class A3, 0.760%, 09/15/16		504
	195	Series 2014-A, Class A2A, 0.500%, 10/15/16		195
		Ford Credit Auto Owner Trust,
	39	Series 2012-A, Class A3, 0.840%, 08/15/16		39
	96	Series 2012-B, Class A3, 0.720%, 12/15/16		96
	303	Series 2012-D, Class A3, 0.510%, 04/15/17		303
	1,500	Series 2014-C, Class A2, 0.610%, 08/15/17		1,500
	1,223	Series 2014-C, Class A3, 1.060%, 05/15/19		1,224
	669	Ford Credit Floorplan Master Owner Trust, Series 2013-1, Class A2, VAR, 0.553%, 01/15/18		669
	387	Freedom Trust, Series 2011-2, Class A11, VAR, 5.000%, 08/01/46 (e)		394
		FRT Trust,
	94	Series 2013-1A, Class A1N, SUB, 3.960%, 10/25/33 (e) (i)		95
	54	Series 2013-1A, Class AR, SUB, 4.210%, 10/25/18 (e) (i)		54
	1,830	GCAT, Series 2014-1, Class A1, VAR, 3.228%, 07/25/19 (e)		1,840
	252	GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		247
		GE Equipment Midticket LLC,
	216	Series 2012-1, Class A3, 0.600%, 05/23/16		216


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	360	Series 2012-1, Class A4, 0.780%, 09/22/20		360
	5,615	GLC II Trust, Series 2014-A, Class A, 4.000%, 12/18/20 (e)		5,615
	3,013	GLC Trust, Series 2014-A, Class A, 3.000%, 07/15/21 (e)		2,994
		GMAT Trust,
	1,395	Series 2013-1A, Class A, SUB, 3.967%, 11/25/43 (e)		1,407
	597	Series 2014-1A, Class A, SUB, 3.721%, 02/25/44 (e)		596
	1,924	Gold Key Resorts LLC, Series 2014-A, Class A, 3.220%, 03/17/31 (e)		1,928
		HLSS Servicer Advance Receivables Backed Notes,
	7,662	Series 2013-T2, Class A2, 1.147%, 05/16/44 (e)		7,604
	2,140	Series 2013-T7, Class AT7, 1.981%, 11/15/46 (e)		2,124
		HLSS Servicer Advance Receivables Trust,
	1,560	Series 2012-T2, Class A2, 1.990%, 10/15/45 (e)		1,548
	1,197	Series 2013-T1, Class A2, 1.495%, 01/16/46 (e)		1,182
	497	Series 2013-T1, Class B2, 1.744%, 01/16/46 (e)		497
	997	Series 2014-T2, Class AT2, 2.217%, 01/15/47 (e)		980
	166	Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.371%, 03/25/36		136
		Honda Auto Receivables Owner Trust,
	388	Series 2012-1, Class A4, 0.970%, 04/16/18		388
	50	Series 2012-2, Class A3, 0.700%, 02/16/16		50
	1,527	Series 2013-4, Class A3, 0.690%, 09/18/17		1,527
	930	Series 2014-2, Class A3, 0.770%, 03/19/18		928
	797	Series 2015-1, Class A2, 0.700%, 06/15/17		797
	1,126	HSBC Home Equity Loan Trust USA, Series 2007-3, Class APT, VAR, 1.374%, 11/20/36		1,121
		Huntington Auto Trust,
	586	Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)		587
	80	Series 2012-1, Class A3, 0.810%, 09/15/16		80
		Hyundai Auto Receivables Trust,
	159	Series 2010-B, Class A4, 1.630%, 03/15/17		159
	1,125	Series 2015-A, Class A2, 0.680%, 10/16/17		1,124
	581	John Deere Owner Trust, Series 2012-B, Class A4, 0.690%, 01/15/19		580


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		KGS-Alpha Capital Markets LP,
	17,155	IO, VAR, 0.862%, 08/25/38		638
	11,042	Series 2013-2, IO, VAR, 1.536%, 03/25/39 (e)		621
	97	Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.521%, 07/25/34 (e)		97
	383	Long Beach Mortgage Loan Trust, Series 2006-WL2, Class 2A3, VAR, 0.371%, 01/25/36		368
		LV Tower 52 Issuer LLC,
	2,383	Series 2013-1, Class A, 5.500%, 06/15/18 (e) (i)		2,387
	785	Series 2013-1, Class M, 7.500%, 06/15/18 (e) (i)		785
	374	Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class M2, VAR, 2.421%, 03/25/32		374
	1,035	Mid-State Capital Corp. Trust, Series 2006-1, Class M1, 6.083%, 10/15/40 (e)		1,084
	1,514	MMCA Auto Owner Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e)		1,521
		Nationstar Agency Advance Funding Trust,
	439	Series 2013-T2A, Class AT2, 1.892%, 02/18/48 (e)		430
	216	Series 2013-T2A, Class BT2, 2.487%, 02/18/48 (e)		215
	615	Navitas Equipment Receivables LLC, Series 2013-1, Class A, 1.950%, 11/15/16 (e)		615
	636	NCUA Guaranteed Notes Trust, Series 2010-A1, Class A, VAR, 0.521%, 12/07/20		637
	907	New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33		933
	611	Nissan Auto Lease Trust, Series 2013-B, Class A3, 0.750%, 06/15/16		611
		Nissan Auto Receivables Owner Trust,
	333	Series 2012-A, Class A4, 1.000%, 07/16/18		334
	799	Series 2014-B, Class A3, 1.110%, 05/15/19		799
	5,156	Normandy Mortgage Loan Co. LLC, Series 2013-NPL3, Class A, SUB, 4.949%, 09/16/43 (e)		5,148
		NRPL Trust,
	3,500	Series 2015-1A, Class A1, SUB, 3.875%, 11/01/54 (e)		3,499
	1,522	Series 2015-1A, Class A2, SUB, 3.875%, 11/01/54 (e)		1,452


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
		NYMT Residential LLC,
	1,143	Series 2012-RP1A, Class NOTE, VAR, 4.250%, 12/25/17 (e) (i)		1,143
	1,873	Series 2013-RP3A, Class NOTE, SUB, 4.850%, 09/25/18 (e) (i)		1,873
		Oak Hill Advisors Residential Loan Trust,
	5,301	Series 2014-NPL2, Class A1, SUB, 3.475%, 04/25/54 (e)		5,306
	1,371	Series 2014-NPL2, Class A2, SUB, 4.000%, 04/25/54 (e)		1,335
	2,952	OnDeck Asset Securitization Trust LLC, Series 2014-1A, Class A, 3.150%, 05/17/18 (e)		2,948
		OneMain Financial Issuance Trust,
	2,744	Series 2014-1A, Class A, 2.430%, 06/18/24 (e)		2,755
	402	Series 2014-1A, Class B, 3.240%, 06/18/24 (e)		406
	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)		1,483
	4,603	Series 2015-1A, Class A, 3.190%, 03/18/26 (e)		4,608
	550	Series 2015-1A, Class B, 3.850%, 03/18/26 (e)		553
	736	Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-MCW1, Class M1, VAR, 1.109%, 10/25/34		733
	588	PFS Tax Lien Trust, Series 2014-1, Class NOTE, 1.440%, 05/15/29 (e)		589
	1,000	Progreso Receivables Funding I LLC, Series 2013-A, Class A, 4.000%, 07/09/18 (e)		1,008
	2,353	Progreso Receivables Funding II LLC, Series 2014-A, Class A, 3.500%, 07/08/19 (e)		2,354
		Progreso Receivables Funding III LLC,
	3,531	Series 2015-A, Class A, 3.625%, 02/10/20 (e)		3,531
	906	Series 2015-A, Class B, 5.500%, 02/10/20 (e)		906
	1,807	RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.471%, 03/25/36		1,762
	2,307	RBSHD Trust, Series 2013-1A, Class A, SUB, 4.685%, 10/25/47 (e) (i)		2,312
	294	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37		152


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	358	Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33		362
	294	Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 3.480%, 01/25/36		224
	589	Selene Non-Performing Loans LLC, Series 2014-1A, Class A, SUB, 2.981%, 05/25/54 (e)		583
		SNAAC Auto Receivables Trust,
	25	Series 2013-1A, Class A, 1.140%, 07/16/18 (e)		25
	606	Series 2014-1A, Class A, 1.030%, 09/17/18 (e)		606
		SpringCastle America Funding LLC,
	8,547	Series 2014-AA, Class A, 2.700%, 05/25/23 (e)		8,570
	1,500	Series 2014-AA, Class B, 4.610%, 10/25/27 (e)		1,521
		Springleaf Funding Trust,
	8,791	Series 2013-AA, Class A, 2.580%, 09/15/21 (e)		8,806
	3,000	Series 2013-BA, Class A, 3.920%, 01/16/23 (e)		3,021
	2,000	Series 2013-BA, Class B, 4.820%, 01/16/23 (e)		2,017
	6,533	Series 2014-AA, Class A, 2.410%, 12/15/22 (e)		6,524
	525	Series 2014-AA, Class B, 3.450%, 12/15/22 (e)		525
	3,841	Series 2015-AA, Class A, 3.160%, 11/15/24 (e)		3,862
	1,087	Series 2015-AA, Class B, 3.620%, 11/15/24 (e)		1,106
	1,363	Stanwich Mortgage Loan Co. LLC, Series 2013-NPL2, Class A, 3.228%, 04/16/59 (e)		1,346
	797	Stanwich Mortgage Loan Trust, Series 2013-NPL1, Class A, 2.981%, 02/16/43 (e)		793
	4,810	Sunset Mortgage Loan Co. LLC, Series 2014-NPL2, Class A, SUB, 3.721%, 11/16/44 (e)		4,795
		Trafigura Securitisation Finance plc, (Ireland),
	3,844	Series 2012-1A, Class A, VAR, 2.572%, 10/15/15 (e)		3,857
	4,251	Series 2014-1A, Class A, VAR, 1.123%, 10/15/21 (e) (i)		4,251
		Truman Capital Mortgage Loan Trust,
	2,163	Series 2014-NPL1, Class A1, SUB, 3.228%, 07/25/53 (e)		2,161


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	1,904	Series 2014-NPL2, Class A1, SUB, 3.125%, 06/25/54 (e)		1,902
	1,003	Series 2014-NPL2, Class A2, SUB, 4.000%, 06/25/54 (e)		982
	1,734	Series 2014-NPL3, Class A1, SUB, 3.125%, 04/25/53 (e)		1,732
	3,500	U.S. Residential Opportunity Fund II Trust, Series 2015-1II, Class A, 3.625%, 02/27/35 (e)		3,494
	5,111	U.S. Residential Opportunity Fund Trust, Series 2015-1AIII, Class NOTE, 3.721%, 01/27/35 (e)		5,111
		Vericrest Opportunity Loan Transferee LLC,
	2,966	Series 2014-NPL3, Class A1, SUB, 3.250%, 11/25/53 (e)		2,968
	3,254	Series 2014-NPL4, Class A1, SUB, 3.125%, 04/27/54 (e)		3,243
	5,041	Vericrest Opportunity Loan Trust, Series 2015-NPL3, Class A1, SUB, 3.375%, 10/25/58 (e)		5,058
	342	Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16		343
	2,219	VOLT NPL X LLC, Series 2014-NPL8, Class A1, SUB, 3.375%, 10/26/54 (e)		2,219
		VOLT XIX LLC,
	5,224	Series 2014-NP11, Class A1, SUB, 3.875%, 04/25/55 (e)		5,244
	400	Series 2014-NP11, Class A2, SUB, 5.000%, 04/25/55 (e)		391
	832	VOLT XV LLC, Series 2014-3A, Class A1, SUB, 3.250%, 05/26/54 (e)		830
	2,926	VOLT XVI LLC, Series 2014-NPL5, Class A1, SUB, 3.228%, 09/25/58 (e)		2,927
		VOLT XXII LLC,
	3,451	Series 2015-NPL4, Class A1, SUB, 3.500%, 02/25/55 (e)		3,447
	667	Series 2015-NPL4, Class A2, SUB, 4.250%, 02/25/55		655
		VOLT XXVI LLC,
	2,504	Series 2014-NPL6, Class A1, SUB, 3.125%, 09/25/43 (e)		2,500
	938	Series 2014-NPL6, Class A2, SUB, 4.250%, 09/25/43 (e)		923
	6,437	VOLT XXVII LLC, Series 2014-NPL7, Class A1, SUB, 3.375%, 08/27/57 (e)		6,438
	3,490	VOLT XXX LLC, Series 2015-NPL1, Class A1, SUB, 3.625%, 10/25/57 (e)		3,497
	2,986	VOLT XXXI LLC, Series 2015-NPL2, Class A1, SUB, 3.500%, 02/25/55 (e)		2,986


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Westgate Resorts LLC,
	653		Series 2012-2A, Class A, 3.000%, 01/20/25 (e)		655
	379		Series 2012-3A, Class A, 2.500%, 03/20/25 (e)		379
	868		Series 2013-1A, Class A, 2.250%, 08/20/25 (e)		867
	700		Series 2015-1A, Class A, 2.750%, 05/20/27 (e)		700
			World Omni Auto Receivables Trust,
	1,164		Series 2013-B, Class A3, 0.830%, 08/15/18		1,164
	413		Series 2013-B, Class A4, 1.320%, 01/15/20		413

			Total Asset-Backed Securities (Cost $294,216)		294,763

	Collateralized Mortgage Obligations — 20.8%
			Agency CMO — 14.9%
	577		Federal Home Loan Banks, Series TQ-2015, Class A, 5.065%, 10/20/15		592
	181		Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 8, Class ZA, 7.000%, 03/25/23		201
			Federal Home Loan Mortgage Corp. REMIC,
	5		Series 11, Class D, 9.500%, 07/15/19		5
	7		Series 22, Class C, 9.500%, 04/15/20		7
	11		Series 23, Class F, 9.600%, 04/15/20		12
	1		Series 47, Class F, 10.000%, 06/15/20		1
	3		Series 99, Class Z, 9.500%, 01/15/21		3
	—	(h)	Series 204, Class E, HB, IF, 1,854.237%, 05/15/23		—	(h)
	—	(h)	Series 1045, Class G, HB, 1,066.208%, 02/15/21		—	(h)
	4		Series 1065, Class J, 9.000%, 04/15/21		5
	1		Series 1079, Class S, HB, IF, 33.415%, 05/15/21		2
	4		Series 1084, Class F, VAR, 1.122%, 05/15/21		4
	3		Series 1084, Class S, HB, IF, 44.451%, 05/15/21		5
	9		Series 1116, Class I, 5.500%, 08/15/21		10
	12		Series 1144, Class KB, 8.500%, 09/15/21		14
	—	(h)	Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21		—	(h)
	—	(h)	Series 1196, Class B, HB, IF, 1,178.669%, 01/15/22		4
	8		Series 1250, Class J, 7.000%, 05/15/22		9
	16		Series 1343, Class LA, 8.000%, 08/15/22		18
	20		Series 1343, Class LB, 7.500%, 08/15/22		23
	34		Series 1370, Class JA, VAR, 1.322%, 09/15/22		35


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	33	Series 1455, Class WB, IF, 4.589%, 12/15/22		35
	158	Series 1466, Class PZ, 7.500%, 02/15/23		177
	3	Series 1470, Class F, VAR, 1.692%, 02/15/23		3
	180	Series 1498, Class I, VAR, 1.322%, 04/15/23		185
	263	Series 1502, Class PX, 7.000%, 04/15/23		291
	31	Series 1505, Class Q, 7.000%, 05/15/23		34
	72	Series 1518, Class G, IF, 8.880%, 05/15/23		84
	23	Series 1541, Class M, HB, IF, 24.755%, 07/15/23		37
	63	Series 1541, Class O, VAR, 1.110%, 07/15/23		64
	7	Series 1570, Class F, VAR, 2.192%, 08/15/23		7
	249	Series 1573, Class PZ, 7.000%, 09/15/23		279
	147	Series 1591, Class PV, 6.250%, 10/15/23		161
	27	Series 1602, Class SA, HB, IF, 22.191%, 10/15/23		48
	620	Series 1608, Class L, 6.500%, 09/15/23		706
	11	Series 1609, Class LG, IF, 16.961%, 11/15/23		12
	412	Series 1638, Class H, 6.500%, 12/15/23		470
	296	Series 1642, Class PJ, 6.000%, 11/15/23		330
	14	Series 1671, Class QC, IF, 10.000%, 02/15/24		21
	14	Series 1686, Class SH, IF, 18.851%, 02/15/24		21
	99	Series 1695, Class EB, 7.000%, 03/15/24		112
	20	Series 1699, Class FC, VAR, 0.772%, 03/15/24		20
	110	Series 1700, Class GA, PO, 02/15/24		106
	277	Series 1706, Class K, 7.000%, 03/15/24		313
	10	Series 1709, Class FA, VAR, 1.000%, 03/15/24		10
	34	Series 1745, Class D, 7.500%, 08/15/24		39
	600	Series 1760, Class ZD, VAR, 1.350%, 02/15/24		607
	225	Series 1798, Class F, 5.000%, 05/15/23		244
	3	Series 1807, Class G, 9.000%, 10/15/20		4
	58	Series 1829, Class ZB, 6.500%, 03/15/26		64
	60	Series 1863, Class Z, 6.500%, 07/15/26		68
	39	Series 1865, Class D, PO, 02/15/24		34
	47	Series 1890, Class H, 7.500%, 09/15/26		54
	136	Series 1899, Class ZE, 8.000%, 09/15/26		158


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	8	Series 1935, Class FL, VAR, 0.872%, 02/15/27		8
	100	Series 1963, Class Z, 7.500%, 01/15/27		115
	14	Series 1970, Class PG, 7.250%, 07/15/27		17
	188	Series 1981, Class Z, 6.000%, 05/15/27		208
	72	Series 1987, Class PE, 7.500%, 09/15/27		79
	161	Series 2019, Class Z, 6.500%, 12/15/27		180
	47	Series 2033, Class SN, HB, IF, 28.323%, 03/15/24		17
	134	Series 2038, Class PN, IO, 7.000%, 03/15/28		22
	285	Series 2040, Class PE, 7.500%, 03/15/28		327
	41	Series 2043, Class CJ, 6.500%, 04/15/28		47
	205	Series 2054, Class PV, 7.500%, 05/15/28		236
	389	Series 2075, Class PH, 6.500%, 08/15/28		433
	437	Series 2075, Class PM, 6.250%, 08/15/28		489
	110	Series 2086, Class GB, 6.000%, 09/15/28		124
	184	Series 2089, Class PJ, IO, 7.000%, 10/15/28		29
	528	Series 2095, Class PE, 6.000%, 11/15/28		601
	164	Series 2125, Class JZ, 6.000%, 02/15/29		181
	39	Series 2132, Class SB, HB, IF, 29.809%, 03/15/29		71
	20	Series 2134, Class PI, IO, 6.500%, 03/15/19		2
	223	Series 2136, Class PG, 6.000%, 03/15/29		254
	65	Series 2141, Class IO, IO, 7.000%, 04/15/29		10
	60	Series 2163, Class PC, IO, 7.500%, 06/15/29		10
	604	Series 2169, Class TB, 7.000%, 06/15/29		693
	313	Series 2172, Class QC, 7.000%, 07/15/29		353
	299	Series 2176, Class OJ, 7.000%, 08/15/29		343
	165	Series 2201, Class C, 8.000%, 11/15/29		191
	159	Series 2209, Class TC, 8.000%, 01/15/30		189
	265	Series 2210, Class Z, 8.000%, 01/15/30		307
	54	Series 2224, Class CB, 8.000%, 03/15/30		65
	147	Series 2230, Class Z, 8.000%, 04/15/30		171
	113	Series 2234, Class PZ, 7.500%, 05/15/30		130
	95	Series 2247, Class Z, 7.500%, 08/15/30		110
	144	Series 2256, Class MC, 7.250%, 09/15/30		166
	260	Series 2259, Class ZM, 7.000%, 10/15/30		299
	9	Series 2261, Class ZY, 7.500%, 10/15/30		10
	34	Series 2262, Class Z, 7.500%, 10/15/30		40
	325	Series 2271, Class PC, 7.250%, 12/15/30		374
	346	Series 2283, Class K, 6.500%, 12/15/23		386


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	142	Series 2296, Class PD, 7.000%, 03/15/31		164
	44	Series 2306, Class K, PO, 05/15/24		42
	104	Series 2306, Class SE, IF, IO, 8.750%, 05/15/24		17
	182	Series 2313, Class LA, 6.500%, 05/15/31		212
	254	Series 2325, Class PM, 7.000%, 06/15/31		271
	140	Series 2344, Class QG, 6.000%, 08/15/16		143
	1,459	Series 2344, Class ZD, 6.500%, 08/15/31		1,697
	122	Series 2344, Class ZJ, 6.500%, 08/15/31		140
	116	Series 2345, Class NE, 6.500%, 08/15/31		134
	57	Series 2345, Class PQ, 6.500%, 08/15/16		58
	129	Series 2351, Class PZ, 6.500%, 08/15/31		149
	1,104	Series 2353, Class AZ, 6.000%, 09/15/31		1,255
	61	Series 2353, Class TD, 6.000%, 09/15/16		62
	47	Series 2355, Class BP, 6.000%, 09/15/16		48
	30	Series 2359, Class PM, 6.000%, 09/15/16		31
	484	Series 2359, Class ZB, 8.500%, 06/15/31		574
	83	Series 2360, Class PG, 6.000%, 09/15/16		85
	18	Series 2363, Class PF, 6.000%, 09/15/16		18
	40	Series 2366, Class MD, 6.000%, 10/15/16		41
	231	Series 2367, Class ME, 6.500%, 10/15/31		265
	123	Series 2391, Class QR, 5.500%, 12/15/16		130
	61	Series 2394, Class MC, 6.000%, 12/15/16		62
	522	Series 2396, Class FM, VAR, 0.622%, 12/15/31		528
	267	Series 2399, Class OH, 6.500%, 01/15/32		301
	442	Series 2399, Class TH, 6.500%, 01/15/32		496
	435	Series 2410, Class NG, 6.500%, 02/15/32		493
	167	Series 2410, Class OE, 6.375%, 02/15/32		179
	297	Series 2410, Class QS, IF, 19.053%, 02/15/32		456
	162	Series 2410, Class QX, IF, IO, 8.478%, 02/15/32		46
	332	Series 2412, Class SP, IF, 15.756%, 02/15/32		457
	494	Series 2420, Class XK, 6.500%, 02/15/32		557
	407	Series 2423, Class MC, 7.000%, 03/15/32		470
	368	Series 2423, Class MT, 7.000%, 03/15/32		425
	70	Series 2425, Class OB, 6.000%, 03/15/17		73
	784	Series 2430, Class WF, 6.500%, 03/15/32		906
	432	Series 2434, Class TC, 7.000%, 04/15/32		484
	539	Series 2435, Class CJ, 6.500%, 04/15/32		621
	355	Series 2436, Class MC, 7.000%, 04/15/32		400
	284	Series 2444, Class ES, IF, IO, 7.778%, 03/15/32		74
	201	Series 2450, Class GZ, 7.000%, 05/15/32		231


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	227	Series 2450, Class SW, IF, IO, 7.828%, 03/15/32		60
	1,102	Series 2455, Class GK, 6.500%, 05/15/32		1,281
	27	Series 2458, Class QE, 5.500%, 06/15/17		28
	322	Series 2462, Class JG, 6.500%, 06/15/32		362
	745	Series 2464, Class SI, IF, IO, 7.828%, 02/15/32		180
	756	Series 2466, Class PH, 6.500%, 06/15/32		868
	345	Series 2474, Class NR, 6.500%, 07/15/32		396
	439	Series 2484, Class LZ, 6.500%, 07/15/32		506
	589	Series 2500, Class MC, 6.000%, 09/15/32		673
	29	Series 2503, Class BH, 5.500%, 09/15/17		30
	142	Series 2508, Class AQ, 5.500%, 10/15/17		149
	433	Series 2512, Class PG, 5.500%, 10/15/22		483
	238	Series 2535, Class BK, 5.500%, 12/15/22		260
	275	Series 2537, Class TE, 5.500%, 12/15/17		289
	805	Series 2543, Class YX, 6.000%, 12/15/32		905
	727	Series 2544, Class HC, 6.000%, 12/15/32		833
	925	Series 2552, Class ME, 6.000%, 01/15/33		1,056
	890	Series 2567, Class QD, 6.000%, 02/15/33		1,014
	589	Series 2568, Class KG, 5.500%, 02/15/23		657
	100	Series 2571, Class SK, HB, IF, 33.758%, 09/15/23		178
	2,138	Series 2575, Class ME, 6.000%, 02/15/33		2,355
	269	Series 2586, Class WI, IO, 6.500%, 03/15/33		41
	618	Series 2587, Class WX, 5.000%, 03/15/18		651
	599	Series 2596, Class QG, 6.000%, 03/15/33		655
	209	Series 2611, Class UH, 4.500%, 05/15/18		219
	375	Series 2617, Class GR, 4.500%, 05/15/18		390
	298	Series 2626, Class NS, IF, IO, 6.378%, 06/15/23		21
	432	Series 2631, Class LC, 4.500%, 06/15/18		453
	209	Series 2636, Class Z, 4.500%, 06/15/18		219
	275	Series 2637, Class SA, IF, IO, 5.928%, 06/15/18		18
	24	Series 2638, Class DS, IF, 8.428%, 07/15/23		27
	211	Series 2650, Class PO, PO, 12/15/32		208
	890	Series 2650, Class SO, PO, 12/15/32		874
	325	Series 2651, Class VZ, 4.500%, 07/15/18		340
	76	Series 2672, Class ME, 5.000%, 11/15/22		76
	1,435	Series 2675, Class CK, 4.000%, 09/15/18		1,492
	1,985	Series 2684, Class PO, PO, 01/15/33		1,981
	104	Series 2691, Class ME, 4.500%, 04/15/32		105
	117	Series 2692, Class SC, IF, 12.943%, 07/15/33		135


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	434	Series 2695, Class DG, 4.000%, 10/15/18		458
	19	Series 2696, Class CO, PO, 10/15/18		19
	1,376	Series 2710, Class HB, 5.500%, 11/15/23		1,537
	102	Series 2715, Class OG, 5.000%, 01/15/23		102
	879	Series 2716, Class UN, 4.500%, 12/15/23		938
	427	Series 2720, Class PC, 5.000%, 12/15/23		471
	332	Series 2744, Class PE, 5.500%, 02/15/34		354
	614	Series 2744, Class TU, 5.500%, 05/15/32		638
	84	Series 2777, Class OM, PO, 12/15/32		84
	24	Series 2780, Class JG, 4.500%, 04/15/19		25
	803	Series 2783, Class AT, 4.000%, 04/15/19		834
	2,001	Series 2809, Class UC, 4.000%, 06/15/19		2,091
	24	Series 2827, Class XO, PO, 01/15/23		24
	66	Series 2835, Class QO, PO, 12/15/32		61
	96	Series 2840, Class JO, PO, 06/15/23		95
	237	Series 2922, Class JN, 4.500%, 02/15/20		246
	563	Series 2934, Class EC, PO, 02/15/20		554
	469	Series 2934, Class HI, IO, 5.000%, 02/15/20		37
	423	Series 2934, Class KI, IO, 5.000%, 02/15/20		31
	348	Series 2958, Class QD, 4.500%, 04/15/20		363
	937	Series 2962, Class BE, 4.500%, 04/15/20		988
	1,850	Series 2965, Class GD, 4.500%, 04/15/20		1,944
	45	Series 2989, Class PO, PO, 06/15/23		45
	3,906	Series 2990, Class UZ, 5.750%, 06/15/35		4,146
	1,483	Series 3004, Class EK, 5.500%, 07/15/35		1,541
	2	Series 3007, Class AI, IO, 5.500%, 07/15/24		—	(h)
	70	Series 3014, Class OD, PO, 08/15/35		63
	944	Series 3047, Class OD, 5.500%, 10/15/35		1,087
	454	Series 3049, Class XF, VAR, 0.522%, 05/15/33		456
	3,095	Series 3064, Class MC, 5.500%, 11/15/35		3,609
	28	Series 3068, Class AO, PO, 01/15/35		28
	297	Series 3068, Class QB, 4.500%, 06/15/20		307
	2,089	Series 3074, Class BH, 5.000%, 11/15/35		2,272
	462	Series 3085, Class WF, VAR, 0.972%, 08/15/35		470
	800	Series 3102, Class FB, VAR, 0.472%, 01/15/36		803
	194	Series 3102, Class HS, HB, IF, 23.936%, 01/15/36		281
	867	Series 3117, Class EO, PO, 02/15/36		819
	500	Series 3117, Class OK, PO, 02/15/36		471
	18	Series 3122, Class ZB, 6.000%, 03/15/36		26


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	1,843	Series 3131, Class BK, 5.500%, 03/15/26		2,055
	155	Series 3134, Class PO, PO, 03/15/36		149
	740	Series 3138, Class PO, PO, 04/15/36		694
	31	Series 3149, Class SO, PO, 05/15/36		28
	673	Series 3151, Class UC, 5.500%, 08/15/35		716
	601	Series 3152, Class MO, PO, 03/15/36		570
	163	Series 3171, Class MO, PO, 06/15/36		154
	586	Series 3179, Class OA, PO, 07/15/36		550
	167	Series 3194, Class SA, IF, IO, 6.928%, 07/15/36		32
	586	Series 3211, Class SO, PO, 09/15/36		554
	282	Series 3218, Class AO, PO, 09/15/36		266
	589	Series 3219, Class DI, IO, 6.000%, 04/15/36		101
	1,500	Series 3229, Class HE, 5.000%, 10/15/26		1,637
	565	Series 3232, Class ST, IF, IO, 6.528%, 10/15/36		88
	249	Series 3233, Class OP, PO, 05/15/36		232
	397	Series 3256, Class PO, PO, 12/15/36		359
	807	Series 3260, Class CS, IF, IO, 5.968%, 01/15/37		115
	416	Series 3261, Class OA, PO, 01/15/37		390
	217	Series 3274, Class JO, PO, 02/15/37		205
	185	Series 3275, Class FL, VAR, 0.612%, 02/15/37		186
	883	Series 3290, Class SB, IF, IO, 6.278%, 03/15/37		154
	1,634	Series 3315, Class HZ, 6.000%, 05/15/37		1,808
	75	Series 3318, Class AO, PO, 05/15/37		71
	134	Series 3326, Class JO, PO, 06/15/37		127
	462	Series 3331, Class PO, PO, 06/15/37		433
	468	Series 3385, Class SN, IF, IO, 5.828%, 11/15/37		65
	641	Series 3387, Class SA, IF, IO, 6.248%, 11/15/37		69
	1,027	Series 3404, Class SC, IF, IO, 5.828%, 01/15/38		138
	4,817	Series 3422, Class AI, IO, SUB, 0.250%, 01/15/38		45
	614	Series 3424, Class PI, IF, IO, 6.628%, 04/15/38		103
	1,218	Series 3481, Class SJ, IF, IO, 5.678%, 08/15/38		123
	821	Series 3505, Class SA, IF, IO, 5.828%, 01/15/39		120
	936	Series 3511, Class SA, IF, IO, 5.828%, 02/15/39		143


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	328	Series 3549, Class FA, VAR, 1.372%, 07/15/39		335
	362	Series 3607, Class BO, PO, 04/15/36		342
	994	Series 3607, Class OP, PO, 07/15/37		944
	562	Series 3607, Class PO, PO, 05/15/37		524
	167	Series 3611, Class PO, PO, 07/15/34		157
	459	Series 3621, Class BO, PO, 01/15/40		432
	524	Series 3720, Class A, 4.500%, 09/15/25		563
	1,592	Series 3739, Class LI, IO, 4.000%, 03/15/34		67
	4,091	Series 3747, Class HI, IO, 4.500%, 07/15/37		298
	1,000	Series 3747, Class PY, 4.000%, 10/15/40		1,064
	2,144	Series 3759, Class HI, IO, 4.000%, 08/15/37		183
	1,990	Series 3760, Class GI, IO, 4.000%, 10/15/37		164
	9,334	Series 3774, Class EW, 3.500%, 12/15/25		9,850
	5,000	Series 3793, Class AB, 3.500%, 01/15/26		5,229
	118	Series 3798, Class BF, VAR, 0.472%, 06/15/24		119
	721	Series 3804, Class FN, VAR, 0.622%, 03/15/39		724
	3,178	Series 3819, Class ZQ, 6.000%, 04/15/36		3,551
	683	Series 3852, Class QN, IF, 5.500%, 05/15/41		727
	1,925	Series 3852, Class TP, IF, 5.500%, 05/15/41		2,075
	2,478	Series 3920, Class LP, 5.000%, 01/15/34		2,710
	1,331	Series 3925, Class FL, VAR, 0.622%, 01/15/41		1,345
	1,124	Series 3957, Class B, 4.000%, 11/15/41		1,208
	1,386	Series 3966, Class NA, 4.000%, 12/15/41		1,497
	889	Series 3997, Class PF, VAR, 0.622%, 11/15/39		892
	3,116	Series 4048, Class FJ, VAR, 0.570%, 07/15/37		3,114
	2,000	Series 4217, Class KY, 3.000%, 06/15/43		2,013
	7,452	Series 4219, Class JA, 3.500%, 08/15/39		7,941
	2,501	Series 4240, Class B, 3.000%, 08/15/33		2,513
	3,684	Series 4251, Class KW, 2.500%, 04/15/28		3,567
		Federal Home Loan Mortgage Corp. STRIPS,
	2	Series 134, Class B, IO, 9.000%, 04/01/22		—	(h)
	1,205	Series 233, Class 11, IO, 5.000%, 09/15/35		156
	1,719	Series 233, Class 13, IO, 5.000%, 09/15/35		223
	306	Series 243, Class 16, IO, 4.500%, 11/15/20		19
	683	Series 243, Class 17, IO, 4.500%, 12/15/20		44
	8,232	Series 262, Class 35, 3.500%, 07/15/42		8,611


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	2,276	Series 264, Class F1, VAR, 0.722%, 07/15/42		2,298
	2,129	Series 267, Class F5, VAR, 0.672%, 08/15/42		2,148
	2,616	Series 281, Class F1, VAR, 0.672%, 10/15/42		2,612
	8,913	Series 299, Class 300, 3.000%, 01/15/43		8,988
	2,399	Series 310, Class PO, PO, 09/15/43		1,911
	4,805	Series 323, Class 300, 3.000%, 01/15/44		4,973
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	496	Series T-41, Class 3A, VAR, 6.624%, 07/25/32		569
	297	Series T-51, Class 2A, VAR, 7.500%, 08/25/42		357
	1,751	Series T-54, Class 2A, 6.500%, 02/25/43		2,058
	525	Series T-54, Class 3A, 7.000%, 02/25/43		645
	212	Series T-58, Class APO, PO, 09/25/43		174
	461	Series T-59, Class 1AP, PO, 10/25/43		374
	1,860	Series T-76, Class 2A, VAR, 1.314%, 10/25/37		1,806
		Federal National Mortgage Association - ACES,
	3,300	Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20		3,642
	1,416	Series 2011-M2, Class A2, 3.645%, 04/25/21		1,519
	8,500	Series 2011-M2, Class A3, 3.764%, 04/25/21		9,217
	307	Series 2012-M11, Class FA, VAR, 0.686%, 08/25/19		309
	4,100	Series 2012-M9, Class A2, 2.482%, 04/25/22		4,136
	4,200	Series 2013-M13, Class A2, VAR, 2.624%, 04/25/23		4,237
	1,878	Series 2013-M7, Class A2, 2.280%, 12/27/22		1,858
	8,000	Series 2013-M9, Class A2, VAR, 2.389%, 01/25/23		7,971
	7,700	Series 2014-M12, Class ASV2, VAR, 2.614%, 10/25/21		7,871
	3,818	Series 2014-M13, Class A2, VAR, 3.021%, 08/25/24		3,926
	2,664	Series 2014-M2, Class A2, VAR, 3.513%, 12/25/23		2,863
	2,500	Series 2014-M3, Class A2, VAR, 3.476%, 01/25/24		2,687
	4,545	Series 2014-M5, Class ASQ2, 2.034%, 03/25/19		4,606


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
			Agency CMO — continued
	891		Series 2014-M5, Class FA, VAR, 0.514%, 01/25/17		891
			Federal National Mortgage Association Grantor Trust,
	877		Series 2002-T19, Class A2, 7.000%, 07/25/42		1,006
	672		Series 2004-T3, Class 1A3, 7.000%, 02/25/44		774
			Federal National Mortgage Association REMIC,
	3		Series 1988-7, Class Z, 9.250%, 04/25/18		4
	9		Series 1989-70, Class G, 8.000%, 10/25/19		10
	4		Series 1989-78, Class H, 9.400%, 11/25/19		4
	8		Series 1989-83, Class H, 8.500%, 11/25/19		8
	6		Series 1989-89, Class H, 9.000%, 11/25/19		6
	6		Series 1990-1, Class D, 8.800%, 01/25/20		6
	1		Series 1990-60, Class K, 5.500%, 06/25/20		1
	2		Series 1990-63, Class H, 9.500%, 06/25/20		2
	1		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
	13		Series 1990-102, Class J, 6.500%, 08/25/20		14
	15		Series 1990-120, Class H, 9.000%, 10/25/20		17
	2		Series 1990-134, Class SC, HB, IF, 21.344%, 11/25/20		2
	—	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20		1
	—	(h)	Series 1991-7, Class K, HB, 908.500%, 02/25/21		—	(h)
	6		Series 1991-24, Class Z, 5.000%, 03/25/21		6
	1		Series 1992-101, Class J, 7.500%, 06/25/22		1
	36		Series 1992-136, Class PK, 6.000%, 08/25/22		39
	29		Series 1992-143, Class MA, 5.500%, 09/25/22		32
	81		Series 1992-163, Class M, 7.750%, 09/25/22		91
	133		Series 1992-188, Class PZ, 7.500%, 10/25/22		152
	52		Series 1993-21, Class KA, 7.700%, 03/25/23		59
	75		Series 1993-25, Class J, 7.500%, 03/25/23		84
	20		Series 1993-27, Class SA, IF, 15.500%, 02/25/23		28


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	31	Series 1993-62, Class SA, IF, 18.919%, 04/25/23		44
	16	Series 1993-165, Class SD, IF, 13.389%, 09/25/23		20
	34	Series 1993-165, Class SK, IF, 12.500%, 09/25/23		39
	24	Series 1993-179, Class SB, HB, IF, 26.723%, 10/25/23		40
	16	Series 1993-179, Class SC, IF, 10.500%, 10/25/23		20
	31	Series 1993-199, Class FA, VAR, 0.721%, 10/25/23		31
	45	Series 1993-205, Class H, PO, 09/25/23		43
	71	Series 1993-225, Class UB, 6.500%, 12/25/23		80
	24	Series 1993-230, Class FA, VAR, 0.771%, 12/25/23		24
	63	Series 1993-247, Class FE, VAR, 1.171%, 12/25/23		64
	29	Series 1993-247, Class SU, IF, 12.258%, 12/25/23		37
	22	Series 1993-250, Class Z, 7.000%, 12/25/23		23
	256	Series 1994-37, Class L, 6.500%, 03/25/24		292
	1,259	Series 1994-40, Class Z, 6.500%, 03/25/24		1,380
	57	Series 1995-2, Class Z, 8.500%, 01/25/25		66
	269	Series 1995-19, Class Z, 6.500%, 11/25/23		307
	274	Series 1996-14, Class SE, IF, IO, 8.900%, 08/25/23		63
	5	Series 1996-27, Class FC, VAR, 0.671%, 03/25/17		5
	23	Series 1996-59, Class J, 6.500%, 08/25/22		25
	255	Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		11
	18	Series 1997-27, Class J, 7.500%, 04/18/27		19
	42	Series 1997-29, Class J, 7.500%, 04/20/27		49
	286	Series 1997-39, Class PD, 7.500%, 05/20/27		334
	23	Series 1997-42, Class ZC, 6.500%, 07/18/27		27
	479	Series 1997-61, Class ZC, 7.000%, 02/25/23		536
	79	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		13
	10	Series 1998-4, Class C, PO, 04/25/23		10
	152	Series 1998-36, Class ZB, 6.000%, 07/18/28		173


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
			Agency CMO — continued
	90		Series 1998-43, Class SA, IF, IO, 18.450%, 04/25/23		27
	184		Series 1998-66, Class SB, IF, IO, 7.979%, 12/25/28		37
	87		Series 1999-17, Class C, 6.350%, 04/25/29		97
	381		Series 1999-18, Class Z, 5.500%, 04/18/29		425
	82		Series 1999-38, Class SK, IF, IO, 7.879%, 08/25/23		8
	45		Series 1999-52, Class NS, HB, IF, 22.901%, 10/25/23		68
	127		Series 1999-62, Class PB, 7.500%, 12/18/29		146
	395		Series 2000-2, Class ZE, 7.500%, 02/25/30		454
	246		Series 2000-20, Class SA, IF, IO, 8.929%, 07/25/30		65
	30		Series 2000-52, Class IO, IO, 8.500%, 01/25/31		7
	128		Series 2001-4, Class PC, 7.000%, 03/25/21		140
	84		Series 2001-7, Class PF, 7.000%, 03/25/31		97
	—	(h)	Series 2001-7, Class PR, 6.000%, 03/25/16		—	(h)
	248		Series 2001-30, Class PM, 7.000%, 07/25/31		283
	284		Series 2001-33, Class ID, IO, 6.000%, 07/25/31		46
	256		Series 2001-36, Class DE, 7.000%, 08/25/31		295
	587		Series 2001-44, Class MY, 7.000%, 09/25/31		675
	90		Series 2001-44, Class PD, 7.000%, 09/25/31		102
	105		Series 2001-44, Class PU, 7.000%, 09/25/31		122
	912		Series 2001-48, Class Z, 6.500%, 09/25/21		1,043
	63		Series 2001-49, Class Z, 6.500%, 09/25/31		72
	79		Series 2001-52, Class KB, 6.500%, 10/25/31		89
	33		Series 2001-52, Class XN, 6.500%, 11/25/15		34
	864		Series 2001-61, Class Z, 7.000%, 11/25/31		980
	38		Series 2001-71, Class MB, 6.000%, 12/25/16		39
	76		Series 2001-71, Class QE, 6.000%, 12/25/16		77
	34		Series 2001-72, Class SX, IF, 17.068%, 12/25/31		44
	130		Series 2001-74, Class MB, 6.000%, 12/25/16		132
	74		Series 2002-1, Class HC, 6.500%, 02/25/22		85


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	105	Series 2002-1, Class SA, HB, IF, 24.632%, 02/25/32		178
	63	Series 2002-1, Class UD, HB, IF, 23.902%, 12/25/23		97
	119	Series 2002-2, Class UC, 6.000%, 02/25/17		122
	246	Series 2002-3, Class OG, 6.000%, 02/25/17		253
	59	Series 2002-7, Class OG, 6.000%, 03/25/17		61
	155	Series 2002-7, Class TG, 6.000%, 03/25/17		159
	67	Series 2002-10, Class SB, IF, 18.790%, 03/25/17		77
	951	Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32		52
	14	Series 2002-13, Class ST, IF, 10.000%, 03/25/32		18
	57	Series 2002-19, Class PE, 6.000%, 04/25/17		58
	27	Series 2002-21, Class LO, PO, 04/25/32		25
	269	Series 2002-21, Class PE, 6.500%, 04/25/32		302
	173	Series 2002-24, Class AJ, 6.000%, 04/25/17		178
	68	Series 2002-25, Class SG, IF, 18.910%, 05/25/17		79
	695	Series 2002-28, Class PK, 6.500%, 05/25/32		779
	161	Series 2002-37, Class Z, 6.500%, 06/25/32		185
	126	Series 2002-42, Class C, 6.000%, 07/25/17		131
	956	Series 2002-48, Class GH, 6.500%, 08/25/32		1,104
	283	Series 2002-62, Class ZE, 5.500%, 11/25/17		299
	80	Series 2002-63, Class KC, 5.000%, 10/25/17		83
	159	Series 2002-77, Class S, IF, 14.170%, 12/25/32		208
	536	Series 2002-83, Class CS, 6.881%, 08/25/23		599
	520	Series 2002-94, Class BK, 5.500%, 01/25/18		539
	303	Series 2003-3, Class HJ, 5.000%, 02/25/18		320
	2,773	Series 2003-22, Class UD, 4.000%, 04/25/33		2,922
	992	Series 2003-33, Class IA, IO, 6.500%, 05/25/33		158
	636	Series 2003-34, Class AX, 6.000%, 05/25/33		728
	1,516	Series 2003-34, Class ED, 6.000%, 05/25/33		1,730


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	39	Series 2003-35, Class UC, 3.750%, 05/25/33		42
	114	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		24
	1,054	Series 2003-39, Class LW, 5.500%, 05/25/23		1,147
	796	Series 2003-41, Class PE, 5.500%, 05/25/23		862
	238	Series 2003-42, Class GB, 4.000%, 05/25/33		255
	414	Series 2003-47, Class PE, 5.750%, 06/25/33		469
	160	Series 2003-52, Class SX, HB, IF, 22.437%, 10/25/31		245
	124	Series 2003-64, Class SX, IF, 13.323%, 07/25/33		151
	552	Series 2003-71, Class DS, IF, 7.239%, 08/25/33		578
	51	Series 2003-71, Class IM, IO, 5.500%, 12/25/31		—	(h)
	1,002	Series 2003-72, Class IE, IO, 5.500%, 08/25/33		182
	85	Series 2003-74, Class SH, IF, 9.862%, 08/25/33		96
	264	Series 2003-76, Class GQ, 4.500%, 08/25/18		275
	585	Series 2003-80, Class SY, IF, IO, 7.479%, 06/25/23		42
	472	Series 2003-81, Class LC, 4.500%, 09/25/18		495
	1,110	Series 2003-83, Class PG, 5.000%, 06/25/23		1,164
	232	Series 2003-91, Class SD, IF, 12.215%, 09/25/33		276
	1,351	Series 2003-116, Class SB, IF, IO, 7.429%, 11/25/33		340
	64	Series 2003-122, Class TE, 5.000%, 12/25/22		64
	285	Series 2003-128, Class NG, 4.000%, 01/25/19		301
	86	Series 2003-130, Class SX, IF, 11.264%, 01/25/34		103
	118	Series 2003-132, Class OA, PO, 08/25/33		113
	1,258	Series 2004-4, Class QI, IF, IO, 6.929%, 06/25/33		138
	119	Series 2004-4, Class QM, IF, 13.858%, 06/25/33		139
	560	Series 2004-10, Class SC, HB, IF, 27.916%, 02/25/34		713


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	496	Series 2004-25, Class PC, 5.500%, 01/25/34		525
	947	Series 2004-25, Class SA, IF, 19.055%, 04/25/34		1,357
	1,659	Series 2004-27, Class HB, 4.000%, 05/25/19		1,722
	340	Series 2004-36, Class PC, 5.500%, 02/25/34		360
	1,247	Series 2004-36, Class SA, IF, 19.055%, 05/25/34		1,684
	384	Series 2004-36, Class SN, IF, 13.858%, 07/25/33		435
	822	Series 2004-37, Class AG, 4.500%, 11/25/32		839
	491	Series 2004-46, Class QB, HB, IF, 23.316%, 05/25/34		717
	1,570	Series 2004-46, Class SK, IF, 16.030%, 05/25/34		1,975
	253	Series 2004-51, Class SY, IF, 13.898%, 07/25/34		329
	293	Series 2004-53, Class NC, 5.500%, 07/25/24		329
	360	Series 2004-59, Class BG, PO, 12/25/32		335
	789	Series 2004-61, Class FH, VAR, 0.971%, 11/25/32		809
	104	Series 2004-61, Class SK, IF, 8.500%, 11/25/32		127
	197	Series 2004-76, Class CL, 4.000%, 10/25/19		208
	457	Series 2004-79, Class SP, IF, 19.330%, 11/25/34		615
	90	Series 2004-81, Class AC, 4.000%, 11/25/19		93
	90	Series 2005-52, Class PA, 6.500%, 06/25/35		95
	1,385	Series 2005-56, Class S, IF, IO, 6.539%, 07/25/35		265
	319	Series 2005-66, Class SG, IF, 16.948%, 07/25/35		451
	578	Series 2005-68, Class BC, 5.250%, 06/25/35		623
	1,469	Series 2005-68, Class PG, 5.500%, 08/25/35		1,626
	782	Series 2005-68, Class UC, 5.000%, 06/25/35		832
	613	Series 2005-74, Class CS, IF, 19.550%, 05/25/35		829
	5,137	Series 2005-84, Class XM, 5.750%, 10/25/35		5,575


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	2,175	Series 2005-109, Class PC, 6.000%, 12/25/35		2,426
	6,760	Series 2005-110, Class GK, 5.500%, 08/25/34		7,088
	4,326	Series 2005-110, Class GL, 5.500%, 12/25/35		4,888
	1,751	Series 2005-110, Class MN, 5.500%, 06/25/35		1,865
	369	Series 2005-116, Class PB, 6.000%, 04/25/34		382
	143	Series 2006-15, Class OT, PO, 01/25/36		140
	462	Series 2006-16, Class OA, PO, 03/25/36		436
	635	Series 2006-22, Class AO, PO, 04/25/36		596
	195	Series 2006-23, Class KO, PO, 04/25/36		184
	1,879	Series 2006-39, Class WC, 5.500%, 01/25/36		2,031
	97	Series 2006-42, Class CF, VAR, 0.621%, 06/25/36		98
	1,000	Series 2006-44, Class GO, PO, 06/25/36		937
	2,315	Series 2006-44, Class P, PO, 12/25/33		2,171
	1,447	Series 2006-46, Class UC, 5.500%, 12/25/35		1,571
	1,477	Series 2006-53, Class US, IF, IO, 6.409%, 06/25/36		216
	1,370	Series 2006-56, Class FC, VAR, 0.461%, 07/25/36		1,375
	1,388	Series 2006-56, Class PF, VAR, 0.521%, 07/25/36		1,397
	777	Series 2006-56, Class PO, PO, 07/25/36		713
	934	Series 2006-58, Class AP, PO, 07/25/36		879
	113	Series 2006-58, Class FL, VAR, 0.631%, 07/25/36		114
	453	Series 2006-58, Class PO, PO, 07/25/36		436
	543	Series 2006-59, Class QO, PO, 01/25/33		537
	3,508	Series 2006-60, Class DZ, 6.500%, 07/25/36		4,320
	675	Series 2006-65, Class QO, PO, 07/25/36		632
	154	Series 2006-72, Class TO, PO, 08/25/36		146
	2,808	Series 2006-77, Class PC, 6.500%, 08/25/36		3,198
	569	Series 2006-79, Class DO, PO, 08/25/36		529
	482	Series 2006-90, Class AO, PO, 09/25/36		452
	192	Series 2006-109, Class PO, PO, 11/25/36		180
	1,432	Series 2006-110, Class PO, PO, 11/25/36		1,340
	128	Series 2006-111, Class EO, PO, 11/25/36		119
	801	Series 2006-118, Class A2, VAR, 0.236%, 12/25/36		799


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	167	Series 2006-119, Class PO, PO, 12/25/36		156
	2,332	Series 2006-124, Class HB, VAR, 5.984%, 11/25/36		2,380
	1,000	Series 2006-128, Class BP, 5.500%, 01/25/37		1,086
	819	Series 2006-130, Class GI, IO, 6.500%, 07/25/32		173
	785	Series 2007-7, Class SG, IF, IO, 6.329%, 08/25/36		166
	2,152	Series 2007-14, Class ES, IF, IO, 6.269%, 03/25/37		334
	203	Series 2007-15, Class NO, PO, 03/25/22		198
	708	Series 2007-16, Class FC, VAR, 0.921%, 03/25/37		717
	237	Series 2007-42, Class AO, PO, 05/25/37		223
	305	Series 2007-48, Class PO, PO, 05/25/37		282
	889	Series 2007-54, Class FA, VAR, 0.571%, 06/25/37		894
	4,845	Series 2007-60, Class AX, IF, IO, 6.979%, 07/25/37		713
	222	Series 2007-77, Class FG, VAR, 0.671%, 03/25/37		224
	1,400	Series 2007-81, Class GE, 6.000%, 08/25/37		1,592
	929	Series 2007-84, Class PG, 6.000%, 12/25/36		961
	3,257	Series 2007-88, Class VI, IF, IO, 6.369%, 09/25/37		564
	2,245	Series 2007-91, Class ES, IF, IO, 6.289%, 10/25/37		356
	1,547	Series 2007-97, Class KI, IO, 7.000%, 05/25/33		251
	2,503	Series 2007-101, Class A2, VAR, 0.421%, 06/27/36		2,500
	560	Series 2007-106, Class A7, VAR, 6.137%, 10/25/37		621
	5,000	Series 2007-114, Class A6, VAR, 0.371%, 10/27/37		4,932
	2,003	Series 2007-116, Class HI, IO, VAR, 1.489%, 01/25/38		139
	20	Series 2007-118, Class IO, IO, 6.000%, 06/25/36		—	(h)
	1,155	Series 2008-1, Class BI, IF, IO, 5.739%, 02/25/38		135
	833	Series 2008-10, Class XI, IF, IO, 6.059%, 03/25/38		105
	432	Series 2008-16, Class IS, IF, IO, 6.029%, 03/25/38		65


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	543	Series 2008-19, Class IC, IO, 5.000%, 03/25/23		33
	598	Series 2008-24, Class DY, 5.000%, 04/25/23		632
	465	Series 2008-27, Class SN, IF, IO, 6.729%, 04/25/38		58
	266	Series 2008-39, Class CI, IO, 4.500%, 05/25/18		13
	384	Series 2008-42, Class AO, PO, 09/25/36		370
	39	Series 2008-44, Class PO, PO, 05/25/38		36
	595	Series 2008-47, Class SI, IF, IO, 6.329%, 06/25/23		62
	624	Series 2008-53, Class CI, IF, IO, 7.029%, 07/25/38		101
	283	Series 2008-76, Class GF, VAR, 0.821%, 09/25/23		284
	1,721	Series 2008-80, Class SA, IF, IO, 5.679%, 09/25/38		199
	1,067	Series 2008-81, Class SB, IF, IO, 5.679%, 09/25/38		141
	1,395	Series 2009-6, Class GS, IF, IO, 6.379%, 02/25/39		264
	664	Series 2009-9, Class IO, IO, 5.000%, 02/25/24		58
	578	Series 2009-18, Class IO, IO, 5.000%, 03/25/24		41
	2,500	Series 2009-19, Class IP, IO, 5.500%, 10/25/36		448
	1,123	Series 2009-60, Class HT, 6.000%, 08/25/39		1,268
	772	Series 2009-62, Class HJ, 6.000%, 05/25/39		858
	1,123	Series 2009-70, Class CO, PO, 01/25/37		1,042
	678	Series 2009-99, Class SC, IF, IO, 6.009%, 12/25/39		84
	965	Series 2009-103, Class MB, VAR, 2.316%, 12/25/39		1,001
	1,067	Series 2010-45, Class BD, 4.500%, 11/25/38		1,097
	1,306	Series 2010-49, Class SC, IF, 12.318%, 03/25/40		1,503
	826	Series 2010-64, Class DM, 5.000%, 06/25/40		902
	994	Series 2010-71, Class HJ, 5.500%, 07/25/40		1,140
	1,936	Series 2010-133, Class A, 5.500%, 05/25/38		2,070
	2,884	Series 2010-147, Class SA, IF, IO, 6.359%, 01/25/41		648


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — continued
	1,153		Series 2010-148, Class MA, 4.000%, 02/25/39		1,207
	1,043		Series 2011-2, Class WA, VAR, 5.823%, 02/25/51		1,145
	1,568		Series 2011-22, Class MA, 6.500%, 04/25/38		1,753
	3,166		Series 2011-30, Class LS, IO, VAR, 1.819%, 04/25/41		243
	2,500		Series 2011-31, Class DB, 3.500%, 04/25/31		2,632
	7,500		Series 2011-44, Class EB, 3.000%, 05/25/26		7,758
	729		Series 2011-75, Class FA, VAR, 0.721%, 08/25/41		739
	1,559		Series 2011-118, Class MT, 7.000%, 11/25/41		1,794
	2,135		Series 2011-130, Class CA, 6.000%, 12/25/41		2,440
	1,304		Series 2012-14, Class FB, VAR, 0.621%, 08/25/37		1,313
	7,260		Series 2012-47, Class HF, VAR, 0.571%, 05/25/27		7,291
	3,000		Series 2012-66, Class CB, 3.000%, 06/25/32		2,895
	5,337		Series 2012-99, Class AE, 2.500%, 05/25/39		5,396
	3,367		Series 2012-108, Class F, VAR, 0.671%, 10/25/42		3,400
	4,197		Series 2012-137, Class CF, VAR, 0.471%, 08/25/41		4,178
	2,000		Series 2013-81, Class TA, 3.000%, 02/25/43		1,944
	1,694		Series 2013-90, Class PM, 3.500%, 09/25/43		1,799
	2,294		Series 2013-92, Class PO, PO, 09/25/43		1,859
	3,349		Series 2013-101, Class AE, 3.000%, 10/25/33		3,442
	3,483		Series 2013-101, Class DO, PO, 10/25/43		2,788
	3,000		Series 2013-101, Class E, 3.000%, 10/25/33		3,020
	3,500		Series 2013-103, Class VG, 3.000%, 03/25/30		3,423
	4,000		Series 2013-108, Class GU, 3.000%, 10/25/33		3,943
	4,590		Series 2013-128, Class PO, PO, 12/25/43		3,763
	—	(h)	Series G-17, Class S, HB, VAR, 1,063.280%, 06/25/21		4
	16		Series G-28, Class S, IF, 14.929%, 09/25/21		20
	22		Series G-35, Class M, 8.750%, 10/25/21		24


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
			Agency CMO — continued
	7		Series G-51, Class SA, HB, IF, 25.589%, 12/25/21		10
	—	(h)	Series G92-27, Class SQ, HB, IF, 11,837.806%, 05/25/22		1
	114		Series G92-35, Class E, 7.500%, 07/25/22		127
	—	(h)	Series G92-35, Class G, HB, 1,184.775%, 07/25/22		2
	13		Series G92-42, Class Z, 7.000%, 07/25/22		15
	225		Series G92-44, Class ZQ, 8.000%, 07/25/22		239
	18		Series G92-52, Class FD, VAR, 0.192%, 09/25/22		18
	123		Series G92-54, Class ZQ, 7.500%, 09/25/22		135
	17		Series G92-59, Class F, VAR, 1.392%, 10/25/22		17
	36		Series G92-61, Class Z, 7.000%, 10/25/22		41
	23		Series G92-62, Class B, PO, 10/25/22		22
	119		Series G93-1, Class KA, 7.900%, 01/25/23		136
	27		Series G93-5, Class Z, 6.500%, 02/25/23		30
	35		Series G93-14, Class J, 6.500%, 03/25/23		39
	82		Series G93-17, Class SI, IF, 6.000%, 04/25/23		91
	74		Series G93-27, Class FD, VAR, 1.051%, 08/25/23		75
	18		Series G93-37, Class H, PO, 09/25/23		17
	34		Series G95-1, Class C, 8.800%, 01/25/25		38
			Federal National Mortgage Association REMIC Trust,
	848		Series 2003-W1, Class 1A1, VAR, 5.840%, 12/25/42		950
	332		Series 2003-W1, Class 2A, VAR, 6.529%, 12/25/42		387
	118		Series 2003-W4, Class 2A, VAR, 6.371%, 10/25/42		137
	50		Series 2007-W7, Class 1A4, HB, IF, 38.154%, 07/25/37		81
	1,918		Series 2009-W1, Class A, 6.000%, 12/25/49		2,196
			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)
	11		Series 218, Class 2, IO, 7.500%, 04/25/23		2
	11		Series 265, Class 2, 9.000%, 03/25/24		13
	132		Series 329, Class 1, PO, 01/25/33		125
	313		Series 339, Class 18, IO, 4.500%, 07/25/18		17
	446		Series 339, Class 21, IO, 4.500%, 08/25/18		24
	219		Series 339, Class 28, IO, 5.500%, 08/25/18		13


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	182	Series 345, Class 6, IO, VAR, 5.000%, 12/25/33		37
	624	Series 351, Class 7, IO, VAR, 5.000%, 04/25/34		125
	497	Series 355, Class 11, IO, 6.000%, 07/25/34		112
	195	Series 355, Class 31, IO, VAR, 4.500%, 12/25/18		11
	888	Series 365, Class 8, IO, 5.500%, 05/25/36		205
	103	Series 368, Class 3, IO, 4.500%, 11/25/20		6
	461	Series 374, Class 5, IO, 5.500%, 08/25/36		92
	230	Series 383, Class 32, IO, 6.000%, 01/25/38		47
	605	Series 383, Class 33, IO, 6.000%, 01/25/38		123
	153	Series 393, Class 6, IO, 5.500%, 04/25/37		28
		Federal National Mortgage Association Trust,
	229	Series 2004-W1, Class 2A2, 7.000%, 12/25/33		269
	910	Series 2004-W15, Class 2AF, VAR, 0.421%, 08/25/44		903
	625	Series 2004-W2, Class 2A2, 7.000%, 02/25/44		718
	2,325	Series 2005-W3, Class 2AF, VAR, 0.391%, 03/25/45		2,332
	818	Series 2006-W2, Class 1AF1, VAR, 0.391%, 02/25/46		817
		Government National Mortgage Association,
	1,247	Series 1994-7, Class PQ, 6.500%, 10/16/24		1,420
	864	Series 1999-4, Class ZB, 6.000%, 02/20/29		970
	86	Series 1999-30, Class S, IF, IO, 8.428%, 08/16/29		26
	187	Series 1999-40, Class ZW, 7.500%, 11/20/29		217
	125	Series 2000-9, Class Z, 8.000%, 06/20/30		149
	1,160	Series 2000-9, Class ZJ, 8.500%, 02/16/30		1,377
	215	Series 2000-12, Class ST, HB, IF, 38.646%, 02/16/30		380
	1,610	Series 2000-21, Class Z, 9.000%, 03/16/30		1,969
	248	Series 2000-31, Class Z, 9.000%, 10/20/30		286
	141	Series 2000-35, Class ZA, 9.000%, 11/20/30		151
	14	Series 2000-36, Class IK, IO, 9.000%, 11/16/30		2
	79	Series 2001-6, Class SD, IF, IO, 8.378%, 03/16/31		25
	166	Series 2001-35, Class SA, IF, IO, 8.078%, 08/16/31		52
	144	Series 2001-36, Class S, IF, IO, 7.878%, 08/16/31		44


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	191	Series 2002-3, Class SP, IF, IO, 7.218%, 01/16/32		53
	735	Series 2002-24, Class AG, IF, IO, 7.778%, 04/16/32		171
	66	Series 2002-24, Class SB, IF, 11.667%, 04/16/32		87
	1,545	Series 2002-31, Class SE, IF, IO, 7.328%, 04/16/30		309
	449	Series 2002-40, Class UK, 6.500%, 06/20/32		529
	24	Series 2002-41, Class SV, IF, 9.000%, 06/16/32		30
	1,722	Series 2002-45, Class QE, 6.500%, 06/20/32		2,054
	583	Series 2002-47, Class PG, 6.500%, 07/16/32		668
	1,100	Series 2002-47, Class ZA, 6.500%, 07/20/32		1,311
	933	Series 2002-52, Class GH, 6.500%, 07/20/32		1,109
	360	Series 2002-70, Class PS, IF, IO, 7.527%, 08/20/32		26
	949	Series 2002-75, Class PB, 6.000%, 11/20/32		1,131
	759	Series 2003-11, Class SK, IF, IO, 7.528%, 02/16/33		166
	318	Series 2003-12, Class SP, IF, IO, 7.527%, 02/20/33		83
	66	Series 2003-24, Class PO, PO, 03/16/33		61
	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		882
	848	Series 2003-46, Class TC, 6.500%, 03/20/33		962
	286	Series 2003-52, Class AP, PO, 06/16/33		268
	1,557	Series 2003-58, Class BE, 6.500%, 01/20/33		1,767
	86	Series 2003-90, Class PO, PO, 10/20/33		79
	1,021	Series 2003-112, Class SA, IF, IO, 6.378%, 12/16/33		207
	690	Series 2003-112, Class TS, IF, IO, 6.777%, 10/20/32		31
	2,853	Series 2004-11, Class SW, IF, IO, 5.327%, 02/20/34		383
	28	Series 2004-15, Class SA, IF, 19.185%, 12/20/32		29
	404	Series 2004-28, Class S, IF, 19.190%, 04/16/34		587


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	145	Series 2004-73, Class AE, IF, 14.500%, 08/17/34		173
	1,613	Series 2004-90, Class SI, IF, IO, 5.927%, 10/20/34		241
	1,086	Series 2005-3, Class SB, IF, IO, 5.927%, 01/20/35		164
	2,788	Series 2005-17, Class SL, IF, IO, 6.527%, 07/20/34		431
	291	Series 2005-35, Class FL, VAR, 0.524%, 03/20/32		292
	43	Series 2005-39, Class KI, IO, 5.500%, 03/20/34		1
	2,815	Series 2005-58, Class NI, IO, 5.500%, 08/20/35		440
	283	Series 2005-68, Class DP, IF, 16.019%, 06/17/35		383
	3,896	Series 2005-68, Class KI, IF, IO, 6.127%, 09/20/35		655
	497	Series 2005-69, Class SY, IF, IO, 6.577%, 11/20/33		76
	513	Series 2005-91, Class PI, IO, 6.000%, 12/20/35		96
	259	Series 2006-16, Class OP, PO, 03/20/36		248
	721	Series 2006-38, Class SW, IF, IO, 6.327%, 06/20/36		80
	888	Series 2006-59, Class SD, IF, IO, 6.527%, 10/20/36		157
	1,408	Series 2006-65, Class SA, IF, IO, 6.627%, 11/20/36		215
	881	Series 2007-9, Class DI, IF, IO, 6.337%, 03/20/37		122
	2,096	Series 2007-17, Class JI, IF, IO, 6.638%, 04/16/37		412
	225	Series 2007-17, Class JO, PO, 04/16/37		214
	1,281	Series 2007-19, Class SD, IF, IO, 6.027%, 04/20/37		178
	1,191	Series 2007-26, Class SC, IF, IO, 6.027%, 05/20/37		141
	937	Series 2007-27, Class SA, IF, IO, 6.027%, 05/20/37		121
	294	Series 2007-28, Class BO, PO, 05/20/37		282
	770	Series 2007-36, Class SE, IF, IO, 6.298%, 06/16/37		95
	2,209	Series 2007-40, Class SB, IF, IO, 6.577%, 07/20/37		320
	1,337	Series 2007-42, Class SB, IF, IO, 6.577%, 07/20/37		205
	2,500	Series 2007-47, Class PH, 6.000%, 07/16/37		3,057


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	936	Series 2007-50, Class AI, IF, IO, 6.602%, 08/20/37		135
	134	Series 2007-53, Class SW, IF, 19.685%, 09/20/37		183
	626	Series 2007-57, Class PO, PO, 03/20/37		603
	757	Series 2007-57, Class QA, IF, IO, 6.327%, 10/20/37		118
	692	Series 2007-71, Class SB, IF, IO, 6.527%, 07/20/36		39
	698	Series 2007-72, Class US, IF, IO, 6.377%, 11/20/37		105
	720	Series 2007-73, Class MI, IF, IO, 5.827%, 11/20/37		93
	1,390	Series 2007-76, Class SA, IF, IO, 6.357%, 11/20/37		209
	708	Series 2007-79, Class SY, IF, IO, 6.377%, 12/20/37		102
	447	Series 2007-81, Class SP, IF, IO, 6.477%, 12/20/37		65
	804	Series 2007-82, Class SA, IF, IO, 6.357%, 12/20/37		114
	388	Series 2008-2, Class MS, IF, IO, 6.988%, 01/16/38		73
	1,293	Series 2008-2, Class NS, IF, IO, 6.368%, 01/16/38		217
	774	Series 2008-10, Class S, IF, IO, 5.657%, 02/20/38		97
	18	Series 2008-23, Class IO, IO, 6.000%, 02/20/37		—	(h)
	564	Series 2008-25, Class SB, IF, IO, 6.727%, 03/20/38		86
	559	Series 2008-32, Class PI, IO, 5.500%, 10/16/37		59
	1,091	Series 2008-36, Class SH, IF, IO, 6.127%, 04/20/38		187
	5,720	Series 2008-40, Class SA, IF, IO, 6.228%, 05/16/38		1,043
	1,051	Series 2008-41, Class SA, IF, IO, 6.167%, 05/20/38		137
	666	Series 2008-55, Class SA, IF, IO, 6.027%, 06/20/38		81
	198	Series 2008-60, Class PO, PO, 01/20/38		196
	239	Series 2008-65, Class ME, 5.750%, 09/20/37		240
	353	Series 2008-71, Class SC, IF, IO, 5.827%, 08/20/38		42
	790	Series 2008-93, Class AS, IF, IO, 5.527%, 12/20/38		106


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	1,102	Series 2009-6, Class SA, IF, IO, 5.928%, 02/16/39		142
	710	Series 2009-10, Class SL, IF, IO, 6.328%, 03/16/34		42
	2,117	Series 2009-12, Class IE, IO, 5.500%, 03/20/39		312
	788	Series 2009-14, Class KI, IO, 6.500%, 03/20/39		133
	726	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		134
	2,017	Series 2009-22, Class SA, IF, IO, 6.097%, 04/20/39		240
	569	Series 2009-25, Class SE, IF, IO, 7.427%, 09/20/38		94
	479	Series 2009-33, Class CI, IO, 5.500%, 05/20/39		68
	478	Series 2009-33, Class TI, IO, 6.000%, 05/20/39		75
	837	Series 2009-43, Class SA, IF, IO, 5.777%, 06/20/39		109
	662	Series 2009-65, Class IQ, IO, 6.000%, 12/20/38		64
	1,834	Series 2009-72, Class SM, IF, IO, 6.078%, 08/16/39		239
	410	Series 2009-79, Class OK, PO, 11/16/37		393
	617	Series 2010-14, Class CO, PO, 08/20/35		593
	462	Series 2010-130, Class CP, 7.000%, 10/16/40		536
	3,503	Series 2010-157, Class OP, PO, 12/20/40		3,014
	3,797	Series 2010-H17, Class XQ, VAR, 5.239%, 07/20/60		4,156
	1,104	Series 2011-22, Class WA, VAR, 5.956%, 02/20/37		1,230
	2,175	Series 2011-75, Class SM, IF, IO, 6.427%, 05/20/41		477
	2,866	Series 2012-61, Class FM, VAR, 0.572%, 05/16/42		2,883
	864	Series 2012-141, Class WC, VAR, 3.746%, 01/20/42		905
	4,300	Series 2012-H10, Class FA, VAR, 0.718%, 12/20/61		4,317
	2,174	Series 2012-H15, Class FA, VAR, 0.618%, 05/20/62		2,176
	3,298	Series 2012-H21, Class CF, VAR, 0.868%, 05/20/61		3,312
	2,848	Series 2012-H21, Class DF, VAR, 0.818%, 05/20/61		2,856
	4,628	Series 2012-H22, Class FD, VAR, 0.638%, 01/20/61		4,627


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
			Agency CMO — continued
	1,255		Series 2012-H24, Class FA, VAR, 0.618%, 03/20/60		1,257
	3,061		Series 2012-H24, Class FG, VAR, 0.598%, 04/20/60		3,064
	1,894		Series 2012-H26, Class MA, VAR, 0.718%, 07/20/62		1,896
	2,603		Series 2012-H28, Class FA, VAR, 0.748%, 09/20/62		2,607
	3,395		Series 2012-H30, Class PA, VAR, 0.618%, 11/20/59		3,399
	2,050		Series 2012-H31, Class FD, VAR, 0.508%, 12/20/62		2,040
	3,879		Series 2013-54, Class WA, VAR, 4.705%, 11/20/42		4,172
	3,041		Series 2013-75, Class WA, VAR, 5.224%, 06/20/40		3,429
	1,641		Series 2013-91, Class WA, VAR, 4.514%, 04/20/43		1,757
	1,300		Series 2013-116, Class JY, 4.000%, 08/16/43		1,434
	3,046		Series 2013-H01, Class FA, 1.650%, 01/20/63		3,033
	1,301		Series 2013-H03, Class FA, VAR, 0.468%, 08/20/60		1,300
	1,490		Series 2013-H04, Class BA, 1.650%, 02/20/63		1,484
	4,673		Series 2013-H05, Class FB, VAR, 0.568%, 02/20/62		4,669
	1,829		Series 2013-H07, Class HA, VAR, 0.578%, 03/20/63		1,822
	9,856		Series 2013-H07, Class JA, 1.750%, 03/20/63		9,842
	1,731		Series 2013-H08, Class FC, VAR, 0.618%, 02/20/63		1,727
	1,929		Series 2013-H09, Class HA, 1.650%, 04/20/63		1,919
	4,087		Series 2013-H18, Class JA, VAR, 0.768%, 08/20/63		4,112
	1,473		Series 2014-188, Class W, VAR, 4.698%, 10/20/41		1,639
	1,889		Series 2014-H01, Class FD, VAR, 0.818%, 01/20/64		1,903
	6,500		Series 2015-H05, Class FC, VAR, 0.652%, 02/20/65		6,484
	—	(h)	PaineWebber CMO Trust, Series H, Class 4, 8.750%, 04/01/18		—	(h)
			Vendee Mortgage Trust,
	450		Series 1994-1, Class 1, VAR, 5.570%, 02/15/24		496


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	697	Series 1994-1, Class 2ZB, 6.500%, 02/15/24		761
	649	Series 1996-1, Class 1Z, 6.750%, 02/15/26		743
	514	Series 1996-2, Class 1Z, 6.750%, 06/15/26		593
	892	Series 1997-1, Class 2Z, 7.500%, 02/15/27		1,050
	1,074	Series 1998-1, Class 2E, 7.000%, 03/15/28		1,250
	2,066	Series 1999-1, Class 2Z, 6.500%, 01/15/29		2,354
	6,138	Series 2003-2, Class Z, 5.000%, 05/15/33		7,020

				593,622

		Non-Agency CMO — 5.9%
	9	AAM ACE Resecuritization Trust, Series 2011-1, Class A20, VAR, 0.401%, 02/02/37 (e)		9
		Ajax Mortgage Loan Trust,
	2,351	Series 2013-A, Class A, VAR, 3.500%, 02/25/51 (e) (i)		2,329
	2,685	Series 2013-C, Class A, SUB, 4.500%, 03/25/35 (e) (i)		2,701
		Alternative Loan Trust,
	14,071	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		14,182
	1,742	Series 2005-1CB, Class 1A6, IF, IO, 6.929%, 03/25/35		364
	4,396	Series 2005-20CB, Class 3A8, IF, IO, 4.579%, 07/25/35		550
	7,395	Series 2005-22T1, Class A2, IF, IO, 4.899%, 06/25/35		1,106
	4,534	Series 2005-28CB, Class 1A4, 5.500%, 08/25/35		4,387
	153	Series 2005-28CB, Class 3A5, 6.000%, 08/25/35		124
	5,963	Series 2005-37T1, Class A2, IF, IO, 4.879%, 09/25/35		898
	3,886	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		3,540
	9,772	Series 2005-54CB, Class 1A2, IF, IO, 4.679%, 11/25/35		1,152
	2,464	Series 2005-57CB, Class 3A2, IF, IO, 4.929%, 12/25/35		342
	1,481	Series 2005-64CB, Class 1A9, 5.500%, 12/25/35		1,390
	4,871	Series 2005-J1, Class 1A4, IF, IO, 4.929%, 02/25/35		432
	2,176	Series 2006-26CB, Class A9, 6.500%, 09/25/36		1,911
		American General Mortgage Loan Trust,
	361	Series 2010-1A, Class A2, VAR, 5.650%, 03/25/58 (e)		362


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	1,140	Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e)		1,165
	473	Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e)		496
		ASG Resecuritization Trust,
	528	Series 2009-1, Class A60, VAR, 2.048%, 06/26/37 (e)		521
	882	Series 2009-2, Class G60, VAR, 4.714%, 05/24/36 (e)		887
	2,444	Series 2009-3, Class A65, VAR, 2.045%, 03/26/37 (e)		2,432
	1,280	Series 2009-4, Class A60, 6.000%, 06/28/37 (e)		1,295
	660	Series 2010-2, Class A60, VAR, 1.828%, 01/28/37 (e)		650
	707	Series 2011-1, Class 3A50, VAR, 2.824%, 11/28/35 (e)		695
		Banc of America Alternative Loan Trust,
	156	Series 2003-2, Class PO, PO, 04/25/33		142
	29	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		29
	271	Series 2003-11, Class PO, PO, 01/25/34		235
	124	Series 2004-6, Class 15PO, PO, 07/25/19		120
	1,339	Series 2005-5, Class 1CB1, 5.500%, 06/25/35		1,263
	3,476	Series 2005-6, Class CBIO, IO, 5.500%, 07/25/35		711
	1,002	Series 2006-4, Class 1A4, 6.000%, 05/25/46		715
	1,918	Banc of America Funding Corp., Series 2012-R6, Class 1A1, 3.000%, 10/26/39 (e) (i)		1,902
		Banc of America Funding Trust,
	338	Series 2004-1, Class PO, PO, 03/25/34		276
	482	Series 2004-2, Class 30PO, PO, 09/20/34		399
	209	Series 2004-C, Class 1A1, VAR, 2.802%, 12/20/34		205
	738	Series 2005-6, Class 2A7, 5.500%, 10/25/35		729
	474	Series 2005-7, Class 30PO, PO, 11/25/35		356
	295	Series 2005-8, Class 30PO, PO, 01/25/36		227
	1,203	Series 2005-E, Class 4A1, VAR, 2.688%, 03/20/35		1,202
	544	Series 2006-A, Class 3A2, VAR, 2.779%, 02/20/36		439
	199	Series 2010-R5, Class 1A1, 5.500%, 10/26/37 (e)		200


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
		Banc of America Mortgage Trust,
	89	Series 2003-3, Class 2A1, VAR, 0.721%, 05/25/18		86
	74	Series 2003-6, Class 2A1, VAR, 0.621%, 08/25/18		74
	31	Series 2003-7, Class A2, 4.750%, 09/25/18		32
	135	Series 2003-8, Class APO, PO, 11/25/33		111
	761	Series 2004-3, Class 15IO, IO, VAR, 0.000%, 04/25/19		3
	52	Series 2004-4, Class APO, PO, 05/25/34		45
	803	Series 2004-5, Class 2A2, 5.500%, 06/25/34		818
	421	Series 2004-6, Class 2A5, PO, 07/25/34		370
	227	Series 2004-6, Class APO, PO, 07/25/34		203
	26	Series 2004-8, Class 5PO, PO, 05/25/32		24
	30	Series 2004-8, Class XPO, PO, 10/25/34		25
	238	Series 2004-A, Class 2A2, VAR, 2.681%, 02/25/34		237
	741	Series 2004-J, Class 3A1, VAR, 2.861%, 11/25/34		728
	763	Series 2005-10, Class 1A6, 5.500%, 11/25/35		722
		BCAP LLC Trust,
	314	Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e)		323
	390	Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)		405
	579	Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e)		582
	85	Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e)		85
	472	Series 2010-RR6, Class 22A3, VAR, 4.338%, 06/26/36 (e)		477
	303	Series 2010-RR7, Class 16A1, VAR, 0.814%, 02/26/47 (e)		301
	170	Series 2010-RR7, Class 1A5, VAR, 3.660%, 04/26/35 (e)		168
	1,950	Series 2010-RR7, Class 2A1, VAR, 2.072%, 07/26/45 (e)		1,955
	160	Series 2010-RR8, Class 3A3, VAR, 5.089%, 05/26/35 (e)		160
	1,500	Series 2010-RR8, Class 3A4, VAR, 5.089%, 05/26/35 (e)		1,414
	693	Series 2011-R11, Class 25A5, VAR, 4.000%, 08/26/21 (e)		701
	1,837	Series 2011-RR10, Class 2A1, VAR, 0.988%, 09/26/37 (e)		1,690


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	1,716	Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e)		1,748
	1,393	Series 2011-RR5, Class 11A3, VAR, 0.318%, 05/28/36 (e)		1,370
	96	Series 2011-RR5, Class 14A3, VAR, 3.681%, 07/26/36 (e)		96
	1,053	Series 2012-RR10, Class 3A1, VAR, 0.360%, 05/26/36 (e)		998
	1,053	Series 2012-RR2, Class 1A1, VAR, 0.340%, 08/26/36 (e)		1,032
	947	Series 2012-RR3, Class 2A5, VAR, 1.987%, 05/26/37 (e)		948
		Bear Stearns ARM Trust,
	164	Series 2003-7, Class 3A, VAR, 2.411%, 10/25/33		164
	703	Series 2004-1, Class 12A1, VAR, 2.753%, 04/25/34		699
	124	Series 2004-2, Class 14A, VAR, 3.062%, 05/25/34		124
	1,483	Series 2005-5, Class A1, VAR, 2.220%, 08/25/35		1,499
	3,612	Series 2006-1, Class A1, VAR, 2.360%, 02/25/36		3,601
	270	CAM Mortgage Trust, Series 2014-2, Class A, SUB, 2.600%, 05/15/48 (e)		271
		CHL Mortgage Pass-Through Trust,
	154	Series 2003-J7, Class 4A3, IF, 9.552%, 08/25/18		161
	476	Series 2004-7, Class 2A1, VAR, 2.464%, 06/25/34		466
	259	Series 2004-8, Class 2A1, 4.500%, 06/25/19		267
	185	Series 2004-HYB1, Class 2A, VAR, 2.509%, 05/20/34		176
	708	Series 2004-HYB3, Class 2A, VAR, 2.203%, 06/20/34		672
	610	Series 2004-HYB6, Class A3, VAR, 2.411%, 11/20/34		583
	234	Series 2004-J8, Class 1A2, 4.750%, 11/25/19		240
	1,148	Series 2005-16, Class A23, 5.500%, 09/25/35		1,073
	3,149	Series 2005-22, Class 2A1, VAR, 2.448%, 11/25/35		2,667
		Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust,
	127	Series 2005-5, Class APO, PO, 08/25/35		112
	124	Series 2005-8, Class APO, PO, 11/25/35		99


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
		Citigroup Mortgage Loan Trust, Inc.,
	257	Series 2003-1, Class 2A5, 5.250%, 10/25/33		262
	133	Series 2003-1, Class 2A6, PO, 10/25/33		119
	96	Series 2003-1, Class PO2, PO, 10/25/33		87
	106	Series 2003-1, Class PO3, PO, 09/25/33		95
	109	Series 2003-UP3, Class A3, 7.000%, 09/25/33		113
	155	Series 2003-UST1, Class A1, 5.500%, 12/25/18		157
	27	Series 2003-UST1, Class PO1, PO, 12/25/18		26
	29	Series 2003-UST1, Class PO3, PO, 12/25/18		28
	138	Series 2004-UST1, Class A6, VAR, 2.478%, 08/25/34		132
	382	Series 2005-1, Class 2A1A, VAR, 2.611%, 04/25/35		291
	473	Series 2005-2, Class 2A11, 5.500%, 05/25/35		492
	498	Series 2005-5, Class 1A2, VAR, 2.767%, 08/25/35		367
	1,168	Series 2008-AR4, Class 1A1A, VAR, 2.720%, 11/25/38 (e)		1,171
	492	Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e)		513
	3,344	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		3,400
	3,625	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		3,713
	—(h)	Series 2012-A, Class A, 2.500%, 06/25/51 (e) (i)		—(h)
		Credit Suisse First Boston Mortgage Securities Corp.,
	594	Series 2003-1, Class DB1, VAR, 6.701%, 02/25/33		600
	86	Series 2003-17, Class 2A1, 5.000%, 07/25/18		88
	285	Series 2003-21, Class 1A4, 5.250%, 09/25/33		295
	453	Series 2003-25, Class 1P, PO, 10/25/33		392
	25	Series 2004-5, Class 5P, PO, 08/25/19		24
	2,202	Series 2005-4, Class 3A18, 5.500%, 06/25/35		2,245
	2,450	Series 2005-4, Class 3A23, 5.500%, 06/25/35		2,434
		CSMC,
	520	Series 2011-9R, Class A1, VAR, 2.169%, 03/27/46 (e)		521
	1,293	Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)		1,303


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
		CSMC Trust,
	627	Series 2010-16, Class A3, VAR, 3.151%, 06/25/50 (e)		634
	7,661	Series 2010-11R, Class A6, VAR, 1.171%, 06/28/47 (e)		7,355
	749	Series 2011-6R, Class 3A1, VAR, 1.814%, 07/28/36 (e)		753
	632	Series 2012-3R, Class 1A1, VAR, 2.247%, 07/27/37 (e)		629
	417	FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/18 (e)		419
	2	First Boston Mortgage Securities Corp. 1987 STRIPS, Series C, Class PO, PO, 04/25/17		2
		First Horizon Alternative Mortgage Securities Trust,
	1,060	Series 2004-AA4, Class A1, VAR, 2.245%, 10/25/34		1,050
	1,492	Series 2005-FA8, Class 1A19, 5.500%, 11/25/35		1,355
	2,575	Series 2007-FA4, Class 1A2, IF, IO, 5.479%, 08/25/37		518
		First Horizon Mortgage Pass-Through Trust,
	511	Series 2004-AR2, Class 2A1, VAR, 2.638%, 05/25/34		508
	1,437	Series 2005-AR1, Class 2A2, VAR, 2.573%, 04/25/35		1,429
		GMACM Mortgage Loan Trust,
	531	Series 2003-AR1, Class A4, VAR, 2.881%, 10/19/33		524
	264	Series 2004-J5, Class A7, 6.500%, 01/25/35		275
	96	Series 2004-J6, Class 1A1, 5.000%, 01/25/20		99
	4,240	Series 2005-AR3, Class 3A4, VAR, 2.797%, 06/19/35		4,178
		GSMPS Mortgage Loan Trust,
	889	Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e)		933
	1,297	Series 2005-RP3, Class 1AF, VAR, 0.521%, 09/25/35 (e)		1,106
	980	Series 2005-RP3, Class 1AS, IO, VAR, 4.748%, 09/25/35 (e)		131
	4,302	Series 2006-RP2, Class 1AS2, IF, IO, 5.879%, 04/25/36 (e)		540
		GSR Mortgage Loan Trust,
	612	Series 2004-6F, Class 3A4, 6.500%, 05/25/34		655
	542	Series 2004-8F, Class 2A3, 6.000%, 09/25/34		563


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	675	Series 2004-13F, Class 3A3, 6.000%, 11/25/34		669
	254	Series 2005-4F, Class AP, PO, 05/25/35		228
	2,436	Series 2005-7F, Class 3A9, 6.000%, 09/25/35		2,524
	3,033	Series 2006-1F, Class 2A4, 6.000%, 02/25/36		2,743
	2,541	Series 2007-1F, Class 2A4, 5.500%, 01/25/37		2,528
	3,465	Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.000%, 05/26/53 (e) (i)		3,401
		Impac CMB Trust,
	2,317	Series 2004-7, Class 1A1, VAR, 0.911%, 11/25/34		2,198
	281	Series 2005-4, Class 2A1, VAR, 0.471%, 05/25/35		276
		Impac Secured Assets Trust,
	627	Series 2006-1, Class 2A1, VAR, 0.521%, 05/25/36		607
	553	Series 2006-2, Class 2A1, VAR, 0.521%, 08/25/36		542
	13,871	IndyMac INDX Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.000%, 08/25/35		—	(h)
		JP Morgan Mortgage Trust,
	1,265	Series 2006-A2, Class 4A1, VAR, 2.503%, 08/25/34		1,267
	1,700	Series 2006-A2, Class 5A3, VAR, 2.431%, 11/25/33		1,703
	312	Series 2006-A3, Class 6A1, VAR, 2.540%, 08/25/34		314
	360	JP Morgan Resecuritization Trust, Series 2009-6, Class 4A1, VAR, 2.513%, 09/26/36 (e)		364
		Lehman Mortgage Trust,
	609	Series 2006-2, Class 1A1, VAR, 6.010%, 04/25/36		570
	1,192	Series 2008-2, Class 1A6, 6.000%, 03/25/38		1,001
	1,000	LVII Resecuritization Trust, Series 2009-3, Class M3, VAR, 5.208%, 11/27/37 (e)		1,002
		MASTR Adjustable Rate Mortgages Trust,
	84	Series 2004-4, Class 2A1, VAR, 1.962%, 05/25/34		75
	728	Series 2004-13, Class 2A1, VAR, 2.643%, 04/21/34		733
	1,716	Series 2004-13, Class 3A7, VAR, 2.641%, 11/21/34		1,746


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	382	Series 2004-15, Class 3A1, VAR, 3.074%, 12/25/34		379
		MASTR Alternative Loan Trust,
	180	Series 2003-3, Class 1A1, 6.500%, 05/25/33		191
	528	Series 2003-9, Class 8A1, 6.000%, 01/25/34		528
	579	Series 2004-3, Class 2A1, 6.250%, 04/25/34		612
	770	Series 2004-4, Class 10A1, 5.000%, 05/25/24		814
	439	Series 2004-6, Class 30PO, PO, 07/25/34		345
	656	Series 2004-6, Class 7A1, 6.000%, 07/25/34		668
	295	Series 2004-7, Class 30PO, PO, 08/25/34		227
	944	Series 2004-8, Class 6A1, 5.500%, 09/25/19		975
	157	Series 2004-10, Class 1A1, 4.500%, 09/25/19		160
		MASTR Asset Securitization Trust,
	41	Series 2003-2, Class 2A1, 4.500%, 03/25/18		41
	15	Series 2003-3, Class 4A1, 5.000%, 04/25/18		16
	59	Series 2003-4, Class 3A2, 5.000%, 05/25/18		60
	107	Series 2003-12, Class 30PO, PO, 12/25/33		96
	79	Series 2004-1, Class 30PO, PO, 02/25/34		69
	25	Series 2004-4, Class 3A1, 4.500%, 04/25/19		26
	42	Series 2004-6, Class 15PO, PO, 07/25/19		40
	58	Series 2004-8, Class 1A1, 4.750%, 08/25/19		59
	24	Series 2004-8, Class PO, PO, 08/25/19		22
	2,503	MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.521%, 05/25/35 (e)		2,062
	964	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		771
		Merrill Lynch Mortgage Investors Trust,
	283	Series 2003-E, Class A1, VAR, 0.791%, 10/25/28		271
	720	Series 2004-1, Class 2A1, VAR, 2.165%, 12/25/34		702
	531	Series 2004-A, Class A1, VAR, 0.631%, 04/25/29		517
	22	ML Trust XLVII, Series 47, Class Z, 8.985%, 10/20/20		24


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	608	MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.811%, 02/25/35		593
	462	NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		466
		Nomura Asset Acceptance Corp. Alternative Loan Trust,
	214	Series 2003-A1, Class A1, 5.500%, 05/25/33		221
	114	Series 2003-A1, Class A2, 6.000%, 05/25/33		118
	47	Series 2003-A1, Class A5, 7.000%, 04/25/33		49
	5	Series 2003-A1, Class A7, 5.000%, 04/25/18		5
	7	PaineWebber CMO Trust, Series P, Class 4, 8.500%, 08/01/19		7
	285	Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.467%, 05/25/35		288
		RALI Trust,
	65	Series 2002-QS16, Class A3, IF, 16.265%, 10/25/17		67
	209	Series 2002-QS8, Class A5, 6.250%, 06/25/17		212
	4,225	Series 2003-QR19, Class CB4, 5.750%, 10/25/33		4,395
	466	Series 2003-QS12, Class A2A, IF, IO, 7.429%, 06/25/18		44
	142	Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18		9
	1,035	Series 2003-QS14, Class A1, 5.000%, 07/25/18		1,051
	324	Series 2003-QS18, Class A1, 5.000%, 09/25/18		330
	1,396	Series 2003-QS19, Class A1, 5.750%, 10/25/33		1,471
	179	Series 2003-QS3, Class A2, IF, 16.124%, 02/25/18		199
	15	Series 2003-QS3, Class A8, IF, IO, 7.429%, 02/25/18		—	(h)
	464	Series 2003-QS9, Class A3, IF, IO, 7.379%, 05/25/18		44
	2,034	Series 2004-QA6, Class NB2, VAR, 2.962%, 12/26/34		1,689
		RBSSP Resecuritization Trust,
	402	Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e)		425
	496	Series 2009-9, Class 7A4, VAR, 6.000%, 07/26/37 (e)		507


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	742	Series 2009-12, Class 1A1, VAR, 5.790%, 11/25/33 (e)		779
	628	Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e)		635
	38	Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e)		38
		Residential Asset Securitization Trust,
	297	Series 2003-A13, Class A3, 5.500%, 01/25/34		305
	21	Series 2003-A14, Class A1, 4.750%, 02/25/19		22
	2,772	Series 2005-A2, Class A4, IF, IO, 4.879%, 03/25/35		390
	743	Series 2006-A4, Class 2A5, 6.000%, 05/25/36		667
		RFMSI Trust,
	219	Series 2003-S13, Class A3, 5.500%, 06/25/33		219
	76	Series 2003-S14, Class A4, PO, 07/25/18		75
	156	Series 2004-S3, Class A1, 4.750%, 03/25/19		159
	436	Series 2004-S6, Class 2A6, PO, 06/25/34		373
	79	Series 2004-S9, Class 2A1, 4.750%, 12/25/19		80
	766	Series 2005-SA4, Class 1A1, VAR, 2.733%, 09/25/35		641
	15	RFSC Trust, Series 2003-RM2, Class AP-3, PO, 05/25/33		13
		Salomon Brothers Mortgage Securities VII, Inc.,
	271	Series 2003-HYB1, Class A, VAR, 2.494%, 09/25/33		274
	14	Series 2003-UP2, Class PO1, PO, 12/25/18		12
		Springleaf Mortgage Loan Trust,
	1,600	Series 2012-1A, Class M3, VAR, 6.000%, 09/25/57 (e)		1,626
	2,000	Series 2012-2A, Class M4, VAR, 6.000%, 10/25/57 (e)		2,077
	2,093	Series 2012-3A, Class A, VAR, 1.570%, 12/25/59 (e)		2,092
	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)		597
	455	Series 2012-3A, Class M3, VAR, 4.440%, 12/25/59 (e)		465
	267	Series 2012-3A, Class M4, VAR, 5.300%, 12/25/59 (e)		275
	1,756	Series 2013-1A, Class A, VAR, 1.270%, 06/25/58 (e)		1,754


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	1,116	Series 2013-1A, Class M1, VAR, 2.310%, 06/25/58 (e)		1,094
	900	Series 2013-1A, Class M2, VAR, 3.140%, 06/25/58 (e)		902
	634	Series 2013-1A, Class M3, VAR, 3.790%, 06/25/58 (e)		639
	2,993	Series 2013-2A, Class A, VAR, 1.780%, 12/25/65 (e)		2,988
	1,058	Series 2013-2A, Class M1, VAR, 3.520%, 12/25/65 (e)		1,079
	772	Series 2013-3A, Class A, VAR, 1.870%, 09/25/57 (e)		770
	2,131	Series 2013-3A, Class M1, VAR, 3.790%, 09/25/57 (e)		2,147
	822	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 2.353%, 06/25/34		817
	763	Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1, VAR, 0.834%, 10/19/34		719
		Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
	838	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		856
	1,483	Series 2004-5H, Class A4, 5.540%, 12/25/33		1,525
		Structured Asset Securities Corp. Trust,
	150	Series 2005-6, Class 4A1, 5.000%, 05/25/35		152
	226	Series 2005-10, Class 5A9, 5.250%, 12/25/34		229
		Thornburg Mortgage Securities Trust,
	441	Series 2003-4, Class A1, VAR, 0.811%, 09/25/43		421
	1,217	Series 2004-4, Class 3A, VAR, 1.927%, 12/25/44		1,209
	988	VML LLC, Series 2014-NPL1, Class A1, VAR, 3.875%, 04/25/54 (e)		988
		WaMu Mortgage Pass-Through Certificates Trust,
	163	Series 2003-AR8, Class A, VAR, 2.383%, 08/25/33		167
	2,511	Series 2003-AR9, Class 1A6, VAR, 2.405%, 09/25/33		2,584
	349	Series 2003-AR9, Class 2A, VAR, 2.441%, 09/25/33		346
	181	Series 2003-S8, Class A6, 4.500%, 09/25/18		183


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	1,210	Series 2003-S9, Class A8, 5.250%, 10/25/33		1,243
	103	Series 2003-S9, Class P, PO, 10/25/33		81
	216	Series 2004-AR3, Class A1, VAR, 2.368%, 06/25/34		218
	181	Series 2004-AR3, Class A2, VAR, 2.368%, 06/25/34		182
	1,910	Series 2004-RS2, Class A4, 5.000%, 11/25/33		1,957
	273	Series 2006-AR10, Class 2P, VAR, 2.264%, 09/25/36		238
	211	Series 2006-AR12, Class 2P, VAR, 1.854%, 10/25/36		155
		Washington Mutual Mortgage Pass-Through Certificates WMALT Trust,
	9,182	Series 2005-2, Class 1A4, IF, IO, 4.879%, 04/25/35		1,297
	1,807	Series 2005-2, Class 2A3, IF, IO, 4.829%, 04/25/35		232
	2,293	Series 2005-3, Class CX, IO, 5.500%, 05/25/35		480
	2,839	Series 2005-4, Class CB7, 5.500%, 06/25/35		2,620
	2,291	Series 2005-4, Class CX, IO, 5.500%, 06/25/35		481
	669	Series 2005-6, Class 2A4, 5.500%, 08/25/35		643
	4,282	Series 2005-6, Class 2A9, 5.500%, 08/25/35		4,114
	1,442	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		1,420
		Wells Fargo Mortgage-Backed Securities Trust,
	215	Series 2003-K, Class 1A1, VAR, 2.490%, 11/25/33		216
	407	Series 2003-K, Class 1A2, VAR, 2.490%, 11/25/33		413
	488	Series 2004-EE, Class 2A1, VAR, 2.612%, 12/25/34		490
	524	Series 2004-EE, Class 3A1, VAR, 2.496%, 12/25/34		530
	2,585	Series 2004-P, Class 2A1, VAR, 2.613%, 09/25/34		2,597
	524	Series 2004-V, Class 1A1, VAR, 2.604%, 10/25/34		528
	229	Series 2005-16, Class APO, PO, 01/25/36		180
	371	Series 2005-AR16, Class 2A1, VAR, 2.602%, 02/25/34		376


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	4,580	Series 2005-AR3, Class 1A1, VAR, 2.619%, 03/25/35		4,614
	465	Series 2005-AR8, Class 2A1, VAR, 2.592%, 06/25/35		468
	526	Series 2006-2, Class APO, PO, 03/25/36		338
	263	Series 2006-4, Class 1APO, PO, 04/25/36		203
	1,247	Series 2007-7, Class A7, 6.000%, 06/25/37		1,263
	358	Series 2007-11, Class A14, 6.000%, 08/25/37		354

				235,199

		Total Collateralized Mortgage Obligations (Cost $784,162)		828,821

	Commercial Mortgage-Backed Securities — 3.6%
		A10 Securitization LLC,
	286	Series 2012-1, Class A, 3.492%, 04/15/24 (e)		287
	405	Series 2013-1, Class A, 2.400%, 11/15/25 (e)		406
		A10 Term Asset Financing LLC,
	3,350	Series 2013-2, Class A, 2.620%, 11/15/27 (e)		3,373
	696	Series 2013-2, Class B, 4.380%, 11/15/27 (e)		711
		ACRE Commercial Mortgage Trust, (Cayman Islands),
	610	Series 2014-FL2, Class B, VAR, 2.223%, 08/15/31 (e)		607
	710	Series 2014-FL2, Class C, VAR, 2.673%, 08/15/31 (e)		708
	400	Series 2014-FL2, Class D, VAR, 3.573%, 08/15/31 (e)		399
		BAMLL Commercial Mortgage Securities Trust,
	560	Series 2012-PARK, Class A, 2.959%, 12/10/30 (e)		567
	1,300	Series 2014-520M, Class C, VAR, 4.214%, 08/15/46 (e)		1,314
		Banc of America Commercial Mortgage Trust,
	385	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		392
	2,094	Series 2006-4, Class A4, 5.634%, 07/10/46		2,177
	915	Series 2006-5, Class A4, 5.414%, 09/10/47		953
	1,500	Series 2007-5, Class A4, 5.492%, 02/10/51		1,597
		Banc of America Merrill Lynch Commercial Mortgage, Inc.,
	400	Series 2005-3, Class A4, 4.668%, 07/10/43		402
	1,610	Series 2005-3, Class AM, 4.727%, 07/10/43		1,619


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — continued
		BB-UBS Trust,
	4,400	Series 2012-SHOW, Class A, 3.430%, 11/05/36 (e)		4,543
	2,500	Series 2012-TFT, Class A, 2.892%, 06/05/30 (e)		2,472
		Bear Stearns Commercial Mortgage Securities Trust,
	25,012	Series 2005-PWR8, Class X1, IO, VAR, 0.736%, 06/11/41 (e)		24
	3,002	Series 2006-PW11, Class A4, VAR, 5.435%, 03/11/39		3,083
	83,683	CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.373%, 12/11/49 (e)		528
	900	CGBAM Commercial Mortgage Trust, Series 2014-HD, Class A, VAR, 0.956%, 02/15/31 (e)		896
	377	Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43		376
		COBALT CMBS Commercial Mortgage Trust,
	526	Series 2006-C1, Class A4, 5.223%, 08/15/48		553
	16,889	Series 2006-C1, Class IO, IO, VAR, 0.781%, 08/15/48		216
		COMM Mortgage Trust,
	2,962	Series 2012-CR2, Class XA, IO, VAR, 1.901%, 08/15/45		290
	3,500	Series 2013-300P, Class A1, 4.353%, 08/10/30 (e)		3,878
	1,060	Series 2013-SFS, Class A2, VAR, 2.987%, 04/12/35 (e)		1,075
	1,400	Series 2014-TWC, Class A, VAR, 1.022%, 02/13/32 (e)		1,396
	126	Commercial Mortgage Pass-Through Certificates, Series 2012-MVP, Class A, VAR, 2.112%, 11/17/26 (e)		126
	300	Commercial Mortgage Trust, Series 2006-GG7, Class AM, VAR, 5.787%, 07/10/38		315
	669	Credit Suisse Commercial Mortgage Trust, Series 2006-C2, Class A3, VAR, 5.684%, 03/15/39		689
	2,018	CSMC, Series 2014-ICE, Class A, VAR, 1.050%, 04/15/27 (e)		2,010
	294	DBRR Trust, Series 2013-EZ2, Class A, VAR, 0.853%, 02/25/45 (e)		294
		Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates,
	2,557	Series K029, Class A2, 3.320%, 02/25/23		2,729
	10,000	Series K037, Class A2, 3.490%, 01/25/24		10,775


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	1,000	Series KS01, Class A2, 2.522%, 01/25/23		1,010
	2,500	Series KSMC, Class A2, 2.615%, 01/25/23		2,533
	3,431	GMAC Commercial Mortgage Securities, Inc. Trust, Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		3,481
	1,370	GS Mortgage Securities Corp. II, Series 2013-KING, Class A, 2.706%, 12/10/27 (e)		1,392
	488	GS Mortgage Securities Corp. Trust, Series 2013-NYC5, Class A, 2.318%, 01/10/30 (e)		494
	865	GS Mortgage Securities Trust, Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38		882
	1,000	GSMS Trust, Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e)		1,055
		JP Morgan Chase Commercial Mortgage Securities Trust,
	1,000	Series 2005-CB11, Class AJ, VAR, 5.380%, 08/12/37		1,000
	400	Series 2006-LDP9, Class AMS, 5.337%, 05/15/47		401
	991	Series 2007-C1, Class A4, 5.716%, 02/15/51		1,053
	998	Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2, 3.985%, 02/15/36 (e)		1,059
		LB-UBS Commercial Mortgage Trust,
	973	Series 2006-C1, Class A4, 5.156%, 02/15/31		993
	39,587	Series 2006-C7, Class XW, IO, VAR, 0.659%, 11/15/38 (e)		383
	300	Series 2007-C1, Class AM, 5.455%, 02/15/40		321
	817	Series 2007-C2, Class A3, 5.430%, 02/15/40		869
	2,749	Merrill Lynch Mortgage Trust, Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44		2,803
		ML-CFC Commercial Mortgage Trust,
	2,937	Series 2006-1, Class A4, VAR, 5.467%, 02/12/39		3,009
	27,183	Series 2006-4, Class XC, IO, VAR, 0.635%, 12/12/49 (e)		270
	2,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 02/15/47		2,115
		Morgan Stanley Capital I Trust,
	33,751	Series 2006-IQ12, Class X1, IO, VAR, 0.467%, 12/15/43 (e)		248
	64,610	Series 2007-HQ11, Class X, IO, VAR, 0.215%, 02/12/44 (e)		242


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — continued
	764	Series 2011-C3, Class A3, 4.054%, 07/15/49		815
		Morgan Stanley Re-REMIC Trust,
	981	Series 2012-IO, Class AXA, 1.000%, 03/27/51 (e)		980
	3,420	Series 2012-XA, Class A, 2.000%, 07/27/49 (e)		3,423
	1,800	Series 2012-XA, Class B, 0.250%, 07/27/49 (e)		1,557
		NCUA Guaranteed Notes Trust,
	20,500	Series 2010-C1, Class A2, 2.900%, 10/29/20		21,012
	9,809	Series 2010-C1, Class APT, 2.650%, 10/29/20		9,927
		NorthStar, (Cayman Islands),
	2,312	Series 2013-1A, Class A, VAR, 2.018%, 08/25/29 (e)		2,314
	1,392	Series 2013-1A, Class B, VAR, 5.168%, 08/25/29 (e)		1,406
	1,164	ORES NPL LLC, Series 2013-LV2, Class A, 3.081%, 09/25/25 (e)		1,164
		RAIT Trust,
	1,960	Series 2014-FL3, Class A, VAR, 1.422%, 12/15/31 (e)		1,961
	1,986	Series 2014-FL3, Class AS, VAR, 3.394%, 12/15/31 (e)		1,987
	736	Series 2014-FL3, Class B, VAR, 2.822%, 12/15/31 (e)		737
	664	RBS Commercial Funding, Inc. Trust, Series 2013-SMV, Class A, 3.260%, 03/11/31 (e)		657
	1,024	RCMC LLC, Series 2012-CRE1, Class A, 5.623%, 11/15/44 (e)		1,051
	181	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.556%, 08/15/39		181
	2,236	UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e)		2,330
		UBS-Barclays Commercial Mortgage Trust,
	1,053	Series 2012-C2, Class A4, 3.525%, 05/10/63		1,113
	10,193	Series 2012-C2, Class XA, IO, VAR, 1.750%, 05/10/63 (e)		774
	857	Series 2013-C6, Class A4, 3.244%, 04/10/46		888
		VNDO Mortgage Trust,
	1,398	Series 2012-6AVE, Class A, 2.996%, 11/15/30 (e)		1,419
	4,000	Series 2013-PENN, Class A, 3.808%, 12/13/29 (e)		4,273


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	2,500	Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class A, VAR, 2.710%, 03/18/28 (e)		2,519
	951	Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e)		950
		WFRBS Commercial Mortgage Trust,
	1,700	Series 2011-C3, Class A4, 4.375%, 03/15/44 (e)		1,877
	800	Series 2012-C6, Class A4, 3.440%, 04/15/45		846
	400	Series 2013-C11, Class D, VAR, 4.182%, 03/15/45 (e)		389

		Total Commercial Mortgage-Backed Securities (Cost $140,546)		143,943

	Corporate Bonds — 19.4%
		Consumer Discretionary — 1.4%
		Auto Components — 0.0% (g)
		Johnson Controls, Inc.,
	591	3.750%, 12/01/21		622
	675	4.250%, 03/01/21		729
	173	4.950%, 07/02/64		183
	1,000	5.250%, 12/01/41		1,152

				2,686

		Automobiles — 0.1%
		Daimler Finance North America LLC,
	421	1.650%, 04/10/15 (e)		422
	532	1.875%, 01/11/18 (e)		537
	305	2.250%, 03/02/20 (e)		306
	981	2.375%, 08/01/18 (e)		1,001
	739	2.625%, 09/15/16 (e)		757
	1,425	2.950%, 01/11/17 (e)		1,474

				4,497

		Internet & Catalog Retail — 0.1%
		Amazon.com, Inc.,
	1,448	3.300%, 12/05/21		1,503
	1,435	4.800%, 12/05/34		1,547

				3,050

		Media — 1.0%
		21st Century Fox America, Inc.,
	100	6.200%, 12/15/34		129
	400	6.650%, 11/15/37		543
	250	6.900%, 08/15/39		349
	1,075	7.300%, 04/30/28		1,389
	505	8.000%, 10/17/16		561
	430	8.875%, 04/26/23		585


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Media — continued
		CBS Corp.,
	475	3.700%, 08/15/24		487
	345	4.600%, 01/15/45		349
	360	4.900%, 08/15/44		379
	140	5.500%, 05/15/33		156
	265	5.750%, 04/15/20		304
	250	Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22		364
		Comcast Corp.,
	555	4.200%, 08/15/34		601
	1,082	4.250%, 01/15/33		1,165
	2,910	5.900%, 03/15/16		3,067
	400	6.450%, 03/15/37		545
	1,355	6.500%, 11/15/35		1,872
		Cox Communications, Inc.,
	446	3.250%, 12/15/22 (e)		450
	885	4.800%, 02/01/35 (e)		930
	125	8.375%, 03/01/39 (e)		178
	450	Cox Enterprises, Inc., 7.375%, 07/15/27 (e)		588
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	435	3.800%, 03/15/22		449
	376	3.950%, 01/15/25		386
	1,000	4.600%, 02/15/21		1,088
	862	5.000%, 03/01/21		956
	2,000	6.000%, 08/15/40		2,256
		Discovery Communications LLC,
	1,016	4.375%, 06/15/21		1,088
	569	4.950%, 05/15/42		600
	1,197	Historic TW, Inc., 9.150%, 02/01/23		1,648
		NBCUniversal Media LLC,
	310	4.375%, 04/01/21		344
	800	5.950%, 04/01/41		1,051
	515	6.400%, 04/30/40		708
	296	Sky plc, (United Kingdom), 3.750%, 09/16/24 (e)		305
		Thomson Reuters Corp., (Canada),
	482	3.850%, 09/29/24		497
	1,278	3.950%, 09/30/21		1,361
	441	4.500%, 05/23/43		447
	325	4.700%, 10/15/19		356
		Time Warner Cable, Inc.,
	359	5.500%, 09/01/41		394
	1,218	5.850%, 05/01/17		1,328
	400	6.550%, 05/01/37		483
	800	8.250%, 04/01/19		977


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Media — continued
		Time Warner Entertainment Co. LP,
	160	8.375%, 03/15/23		213
	1,250	8.375%, 07/15/33		1,800
		Time Warner, Inc.,
	555	4.750%, 03/29/21		621
	313	5.375%, 10/15/41		364
	150	6.200%, 03/15/40		190
	172	6.250%, 03/29/41		222
	265	6.500%, 11/15/36		345
	250	7.625%, 04/15/31		352
	171	7.700%, 05/01/32		245
		Viacom, Inc.,
	235	2.750%, 12/15/19		238
	500	3.125%, 06/15/22		494
	67	3.250%, 03/15/23		66
	808	3.875%, 12/15/21		843
	464	4.375%, 03/15/43		435
	100	4.500%, 03/01/21		108
	250	4.500%, 02/27/42		235
	262	4.850%, 12/15/34		270
	130	6.250%, 04/30/16		138
	333	Walt Disney Co. (The), 0.450%, 12/01/15		333

				39,225

		Multiline Retail — 0.1%
	280	Kohl’s Corp., 6.250%, 12/15/17		313
		Macy’s Retail Holdings, Inc.,
	516	2.875%, 02/15/23		512
	462	4.375%, 09/01/23		502
	526	4.500%, 12/15/34		553
	157	5.125%, 01/15/42		175
	230	7.450%, 07/15/17		260
	455	Nordstrom, Inc., 4.000%, 10/15/21		493
	200	Target Corp., 6.000%, 01/15/18		226

				3,034

		Specialty Retail — 0.1%
	217	Bed Bath & Beyond, Inc., 4.915%, 08/01/34		233
	533	Gap, Inc. (The), 5.950%, 04/12/21		609
	1,785	Home Depot, Inc. (The), 5.400%, 03/01/16		1,872
		Lowe’s Cos., Inc.,
	739	4.650%, 04/15/42		837
	326	5.125%, 11/15/41		392
	750	Series B, 7.110%, 05/15/37		1,045

				4,988

		Total Consumer Discretionary		57,480


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Consumer Staples — 0.9%
		Beverages — 0.2%
		Anheuser-Busch Cos. LLC,
	600	5.500%, 01/15/18		668
	920	5.750%, 04/01/36		1,126
	900	Anheuser-Busch InBev Finance, Inc., 3.700%, 02/01/24		954
	94	Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19		114
	440	Coca-Cola Co. (The), 4.875%, 03/15/19		495
		Diageo Capital plc, (United Kingdom),
	264	1.500%, 05/11/17		266
	510	4.828%, 07/15/20		576
	800	Diageo Finance B.V., (Netherlands), 5.300%, 10/28/15		824
	255	Diageo Investment Corp., 8.000%, 09/15/22		339
	890	FBG Finance Pty Ltd., (Australia), 5.125%, 06/15/15 (e)		902
	355	Heineken N.V., (Netherlands), 1.400%, 10/01/17 (e)		356
		PepsiCo, Inc.,
	287	1.250%, 08/13/17		288
	368	3.000%, 08/25/21		383
	59	7.900%, 11/01/18		72
	500	VAR, 0.471%, 02/26/16		500
	698	SABMiller Holdings, Inc., 3.750%, 01/15/22 (e)		729

				8,592

		Food & Staples Retailing — 0.4%
	858	Costco Wholesale Corp., 2.250%, 02/15/22		852
		CVS Health Corp.,
	536	4.000%, 12/05/23		581
	322	5.300%, 12/05/43		395
	1,028	CVS Pass-Through Trust, 5.926%, 01/10/34 (e)		1,211
		Kroger Co. (The),
	900	4.000%, 02/01/24		965
	1,100	5.000%, 04/15/42		1,248
	2,480	7.500%, 04/01/31		3,378
	259	Sysco Corp., 3.000%, 10/02/21		267
	1,031	Walgreen Co., 3.100%, 09/15/22		1,045
		Walgreens Boots Alliance, Inc.,
	544	3.300%, 11/18/21		560
	663	3.800%, 11/18/24		690
	386	4.500%, 11/18/34		408
		Wal-Mart Stores, Inc.,
	762	5.250%, 09/01/35		940


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Food & Staples Retailing — continued
	255	6.200%, 04/15/38		348
	350	7.550%, 02/15/30		521

				13,409

		Food Products — 0.3%
	200	Archer-Daniels-Midland Co., 5.935%, 10/01/32		256
	1,415	Bunge Ltd. Finance Corp., 8.500%, 06/15/19		1,730
	191	Bunge N.A. Finance LP, 5.900%, 04/01/17		207
		Cargill, Inc.,
	600	3.300%, 03/01/22 (e)		622
	535	4.307%, 05/14/21 (e)		595
	850	7.350%, 03/06/19 (e)		1,018
		ConAgra Foods, Inc.,
	223	1.300%, 01/25/16		223
	227	2.100%, 03/15/18		227
	365	Kellogg Co., 1.750%, 05/17/17		368
		Kraft Foods Group, Inc.,
	814	3.500%, 06/06/22		838
	694	5.000%, 06/04/42		751
	1,187	6.125%, 08/23/18		1,349
	1,793	6.875%, 01/26/39		2,268
	1,500	Mondelez International, Inc., 4.000%, 02/01/24		1,624
	777	Tyson Foods, Inc., 3.950%, 08/15/24		826

				12,902

		Household Products — 0.0% (g)
		Kimberly-Clark Corp.,
	220	2.400%, 03/01/22		219
	71	7.500%, 11/01/18		86
	687	Procter & Gamble — ESOP, Series A, 9.360%, 01/01/21		851
	140	Procter & Gamble Co. (The), 5.500%, 02/01/34		181

				1,337

		Total Consumer Staples		36,240

		Energy — 2.0%
		Energy Equipment & Services — 0.2%
	199	Cameron International Corp., 4.000%, 12/15/23		202
	348	Diamond Offshore Drilling, Inc., 4.875%, 11/01/43		304
		Halliburton Co.,
	714	3.500%, 08/01/23		746
	1,620	7.450%, 09/15/39		2,332


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Energy Equipment & Services — continued
	400	Nabors Industries, Inc., 5.000%, 09/15/20		392
	188	National Oilwell Varco, Inc., 1.350%, 12/01/17		187
		Noble Holding International Ltd., (Cayman Islands),
	83	5.250%, 03/15/42		68
	300	6.050%, 03/01/41		258
	441	Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e)		459
		Transocean, Inc., (Cayman Islands),
	361	3.800%, 10/15/22		280
	256	6.375%, 12/15/21		226
	905	6.500%, 11/15/20		806
	198	7.350%, 12/15/41		169
	100	7.500%, 04/15/31		84
		Weatherford International Ltd., (Bermuda),
	311	4.500%, 04/15/22		283
	113	5.950%, 04/15/42		98
	110	6.500%, 08/01/36		101
	350	9.875%, 03/01/39		401

				7,396

		Marine — 0.0% (g)
	115	Noble Holding International Ltd., (Cayman Islands), 4.625%, 03/01/21		107

		Oil, Gas & Consumable Fuels — 1.8%
	160	Alberta Energy Co., Ltd., (Canada), 7.375%, 11/01/31		193
	330	Anadarko Petroleum Corp., 8.700%, 03/15/19		403
		Apache Corp.,
	138	3.250%, 04/15/22		139
	556	4.750%, 04/15/43		583
	500	6.900%, 09/15/18		579
	235	BG Energy Capital plc, (United Kingdom), 5.125%, 10/15/41 (e)		262
	338	Boardwalk Pipelines LP, 4.950%, 12/15/24		344
		BP Capital Markets plc, (United Kingdom),
	92	1.375%, 11/06/17		92
	929	1.846%, 05/05/17		941
	1,283	2.237%, 05/10/19		1,293
	1,182	2.750%, 05/10/23		1,164
	437	3.814%, 02/10/24		458
	900	4.742%, 03/11/21		1,001
		Buckeye Partners LP,
	330	4.875%, 02/01/21		351
	125	5.850%, 11/15/43		124
	200	Burlington Resources Finance Co., (Canada), 7.400%, 12/01/31		281


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — continued
		Canadian Natural Resources Ltd., (Canada),
	401	3.900%, 02/01/25		407
	350	6.250%, 03/15/38		413
	1,000	6.750%, 02/01/39		1,220
		Cenovus Energy, Inc., (Canada),
	208	3.000%, 08/15/22		198
	356	4.450%, 09/15/42		323
	759	6.750%, 11/15/39		916
		Chevron Corp.,
	560	2.355%, 12/05/22		552
	1,000	4.950%, 03/03/19		1,125
	1,789	CNOOC Nexen Finance 2014 ULC, (Canada), 4.250%, 04/30/24		1,896
	230	Conoco Funding Co., (Canada), 7.250%, 10/15/31		322
		ConocoPhillips,
	571	3.350%, 11/15/24		590
	325	5.200%, 05/15/18		361
	525	5.750%, 02/01/19		601
	150	6.000%, 01/15/20		175
	200	6.500%, 02/01/39		273
	1,045	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		1,124
		Devon Energy Corp.,
	750	3.250%, 05/15/22		769
	522	4.750%, 05/15/42		564
	360	6.300%, 01/15/19		415
	533	Ecopetrol S.A., (Colombia), 4.125%, 01/16/25		504
		Encana Corp., (Canada),
	545	6.500%, 05/15/19		618
	150	6.500%, 08/15/34		171
	448	Energy Transfer Partners LP, 3.600%, 02/01/23		446
	925	Eni S.p.A., (Italy), Series EX2, 5.700%, 10/01/40 (e)		1,056
	140	EnLink Midstream Partners LP, 2.700%, 04/01/19		140
		Enterprise Products Operating LLC,
	343	3.750%, 02/15/25		356
	475	3.900%, 02/15/24		501
	155	4.950%, 10/15/54		171
	318	5.100%, 02/15/45		364
		EOG Resources, Inc.,
	379	2.625%, 03/15/23		375
	600	4.100%, 02/01/21		644
	800	Gulf South Pipeline Co. LP, 4.000%, 06/15/22		790


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Oil, Gas & Consumable Fuels — continued
	180	Hess Corp., 7.875%, 10/01/29		238
		Kerr-McGee Corp.,
	200	6.950%, 07/01/24		251
	1,700	7.875%, 09/15/31		2,364
		Magellan Midstream Partners LP,
	353	3.200%, 03/15/25		352
	1,127	5.150%, 10/15/43		1,284
	250	6.550%, 07/15/19		294
		Marathon Oil Corp.,
	902	5.900%, 03/15/18		997
	1,620	6.000%, 10/01/17		1,802
	578	Marathon Petroleum Corp., 3.625%, 09/15/24		589
	314	Noble Energy, Inc., 5.050%, 11/15/44		335
	402	Occidental Petroleum Corp., 1.750%, 02/15/17		407
	350	ONEOK Partners LP, 6.650%, 10/01/36		377
		Petrobras Global Finance B.V., (Netherlands),
	841	4.375%, 05/20/23		688
	1,020	5.375%, 01/27/21		906
	2,622	6.250%, 03/17/24		2,400
	110	6.750%, 01/27/41		92
	175	7.875%, 03/15/19		175
		Petro-Canada, (Canada),
	324	6.050%, 05/15/18		364
	1,045	6.800%, 05/15/38		1,397
		Petroleos Mexicanos, (Mexico),
	370	4.250%, 01/15/25 (e)		372
	974	4.500%, 01/23/26 (e)		995
	393	4.875%, 01/18/24		418
	492	5.500%, 06/27/44 (e)		492
	617	5.625%, 01/23/46 (e)		633
	846	6.375%, 01/23/45		945
		Phillips 66,
	314	2.950%, 05/01/17		325
	182	4.300%, 04/01/22		199
		Plains All American Pipeline LP/PAA Finance Corp.,
	323	2.600%, 12/15/19		326
	1,000	3.600%, 11/01/24		1,027
	1,480	4.900%, 02/15/45		1,630
	831	Sinopec Group Overseas Development 2013 Ltd., (United Kingdom), 4.375%, 10/17/23 (e)		891
		Spectra Energy Capital LLC,
	1,500	5.650%, 03/01/20		1,654


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — continued
	500	6.200%, 04/15/18		555
	400	8.000%, 10/01/19		487
		Spectra Energy Partners LP,
	524	2.950%, 09/25/18		541
	452	5.950%, 09/25/43		575
		Statoil ASA, (Norway),
	906	1.150%, 05/15/18		896
	353	1.200%, 01/17/18		352
	406	2.450%, 01/17/23		401
	1,071	2.650%, 01/15/24		1,059
	313	2.900%, 11/08/20		325
	467	3.125%, 08/17/17		489
	300	3.150%, 01/23/22		312
	456	3.250%, 11/10/24		471
	253	4.250%, 11/23/41		272
		Suncor Energy, Inc., (Canada),
	180	5.950%, 12/01/34		217
	250	6.850%, 06/01/39		334
		Sunoco Logistics Partners Operations LP,
	259	4.250%, 04/01/24		271
	170	5.300%, 04/01/44		182
	1,133	5.350%, 05/15/45		1,230
		Talisman Energy, Inc., (Canada),
	1,125	5.500%, 05/15/42		1,149
	185	5.850%, 02/01/37		194
	190	6.250%, 02/01/38		207
	850	7.750%, 06/01/19		986
	554	Texas Eastern Transmission LP, 2.800%, 10/15/22 (e)		533
		Tosco Corp.,
	310	7.800%, 01/01/27		436
	400	8.125%, 02/15/30		576
	124	Total Capital Canada Ltd., (Canada), VAR, 0.633%, 01/15/16		124
		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		513
	500	2.750%, 06/19/21		513
	233	2.875%, 02/17/22		237
		Total Capital S.A., (France),
	1,400	2.300%, 03/15/16		1,426
	370	4.125%, 01/28/21		407
		TransCanada PipeLines Ltd., (Canada),
	550	6.200%, 10/15/37		686


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Oil, Gas & Consumable Fuels — continued
	340	6.500%, 08/15/18		391
	1,100	7.250%, 08/15/38		1,526
	74	Western Gas Partners LP, 5.375%, 06/01/21		83

				71,164

		Total Energy		78,667

		Financials — 8.4%
		Banks — 3.5%
	669	ABN AMRO Bank N.V., (Netherlands), 2.500%, 10/30/18 (e)		680
		ANZ New Zealand International Ltd., (New Zealand),
	750	2.600%, 09/23/19 (e)		763
	550	3.125%, 08/10/15 (e)		556
		Australia & New Zealand Banking Group Ltd., (Australia),
	900	1.450%, 05/15/18		893
	1,268	2.400%, 11/23/16 (e)		1,297
	228	4.875%, 01/12/21 (e)		259
		Bank of America Corp.,
	600	2.000%, 01/11/18		604
	1,500	Series L, 2.650%, 04/01/19		1,526
	520	3.625%, 03/17/16		534
	972	4.000%, 04/01/24		1,027
	547	4.100%, 07/24/23		588
	851	4.250%, 10/22/26		872
	2,065	5.000%, 05/13/21		2,333
	2,730	5.625%, 10/14/16		2,913
	740	5.625%, 07/01/20		851
	645	Series L, 5.650%, 05/01/18		716
	150	5.700%, 01/24/22		175
	420	5.750%, 12/01/17		465
	400	5.875%, 01/05/21		467
	2,996	6.400%, 08/28/17		3,334
	1,564	6.875%, 04/25/18		1,792
	875	7.625%, 06/01/19		1,057
	1,510	7.800%, 09/15/16		1,652
		Bank of Montreal, (Canada),
	1,666	1.400%, 09/11/17		1,673
	1,106	2.550%, 11/06/22		1,101
		Bank of Nova Scotia (The), (Canada),
	1,034	1.650%, 10/29/15 (e)		1,043
	2,000	2.550%, 01/12/17		2,056
	1,275	Bank of Tokyo-Mitsubishi UFJ Ltd. (The), (Japan), 2.350%, 02/23/17 (e)		1,297


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Banks — continued
	1,600	Banque Federative du Credit Mutuel S.A., (France), 1.700%, 01/20/17 (e)		1,611
		Barclays Bank plc, (United Kingdom),
	276	2.250%, 05/10/17 (e)		282
	800	2.500%, 09/21/15 (e)		809
	324	3.750%, 05/15/24		343
	310	Series 1, 5.000%, 09/22/16		329
	1,000	6.050%, 12/04/17 (e)		1,103
		BB&T Corp.,
	750	3.950%, 04/29/16		776
	740	5.250%, 11/01/19		833
	380	6.850%, 04/30/19		451
	632	BNZ International Funding Ltd., (New Zealand), 2.350%, 03/04/19 (e)		636
	695	Branch Banking & Trust Co., 5.625%, 09/15/16		741
		Canadian Imperial Bank of Commerce, (Canada),
	226	0.900%, 10/01/15		227
	4,000	2.600%, 07/02/15 (e)		4,028
	1,650	Capital One Bank USA N.A., 3.375%, 02/15/23		1,662
		Citigroup, Inc.,
	507	1.800%, 02/05/18		506
	800	1.850%, 11/24/17		801
	500	2.400%, 02/18/20		498
	423	3.375%, 03/01/23		432
	871	3.750%, 06/16/24		905
	433	3.875%, 10/25/23		456
	1,200	4.300%, 11/20/26		1,233
	500	4.450%, 01/10/17		527
	871	4.700%, 05/29/15		880
	483	4.750%, 05/19/15		487
	250	5.300%, 05/06/44		279
	298	5.375%, 08/09/20		340
	865	5.500%, 09/13/25		979
	321	5.875%, 01/30/42		414
	2,154	6.000%, 08/15/17		2,376
	475	6.125%, 11/21/17		530
	250	6.625%, 01/15/28		315
	400	8.125%, 07/15/39		622
	1,409	8.500%, 05/22/19		1,754
		Comerica, Inc.,
	260	3.000%, 09/16/15		263
	148	3.800%, 07/22/26		150
	1,080	Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e)		1,105


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Banks — continued
		Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., (Netherlands),
	143	2.125%, 10/13/15		145
	1,000	2.250%, 01/14/20		1,004
	2,400	3.200%, 03/11/15 (e)		2,401
	455	3.375%, 01/19/17		474
	789	3.875%, 02/08/22		851
	500	5.800%, 09/30/10 (e) ††		591
		Discover Bank,
	1,000	3.200%, 08/09/21		1,025
	601	4.200%, 08/08/23		642
	2,011	DNB Boligkreditt A.S., (Norway), 2.100%, 10/14/15 (e)		2,030
		Fifth Third Bancorp,
	70	2.300%, 03/01/19		71
	760	5.450%, 01/15/17		815
		Fifth Third Bank,
	600	2.375%, 04/25/19		607
	340	2.875%, 10/01/21		345
		HSBC Bank plc, (United Kingdom),
	1,438	1.500%, 05/15/18 (e)		1,430
	666	4.125%, 08/12/20 (e)		727
	575	4.750%, 01/19/21 (e)		648
		HSBC Holdings plc, (United Kingdom),
	500	4.000%, 03/30/22		539
	530	4.875%, 01/14/22		598
	556	5.100%, 04/05/21		632
	600	6.100%, 01/14/42		801
	680	Industrial & Commercial Bank of China Ltd., (China), 2.351%, 11/13/17		682
	300	KeyCorp, 5.100%, 03/24/21		341
	2,100	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		2,361
	623	Mizuho Bank Ltd., (Japan), 2.650%, 09/25/19 (e)		632
	270	MUFG Americas Holdings Corp., 2.250%, 02/10/20		270
		National Australia Bank Ltd., (Australia),
	1,500	2.000%, 06/20/17 (e)		1,526
	750	2.750%, 09/28/15 (e)		759
	1,000	3.000%, 07/27/16 (e)		1,030
	795	3.750%, 03/02/15 (e)		795
	250	National City Bank, 5.800%, 06/07/17		273
		Nordea Bank AB, (Sweden),
	1,000	1.625%, 05/15/18 (e)		997
	1,800	3.125%, 03/20/17 (e)		1,868


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Banks — continued
	945	4.875%, 05/13/21 (e)		1,036
	837	Oversea-Chinese Banking Corp., Ltd., (Singapore), 1.625%, 03/13/15 (e)		837
	400	PNC Bank N.A., 6.875%, 04/01/18		461
	182	PNC Financial Services Group, Inc. (The), 3.900%, 04/29/24		189
		PNC Funding Corp.,
	709	3.300%, 03/08/22		741
	567	4.375%, 08/11/20		626
	970	5.250%, 11/15/15		999
	950	5.625%, 02/01/17		1,023
	595	6.700%, 06/10/19		706
		Royal Bank of Canada, (Canada),
	985	1.200%, 09/19/17		983
	1,450	1.875%, 02/05/20		1,442
	1,789	2.000%, 10/01/18		1,813
	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)		917
	1,148	Stadshypotek AB, (Sweden), 1.875%, 10/02/19 (e)		1,148
	1,300	Standard Chartered plc, (United Kingdom), 5.200%, 01/26/24 (e)		1,411
	880	SunTrust Banks, Inc., 6.000%, 09/11/17		976
	1,411	Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16		1,454
		Toronto-Dominion Bank (The), (Canada),
	2,350	1.500%, 03/13/17 (e)		2,372
	1,140	2.200%, 07/29/15 (e)		1,148
	521	2.250%, 11/05/19		528
		U.S. Bancorp,
	550	1.650%, 05/15/17		558
	675	2.450%, 07/27/15		681
	540	3.000%, 03/15/22		556
	566	4.125%, 05/24/21		623
	1,277	7.500%, 06/01/26		1,721
	896	U.S. Bank N.A., 2.800%, 01/27/25		896
	4,780	Wachovia Corp., 5.750%, 02/01/18		5,348
		Wells Fargo & Co.,
	1,200	Series N, 2.150%, 01/30/20		1,198
	1,826	2.625%, 12/15/16		1,882
	453	3.000%, 02/19/25		452
	850	3.500%, 03/08/22		896
	484	4.100%, 06/03/26		507


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Banks — continued
	702	4.480%, 01/16/24		766
	500	4.600%, 04/01/21		558
	920	4.650%, 11/04/44		984
	1,280	5.606%, 01/15/44		1,561
	2,350	5.625%, 12/11/17		2,615
	1,045	SUB, 3.676%, 06/15/16		1,084
		Wells Fargo Bank N.A.,
	1,000	5.600%, 03/15/16		1,049
	250	5.750%, 05/16/16		264
	250	6.000%, 11/15/17		280
		Westpac Banking Corp., (Australia),
	338	2.000%, 03/03/20 (e)		337
	2,141	4.875%, 11/19/19		2,399

				139,564

		Capital Markets — 1.7%
	1,500	Ameriprise Financial, Inc., 4.000%, 10/15/23		1,612
		Bank of New York Mellon Corp. (The),
	1,789	2.400%, 01/17/17		1,835
	900	Series 1, 2.950%, 06/18/15		907
	700	3.250%, 09/11/24		722
	413	3.550%, 09/23/21		438
	950	3.650%, 02/04/24		1,012
	760	4.600%, 01/15/20		848
		BlackRock, Inc.,
	660	3.375%, 06/01/22		689
	540	3.500%, 03/18/24		566
	867	Series 2, 5.000%, 12/10/19		984
	385	6.250%, 09/15/17		432
	1,940	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		2,269
	340	Charles Schwab Corp. (The), 3.225%, 09/01/22		350
		Credit Suisse, (Switzerland),
	417	1.750%, 01/29/18		418
	728	2.300%, 05/28/19		733
	271	3.000%, 10/29/21		276
	402	3.625%, 09/09/24		418
		Deutsche Bank AG, (Germany),
	591	1.875%, 02/13/18		592
	450	3.250%, 01/11/16		459
	355	6.000%, 09/01/17		394
	500	FMR LLC, 6.450%, 11/15/39 (e)		654
		Goldman Sachs Group, Inc. (The),
	952	2.550%, 10/23/19		959
	545	2.625%, 01/31/19		555


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Capital Markets — continued
	764	2.900%, 07/19/18		786
	400	3.300%, 05/03/15		402
	557	3.500%, 01/23/25		562
	3,060	3.625%, 02/07/16		3,135
	492	3.700%, 08/01/15		498
	800	4.000%, 03/03/24		846
	848	5.250%, 07/27/21		963
	1,366	5.375%, 03/15/20		1,547
	1,200	5.750%, 01/24/22		1,403
	4,310	5.950%, 01/18/18		4,804
	949	Series D, 6.000%, 06/15/20		1,107
	420	6.150%, 04/01/18		472
	685	6.750%, 10/01/37		886
	2,678	7.500%, 02/15/19		3,199
		ING Bank N.V., (Netherlands),
	500	1.375%, 03/07/16 (e)		502
	216	2.000%, 09/25/15 (e)		218
	1,445	3.750%, 03/07/17 (e)		1,512
	657	Invesco Finance plc, (United Kingdom), 4.000%, 01/30/24		697
		Jefferies Group LLC,
	450	3.875%, 11/09/15		457
	1,015	5.125%, 04/13/18		1,072
	1,010	6.450%, 06/08/27		1,116
	325	6.875%, 04/15/21		368
	555	8.500%, 07/15/19		663
		Macquarie Bank Ltd., (Australia),
	373	2.000%, 08/15/16 (e)		377
	291	2.600%, 06/24/19 (e)		295
	2,847	5.000%, 02/22/17 (e)		3,042
		Macquarie Group Ltd., (Australia),
	1,200	6.000%, 01/14/20 (e)		1,362
	1,650	6.250%, 01/14/21 (e)		1,907
		Morgan Stanley,
	179	1.750%, 02/25/16		181
	500	2.650%, 01/27/20		504
	1,250	3.700%, 10/23/24		1,290
	625	4.000%, 07/24/15		633
	480	4.350%, 09/08/26		500
	871	5.000%, 11/24/25		960
	1,000	5.450%, 01/09/17		1,073
	1,021	5.500%, 07/24/20		1,166
	380	5.500%, 07/28/21		439
	1,265	5.625%, 09/23/19		1,436
	360	5.750%, 01/25/21		419


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Capital Markets — continued
	400	6.625%, 04/01/18		455
	970	7.300%, 05/13/19		1,159
		Nomura Holdings, Inc., (Japan),
	1,050	4.125%, 01/19/16		1,078
	150	5.000%, 03/04/15		150
	547	6.700%, 03/04/20		654
		State Street Corp.,
	369	3.100%, 05/15/23		370
	1,164	3.700%, 11/20/23		1,248
		UBS AG, (Switzerland),
	365	4.875%, 08/04/20		412
	244	5.750%, 04/25/18		273
	247	5.875%, 12/20/17		276

				66,996

		Consumer Finance — 0.8%
	700	American Express Co., 7.000%, 03/19/18		808
		American Express Credit Corp.,
	480	2.375%, 03/24/17		493
	1,028	2.800%, 09/19/16		1,057
		American Honda Finance Corp.,
	363	1.500%, 09/11/17 (e)		366
	533	1.600%, 02/16/18 (e)		536
	565	2.125%, 02/28/17 (e)		578
	417	2.250%, 08/15/19		424
	1,599	2.600%, 09/20/16 (e)		1,643
	150	7.625%, 10/01/18 (e)		180
		Capital One Financial Corp.,
	273	1.000%, 11/06/15		273
	750	3.200%, 02/05/25		740
	1,281	3.500%, 06/15/23		1,307
		Caterpillar Financial Services Corp.,
	882	2.250%, 12/01/19		894
	402	2.850%, 06/01/22		409
	560	5.500%, 03/15/16		588
	340	7.050%, 10/01/18		400
	585	7.150%, 02/15/19		699
		Ford Motor Credit Co. LLC,
	472	1.684%, 09/08/17		473
	340	2.145%, 01/09/18		344
	513	2.375%, 03/12/19		519
	1,653	3.000%, 06/12/17		1,709
	1,917	3.984%, 06/15/16		1,980
	561	4.207%, 04/15/16		579
	200	4.250%, 09/20/22		217
	803	VAR, 1.506%, 05/09/16		809


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Consumer Finance — continued
		HSBC Finance Corp.,
	3,538	5.000%, 06/30/15		3,589
	207	7.350%, 11/27/32		267
		HSBC USA, Inc.,
	800	1.625%, 01/16/18		801
	1,077	2.350%, 03/05/20		1,076
		John Deere Capital Corp.,
	759	1.200%, 10/10/17		761
	335	1.700%, 01/15/20		330
	400	2.250%, 04/17/19		406
	233	3.150%, 10/15/21		243
	874	Nissan Motor Acceptance Corp., 1.800%, 03/15/18 (e)		877
	663	PACCAR Financial Corp., 1.600%, 03/15/17		670
		Toyota Motor Credit Corp.,
	412	1.450%, 01/12/18		415
	2,480	2.000%, 09/15/16		2,528
	558	2.100%, 01/17/19		567
	962	3.200%, 06/17/15		970

				31,525

		Diversified Financial Services — 1.1%
	1,231	Associates Corp. of North America, 6.950%, 11/01/18		1,438
	1,455	Bank of America N.A., 5.300%, 03/15/17		1,562
		Berkshire Hathaway, Inc.,
	2,498	3.400%, 01/31/22		2,640
	840	3.750%, 08/15/21		919
	725	Caisse Centrale Desjardins, (Canada), 2.550%, 03/24/16 (e)		739
		CME Group, Inc.,
	1,230	3.000%, 09/15/22		1,269
	285	5.300%, 09/15/43		350
	400	Countrywide Financial Corp., 6.250%, 05/15/16		423
		General Electric Capital Corp.,
	167	1.000%, 12/11/15		168
	1,100	1.625%, 07/02/15		1,105
	750	2.300%, 04/27/17		770
	2,000	3.150%, 09/07/22		2,083
	650	4.625%, 01/07/21		732
	2,100	4.650%, 10/17/21		2,381
	191	5.300%, 02/11/21		220
	2,500	5.400%, 02/15/17		2,713
	1,785	5.500%, 01/08/20		2,066
	4,380	5.625%, 05/01/18		4,925


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Diversified Financial Services — continued
	330	5.875%, 01/14/38		429
	2,772	Series A, 6.750%, 03/15/32		3,842
		Intercontinental Exchange, Inc.,
	447	2.500%, 10/15/18		458
	884	4.000%, 10/15/23		951
	300	Murray Street Investment Trust I, SUB, 4.647%, 03/09/17		319
	290	National Rural Utilities Cooperative Finance Corp., 10.375%, 11/01/18		377
	550	Principal Life Global Funding I, 5.050%, 03/15/15 (e)		551
		Private Export Funding Corp.,
	5,000	Series EE, 2.800%, 05/15/22		5,179
	681	Series KK, 3.550%, 01/15/24		732
		Shell International Finance B.V., (Netherlands),
	212	1.125%, 08/21/17		213
	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		1,786
	300	Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)		323

				43,917

		Insurance — 0.9%
		ACE INA Holdings, Inc.,
	455	2.600%, 11/23/15		462
	410	5.600%, 05/15/15		414
	520	AIG SunAmerica Global Financing X, 6.900%, 03/15/32 (e)		729
	651	Allstate Corp. (The), 3.150%, 06/15/23		665
		American International Group, Inc.,
	296	3.875%, 01/15/35		298
	471	4.125%, 02/15/24		513
	3,020	5.450%, 05/18/17		3,289
		Aon Corp.,
	402	3.125%, 05/27/16		412
	346	3.500%, 09/30/15		352
	306	6.250%, 09/30/40		398
		Berkshire Hathaway Finance Corp.,
	404	1.300%, 05/15/18		405
	233	2.450%, 12/15/15		237
	233	3.000%, 05/15/22		241
	748	4.300%, 05/15/43		826
	1,574	4.400%, 05/15/42		1,749
	1,810	5.400%, 05/15/18		2,045
	120	Chubb Corp. (The), 5.750%, 05/15/18		136
	798	CNA Financial Corp., 5.875%, 08/15/20		918


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Insurance — continued
	408	Liberty Mutual Group, Inc., 5.000%, 06/01/21 (e)		453
		Lincoln National Corp.,
	345	4.200%, 03/15/22		368
	253	4.850%, 06/24/21		282
	280	Massachusetts Mutual Life Insurance Co., 5.375%, 12/01/41 (e)		340
		MassMutual Global Funding II,
	1,500	2.000%, 04/05/17 (e)		1,520
	626	2.500%, 10/17/22 (e)		620
	540	3.125%, 04/14/16 (e)		555
		MetLife, Inc.,
	600	4.875%, 11/13/43		696
	555	Series A, 6.817%, 08/15/18		647
		Metropolitan Life Global Funding I,
	638	1.300%, 04/10/17 (e)		641
	604	1.500%, 01/10/18 (e)		605
	300	1.875%, 06/22/18 (e)		302
	820	2.500%, 09/29/15 (e)		829
	400	3.125%, 01/11/16 (e)		409
	1,900	3.650%, 06/14/18 (e)		2,018
	1,277	3.875%, 04/11/22 (e)		1,362
	1,750	Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e)		2,805
		New York Life Global Funding,
	740	0.750%, 07/24/15 (e)		741
	129	1.950%, 02/11/20 (e)		129
	951	2.150%, 06/18/19 (e)		955
	650	Pacific Life Global Funding, 5.000%, 05/15/17 (e)		691
	570	Pacific Life Insurance Co., 9.250%, 06/15/39 (e)		917
	384	Pricoa Global Funding I, 1.600%, 05/29/18 (e)		382
	166	Principal Financial Group, Inc., 1.850%, 11/15/17		167
		Principal Life Global Funding II,
	304	1.000%, 12/11/15 (e)		306
	953	2.250%, 10/15/18 (e)		973
	1,750	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		2,389
	285	Travelers Cos., Inc. (The), 5.800%, 05/15/18		321

				36,512

		Real Estate Investment Trusts (REITs) — 0.4%
		American Tower Corp.,
	450	3.500%, 01/31/23		439
	567	5.000%, 02/15/24		619


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Real Estate Investment Trusts (REITs) — continued
		American Tower Trust I,
	471	1.551%, 03/15/18 (e)		466
	550	Class 2A, 3.070%, 03/15/23 (e)		548
		Equity Commonwealth,
	600	5.875%, 09/15/20		664
	1,345	6.650%, 01/15/18		1,474
	608	ERP Operating LP, 4.625%, 12/15/21		675
		HCP, Inc.,
	492	2.625%, 02/01/20		493
	265	3.400%, 02/01/25		260
	234	3.875%, 08/15/24		239
	230	4.200%, 03/01/24		241
	598	4.250%, 11/15/23		633
	970	5.375%, 02/01/21		1,088
	732	Health Care REIT, Inc., 4.500%, 01/15/24		787
	534	Prologis LP, 4.250%, 08/15/23		573
		Simon Property Group LP,
	917	2.150%, 09/15/17		937
	1,400	3.375%, 10/01/24		1,441
	579	4.125%, 12/01/21		634
	200	4.375%, 03/01/21		221
	345	6.125%, 05/30/18		392
		Ventas Realty LP,
	242	3.500%, 02/01/25		244
	353	3.750%, 05/01/24		362

				13,430

		Thrifts & Mortgage Finance — 0.0% (g)
	850	BPCE S.A., (France), 1.625%, 01/26/18		848

		Total Financials		332,792

		Health Care — 0.8%
		Biotechnology — 0.2%
		Amgen, Inc.,
	491	3.625%, 05/22/24		512
	1,000	3.875%, 11/15/21		1,073
	237	4.500%, 03/15/20		261
	500	4.950%, 10/01/41		560
	2,000	5.150%, 11/15/41		2,297
	265	5.650%, 06/15/42		327
	680	5.700%, 02/01/19		774
	720	5.750%, 03/15/40		874
		Celgene Corp.,
	1,336	3.250%, 08/15/22		1,364
	659	3.625%, 05/15/24		689
	632	Gilead Sciences, Inc., 3.500%, 02/01/25		663

				9,394


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Health Care Equipment & Supplies — 0.1%
		Baxter International, Inc.,
	286	1.850%, 06/15/18		287
	270	4.625%, 03/15/15		270
		Becton, Dickinson and Co.,
	162	2.675%, 12/15/19		165
	243	3.734%, 12/15/24		255
	100	5.000%, 05/15/19		111
		Medtronic, Inc.,
	821	3.150%, 03/15/22 (e)		850
	1,025	4.375%, 03/15/35 (e)		1,117

				3,055

		Health Care Providers & Services — 0.3%
		Aetna, Inc.,
	265	4.500%, 05/15/42		291
	440	6.750%, 12/15/37		607
		Anthem, Inc.,
	467	2.300%, 07/15/18		473
	615	3.125%, 05/15/22		623
	280	3.300%, 01/15/23		287
	500	4.625%, 05/15/42		543
	535	4.650%, 01/15/43		583
	648	4.650%, 08/15/44		716
	540	Cardinal Health, Inc., 2.400%, 11/15/19		544
	900	Express Scripts Holding Co., 3.500%, 06/15/24		920
	639	Laboratory Corp. of America Holdings, 3.200%, 02/01/22		642
	164	McKesson Corp., 0.950%, 12/04/15		164
	370	Medco Health Solutions, Inc., 2.750%, 09/15/15		374
	588	Memorial Sloan-Kettering Cancer Center, 4.200%, 07/01/55		592
		UnitedHealth Group, Inc.,
	173	2.750%, 02/15/23		175
	400	2.875%, 03/15/23		409
	1,050	3.375%, 11/15/21		1,113
	620	6.625%, 11/15/37		867

				9,923

		Life Sciences Tools & Services — 0.0% (g)
		Thermo Fisher Scientific, Inc.,
	176	1.300%, 02/01/17		176
	687	4.150%, 02/01/24		737

				913


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Pharmaceuticals — 0.2%
		AbbVie, Inc.,
	992	1.750%, 11/06/17		1,000
	609	2.900%, 11/06/22		609
	275	Actavis, Inc., 3.250%, 10/01/22		272
	395	Bayer U.S. Finance LLC, 2.375%, 10/08/19 (e)		401
	937	Forest Laboratories, Inc., 5.000%, 12/15/21 (e)		1,029
		GlaxoSmithKline Capital, Inc.,
	750	5.650%, 05/15/18		848
	530	6.375%, 05/15/38		720
		Merck & Co., Inc.,
	650	1.300%, 05/18/18		649
	644	2.350%, 02/10/22		641
	474	2.400%, 09/15/22		472
	562	2.800%, 05/18/23		570
	210	3.700%, 02/10/45		209
	560	Novartis Capital Corp., 3.400%, 05/06/24		596
	650	Pfizer, Inc., 3.000%, 06/15/23		664
		Zoetis, Inc.,
	193	1.875%, 02/01/18		193
	123	4.700%, 02/01/43		125

				8,998

		Total Health Care		32,283

		Industrials — 1.3%
		Aerospace & Defense — 0.3%
	557	Airbus Group Finance B.V., (Netherlands), 2.700%, 04/17/23 (e)		555
		BAE Systems Holdings, Inc.,
	500	3.800%, 10/07/24 (e)		525
	400	6.375%, 06/01/19 (e)		463
	676	BAE Systems plc, (United Kingdom), 5.800%, 10/11/41 (e)		836
	200	Boeing Co. (The), 7.950%, 08/15/24		284
	415	Honeywell International, Inc., 5.300%, 03/01/18		463
		Lockheed Martin Corp.,
	387	2.125%, 09/15/16		395
	1,281	4.070%, 12/15/42		1,334
	292	4.850%, 09/15/41		336
	300	Northrop Grumman Systems Corp., 7.750%, 02/15/31		423
	215	Precision Castparts Corp., 0.700%, 12/20/15		215
	340	Raytheon Co., 3.150%, 12/15/24		350
		United Technologies Corp.,
	214	1.800%, 06/01/17		219


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Aerospace & Defense — continued
	681	3.100%, 06/01/22		709
	914	4.500%, 06/01/42		1,014
	1,261	6.125%, 02/01/19		1,473

				9,594

		Air Freight & Logistics — 0.0% (g)
	318	FedEx Corp., 3.900%, 02/01/35		321
		United Parcel Service of America, Inc.,
	355	8.375%, 04/01/20		457
	160	SUB, 8.375%, 04/01/30		241
	214	United Parcel Service, Inc., 2.450%, 10/01/22		213

				1,232

		Airlines — 0.1%
	420	Air Canada 2013-1 Class A Pass-Through Trust, (Canada), 4.125%, 05/15/25 (e)		442
	221	American Airlines 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21		240
	630	American Airlines 2013-2 Class A Pass-Through Trust, 4.950%, 01/15/23		688
	210	Continental Airlines 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20		235
	413	Continental Airlines 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22		456
	201	Continental Airlines 2012-2 Class A Pass-Through Trust, 4.000%, 10/29/24		209
	448	Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		482
	167	Delta Air Lines 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19		182
	417	Delta Air Lines 2012-1 Class A Pass-Through Trust, 4.750%, 05/07/20		447

				3,381

		Commercial Services & Supplies — 0.1%
		ADT Corp. (The),
	820	3.500%, 07/15/22		752
	264	4.125%, 06/15/23		252
	328	4.875%, 07/15/42		273
	200	Pitney Bowes, Inc., 5.600%, 03/15/18		217
	614	Republic Services, Inc., 3.550%, 06/01/22		638
		Waste Management, Inc.,
	156	3.900%, 03/01/35		158
	214	4.750%, 06/30/20		238

				2,528

		Construction & Engineering — 0.1%
		ABB Finance USA, Inc.,
	226	1.625%, 05/08/17		228


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Construction & Engineering — continued
	292	2.875%, 05/08/22		298
	145	4.375%, 05/08/42		162
	789	Fluor Corp., 3.375%, 09/15/21		821

				1,509

		Electrical Equipment — 0.0% (g)
		Eaton Corp.,
	182	1.500%, 11/02/17		183
	170	4.000%, 11/02/32		176
	570	5.600%, 05/15/18		634
	300	7.625%, 04/01/24		396

				1,389

		Industrial Conglomerates — 0.1%
	667	Danaher Corp., 3.900%, 06/23/21		726
		General Electric Co.,
	212	2.700%, 10/09/22		216
	436	3.375%, 03/11/24		462
	539	Hutchison Whampoa International 12 II Ltd., (Cayman Islands), 3.250%, 11/08/22 (e)		540
	412	Ingersoll-Rand Global Holding Co., Ltd., 4.250%, 06/15/23		443
		Koninklijke Philips N.V., (Netherlands),
	970	3.750%, 03/15/22		1,030
	409	5.750%, 03/11/18		458
	130	7.200%, 06/01/26		166

				4,041

		Machinery — 0.1%
	164	Caterpillar, Inc., 2.600%, 06/26/22		164
		Deere & Co.,
	819	2.600%, 06/08/22		821
	346	3.900%, 06/09/42		360
		Illinois Tool Works, Inc.,
	400	3.500%, 03/01/24		422
	1,920	3.900%, 09/01/42		1,946
	290	Ingersoll-Rand Co., 6.391%, 11/15/27		356
		Parker-Hannifin Corp.,
	592	4.450%, 11/21/44		661
	215	5.500%, 05/15/18		240

				4,970

		Road & Rail — 0.5%
		Burlington Northern Santa Fe LLC,
	200	3.000%, 03/15/23		203
	522	3.050%, 03/15/22		536
	300	3.450%, 09/15/21		318
	136	3.600%, 09/01/20		144


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Road & Rail — continued
	249	3.750%, 04/01/24		266
	375	4.375%, 09/01/42		398
	769	5.150%, 09/01/43		904
	1,000	5.400%, 06/01/41		1,204
	540	5.650%, 05/01/17		591
	335	5.750%, 03/15/18		376
	425	5.750%, 05/01/40		537
	250	6.700%, 08/01/28		322
		Canadian Pacific Railway Co., (Canada),
	600	4.500%, 01/15/22		663
	250	7.125%, 10/15/31		346
		CSX Corp.,
	400	3.400%, 08/01/24		415
	191	4.100%, 03/15/44		197
	300	4.250%, 06/01/21		328
	575	5.500%, 04/15/41		705
	49	6.250%, 04/01/15		49
	215	7.375%, 02/01/19		258
	500	7.900%, 05/01/17		569
		ERAC USA Finance LLC,
	355	2.750%, 03/15/17 (e)		364
	559	4.500%, 08/16/21 (e)		608
	436	5.625%, 03/15/42 (e)		501
	350	6.375%, 10/15/17 (e)		393
	746	6.700%, 06/01/34 (e)		952
		Norfolk Southern Corp.,
	746	3.250%, 12/01/21		776
	595	3.950%, 10/01/42		599
	100	6.000%, 03/15/05 †		128
	1,776	6.000%, 05/23/11 †††		2,311
	365	7.700%, 05/15/17		415
		Penske Truck Leasing Co. LP/PTL Finance Corp.,
	479	2.875%, 07/17/18 (e)		489
	1,131	3.375%, 02/01/22 (e)		1,124
		Ryder System, Inc.,
	484	2.500%, 03/01/17		495
	434	3.600%, 03/01/16		445
		Union Pacific Corp.,
	182	2.950%, 01/15/23		186
	838	3.646%, 02/15/24		906
	163	3.875%, 02/01/55		160
	710	4.163%, 07/15/22		796
	200	4.300%, 06/15/42		216

				21,193

		Total Industrials		49,837


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Information Technology — 1.2%
		Communications Equipment — 0.1%
		Cisco Systems, Inc.,
	197	2.900%, 03/04/21		205
	500	3.625%, 03/04/24		541
	988	5.500%, 02/22/16		1,036
	350	5.500%, 01/15/40		438
	755	5.900%, 02/15/39		979

				3,199

		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	219	3.000%, 03/01/18		224
	575	3.375%, 11/01/15		585
	190	4.500%, 03/01/23		198
	165	6.000%, 04/01/20		187
	500	6.875%, 06/01/18		564
	1,563	7.500%, 01/15/27		1,901

				3,659

		Internet Software & Services — 0.0% (g)
		eBay, Inc.,
	937	2.600%, 07/15/22		892
	563	2.875%, 08/01/21		556
	500	3.450%, 08/01/24		489
	271	4.000%, 07/15/42		234

				2,171

		IT Services — 0.3%
		International Business Machines Corp.,
	409	1.250%, 02/06/17		412
	3,267	1.625%, 05/15/20		3,220
	765	6.220%, 08/01/27		988
	3,675	7.625%, 10/15/18		4,443
		Xerox Corp.,
	271	2.950%, 03/15/17		279
	270	4.500%, 05/15/21		293
	610	5.625%, 12/15/19		688
	550	6.750%, 02/01/17		604

				10,927

		Semiconductors & Semiconductor Equipment — 0.1%
		Intel Corp.,
	772	3.300%, 10/01/21		818
	1,185	4.000%, 12/15/32		1,225
	1,460	National Semiconductor Corp., 6.600%, 06/15/17		1,640
	365	Texas Instruments, Inc., 1.650%, 08/03/19		361

				4,044


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Software — 0.3%
	470	Intuit, Inc., 5.750%, 03/15/17		511
		Microsoft Corp.,
	262	0.875%, 11/15/17		262
	720	1.625%, 09/25/15		726
	384	2.125%, 11/15/22		378
	1,000	2.375%, 02/12/22		1,005
	810	2.375%, 05/01/23		805
	291	3.500%, 02/12/35		288
	1,155	3.625%, 12/15/23		1,256
	305	4.000%, 02/12/55		304
	117	4.500%, 10/01/40		130
		Oracle Corp.,
	586	Series NOTE, 2.800%, 07/08/21		604
	1,000	3.625%, 07/15/23		1,076
	457	4.300%, 07/08/34		497
	500	5.000%, 07/08/19		565
	1,422	5.250%, 01/15/16		1,481
	813	5.750%, 04/15/18		920
	475	6.500%, 04/15/38		651

				11,459

		Technology Hardware, Storage & Peripherals — 0.3%
		Apple, Inc.,
	927	2.150%, 02/09/22		915
	2,556	2.400%, 05/03/23		2,533
	2,364	2.850%, 05/06/21		2,458
	625	3.450%, 02/09/45		591
	2,069	VAR, 0.503%, 05/03/18		2,075
	300	Dell, Inc., 7.100%, 04/15/28		325
		EMC Corp.,
	850	1.875%, 06/01/18		854
	1,000	3.375%, 06/01/23		1,016
		Hewlett-Packard Co.,
	282	4.300%, 06/01/21		304
	472	4.375%, 09/15/21		512
	201	4.650%, 12/09/21		220
	849	6.000%, 09/15/41		962

				12,765

		Total Information Technology		48,224

		Materials — 0.7%
		Chemicals — 0.5%
		Agrium, Inc., (Canada),
	490	3.375%, 03/15/25		488
	240	4.125%, 03/15/35		236
	757	5.250%, 01/15/45		865


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Chemicals — continued
	500	CF Industries, Inc., 7.125%, 05/01/20		603
		Dow Chemical Co. (The),
	542	3.000%, 11/15/22		543
	850	3.500%, 10/01/24		866
	470	4.125%, 11/15/21		508
	223	4.250%, 11/15/20		244
	200	5.250%, 11/15/41		227
	375	7.375%, 11/01/29		513
	73	8.550%, 05/15/19		91
		E.I. du Pont de Nemours & Co.,
	635	1.950%, 01/15/16		643
	350	4.900%, 01/15/41		390
	1,740	6.000%, 07/15/18		1,985
		Ecolab, Inc.,
	447	1.450%, 12/08/17		446
	150	5.500%, 12/08/41		182
		Monsanto Co.,
	1,157	2.750%, 07/15/21		1,173
	253	4.200%, 07/15/34		273
	278	4.700%, 07/15/64		307
		Mosaic Co. (The),
	280	3.750%, 11/15/21		297
	1,456	4.250%, 11/15/23		1,573
	79	4.875%, 11/15/41		85
	861	5.450%, 11/15/33		1,005
	347	5.625%, 11/15/43		418
	85	Potash Corp. of Saskatchewan, Inc., (Canada), 3.250%, 12/01/17		89
		PPG Industries, Inc.,
	114	5.500%, 11/15/40		140
	122	6.650%, 03/15/18		139
	355	9.000%, 05/01/21		466
		Praxair, Inc.,
	473	2.650%, 02/05/25		472
	662	4.625%, 03/30/15		664
		Union Carbide Corp.,
	1,000	7.500%, 06/01/25		1,293
	850	7.750%, 10/01/96		1,137

				18,361

		Metals & Mining — 0.2%
		BHP Billiton Finance USA Ltd., (Australia),
	815	3.850%, 09/30/23		879
	150	5.000%, 09/30/43		176
	410	5.400%, 03/29/17		446
	560	6.500%, 04/01/19		661


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Metals & Mining — continued
		Freeport-McMoRan, Inc.,
	1,329	2.150%, 03/01/17		1,324
	1,138	4.550%, 11/14/24		1,074
	299	5.450%, 03/15/43		263
	283	Nucor Corp., 4.000%, 08/01/23		297
	295	Placer Dome, Inc., (Canada), 6.450%, 10/15/35		317
		Rio Tinto Finance USA Ltd., (Australia),
	117	3.500%, 11/02/20		123
	550	3.750%, 09/20/21		579
	650	9.000%, 05/01/19		826
	393	Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17		395
		Teck Resources Ltd., (Canada),
	514	3.750%, 02/01/23		476
	676	4.750%, 01/15/22		658

				8,494

		Total Materials		26,855

		Telecommunication Services — 1.1%
		Diversified Telecommunication Services — 1.0%
		AT&T, Inc.,
	731	0.900%, 02/12/16		731
	840	3.900%, 03/11/24		876
	879	4.300%, 12/15/42		824
	462	4.350%, 06/15/45		437
	850	4.450%, 05/15/21		919
	375	5.350%, 09/01/40		399
	250	5.500%, 02/01/18		275
	2,700	6.300%, 01/15/38		3,180
	242	BellSouth Telecommunications LLC, 6.300%, 12/15/15		248
		British Telecommunications plc, (United Kingdom),
	200	2.000%, 06/22/15		201
	531	2.350%, 02/14/19		537
	150	9.625%, 12/15/30		243
	600	Centel Capital Corp., 9.000%, 10/15/19		721
		Deutsche Telekom International Finance B.V., (Netherlands),
	336	2.250%, 03/06/17 (e)		342
	232	4.875%, 03/06/42 (e)		261
	400	6.000%, 07/08/19		468
	325	8.750%, 06/15/30		493
	1,742	GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e)		1,772


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Diversified Telecommunication Services — continued
	267	Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17		267
		Orange S.A., (France),
	560	2.750%, 09/14/16		574
	1,305	9.000%, 03/01/31		2,003
	741	Qwest Corp., 6.750%, 12/01/21		855
		Telefonica Emisiones S.A.U., (Spain),
	252	3.192%, 04/27/18		263
	526	5.134%, 04/27/20		595
	316	5.462%, 02/16/21		362
	300	6.421%, 06/20/16		320
		Verizon Communications, Inc.,
	432	2.625%, 02/21/20 (e)		436
	983	3.000%, 11/01/21		994
	381	3.450%, 03/15/21		397
	2,804	3.500%, 11/01/24		2,868
	938	4.150%, 03/15/24		1,008
	1,685	4.400%, 11/01/34		1,718
	1,762	4.500%, 09/15/20		1,938
	4,762	4.862%, 08/21/46 (e)		5,052
	150	5.150%, 09/15/23		172
	100	5.850%, 09/15/35		119
	980	6.400%, 09/15/33		1,242
	175	6.400%, 02/15/38		220
	350	6.550%, 09/15/43		460
	764	Verizon New England, Inc., 7.875%, 11/15/29		1,000
		Verizon Pennsylvania LLC,
	750	6.000%, 12/01/28		857
	1,444	8.350%, 12/15/30		1,911
	500	8.750%, 08/15/31		734

				39,292

		Wireless Telecommunication Services — 0.1%
		America Movil S.A.B. de C.V., (Mexico),
	640	2.375%, 09/08/16		651
	592	3.125%, 07/16/22		604
	485	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		489
		Rogers Communications, Inc., (Canada),
	1,547	4.100%, 10/01/23		1,652
	400	8.750%, 05/01/32		582
		Vodafone Group plc, (United Kingdom),
	350	1.500%, 02/19/18		349
	1,200	1.625%, 03/20/17		1,208

				5,535

		Total Telecommunication Services		44,827


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Utilities — 1.6%
		Electric Utilities — 1.1%
	239	Alabama Power Co., 6.125%, 05/15/38		327
	286	American Electric Power Co., Inc., 1.650%, 12/15/17		287
		Arizona Public Service Co.,
	133	2.200%, 01/15/20		133
	296	4.500%, 04/01/42		333
	467	5.050%, 09/01/41		564
	455	Baltimore Gas & Electric Co., 2.800%, 08/15/22		460
	1,025	Cleveland Electric Illuminating Co. (The),
		Series D, 7.880%, 11/01/17		1,186
	831	Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e)		892
	195	Connecticut Light & Power Co. (The), 5.650%, 05/01/18		221
	224	DTE Electric Co., 2.650%, 06/15/22		225
		Duke Energy Carolinas LLC,
	129	4.250%, 12/15/41		144
	660	5.100%, 04/15/18		735
	100	6.000%, 01/15/38		135
		Duke Energy Florida, Inc.,
	290	5.650%, 06/15/18		328
	245	6.400%, 06/15/38		349
	1,320	Duke Energy Indiana, Inc., 6.350%, 08/15/38		1,879
		Duke Energy Progress, Inc.,
	540	2.800%, 05/15/22		552
	273	4.100%, 05/15/42		296
	125	4.100%, 03/15/43		136
	387	4.150%, 12/01/44		430
	325	5.300%, 01/15/19		367
		Electricite de France S.A., (France),
	770	2.150%, 01/22/19 (e)		779
	1,300	6.000%, 01/22/14 (e) ††††		1,552
	950	Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)		1,056
		Florida Power & Light Co.,
	420	5.950%, 10/01/33		566
	350	5.950%, 02/01/38		471
	210	Georgia Power Co., 5.950%, 02/01/39		280
	229	Great Plains Energy, Inc., 4.850%, 06/01/21		253
		Hydro-Quebec, (Canada),
	350	Series IO, 8.050%, 07/07/24		496
	1,000	Series HY, 8.400%, 01/15/22		1,354
	100	Indiana Michigan Power Co., 7.000%, 03/15/19		119


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Electric Utilities — continued
	100	Jersey Central Power & Light Co., 7.350%, 02/01/19		118
	803	John Sevier Combined Cycle Generation LLC, 4.626%, 01/15/42		926
		Kansas City Power & Light Co.,
	403	3.150%, 03/15/23		408
	1,400	5.300%, 10/01/41		1,693
	125	MidAmerican Energy Co., 5.300%, 03/15/18		139
		Nevada Power Co.,
	55	5.375%, 09/15/40		69
	305	5.450%, 05/15/41		388
	720	6.500%, 08/01/18		832
	100	Series N, 6.650%, 04/01/36		140
		NextEra Energy Capital Holdings, Inc.,
	196	1.200%, 06/01/15		196
	371	2.400%, 09/15/19		374
	725	6.000%, 03/01/19		829
	225	7.875%, 12/15/15		237
		Niagara Mohawk Power Corp.,
	493	3.508%, 10/01/24 (e)		516
	300	4.881%, 08/15/19 (e)		335
	510	Northern States Power Co., 6.250%, 06/01/36		704
	320	Ohio Power Co., 6.050%, 05/01/18		361
		Oncor Electric Delivery Co. LLC,
	840	6.800%, 09/01/18		980
	110	7.000%, 09/01/22		141
		Pacific Gas & Electric Co.,
	544	2.450%, 08/15/22		537
	71	3.250%, 09/15/21		74
	250	3.250%, 06/15/23		258
	217	4.450%, 04/15/42		237
	390	4.500%, 12/15/41		423
	810	5.625%, 11/30/17		897
	100	6.050%, 03/01/34		131
	160	8.250%, 10/15/18		196
		PacifiCorp,
	180	5.500%, 01/15/19		204
	150	5.650%, 07/15/18		170
		PECO Energy Co.,
	350	2.375%, 09/15/22		346
	175	5.350%, 03/01/18		195
	1,085	Potomac Electric Power Co., 6.500%, 11/15/37		1,513
	673	Progress Energy, Inc., 3.150%, 04/01/22		692
		Public Service Co. of Colorado,
	250	2.250%, 09/15/22		247


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Electric Utilities — continued
	90	3.200%, 11/15/20		94
	125	5.800%, 08/01/18		142
	2,490	Public Service Co. of Oklahoma, Series G, 6.625%, 11/15/37		3,403
		Public Service Electric & Gas Co.,
	210	5.300%, 05/01/18		234
	317	5.375%, 11/01/39		404
	65	South Carolina Electric & Gas Co., 4.500%, 06/01/64		71
		Southern California Edison Co.,
	155	1.845%, 02/01/22		155
	318	Series C, 3.500%, 10/01/23		339
	785	5.500%, 08/15/18		887
	200	Series 08-A, 5.950%, 02/01/38		271
	1,185	6.050%, 03/15/39		1,589
	363	Southern Co. (The), 1.950%, 09/01/16		368
	570	Southwestern Public Service Co., Series G, 8.750%, 12/01/18		710
	312	State Grid Overseas Investment 2013 Ltd., (United Kingdom), 1.750%, 05/22/18 (e)		308
		Virginia Electric & Power Co.,
	64	3.450%, 02/15/24		68
	1,415	5.400%, 04/30/18		1,582
	630	5.950%, 09/15/17		700
		Wisconsin Electric Power Co.,
	21	2.950%, 09/15/21		22
	275	6.250%, 12/01/15		286
		Xcel Energy, Inc.,
	162	0.750%, 05/09/16		162
	92	4.800%, 09/15/41		106
	200	6.500%, 07/01/36		278

				44,590

		Gas Utilities — 0.1%
		Atmos Energy Corp.,
	125	4.125%, 10/15/44		134
	828	4.150%, 01/15/43		888
	375	8.500%, 03/15/19		466
	308	Boston Gas Co., 4.487%, 02/15/42 (e)		345
	335	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		374

				2,207

		Independent Power & Renewable Electricity Producers — 0.1%
		Exelon Generation Co. LLC,
	300	2.950%, 01/15/20		303


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Independent Power & Renewable Electricity Producers — continued
	1,020	4.000%, 10/01/20		1,081
	235	5.750%, 10/01/41		267
		PSEG Power LLC,
	442	4.300%, 11/15/23		471
	772	5.125%, 04/15/20		862
	202	Southern Power Co., 5.150%, 09/15/41		238

				3,222

		Multi-Utilities — 0.3%
		AGL Capital Corp.,
	563	3.500%, 09/15/21		593
	208	4.400%, 06/01/43		225
	1,445	5.875%, 03/15/41		1,866
	1,243	6.375%, 07/15/16		1,329
	596	Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40		761
		Consumers Energy Co.,
	216	2.850%, 05/15/22		220
	130	5.650%, 04/15/20		151
	235	Delmarva Power & Light Co., 4.000%, 06/01/42		248
		Dominion Resources, Inc.,
	920	Series F, 5.250%, 08/01/33		1,080
	300	7.000%, 06/15/38		422
	289	DTE Energy Co., Series F, 3.850%, 12/01/23		307
		NiSource Finance Corp.,
	370	3.850%, 02/15/23		390
	360	4.450%, 12/01/21		391
	1,256	5.800%, 02/01/42		1,569
		San Diego Gas & Electric Co.,
	379	3.950%, 11/15/41		405
	275	6.000%, 06/01/26		348
		Sempra Energy,
	350	2.875%, 10/01/22		351
	236	3.550%, 06/15/24		246
	1,013	4.050%, 12/01/23		1,093
	1,150	6.150%, 06/15/18		1,303
	180	6.500%, 06/01/16		192
	460	9.800%, 02/15/19		592

				14,082

		Total Utilities		64,101

		Total Corporate Bonds (Cost $719,066)		771,306


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Foreign Government Securities — 1.7%
		Federative Republic of Brazil, (Brazil),
	825	4.250%, 01/07/25		794
	472	5.000%, 01/27/45		427
		Israel Government AID Bond, (Israel),
	6,165	Zero Coupon, 11/01/23		4,972
	2,121	Zero Coupon, 02/15/24		1,692
	5,535	Zero Coupon, 05/01/24		4,381
	1,000	5.500%, 09/18/33		1,367
	7,805	Series 10-Z, Zero Coupon, 08/15/24		6,112
	1,500	Series 2, Zero Coupon, 11/01/24		1,165
	20,000	Series 2-Z, Zero Coupon, 03/15/18		19,160
	1,776	Series 6-Z, Zero Coupon, 02/15/22		1,520
	5,000	Series 7-Z, Zero Coupon, 08/15/25		3,783
	3,424	Series 8-Z, Zero Coupon, 02/15/24		2,732
	2,000	Series 8-Z, Zero Coupon, 08/15/24		1,567
		Province of Ontario, (Canada),
	1,387	1.650%, 09/27/19		1,383
	700	2.700%, 06/16/15		705
	377	Province of Quebec, (Canada), Series A, SUB, 7.365%, 03/06/26		533
		Republic of Colombia, (Colombia),
	422	4.000%, 02/26/24		439
	515	5.000%, 06/15/45		541
	200	5.625%, 02/26/44		230
	416	Republic of Panama, (Panama), 4.000%, 09/22/24		438
	1,133	Republic of Poland, (Poland), 4.000%, 01/22/24		1,222
		Republic of South Africa, (South Africa),
	1,436	5.375%, 07/24/44		1,555
	640	5.875%, 09/16/25		734
		Republic of Turkey, (Turkey),
	719	5.750%, 03/22/24		800
	351	6.625%, 02/17/45		433
		United Mexican States, (Mexico),
	2,030	3.500%, 01/21/21		2,121
	788	3.600%, 01/30/25		813
	1,732	4.000%, 10/02/23		1,851
	200	4.600%, 01/23/46		208
	120	4.750%, 03/08/44		128
	4,913	5.550%, 01/21/45		5,859

		Total Foreign Government Securities (Cost $66,727)		69,665

	Mortgage Pass-Through Securities — 16.6%
		Federal Home Loan Mortgage Corp.,
	23	ARM, 2.091%, 07/01/19		23
	104	ARM, 2.095%, 10/01/36		109


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — continued
	377	ARM, 2.134%, 10/01/36		399
	353	ARM, 2.201%, 11/01/36		375
	345	ARM, 2.217%, 12/01/36		368
	235	ARM, 2.292%, 02/01/36		249
	791	ARM, 2.298%, 04/01/34		840
	958	ARM, 2.311%, 03/01/37		1,016
	34	ARM, 2.313%, 04/01/30		36
	477	ARM, 2.355%, 12/01/33		510
	1,022	ARM, 2.375%, 01/01/35 - 11/01/36		1,090
	187	ARM, 2.483%, 02/01/37		200
	451	ARM, 2.539%, 02/01/36		483
	521	ARM, 2.657%, 10/01/36		560
	279	ARM, 2.693%, 12/01/34		296
	278	ARM, 3.342%, 07/01/36		290
	1,526	ARM, 3.978%, 07/01/40		1,611
		Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	77	4.500%, 08/01/18		81
	215	5.000%, 12/01/18		227
	2,092	5.500%, 06/01/17 - 01/01/24		2,269
	30	6.000%, 04/01/18		32
	241	6.500%, 08/01/16 - 02/01/19		251
	2	7.000%, 04/01/17		2
		Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	2,504	3.500%, 01/01/32 - 03/01/32		2,641
	83	6.000%, 12/01/22		93
	242	6.500%, 11/01/22		276
		Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	3,747	3.500%, 04/01/43		3,926
	1,083	4.000%, 09/01/35		1,161
	5,160	4.500%, 05/01/41		5,615
	4,325	5.000%, 09/01/34 - 08/01/40		4,808
	1,678	5.500%, 10/01/33 - 07/01/35		1,890
	330	6.000%, 12/01/33 - 01/01/34		376
	1,505	6.500%, 11/01/34 - 11/01/36		1,749
	453	7.000%, 07/01/32 - 10/01/36		513
	523	Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30		592
		Federal Home Loan Mortgage Corp. Gold Pools, Other,
	2,796	3.000%, 03/01/33		2,888
	23,299	3.500%, 10/01/32 - 06/01/43		24,600
	8,613	4.000%, 01/01/32 - 01/01/43		9,358
	390	5.500%, 10/01/33 - 01/01/34		426
	459	6.000%, 02/01/33		497
	57	7.000%, 07/01/29		65


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	—	(h)	12.000%, 08/01/15 - 07/01/19		—	(h)
			Federal National Mortgage Association,
	4,000		ARM, 0.541%, 12/01/24		3,999
	4,811		ARM, 0.721%, 02/01/19		4,816
	66		ARM, 1.687%, 09/01/34		69
	866		ARM, 1.784%, 01/01/33		918
	648		ARM, 1.787%, 07/01/33		680
	524		ARM, 1.835%, 05/01/35		560
	6		ARM, 1.875%, 03/01/19		6
	4		ARM, 1.875%, 01/01/19		5
	1,462		ARM, 1.895%, 01/01/35		1,540
	1,286		ARM, 1.910%, 09/01/35		1,354
	413		ARM, 1.919%, 11/01/34		434
	577		ARM, 1.940%, 07/01/36		608
	979		ARM, 1.999%, 11/01/34		1,031
	276		ARM, 2.034%, 04/01/34		290
	729		ARM, 2.063%, 10/01/34		774
	466		ARM, 2.086%, 10/01/34		496
	837		ARM, 2.100%, 06/01/35		890
	609		ARM, 2.120%, 01/01/35		646
	263		ARM, 2.121%, 09/01/34		280
	308		ARM, 2.136%, 08/01/34		327
	246		ARM, 2.143%, 01/01/36		259
	166		ARM, 2.143%, 09/01/35		176
	176		ARM, 2.170%, 07/01/34		189
	212		ARM, 2.193%, 02/01/35		224
	166		ARM, 2.220%, 05/01/35		176
	226		ARM, 2.248%, 06/01/36		241
	206		ARM, 2.254%, 01/01/34		218
	19		ARM, 2.262%, 04/01/34		20
	565		ARM, 2.265%, 08/01/34		601
	278		ARM, 2.277%, 07/01/33 - 11/01/33		294
	551		ARM, 2.320%, 07/01/33		587
	469		ARM, 2.335%, 05/01/34		501
	1,552		ARM, 2.338%, 04/01/35		1,654
	357		ARM, 2.350%, 04/01/35		381
	202		ARM, 2.410%, 01/01/38		217
	424		ARM, 2.435%, 09/01/33		454
	268		ARM, 2.505%, 10/01/34		287
	611		ARM, 2.575%, 10/01/36		659
	59		ARM, 2.606%, 09/01/27		63
	104		ARM, 2.750%, 02/01/34		107
	71		ARM, 2.875%, 01/01/36		72
	40		ARM, 3.682%, 03/01/29		42
	2,000		3.760%, 11/01/23		2,190


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — continued
			Federal National Mortgage Association, 15 Year, Single Family,
	473		3.500%, 09/01/18 - 07/01/19		502
	303		4.000%, 08/01/18		321
	1,640		4.500%, 06/01/18 - 12/01/19		1,727
	607		5.000%, 06/01/18 - 08/01/24		654
	530		5.500%, 03/01/20 - 07/01/20		560
	3,538		6.000%, 06/01/16 - 01/01/24		3,887
	124		6.500%, 03/01/17 - 08/01/20		130
	120		7.000%, 03/01/17 - 09/01/17		125
	2		7.500%, 03/01/17		2
	—	(h)	8.000%, 11/01/15		—	(h)
			Federal National Mortgage Association, 20 Year, Single Family,
	1,459		3.500%, 08/01/32		1,541
	97		4.500%, 04/01/24		105
	877		6.500%, 05/01/22 - 04/01/25		1,003
			Federal National Mortgage Association, 30 Year, FHA/VA,
	79		6.000%, 09/01/33		87
	907		6.500%, 03/01/29 - 08/01/39		1,024
	17		7.000%, 02/01/33		19
	41		8.000%, 06/01/28		47
	10		9.000%, 05/01/18 - 12/01/25		10
			Federal National Mortgage Association, 30 Year, Single Family,
	324		4.500%, 11/01/33 - 02/01/35		354
	1,278		5.000%, 07/01/33 - 09/01/35		1,432
	1,702		5.500%, 09/01/31 - 03/01/34		1,939
	2,177		6.000%, 12/01/28 - 09/01/37		2,506
	993		6.500%, 11/01/29 - 08/01/31		1,161
	796		7.000%, 01/01/24 - 01/01/39		898
	327		7.500%, 08/01/36 - 11/01/37		403
	519		8.000%, 03/01/27 - 11/01/28		617
	—	(h)	9.000%, 04/01/26		1
	12		9.500%, 07/01/28		13
	—	(h)	12.500%, 01/01/16		—	(h)
			Federal National Mortgage Association, Other,
	1,438		VAR, 0.531%, 01/01/23		1,450
	2,871		VAR, 0.561%, 01/01/23		2,895
	4,885		VAR, 0.631%, 11/01/23		4,923
	4,000		VAR, 0.641%, 12/01/23		4,028
	3,000		VAR, 0.661%, 11/01/23		2,999
	942		VAR, 0.971%, 03/01/22		941
	2,394		VAR, 6.070%, 11/01/18		2,513
	2,000		1.690%, 12/01/19		1,979
	3,450		1.735%, 05/01/20		3,430


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	3,881	1.750%, 06/01/20		3,859
	1,980	1.940%, 07/01/19		1,985
	1,500	2.000%, 12/01/20		1,496
	12,000	2.010%, 06/01/20		12,015
	4,569	2.030%, 08/01/19		4,612
	2,500	2.120%, 09/01/21		2,461
	1,967	2.140%, 04/01/19		2,000
	1,453	2.150%, 04/01/19		1,474
	2,878	2.190%, 12/01/22		2,870
	3,933	2.210%, 12/01/22		3,927
	5,343	2.340%, 12/01/22		5,356
	1,934	2.350%, 05/01/23		1,937
	3,375	2.370%, 11/01/22		3,392
	2,991	2.380%, 12/01/22		3,007
	5,345	2.390%, 12/01/22		5,386
	3,500	2.400%, 12/01/22		3,507
	2,913	2.420%, 06/01/23		2,918
	4,000	2.450%, 11/01/22		4,026
	2,870	2.460%, 02/01/23		2,914
	5,546	2.490%, 10/01/17		5,701
	1,455	2.510%, 06/01/23		1,466
	6,928	2.520%, 10/01/22 - 05/01/23		6,981
	5,000	2.590%, 11/01/21		5,108
	2,500	2.660%, 12/01/22		2,555
	3,000	2.670%, 07/01/22		3,067
	6,713	2.690%, 10/01/17		6,936
	3,335	2.703%, 04/01/23		3,414
	3,184	2.750%, 03/01/22		3,293
	3,000	2.760%, 05/01/21		3,101
	1,565	2.770%, 05/01/22		1,612
	4,923	2.808%, 07/01/23		5,089
	6,500	2.900%, 12/01/24		6,678
	4,000	2.920%, 12/01/24		4,119
	1,431	2.940%, 05/01/22		1,492
	6,384	2.950%, 08/01/23 - 12/01/24		6,596
	6,487	2.980%, 03/01/22 - 07/01/22		6,767
	1,000	2.990%, 01/01/25		1,037
	2,737	3.000%, 01/01/43		2,789
	2,443	3.020%, 07/01/23		2,539
	4,000	3.040%, 12/01/24		4,157
	5,893	3.050%, 04/01/22		6,184
	6,918	3.070%, 01/01/22		7,269
	6,315	3.110%, 12/01/24 - 12/01/26		6,586
	4,815	3.120%, 01/01/22 - 02/01/27		5,064
	3,058	3.140%, 12/01/26		3,187
	1,440	3.150%, 12/01/21		1,524


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — continued
	2,708	3.160%, 02/01/22		2,858
	3,000	3.170%, 02/01/30		3,101
	3,884	3.200%, 02/01/22		4,111
	9,630	3.230%, 11/01/20		10,216
	4,235	3.240%, 12/01/26		4,455
	13,917	3.250%, 07/01/25 - 09/01/26		14,648
	6,184	3.260%, 01/01/22 - 12/01/26		6,531
	13,957	3.290%, 10/01/20 - 11/01/26		14,742
	4,000	3.300%, 12/01/26		4,227
	3,000	3.340%, 02/01/27		3,188
	1,947	3.350%, 11/01/20		2,076
	915	3.375%, 11/01/20		978
	2,000	3.380%, 12/01/23		2,129
	2,000	3.390%, 08/01/17		2,101
	1,428	3.430%, 09/01/20		1,527
	46,620	3.500%, 12/01/32 - 08/01/43		49,186
	7,324	3.505%, 09/01/20		7,841
	1,910	3.520%, 01/01/18		2,018
	4,864	3.540%, 10/01/20		5,226
	2,000	3.550%, 02/01/30		2,128
	2,500	3.590%, 08/01/23		2,703
	2,813	3.600%, 09/01/20		3,030
	966	3.640%, 01/01/25		1,047
	5,000	3.670%, 07/01/23		5,456
	2,892	3.680%, 09/01/20		3,127
	1,500	3.690%, 11/01/23		1,635
	4,535	3.730%, 07/01/22		4,924
	1,862	3.740%, 07/01/20		2,017
	2,988	3.760%, 10/01/23		3,271
	3,000	3.770%, 09/01/21		3,263
	2,845	3.780%, 09/01/21		3,104
	6,620	3.790%, 09/01/21		7,227
	4,623	3.820%, 06/01/17		4,892
	1,540	3.870%, 01/01/21		1,681
	5,000	3.890%, 09/01/21		5,477
	3,899	3.930%, 07/01/20 - 01/01/21		4,260
	7,945	3.950%, 07/01/20 - 07/01/21		8,718
	4,750	3.980%, 11/01/16		4,759
	9,053	4.000%, 10/01/32 - 07/01/42		9,790
	1,642	4.120%, 04/01/20		1,804
	5,824	4.130%, 11/01/19 - 08/01/21		6,410
	1,850	4.240%, 11/01/19		2,031
	4,380	4.250%, 04/01/21		4,899
	2,000	4.260%, 07/01/21		2,232
	2,096	4.290%, 06/01/20		2,320
	1,335	4.297%, 01/01/21		1,489
	2,378	4.300%, 08/01/20 - 04/01/21		2,640


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	1,428	4.317%, 07/01/21		1,597
	2,091	4.330%, 04/01/21		2,335
	5,000	4.340%, 06/01/21		5,592
	1,448	4.350%, 04/01/20		1,604
	906	4.355%, 03/01/20		1,002
	1,921	4.369%, 02/01/20		2,124
	1,419	4.380%, 01/01/21		1,584
	822	4.381%, 04/01/20		914
	1,968	4.390%, 05/01/21		2,205
	2,000	4.400%, 02/01/20		2,220
	2,849	4.480%, 02/01/21		3,199
	6,389	4.514%, 12/01/19		7,096
	7,045	4.540%, 01/01/20 - 07/01/26		7,926
	3,814	4.640%, 01/01/21		4,307
	1,864	5.240%, 07/01/19		2,098
	371	5.500%, 03/01/17 - 09/01/33		408
	1,143	6.000%, 09/01/37 - 06/01/39		1,247
	292	6.500%, 01/01/36 - 07/01/36		330
	61	7.000%, 10/01/46		67
	38	10.517%, 04/15/19		43
		Government National Mortgage Association II, 30 Year, Single Family,
	278	4.500%, 08/20/33		304
	2,671	6.000%, 09/20/38		3,035
	59	7.500%, 02/20/28 - 09/20/28		72
	84	8.000%, 12/20/25 - 09/20/28		100
	30	8.500%, 05/20/25		35
		Government National Mortgage Association II, Other,
	9,677	4.375%, 06/20/63		10,627
	10,222	4.433%, 05/20/63		11,240
	3,110	4.462%, 05/20/63		3,421
	2,081	4.479%, 04/20/63		2,288
		Government National Mortgage Association, 15 Year, Single Family,
	36	6.500%, 06/15/17		37
	5	8.000%, 01/15/16		5
		Government National Mortgage Association, 30 Year, Single Family,
	295	6.500%, 03/15/28 - 04/15/33		338
	161	7.000%, 02/15/33 - 06/15/33		193
	38	7.500%, 11/15/22 - 09/15/28		42
	10	8.000%, 09/15/22 - 08/15/28		11
	2	9.000%, 12/15/16		1
	460	9.500%, 10/15/24		515

		Total Mortgage Pass-Through Securities (Cost $639,043)		659,460


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	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		587
	350	State of California, Various Purpose, GO, 7.300%, 10/01/39		529

				1,116

		Illinois — 0.0% (g)
	160	State of Illinois, Pension Funding, GO, 5.100%, 06/01/33		162

		New York — 0.2%
	360	New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series D, Rev., 5.600%, 03/15/40		462
	1,825	Port Authority of New York & New Jersey, Consolidated 164, Series 164, Rev., 5.647%, 11/01/40		2,314
	2,500	Port Authority of New York & New Jersey, Consolidated 174, Series 174, Rev., 4.458%, 10/01/62		2,729

				5,505

		Ohio — 0.1%
	1,315	American Municipal Power, Inc., Meldahl Hydroelectric Project, Series B, Rev., 7.499%, 02/15/50		1,940
		Ohio State University, General Receipts,
	200	Rev., 5.590%, 12/01/14 ††††		227
	1,563	Series A, Rev., 4.800%, 06/01/11 †††		1,719

				3,886

		Total Municipal Bonds (Cost $8,931)		10,669

	Supranational — 0.1%
	3,000	African Development Bank, 8.800%, 09/01/19		3,781
	641	Corp. Andina de Fomento, 3.750%, 01/15/16		657

		Total Supranational (Cost $4,360)		4,438

	U.S. Government Agency Securities — 2.5%
	1,525	Federal Home Loan Bank, 5.500%, 07/15/36		2,126
	6,000	Federal National Mortgage Association, Zero Coupon, 06/01/17		5,882
		Financing Corp. STRIPS,
	4,500	Zero Coupon, 05/11/18		4,302
	2,000	Zero Coupon, 04/05/19		1,870
	1,240	Zero Coupon, 09/26/19		1,143
		Government Trust Certificate,
	4,000	Zero Coupon, 10/01/15		3,976


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	5,000	Zero Coupon, 04/01/16		4,934
	13,319	Zero Coupon, 10/01/19		11,920
		Residual Funding Corp. STRIPS,
	12,300	Zero Coupon, 10/15/19		11,339
	30,450	Zero Coupon, 07/15/20		27,449
	12,930	Zero Coupon, 10/15/20		11,596
		Tennessee Valley Authority,
	304	4.625%, 09/15/60		352
	3,521	5.250%, 09/15/39		4,556
	1,115	5.880%, 04/01/36		1,551
		Tennessee Valley Authority STRIPS,
	2,000	Zero Coupon, 05/01/19		1,853
	5,000	Zero Coupon, 11/01/25		3,657
	800	Zero Coupon, 06/15/35		417

		Total U.S. Government Agency Securities (Cost $97,168)		98,923

	U.S. Treasury Obligations — 25.1%
		U.S. Treasury Bonds,
	200	4.250%, 05/15/39		262
	4,900	4.375%, 02/15/38		6,490
	7,075	4.500%, 02/15/36		9,536
	1,300	4.500%, 05/15/38		1,755
	1,875	4.500%, 08/15/39		2,548
	1,500	4.750%, 02/15/37		2,087
	15,370	5.000%, 05/15/37		22,117
	850	5.250%, 02/15/29		1,155
	1,250	5.375%, 02/15/31		1,762
	750	6.125%, 11/15/27		1,078
	300	6.125%, 08/15/29		443
	2,506	6.250%, 08/15/23		3,363
	900	6.250%, 05/15/30		1,358
	525	6.625%, 02/15/27		774
	4,690	7.500%, 11/15/16		5,245
	1,881	7.875%, 02/15/21		2,547
	864	8.125%, 05/15/21		1,191
	1,845	8.500%, 02/15/20		2,465
	7,000	8.750%, 08/15/20		9,633
	20,115	8.875%, 08/15/17		24,069
		U.S. Treasury Coupon STRIPS,
	19,751	1.569%, 08/15/16 (n)		19,615
	17,765	1.877%, 05/15/21 (n)		15,856
	8,400	1.913%, 05/15/18 (n)		8,115
	2,000	2.084%, 02/15/18 (n)		1,940
	17,095	2.334%, 02/15/21 (n)		15,386
	14,400	2.506%, 11/15/22 (n)		12,392
	1,000	2.554%, 02/15/25 (n)		806


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — continued
	500	2.558%, 11/15/23 (n)		418
	1,670	2.560%, 02/15/20 (n)		1,545
	15,768	2.576%, 02/15/22 (n)		13,815
	1,500	2.634%, 05/15/25 (n)		1,201
	1,500	2.648%, 05/15/22 (n)		1,305
	2,300	2.650%, 08/15/23 (n)		1,933
	4,800	2.709%, 08/15/22 (n)		4,155
	15,400	2.736%, 05/15/23 (n)		13,048
	15,025	2.786%, 11/15/21 (n)		13,244
	19,577	2.971%, 05/15/19 (n)		18,419
	38,935	3.041%, 08/15/20 (n)		35,533
	40,732	3.080%, 02/15/23 (n)		34,810
	5,000	3.083%, 05/15/31 (n)		3,328
	1,592	3.141%, 08/15/26 (n)		1,226
	6,650	3.155%, 11/15/29 (n)		4,642
	800	3.155%, 05/15/35 (n)		472
	5,750	3.266%, 02/15/32 (n)		3,737
	6,015	3.297%, 05/15/28 (n)		4,382
	6,100	3.308%, 08/15/21 (n)		5,412
	15,000	3.319%, 08/15/28 (n)		10,854
	10,650	3.370%, 11/15/31 (n)		6,971
	27,150	3.395%, 11/15/26 (n)		20,750
	16,050	3.420%, 05/15/32 (n)		10,354
	50,504	3.442%, 05/15/20 (n)		46,391
	1,650	3.475%, 08/15/34 (n)		993
	3,350	3.565%, 08/15/32 (n)		2,143
	6,305	3.601%, 02/15/29 (n)		4,491
	7,885	3.603%, 11/15/27 (n)		5,838
	2,400	3.609%, 08/15/29 (n)		1,689
	9,700	3.621%, 08/15/31 (n)		6,406
	29,300	3.651%, 02/15/27 (n)		22,216
	21,411	3.847%, 08/15/17 (n)		20,977
	8,000	3.880%, 02/15/31 (n)		5,399
	22,360	3.936%, 08/15/19 (n)		20,947
	7,140	4.075%, 11/15/32 (n)		4,536
	2,500	4.170%, 02/15/33 (n)		1,574
	6,400	4.190%, 05/15/30 (n)		4,413
	16,741	4.345%, 08/15/18 (n)		16,046
	20,736	4.347%, 02/15/17 (n)		20,478
	600	4.391%, 08/15/24 (n)		490
	600	4.427%, 02/15/26 (n)		469
	11,150	4.441%, 05/15/33 (n)		6,971
	2,200	4.455%, 11/15/24 (n)		1,785
	2,800	4.481%, 05/15/34 (n)		1,697
	12,300	4.537%, 08/15/30 (n)		8,418
	4,750	4.613%, 11/15/33 (n)		2,935


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	9,925	4.688%, 11/15/30 (n)		6,710
	100	4.814%, 08/15/35 (n)		58
	6,675	4.852%, 08/15/27 (n)		4,978
	8,860	4.854%, 02/15/28 (n)		6,500
	1,200	5.013%, 02/15/35 (n)		712
	5,000	5.025%, 02/15/34 (n)		3,058
	23,600	5.087%, 02/15/30 (n)		16,332
	22,839	5.156%, 11/15/17 (n)		22,254
	3,050	5.197%, 08/15/33 (n)		1,893
	1,500	5.682%, 05/15/26 (n)		1,163
	2,500	5.722%, 11/15/28 (n)		1,796
	2,550	5.761%, 05/15/27 (n)		1,919
	200	5.813%, 05/15/24 (n)		165
	3,595	6.563%, 05/15/15 (n)		3,595
	39,501	6.600%, 02/15/16 (n)		39,421
	2,049	6.603%, 08/15/15 (n)		2,049
	14,257	6.652%, 11/15/15 (n)		14,242
	11,857	6.658%, 11/15/16 (n)		11,753
		U.S. Treasury Inflation Indexed Bonds,
	300	1.750%, 01/15/28		394
	300	2.500%, 01/15/29		420
	799	3.625%, 04/15/28		1,640
		U.S. Treasury Inflation Indexed Notes,
	2,000	0.125%, 01/15/22		2,093
	1,000	0.500%, 04/15/15		1,081
	1,000	1.125%, 01/15/21		1,151
	630	1.375%, 07/15/18		734
		U.S. Treasury Notes,
	8,000	0.750%, 12/31/17		7,952
	3,560	0.875%, 01/31/18		3,548
	1,500	1.000%, 06/30/19		1,474
	4,510	1.000%, 11/30/19		4,410
	31,250	1.250%, 10/31/18		31,253
	11,635	1.375%, 11/30/18		11,683
	2,000	1.375%, 02/28/19		2,003
	7,400	1.500%, 08/31/18		7,476
	2,000	1.750%, 05/15/22		1,990
	8,000	2.000%, 02/15/22		8,104
	12,245	2.125%, 12/31/15		12,437
	7,500	2.125%, 08/31/20		7,702
	1,000	2.125%, 01/31/21		1,024
	36,000	2.125%, 08/15/21		36,782
	10,000	2.250%, 07/31/18		10,362
	1,000	2.625%, 02/29/16		1,023
	4,575	2.625%, 04/30/16		4,696
	9,300	2.625%, 01/31/18		9,735


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — continued
	700	2.625%, 08/15/20		738
	2,300	2.625%, 11/15/20		2,421
	12,985	2.750%, 05/31/17		13,568
	2,000	2.750%, 12/31/17		2,100
	9,000	3.125%, 10/31/16		9,388
	4,015	3.125%, 04/30/17		4,224
	11,638	3.125%, 05/15/19		12,463
	7,250	3.125%, 05/15/21		7,844
	15,700	3.250%, 12/31/16		16,465
	12,300	3.250%, 03/31/17		12,958
	2,600	3.500%, 02/15/18		2,789
	450	3.500%, 05/15/20		494
	7,000	3.625%, 02/15/21		7,768
	2,500	3.750%, 11/15/18		2,729
	1,000	U.S. Treasury Principal STRIPS, Zero Coupon, 05/15/16		996

		Total U.S. Treasury Obligations (Cost $931,033)		999,554

	Loan Assignments — 0.2%
		Financials — 0.2%
		Real Estate Management & Development — 0.2%
	1,548	Fiveten Group Holdings Ltd., Revolving Loan, (United Kingdom), VAR, 4.500%, 04/10/15 (i)		1,541


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Real Estate Management & Development — continued
	353	Invitation Homes, Revolving Loan, VAR, 3.750%, 03/15/15 (i)		351
	3,296	Progress Residential LP, Revolving Loan, VAR, 3.755%, 09/04/15 (i)		3,280
	5,370	Tricon Capital Group Inc., Revolving Loan, (Canada), VAR, 4.100%, 06/13/15 (i)		5,343

		Total Loan Assignments (Cost $10,567)		10,515


SHARES
	Short-Term Investment — 4.5%
		Investment Company — 4.5%
	177,183	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) (Cost $177,183)		177,183

		Total Investments — 102.2% (Cost $3,873,002)		4,069,240
		Liabilities in Excess of Other Assets — (2.2)%		(88,228	)

		NET ASSETS — 100.0%	$	3,981,012

Percentages indicated are based on net assets.


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 99.1%
		Consumer Discretionary — 12.3%
		Auto Components — 0.4%
	4	BorgWarner, Inc.		272
	6	Delphi Automotive plc, (United Kingdom)		454
	5	Goodyear Tire & Rubber Co. (The)		143
	13	Johnson Controls, Inc.		659

				1,528

		Automobiles — 0.7%
	75	Ford Motor Co.		1,224
	26	General Motors Co.		980
	4	Harley-Davidson, Inc.		265

				2,469

		Distributors — 0.1%
	3	Genuine Parts Co.		286

		Diversified Consumer Services — 0.0% (g)
	5	H&R Block, Inc.		183

		Hotels, Restaurants & Leisure — 1.7%
	9	Carnival Corp.		386
	1	Chipotle Mexican Grill, Inc. (a)		402
	3	Darden Restaurants, Inc.		165
	4	Marriott International, Inc., Class A		344
	19	McDonald’s Corp.		1,873
	3	Royal Caribbean Cruises Ltd.		248
	15	Starbucks Corp.		1,362
	3	Starwood Hotels & Resorts Worldwide, Inc.		279
	2	Wyndham Worldwide Corp.		219
	2	Wynn Resorts Ltd.		225
	9	Yum! Brands, Inc.		691

				6,194

		Household Durables — 0.4%
	6	D.R. Horton, Inc.		176
	2	Garmin Ltd., (Switzerland)		117
	1	Harman International Industries, Inc.		184
	3	Leggett & Platt, Inc.		121
	3	Lennar Corp., Class A		175
	1	Mohawk Industries, Inc. (a)		222
	5	Newell Rubbermaid, Inc.		207
	6	PulteGroup, Inc.		147
	2	Whirlpool Corp.		321

				1,670

		Internet & Catalog Retail — 1.4%
	7	Amazon.com, Inc. (a)		2,809
	2	Expedia, Inc.		176
	1	Netflix, Inc. (a)		557


SHARES		SECURITY DESCRIPTION	VALUE($)

		Internet & Catalog Retail — continued
	1	Priceline Group, Inc. (The) (a)		1,261
	2	TripAdvisor, Inc. (a)		194

				4,997

		Leisure Products — 0.1%
	2	Hasbro, Inc.		137
	7	Mattel, Inc.		174

				311

		Media — 3.5%
	4	Cablevision Systems Corp., Class A		80
	9	CBS Corp. (Non-Voting), Class B		548
	50	Comcast Corp., Class A		2,978
	10	DIRECTV (a)		866
	3	Discovery Communications, Inc., Class A (a)		93
	5	Discovery Communications, Inc., Class C (a)		162
	4	Gannett Co., Inc.		155
	8	Interpublic Group of Cos., Inc. (The)		182
	10	News Corp., Class A (a)		168
	5	Omnicom Group, Inc.		384
	2	Scripps Networks Interactive, Inc., Class A		143
	5	Time Warner Cable, Inc.		841
	16	Time Warner, Inc.		1,336
	36	Twenty-First Century Fox, Inc., Class A		1,263
	7	Viacom, Inc., Class B		503
	30	Walt Disney Co. (The)		3,161

				12,863

		Multiline Retail — 0.8%
	6	Dollar General Corp. (a)		429
	4	Dollar Tree, Inc. (a)		319
	2	Family Dollar Stores, Inc.		147
	4	Kohl’s Corp.		290
	7	Macy’s, Inc.		428
	3	Nordstrom, Inc.		220
	12	Target Corp.		953

				2,786

		Specialty Retail — 2.4%
	1	AutoNation, Inc. (a)		90
	1	AutoZone, Inc. (a)		401
	4	Bed Bath & Beyond, Inc. (a)		269
	6	Best Buy Co., Inc.		216
	4	CarMax, Inc. (a)		281
	2	GameStop Corp., Class A		78
	5	Gap, Inc. (The)		216
	26	Home Depot, Inc. (The)		2,944


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Specialty Retail — continued
	5	L Brands, Inc.		440
	19	Lowe’s Cos., Inc.		1,403
	2	O’Reilly Automotive, Inc. (a)		411
	2	PetSmart, Inc.		161
	4	Ross Stores, Inc.		432
	12	Staples, Inc.		209
	2	Tiffany & Co.		193
	13	TJX Cos., Inc. (The)		920
	3	Tractor Supply Co.		233
	2	Urban Outfitters, Inc. (a)		76

				8,973

		Textiles, Apparel & Luxury Goods — 0.8%
	5	Coach, Inc.		234
	1	Fossil Group, Inc. (a)		75
	4	Michael Kors Holdings Ltd., (Hong Kong) (a)		270
	14	NIKE, Inc., Class B		1,319
	2	PVH Corp.		171
	1	Ralph Lauren Corp.		162
	3	Under Armour, Inc., Class A (a)		250
	7	V.F. Corp.		515

				2,996

		Total Consumer Discretionary		45,256

		Consumer Staples — 9.7%
		Beverages — 2.2%
	3	Brown-Forman Corp., Class B		279
	77	Coca-Cola Co. (The)		3,323
	4	Coca-Cola Enterprises, Inc.		200
	3	Constellation Brands, Inc., Class A (a)		375
	4	Dr. Pepper Snapple Group, Inc.		298
	3	Molson Coors Brewing Co., Class B		235
	3	Monster Beverage Corp. (a)		396
	29	PepsiCo, Inc.		2,883

				7,989

		Food & Staples Retailing — 2.5%
	9	Costco Wholesale Corp.		1,252
	22	CVS Health Corp.		2,318
	10	Kroger Co. (The)		680
	11	Sysco Corp.		446
	17	Walgreens Boots Alliance, Inc.		1,407
	31	Wal-Mart Stores, Inc.		2,580
	7	Whole Foods Market, Inc.		396

				9,079


SHARES		SECURITY DESCRIPTION	VALUE($)

		Food Products — 1.6%
	13	Archer-Daniels-Midland Co.		600
	3	Campbell Soup Co.		162
	8	ConAgra Foods, Inc.		289
	12	General Mills, Inc.		632
	3	Hershey Co. (The)		299
	3	Hormel Foods Corp.		153
	2	JM Smucker Co. (The)		229
	5	Kellogg Co.		316
	2	Keurig Green Mountain, Inc.		302
	11	Kraft Foods Group, Inc.		734
	3	McCormick & Co., Inc. (Non-Voting)		190
	4	Mead Johnson Nutrition Co.		412
	33	Mondelez International, Inc., Class A		1,208
	6	Tyson Foods, Inc., Class A		236

				5,762

		Household Products — 1.8%
	3	Clorox Co. (The)		274
	17	Colgate-Palmolive Co.		1,181
	7	Kimberly-Clark Corp.		795
	53	Procter & Gamble Co. (The)		4,477

				6,727

		Personal Products — 0.1%
	8	Avon Products, Inc.		72
	4	Estee Lauder Cos., Inc. (The), Class A		361

				433

		Tobacco — 1.5%
	38	Altria Group, Inc.		2,166
	7	Lorillard, Inc.		479
	30	Philip Morris International, Inc.		2,509
	6	Reynolds American, Inc.		454

				5,608

		Total Consumer Staples		35,598

		Energy — 8.1%
		Energy Equipment & Services — 1.3%
	8	Baker Hughes, Inc.		526
	4	Cameron International Corp. (a)		181
	1	Diamond Offshore Drilling, Inc.		40
	5	Ensco plc, (United Kingdom), Class A		112
	5	FMC Technologies, Inc. (a)		182
	16	Halliburton Co.		708
	2	Helmerich & Payne, Inc.		141
	6	Nabors Industries Ltd., (Bermuda)		72
	8	National Oilwell Varco, Inc.		455


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Energy Equipment & Services — continued
	5	Noble Corp. plc, (United Kingdom)		82
	25	Schlumberger Ltd.		2,108
	7	Transocean Ltd., (Switzerland)		107

				4,714

		Oil, Gas & Consumable Fuels — 6.8%
	10	Anadarko Petroleum Corp.		830
	7	Apache Corp.		483
	8	Cabot Oil & Gas Corp.		233
	10	Chesapeake Energy Corp.		169
	37	Chevron Corp.		3,926
	2	Cimarex Energy Co.		186
	24	ConocoPhillips		1,562
	4	CONSOL Energy, Inc.		144
	7	Denbury Resources, Inc.		58
	7	Devon Energy Corp.		461
	11	EOG Resources, Inc.		957
	3	EQT Corp.		235
	82	Exxon Mobil Corp.		7,298
	5	Hess Corp.		371
	33	Kinder Morgan, Inc.		1,356
	13	Marathon Oil Corp.		366
	5	Marathon Petroleum Corp.		573
	3	Murphy Oil Corp.		165
	3	Newfield Exploration Co. (a)		88
	7	Noble Energy, Inc.		351
	15	Occidental Petroleum Corp.		1,176
	4	ONEOK, Inc.		179
	11	Phillips 66		845
	3	Pioneer Natural Resources Co.		442
	3	QEP Resources, Inc.		69
	3	Range Resources Corp.		163
	7	Southwestern Energy Co. (a)		172
	13	Spectra Energy Corp.		464
	2	Tesoro Corp.		226
	10	Valero Energy Corp.		626
	13	Williams Cos., Inc. (The)		642

				24,816

		Total Energy		29,530

		Financials — 15.9%
		Banks — 5.7%
	205	Bank of America Corp.		3,236
	14	BB&T Corp.		534
	59	Citigroup, Inc.		3,091
	3	Comerica, Inc.		160


SHARES		SECURITY DESCRIPTION	VALUE($)

		Banks — continued
	16	Fifth Third Bancorp		311
	16	Huntington Bancshares, Inc.		173
	73	JPMorgan Chase & Co. (q)		4,459
	17	KeyCorp		235
	3	M&T Bank Corp.		309
	10	PNC Financial Services Group, Inc. (The)		942
	27	Regions Financial Corp.		257
	10	SunTrust Banks, Inc.		416
	35	U.S. Bancorp		1,554
	92	Wells Fargo & Co.		5,035
	4	Zions Bancorp		106

				20,818

		Capital Markets — 2.2%
	1	Affiliated Managers Group, Inc. (a)		234
	4	Ameriprise Financial, Inc.		480
	22	Bank of New York Mellon Corp. (The)		858
	2	BlackRock, Inc.		921
	22	Charles Schwab Corp. (The)		656
	6	E*TRADE Financial Corp. (a)		146
	8	Franklin Resources, Inc.		411
	8	Goldman Sachs Group, Inc. (The)		1,496
	8	Invesco Ltd.		338
	2	Legg Mason, Inc.		112
	30	Morgan Stanley		1,064
	4	Northern Trust Corp.		301
	8	State Street Corp.		605
	5	T. Rowe Price Group, Inc.		417

				8,039

		Consumer Finance — 0.8%
	17	American Express Co.		1,413
	11	Capital One Financial Corp.		852
	9	Discover Financial Services		538
	8	Navient Corp.		171

				2,974

		Diversified Financial Services — 2.0%
	35	Berkshire Hathaway, Inc., Class B (a)		5,233
	6	CME Group, Inc.		591
	2	Intercontinental Exchange, Inc.		516
	6	Leucadia National Corp.		146
	5	McGraw Hill Financial, Inc.		545
	4	Moody’s Corp.		346
	2	NASDAQ OMX Group, Inc. (The)		115

				7,492


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Insurance — 2.7%
	6	ACE Ltd., (Switzerland)		736
	9	Aflac, Inc.		546
	8	Allstate Corp. (The)		576
	27	American International Group, Inc.		1,508
	6	Aon plc, (United Kingdom)		557
	1	Assurant, Inc.		84
	5	Chubb Corp. (The)		461
	3	Cincinnati Financial Corp.		151
	10	Genworth Financial, Inc., Class A (a)		75
	8	Hartford Financial Services Group, Inc. (The)		344
	5	Lincoln National Corp.		292
	6	Loews Corp.		239
	11	Marsh & McLennan Cos., Inc.		599
	22	MetLife, Inc.		1,124
	5	Principal Financial Group, Inc.		272
	10	Progressive Corp. (The)		277
	9	Prudential Financial, Inc.		721
	3	Torchmark Corp.		133
	6	Travelers Cos., Inc. (The)		693
	5	Unum Group		165
	5	XL Group plc, (Ireland)		182

				9,735

		Real Estate Investment Trusts (REITs) — 2.4%
	8	American Tower Corp.		810
	3	Apartment Investment & Management Co., Class A		107
	3	AvalonBay Communities, Inc.		433
	3	Boston Properties, Inc.		410
	6	Crown Castle International Corp.		561
	7	Equity Residential		543
	1	Essex Property Trust, Inc.		277
	12	General Growth Properties, Inc.		354
	9	HCP, Inc.		379
	7	Health Care REIT, Inc.		517
	15	Host Hotels & Resorts, Inc.		310
	4	Iron Mountain, Inc.		133
	8	Kimco Realty Corp.		210
	3	Macerich Co. (The)		229
	3	Plum Creek Timber Co., Inc.		149
	10	Prologis, Inc.		416
	3	Public Storage		557
	6	Simon Property Group, Inc.		1,152
	6	Ventas, Inc.		464
	3	Vornado Realty Trust03/16/15		374
	10	Weyerhaeuser Co.		358

				8,743


SHARES		SECURITY DESCRIPTION	VALUE($)

		Real Estate Management & Development — 0.1%
	5	CBRE Group, Inc., Class A (a)		186

		Thrifts & Mortgage Finance — 0.0% (g)
	9	Hudson City Bancorp, Inc.		91
	6	People’s United Financial, Inc.		91

				182

		Total Financials		58,169

		Health Care — 14.6%
		Biotechnology — 3.0%
	4	Alexion Pharmaceuticals, Inc. (a)		696
	15	Amgen, Inc.		2,335
	5	Biogen Idec, Inc. (a)		1,883
	16	Celgene Corp. (a)		1,890
	29	Gilead Sciences, Inc. (a)		3,040
	1	Regeneron Pharmaceuticals, Inc. (a)		598
	5	Vertex Pharmaceuticals, Inc. (a)		559

				11,001

		Health Care Equipment & Supplies — 2.2%
	29	Abbott Laboratories		1,388
	11	Baxter International, Inc.		730
	4	Becton, Dickinson and Co.		548
	26	Boston Scientific Corp. (a)		436
	1	C.R. Bard, Inc.		247
	4	CareFusion Corp. (a)		239
	3	DENTSPLY International, Inc.		146
	2	Edwards Lifesciences Corp. (a)		277
	1	Intuitive Surgical, Inc. (a)		353
	28	Medtronic plc, (Ireland)		2,140
	6	St. Jude Medical, Inc.		371
	6	Stryker Corp.		551
	2	Varian Medical Systems, Inc. (a)		181
	3	Zimmer Holdings, Inc.		397

				8,004

		Health Care Providers & Services — 2.6%
	7	Aetna, Inc.		681
	4	AmerisourceBergen Corp.		416
	5	Anthem, Inc.		770
	6	Cardinal Health, Inc.		567
	5	Cigna Corp.		619
	3	DaVita HealthCare Partners, Inc. (a)		250
	14	Express Scripts Holding Co. (a)		1,211
	6	HCA Holdings, Inc. (a)		422
	3	Humana, Inc.		491
	2	Laboratory Corp. of America Holdings (a)		241


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Health Care Providers & Services — continued
	5	McKesson Corp.		1,032
	2	Patterson Cos., Inc.		83
	3	Quest Diagnostics, Inc.		197
	2	Tenet Healthcare Corp. (a)		89
	19	UnitedHealth Group, Inc.		2,123
	2	Universal Health Services, Inc., Class B		201

				9,393

		Health Care Technology — 0.1%
	6	Cerner Corp. (a)		426

		Life Sciences Tools & Services — 0.4%
	6	Agilent Technologies, Inc.		274
	2	PerkinElmer, Inc.		104
	8	Thermo Fisher Scientific, Inc.		1,012
	2	Waters Corp. (a)		195

				1,585

		Pharmaceuticals — 6.3%
	31	AbbVie, Inc.		1,876
	5	Actavis plc (a)		1,503
	6	Allergan, Inc.		1,350
	32	Bristol-Myers Squibb Co.		1,967
	19	Eli Lilly & Co.		1,338
	3	Endo International plc, (Ireland) (a)		278
	3	Hospira, Inc. (a)		288
	54	Johnson & Johnson		5,585
	2	Mallinckrodt plc (a)		264
	55	Merck & Co., Inc.		3,249
	7	Mylan N.V. (a)		418
	3	Perrigo Co. plc, (Ireland)		423
	123	Pfizer, Inc.		4,209
	10	Zoetis, Inc.		450

				23,198

		Total Health Care		53,607

		Industrials — 10.2%
		Aerospace & Defense — 2.7%
	13	Boeing Co. (The)		1,947
	6	General Dynamics Corp.		850
	15	Honeywell International, Inc.		1,566
	2	L-3 Communications Holdings, Inc.		214
	5	Lockheed Martin Corp.		1,046
	4	Northrop Grumman Corp.		652
	3	Precision Castparts Corp.		600
	6	Raytheon Co.		653
	3	Rockwell Collins, Inc.		231


SHARES		SECURITY DESCRIPTION	VALUE($)

		Aerospace & Defense — continued
	5	Textron, Inc.		238
	17	United Technologies Corp.		2,012

				10,009

		Air Freight & Logistics — 0.7%
	3	C.H. Robinson Worldwide, Inc.		212
	4	Expeditors International of Washington, Inc.		181
	5	FedEx Corp.		908
	14	United Parcel Service, Inc., Class B		1,380

				2,681

		Airlines — 0.4%
	16	Delta Air Lines, Inc.		725
	13	Southwest Airlines Co.		572

				1,297

		Building Products — 0.1%
	2	Allegion plc, (Ireland)		107
	7	Masco Corp.		182

				289

		Commercial Services & Supplies — 0.4%
	3	ADT Corp. (The)		133
	2	Cintas Corp.		158
	4	Pitney Bowes, Inc.		91
	5	Republic Services, Inc.		201
	2	Stericycle, Inc. (a)		223
	8	Tyco International plc		344
	8	Waste Management, Inc.		451

				1,601

		Construction & Engineering — 0.1%
	3	Fluor Corp.		176
	3	Jacobs Engineering Group, Inc. (a)		113
	4	Quanta Services, Inc. (a)		122

				411

		Electrical Equipment — 0.6%
	5	AMETEK, Inc.		255
	9	Eaton Corp. plc		656
	14	Emerson Electric Co.		782
	3	Rockwell Automation, Inc.		309

				2,002

		Industrial Conglomerates — 2.3%
	12	3M Co.		2,104
	12	Danaher Corp.		1,038
	195	General Electric Co.		5,080
	2	Roper Industries, Inc.		327

				8,549


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Machinery — 1.5%
	12	Caterpillar, Inc.		977
	3	Cummins, Inc.		470
	7	Deere & Co.		632
	3	Dover Corp.		232
	3	Flowserve Corp.		165
	7	Illinois Tool Works, Inc.		692
	5	Ingersoll-Rand plc		347
	2	Joy Global, Inc.		85
	7	PACCAR, Inc.		441
	2	Pall Corp.		209
	3	Parker-Hannifin Corp.		355
	4	Pentair plc, (United Kingdom)		242
	1	Snap-on, Inc.		167
	3	Stanley Black & Decker, Inc.		300
	4	Xylem, Inc.		126

				5,440

		Professional Services — 0.2%
	1	Dun & Bradstreet Corp. (The)		93
	2	Equifax, Inc.		219
	6	Nielsen N.V.		285
	3	Robert Half International, Inc.		164

				761

		Road & Rail — 1.0%
	19	CSX Corp.		665
	2	Kansas City Southern		249
	6	Norfolk Southern Corp.		657
	1	Ryder System, Inc.		97
	17	Union Pacific Corp.		2,081

				3,749

		Trading Companies & Distributors — 0.2%
	5	Fastenal Co.		220
	2	United Rentals, Inc. (a)		181
	1	W.W. Grainger, Inc.		280

				681

		Total Industrials		37,470

		Information Technology — 19.7%
		Communications Equipment — 1.7%
	100	Cisco Systems, Inc.		2,937
	1	F5 Networks, Inc. (a)		170
	2	Harris Corp.		158
	7	Juniper Networks, Inc.		179
	4	Motorola Solutions, Inc.		252
	32	QUALCOMM, Inc.		2,347

				6,043


SHARES		SECURITY DESCRIPTION	VALUE($)

		Electronic Equipment, Instruments & Components — 0.4%
	6	Amphenol Corp., Class A		340
	25	Corning, Inc.		609
	3	FLIR Systems, Inc.		88
	8	TE Connectivity Ltd., (Switzerland)		571

				1,608

		Internet Software & Services — 3.2%
	3	Akamai Technologies, Inc. (a)		241
	22	eBay, Inc. (a)		1,274
	41	Facebook, Inc., Class A (a)		3,214
	6	Google, Inc., Class A (a)		3,122
	6	Google, Inc., Class C (a)		3,095
	2	VeriSign, Inc. (a)		136
	17	Yahoo!, Inc. (a)		759

				11,841

		IT Services — 3.3%
	12	Accenture plc, (Ireland), Class A		1,100
	1	Alliance Data Systems Corp. (a)		346
	9	Automatic Data Processing, Inc.		834
	12	Cognizant Technology Solutions Corp., Class A (a)		741
	3	Computer Sciences Corp.		194
	6	Fidelity National Information Services, Inc.		373
	5	Fiserv, Inc. (a)		371
	18	International Business Machines Corp.		2,901
	19	MasterCard, Inc., Class A		1,719
	6	Paychex, Inc.		317
	3	Teradata Corp. (a)		133
	3	Total System Services, Inc.		123
	10	Visa, Inc., Class A		2,579
	10	Western Union Co. (The)		198
	21	Xerox Corp.		285

				12,214

		Semiconductors & Semiconductor Equipment — 2.4%
	6	Altera Corp.		220
	6	Analog Devices, Inc.		355
	24	Applied Materials, Inc.		594
	5	Avago Technologies Ltd., (Singapore)		628
	10	Broadcom Corp., Class A		474
	1	First Solar, Inc. (a)		87
	94	Intel Corp.		3,129
	3	KLA-Tencor Corp.		208
	3	Lam Research Corp.		255
	5	Linear Technology Corp.		224
	4	Microchip Technology, Inc.		201
	21	Micron Technology, Inc. (a)		641


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Semiconductors & Semiconductor Equipment — continued
	10	NVIDIA Corp.		222
	21	Texas Instruments, Inc.		1,209
	5	Xilinx, Inc.		218

				8,665

		Software — 3.7%
	9	Adobe Systems, Inc. (a)		730
	4	Autodesk, Inc. (a)		284
	6	CA, Inc.		203
	3	Citrix Systems, Inc. (a)		199
	6	Electronic Arts, Inc. (a)		346
	6	Intuit, Inc.		543
	160	Microsoft Corp.		7,036
	63	Oracle Corp.		2,759
	4	Red Hat, Inc. (a)		253
	11	salesforce.com, Inc. (a)		792
	13	Symantec Corp.		338

				13,483

		Technology Hardware, Storage & Peripherals — 5.0%
	114	Apple, Inc.		14,666
	40	EMC Corp.		1,146
	36	Hewlett-Packard Co.		1,266
	6	NetApp, Inc.		235
	4	SanDisk Corp.		343
	6	Seagate Technology plc		389
	4	Western Digital Corp.		455

				18,500

		Total Information Technology		72,354

		Materials — 3.3%
		Chemicals — 2.5%
	4	Air Products & Chemicals, Inc.		585
	1	Airgas, Inc.		153
	1	CF Industries Holdings, Inc.		296
	22	Dow Chemical Co. (The)		1,062
	18	E.I. du Pont de Nemours & Co.		1,373
	3	Eastman Chemical Co.		215
	5	Ecolab, Inc.		608
	3	FMC Corp.		165
	2	International Flavors & Fragrances, Inc.		192
	8	LyondellBasell Industries N.V., Class A		695
	9	Monsanto Co.		1,135
	6	Mosaic Co. (The)		327
	3	PPG Industries, Inc.		629
	6	Praxair, Inc.		725
	2	Sherwin-Williams Co. (The)		453


SHARES		SECURITY DESCRIPTION	VALUE($)

		Chemicals — continued
	2	Sigma-Aldrich Corp.		320

				8,933

		Construction Materials — 0.1%
	1	Martin Marietta Materials, Inc.		171
	3	Vulcan Materials Co.		213

				384

		Containers & Packaging — 0.2%
	2	Avery Dennison Corp.		95
	3	Ball Corp.		191
	3	MeadWestvaco Corp.		172
	3	Owens-Illinois, Inc. (a)		84
	4	Sealed Air Corp.		194

				736

		Metals & Mining — 0.4%
	23	Alcoa, Inc.		339
	2	Allegheny Technologies, Inc.		71
	20	Freeport-McMoRan, Inc.		438
	10	Newmont Mining Corp.		256
	6	Nucor Corp.		292

				1,396

		Paper & Forest Products — 0.1%
	8	International Paper Co.		465

		Total Materials		11,914

		Telecommunication Services — 2.3%
		Diversified Telecommunication Services — 2.3%
	101	AT&T, Inc.		3,489
	11	CenturyLink, Inc.		421
	20	Frontier Communications Corp.		156
	5	Level 3 Communications, Inc. (a)		292
	81	Verizon Communications, Inc.		3,994
	12	Windstream Holdings, Inc.		93

		Total Telecommunication Services		8,445

		Utilities — 3.0%
		Electric Utilities — 1.7%
	10	American Electric Power Co., Inc.		548
	14	Duke Energy Corp.		1,082
	6	Edison International		407
	4	Entergy Corp.		279
	6	Eversource Energy		319
	17	Exelon Corp.		568
	8	FirstEnergy Corp.		287
	8	NextEra Energy, Inc.		879


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Electric Utilities — continued
	5	Pepco Holdings, Inc.		133
	2	Pinnacle West Capital Corp.		138
	13	PPL Corp.		441
	18	Southern Co. (The)		802
	10	Xcel Energy, Inc.		347

				6,230

		Gas Utilities — 0.0% (g)
	2	AGL Resources, Inc.		114

		Independent Power & Renewable Electricity Producers — 0.1%
	13	AES Corp.		166
	7	NRG Energy, Inc.		158

				324

		Multi-Utilities — 1.2%
	5	Ameren Corp.		200
	8	CenterPoint Energy, Inc.		174
	5	CMS Energy Corp.		188
	6	Consolidated Edison, Inc.		360
	11	Dominion Resources, Inc.		819
	3	DTE Energy Co.		283
	2	Integrys Energy Group, Inc.		116
	6	NiSource, Inc.		264
	9	PG&E Corp.		497
	10	Public Service Enterprise Group, Inc.		414
	3	SCANA Corp.		158
	4	Sempra Energy		487
	5	TECO Energy, Inc.		90
	4	Wisconsin Energy Corp.		224

				4,274

		Total Utilities		10,942

		Total Common Stocks (Cost $167,755)		363,285


SHARES			SECURITY DESCRIPTION	VALUE($)
	Exchange Traded Fund — 0.0% (g)
			U.S. Equity — 0.0% (g)
	—	(h)	SPDR S&P 500 ETF Trust (Cost $67)		84


NUMBER OF RIGHTS
	Rights — 0.0% (g)
			Consumer Staples — 0.0% (g)
			Food & Staples Retailing — 0.0% (g)
	5		Safeway, Inc., Casa Ley CVR (a) (i)		—	(h)
	5		Safeway, Inc., PDC CVR (a) (i)		—	(h)

			(Cost $—)		—	(h)


PRINCIPAL AMOUNT($)
	Short-Term Investments — 0.7%
			U.S. Treasury Obligations — 0.1%
			U.S. Treasury Bills,
	240		0.003%, 03/05/15 (n)		240
	240		0.011%, 05/21/15 (k) (n)		240

			Total U.S. Treasury Obligations		480


SHARES
			Investment Company — 0.6%
	2,091		JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.050%, (b) (l)		2,091

			Total Short-Term Investments (Cost $2,571)		2,571

			Total Investments — 99.8% (Cost $170,393)		365,940
			Other Assets in Excess of Liabilities — 0.2%		673

			NET ASSETS — 100.0%	$	366,613

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — 7.9%
	154	Academic Loan Funding Trust, Series 2012-1A, Class A1, VAR, 0.971%, 12/27/22 (e)		155
		Ally Auto Receivables Trust,
	13	Series 2012-2, Class A3, 0.740%, 04/15/16		12
	344	Series 2013-2, Class A3, 0.790%, 01/15/18		344
	120	Series 2013-2, Class A4, 1.240%, 11/15/18		120
	198	Series 2014-SN2, Class A3, 1.030%, 09/20/17		198
		American Credit Acceptance Receivables Trust,
	4	Series 2012-3, Class A, 1.640%, 11/15/16 (e)		4
	30	Series 2013-2, Class A, 1.320%, 02/15/17 (e)		30
	149	Series 2014-4, Class A, 1.330%, 07/10/18 (e)		149
		AmeriCredit Automobile Receivables Trust,
	33	Series 2013-1, Class A3, 0.610%, 10/10/17		34
	72	Series 2013-4, Class A2, 0.740%, 11/08/16		72
	157	Series 2013-5, Class A3, 0.900%, 09/10/18		157
	162	AXIS Equipment Finance Receivables II LLC, Series 2013-1A, Class A, 1.750%, 03/20/17 (e)		162
	37	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.541%, 04/25/36		35
	11	BMW Vehicle Lease Trust, Series 2013-1, Class A3, 0.540%, 09/21/15		11
		BMW Vehicle Owner Trust,
	170	Series 2013-A, Class A3, 0.670%, 11/27/17		170
	274	Series 2014-A, Class A2, 0.530%, 04/25/17		274
	160	Series 2014-A, Class A3, 0.970%, 11/26/18		160
	100	Cabela’s Credit Card Master Note Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)		101
	31	California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 08/15/17 (e)		31
	41	Capital Auto Receivables Asset Trust, Series 2013-1, Class A2, 0.620%, 07/20/16		41
		CarFinance Capital Auto Trust,
	24	Series 2013-2A, Class A, 1.750%, 11/15/17 (e)		24
	190	Series 2014-1A, Class A, 1.460%, 12/17/18 (e)		190
	125	Series 2014-1A, Class B, 2.720%, 04/15/20 (e)		126
	284	Series 2014-2A, Class A, 1.440%, 11/16/20 (e)		283


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	210	Series 2015-1A, Class A, 1.750%, 06/15/21 (e)		209
	250	Carlyle Global Market Strategies Commodities Funding Ltd., (Cayman Islands), Series 2014-1A, Class A, VAR, 2.153%, 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		137
	337	Series 2014-2, Class A3, 0.980%, 01/15/19		336
	148	Carnow Auto Receivables Trust, Series 2014-1A, Class A, 0.960%, 01/17/17 (e)		148
	100	Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		103
	300	Concord Funding Co. LLC, Series 2012-2, Class A, 3.145%, 01/15/17 (e)		300
	250	Consumer Credit Origination Loan Trust, Series 2015-1, Class A, 2.820%, 03/15/21 (e)		250
		CPS Auto Receivables Trust,
	22	Series 2011-C, Class A, 4.210%, 03/15/19 (e)		22
	20	Series 2012-A, Class A, 2.780%, 06/17/19 (e)		20
	129	Series 2012-B, Class A, 2.520%, 09/16/19 (e)		130
	287	Series 2014-A, Class A, 1.210%, 08/15/18 (e)		286
	272	Series 2014-B, Class A, 1.110%, 11/15/18 (e)		271
	303	Series 2014-C, Class A, 1.310%, 02/15/19 (e)		302
	375	Series 2014-D, Class A, 1.490%, 04/15/19 (e)		375
	250	Credit Acceptance Auto Loan Trust, Series 2014-1A, Class A, 1.550%, 10/15/21 (e)		250
		DT Auto Owner Trust,
	396	Series 2014-3A, Class A, 0.980%, 04/16/18 (e)		396
	244	Series 2015-1A, Class A, 1.060%, 09/17/18 (e)		244
		Exeter Automobile Receivables Trust,
	39	Series 2013-2A, Class A, 1.490%, 11/15/17 (e)		39
	169	Series 2014-1A, Class A, 1.290%, 05/15/18 (e)		169
	186	Series 2014-2A, Class A, 1.060%, 08/15/18 (e)		185
	595	Series 2014-3A, Class A, 1.320%, 01/15/19 (e)		594
	56	Series 2014-3A, Class B, 2.770%, 11/15/19 (e)		56
	380	Series 2015-1A, Class A, 1.600%, 06/17/19 (e)		380
	173	Fifth Third Auto, Series 2013-1, Class A3, 0.880%, 10/16/17		173


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
		Fifth Third Auto Trust,
	120	Series 2014-3, Class A2A, 0.570%, 05/15/17		120
	77	Series 2014-3, Class A3, 0.960%, 03/15/19		77
		First Investors Auto Owner Trust,
	18	Series 2012-2A, Class A2, 1.470%, 05/15/18 (e)		18
	28	Series 2013-1A, Class A2, 0.900%, 10/15/18 (e)		27
	169	Series 2014-3A, Class A2, 1.060%, 11/15/18 (e)		169
	138	Series 2014-3A, Class A3, 1.670%, 11/16/20 (e)		138
		Flagship Credit Auto Trust,
	173	Series 2013-2, Class A, 1.940%, 01/15/19 (e)		175
	352	Series 2014-2, Class A, 1.430%, 12/16/19 (e)		351
	89	Series 2014-2, Class B, 2.840%, 11/16/20 (e)		89
	44	Series 2014-2, Class C, 3.950%, 12/15/20 (e)		44
		Ford Credit Auto Lease Trust,
	235	Series 2013-B, Class A3, 0.760%, 09/15/16		235
	100	Series 2013-B, Class A4, 0.960%, 10/15/16		100
	39	Series 2014-A, Class A2A, 0.500%, 10/15/16		39
	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,
	4	Series 2012-A, Class A3, 0.840%, 08/15/16		4
	46	Series 2012-D, Class A3, 0.510%, 04/15/17		46
	300	Series 2014-C, Class A2, 0.610%, 08/15/17		300
	245	Series 2014-C, Class A3, 1.060%, 05/15/19		245
	140	Ford Credit Floorplan Master Owner Trust, Series 2013-1, Class A2, VAR, 0.553%, 01/15/18		140
	275	GCAT, Series 2014-1, Class A1, VAR, 3.228%, 07/25/19 (e)		276
	58	GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		57
		GE Equipment Midticket LLC,
	54	Series 2012-1, Class A3, 0.600%, 05/23/16		54
	60	Series 2012-1, Class A4, 0.780%, 09/22/20		60
		GMAT Trust,
	227	Series 2013-1A, Class A, SUB, 3.967%, 11/25/43 (e)		229
	67	Series 2014-1A, Class A, SUB, 3.721%, 02/25/44 (e)		66
	168	Gold Key Resorts LLC, Series 2014-A, Class A, 3.220%, 03/17/31 (e)		169


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	357	HLSS Servicer Advance Receivables Backed Notes, Series 2013-T7, Class AT7, 1.981%, 11/15/46 (e)		354
		HLSS Servicer Advance Receivables Trust,
	244	Series 2012-T2, Class A2, 1.990%, 10/15/45 (e)		242
	165	Series 2013-T1, Class A2, 1.495%, 01/16/46 (e)		163
	167	Series 2014-T2, Class AT2, 2.217%, 01/15/47 (e)		164
		Honda Auto Receivables Owner Trust,
	8	Series 2012-1, Class A3, 0.770%, 01/15/16		8
	56	Series 2012-1, Class A4, 0.970%, 04/16/18		56
	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		185
	228	Series 2015-1, Class A2, 0.700%, 06/15/17		228
	33	HSBC Home Equity Loan Trust USA, Series 2007-3, Class APT, VAR, 1.374%, 11/20/36		33
		Huntington Auto Trust,
	59	Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)		59
	13	Series 2012-1, Class A3, 0.810%, 09/15/16		13
		Hyundai Auto Receivables Trust,
	10	Series 2012-B, Class A3, 0.620%, 09/15/16		10
	281	Series 2014-B, Class A3, 0.900%, 12/17/18		280
	375	Series 2015-A, Class A2, 0.680%, 10/16/17		375
	159	MMCA Auto Owner Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e)		159
	82	Navitas Equipment Receivables LLC, Series 2013-1, Class A, 1.950%, 11/15/16 (e)		82
	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
	120	Series 2014-B, Class A3, 1.110%, 05/15/19		120
	430	Normandy Mortgage Loan Co. LLC, Series 2013-NPL3, Class A, SUB, 4.949%, 09/16/43 (e)		429
	373	NRPL Trust, Series 2015-1A, Class A1, SUB, 3.875%, 11/01/54 (e)		373
	267	NYMT Residential LLC, Series 2013-RP3A, Class NOTE, SUB, 4.850%, 09/25/18 (e) (i)		267
	419	OAK Hill Advisors Residential Loan Trust, Series 2014-NPL2, Class A1, SUB, 3.475%, 04/25/54 (e)		420


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
		OneMain Financial Issuance Trust,
	552	Series 2014-2A, Class A, 2.470%, 09/18/24 (e)		552
	403	Series 2015-1A, Class A, 3.190%, 03/18/26 (e)		404
	109	Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-MCW1, Class M1, VAR, 1.109%, 10/25/34		109
	500	Progreso Receivables Funding II LLC, Series 2014-A, Class A, 3.500%, 07/08/19 (e)		500
	500	Progreso Receivables Funding III LLC, Series 2015-A, Class A, 3.625%, 02/10/20 (e)		500
	90	RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.471%, 03/25/36		88
	40	Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 3.480%, 01/25/36		31
	197	Selene Non-Performing Loans LLC, Series 2014-1A, Class A, SUB, 2.981%, 05/25/54 (e)		195
	3	SNAAC Auto Receivables Trust, Series 2013-1A, Class A, 1.140%, 07/16/18 (e)		3
		SpringCastle America Funding LLC,
	1,026	Series 2014-AA, Class A, 2.700%, 05/25/23 (e)		1,028
	175	Series 2014-AA, Class B, 4.610%, 10/25/27 (e)		178
		Springleaf Funding Trust,
	908	Series 2013-AA, Class A, 2.580%, 09/15/21 (e)		909
	840	Series 2014-AA, Class A, 2.410%, 12/15/22 (e)		839
	461	Series 2015-AA, Class A, 3.160%, 11/15/24 (e)		464
	80	Stanwich Mortgage Loan Trust, Series 2013-NPL1, Class A, 2.981%, 02/16/43 (e)		79
	770	Sunset Mortgage Loan Co. LLC, Series 2014-NPL2, Class A, SUB, 3.721%, 11/16/44 (e)		767
	175	Tidewater Auto Receivables Trust, Series 2014-AA, Class A3, 1.400%, 07/15/18 (e)		175
		Toyota Auto Receivables Owner Trust,
	296	Series 2014-A, Class A2, 0.410%, 08/15/16		296
	194	Series 2014-C, Class A2, 0.510%, 02/15/17		194
	134	Series 2014-C, Class A3, 0.930%, 07/16/18		134
		Trafigura Securitisation Finance plc, (Ireland),
	321	Series 2012-1A, Class A, VAR, 2.572%, 10/15/15 (e)		322


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	266	Series 2014-1A, Class A, VAR, 1.123%, 10/15/21 (e) (i)		266
		Truman Capital Mortgage Loan Trust,
	252	Series 2014-NPL1, Class A1, SUB, 3.228%, 07/25/53 (e)		252
	222	Series 2014-NPL2, Class A1, SUB, 3.125%, 06/25/54 (e)		221
	202	Series 2014-NPL3, Class A1, SUB, 3.125%, 04/25/53 (e)		202
	350	U.S. Residential Opportunity Fund II Trust, Series 2015-1II, Class A, 3.625%, 02/27/35 (e)		349
	82	USAA Auto Owner Trust, Series 2014-1, Class A2, 0.380%, 10/17/16		82
	488	Vericrest Opportunity Loan Transferee LLC, Series 2014-NPL4, Class A1, SUB, 3.125%, 04/27/54 (e)		487
	305	Volkswagen Auto Lease Trust, Series 2015-A, Class A2A, 0.870%, 06/20/17		305
	34	Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16		34
	355	VOLT NPL X LLC, Series 2014-NPL8, Class A1, SUB, 3.375%, 10/26/54 (e)		355
	277	VOLT XV LLC, Series 2014-3A, Class A1, SUB, 3.250%, 05/26/54 (e)		277
	364	VOLT XVI LLC, Series 2014-NPL5, Class A1, SUB, 3.228%, 09/25/58 (e)		364
		VOLT XXVI LLC,
	584	Series 2014-NPL6, Class A1, SUB, 3.125%, 09/25/43 (e)		583
	117	Series 2014-NPL6, Class A2, SUB, 4.250%, 09/25/43 (e)		115
	552	VOLT XXVII LLC, Series 2014-NPL7, Class A1, SUB, 3.375%, 08/27/57 (e)		552
		World Omni Auto Receivables Trust,
	28	Series 2012-A, Class A3, 0.640%, 02/15/17		28
	407	Series 2013-B, Class A3, 0.830%, 08/15/18		407
	127	Series 2013-B, Class A4, 1.320%, 01/15/20		127
	202	Series 2015-A, Class A2A, 0.790%, 07/16/18		202
	77	Series 2015-A, Class A3, 1.340%, 05/15/20		77

		Total Asset-Backed Securities (Cost $29,822)		29,839

	Collateralized Mortgage Obligations — 18.0%
		Agency CMO — 14.7%
	42	Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 24, Class ZE, 6.250%, 11/25/23		45
		Federal Home Loan Mortgage Corp. REMIC,
	1	Series 11, Class D, 9.500%, 07/15/19		1
	1	Series 46, Class B, 7.800%, 09/15/20		1


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
			Agency CMO — continued
	—	(h)	Series 47, Class F, 10.000%, 06/15/20		—	(h)
	—	(h)	Series 85, Class C, 8.600%, 01/15/21		—	(h)
	1		Series 99, Class Z, 9.500%, 01/15/21		1
	8		Series 114, Class H, 6.950%, 01/15/21		9
	—	(h)	Series 1079, Class S, HB, IF, 33.415%, 05/15/21		1
	—	(h)	Series 1084, Class F, VAR, 1.122%, 05/15/21		—	(h)
	—	(h)	Series 1084, Class S, HB, IF, 44.451%, 05/15/21		—	(h)
	7		Series 1144, Class KB, 8.500%, 09/15/21		8
	—	(h)	Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21		—	(h)
	—	(h)	Series 1196, Class B, HB, IF, 1,178.669%, 01/15/22		1
	5		Series 1206, Class IA, 7.000%, 03/15/22		5
	3		Series 1250, Class J, 7.000%, 05/15/22		4
	13		Series 1343, Class LA, 8.000%, 08/15/22		15
	55		Series 1466, Class PZ, 7.500%, 02/15/23		62
	1		Series 1470, Class F, VAR, 1.692%, 02/15/23		1
	21		Series 1491, Class I, 7.500%, 04/15/23		24
	21		Series 1518, Class G, IF, 8.880%, 05/15/23		24
	18		Series 1541, Class O, VAR, 1.110%, 07/15/23		18
	3		Series 1602, Class SA, HB, IF, 22.191%, 10/15/23		5
	63		Series 1608, Class L, 6.500%, 09/15/23		72
	3		Series 1609, Class LG, IF, 16.961%, 11/15/23		3
	4		Series 1671, Class L, 7.000%, 02/15/24		5
	11		Series 1700, Class GA, PO, 02/15/24		11
	110		Series 1706, Class K, 7.000%, 03/15/24		124
	377		Series 1720, Class PL, 7.500%, 04/15/24		430
	12		Series 1745, Class D, 7.500%, 08/15/24		14
	23		Series 1798, Class F, 5.000%, 05/15/23		25
	1		Series 1807, Class G, 9.000%, 10/15/20		1
	118		Series 1927, Class PH, 7.500%, 01/15/27		135
	49		Series 1981, Class Z, 6.000%, 05/15/27		54
	16		Series 1987, Class PE, 7.500%, 09/15/27		18
	7		Series 2033, Class SN, HB, IF, 28.323%, 03/15/24		2
	19		Series 2038, Class PN, IO, 7.000%, 03/15/28		3
	100		Series 2040, Class PE, 7.500%, 03/15/28		115
	14		Series 2056, Class TD, 6.500%, 05/15/18		15
	108		Series 2063, Class PG, 6.500%, 06/15/28		123


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	19	Series 2064, Class TE, 7.000%, 06/15/28		22
	77	Series 2075, Class PH, 6.500%, 08/15/28		85
	74	Series 2075, Class PM, 6.250%, 08/15/28		83
	24	Series 2089, Class PJ, IO, 7.000%, 10/15/28		4
	44	Series 2125, Class JZ, 6.000%, 02/15/29		49
	11	Series 2163, Class PC, IO, 7.500%, 06/15/29		2
	203	Series 2169, Class TB, 7.000%, 06/15/29		233
	67	Series 2172, Class QC, 7.000%, 07/15/29		76
	1	Series 2196, Class TL, 7.500%, 11/15/29		1
	35	Series 2201, Class C, 8.000%, 11/15/29		41
	89	Series 2210, Class Z, 8.000%, 01/15/30		103
	24	Series 2224, Class CB, 8.000%, 03/15/30		29
	44	Series 2256, Class MC, 7.250%, 09/15/30		51
	56	Series 2259, Class ZM, 7.000%, 10/15/30		64
	54	Series 2271, Class PC, 7.250%, 12/15/30		62
	45	Series 2283, Class K, 6.500%, 12/15/23		50
	23	Series 2296, Class PD, 7.000%, 03/15/31		26
	12	Series 2306, Class K, PO, 05/15/24		12
	30	Series 2306, Class SE, IF, IO, 8.750%, 05/15/24		5
	29	Series 2333, Class HC, 6.000%, 07/15/31		29
	6	Series 2344, Class QG, 6.000%, 08/15/16		7
	443	Series 2344, Class ZD, 6.500%, 08/15/31		515
	54	Series 2344, Class ZJ, 6.500%, 08/15/31		62
	38	Series 2345, Class NE, 6.500%, 08/15/31		43
	13	Series 2345, Class PQ, 6.500%, 08/15/16		13
	24	Series 2347, Class VP, 6.500%, 03/15/20		26
	49	Series 2351, Class PZ, 6.500%, 08/15/31		57
	8	Series 2355, Class BP, 6.000%, 09/15/16		9
	9	Series 2360, Class PG, 6.000%, 09/15/16		9
	9	Series 2366, Class MD, 6.000%, 10/15/16		9
	12	Series 2391, Class QR, 5.500%, 12/15/16		13
	40	Series 2410, Class NG, 6.500%, 02/15/32		45
	62	Series 2410, Class OE, 6.375%, 02/15/32		66
	26	Series 2410, Class QX, IF, IO, 8.478%, 02/15/32		7
	98	Series 2412, Class SP, IF, 15.756%, 02/15/32		136
	29	Series 2423, Class MC, 7.000%, 03/15/32		33
	59	Series 2423, Class MT, 7.000%, 03/15/32		68
	232	Series 2435, Class CJ, 6.500%, 04/15/32		267
	65	Series 2441, Class GF, 6.500%, 04/15/32		75
	63	Series 2444, Class ES, IF, IO, 7.778%, 03/15/32		16
	80	Series 2450, Class GZ, 7.000%, 05/15/32		92


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	25	Series 2450, Class SW, IF, IO, 7.828%, 03/15/32		7
	113	Series 2455, Class GK, 6.500%, 05/15/32		132
	158	Series 2466, Class DH, 6.500%, 06/15/32		181
	74	Series 2474, Class NR, 6.500%, 07/15/32		85
	131	Series 2484, Class LZ, 6.500%, 07/15/32		151
	158	Series 2500, Class MC, 6.000%, 09/15/32		181
	233	Series 2512, Class PG, 5.500%, 10/15/22		260
	43	Series 2535, Class BK, 5.500%, 12/15/22		47
	52	Series 2537, Class TE, 5.500%, 12/15/17		54
	261	Series 2543, Class YX, 6.000%, 12/15/32		293
	349	Series 2568, Class KG, 5.500%, 02/15/23		389
	460	Series 2575, Class ME, 6.000%, 02/15/33		506
	38	Series 2586, Class WI, IO, 6.500%, 03/15/33		6
	60	Series 2622, Class PE, 4.500%, 05/15/18		63
	37	Series 2631, Class LC, 4.500%, 06/15/18		39
	60	Series 2651, Class VZ, 4.500%, 07/15/18		63
	8	Series 2672, Class ME, 5.000%, 11/15/22		8
	120	Series 2684, Class PO, PO, 01/15/33		119
	75	Series 2744, Class TU, 5.500%, 05/15/32		78
	231	Series 2907, Class VC, 4.500%, 05/15/34		233
	94	Series 2934, Class EC, PO, 02/15/20		92
	117	Series 2990, Class SL, HB, IF, 23.863%, 06/15/34		153
	1,127	Series 2990, Class UZ, 5.750%, 06/15/35		1,196
	255	Series 2999, Class ND, 4.500%, 07/15/20		271
	15	Series 3068, Class AO, PO, 01/15/35		15
	139	Series 3117, Class EO, PO, 02/15/36		131
	15	Series 3117, Class OK, PO, 02/15/36		14
	214	Series 3122, Class OH, PO, 03/15/36		203
	209	Series 3137, Class XP, 6.000%, 04/15/36		239
	6	Series 3149, Class SO, PO, 05/15/36		6
	300	Series 3152, Class MO, PO, 03/15/36		285
	125	Series 3171, Class MO, PO, 06/15/36		118
	53	Series 3179, Class OA, PO, 07/15/36		50
	433	Series 3202, Class HI, IF, IO, 6.478%, 08/15/36		79
	71	Series 3232, Class ST, IF, IO, 6.528%, 10/15/36		11
	71	Series 3253, Class PO, PO, 12/15/21		70
	47	Series 3316, Class JO, PO, 05/15/37		44
	244	Series 3481, Class SJ, IF, IO, 5.678%, 08/15/38		25
	105	Series 3607, Class AO, PO, 04/15/36		99
	15	Series 3607, Class EO, PO, 02/15/33		15


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	67	Series 3611, Class PO, PO, 07/15/34		63
	17	Series 3666, Class VA, 5.500%, 12/15/22		17
	580	Series 3680, Class MA, 4.500%, 07/15/39		635
	258	Series 3804, Class FN, VAR, 0.622%, 03/15/39		259
	636	Series 3819, Class ZQ, 6.000%, 04/15/36		710
	267	Series 3997, Class PF, VAR, 0.622%, 11/15/39		267
	887	Series 4219, Class JA, 3.500%, 08/15/39		945
		Federal Home Loan Mortgage Corp. STRIPS,
	36	Series 243, Class 16, IO, 4.500%, 11/15/20		2
	863	Series 262, Class 35, 3.500%, 07/15/42		903
	851	Series 267, Class F5, VAR, 0.672%, 08/15/42		859
	870	Series 274, Class F1, VAR, 0.672%, 08/15/42		878
	845	Series 279, Class F6, VAR, 0.622%, 09/15/42		850
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	38	Series T-41, Class 3A, VAR, 6.624%, 07/25/32		44
	32	Series T-51, Class 2A, VAR, 7.500%, 08/25/42		38
	325	Series T-54, Class 2A, 6.500%, 02/25/43		382
	113	Series T-54, Class 3A, 7.000%, 02/25/43		139
	860	Series T-56, Class A5, 5.231%, 05/25/43		959
	28	Series T-58, Class APO, PO, 09/25/43		23
	232	Series T-76, Class 2A, VAR, 1.314%, 10/25/37		226
		Federal National Mortgage Association—ACES,
	500	Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20		552
	263	Series 2012-M11, Class FA, VAR, 0.686%, 08/25/19		265
	1,000	Series 2012-M9, Class A2, 2.482%, 04/25/22		1,009
	1,000	Series 2014-M12, Class ASV2, VAR, 2.614%, 10/25/21		1,022
	636	Series 2014-M13, Class A2, VAR, 3.021%, 08/25/24		654
	444	Series 2014-M2, Class A2, VAR, 3.513%, 12/25/23		477
	2,000	Series 2014-M3, Class A2, VAR, 3.476%, 01/25/24		2,150
	1,000	Series 2015-M3, Class A2, 2.723%, 10/25/24		1,009


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
			Agency CMO — continued
	94		Federal National Mortgage Association Grantor Trust, Series 2001-T10, Class A2, 7.500%, 12/25/41		109
			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		5
	2		Series 1989-78, Class H, 9.400%, 11/25/19		2
	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)
	7		Series 1990-102, Class J, 6.500%, 08/25/20		7
	2		Series 1990-120, Class H, 9.000%, 10/25/20		2
	—	(h)	Series 1990-134, Class SC, HB, IF, 21.344%, 11/25/20		1
	—	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20		—	(h)
	2		Series 1991-42, Class S, IF, 17.376%, 05/25/21		2
	37		Series 1992-107, Class SB, HB, IF, 29.561%, 06/25/22		60
	3		Series 1992-143, Class MA, 5.500%, 09/25/22		3
	17		Series 1993-25, Class J, 7.500%, 03/25/23		19
	120		Series 1993-37, Class PX, 7.000%, 03/25/23		133
	43		Series 1993-54, Class Z, 7.000%, 04/25/23		48
	9		Series 1993-62, Class SA, IF, 18.919%, 04/25/23		13
	11		Series 1993-122, Class M, 6.500%, 07/25/23		12
	4		Series 1993-165, Class SD, IF, 13.389%, 09/25/23		6
	19		Series 1993-178, Class PK, 6.500%, 09/25/23		21
	304		Series 1993-183, Class KA, 6.500%, 10/25/23		348
	135		Series 1993-189, Class PL, 6.500%, 10/25/23		152
	29		Series 1993-247, Class SA, HB, IF, 27.947%, 12/25/23		49


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	12	Series 1993-250, Class Z, 7.000%, 12/25/23		12
	2	Series 1994-9, Class E, PO, 11/25/23		2
	81	Series 1996-14, Class SE, IF, IO, 8.900%, 08/25/23		19
	2	Series 1996-27, Class FC, VAR, 0.671%, 03/25/17		2
	9	Series 1996-59, Class J, 6.500%, 08/25/22		9
	38	Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27		2
	38	Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		2
	19	Series 1997-27, Class J, 7.500%, 04/18/27		21
	25	Series 1997-29, Class J, 7.500%, 04/20/27		29
	56	Series 1997-39, Class PD, 7.500%, 05/20/27		65
	16	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		3
	2	Series 1998-4, Class C, PO, 04/25/23		2
	15	Series 1998-36, Class ZB, 6.000%, 07/18/28		17
	179	Series 1998-43, Class EA, PO, 04/25/23		172
	106	Series 2000-2, Class ZE, 7.500%, 02/25/30		122
	36	Series 2001-4, Class PC, 7.000%, 03/25/21		39
	71	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		11
	85	Series 2001-36, Class DE, 7.000%, 08/25/31		97
	18	Series 2001-44, Class PD, 7.000%, 09/25/31		21
	130	Series 2001-48, Class Z, 6.500%, 09/25/21		148
	15	Series 2001-49, Class Z, 6.500%, 09/25/31		17
	20	Series 2001-71, Class MB, 6.000%, 12/25/16		21
	22	Series 2001-71, Class QE, 6.000%, 12/25/16		23
	146	Series 2001-74, Class MB, 6.000%, 12/25/16		150
	14	Series 2001-81, Class LO, PO, 01/25/32		13
	40	Series 2002-1, Class HC, 6.500%, 02/25/22		45
	21	Series 2002-1, Class SA, HB, IF, 24.632%, 02/25/32		36
	13	Series 2002-2, Class UC, 6.000%, 02/25/17		14
	21	Series 2002-3, Class OG, 6.000%, 02/25/17		22
	52	Series 2002-21, Class PE, 6.500%, 04/25/32		58
	54	Series 2002-24, Class AJ, 6.000%, 04/25/17		56
	53	Series 2002-28, Class PK, 6.500%, 05/25/32		60
	58	Series 2002-37, Class Z, 6.500%, 06/25/32		66
	68	Series 2002-94, Class BK, 5.500%, 01/25/18		70
	202	Series 2003-22, Class UD, 4.000%, 04/25/33		213
	162	Series 2003-34, Class GB, 6.000%, 03/25/33		177


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	304	Series 2003-34, Class GE, 6.000%, 05/25/33		358
	12	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		2
	202	Series 2003-47, Class PE, 5.750%, 06/25/33		230
	25	Series 2003-52, Class SX, HB, IF, 22.437%, 10/25/31		39
	27	Series 2003-64, Class SX, IF, 13.323%, 07/25/33		32
	124	Series 2003-71, Class DS, IF, 7.239%, 08/25/33		129
	74	Series 2003-80, Class SY, IF, IO, 7.479%, 06/25/23		5
	86	Series 2003-83, Class PG, 5.000%, 06/25/23		90
	21	Series 2003-91, Class SD, IF, 12.215%, 09/25/33		25
	182	Series 2003-116, Class SB, IF, IO, 7.429%, 11/25/33		46
	20	Series 2003-130, Class SX, IF, 11.264%, 01/25/34		24
	178	Series 2004-25, Class PC, 5.500%, 01/25/34		188
	126	Series 2004-25, Class SA, IF, 19.055%, 04/25/34		181
	119	Series 2004-36, Class PC, 5.500%, 02/25/34		126
	122	Series 2004-36, Class SA, IF, 19.055%, 05/25/34		165
	79	Series 2004-46, Class SK, IF, 16.030%, 05/25/34		99
	898	Series 2004-50, Class VZ, 5.500%, 07/25/34		981
	66	Series 2004-61, Class SH, HB, IF, 23.304%, 11/25/32		105
	60	Series 2004-74, Class SW, IF, 15.154%, 11/25/31		85
	71	Series 2004-76, Class CL, 4.000%, 10/25/19		75
	121	Series 2005-45, Class DC, HB, IF, 23.683%, 06/25/35		181
	24	Series 2005-52, Class PA, 6.500%, 06/25/35		25
	92	Series 2005-56, Class S, IF, IO, 6.539%, 07/25/35		18
	173	Series 2005-56, Class TP, IF, 17.637%, 08/25/33		227
	578	Series 2005-68, Class PG, 5.500%, 08/25/35		640
	231	Series 2005-73, Class PS, IF, 16.273%, 08/25/35		307
	102	Series 2005-74, Class CS, IF, 19.550%, 05/25/35		138
	196	Series 2005-106, Class US, HB, IF, 23.940%, 11/25/35		293


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	664	Series 2005-121, Class DX, 5.500%, 01/25/26		727
	209	Series 2006-27, Class OH, PO, 04/25/36		198
	66	Series 2006-44, Class P, PO, 12/25/33		62
	411	Series 2006-56, Class FC, VAR, 0.461%, 07/25/36		413
	91	Series 2006-59, Class QO, PO, 01/25/33		89
	66	Series 2006-65, Class QO, PO, 07/25/36		62
	99	Series 2006-72, Class GO, PO, 08/25/36		92
	212	Series 2006-77, Class PC, 6.500%, 08/25/36		242
	81	Series 2006-79, Class DO, PO, 08/25/36		75
	142	Series 2006-110, Class PO, PO, 11/25/36		133
	233	Series 2006-124, Class HB, VAR, 5.984%, 11/25/36		238
	108	Series 2007-14, Class ES, IF, IO, 6.269%, 03/25/37		17
	84	Series 2007-79, Class SB, HB, IF, 23.390%, 08/25/37		120
	500	Series 2007-81, Class GE, 6.000%, 08/25/37		568
	217	Series 2007-88, Class VI, IF, IO, 6.369%, 09/25/37		38
	561	Series 2007-91, Class ES, IF, IO, 6.289%, 10/25/37		89
	112	Series 2007-106, Class A7, VAR, 6.137%, 10/25/37		124
	145	Series 2007-116, Class HI, IO, VAR, 1.489%, 01/25/38		10
	60	Series 2008-10, Class XI, IF, IO, 6.059%, 03/25/38		8
	43	Series 2008-16, Class IS, IF, IO, 6.029%, 03/25/38		7
	84	Series 2008-28, Class QS, HB, IF, 20.187%, 04/25/38		109
	135	Series 2008-46, Class HI, IO, VAR, 1.736%, 06/25/38		11
	112	Series 2009-69, Class PO, PO, 09/25/39		106
	758	Series 2009-71, Class BC, 4.500%, 09/25/24		837
	241	Series 2009-103, Class MB, VAR, 2.316%, 12/25/39		250
	397	Series 2010-71, Class HJ, 5.500%, 07/25/40		456
	648	Series 2010-133, Class A, 5.500%, 05/25/38		693
	1,000	Series 2011-44, Class EB, 3.000%, 05/25/26		1,034
	520	Series 2011-118, Class MT, 7.000%, 11/25/41		598
	483	Series 2011-118, Class NT, 7.000%, 11/25/41		564


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
			Agency CMO — continued
	303		Series 2012-47, Class HF, VAR, 0.571%, 05/25/27		304
	867		Series 2012-112, Class FD, VAR, 0.671%, 10/25/42		875
	463		Series 2013-101, Class DO, PO, 10/25/43		370
	459		Series 2013-128, Class PO, PO, 12/25/43		376
	2		Series G-14, Class L, 8.500%, 06/25/21		2
	9		Series G-18, Class Z, 8.750%, 06/25/21		10
	1		Series G-22, Class G, 6.000%, 12/25/16		1
	8		Series G-35, Class M, 8.750%, 10/25/21		9
	32		Series G92-35, Class E, 7.500%, 07/25/22		36
	2		Series G92-42, Class Z, 7.000%, 07/25/22		2
	17		Series G92-44, Class ZQ, 8.000%, 07/25/22		18
	28		Series G92-54, Class ZQ, 7.500%, 09/25/22		31
	7		Series G93-5, Class Z, 6.500%, 02/25/23		8
	10		Series G95-1, Class C, 8.800%, 01/25/25		12
			Federal National Mortgage Association REMIC Trust,
	144		Series 2003-W1, Class 1A1, VAR, 5.840%, 12/25/42		162
	33		Series 2003-W4, Class 2A, VAR, 6.371%, 10/25/42		38
	30		Series 2007-W7, Class 1A4, HB, IF, 38.154%, 07/25/37		49
			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		—	(h)
	77		Series 300, Class 1, 3.005%, 09/25/24 (n)		74
	13		Series 329, Class 1, 1.936%, 01/25/33 (n)		13
			Federal National Mortgage Association Trust,
	75		Series 2004-W2, Class 2A2, 7.000%, 02/25/44		86
	240		Series 2005-W3, Class 2AF, VAR, 0.391%, 03/25/45		240
			Government National Mortgage Association,
	167		Series 1994-7, Class PQ, 6.500%, 10/16/24		191
	19		Series 1999-30, Class S, IF, IO, 8.428%, 08/16/29		6
	11		Series 2000-9, Class Z, 8.000%, 06/20/30		13
	228		Series 2000-9, Class ZJ, 8.500%, 02/16/30		271
	32		Series 2002-31, Class S, IF, IO, 8.528%, 01/16/31		11
	93		Series 2002-40, Class UK, 6.500%, 06/20/32		109
	88		Series 2002-47, Class PG, 6.500%, 07/16/32		101
	111		Series 2002-47, Class PY, 6.000%, 07/20/32		125
	112		Series 2002-47, Class ZA, 6.500%, 07/20/32		133


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	18	Series 2003-24, Class PO, PO, 03/16/33		16
	304	Series 2003-40, Class TJ, 6.500%, 03/20/33		354
	94	Series 2003-52, Class AP, PO, 06/16/33		89
	24	Series 2004-28, Class S, IF, 19.190%, 04/16/34		35
	58	Series 2004-71, Class SB, HB, IF, 28.612%, 09/20/34		91
	39	Series 2004-73, Class AE, IF, 14.500%, 08/17/34		46
	314	Series 2004-90, Class SI, IF, IO, 5.927%, 10/20/34		47
	94	Series 2005-68, Class DP, IF, 16.019%, 06/17/35		128
	609	Series 2005-68, Class KI, IF, IO, 6.127%, 09/20/35		102
	69	Series 2006-59, Class SD, IF, IO, 6.527%, 10/20/36		12
	242	Series 2007-17, Class JI, IF, IO, 6.638%, 04/16/37		48
	281	Series 2007-27, Class SA, IF, IO, 6.027%, 05/20/37		36
	442	Series 2007-40, Class SB, IF, IO, 6.577%, 07/20/37		64
	269	Series 2007-45, Class QA, IF, IO, 6.467%, 07/20/37		39
	267	Series 2007-50, Class AI, IF, IO, 6.602%, 08/20/37		38
	64	Series 2007-53, Class ES, IF, IO, 6.377%, 09/20/37		9
	67	Series 2007-53, Class SW, IF, 19.685%, 09/20/37		91
	151	Series 2007-57, Class QA, IF, IO, 6.327%, 10/20/37		24
	69	Series 2007-71, Class SB, IF, IO, 6.527%, 07/20/36		4
	140	Series 2007-72, Class US, IF, IO, 6.377%, 11/20/37		21
	139	Series 2007-76, Class SA, IF, IO, 6.356%, 11/20/37		21
	40	Series 2008-25, Class SB, IF, IO, 6.726%, 03/20/38		6
	84	Series 2008-33, Class XS, IF, IO, 7.528%, 04/16/38		18
	239	Series 2008-40, Class SA, IF, IO, 6.228%, 05/16/38		44
	365	Series 2008-50, Class KB, 6.000%, 06/20/38		412
	190	Series 2008-55, Class SA, IF, IO, 6.027%, 06/20/38		23


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
			Agency CMO — continued
	197		Series 2008-93, Class AS, IF, IO, 5.527%, 12/20/38		27
	73		Series 2009-6, Class SA, IF, IO, 5.928%, 02/16/39		9
	87		Series 2009-14, Class NI, IO, 6.500%, 03/20/39		16
	299		Series 2009-22, Class SA, IF, IO, 6.096%, 04/20/39		36
	268		Series 2009-31, Class ST, IF, IO, 6.176%, 03/20/39		36
	268		Series 2009-31, Class TS, IF, IO, 6.127%, 03/20/39		26
	232		Series 2009-79, Class OK, PO, 11/16/37		222
	456		Series 2009-106, Class ST, IF, IO, 5.827%, 02/20/38		71
	124		Series 2010-14, Class AO, PO, 12/20/32		121
	154		Series 2010-130, Class CP, 7.000%, 10/16/40		179
	536		Series 2011-137, Class WA, VAR, 5.526%, 07/20/40		604
	475		Series 2012-H21, Class DF, VAR, 0.818%, 05/20/61		476
	332		Series 2012-H24, Class FA, VAR, 0.618%, 03/20/60		332
	473		Series 2012-H26, Class MA, VAR, 0.718%, 07/20/62		474
	821		Series 2013-91, Class WA, VAR, 4.514%, 04/20/43		878
	325		Series 2013-H03, Class FA, VAR, 0.468%, 08/20/60		325
	493		Series 2013-H07, Class JA, 1.750%, 03/20/63		492
	935		Series 2014-H15, Class FA, VAR, 0.668%, 07/20/64		935
	955		Series 2014-H17, Class FC, VAR, 0.668%, 07/20/64		955
	999		Series 2014-H19, Class FE, VAR, 0.638%, 09/20/64		996
	103		NCUA Guaranteed Notes Trust, Series 2010-R3, Class 3A, 2.400%, 12/08/20		104
	—	(h)	PaineWebber CMO Trust, Series H, Class 4, 8.750%, 04/01/18		—	(h)
			Vendee Mortgage Trust,
	486		Series 1993-1, Class ZB, 7.250%, 02/15/23		555
	224		Series 1994-1, Class 1, VAR, 5.570%, 02/15/24		246
	324		Series 1996-1, Class 1Z, 6.750%, 02/15/26		371
	108		Series 1996-2, Class 1Z, 6.750%, 06/15/26		124


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	426	Series 1997-1, Class 2Z, 7.500%, 02/15/27		502
	105	Series 1998-1, Class 2E, 7.000%, 03/15/28		122

				55,668

		Non-Agency CMO — 3.3%
	479	Ajax Mortgage Loan Trust, Series 2014-A, Class A, SUB, 3.750%, 10/25/57 (e)		478
		Alternative Loan Trust,
	1,889	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		1,904
	319	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		291
		ASG Resecuritization Trust,
	87	Series 2009-1, Class A60, VAR, 2.048%, 06/26/37 (e)		86
	231	Series 2009-3, Class A65, VAR, 2.045%, 03/26/37 (e)		229
		Banc of America Alternative Loan Trust,
	62	Series 2003-7, Class 2A4, 5.000%, 09/25/18		62
	6	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		6
	33	Series 2003-11, Class PO, PO, 01/25/34		29
	33	Banc of America Funding Trust, Series 2004-1, Class PO, PO, 03/25/34		27
		Banc of America Mortgage Trust,
	16	Series 2003-8, Class APO, PO, 11/25/33		13
	12	Series 2004-1, Class APO, PO, 02/25/34		11
	42	Series 2004-3, Class 1A26, 5.500%, 04/25/34		43
	20	Series 2004-6, Class APO, PO, 07/25/34		18
		BCAP LLC Trust,
	329	Series 2010-RR7, Class 2A1, VAR, 2.072%, 07/26/45 (e)		330
	281	Series 2011-RR10, Class 2A1, VAR, 0.988%, 09/26/37 (e)		258
	6	Series 2011-RR5, Class 14A3, VAR, 3.681%, 07/26/36 (e)		6
	149	Series 2012-RR2, Class 1A1, VAR, 0.340%, 08/26/36 (e)		146
	98	Bear Stearns ARM Trust, Series 2005-5, Class A1, VAR, 2.220%, 08/25/35		99
	41	CAM Mortgage Trust, Series 2014-2, Class A, SUB, 2.600%, 05/15/48 (e)		40
		CHL Mortgage Pass-Through Trust,
	10	Series 2003-J13, Class PO, PO, 01/25/34		8
	17	Series 2003-J7, Class 4A3, IF, 9.552%, 08/25/18		17


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	71	Series 2004-5, Class 1A4, 5.500%, 06/25/34		74
	29	Series 2004-HYB3, Class 2A, VAR, 2.203%, 06/20/34		28
	306	Series 2005-22, Class 2A1, VAR, 2.448%, 11/25/35		259
		Citigroup Mortgage Loan Trust,
	136	Series 2008-AR4, Class 1A1A, VAR, 2.720%, 11/25/38 (e)		136
	181	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		186
		Citigroup Mortgage Loan Trust, Inc.,
	29	Series 2003-UP3, Class A3, 7.000%, 09/25/33		31
	21	Series 2003-UST1, Class A1, 5.500%, 12/25/18		21
	2	Series 2003-UST1, Class PO1, PO, 12/25/18		2
	3	Series 2003-UST1, Class PO3, PO, 12/25/18		3
	334	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		340
	32	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 2A5, 5.000%, 10/25/18		32
		CSMC,
	76	Series 2011-9R, Class A1, VAR, 2.169%, 03/27/46 (e)		77
	78	Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)		78
	666	CSMC Trust, Series 2010-11R, Class A6, VAR, 1.171%, 06/28/47 (e)		640
	125	Deutsche Alt-A Securities, Inc., Mortgage Loan Trust, Series 2005-3, Class 1A1, VAR, 5.304%, 06/25/20		125
	13	Deutsche Mortgage Securities, Inc., Mortgage Loan Trust, Series 2004-1, Class 2APO, PO, 10/25/18		13
	60	FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/18 (e)		60
		First Horizon Mortgage Pass-Through Trust,
	139	Series 2004-AR7, Class 2A2, VAR, 2.572%, 02/25/35		139
	160	Series 2005-AR1, Class 2A2, VAR, 2.573%, 04/25/35		159
	282	GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3, 5.500%, 02/25/36		261
	50	Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO, PO, 04/25/33		29


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	239	IndyMac INDX Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.000%, 08/25/35		—	(h)
		JP Morgan Mortgage Trust,
	63	Series 2006-A2, Class 4A1, VAR, 2.503%, 08/25/34		63
	218	Series 2006-A2, Class 5A3, VAR, 2.431%, 11/25/33		218
		MASTR Adjustable Rate Mortgages Trust,
	40	Series 2004-3, Class 4A2, VAR, 2.267%, 04/25/34		37
	184	Series 2004-13, Class 2A1, VAR, 2.643%, 04/21/34		185
		MASTR Alternative Loan Trust,
	150	Series 2003-9, Class 8A1, 6.000%, 01/25/34		150
	327	Series 2004-4, Class 10A1, 5.000%, 05/25/24		346
	25	Series 2004-7, Class 30PO, PO, 08/25/34		19
	25	Series 2004-10, Class 1A1, 4.500%, 09/25/19		26
	111	Series 2005-6, Class 3A1, 5.500%, 11/25/20		108
		MASTR Asset Securitization Trust,
	42	Series 2003-2, Class 1A1, 5.000%, 03/25/18		42
	6	Series 2004-8, Class PO, PO, 08/25/19		6
	67	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		53
		Merrill Lynch Mortgage Investors Trust,
	307	Series 2003-E, Class A1, VAR, 0.791%, 10/25/28		294
	106	Series 2004-A, Class A1, VAR, 0.631%, 04/25/29		103
	48	MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.811%, 02/25/35		47
	62	NACC Reperforming Loan REMIC Trust,
		Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		63
		Nomura Asset Acceptance Corp. Alternative Loan Trust,
	39	Series 2003-A1, Class A1, 5.500%, 05/25/33		40
	23	Series 2003-A1, Class A2, 6.000%, 05/25/33		24
	10	Series 2003-A1, Class A5, 7.000%, 04/25/33		10
		RALI Trust,
	19	Series 2002-QS16, Class A3, IF, 16.265%, 10/25/17		19


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	95	Series 2002-QS8, Class A5, 6.250%, 06/25/17		96
	29	Series 2003-QS3, Class A2, IF, 16.124%, 02/25/18		32
	114	Series 2003-QS9, Class A3, IF, IO, 7.379%, 05/25/18		11
	134	Series 2004-QS3, Class CB, 5.000%, 03/25/19		137
	111	Reperforming Loan REMIC Trust, Series 2005-R1, Class 2APO, PO, 03/25/35 (e)		96
	11	Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.750%, 02/25/19		11
		Salomon Brothers Mortgage Securities VII, Inc.,
	65	Series 2003-HYB1, Class A, VAR, 2.494%, 09/25/33		66
	2	Series 2003-UP2, Class PO1, PO, 12/25/18		2
		Springleaf Mortgage Loan Trust,
	204	Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e)		207
	150	Series 2012-3A, Class A, VAR, 1.570%, 12/25/59 (e)		150
	103	Series 2012-3A, Class M1, VAR, 2.660%, 12/25/59 (e)		103
	106	Series 2013-1A, Class A, VAR, 1.270%, 06/25/58 (e)		106
	240	Series 2013-2A, Class A, VAR, 1.780%, 12/25/65 (e)		239
	125	Series 2013-2A, Class M1, VAR, 3.520%, 12/25/65 (e)		127
	194	Series 2013-3A, Class A, VAR, 1.870%, 09/25/57 (e)		193
	306	Series 2013-3A, Class M1, VAR, 3.790%, 09/25/57 (e)		308
	102	Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-33H, Class 1A1, 5.500%, 10/25/33		104
	56	Structured Asset Securities Corp. Trust, Series 2005-6, Class 4A1, 5.000%, 05/25/35		57
	116	VML LLC, Series 2014-NPL1, Class A1, VAR, 3.875%, 04/25/54 (e)		116
		WaMu Mortgage Pass-Through Certificates Trust,
	23	Series 2002-S8, Class 2A7, 5.250%, 01/25/18		23
	140	Series 2003-AR5, Class A7, VAR, 2.443%, 06/25/33		141
	72	Series 2004-AR3, Class A2, VAR, 2.368%, 06/25/34		73


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	265	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7, 5.500%, 06/25/35		245
		Washington Mutual MSC Mortgage Pass-Through Certificates Trust,
	35	Series 2003-MS2, Class 1A1, 5.750%, 02/25/33		38
	8	Series 2003-MS7, Class P, PO, 03/25/33		6
	158	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		156
		Wells Fargo Mortgage-Backed Securities Trust,
	53	Series 2003-K, Class 1A1, VAR, 2.490%, 11/25/33		53
	81	Series 2004-EE, Class 3A1, VAR, 2.496%, 12/25/34		82
	271	Series 2004-P, Class 2A1, VAR, 2.613%, 09/25/34		272
	458	Series 2005-AR3, Class 1A1, VAR, 2.619%, 03/25/35		461

				12,358

		Total Collateralized Mortgage Obligations (Cost $64,950)		68,026

	Commercial Mortgage-Backed Securities — 2.2%
		A10 Term Asset Financing LLC,
	403	Series 2013-2, Class A, 2.620%, 11/15/27 (e)		405
	250	Series 2014-1, Class A1, 1.720%, 04/15/33 (e)		250
		Banc of America Commercial Mortgage Trust,
	50	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		51
	277	Series 2006-4, Class A4, 5.634%, 07/10/46		288
	300	Series 2007-5, Class A4, 5.492%, 02/10/51		319
	150	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-3, Class AM, 4.727%, 07/10/43		151
	200	BB-UBS Trust, Series 2012-TFT, Class A, 2.892%, 06/05/30 (e)		198
	343	Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW11, Class A4, VAR, 5.435%, 03/11/39		353
	13,497	CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.373%, 12/11/49 (e)		85
		COMM Mortgage Trust,
	500	Series 2012-9W57, Class A, 2.365%, 02/10/29 (e)		511


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — continued
	423	Series 2014-KYO, Class A, VAR, 1.072%, 06/11/27 (e)		421
	132	Series 2014-PAT, Class A, VAR, 0.972%, 08/13/27 (e)		132
	300	Series 2014-TWC, Class A, VAR, 1.022%, 02/13/32 (e)		299
	38	Commercial Mortgage Pass-Through Certificates, Series 2012-MVP, Class A, VAR, 2.112%, 11/17/26 (e)		38
	202	CSMC, Series 2014-ICE, Class A, VAR, 1.050%, 04/15/27 (e)		201
	33	DBRR Trust, Series 2013-EZ2, Class A, VAR, 0.853%, 02/25/45 (e)		33
		Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates,
	1,000	Series K037, Class A2, 3.490%, 01/25/24		1,077
	500	Series KSMC, Class A2, 2.615%, 01/25/23		507
	239	GMAC Commercial Mortgage Securities, Inc. Trust, Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		242
	49	LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31		50
	282	Morgan Stanley Re-REMIC Trust, Series 2012-XA, Class A, 2.000%, 07/27/49 (e)		282
	638	NCUA Guaranteed Notes Trust, Series 2010-C1, Class APT, 2.650%, 10/29/20		646
		NorthStar, (Cayman Islands),
	324	Series 2013-1A, Class A, VAR, 2.018%, 08/25/29 (e)		324
	250	Series 2013-1A, Class B, VAR, 5.168%, 08/25/29 (e)		252
	140	ORES NPL LLC, Series 2013-LV2, Class A, 3.081%, 09/25/25 (e)		140
	245	RAIT Trust, Series 2014-FL3, Class A, VAR, 1.422%, 12/15/31 (e)		245
	32	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.556%, 08/15/39		32
	116	UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e)		121
	104	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.525%, 05/10/63		110
	500	VNDO Mortgage Trust, Series 2013-PENN, Class A, 3.808%, 12/13/29 (e)		534
	133	Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e)		133

		Total Commercial Mortgage-Backed Securities (Cost $8,257)		8,430


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — 17.8%
		Consumer Discretionary — 1.0%
		Auto Components — 0.0% (g)
	99	Johnson Controls, Inc., 3.750%, 12/01/21		104

		Automobiles — 0.1%
		Daimler Finance North America LLC,
	150	1.650%, 04/10/15 (e)		150
	150	1.875%, 01/11/18 (e)		151
	150	2.625%, 09/15/16 (e)		154

				455

		Internet & Catalog Retail — 0.1%
	197	Amazon.com, Inc., 3.300%, 12/05/21		205

		Media — 0.5%
		21st Century Fox America, Inc.,
	100	7.250%, 05/18/18		117
	100	7.700%, 10/30/25		132
		CBS Corp.,
	25	3.375%, 03/01/22		25
	94	3.700%, 08/15/24		96
	25	5.750%, 04/15/20		29
	100	Comcast Corp., 5.900%, 03/15/16		105
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	26	3.950%, 01/15/25		27
	150	4.600%, 02/15/21		163
	353	5.000%, 03/01/21		391
	78	Discovery Communications LLC, 4.375%, 06/15/21		84
		Thomson Reuters Corp., (Canada),
	51	3.850%, 09/29/24		52
	105	3.950%, 09/30/21		112
	60	4.700%, 10/15/19		66
		Time Warner Cable, Inc.,
	57	5.850%, 05/01/17		62
	50	6.750%, 07/01/18		58
	150	8.250%, 04/01/19		183
	35	8.750%, 02/14/19		43
		Viacom, Inc.,
	37	2.750%, 12/15/19		38
	50	3.125%, 06/15/22		49
	11	3.250%, 03/15/23		11
	43	3.875%, 12/15/21		45
	50	4.500%, 03/01/21		54
	15	6.250%, 04/30/16		16
	42	Walt Disney Co. (The), 0.450%, 12/01/15		42

				2,000


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Multiline Retail — 0.2%
	40	Kohl’s Corp., 6.250%, 12/15/17		45
		Macy’s Retail Holdings, Inc.,
	37	2.875%, 02/15/23		37
	49	4.375%, 09/01/23		53
	25	7.450%, 07/15/17		28
	35	Nordstrom, Inc., 4.000%, 10/15/21		38
	400	Target Corp., 6.000%, 01/15/18		452

				653

		Specialty Retail — 0.1%
	32	Bed Bath & Beyond, Inc., 4.915%, 08/01/34		34
	59	Gap, Inc. (The), 5.950%, 04/12/21		68
	130	Home Depot, Inc. (The), 5.400%, 03/01/16		136

				238

		Total Consumer Discretionary		3,655

		Consumer Staples — 0.8%
		Beverages — 0.2%
	75	Anheuser-Busch Cos. LLC, 5.500%, 01/15/18		84
	150	Anheuser-Busch InBev Finance, Inc., 3.700%, 02/01/24		159
	36	Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19		43
	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		31
	85	FBG Finance Pty Ltd., (Australia), 5.125%, 06/15/15 (e)		86
	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

				788

		Food & Staples Retailing — 0.2%
	86	Costco Wholesale Corp., 2.250%, 02/15/22		86
	179	CVS Health Corp., 4.000%, 12/05/23		194
	52	CVS Pass-Through Trust, 5.926%, 01/10/34 (e)		61
		Kroger Co. (The),
	50	2.200%, 01/15/17		51
	90	4.000%, 02/01/24		96
	30	6.150%, 01/15/20		35
	75	6.400%, 08/15/17		84


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	37	Sysco Corp., 3.000%, 10/02/21		38
	94	Walgreen Co., 3.100%, 09/15/22		95
	91	Walgreens Boots Alliance, Inc., 3.300%, 11/18/21		94

				834

		Food Products — 0.3%
	135	Bunge Ltd. Finance Corp., 8.500%, 06/15/19		165
	14	Bunge N.A. Finance LP, 5.900%, 04/01/17		15
		Cargill, Inc.,
	100	3.300%, 03/01/22 (e)		104
	106	4.307%, 05/14/21 (e)		118
	24	ConAgra Foods, Inc., 2.100%, 03/15/18		24
		Kraft Foods Group, Inc.,
	30	3.500%, 06/06/22		31
	22	5.375%, 02/10/20		25
	332	6.125%, 08/23/18		377
	150	Mondelez International, Inc., 4.000%, 02/01/24		162
	73	Tyson Foods, Inc., 3.950%, 08/15/24		78

				1,099

		Household Products — 0.1%
	20	Kimberly-Clark Corp., 2.400%, 03/01/22		20
	57	Procter & Gamble—ESOP, Series A, 9.360%, 01/01/21		71

				91

		Total Consumer Staples		2,812

		Energy — 1.6%
		Energy Equipment & Services — 0.1%
	14	Cameron International Corp., 4.000%, 12/15/23		14
	107	Halliburton Co., 3.500%, 08/01/23		112
	60	Nabors Industries, Inc., 5.000%, 09/15/20		59
	15	National Oilwell Varco, Inc., 1.350%, 12/01/17		15
	47	Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e)		49
		Transocean, Inc., (Cayman Islands),
	39	3.800%, 10/15/22		30
	35	6.375%, 12/15/21		31
	100	6.500%, 11/15/20		89
	33	Weatherford International Ltd., (Bermuda), 4.500%, 04/15/22		30

				429

		Marine — 0.0% (g)
	12	Noble Holding International Ltd., (Cayman Islands), 4.625%, 03/01/21		11


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Oil, Gas & Consumable Fuels — 1.5%
		Apache Corp.,
	42	3.250%, 04/15/22		42
	25	6.900%, 09/15/18		29
	29	Boardwalk Pipelines LP, 4.950%, 12/15/24		30
		BP Capital Markets plc, (United Kingdom),
	20	1.375%, 11/06/17		20
	233	2.237%, 05/10/19		235
	256	2.750%, 05/10/23		252
	66	3.814%, 02/10/24		69
	100	4.742%, 03/11/21		111
		Buckeye Partners LP,
	40	4.875%, 02/01/21		42
	25	5.850%, 11/15/43		25
		Canadian Natural Resources Ltd., (Canada),
	25	3.900%, 02/01/25		25
	150	5.900%, 02/01/18		166
	21	Cenovus Energy, Inc., (Canada), 3.000%, 08/15/22		20
	40	Chevron Corp., 2.355%, 12/05/22		39
	200	CNOOC Nexen Finance 2014 ULC, (Canada), 4.250%, 04/30/24		212
	150	ConocoPhillips, 5.750%, 02/01/19		172
	190	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		204
	58	Ecopetrol S.A., (Colombia), 4.125%, 01/16/25		55
	80	Encana Corp., (Canada), 6.500%, 05/15/19		91
	89	Energy Transfer Partners LP, 3.600%, 02/01/23		89
	200	Eni S.p.A., (Italy), 4.150%, 10/01/20 (e)		210
		Enterprise Products Operating LLC,
	37	3.750%, 02/15/25		38
	49	3.900%, 02/15/24		52
		EOG Resources, Inc.,
	23	2.625%, 03/15/23		23
	100	4.100%, 02/01/21		107
	150	Gulf South Pipeline Co. LP, 4.000%, 06/15/22		148
	50	Magellan Midstream Partners LP, 6.550%, 07/15/19		59
		Marathon Oil Corp.,
	228	5.900%, 03/15/18		252
	175	6.000%, 10/01/17		195
	67	Marathon Petroleum Corp., 3.625%, 09/15/24		68
	35	Occidental Petroleum Corp., 1.750%, 02/15/17		35
		Petrobras Global Finance B.V., (Netherlands),
	84	4.375%, 05/20/23		69
	90	5.375%, 01/27/21		80
	295	6.250%, 03/17/24		270
	50	7.875%, 03/15/19		50


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — continued
	97	Petro-Canada, (Canada), 6.050%, 05/15/18		109
		Petroleos Mexicanos, (Mexico),
	59	4.250%, 01/15/25 (e)		59
	69	4.875%, 01/18/24		74
	43	Phillips 66, 2.950%, 05/01/17		45
		Plains All American Pipeline LP/PAA
		Finance Corp.,
	59	2.600%, 12/15/19		59
	100	3.600%, 11/01/24		103
	200	Sinopec Group Overseas Development 2013 Ltd., (United Kingdom), 4.375%, 10/17/23 (e)		215
		Spectra Energy Capital LLC,
	150	5.650%, 03/01/20		165
	140	6.200%, 04/15/18		156
	50	8.000%, 10/01/19		61
	79	Spectra Energy Partners LP, 2.950%, 09/25/18		82
		Statoil ASA, (Norway),
	143	2.650%, 01/15/24		141
	42	2.900%, 11/08/20		44
	67	3.125%, 08/17/17		70
	83	3.150%, 01/23/22		86
	50	Talisman Energy, Inc., (Canada), 7.750%, 06/01/19		58
		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		154
	175	Total Capital S.A., (France), 2.300%, 03/15/16		178
		TransCanada PipeLines Ltd., (Canada),
	100	6.500%, 08/15/18		115
	30	7.125%, 01/15/19		35

				5,740

		Total Energy		6,180

		Financials — 9.3%
		Banks — 3.9%
	200	ABN AMRO Bank N.V., (Netherlands), 2.500%, 10/30/18 (e)		203
		ANZ New Zealand International Ltd., (New Zealand),
	200	2.600%, 09/23/19 (e)		204
	100	3.125%, 08/10/15 (e)		101
	250	Australia & New Zealand Banking Group Ltd., (Australia), 2.400%, 11/23/16 (e)		256


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Banks — continued
		Bank of America Corp.,
	42	4.100%, 07/24/23		45
	100	5.000%, 05/13/21		113
	130	5.625%, 07/01/20		150
	300	Series L, 5.650%, 05/01/18		333
	150	5.700%, 01/24/22		175
	170	5.750%, 12/01/17		188
	50	5.875%, 01/05/21		58
	814	6.400%, 08/28/17		906
	100	6.500%, 08/01/16		107
	266	6.875%, 04/25/18		305
	85	Bank of Montreal, (Canada), 2.550%, 11/06/22		85
		Bank of Nova Scotia (The), (Canada),
	121	1.650%, 10/29/15 (e)		122
	175	2.550%, 01/12/17		180
	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)		202
	250	6.050%, 12/04/17 (e)		276
		BB&T Corp.,
	125	3.950%, 04/29/16		129
	100	5.250%, 11/01/19		113
	300	Capital One Bank USA N.A., 3.375%, 02/15/23		302
		Citigroup, Inc.,
	106	1.800%, 02/05/18		106
	350	2.400%, 02/18/20		349
	135	3.375%, 03/01/23		138
	73	3.750%, 06/16/24		76
	59	4.750%, 05/19/15		59
	14	5.375%, 08/09/20		16
	115	5.500%, 09/13/25		130
	13	6.000%, 08/15/17		14
	300	6.125%, 11/21/17		335
		Comerica, Inc.,
	55	3.000%, 09/16/15		56
	16	3.800%, 07/22/26		16
	250	Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e)		256
		Cooperatieve Centrale Raiffeisen- Boerenleenbank B.A., (Netherlands),
	250	3.200%, 03/11/15 (e)		250
	34	3.375%, 01/19/17		36
	118	3.875%, 02/08/22		127
	350	Fifth Third Bancorp, 5.450%, 01/15/17		375


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Banks — continued
		HSBC Holdings plc, (United Kingdom),
	196	4.000%, 03/30/22		211
	300	4.875%, 01/14/22		339
	50	KeyCorp, 5.100%, 03/24/21		57
	300	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		337
	200	Mizuho Bank Ltd., (Japan), 2.650%, 09/25/19 (e)		203
	36	MUFG Americas Holdings Corp., 2.250%, 02/10/20		36
		National Australia Bank Ltd., (Australia),
	300	2.750%, 09/28/15 (e)		304
	100	3.750%, 03/02/15 (e)		100
	300	Nordea Bank AB, (Sweden), 3.125%, 03/20/17 (e)		311
		PNC Funding Corp.,
	133	4.375%, 08/11/20		147
	265	5.125%, 02/08/20		301
	110	5.250%, 11/15/15		113
	115	5.625%, 02/01/17		124
		Royal Bank of Canada, (Canada),
	150	1.875%, 02/05/20		149
	239	2.000%, 10/01/18		242
	125	2.200%, 07/27/18		128
	200	2.300%, 07/20/16		204
	250	Stadshypotek AB, (Sweden), 1.875%, 10/02/19 (e)		250
	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)		237
	104	2.250%, 11/05/19		105
	150	U.S. Bancorp, 2.450%, 07/27/15		151
	250	U.S. Bank N.A., 2.800%, 01/27/25		250
	850	Wachovia Corp., 5.750%, 02/01/18		951
		Wells Fargo & Co.,
	99	3.000%, 02/19/25		99
	237	4.480%, 01/16/24		258
	415	5.625%, 12/11/17		462
	500	SUB, 3.676%, 06/15/16		519
	250	Wells Fargo Bank N.A., 6.000%, 11/15/17		280
	285	Westpac Banking Corp., (Australia), 4.875%, 11/19/19		319

				14,699


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Capital Markets — 1.9%
	120	Ameriprise Financial, Inc., 4.000%, 10/15/23		129
		Bank of New York Mellon Corp. (The),
	250	Series 1, 2.950%, 06/18/15		252
	150	3.250%, 09/11/24		155
	100	3.650%, 02/04/24		106
	75	4.600%, 01/15/20		84
	326	BlackRock, Inc., Series 2, 5.000%, 12/10/19		370
	150	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		175
	40	Charles Schwab Corp. (The), 3.225%, 09/01/22		41
	69	Deutsche Bank AG, (Germany), 1.875%, 02/13/18		69
		Goldman Sachs Group, Inc. (The),
	100	1.600%, 11/23/15		101
	48	2.550%, 10/23/19		48
	68	2.625%, 01/31/19		69
	100	3.300%, 05/03/15		100
	255	3.625%, 02/07/16		261
	66	3.700%, 08/01/15		67
	120	4.000%, 03/03/24		127
	68	5.375%, 03/15/20		77
	80	5.750%, 01/24/22		94
	1,100	5.950%, 01/18/18		1,226
	250	7.500%, 02/15/19		299
	200	ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e)		209
	71	Invesco Finance plc, (United Kingdom), 4.000%, 01/30/24		75
		Jefferies Group LLC,
	111	3.875%, 11/09/15		113
	150	5.125%, 04/13/18		158
	45	6.875%, 04/15/21		51
	80	8.500%, 07/15/19		96
		Macquarie Bank Ltd., (Australia),
	93	2.000%, 08/15/16 (e)		94
	263	5.000%, 02/22/17 (e)		281
		Macquarie Group Ltd., (Australia),
	150	6.000%, 01/14/20 (e)		170
	40	6.250%, 01/14/21 (e)		47
		Morgan Stanley,
	40	2.650%, 01/27/20		40
	83	3.700%, 10/23/24		86
	104	4.000%, 07/24/15		105
	93	5.000%, 11/24/25		102
	166	5.500%, 07/24/20		190


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Capital Markets — continued
	100	5.500%, 07/28/21		116
	450	5.625%, 09/23/19		511
	100	5.750%, 01/25/21		116
	100	6.625%, 04/01/18		114
	100	7.300%, 05/13/19		119
		Nomura Holdings, Inc., (Japan),
	85	4.125%, 01/19/16		87
	84	6.700%, 03/04/20		101
		State Street Corp.,
	36	3.100%, 05/15/23		36
	192	3.700%, 11/20/23		206
		UBS AG, (Switzerland),
	100	5.750%, 04/25/18		112
	100	5.875%, 12/20/17		112

				7,297

		Consumer Finance — 1.0%
	139	American Express Credit Corp., 2.800%, 09/19/16		143
		American Honda Finance Corp.,
	200	2.125%, 02/28/17 (e)		205
	83	2.250%, 08/15/19		84
		Capital One Financial Corp.,
	125	3.200%, 02/05/25		123
	110	3.500%, 06/15/23		112
		Caterpillar Financial Services Corp.,
	250	1.000%, 11/25/16		251
	206	2.250%, 12/01/19		209
	58	2.850%, 06/01/22		59
	100	5.500%, 03/15/16		105
	65	7.050%, 10/01/18		77
	100	7.150%, 02/15/19		119
		Ford Motor Credit Co. LLC,
	550	2.375%, 03/12/19		557
	200	3.000%, 06/12/17		207
	200	4.250%, 09/20/22		217
	180	HSBC USA, Inc., 2.350%, 03/05/20		180
		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		204


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Consumer Finance — continued
	100	2.050%, 01/12/17		102
	105	2.100%, 01/17/19		107
	154	3.200%, 06/17/15		155

				3,670

		Diversified Financial Services — 1.3%
	161	Associates Corp. of North America, 6.950%, 11/01/18		188
	425	Bank of America N.A., 5.300%, 03/15/17		456
		Berkshire Hathaway, Inc.,
	638	3.400%, 01/31/22		674
	98	3.750%, 08/15/21		107
	25	Countrywide Financial Corp., 6.250%, 05/15/16		26
		General Electric Capital Corp.,
	17	1.000%, 12/11/15		17
	220	4.375%, 09/16/20		244
	800	4.650%, 10/17/21		907
	500	5.400%, 02/15/17		543
	140	5.500%, 01/08/20		162
	335	5.625%, 05/01/18		377
		Intercontinental Exchange, Inc.,
	47	2.500%, 10/15/18		48
	88	4.000%, 10/15/23		95
		Private Export Funding Corp.,
	500	Series EE, 2.800%, 05/15/22		518
	200	Series KK, 3.550%, 01/15/24		215
		Shell International Finance B.V., (Netherlands),
	42	1.125%, 08/21/17		42
	184	3.100%, 06/28/15		186
	195	4.375%, 03/25/20		218
	100	Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)		108

				5,131

		Insurance — 0.8%
		ACE INA Holdings, Inc.,
	45	2.600%, 11/23/15		46
	50	5.600%, 05/15/15		50
	61	Allstate Corp. (The), 3.150%, 06/15/23		62
		American International Group, Inc.,
	59	4.125%, 02/15/24		64
	350	5.450%, 05/18/17		381
	45	Aon Corp., 3.500%, 09/30/15		46
		Berkshire Hathaway Finance Corp.,
	65	1.300%, 05/15/18		65
	150	5.400%, 05/15/18		170


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Insurance — continued
	90	CNA Financial Corp., 5.875%, 08/15/20		104
	80	Jackson National Life Global Funding, 4.700%, 06/01/18 (e)		87
	41	Liberty Mutual Group, Inc., 5.000%, 06/01/21 (e)		46
	35	Lincoln National Corp., 4.200%, 03/15/22		37
		MassMutual Global Funding II,
	300	2.000%, 04/05/17 (e)		304
	100	3.125%, 04/14/16 (e)		103
		Metropolitan Life Global Funding I,
	207	1.500%, 01/10/18 (e)		207
	200	2.500%, 09/29/15 (e)		202
	175	3.650%, 06/14/18 (e)		186
	100	3.875%, 04/11/22 (e)		107
		New York Life Global Funding,
	73	2.150%, 06/18/19 (e)		73
	125	3.000%, 05/04/15 (e)		126
	150	Pacific Life Global Funding, 5.000%, 05/15/17 (e)		160
	16	Principal Financial Group, Inc., 1.850%, 11/15/17		16
		Principal Life Global Funding II,
	35	1.000%, 12/11/15 (e)		35
	106	2.250%, 10/15/18 (e)		108
	150	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		205

				2,990

		Real Estate Investment Trusts (REITs) — 0.4%
		American Tower Corp.,
	80	3.500%, 01/31/23		78
	38	5.000%, 02/15/24		42
		American Tower Trust I,
	45	1.551%, 03/15/18 (e)		44
	100	Class 2A, 3.070%, 03/15/23 (e)		100
		Equity Commonwealth,
	125	5.875%, 09/15/20		138
	150	6.650%, 01/15/18		165
	27	ERP Operating LP, 4.625%, 12/15/21		30
		HCP, Inc.,
	52	2.625%, 02/01/20		52
	38	3.400%, 02/01/25		37
	23	3.875%, 08/15/24		24
	17	4.200%, 03/01/24		18
	38	4.250%, 11/15/23		40
	92	5.375%, 02/01/21		103


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Real Estate Investment Trusts (REITs) — continued
	73	Health Care REIT, Inc., 4.500%, 01/15/24		79
	53	Prologis LP, 4.250%, 08/15/23		57
		Simon Property Group LP,
	100	3.375%, 10/01/24		103
	81	4.125%, 12/01/21		88
	40	4.375%, 03/01/21		44
	50	5.650%, 02/01/20		58
	50	6.125%, 05/30/18		57
		Ventas Realty LP,
	27	3.500%, 02/01/25		27
	44	3.750%, 05/01/24		45

				1,429

		Total Financials		35,216

		Health Care — 0.6%
		Biotechnology — 0.2%
		Amgen, Inc.,
	400	3.875%, 11/15/21		429
	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		46
	57	Gilead Sciences, Inc., 3.500%, 02/01/25		60

				729

		Health Care Equipment & Supplies — 0.0% (g)
	50	Baxter International, Inc., 4.625%, 03/15/15		50
	40	Becton Dickinson and Co., 5.000%, 05/15/19		45

				95

		Health Care Providers & Services — 0.2%
		Anthem, Inc.,
	93	2.300%, 07/15/18		94
	115	3.125%, 05/15/22		117
	45	Cardinal Health, Inc., 2.400%, 11/15/19		45
	72	Express Scripts Holding Co., 3.500%, 06/15/24		74
	64	Laboratory Corp. of America Holdings, 3.200%, 02/01/22		64
	17	McKesson Corp., 0.950%, 12/04/15		17
	50	Medco Health Solutions, Inc., 2.750%, 09/15/15		50
	112	UnitedHealth Group, Inc., 3.375%, 11/15/21		119

				580


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Life Sciences Tools & Services — 0.0% (g)
		Thermo Fisher Scientific, Inc.,
	22	1.300%, 02/01/17		22
	69	4.150%, 02/01/24		74

				96

		Pharmaceuticals — 0.2%
		AbbVie, Inc.,
	119	1.750%, 11/06/17		120
	87	2.900%, 11/06/22		87
	69	Forest Laboratories, Inc., 5.000%, 12/15/21 (e)		76
	150	GlaxoSmithKline Capital, Inc., 5.650%, 05/15/18		169
		Merck & Co., Inc.,
	75	1.300%, 05/18/18		75
	64	2.350%, 02/10/22		63
	62	2.400%, 09/15/22		62
	30	3.700%, 02/10/45		30

				682

		Total Health Care		2,182

		Industrials — 1.1%
		Aerospace & Defense — 0.1%
	43	Airbus Group Finance B.V., (Netherlands), 2.700%, 04/17/23 (e)		43
		BAE Systems Holdings, Inc.,
	68	3.800%, 10/07/24 (e)		71
	70	6.375%, 06/01/19 (e)		81
	100	Honeywell International, Inc., 5.300%, 03/01/18		112
	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		58

				456

		Air Freight & Logistics — 0.2%
	511	Federal Express Corp. 1998 Pass-Through Trust, 6.720%, 01/15/22		593
	115	United Parcel Service of America, Inc., 8.375%, 04/01/20		148

				741

		Airlines — 0.1%
	183	American Airlines 2013-2 Class A Pass-Through Trust, 4.950%, 01/15/23		200
	29	Continental Airlines 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20		33
	54	Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		58

				291


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Commercial Services & Supplies — 0.0% (g)
		ADT Corp. (The),
	70	3.500%, 07/15/22		64
	24	4.125%, 06/15/23		23
	50	Pitney Bowes, Inc., 5.600%, 03/15/18		54

				141

		Construction & Engineering — 0.1%
		ABB Finance USA, Inc.,
	32	1.625%, 05/08/17		32
	41	2.875%, 05/08/22		42
	70	Fluor Corp., 3.375%, 09/15/21		73

				147

		Electrical Equipment — 0.0% (g)
		Eaton Corp.,
	27	1.500%, 11/02/17		27
	50	5.600%, 05/15/18		56

				83

		Industrial Conglomerates — 0.1%
	175	General Electric Co., 3.375%, 03/11/24		186
	34	Ingersoll-Rand Global Holding Co., Ltd., 4.250%, 06/15/23		37
	152	Koninklijke Philips N.V., (Netherlands), 3.750%, 03/15/22		161

				384

		Machinery — 0.1%
		Caterpillar, Inc.,
	74	1.500%, 06/26/17		75
	31	2.600%, 06/26/22		31
	89	Deere & Co., 2.600%, 06/08/22		89
	25	Parker-Hannifin Corp., 5.500%, 05/15/18		28

				223

		Road & Rail — 0.4%
		Burlington Northern Santa Fe LLC,
	43	3.050%, 03/15/22		44
	32	3.450%, 09/15/21		34
	19	3.600%, 09/01/20		20
	100	3.750%, 04/01/24		107
	100	5.650%, 05/01/17		109
	55	Canadian Pacific Railway Co., (Canada), 4.500%, 01/15/22		61
		CSX Corp.,
	100	3.400%, 08/01/24		104
	10	6.250%, 04/01/15		10
	30	7.375%, 02/01/19		36
	50	7.900%, 05/01/17		57


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Road & Rail — continued
		ERAC USA Finance LLC,
	48	2.750%, 03/15/17 (e)		49
	27	4.500%, 08/16/21 (e)		30
		Norfolk Southern Corp.,
	138	3.250%, 12/01/21		143
	50	7.700%, 05/15/17		57
		Penske Truck Leasing Co. LP/PTL Finance Corp.,
	53	2.875%, 07/17/18 (e)		54
	141	3.375%, 02/01/22 (e)		140
		Ryder System, Inc.,
	48	2.500%, 03/01/17		49
	55	3.600%, 03/01/16		56
		Union Pacific Corp.,
	21	2.950%, 01/15/23		22
	75	3.646%, 02/15/24		81
	233	4.163%, 07/15/22		261

				1,524

		Total Industrials		3,990

		Information Technology — 1.0%
		Communications Equipment — 0.0% (g)
	55	Cisco Systems, Inc., 2.900%, 03/04/21		57

		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		113
	63	7.500%, 01/15/27		76

				295

		Internet Software & Services — 0.0% (g)
		eBay, Inc.,
	62	2.600%, 07/15/22		59
	63	2.875%, 08/01/21		62

				121

		IT Services — 0.3%
		International Business Machines Corp.,
	126	1.250%, 02/06/17		127
	309	1.625%, 05/15/20		305
	350	7.625%, 10/15/18		423
		Xerox Corp.,
	39	2.950%, 03/15/17		40
	50	5.625%, 12/15/19		56
	40	6.750%, 02/01/17		44

				995


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		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		27
		Microsoft Corp.,
	23	0.875%, 11/15/17		23
	120	1.625%, 09/25/15		121
	34	2.125%, 11/15/22		33
	100	2.375%, 02/12/22		100
	68	2.375%, 05/01/23		68
	167	3.625%, 12/15/23		182
		Oracle Corp.,
	200	3.625%, 07/15/23		215
	200	5.250%, 01/15/16		209
	100	5.750%, 04/15/18		113

				1,091

		Technology Hardware, Storage & Peripherals — 0.3%
		Apple, Inc.,
	273	2.150%, 02/09/22		270
	199	2.400%, 05/03/23		197
	201	2.850%, 05/06/21		209
	207	VAR, 0.503%, 05/03/18		208
		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

				1,263

		Total Information Technology		3,928

		Materials — 0.6%
		Chemicals — 0.4%
	45	Agrium, Inc., (Canada), 3.375%, 03/15/25		45
	125	CF Industries, Inc., 7.125%, 05/01/20		151
		Dow Chemical Co. (The),
	100	3.500%, 10/01/24		102
	81	4.125%, 11/15/21		87
	38	4.250%, 11/15/20		42
	20	8.550%, 05/15/19		25
		E.I. du Pont de Nemours & Co.,
	101	1.950%, 01/15/16		102
	100	6.000%, 07/15/18		114


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Chemicals — continued
	122	Monsanto Co., 2.750%, 07/15/21		124
		Mosaic Co. (The),
	34	3.750%, 11/15/21		36
	212	4.250%, 11/15/23		229
	25	Potash Corp. of Saskatchewan, Inc., (Canada), 3.250%, 12/01/17		26
		Praxair, Inc.,
	41	2.650%, 02/05/25		41
	230	4.625%, 03/30/15		230
	150	Union Carbide Corp., 7.500%, 06/01/25		194

				1,548

		Metals & Mining — 0.2%
		BHP Billiton Finance USA Ltd., (Australia),
	95	3.850%, 09/30/23		102
	100	5.400%, 03/29/17		109
	100	6.500%, 04/01/19		118
		Freeport-McMoRan, Inc.,
	128	2.150%, 03/01/17		128
	107	4.550%, 11/14/24		101
	27	Nucor Corp., 4.000%, 08/01/23		28
	27	Rio Tinto Finance USA Ltd., (Australia), 3.500%, 11/02/20		29
	58	Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17		58
		Teck Resources Ltd., (Canada),
	39	3.750%, 02/01/23		36
	42	4.750%, 01/15/22		41

				750

		Total Materials		2,298

		Telecommunication Services — 0.8%
		Diversified Telecommunication Services — 0.7%
		AT&T, Inc.,
	204	0.900%, 02/12/16		204
	100	4.450%, 05/15/21		108
	180	5.500%, 02/01/18		198
	27	BellSouth Telecommunications LLC, 6.300%, 12/15/15		28
	100	British Telecommunications plc, (United Kingdom), 5.950%, 01/15/18		112
	27	Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17		27
	61	Orange S.A., (France), 2.750%, 09/14/16		62
	148	Qwest Corp., 6.750%, 12/01/21		171
	31	Telefonica Emisiones S.A.U., (Spain), 5.134%, 04/27/20		35


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Diversified Telecommunication Services — continued
		Verizon Communications, Inc.,
	115	2.625%, 02/21/20 (e)		116
	179	3.000%, 11/01/21		181
	72	3.450%, 03/15/21		75
	295	3.500%, 11/01/24		302
	156	4.150%, 03/15/24		168
	353	4.500%, 09/15/20		388
	150	5.150%, 09/15/23		172
	176	Verizon New England, Inc., 7.875%, 11/15/29		230

				2,577

		Wireless Telecommunication Services — 0.1%
	40	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		41
	160	Rogers Communications, Inc., (Canada), 4.100%, 10/01/23		171
		Vodafone Group plc, (United Kingdom),
	100	1.500%, 02/19/18		99
	100	1.625%, 03/20/17		101

				412

		Total Telecommunication Services		2,989

		Utilities — 1.0%
		Electric Utilities — 0.8%
	27	American Electric Power Co., Inc., 1.650%, 12/15/17		27
	27	Arizona Public Service Co., 2.200%, 01/15/20		27
	43	Baltimore Gas & Electric Co., 2.800%, 08/15/22		44
	50	Cleveland Electric Illuminating Co. (The), Series D, 7.880%, 11/01/17		58
	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		65
		Duke Energy Progress, Inc.,
	40	2.800%, 05/15/22		41
	150	5.300%, 01/15/19		169
	60	Electricite de France S.A., (France), 2.150%, 01/22/19 (e)		61
	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		102
	135	7.000%, 03/15/19		161
	25	Jersey Central Power & Light Co., 7.350%, 02/01/19		30


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Electric Utilities — continued
	47	Kansas City Power & Light Co., 3.150%, 03/15/23		48
	60	Nevada Power Co., 7.125%, 03/15/19		72
		NextEra Energy Capital Holdings, Inc.,
	25	1.200%, 06/01/15		25
	27	2.400%, 09/15/19		27
	113	7.875%, 12/15/15		119
		Niagara Mohawk Power Corp.,
	28	3.508%, 10/01/24 (e)		29
	40	4.881%, 08/15/19 (e)		45
	25	Ohio Power Co., 6.050%, 05/01/18		28
	50	Oncor Electric Delivery Co. LLC, 6.800%, 09/01/18		58
		Pacific Gas & Electric Co.,
	68	2.450%, 08/15/22		67
	50	3.250%, 06/15/23		52
	125	5.625%, 11/30/17		138
		PacifiCorp,
	140	3.600%, 04/01/24		149
	100	3.850%, 06/15/21		109
	60	5.650%, 07/15/18		68
	75	PECO Energy Co., 5.350%, 03/01/18		83
	51	Public Service Co. of Colorado, 3.200%, 11/15/20		54
	74	Public Service Co. of Oklahoma, 4.400%, 02/01/21		82
		Southern California Edison Co.,
	58	1.845%, 02/01/22		58
	212	Series C, 3.500%, 10/01/23		226
	45	Southern Co. (The), 1.950%, 09/01/16		46
	30	Southwestern Public Service Co., Series G, 8.750%, 12/01/18		37
		Virginia Electric & Power Co.,
	21	3.450%, 02/15/24		22
	100	5.400%, 04/30/18		112
	100	Wisconsin Electric Power Co., 6.250%, 12/01/15		104
	27	Xcel Energy, Inc., 0.750%, 05/09/16		27

				2,835

		Gas Utilities — 0.0% (g)
	30	Atmos Energy Corp., 8.500%, 03/15/19		37
	50	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		56

				93


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Independent Power & Renewable Electricity Producers — 0.0% (g)
		Exelon Generation Co. LLC,
	45	2.950%, 01/15/20		46
	72	4.000%, 10/01/20		76
	37	PSEG Power LLC, 4.300%, 11/15/23		39

				161

		Multi-Utilities — 0.2%
		AGL Capital Corp.,
	94	3.500%, 09/15/21		99
	100	6.375%, 07/15/16		107
	50	Consumers Energy Co., 5.650%, 04/15/20		58
	180	NiSource Finance Corp., 4.450%, 12/01/21		195
		Sempra Energy,
	48	4.050%, 12/01/23		52
	150	9.800%, 02/15/19		193

				704

		Total Utilities		3,793

		Total Corporate Bonds (Cost $63,329)		67,043

	Foreign Government Securities — 1.7%
		Israel Government AID Bond, (Israel),
	1,000	Zero Coupon, 02/15/24		798
	1,557	Series 10-Z, Zero Coupon, 08/15/20		1,395
	500	Series 6-Z, Zero Coupon, 02/15/22		428
	1,000	Series 7-Z, Zero Coupon, 08/15/25		757
	1,000	Series 8-Z, Zero Coupon, 08/15/24		783
	1,000	Series 8-Z, Zero Coupon, 02/15/25		769
		Province of Ontario, (Canada),
	400	0.950%, 05/26/15		400
	250	2.700%, 06/16/15		252
	92	Republic of Poland, (Poland), 4.000%, 01/22/24		99
	200	Republic of Turkey, (Turkey), 5.750%, 03/22/24		223
		United Mexican States, (Mexico),
	244	3.500%, 01/21/21		255
	250	3.600%, 01/30/25		258
	116	4.000%, 10/02/23		124

		Total Foreign Government Securities (Cost $6,344)		6,541

	Mortgage Pass-Through Securities — 10.7%
		Federal Home Loan Mortgage Corp.,
	93	ARM, 2.040%, 01/01/37		98
	225	ARM, 2.079%, 08/01/36		237


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	28		ARM, 2.235%, 01/01/27		29
	13		ARM, 2.250%, 07/01/26		13
	62		ARM, 2.276%, 11/01/36		66
	112		ARM, 2.294%, 09/01/36		119
	192		ARM, 2.311%, 03/01/37		203
	284		ARM, 2.314%, 12/01/34		305
	141		ARM, 2.414%, 09/01/36		151
	263		ARM, 2.504%, 06/01/36		282
	157		ARM, 2.629%, 04/01/38		169
	100		ARM, 2.818%, 02/01/37		108
			Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	77		4.000%, 06/01/19		81
	20		4.500%, 10/01/18		21
	158		5.500%, 06/01/17 - 01/01/24		171
	13		6.000%, 10/01/17 - 04/01/18		13
	152		6.500%, 01/01/17 - 03/01/22		161
			Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	7		6.000%, 12/01/22		8
	38		6.500%, 11/01/22 - 08/01/26		44
			Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	58		6.000%, 01/01/34		66
	63		7.000%, 04/01/26 - 02/01/37		73
	5		7.500%, 08/01/25		6
	6		8.000%, 07/01/20 - 11/01/24		7
	16		8.500%, 07/01/28		20
	255		Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30		289
			Federal Home Loan Mortgage Corp. Gold Pools, Other,
	2,620		3.500%, 05/01/33 - 05/01/43		2,764
	430		4.000%, 06/01/42		467
	131		6.000%, 02/01/33		142
			Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	—	(h)	12.000%, 08/01/15 - 07/01/19		—	(h)
			Federal National Mortgage Association,
	51		ARM, 1.809%, 02/01/37		54
	2		ARM, 1.875%, 03/01/19		2
	80		ARM, 1.885%, 08/01/35		85
	157		ARM, 1.895%, 01/01/35		166
	161		ARM, 1.910%, 09/01/35		169
	251		ARM, 1.915%, 02/01/35		265
	188		ARM, 1.991%, 01/01/35		201
	108		ARM, 2.074%, 09/01/36		115


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — continued
	233		ARM, 2.086%, 09/01/34		249
	166		ARM, 2.143%, 09/01/35		177
	95		ARM, 2.147%, 11/01/33		100
	141		ARM, 2.193%, 02/01/35		150
	66		ARM, 2.244%, 08/01/36		71
	140		ARM, 2.265%, 08/01/34		148
	119		ARM, 2.350%, 04/01/35		127
	193		ARM, 2.405%, 02/01/37		205
	117		ARM, 2.406%, 04/01/33		126
	170		ARM, 2.435%, 09/01/33		181
	116		ARM, 2.445%, 07/01/46		124
	134		ARM, 2.505%, 10/01/34		143
	11		ARM, 2.606%, 09/01/27		12
	—	(h)	ARM, 2.625%, 08/01/19		—	(h)
	280		ARM, 2.836%, 02/01/36		299
	8		ARM, 3.682%, 03/01/29		8
			Federal National Mortgage Association, 15 Year, Single Family,
	40		4.000%, 05/01/19		42
	191		4.500%, 05/01/18 - 05/01/19		201
	253		5.000%, 06/01/18 - 04/01/19		268
	153		5.500%, 01/01/20 - 06/01/20		163
	241		6.000%, 03/01/21 - 01/01/24		264
	33		6.500%, 03/01/17 - 08/01/20		34
			Federal National Mortgage Association, 20 Year, Single Family,
	63		6.000%, 04/01/24		72
	85		6.500%, 05/01/22		97
			Federal National Mortgage Association, 30 Year, FHA/VA,
	13		6.000%, 09/01/33		14
	23		6.500%, 03/01/29		27
	4		8.500%, 02/01/30		5
	6		9.000%, 09/01/19 - 12/01/30		6
	4		9.500%, 12/01/18		4
			Federal National Mortgage Association, 30 Year, Single Family,
	69		4.500%, 08/01/33		75
	965		5.000%, 07/01/33 - 08/01/40		1,080
	93		5.500%, 12/01/33		107
	470		6.000%, 12/01/32 - 09/01/37		540
	39		6.500%, 08/01/31		47
	6		7.000%, 09/01/27 - 08/01/32		6
	10		7.500%, 11/01/22 - 10/01/24		11
	353		8.000%, 03/01/21 - 11/01/32		439
	6		8.500%, 07/01/24 - 06/01/25		7


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	—	(h)	9.000%, 04/01/26		—	(h)
	2		10.000%, 02/01/24		3
	—	(h)	12.500%, 01/01/16		—	(h)
			Federal National Mortgage Association, Other,
	500		VAR, 0.641%, 12/01/23		504
	992		VAR, 0.651%, 08/01/23		999
	937		1.940%, 01/01/17		940
	997		2.220%, 12/01/22		996
	499		2.240%, 12/01/22		499
	661		2.395%, 01/01/22		672
	983		2.480%, 06/01/19		1,009
	1,000		2.760%, 05/01/21		1,034
	1,957		2.764%, 06/01/23		2,017
	1,000		3.110%, 12/01/24		1,045
	1,000		3.240%, 12/01/26		1,052
	1,000		3.290%, 08/01/26		1,055
	500		3.340%, 02/01/27		531
	1,000		3.380%, 12/01/23		1,064
	1,000		3.540%, 10/01/20		1,077
	2,330		3.590%, 12/01/20		2,512
	1,498		3.760%, 10/01/23 - 11/01/23		1,640
	863		4.000%, 07/01/42		936
	1,036		4.160%, 03/01/21		1,148
	405		4.271%, 06/01/21		448
	781		4.300%, 04/01/21		872
	906		4.355%, 03/01/20		1,002
	1,929		4.380%, 01/01/21 - 04/01/21		2,156
	492		4.390%, 05/01/21		551
	92		5.500%, 04/01/38		101
	121		6.000%, 03/01/37		135
			Government National Mortgage Association II, 30 Year, Single Family,
	273		6.000%, 03/20/28 - 09/20/38		311
	11		7.500%, 02/20/28 - 09/20/28		14
	29		8.000%, 12/20/25 - 08/20/28		34
	17		8.500%, 03/20/25 - 05/20/25		20
			Government National Mortgage Association, 15 Year, Single Family,
	11		6.000%, 10/15/17		11
	1		8.000%, 01/15/16		1
			Government National Mortgage Association, 30 Year, Single Family,
	273		6.000%, 11/15/28 - 12/15/38		311
	264		6.500%, 01/15/24 - 12/15/35		309
	254		7.000%, 08/15/23 - 06/15/35		295
	24		7.500%, 11/15/22 - 09/15/28		27


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — continued
	4		8.000%, 07/15/22 - 08/15/28		4
	2		8.500%, 11/15/17		2
	6		9.000%, 08/15/16 - 11/15/24		7
	103		9.500%, 09/15/18 - 12/15/25		116
	—	(h)	12.000%, 11/15/19		—	(h)

			Total Mortgage Pass-Through Securities (Cost $38,418)		40,259

	Supranational — 0.1%
	150		African Development Bank, 8.800%, 09/01/19 (Cost $186)		189

	U.S. Government Agency Securities — 2.3%
			Federal National Mortgage Association,
	1,000		Zero Coupon, 06/01/17		980
	800		5.000%, 05/11/17		875
	375		Federal National Mortgage Association STRIPS, 5.398%, 11/15/21 (n)		321
			Financing Corp. STRIPS,
	1,440		Zero Coupon, 05/11/18		1,377
	500		Zero Coupon, 04/05/19		467
	584		Zero Coupon, 09/26/19		538
	1,000		Government Trust Certificate, Zero Coupon, 10/01/15		994
			Residual Funding Corp. STRIPS,
	250		Zero Coupon, 10/15/19		230
	1,750		Zero Coupon, 07/15/20		1,578
	1,000		Tennessee Valley Authority, 5.500%, 07/18/17		1,107
	333		Tennessee Valley Authority STRIPS, Zero Coupon, 05/01/19		308

			Total U.S. Government Agency Securities (Cost $8,539)		8,775

	U.S. Treasury Obligations — 30.8%
			U.S. Treasury Bonds,
	1,225		7.500%, 11/15/16		1,370
	250		8.750%, 08/15/20		344
	1,500		8.875%, 08/15/17		1,795
			U.S. Treasury Coupon STRIPS,
	700		0.944%, 05/15/18 (n)		676
	2,200		1.885%, 02/15/18 (n)		2,134
	750		1.912%, 11/15/19 (n)		697
	2,500		2.020%, 08/15/23 (n)		2,101
	3,515		2.035%, 05/15/21 (n)		3,137
	200		2.051%, 05/15/24 (n)		165
	2,985		2.145%, 02/15/20 (n)		2,762
	650		2.160%, 05/15/22 (n)		566
	200		2.162%, 05/15/26 (n)		155
	10		2.262%, 05/15/28 (n)		7


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	3,275	2.320%, 02/15/21 (n)		2,948
	4,446	2.345%, 08/15/17 (n)		4,356
	750	2.432%, 05/15/23 (n)		635
	300	2.454%, 02/15/27 (n)		227
	2,400	2.535%, 02/15/22 (n)		2,103
	1,300	2.556%, 11/15/22 (n)		1,119
	150	2.560%, 11/15/23 (n)		125
	1,495	2.573%, 05/15/19 (n)		1,407
	6,700	2.632%, 08/15/21 (n)		5,944
	200	2.635%, 05/15/25 (n)		160
	3,577	2.683%, 08/15/16 (n)		3,552
	5,820	2.694%, 02/15/23 (n)		4,974
	53	2.764%, 02/15/28 (n)		39
	1,000	2.767%, 08/15/22 (n)		866
	4,350	2.792%, 08/15/19 (n)		4,075
	200	2.900%, 08/15/28 (n)		145
	2,300	2.940%, 11/15/21 (n)		2,027
	1,224	3.003%, 02/15/17 (n)		1,209
	47	3.135%, 08/15/26 (n)		36
	10,348	3.151%, 05/15/20 (n)		9,505
	14,550	3.181%, 08/15/20 (n)		13,279
	300	3.246%, 11/15/26 (n)		229
	100	3.431%, 08/15/27 (n)		75
	140	3.459%, 11/15/27 (n)		104
	700	3.854%, 11/15/16 (n)		694
	2,290	3.901%, 11/15/17 (n)		2,231
	3,866	6.547%, 02/15/16 (n)		3,858
		U.S. Treasury Inflation Indexed Notes,
	300	0.125%, 01/15/22		314
	1,700	0.500%, 04/15/15		1,837
	700	1.125%, 01/15/21		806
		U.S. Treasury Notes,
	593	0.875%, 01/31/18		591
	300	1.000%, 06/30/19		295
	800	1.000%, 11/30/19		782
	1,500	1.250%, 10/31/18		1,500
	1,000	1.375%, 02/28/19		1,002
	5,500	1.500%, 08/31/18		5,557
	400	2.000%, 02/28/21		407
	200	2.000%, 10/31/21		202
	500	2.125%, 01/31/21		512
	350	2.625%, 08/15/20		369
	800	2.625%, 11/15/20		842
	1,500	2.750%, 11/30/16		1,557
	2,000	2.750%, 02/15/19		2,112
	500	3.125%, 01/31/17		524


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — continued
	1,000	3.125%, 04/30/17		1,052
	850	3.125%, 05/15/21		920
	7,900	3.250%, 12/31/16		8,285
	1,050	3.500%, 02/15/18		1,126
	1,550	3.500%, 05/15/20		1,702
	450	3.625%, 02/15/21		499
	400	4.250%, 11/15/17		436
	200	4.500%, 02/15/16		208
	1,000	4.750%, 08/15/17		1,096

		Total U.S. Treasury Obligations (Cost $112,655)		116,364


SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 8.1%
		Investment Company — 8.1%
	30,495	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) (Cost $30,495)		30,495

		Total Investments — 99.6% (Cost $362,995)		375,961
		Other Assets in Excess of Liabilities — 0.4%		1,388

		NET ASSETS — 100.0%	$	377,349

Percentages indicated are based on net assets.


ACES		— Alternative Credit Enhancement Securities
ARM		— Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 28, 2015.
CMBS		— Commercial Mortgage Backed Security
CMO		— Collateralized Mortgage Obligation
CSMC		— Credit Suisse Mortgage Trust
CVR		— Contingent Value Rights
ESOP		— Employee Stock Ownership Program
ETF		— Exchange Traded Fund
FHA		— Federal Housing Administration
GMAC		— General Motors Acceptance Corp.
GO		— General Obligation
HB		— High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IOs, the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.
IF		— Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of February 28, 2015. 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 February 28, 2015.
VA		— Veterans Administration
VAR		— Variable Rate Security. The interest rate shown is the rate in effect as of February 28, 2015.

(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.
(d)		— Defaulted Security.
(e)		— Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(g)		— Amount rounds to less than 0.1%.
(h)		— Amount rounds to less than one thousand (shares or dollars).
(i)		— Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(k)		— All or a portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts.
(l)		— The rate shown is the current yield as of February 28, 2015.
(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 — The valuation of the investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

JPMorgan Funds Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include 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. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the 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.

Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services 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 in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each investment company’s NAV per share as of the report date.

See the tables 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 the Core Bond Trust and Intermediate Bond Trust at February 28, 2015.

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

The various inputs that are used in determining the valuation 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 instruments are not necessarily an indication of the risk associated with investing in those instruments.

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

For each of the Funds, there were no transfers between Levels 1 and 2 during the year ended February 28, 2015.

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 year.

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 net unrealized appreciation (depreciation) attributable to securities owned at February 28, 2015, 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.

Quantitative Information about Level 3 Fair Value Measurements # (amounts in thousands)

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.

Quantitative Information about Level 3 Fair Value Measurements # (amounts in thousands)

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 February 28, 2015, 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 values and percentages of net assets of illiquid securities as of February 28, 2015 (amounts in thousands):

C. Loan Assignments — Core Bond Trust may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund 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. Unfunded 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 on 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 February 28, 2015, 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 on 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 on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The table below discloses the volume of Equity Index Trust’s futures contracts activity during the year ended February 28, 2015 (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 financial statements, 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 February 28, 2015, 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, except for Equity Index Trust, for which distributions are generally declared and paid quarterly. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

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

The reclassifications for the Funds relate primarily to non deductible expenses, non taxable dividends and redesignation of distributions.

A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”), 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 on 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 on 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’s deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

The expense limitation agreements were in effect for the year ended February 28, 2015, and are in place until at least until June 30, 2015.

For the year ended February 28, 2015, 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/or 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 these waivers/reimbursements resulting from investments in these money market funds for the year ended February 28, 2015 were as follows (amounts in thousands):

F. Other — Certain officers of the Trust are affiliated with the Adviser and the 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 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 on the Statements of Operations.

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

During the year ended February 28, 2015, the Funds may have 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 year ended February 28, 2015, 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 year ended February 28, 2015, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at February 28, 2015 were as follows (amounts in thousands):

For the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to treasury inflation protected securities (“TIPS”) deflationary adjustments, non taxable dividends and wash sale loss deferrals.

The tax character of distributions paid during the year ended February 28, 2015 was as follows (amounts in thousands):

The tax character of distributions paid during the year ended February 28, 2014 was as follows (amounts in thousands):

As of February 28, 2015, the components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

For the Funds, the cumulative timing differences primarily consist of trustee deferred compensation, wash sale loss deferrals, non taxable dividends and TIPS deflationary adjustments.

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 February 28, 2015, the Funds did not have any post-enactment net capital loss carryforwards.

As of February 28, 2015, the following Fund had pre-enactment net capital loss carryforwards, expiring during the year(s) indicated, which are available to offset future realized gains (amounts in thousands):

During the year ended February 28, 2015, the Equity Index Trust utilized capital loss carryforwards in the amount of approximately $23,180,000.

Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended February 28, 2015 the Funds deferred to March 1, 2015 post-October capital losses as follows (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.

The Fund may also invest in unaffiliated ETFs. ETFs are pooled investment vehicles whose ownership interests are purchased and sold on a securities exchange. ETFs may be structured as investment companies, depositary receipts or other pooled investment vehicles and may be passively or actively managed. Passively managed ETFs generally seek to track the performance of a particular market index, including broad-based market indexes, as well as indexes relating to particular sectors, markets, regions or industries. Actively managed ETFs do not seek to track the performance of a particular market index. The price movement of an index-based ETF may not track the underlying index and may result in a loss. In addition, ETFs may trade at a price below or above their NAV (also known as a discount or premium, respectively).

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 interest 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 to be representative of its value, the value of the Funds’ net assets could be adversely affected.

During the year ended February 28, 2015, 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. Portfolio securities were transferred as of the close of business on the dates and at the market values listed below (amounts in thousands):

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

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Core Bond Trust, JPMorgan Equity Index Trust and JPMorgan Intermediate Bond Trust (each a separate fund of JPMorgan Institutional Trust) (hereafter referred to as the “Funds”) at February 28, 2015, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

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

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

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

As a shareholder of the Funds, you incur ongoing costs, including investment advisory fees, administration fees, and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Funds at the beginning of the reporting period, September 1, 2014, and continued to hold your shares at the end of the reporting period, February 28, 2015.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended February 28, 2015. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2015. The information necessary to complete your income tax returns for the calendar year ending December 31, 2015 will be provided under separate cover.

Dividends Received Deductions (DRD)

The fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended February 28, 2015:


	Dividends Received Deduction
Equity Index Trust		100.00%

Long Term Capital Gain

The fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended February 28, 2015 (amounts in thousands):


	Long-Term Capital Gain Distribution
Core Bond Trust	$	9,417
Intermediate Bond Trust		1,557

Qualified Dividend Income (QDI)

The fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended February 28, 2015 (amounts in thousands):


	Qualified Dividend Income
Equity Index Trust	$	7,023

Treasury Income

The fund listed below had the following percentage, or maximum allowable percentage, of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 28, 2015:


	Income from U.S. Treasury Obligations
Core Bond Trust		20.86	%
Intermediate Bond Trust		23.92

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended February 28, 2015 and 2014, respectively.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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.

(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.

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

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

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

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

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

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

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

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



CEO’s Letter			1

Market Overview			3

Fund Commentaries:

JPMorgan Core Bond Trust			4

JPMorgan Equity Index Trust			6

JPMorgan Intermediate Bond Trust			8

Schedules of Portfolio Investments			10

Financial Statements			93

Financial Highlights			98

Notes to Financial Statements			100

Report of Independent Registered Public Accounting Firm			111

Trustees			112

Officers			114

Schedule of Shareholder Expenses			115

Tax Letter			116


REPORTING PERIOD RETURN:
Fund*			4.88%
Barclays U.S. Aggregate Index			5.05%

Net Assets as of 2/28/2015 (In Thousands)			$3,981,012
Duration as of 2/28/2015			4.9 years


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2015

	INCEPTION DATE OF CLASS	1 YEAR			3 YEAR			5 YEAR			10 YEAR
	February 7, 2005		4.88	%		3.37	%		5.19	%		5.76	%


REPORTING PERIOD RETURN:
Fund*		15.38%
S&P 500 Index**		15.51%

Net Assets as of 2/28/2015 (In Thousands)	$	366,613


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2015

	INCEPTION DATE OF CLASS	1 YEAR			3 YEAR			5 YEAR			10 YEAR
	February 7, 2005		15.38	%		17.87	%		16.03	%		7.86	%


REPORTING PERIOD RETURN:
Fund*			3.29%
Barclays Intermediate U.S. Government/Credit Index			2.77%

Net Assets as of 2/28/2015 (In Thousands)			$377,349
Duration as of 2/28/2015			3.5 years


	Core Bond Trust		Equity Index Trust			Intermediate Bond Trust
ASSETS:
Investments in non-affiliates, at value	$	3,892,057	$	359,390		$	345,466
Investments in affiliates, at value		177,183		6,550			30,495

Total investment securities, at value		4,069,240		365,940			375,961
Cash		2,140		1			52
Receivables:
Investment securities sold		577		28			4
Fund shares sold		1,948		—			1,400
Interest and dividends from non-affiliates		15,607		786			1,221
Dividends from affiliates		7		—	(a)		1
Prepaid expenses		35		—			—

Total Assets		4,089,554		366,755			378,639


LIABILITIES:
Payables:
Investment securities purchased		6,716		64			1,189
Fund shares redeemed		101,153		—			—
Variation margin on futures contracts		—		8			—
Unrealized depreciation on unfunded commitments		49		—			—
Accrued liabilities:
Investment advisory fees		408		20			26
Custodian and accounting fees		103		21			36
Trustees’ and Chief Compliance Officer’s fees		9		1			1
Audit fees		41		26			36
Transfer agent fees		17		1			1
Other		46		1			1

Total Liabilities		108,542		142			1,290

Net Assets	$	3,981,012	$	366,613		$	377,349


NET ASSETS:
Paid-in-Capital	$	3,778,398	$	186,000		$	363,848
Accumulated undistributed (distributions in excess of) net investment income		5,298		1,215			361
Accumulated net realized gains (losses)		1,127		(16,200	)		174
Net unrealized appreciation (depreciation)		196,189		195,598			12,966

Total Net Assets	$	3,981,012	$	366,613		$	377,349


Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized):		372,579		14,399			36,289

Net asset value, offering and redemption price per share (b)	$	10.69	$	25.46		$	10.40


Cost of investments in non-affiliates	$	3,695,819	$	165,734		$	332,500
Cost of investments in affiliates		177,183		4,659			30,495


	Core Bond Trust						Equity Index Trust
	Year Ended February 28, 2015			Year Ended February 28, 2014			Year Ended February 28, 2015			Year Ended February 28, 2014
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	132,376		$	137,789		$	7,241		$	6,962
Net realized gain (loss)		8,477			7,055			24,571			12,219
Distributions of capital gains received from investment company affiliates		—			1			—			—	(a)
Change in net unrealized appreciation/depreciation		47,283			(123,685	)		20,964			58,781

Change in net assets resulting from operations		188,136			21,160			52,776			77,962


DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income		(133,647	)		(133,909	)		(7,023	)		(6,806	)
From net realized gains		(10,035	)		(2,110	)		—			—

Total distributions to shareholders		(143,682	)		(136,019	)		(7,023	)		(6,806	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		641,786			667,144			11,244			14,789
Subscriptions in-kind (See Note 7)		14,902			—			—			—
Distributions reinvested		139,400			131,927			7,023			6,806
Cost of shares redeemed		(724,664	)		(532,846	)		(64,785	)		(48,708	)

Change in net assets resulting from capital transactions		71,424			266,225			(46,518	)		(27,113	)


NET ASSETS:
Change in net assets		115,878			151,366			(765	)		44,043
Beginning of period		3,865,134			3,713,768			367,378			323,335

End of period	$	3,981,012		$	3,865,134		$	366,613		$	367,378

Accumulated undistributed (distributions in excess of) net investment income	$	5,298		$	6,546		$	1,215		$	1,158


SHARE TRANSACTIONS:
Issued		60,365			62,858			484			723
Subscriptions in-kind (See Note 7)		1,394			—			—			—
Reinvested		13,124			12,447			293			336
Redeemed		(68,136	)		(50,404	)		(2,712	)		(2,373	)

Change in Shares		6,747			24,901			(1,935	)		(1,314	)


	Intermediate Bond Trust
	Year Ended February 28, 2015			Year Ended February 28, 2014
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	10,009		$	11,308
Net realized gain (loss)		887			1,299
Distributions of capital gains received from investment company affiliates		—			—	(a)
Change in net unrealized appreciation/depreciation		142			(10,852	)

Change in net assets resulting from operations		11,038			1,755


DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income		(9,939	)		(11,070	)
From net realized gains		(1,560	)		(219	)

Total distributions to shareholders		(11,499	)		(11,289	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		60,539			35,383
Distributions reinvested		10,521			10,598
Cost of shares redeemed		(41,905	)		(65,743	)

Change in net assets resulting from capital transactions		29,155			(19,762	)


NET ASSETS:
Change in net assets		28,694			(29,296	)
Beginning of period		348,655			377,951

End of period	$	377,349		$	348,655

Accumulated undistributed (distributions in excess of) net investment income	$	361		$	295


SHARE TRANSACTIONS:
Issued		5,814			3,386
Reinvested		1,012			1,014
Redeemed		(4,035	)		(6,290	)

Change in Shares		2,791			(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
Year Ended February 28, 2015	$	10.57	$	0.36	$	0.15		$	0.51	$	(0.36	)	$	(0.03	)	$	—		$	(0.39	)
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	)

Equity Index Trust
Year Ended February 28, 2015		22.49		0.48		2.95			3.43		(0.46	)		—			—			(0.46	)
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	)

Intermediate Bond Trust
Year Ended February 28, 2015		10.41		0.30		0.04			0.34		(0.30	)		(0.05	)		—			(0.35	)
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	)


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

$	10.69		4.88	%	$	3,981,012		0.14	%		3.36	%		0.42	%		19	%
	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


	25.46		15.38			366,613		0.10			1.97			0.39			4
	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


	10.40		3.29			377,349		0.14			2.90			0.47			25
	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


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Debt Securities
Asset-Backed Securities	$	—	$	156,294	$	138,469	$	294,763
Collateralized Mortgage Obligations
Agency CMO		—		593,622		—		593,622
Non-Agency CMO		—		189,580		45,619		235,199

Total Collateralized Mortgage Obligations		—		783,202		45,619		828,821

Commercial Mortgage-Backed Securities		—		125,568		18,375		143,943
Corporate Bonds
Consumer Discretionary		—		57,480		—		57,480
Consumer Staples		—		36,240		—		36,240
Energy		—		78,667		—		78,667
Financials		—		332,792		—		332,792
Health Care		—		32,283		—		32,283
Industrials		—		46,696		3,141		49,837
Information Technology		—		48,224		—		48,224
Materials		—		26,855		—		26,855
Telecommunication Services		—		43,055		1,772		44,827
Utilities		—		64,101		—		64,101

Total Corporate Bonds		—		766,393		4,913		771,306

Foreign Government Securities		—		69,665		—		69,665
Mortgage Pass-Through Securities		—		659,460		—		659,460
Municipal Bonds		—		10,669		—		10,669
Supranational		—		4,438		—		4,438
U.S. Government Agency Securities		—		98,923		—		98,923
U.S. Treasury Obligations		—		999,554		—		999,554
Loan Assignments
Financials		—		—		10,515		10,515
Short-Term Investment
Investment Company		177,183		—		—		177,183

Total Investments in Securities	$	177,183	$	3,674,166	$	217,891	$	4,069,240


Core Bond Trust	Balance as of February 28, 2014		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 February 28, 2015
Investments in Securities
Asset-Backed Securities	$	95,936	$	152		$	(879	)	$	(431	)	$	106,093	$	(60,939	)	$	—	$	(1,463	)	$	138,469
Collateralized Mortgage Obligations
Agency CMO		5,515		(2	)		—			—	(a)		—		—			—		(5,513	)		—
Non-Agency CMO		48,682		(3	)		(2,464	)		1,139			—		(7,400	)		5,665		—			45,619
Commercial Mortgage-Backed Securities		18,872		—			287			(1,770	)		4,085		(5,731	)		2,632		—			18,375
Corporate Bonds — Industrials		3,605		—			6			(2	)		—		(233	)		—		(235	)		3,141
Corporate Bonds — Telecommunication Services		—		—			(60	)		—			—		—			1,832		—			1,772
Loan Assignments — Financials		13,732		—			(12	)		—			18,551		(21,756	)		—		—			10,515

Total	$	186,342	$	147		$	(3,122	)	$	(1,064	)	$	128,729	$	(96,059	)	$	10,129	$	(7,211	)	$	217,891


JPMorgan Intermediate Bond Trust	Balance as of February 28, 2014		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 February 28, 2015
Investments in Securities
Asset-Backed Securities	$	3,909	$	4	$	(17	)	$	2		$	8,310	$	(2,840	)	$	—	$	(117	)	$	9,251
Collateralized Mortgage Obligations
Agency CMO		251		—		—			—			—		—			—		(251	)		—
Non-Agency CMO		981		—		(46	)		48			—		(304	)		438		—			1,117
Commercial Mortgage-Backed Securities		1,116		—		(10	)		(45	)		—		(485	)		316		—			892
Corporate Bonds — Industrials		945		—		(3	)		(3	)		—		(55	)		—		—			884

Total	$	7,202	$	4	$	(76	)	$	2		$	8,310	$	(3,684	)	$	754	$	(368	)	$	12,144


	Fair Value at February 28, 2015		Valuation Technique(s)	Unobservable Input	Range (Weighted Average)
	$	73,821	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 100.00% (2.66%)
				Constant Default Rate		0.00% - 30.00% (18.58%)
				Yield (Discount Rate of Cash Flows)		0.90% - 6.67% (3.65%)

Asset-Backed Securities		73,821

		32,995	Discounted Cash Flow	Constant Prepayment Rate		0.18% - 37.14% (8.70%)
				Constant Default Rate		0.00% - 8.34% (3.63%)
				PSA Prepayment Model		246.80% - 454.00% (391.72%)
				Yield (Discount Rate of Cash Flows)		0.24% - 11.63% (5.28%)

Collateralized Mortgage Obligations		32,995

		8,894	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 100.00% (33.18%)
				Yield (Discount Rate of Cash Flows)		(8.68%) - 5.05% (2.72%)

Commercial Mortgage-Backed Securities		8,894

		1,772	Discounted Cash Flow	Yield (Discount Rate of Cash Flows)		2.93% (N/A)

Corporate Bonds		1,772

Total	$	117,482



FEBRUARY 28, 2015	JPMORGAN INSTITUTIONAL TRUST FUNDS	1



2	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 28, 2015



FEBRUARY 28, 2015	JPMORGAN INSTITUTIONAL TRUST FUNDS	3



4	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 28, 2015


	Fair Value at February 28, 2015		Valuation Technique(s)	Unobservable Input	Range (Weighted Average)
	$	4,924	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 100.00% (4.04%)
				Constant Default Rate		2.96% - 30.00% (20.73%)
				Yield (Discount Rate of Cash Flows)		1.75% - 4.92% (3.46%)

Asset-Backed Securities		4,924

		831	Discounted Cash Flow	Constant Prepayment Rate		4.00% - 34.55% (8.45%)
				Constant Default Rate		0.00% - 7.51% (1.82%)
				PSA Prepayment Model		354.00% (354.00%)
				Yield (Discount Rate of Cash Flows)		1.22% - 10.64% (3.70%)

Collateralized Mortgage Obligations		831


	Value			Percentage
Core Bond Trust	$	37,440			0.94	%
Equity Index Trust		—	(a)		—	(b)
Intermediate Bond Trust		783			0.21


											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	%	$	952	$	947	$	1,548	$	1,541	$	2,500	$	2,488
Invitation Homes (i)		Revolving Loan		03/15/15		0.500			3.750			1,840		1,831		353		351		2,193		2,182
Progress Residential LP (i)		Revolving Loan		09/04/15		0.500			3.755			5,704		5,675		3,296		3,280		9,000		8,955
Tricon Capital Group, Inc. (i)		Revolving Loan		06/13/15		0.500			4.100			1,130		1,124		5,370		5,343		6,500		6,467

											$	9,626	$	9,577	$	10,567	$	10,515	$	20,193	$	20,092


	Equity Index Trust
Futures Contracts:
Average Notional Balance Long	$	2,812
Ending Notional Balance Long		2,523


Affiliate	Value at February 28, 2014		Purchase Cost		Sales Proceeds		Realized Gain/Loss		Dividend/ Interest Income		Shares at February 28, 2015		Value at February 28, 2015
Core Bond Trust
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares	$	44,100	$	910,970	$	777,887	$	—	$	51		177,183	$	177,183


	Paid-in-Capital			Accumulated Undistributed (distributions in excess of) Net Investment Income			Accumulated Net Realized Gains (Losses)
Core Bond Trust	$	(23	)	$	23		$	—
Equity index Trust		—			(161	)		161
Intermediate Bond Trust		—			(4	)		4


	Contractual Waivers
	Investment Advisory		Administration		Total		Contractual Reimbursement
Core Bond Trust	$	6,964	$	3,602	$	10,566	$	93
Equity Index Trust		712		337		1,049		—
Intermediate Bond Trust		777		317		1,094		—


	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Purchases of U.S. Government		Sales of U.S. Government
Core Bond Trust	$	572,819	$	520,090	$	147,882	$	213,402
Equity Index Trust		14,552		60,497		—		—
Intermediate Bond Trust		58,860		50,970		24,013		30,050


	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Core Bond Trust	$	3,873,033	$	209,653	$	13,446	$	196,207
Equity Index Trust		186,299		182,523		2,882		179,641
Intermediate Bond Trust		363,007		13,641		687		12,954


	Ordinary Income		Net Long-Term Capital Gains		Total Distributions Paid
Core Bond Trust	$	134,266	$	9,416	$	143,682
Equity Index Trust		7,023		—		7,023
Intermediate Bond Trust		9,942		1,557		11,499


	Current Distributable Ordinary Income		Current Distributable Long-Term Capital-Gain or (Tax Basis Loss Carryover)		Unrealized Appreciation (Depreciation)
Core Bond Trust	$	5,371	$	1,155	$	196,159
Equity Index Trust		1,220		—		179,641
Intermediate Bond Trust		378		180		12,954


	Short-Term		Long-Term
Core Bond Trust	$	30	$	—
Intermediate Bond Trust		5		—


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


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

John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	156	Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014);

Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).	156	Trustee, Museum of Jewish Heritage (2011-present).

Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.	Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).	156	None

Frankie D. Hughes (1952), Trustee of Trust since 2008.	President, Ashland Hughes Properties (property management) (2014 to present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).	156	Trustee, The Victory Portfolios (2000-2008) (Investment companies).

Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.	Self-employed business consultant (2002-present).	156	None

Mary E. Martinez (1960); Trustee of Trust since 2013.	Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).	156	None

Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.	Vice President of Administration and Planning, Northwestern University (1985-present).	156	Trustee, Carleton College (2003-present).

Mitchell M. Merin (1953); Trustee of Trust since 2013.	Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).	156	Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).

William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001).	156	Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the Stratton Mountain School (2001-present).


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

Robert L. Young (1963), President and Principal Executive Officer (2013)**		Chief Operating Officer and Director, J.P. Morgan Investment Management Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997.

Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014)		Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.

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

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

Valerie-Leila Jaber (1965), AML Compliance Officer (2014)*		Managing Director and Global Head of Financial Crime for Asset Management, JPMorgan Chase & Co. since December 2012; Managing Director and Global Head of Financial Crime for Barclays Wealth (2009-2012).

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

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

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

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

Gregory S. Samuels (1980), Assistant Secretary (2010)		Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008.

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

Michael M. D’Ambrosio (1969), Assistant Treasurer (2012)		Managing Director, JPMorgan Funds Management, Inc. from May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 until May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.

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

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

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

Gillian I. Sands (1969), Assistant Treasurer (2012)		Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).


	Beginning Account Value September 1, 2014		Ending Account Value February 28, 2015		Expenses Paid During the Period*		Annualized Expense Ratio
Core Bond Trust
Actual	$	1,000.00	$	1,023.60	$	0.70		0.14	%
Hypothetical		1,000.00		1,024.10		0.70		0.14

Equity Index Trust
Actual		1,000.00		1,060.80		0.51		0.10
Hypothetical		1,000.00		1,024.30		0.50		0.10

Intermediate Bond Trust
Actual		1,000.00		1,017.30		0.70		0.14
Hypothetical		1,000.00		1,024.10		0.70		0.14


		^© JPMorgan Chase & Co., 2015. All rights reserved. February 2015.		AN-INSTT-215


JPMorgan Trust I

By:		/s/ Robert L. Young
		Robert L. Young
		President and Principal Executive Officer
		May 8, 2015


By:		/s/ Laura M. Del Prato
		Laura M. Del Prato
		Treasurer and Principal Financial Officer
		May 8, 2015