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 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 a 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,

Even as the U.S. economy continued to steadily strengthen during the past year, the drag from slowing growth in the rest of the world increased and was reflected by turbulent financial markets and highly active central banks.

“While the outlook for the U.S. economy had dimmed somewhat by the end of February, job growth continued, core inflation remained stable and the risk of economic recession in the U.S. appeared low.”

Gains in employment and consumer spending throughout 2015 helped persuade the U.S. Federal Reserve (the “Fed”) to raise interest rates in December for the first time in more than a decade. Meanwhile, leading central banks in China, Japan and the European Union enacted extraordinary measures to stimulate economic growth and stabilize financial markets. In the face of slowing global growth and rising market volatility, the Fed declined to further raise interest rates at its mid-March meeting.

Throughout the past twelve months, oil and gas prices remained historically low amid global oversupply and slowing demand, and by the end of the reporting period prices were roughly two-thirds off their peak in 2014. In February, spot prices for crude oil dropped to levels not seen since 2004.

While low energy prices put more money into consumers’ pockets and helped reduce commercial transportation costs, deteriorating balance sheets of energy sector companies raised the threat of defaults, particularly in the U.S. market for high yield bonds (also known as “junk bonds”). Also, energy companies have sharply curtailed spending on new projects, which has hurt the broader industrial sector that supplies pipeline, construction materials and machinery to oil exploration and production.

Along with lower oil prices, the U.S. dollar’s strength relative to other currencies was an important economic factor over the past twelve months. Overseas central bank interventions have driven down the value of foreign currencies, particularly the euro and the yen, while the strength of the U.S. economy had made the dollar more attractive. This in turn hurt the overseas earnings of U.S. companies. Among the companies that comprise the Standard & Poor’s 500 Index (S&P 500), an estimated aggregate of 35% to 40% of their earnings come from overseas and the loss of income was reflected in the final quarter of

2015, when aggregate per-share earnings of companies in the S&P 500 declined on a year-over-year basis for the third consecutive quarter. Notably, financial analysts accelerated the pace of downward revisions to their earnings estimates during the first two months of 2016.

Meanwhile, the broader U.S. economy continued along its low-growth trajectory for the twelve months. Gross domestic product (GDP) grew by 2.4% in 2015, matching 2014 output. With the addition of 230,000 new jobs in February, non-farm private sector employment extended its expansion to 72 consecutive months. During the twelve months ended February 29, 2016, the unemployment rate fell to 4.9% from 5.5%, though wage growth during the period was 2.2%, barely outpacing the rate of inflation. Consumer spending, which accounts for two-thirds of U.S. economic activity, slowed to 0.1% growth in December and maintained that pace through January and February.

While the relative strength of the U.S. economy provides support for both U.S. equity and bond markets, it was not enough to overcome the slowdown in corporate earnings and weakening demand overseas. The S&P 500 reached a record high in mid-May and then suffered sell-offs in August 2015 and January 2016. Bond markets benefitted somewhat from investors’ search for safe havens amid market volatility, but with global interest rates at historic lows, yields on fixed-income investments were slight.

While the outlook for the U.S. economy had dimmed somewhat by the end of February, job growth continued, core inflation remained stable and the risk of economic recession in the U.S. appeared low. In this climate of low growth and heightened volatility in financial markets, investors may best be served by a patient, long term outlook and a properly diversified portfolio.

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

Sincerely yours,

LOGO

George C.W. Gatch

CEO, Global Funds Management,

J.P. Morgan Asset Management

Financial markets experienced increased volatility and deepening investor concern about slowing economic growth in China, anemic growth in Europe and Japan, the strength of the U.S. dollar and expectations for rising interest rates in the U.S. Overproduction and declining demand continued to hold down energy prices, and prices for other commodities also slumped during the twelve month reporting period.

Meanwhile, interest rates on intermediate and long term bonds moved lower as both domestic and foreign economic and financial factors came into play and periodically influenced market movements. However, interest rates on bonds with shorter maturities rose in response to the U.S. Federal Reserve’s December interest rate increase, thus resulting in a flattening of the yield curve over the twelve month period. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds. For the twelve months ended February 29, 2016, the Barclays U.S. Aggregate Index returned 1.50%.

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 29, 2016, the Fund outperformed the Barclays U.S. Aggregate Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s overweight position and security selection in the mortgage-backed securities sector were leading contributors to performance. The Fund’s allocation to both agency and non-agency collateralized mortgage obligations, which are not held in the Benchmark, also contributed to relative performance. During the twelve month period, the middle portion of the yield curve outperformed the shorter and longer ends of the curve and the Fund’s overweight position in the middle 5-10 year portion of the yield curve helped relative performance. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds.

The Fund’s underweight positions in U.S. Treasury bonds and agency bonds and its security selection in asset-backed securities were leading detractors from relative performance.

HOW WAS THE FUND POSITIONED?

The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between

individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. At the end of the reporting period, the Fund was underweight in U.S. Treasury securities and overweight in mortgage-backed securities.


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	25.0	%
Corporate Bonds	19.7
Collateralized Mortgage Obligations	18.0
Mortgage Pass-Through Securities	16.5
Asset-Backed Securities	10.8
Commercial Mortgage-Backed Securities	2.9
U.S. Government Agency Securities	2.3
Foreign Government Securities	1.3
Others (each less than 1.0%)	0.5
Short-Term Investment	3.0

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 29, 2016. 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, 2006 to February 29, 2016. 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 29, 2016. This was consistent with its indexing strategy and investment objective, as the Fund looks to generate returns that are comparable to that of the Benchmark.

The U.S. equity market recorded record highs in March and April and then reached a peak in mid-May that coincided with a peak in U.S. corporate earnings. In the face of rising volatility and investor selling in China’s financial markets, global equity prices turned sharply lower in mid August and generally did not rebound until October. U.S. equities prices dropped again in January for the worst one-week start to any year on record.

Seven out of ten sectors in the Benchmark posted negative returns for the twelve month reporting period. The energy and materials sectors were the largest detractors from Benchmark performance, while the telecommunication services and utilities sectors were the largest positive contributors to Benchmark performance.

HOW WAS THE FUND POSITIONED?

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.	3.2	%
	2.	Microsoft Corp.	2.4
	3.	Exxon Mobil Corp.	2.0
	4.	Johnson & Johnson	1.7
	5.	General Electric Co.	1.6
	6.	Berkshire Hathaway, Inc., Class B	1.5
	7.	Facebook, Inc., Class A	1.4
	8.	AT&T, Inc.	1.3
	9.	Procter & Gamble Co. (The)	1.3
	10.	Wells Fargo & Co.	1.3


PORTFOLIO COMPOSITION BY SECTOR****
Information Technology	20.2	%
Financials	15.5
Health Care	14.6
Consumer Discretionary	12.8
Consumer Staples	10.6
Industrials	10.1
Energy	6.5
Utilities	3.3
Materials	2.8
Telecommunication Services	2.8
Exchange Traded Fund	0.1
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 29, 2016. The Fund’s portfolio composition is subject to change.

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, 2006 to February 29, 2016. 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 29, 2016, the Fund outperformed the Barclays Intermediate U.S. Government/Credit Index (the “Benchmark”).

During the twelve month reporting period, the Fund’s out-of-Benchmark positions in mortgage-backed securities, particularly mortgage pass-through securities and collateralized mortgage obligations, were leading contributors to performance relative to the Benchmark. The Fund’s shorter overall duration also contributed to relative 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 U.S. Treasury bonds was a leading detractor from relative performance.

HOW WAS THE FUND POSITIONED?

The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct,

in their view, a portfolio of undervalued fixed income securities. 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. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	31.5	%
Corporate Bonds	18.2
Collateralized Mortgage Obligations	18.2
Asset-Backed Securities	12.9
Mortgage Pass-Through Securities	8.7
Commercial Mortgage-Backed Securities	2.0
U.S. Government Agency Securities	1.7
Others (each less than 1.0%)	1.0
Short-Term Investment	5.8

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 29, 2016. 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, 2006 to February 29, 2016. 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 — 10.8%
		Academic Loan Funding Trust,
	1,038	Series 2012-1A, Class A1, VAR, 1.236%, 12/27/22 (e)		1,031
	1,654	Series 2013-1A, Class A, VAR, 1.236%, 12/26/44 (e)		1,625
		Ally Auto Receivables Trust,
	686	Series 2013-2, Class A3, 0.790%, 01/15/18		686
	300	Series 2013-2, Class A4, 1.240%, 11/15/18		300
	1,981	Series 2014-SN2, Class A3, 1.030%, 09/20/17		1,978
	1,267	Series 2016-1, Class A2A, 1.200%, 08/15/18		1,267
		American Credit Acceptance Receivables Trust,
	914	Series 2014-2, Class B, 2.260%, 03/10/20 (e)		914
	226	Series 2014-4, Class A, 1.330%, 07/10/18 (e)		225
	759	Series 2015-1, Class A, 1.430%, 08/12/19 (e)		756
	1,826	Series 2015-2, Class A, 1.570%, 06/12/19 (e)		1,823
	1,225	Series 2015-2, Class C, 4.320%, 05/12/21 (e)		1,203
	2,590	Series 2016-1A, Class B, 4.240%, 06/13/22 (e)		2,599
		American Homes 4 Rent Trust,
	1,000	Series 2014-SFR1, Class C, VAR, 2.179%, 06/17/31 (e)		950
	2,935	Series 2014-SFR2, Class A, 3.786%, 10/17/36 (e)		3,059
	2,000	Series 2014-SFR2, Class D, 5.149%, 10/17/36 (e)		1,933
	850	Series 2014-SFR2, Class E, 6.231%, 10/17/36 (e)		845
	2,939	Series 2014-SFR3, Class A, 3.678%, 12/17/36 (e)		2,999
	500	Series 2014-SFR3, Class C, 4.596%, 12/17/36 (e)		494
	2,380	Series 2014-SFR3, Class E, 6.418%, 12/17/36 (e)		2,418
	4,186	Series 2015-SFR1, Class A, 3.467%, 04/17/52 (e)		4,206
	1,275	Series 2015-SFR1, Class E, 5.639%, 04/17/52 (e)		1,206
		AmeriCredit Automobile Receivables Trust,
	285	Series 2013-5, Class A3, 0.900%, 09/10/18		285
	536	Series 2015-2, Class A2A, 0.830%, 09/10/18		535
	999	Series 2016-1, Class A3, 1.810%, 10/08/20		1,002


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	3,649	ARLP Securitization Trust, Series 2015-1, Class A1, SUB, 3.967%, 05/25/55 (e)		3,551
	201	AXIS Equipment Finance Receivables II LLC, Series 2013-1A, Class A, 1.750%, 03/20/17 (e)		201
	1,858	AXIS Equipment Finance Receivables III LLC, Series 2015-1A, Class A2, 1.900%, 03/20/20 (e)		1,854
		B2R Mortgage Trust,
	1,796	Series 2015-1, Class A1, 2.524%, 05/15/48 (e)		1,779
	3,013	Series 2015-2, Class A, 3.336%, 11/15/48 (e)		3,070
	1,400	BA Credit Card Trust, Series 2015-A2, Class A, 1.360%, 09/15/20		1,403
	1,515	Banc of America Funding Corp., Series 2012-R6, Class 1A1, 3.000%, 10/26/39 (e)		1,487
		BCC Funding Corp. X,
	3,470	Series 2015-1, Class A2, 2.224%, 10/20/20 (e)		3,462
	550	Series 2015-1, Class D, 4.544%, 12/21/20 (e)		537
	320	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.806%, 04/25/36		304
	218	BMW Vehicle Owner Trust, Series 2013-A, Class A3, 0.670%, 11/27/17		218
	632	BXG Receivables Note Trust, Series 2012-A, Class A, 2.660%, 12/02/27 (e)		630
		Cabela’s Credit Card Master Note Trust,
	700	Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)		702
	880	Series 2015-2, Class A1, 2.250%, 07/17/23		890
	2,715	CAM Mortgage LLC, Series 2015-1, Class A, SUB, 3.375%, 07/15/64 (e)		2,711
		CarFinance Capital Auto Trust,
	223	Series 2014-1A, Class A, 1.460%, 12/17/18 (e)		223
	375	Series 2014-1A, Class B, 2.720%, 04/15/20 (e)		375
	1,034	Series 2015-1A, Class A, 1.750%, 06/15/21 (e)		1,026
	3,207	Carlyle Global Market Strategies Commodities Funding Ltd., (Cayman Islands), Series 2014-1A, Class A, VAR, 2.522%, 10/15/21 (e)		3,207
		CarMax Auto Owner Trust,
	385	Series 2013-4, Class A3, 0.800%, 07/16/18		385
	440	Series 2013-4, Class A4, 1.280%, 05/15/19		439


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	3,964	Series 2015-2, Class A2A, 0.820%, 06/15/18		3,961
		Carnow Auto Receivables Trust,
	483	Series 2014-1A, Class B, 1.890%, 11/15/18 (e)		482
	2,617	Series 2015-1A, Class A, 1.690%, 01/15/20 (e)		2,609
	156	Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		158
	991	Chase Funding Trust, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34		1,009
		Citi Held For Asset Issuance,
	1,407	Series 2015-PM1, Class A, 1.850%, 12/15/21 (e)		1,404
	1,459	Series 2015-PM1, Class B, 2.930%, 12/15/21 (e)		1,427
	800	Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39		1,091
	207	Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.816%, 12/25/33		199
	4,918	Colony American Homes, Series 2014-2A, Class A, VAR, 1.377%, 07/17/31 (e)		4,764
	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, 12/25/47 (d)		313
	659	Consumer Credit Origination Loan Trust, Series 2015-1, Class A, 2.820%, 03/15/21 (e)		659
		CPS Auto Receivables Trust,
	194	Series 2011-C, Class A, 4.210%, 03/15/19 (e)		194
	107	Series 2012-A, Class A, 2.780%, 06/17/19 (e)		107
	701	Series 2012-B, Class A, 2.520%, 09/16/19 (e)		701
	597	Series 2013-C, Class A, 1.640%, 04/16/18 (e)		597
	938	Series 2013-D, Class A, 1.540%, 07/16/18 (e)		936
	141	Series 2014-A, Class A, 1.210%, 08/15/18 (e)		140
	2,198	Series 2014-D, Class A, 1.490%, 04/15/19 (e)		2,182
	700	Series 2014-D, Class C, 4.350%, 11/16/20 (e)		676
	1,421	Series 2015-A, Class A, 1.530%, 07/15/19 (e)		1,410


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	223	Series 2015-A, Class C, 4.000%, 02/16/21 (e)		221
	5,396	Series 2015-B, Class A, 1.650%, 11/15/19 (e)		5,355
	2,535	Series 2015-B, Class C, 4.200%, 05/17/21 (e)		2,515
	1,376	Series 2015-C, Class D, 4.630%, 08/16/21 (e)		1,381
	2,844	Series 2016-A, Class A, 2.250%, 10/15/19 (e)		2,844
		CPS Auto Trust,
	437	Series 2012-C, Class A, 1.820%, 12/16/19 (e)		436
	71	Series 2012-D, Class A, 1.480%, 03/16/20 (e)		70
		Credit Acceptance Auto Loan Trust,
	1,800	Series 2014-1A, Class A, 1.550%, 10/15/21 (e)		1,795
	3,022	Series 2015-2A, Class A, 2.400%, 02/15/23 (e)		3,018
	579	Series 2015-2A, Class C, 3.760%, 02/15/24 (e)		577
	388	CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1, VAR, 1.336%, 10/25/34		365
		Drive Auto Receivables Trust,
	81	Series 2015-AA, Class A2, 1.010%, 11/15/17 (e)		81
	1,471	Series 2015-AA, Class D, 4.120%, 07/15/22 (e)		1,442
	2,449	Series 2015-BA, Class B, 2.120%, 06/17/19 (e)		2,449
	2,882	Series 2015-BA, Class D, 3.840%, 07/15/21 (e)		2,809
	422	Series 2015-CA, Class A2A, 1.030%, 02/15/18 (e)		421
	1,059	Series 2015-CA, Class D, 4.200%, 09/15/21 (e)		1,038
	1,320	Series 2015-DA, Class D, 4.590%, 01/17/23 (e)		1,300
	1,898	Series 2016-AA, Class B, 3.170%, 05/15/20 (e)		1,899
	2,535	Series 2016-AA, Class C, 3.910%, 05/17/21 (e)		2,542
		DT Auto Owner Trust,
	563	Series 2014-3A, Class A, 0.980%, 04/16/18 (e)		562
	498	Series 2015-1A, Class A, 1.060%, 09/17/18 (e)		498


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	1,655	Series 2015-2A, Class A, 1.240%, 09/17/18 (e)		1,652
	1,808	Series 2015-2A, Class D, 4.250%, 02/15/22 (e)		1,776
	3,919	Series 2016-1A, Class A, 2.000%, 09/16/19 (e)		3,919
		Exeter Automobile Receivables Trust,
	97	Series 2014-1A, Class A, 1.290%, 05/15/18 (e)		97
	577	Series 2014-2A, Class A, 1.060%, 08/15/18 (e)		576
	1,394	Series 2014-3A, Class A, 1.320%, 01/15/19 (e)		1,390
	556	Series 2014-3A, Class B, 2.770%, 11/15/19 (e)		549
	1,153	Series 2015-1A, Class A, 1.600%, 06/17/19 (e)		1,151
	2,125	Series 2015-1A, Class B, 2.840%, 03/16/20 (e)		2,104
	2,318	Series 2015-2A, Class A, 1.540%, 11/15/19 (e)		2,308
	2,880	Series 2015-3A, Class A, 2.000%, 03/16/20 (e)		2,875
		Fifth Third Auto Trust,
	78	Series 2013-1, Class A3, 0.880%, 10/16/17		78
	216	Series 2014-3, Class A2A, 0.570%, 05/15/17		216
	413	Series 2014-3, Class A3, 0.960%, 03/15/19		412
		First Investors Auto Owner Trust,
	772	Series 2014-3A, Class A2, 1.060%, 11/15/18 (e)		771
	884	Series 2014-3A, Class A3, 1.670%, 11/16/20 (e)		880
	1,462	Series 2015-1A, Class A2, 1.210%, 04/15/19 (e)		1,458
	1,868	Series 2015-2A, Class A1, 1.590%, 12/16/19 (e)		1,864
	373	Series 2015-2A, Class D, 4.220%, 12/15/21 (e)		360
		FirstKey Lending Trust,
	6,742	Series 2015-SFR1, Class A, 2.553%, 03/09/47 (e)		6,682
	2,246	Series 2015-SFR1, Class B, 3.417%, 03/09/47 (e)		2,195
		Flagship Credit Auto Trust,
	73	Series 2013-1, Class A, 1.320%, 04/16/18 (e)		73
	364	Series 2013-2, Class A, 1.940%, 01/15/19 (e)		364


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	439	Series 2014-1, Class A, 1.210%, 04/15/19 (e)		436
	245	Series 2014-1, Class B, 2.550%, 02/18/20 (e)		242
	1,195	Series 2014-2, Class A, 1.430%, 12/16/19 (e)		1,190
	892	Series 2014-2, Class B, 2.840%, 11/16/20 (e)		874
	440	Series 2014-2, Class C, 3.950%, 12/15/20 (e)		415
	1,786	Series 2015-1, Class A, 1.630%, 06/15/20 (e)		1,763
	5,266	Series 2015-3, Class A, 2.380%, 10/15/20 (e)		5,253
	757	Series 2015-3, Class B, 3.680%, 03/15/22 (e)		748
	756	Series 2015-3, Class C, 4.650%, 03/15/22 (e)		714
		Ford Credit Auto Owner Trust,
	358	Series 2014-C, Class A2, 0.610%, 08/15/17		357
	1,223	Series 2014-C, Class A3, 1.060%, 05/15/19		1,223
	3,956	Series 2015-B, Class A2A, 0.720%, 03/15/18		3,953
	106	Freedom Trust, Series 2011-2, Class A11, VAR, 5.000%, 08/01/46 (e)		107
	3,348	GCAT, Series 2015-2, Class A1, SUB, 3.750%, 07/25/20 (e)		3,334
	204	GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		184
	2,470	GLC II Trust, Series 2014-A, Class A, 4.000%, 12/18/20 (e)		2,433
	1,433	GLC Trust, Series 2014-A, Class A, 3.000%, 07/15/21 (e)		1,404
		GLS Auto Receivables Trust,
	4,546	Series 2015-1A, Class A, 2.250%, 12/15/20 (e)		4,520
	1,431	Series 2015-1A, Class B, 4.430%, 12/15/20 (e)		1,418
	880	GMAT Trust, Series 2013-1A, Class A, SUB, 3.967%, 11/25/43 (e)		879
		GO Financial Auto Securitization Trust,
	2,716	Series 2015-1, Class A, 1.810%, 03/15/18 (e)		2,712
	1,618	Series 2015-1, Class B, 3.590%, 10/15/20 (e)		1,614
	3,556	Series 2015-2, Class A, 3.270%, 11/15/18 (e)		3,533
	1,592	Gold Key Resorts LLC, Series 2014-A, Class A, 3.220%, 03/17/31 (e)		1,594


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	1,385	Green Tree Agency Advance Funding Trust I, Series 2015-T1, Class CT1, 3.438%, 10/15/46 (e)		1,383
	137	Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.636%, 03/25/36		122
		Honda Auto Receivables Owner Trust,
	684	Series 2013-4, Class A3, 0.690%, 09/18/17		684
	790	Series 2014-2, Class A3, 0.770%, 03/19/18		789
	457	Series 2015-1, Class A2, 0.700%, 06/15/17		456
	761	HSBC Home Equity Loan Trust USA, Series 2007-3, Class APT, VAR, 1.632%, 11/20/36		758
		Hyundai Auto Receivables Trust,
	481	Series 2015-A, Class A2, 0.680%, 10/16/17		481
	682	Series 2015-B, Class A2A, 0.690%, 04/16/18		681
	931	Series 2015-B, Class A3, 1.120%, 11/15/19		930
	3,750	Invitation Homes Trust, Series 2014-SFR1, Class A, VAR, 1.429%, 06/17/31 (e)		3,647
		KGS-Alpha SBA COOF Trust,
	12,725	Series 2012-2, Class A, IO, VAR, 0.897%, 08/25/38 (e)		366
	9,047	Series 2013-2, Class A, IO, VAR, 1.620%, 03/25/39 (e)		454
	4,118	Series 2015-2, Class A, IO, VAR, 2.744%, 07/25/41 (e)		580
	282	Long Beach Mortgage Loan Trust, Series 2006-WL2, Class 2A3, VAR, 0.636%, 01/25/36		271
		LV Tower 52 Issuer LLC,
	4,062	Series 2013-1, Class A, 5.500%, 07/15/19 (e)		3,973
	1,941	Series 2013-1, Class M, 7.500%, 07/15/19 (e)		1,837
		MarketPlace Loan Trust,
	720	Series 2015-OD1, Class A, 3.250%, 06/17/17		718
	500	Series 2015-OD1, Class B, 5.250%, 06/17/17		497
	693	Series 2015-OD2, Class A, 3.250%, 08/17/17 (e)		692
	713	Series 2015-OD2, Class B, 5.250%, 08/17/17 (e)		710
	2,877	Series 2015-OD3, Class A, 3.250%, 09/17/17 (e)		2,861
	962	Series 2015-OD3, Class B, 5.250%, 09/17/17 (e)		955
	2,697	Series 2015-OD4, Class A, 3.250%, 12/18/17 (e)		2,679


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	1,087	Series 2015-OD4, Class B, 5.250%, 12/18/17 (e)		1,075
	3,273	Mercedes-Benz Auto Receivables Trust, Series 2015-1, Class A2A, 0.820%, 06/15/18		3,268
	954	Mid-State Capital Corp. Trust, Series 2006-1, Class M1, 6.083%, 10/15/40 (e)		997
		Nationstar HECM Loan Trust,
	1,534	Series 2015-1A, Class A, 3.844%, 05/25/18 (e)		1,532
	257	Series 2015-2A, Class A, 2.883%, 11/25/25 (e)		257
	1,526	Series 2016-1A, Class A, 2.981%, 02/25/26 (e)		1,526
	1,121	Series 2016-1A, Class M1, 4.360%, 02/25/26 (e)		1,121
	122	Navitas Equipment Receivables LLC, Series 2013-1, Class A, 1.950%, 11/15/16 (e)		122
	502	NCUA Guaranteed Notes Trust, Series 2010-A1, Class A, VAR, 0.779%, 12/07/20		501
	780	New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.184%, 11/25/33		802
	3,542	Nissan Auto Lease Trust, Series 2015-A, Class A2A, 0.990%, 11/15/17		3,541
		Nissan Auto Receivables Owner Trust,
	56	Series 2012-A, Class A4, 1.000%, 07/16/18		56
	799	Series 2014-B, Class A3, 1.110%, 05/15/19		799
		NRPL Trust,
	3,027	Series 2015-1A, Class A1, SUB, 3.875%, 11/01/54 (e)		3,021
	1,522	Series 2015-1A, Class A2, SUB, 3.875%, 11/01/54 (e)		1,521
	6,940	Series 2015-2A, Class A1, SUB, 3.750%, 10/25/57 (e)		6,802
		NRZ Advance Receivables Trust Advance Receivables Backed Notes,
	3,500	Series 2015-T1, Class AT1, 2.315%, 08/15/46 (e)		3,488
	1,000	Series 2015-T1, Class CT1, 3.100%, 08/15/46 (e)		999
	1,500	Series 2015-T1, Class DT1, 3.600%, 08/15/46 (e)		1,496
	2,411	Series 2015-T2, Class DT2, 4.679%, 08/17/48 (e)		2,412
	850	Series 2015-T3, Class DT3, 4.266%, 11/15/46 (e)		849
		Oak Hill Advisors Residential Loan Trust,
	3,025	Series 2014-NPL2, Class A1, SUB, 3.352%, 04/25/54 (e)		3,001


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	1,371	Series 2014-NPL2, Class A2, SUB, 4.000%, 04/25/54 (e)		1,358
	1,901	Series 2015-NPL1, Class A1, SUB, 3.475%, 01/25/55 (e)		1,895
	1,558	Series 2015-NPL1, Class A2, SUB, 4.000%, 01/25/55 (e)		1,530
	2,433	Series 2015-NPL2, Class A1, SUB, 3.721%, 07/25/55 (e)		2,419
	769	Series 2015-NPL2, Class A2, SUB, 4.000%, 07/25/55 (e)		754
		Ocwen Master Advance Receivables Trust,
	492	Series 2015-T1, Class AT1, 2.537%, 09/17/46 (e)		492
	2,668	Series 2015-T1, Class BT1, 3.031%, 09/17/46 (e)		2,661
	1,752	Series 2015-T1, Class DT1, 4.100%, 09/17/46 (e)		1,749
	751	Series 2015-T2, Class DT2, 4.258%, 11/15/46 (e)		750
	2,934	Series 2015-T3, Class AT3, 3.211%, 11/15/47 (e)		2,937
	654	Series 2015-T3, Class BT3, 3.704%, 11/15/47 (e)		654
	487	Series 2015-T3, Class CT3, 4.196%, 11/15/47 (e)		487
	2,500	Series 2015-T3, Class DT3, 4.687%, 11/15/47 (e)		2,505
	2,952	OnDeck Asset Securitization Trust LLC, Series 2014-1A, Class A, 3.150%, 05/17/18 (e)		2,951
		OneMain Financial Issuance Trust,
	2,744	Series 2014-1A, Class A, 2.430%, 06/18/24 (e)		2,739
	402	Series 2014-1A, Class B, 3.240%, 06/18/24 (e)		393
	3,672	Series 2014-2A, Class A, 2.470%, 09/18/24 (e)		3,655
	1,491	Series 2014-2A, Class B, 3.020%, 09/18/24 (e)		1,440
	4,603	Series 2015-1A, Class A, 3.190%, 03/18/26 (e)		4,523
	550	Series 2015-1A, Class B, 3.850%, 03/18/26 (e)		539
	9,374	Series 2015-2A, Class A, 2.570%, 07/18/25 (e)		9,160
	1,911	Series 2015-2A, Class B, 3.100%, 07/18/25 (e)		1,829
		Oportun Funding II LLC,
	4,448	Series 2016-A, Class A, 4.700%, 03/08/21 (e)		4,448


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	1,622	Series 2016-A, Class B, 6.410%, 03/08/21 (e)		1,622
	199	Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-MCW1, Class M1, VAR, 1.373%, 10/25/34		199
	334	PFS Tax Lien Trust, Series 2014-1, 1.440%, 05/15/29 (e)		333
		Pretium Mortgage Credit Partners I LLC,
	1,830	Series 2015-NPL2, Class A1, SUB, 3.750%, 07/27/30 (e)		1,806
	2,000	Series 2015-NPL2, Class A2, SUB, 4.250%, 07/27/30 (e)		1,967
	2,353	Progreso Receivables Funding II LLC, Series 2014-A, Class A, 3.500%, 07/08/19 (e)		2,356
		Progreso Receivables Funding III LLC,
	3,531	Series 2015-A, Class A, 3.625%, 02/08/20 (e)		3,531
	906	Series 2015-A, Class B, 5.500%, 02/08/20 (e)		906
		Progreso Receivables Funding IV LLC,
	1,603	Series 2015-B, Class A, 3.000%, 07/28/20 (e)		1,593
	726	Series 2015-B, Class B, 5.000%, 07/28/20 (e)		726
		Progress Residential Trust,
	3,972	Series 2015-SFR2, Class A, 2.740%, 06/12/32 (e)		3,880
	2,012	Series 2015-SFR2, Class B, 3.138%, 06/12/32 (e)		1,950
	2,566	Series 2015-SFR2, Class C, 3.436%, 06/12/32 (e)		2,474
	1,230	Series 2015-SFR2, Class E, 4.427%, 06/12/32 (e)		1,139
	5,256	Series 2015-SFR3, Class A, 3.067%, 11/12/32 (e)		5,320
	295	Series 2015-SFR3, Class D, 4.673%, 11/12/32 (e)		293
	1,200	Series 2015-SFR3, Class E, 5.660%, 11/12/32 (e)		1,217
		Purchasing Power Funding LLC,
	4,000	Series 2015-A, Class A2, 4.750%, 12/15/19 (e)		3,980
	1,258	Series 2015-A, Class B, 6.000%, 12/15/19 (e)		1,258
	1,035	RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.736%, 03/25/36		1,011
	1,149	RBSHD Trust, Series 2013-1A, Class A, SUB, 4.685%, 10/25/47 (e)		1,149


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	293	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37		130
	2,810	RMAT LLC, Series 2015-NPL1, Class A1, SUB, 3.750%, 05/25/55 (e)		2,793
		Santander Drive Auto Receivables Trust,
	1,726	Series 2015-S1, Class R1, 1.930%, 09/17/19 (e)		1,713
	403	Series 2015-S2, Class R1, 1.840%, 11/18/19 (e)		400
	1,546	Series 2015-S7, Class R1, 1.970%, 03/16/21 (e)		1,534
	233	Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33		236
	287	Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 3.384%, 01/25/36		204
	975	Selene Non-Performing Loans LLC, Series 2014-1A, Class A, SUB, 2.981%, 05/25/54 (e)		966
	893	Skopos Auto Receivables Trust, Series 2015-2A, Class A, 3.550%, 02/15/20 (e)		892
	69	SNAAC Auto Receivables Trust, Series 2014-1A, Class A, 1.030%, 09/17/18 (e)		69
		SpringCastle America Funding LLC,
	5,552	Series 2014-AA, Class A, 2.700%, 05/25/23 (e)		5,529
	1,500	Series 2014-AA, Class B, 4.610%, 10/25/27 (e)		1,504
		Springleaf Funding Trust,
	6,533	Series 2014-AA, Class A, 2.410%, 12/15/22 (e)		6,522
	525	Series 2014-AA, Class B, 3.450%, 12/15/22 (e)		523
	3,841	Series 2015-AA, Class A, 3.160%, 11/15/24 (e)		3,785
	1,087	Series 2015-AA, Class B, 3.620%, 11/15/24 (e)		1,019
		SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes,
	2,499	Series 2015-T2, Class CT2, 3.740%, 01/15/47 (e)		2,500
	1,719	Series 2015-T2, Class DT2, 4.230%, 01/15/47 (e)		1,719
	8,499	Series 2015-T3, Class CT3, 3.910%, 07/15/47 (e)		8,520
	131	Stanwich Mortgage Loan Co. LLC, Series 2013-NPL2, Class A, 3.228%, 04/16/59 (e)		130


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	2,377	Sunset Mortgage Loan Co. LLC, Series 2014-NPL2, Class A, SUB, 3.721%, 11/16/44 (e)		2,365
	4,251	Trafigura Securitisation Finance plc, (Ireland), Series 2014-1A, Class A, VAR, 1.381%, 10/15/21 (e)		4,187
	957	Tricon American Homes Trust, Series 2015-SFR1, Class A, VAR, 1.679%, 05/17/32 (e)		915
		Truman Capital Mortgage Loan Trust,
	583	Series 2014-NPL1, Class A1, SUB, 3.228%, 07/25/53 (e)		580
	839	Series 2014-NPL2, Class A2, SUB, 4.000%, 06/25/54 (e)		830
	321	Series 2014-NPL3, Class A1, SUB, 3.125%, 04/25/53 (e)		320
	2,919	U.S. Residential Opportunity Fund II Trust, Series 2015-1II, Class A, 3.721%, 02/27/35 (e)		2,870
	3,691	U.S. Residential Opportunity Fund III Trust, Series 2015-1III, Class A, 3.721%, 01/27/35 (e)		3,663
	4,020	Vericrest Opportunity Loan Trust, Series 2015-NPL3, Class A1, SUB, 3.375%, 10/25/58 (e)		3,952
	696	VML LLC, Series 2014-NPL1, Class A1, VAR, 3.875%, 04/27/54 (e)		692
	667	VOLT NPL X LLC, Series 2014-NPL8, Class A1, SUB, 3.375%, 10/26/54 (e)		659
		VOLT XIX LLC,
	2,025	Series 2014-NP11, Class A1, SUB, 3.875%, 04/25/55 (e)		2,026
	400	Series 2014-NP11, Class A2, SUB, 5.000%, 04/25/55 (e)		393
	2,770	VOLT XL LLC, Series 2015-NP14, Class A1, SUB, 4.375%, 11/27/45 (e)		2,766
		VOLT XXII LLC,
	2,109	Series 2015-NPL4, Class A1, SUB, 3.500%, 02/25/55 (e)		2,091
	666	Series 2015-NPL4, Class A2, SUB, 4.250%, 02/25/55 (e)		638
	2,563	VOLT XXIV LLC, Series 2015-NPL6, Class A1, SUB, 3.500%, 02/25/55 (e)		2,539
	7,688	VOLT XXV LLC, Series 2015-NPL8, Class A1, SUB, 3.500%, 06/26/45 (e)		7,565
		VOLT XXVI LLC,
	1,550	Series 2014-NPL6, Class A1, SUB, 3.125%, 09/25/43 (e)		1,527
	921	Series 2014-NPL6, Class A2, SUB, 4.250%, 09/25/43 (e)		904


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	4,530		VOLT XXVII LLC, Series 2014-NPL7, Class A1, SUB, 3.375%, 08/27/57 (e)		4,461
	2,979		VOLT XXX LLC, Series 2015-NPL1, Class A1, SUB, 3.625%, 10/25/57 (e)		2,935
	2,501		VOLT XXXI LLC, Series 2015-NPL2, Class A1, SUB, 3.375%, 02/25/55 (e)		2,466
	2,463		VOLT XXXIII LLC, Series 2015-NPL5, Class A1, SUB, 3.500%, 03/25/55 (e)		2,420
	3,126		VOLT XXXV LLC, Series 2015-NPL9, Class A1, SUB, 3.500%, 06/26/45 (e)		3,091
	1,247		VOLT XXXIX LLC, Series 2015-NP13, Class A1, SUB, 4.125%, 10/25/45 (e)		1,241
			Westgate Resorts LLC,
	137		Series 2012-3A, Class A, 2.500%, 03/20/25 (e)		137
	502		Series 2013-1A, Class A, 2.250%, 08/20/25 (e)		502
	496		Series 2015-1A, Class A, 2.750%, 05/20/27 (e)		493
			World Omni Auto Receivables Trust,
	607		Series 2013-B, Class A3, 0.830%, 08/15/18		606
	413		Series 2013-B, Class A4, 1.320%, 01/15/20		413

			Total Asset-Backed Securities (Cost $460,260)		456,103

	Collateralized Mortgage Obligations — 18.0%
			Agency CMO — 13.8%
			Federal Home Loan Mortgage Corp.,
	4,225		08/15/22		4,215
	2,894		08/01/23		2,893
	8,900		05/20/55		8,867
	140		Federal Home Loan Mortgage Corp. — Government National Mortgage Association, Series 8, Class ZA, 7.000%, 03/25/23		154
			Federal Home Loan Mortgage Corp. REMIC,
	4		Series 22, Class C, 9.500%, 04/15/20		4
	7		Series 23, Class F, 9.600%, 04/15/20		7
	—	(h)	Series 47, Class F, 10.000%, 06/15/20		1
	2		Series 99, Class Z, 9.500%, 01/15/21		2
	—	(h)	Series 204, Class E, HB, IF, 1,803.548%, 05/15/23		—	(h)
	—	(h)	Series 1045, Class G, HB, 1,066.208%, 02/15/21		—	(h)
	3		Series 1065, Class J, 9.000%, 04/15/21		4
	1		Series 1079, Class S, HB, IF, 32.548%, 05/15/21		1
	3		Series 1084, Class F, VAR, 1.377%, 05/15/21		3
	2		Series 1084, Class S, HB, IF, 43.304%, 05/15/21		3


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — continued
	6		Series 1116, Class I, 5.500%, 08/15/21		7
	8		Series 1144, Class KB, 8.500%, 09/15/21		9
	—	(h)	Series 1172, Class L, HB, VAR, 1,167.776%, 11/15/21		—	(h)
	—	(h)	Series 1196, Class B, HB, IF, 1,147.060%, 01/15/22		3
	7		Series 1250, Class J, 7.000%, 05/15/22		7
	12		Series 1343, Class LA, 8.000%, 08/15/22		14
	16		Series 1343, Class LB, 7.500%, 08/15/22		18
	27		Series 1370, Class JA, VAR, 1.577%, 09/15/22		27
	26		Series 1455, Class WB, IF, 4.462%, 12/15/22		28
	124		Series 1466, Class PZ, 7.500%, 02/15/23		138
	2		Series 1470, Class F, VAR, 1.655%, 02/15/23		2
	142		Series 1498, Class I, VAR, 1.577%, 04/15/23		145
	206		Series 1502, Class PX, 7.000%, 04/15/23		225
	24		Series 1505, Class Q, 7.000%, 05/15/23		27
	55		Series 1518, Class G, IF, 8.579%, 05/15/23		66
	18		Series 1541, Class M, HB, IF, 24.900%, 07/15/23		28
	48		Series 1541, Class O, VAR, 1.190%, 07/15/23		49
	5		Series 1570, Class F, VAR, 2.155%, 08/15/23		6
	187		Series 1573, Class PZ, 7.000%, 09/15/23		208
	110		Series 1591, Class PV, 6.250%, 10/15/23		122
	27		Series 1602, Class SA, HB, IF, 21.362%, 10/15/23		43
	497		Series 1608, Class L, 6.500%, 09/15/23		567
	330		Series 1638, Class H, 6.500%, 12/15/23		376
	229		Series 1642, Class PJ, 6.000%, 11/15/23		252
	14		Series 1671, Class QC, IF, 10.000%, 02/15/24		21
	12		Series 1686, Class SH, IF, 18.277%, 02/15/24		17
	79		Series 1695, Class EB, 7.000%, 03/15/24		89
	16		Series 1699, Class FC, VAR, 1.027%, 03/15/24		16
	85		Series 1700, Class GA, PO, 02/15/24		82
	210		Series 1706, Class K, 7.000%, 03/15/24		235
	8		Series 1709, Class FA, VAR, 1.250%, 03/15/24		8
	26		Series 1745, Class D, 7.500%, 08/15/24		29


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	476	Series 1760, Class ZD, VAR, 1.600%, 02/15/24		479
	173	Series 1798, Class F, 5.000%, 05/15/23		186
	3	Series 1807, Class G, 9.000%, 10/15/20		3
	44	Series 1829, Class ZB, 6.500%, 03/15/26		48
	45	Series 1863, Class Z, 6.500%, 07/15/26		51
	39	Series 1865, Class D, PO, 02/15/24		35
	39	Series 1890, Class H, 7.500%, 09/15/26		45
	121	Series 1899, Class ZE, 8.000%, 09/15/26		139
	7	Series 1935, Class FL, VAR, 1.127%, 02/15/27		7
	84	Series 1963, Class Z, 7.500%, 01/15/27		97
	12	Series 1970, Class PG, 7.250%, 07/15/27		14
	152	Series 1981, Class Z, 6.000%, 05/15/27		170
	53	Series 1987, Class PE, 7.500%, 09/15/27		59
	137	Series 2019, Class Z, 6.500%, 12/15/27		153
	38	Series 2033, Class SN, HB, IF, 28.489%, 03/15/24		21
	104	Series 2038, Class PN, IO, 7.000%, 03/15/28		24
	233	Series 2040, Class PE, 7.500%, 03/15/28		267
	32	Series 2043, Class CJ, 6.500%, 04/15/28		36
	158	Series 2054, Class PV, 7.500%, 05/15/28		181
	311	Series 2075, Class PH, 6.500%, 08/15/28		347
	350	Series 2075, Class PM, 6.250%, 08/15/28		392
	93	Series 2086, Class GB, 6.000%, 09/15/28		104
	145	Series 2089, Class PJ, IO, 7.000%, 10/15/28		17
	420	Series 2095, Class PE, 6.000%, 11/15/28		479
	133	Series 2125, Class JZ, 6.000%, 02/15/29		147
	31	Series 2132, Class SB, HB, IF, 28.703%, 03/15/29		58
	13	Series 2134, Class PI, IO, 6.500%, 03/15/19		1
	175	Series 2136, Class PG, 6.000%, 03/15/29		200
	52	Series 2141, Class IO, IO, 7.000%, 04/15/29		6
	51	Series 2163, Class PC, IO, 7.500%, 06/15/29		7
	517	Series 2169, Class TB, 7.000%, 06/15/29		594
	271	Series 2172, Class QC, 7.000%, 07/15/29		307
	241	Series 2176, Class OJ, 7.000%, 08/15/29		281
	137	Series 2201, Class C, 8.000%, 11/15/29		158
	134	Series 2209, Class TC, 8.000%, 01/15/30		162
	221	Series 2210, Class Z, 8.000%, 01/15/30		256
	44	Series 2224, Class CB, 8.000%, 03/15/30		53
	120	Series 2230, Class Z, 8.000%, 04/15/30		140
	97	Series 2234, Class PZ, 7.500%, 05/15/30		112


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	84	Series 2247, Class Z, 7.500%, 08/15/30		98
	127	Series 2256, Class MC, 7.250%, 09/15/30		147
	204	Series 2259, Class ZM, 7.000%, 10/15/30		234
	6	Series 2261, Class ZY, 7.500%, 10/15/30		7
	28	Series 2262, Class Z, 7.500%, 10/15/30		33
	262	Series 2271, Class PC, 7.250%, 12/15/30		302
	241	Series 2283, Class K, 6.500%, 12/15/23		266
	117	Series 2296, Class PD, 7.000%, 03/15/31		137
	35	Series 2306, Class K, PO, 05/15/24		34
	83	Series 2306, Class SE, IF, IO, 8.500%, 05/15/24		10
	147	Series 2313, Class LA, 6.500%, 05/15/31		168
	184	Series 2325, Class PM, 7.000%, 06/15/31		216
	24	Series 2344, Class QG, 6.000%, 08/15/16		24
	1,208	Series 2344, Class ZD, 6.500%, 08/15/31		1,420
	98	Series 2344, Class ZJ, 6.500%, 08/15/31		112
	99	Series 2345, Class NE, 6.500%, 08/15/31		115
	11	Series 2345, Class PQ, 6.500%, 08/15/16		11
	99	Series 2351, Class PZ, 6.500%, 08/15/31		114
	854	Series 2353, Class AZ, 6.000%, 09/15/31		973
	14	Series 2353, Class TD, 6.000%, 09/15/16		14
	8	Series 2355, Class BP, 6.000%, 09/15/16		8
	7	Series 2359, Class PM, 6.000%, 09/15/16		7
	383	Series 2359, Class ZB, 8.500%, 06/15/31		454
	20	Series 2360, Class PG, 6.000%, 09/15/16		20
	2	Series 2363, Class PF, 6.000%, 09/15/16		2
	9	Series 2366, Class MD, 6.000%, 10/15/16		9
	195	Series 2367, Class ME, 6.500%, 10/15/31		222
	19	Series 2391, Class QR, 5.500%, 12/15/16		19
	16	Series 2394, Class MC, 6.000%, 12/15/16		16
	425	Series 2396, Class FM, VAR, 0.877%, 12/15/31		430
	216	Series 2399, Class OH, 6.500%, 01/15/32		244
	363	Series 2399, Class TH, 6.500%, 01/15/32		408
	346	Series 2410, Class NG, 6.500%, 02/15/32		394
	130	Series 2410, Class OE, 6.375%, 02/15/32		139
	241	Series 2410, Class QS, IF, 18.390%, 02/15/32		387
	130	Series 2410, Class QX, IF, IO, 8.223%, 02/15/32		42
	270	Series 2412, Class SP, IF, 15.246%, 02/15/32		370
	383	Series 2420, Class XK, 6.500%, 02/15/32		433
	347	Series 2423, Class MC, 7.000%, 03/15/32		402
	304	Series 2423, Class MT, 7.000%, 03/15/32		353
	26	Series 2425, Class OB, 6.000%, 03/15/17		27
	612	Series 2430, Class WF, 6.500%, 03/15/32		711
	354	Series 2434, Class TC, 7.000%, 04/15/32		416


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	403	Series 2435, Class CJ, 6.500%, 04/15/32		473
	281	Series 2436, Class MC, 7.000%, 04/15/32		316
	237	Series 2444, Class ES, IF, IO, 7.523%, 03/15/32		66
	161	Series 2450, Class GZ, 7.000%, 05/15/32		186
	189	Series 2450, Class SW, IF, IO, 7.573%, 03/15/32		53
	768	Series 2455, Class GK, 6.500%, 05/15/32		883
	4	Series 2458, Class QE, 5.500%, 06/15/17		4
	263	Series 2462, Class JG, 6.500%, 06/15/32		303
	595	Series 2464, Class SI, IF, IO, 7.573%, 02/15/32		137
	575	Series 2466, Class PH, 6.500%, 06/15/32		667
	289	Series 2474, Class NR, 6.500%, 07/15/32		331
	344	Series 2484, Class LZ, 6.500%, 07/15/32		399
	434	Series 2500, Class MC, 6.000%, 09/15/32		497
	12	Series 2503, Class BH, 5.500%, 09/15/17		13
	69	Series 2508, Class AQ, 5.500%, 10/15/17		71
	320	Series 2512, Class PG, 5.500%, 10/15/22		349
	174	Series 2535, Class BK, 5.500%, 12/15/22		189
	134	Series 2537, Class TE, 5.500%, 12/15/17		138
	622	Series 2543, Class YX, 6.000%, 12/15/32		703
	593	Series 2544, Class HC, 6.000%, 12/15/32		676
	686	Series 2552, Class ME, 6.000%, 01/15/33		786
	679	Series 2567, Class QD, 6.000%, 02/15/33		775
	430	Series 2568, Class KG, 5.500%, 02/15/23		472
	79	Series 2571, Class SK, HB, IF, 32.659%, 09/15/23		142
	1,684	Series 2575, Class ME, 6.000%, 02/15/33		1,861
	217	Series 2586, Class WI, IO, 6.500%, 03/15/33		40
	302	Series 2587, Class WX, 5.000%, 03/15/18		310
	460	Series 2596, Class QG, 6.000%, 03/15/33		507
	111	Series 2611, Class UH, 4.500%, 05/15/18		114
	207	Series 2617, Class GR, 4.500%, 05/15/18		212
	159	Series 2626, Class NS, IF, IO, 6.123%, 06/15/23		8
	229	Series 2631, Class LC, 4.500%, 06/15/18		235
	113	Series 2636, Class Z, 4.500%, 06/15/18		117
	158	Series 2637, Class SA, IF, IO, 5.673%, 06/15/18		8
	24	Series 2638, Class DS, IF, 8.173%, 07/15/23		26
	107	Series 2650, Class PO, PO, 12/15/32		106
	549	Series 2650, Class SO, PO, 12/15/32		538
	170	Series 2651, Class VZ, 4.500%, 07/15/18		176


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	821	Series 2675, Class CK, 4.000%, 09/15/18		841
	499	Series 2684, Class PO, PO, 01/15/33		496
	94	Series 2692, Class SC, IF, 12.433%, 07/15/33		109
	252	Series 2695, Class DG, 4.000%, 10/15/18		259
	3	Series 2696, Class CO, PO, 10/15/18		3
	1,064	Series 2710, Class HB, 5.500%, 11/15/23		1,162
	674	Series 2716, Class UN, 4.500%, 12/15/23		718
	322	Series 2720, Class PC, 5.000%, 12/15/23		348
	193	Series 2744, Class PE, 5.500%, 02/15/34		205
	327	Series 2744, Class TU, 5.500%, 05/15/32		333
	9	Series 2780, Class JG, 4.500%, 04/15/19		9
	478	Series 2783, Class AT, 4.000%, 04/15/19		490
	1,213	Series 2809, Class UC, 4.000%, 06/15/19		1,248
	50	Series 2835, Class QO, PO, 12/15/32		46
	51	Series 2840, Class JO, PO, 06/15/23		50
	127	Series 2922, Class JN, 4.500%, 02/15/20		132
	370	Series 2934, Class EC, PO, 02/15/20		359
	308	Series 2934, Class HI, IO, 5.000%, 02/15/20		21
	274	Series 2934, Class KI, IO, 5.000%, 02/15/20		17
	202	Series 2958, Class QD, 4.500%, 04/15/20		208
	1,165	Series 2965, Class GD, 4.500%, 04/15/20		1,208
	24	Series 2989, Class PO, PO, 06/15/23		24
	3,367	Series 2990, Class UZ, 5.750%, 06/15/35		3,877
	1,233	Series 3004, Class EK, 5.500%, 07/15/35		1,344
	66	Series 3014, Class OD, PO, 08/15/35		63
	944	Series 3047, Class OD, 5.500%, 10/15/35		1,093
	3,095	Series 3064, Class MC, 5.500%, 11/15/35		3,628
	15	Series 3068, Class AO, PO, 01/15/35		14
	185	Series 3068, Class QB, 4.500%, 06/15/20		189
	1,483	Series 3074, Class BH, 5.000%, 11/15/35		1,616
	340	Series 3085, Class WF, VAR, 1.227%, 08/15/35		346
	587	Series 3102, Class FB, VAR, 0.727%, 01/15/36		588
	136	Series 3102, Class HS, HB, IF, 23.001%, 01/15/36		220
	690	Series 3117, Class EO, PO, 02/15/36		662
	398	Series 3117, Class OK, PO, 02/15/36		381
	19	Series 3122, Class ZB, 6.000%, 03/15/36		30
	1,391	Series 3131, Class BK, 5.500%, 03/15/26		1,534
	116	Series 3134, Class PO, PO, 03/15/36		111
	552	Series 3138, Class PO, PO, 04/15/36		527
	31	Series 3149, Class SO, PO, 05/15/36		27


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	436	Series 3151, Class UC, 5.500%, 08/15/35		459
	496	Series 3152, Class MO, PO, 03/15/36		470
	127	Series 3171, Class MO, PO, 06/15/36		121
	450	Series 3179, Class OA, PO, 07/15/36		419
	93	Series 3194, Class SA, IF, IO, 6.673%, 07/15/36		15
	464	Series 3211, Class SO, PO, 09/15/36		411
	216	Series 3218, Class AO, PO, 09/15/36		206
	437	Series 3219, Class DI, IO, 6.000%, 04/15/36		82
	1,153	Series 3229, Class HE, 5.000%, 10/15/26		1,257
	459	Series 3232, Class ST, IF, IO, 6.273%, 10/15/36		80
	181	Series 3233, Class OP, PO, 05/15/36		172
	292	Series 3256, Class PO, PO, 12/15/36		280
	627	Series 3260, Class CS, IF, IO, 5.713%, 01/15/37		94
	341	Series 3261, Class OA, PO, 01/15/37		324
	161	Series 3274, Class JO, PO, 02/15/37		149
	121	Series 3275, Class FL, VAR, 0.867%, 02/15/37		122
	664	Series 3290, Class SB, IF, IO, 6.023%, 03/15/37		103
	1,211	Series 3315, Class HZ, 6.000%, 05/15/37		1,306
	57	Series 3318, Class AO, PO, 05/15/37		53
	88	Series 3326, Class JO, PO, 06/15/37		83
	337	Series 3331, Class PO, PO, 06/15/37		318
	291	Series 3385, Class SN, IF, IO, 5.573%, 11/15/37		39
	500	Series 3387, Class SA, IF, IO, 5.993%, 11/15/37		82
	798	Series 3404, Class SC, IF, IO, 5.573%, 01/15/38		121
	4,371	Series 3422, Class AI, IO, SUB, 0.250%, 01/15/38		48
	503	Series 3424, Class PI, IF, IO, 6.373%, 04/15/38		84
	967	Series 3481, Class SJ, IF, IO, 5.423%, 08/15/38		137
	690	Series 3511, Class SA, IF, IO, 5.573%, 02/15/39		130
	216	Series 3549, Class FA, VAR, 1.627%, 07/15/39		220
	269	Series 3607, Class BO, PO, 04/15/36		255
	858	Series 3607, Class OP, PO, 07/15/37		771
	456	Series 3607, Class PO, PO, 05/15/37		437
	126	Series 3611, Class PO, PO, 07/15/34		119


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	353	Series 3621, Class BO, PO, 01/15/40		315
	417	Series 3720, Class A, 4.500%, 09/15/25		452
	860	Series 3739, Class LI, IO, 4.000%, 03/15/34		20
	2,527	Series 3747, Class HI, IO, 4.500%, 07/15/37		121
	1,000	Series 3747, Class PY, 4.000%, 10/15/40		1,103
	1,432	Series 3759, Class HI, IO, 4.000%, 08/15/37		81
	1,291	Series 3760, Class GI, IO, 4.000%, 10/15/37		54
	9,334	Series 3774, Class EW, 3.500%, 12/15/25		10,050
	5,000	Series 3793, Class AB, 3.500%, 01/15/26		5,417
	51	Series 3798, Class BF, VAR, 0.727%, 06/15/24		51
	417	Series 3804, Class FN, VAR, 0.877%, 03/15/39		418
	2,398	Series 3819, Class ZQ, 6.000%, 04/15/36		2,741
	551	Series 3852, Class QN, IF, 5.500%, 05/15/41		598
	1,647	Series 3852, Class TP, IF, 5.500%, 05/15/41		1,864
	1,848	Series 3920, Class LP, 5.000%, 01/15/34		2,061
	1,117	Series 3925, Class FL, VAR, 0.877%, 01/15/41		1,125
	870	Series 3957, Class B, 4.000%, 11/15/41		936
	1,145	Series 3966, Class NA, 4.000%, 12/15/41		1,247
	623	Series 3997, Class PF, VAR, 0.877%, 11/15/39		625
	2,584	Series 4048, Class FJ, VAR, 0.828%, 07/15/37		2,583
	2,000	Series 4217, Class KY, 3.000%, 06/15/43		2,055
	6,578	Series 4219, Class JA, 3.500%, 08/15/39		6,942
	2,501	Series 4240, Class B, 3.000%, 08/15/33		2,606
	3,684	Series 4251, Class KW, 2.500%, 04/15/28		3,665
	6,024	Series 4374, Class NC, SUB, 1.750%, 02/15/46		6,289
		Federal Home Loan Mortgage Corp. STRIPS,
	1	Series 134, Class B, IO, 9.000%, 04/01/22		—	(h)
	899	Series 233, Class 11, IO, 5.000%, 09/15/35		141
	1,273	Series 233, Class 13, IO, 5.000%, 09/15/35		204
	188	Series 243, Class 16, IO, 4.500%, 11/15/20		9
	442	Series 243, Class 17, IO, 4.500%, 12/15/20		25
	7,458	Series 262, Class 35, 3.500%, 07/15/42		7,784
	2,036	Series 264, Class F1, VAR, 0.977%, 07/15/42		2,008
	8,027	Series 299, Class 300, 3.000%, 01/15/43		8,206
	2,255	Series 310, Class PO, PO, 09/15/43		1,847
	4,407	Series 323, Class 300, 3.000%, 01/15/44		4,499


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	459	Series T-41, Class 3A, VAR, 5.990%, 07/25/32		535
	269	Series T-51, Class 2A, VAR, 7.500%, 08/25/42		330
	1,609	Series T-54, Class 2A, 6.500%, 02/25/43		1,937
	479	Series T-54, Class 3A, 7.000%, 02/25/43		574
	186	Series T-58, Class APO, PO, 09/25/43		161
	408	Series T-59, Class 1AP, PO, 10/25/43		340
	1,617	Series T-76, Class 2A, VAR, 2.929%, 10/25/37		1,678
		Federal National Mortgage Association — ACES,
	3,201	Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20		3,476
	1,416	Series 2011-M2, Class A2, 3.645%, 04/25/21		1,531
	8,500	Series 2011-M2, Class A3, 3.764%, 04/25/21		9,333
	4,100	Series 2012-M9, Class A2, 2.482%, 04/25/22		4,227
	210	Series 2012-M11, Class FA, VAR, 0.932%, 08/25/19		210
	1,878	Series 2013-M7, Class A2, 2.280%, 12/27/22		1,884
	8,000	Series 2013-M9, Class A2, VAR, 2.389%, 01/25/23		8,098
	4,200	Series 2013-M13, Class A2, VAR, 2.624%, 04/25/23		4,280
	2,664	Series 2014-M2, Class A2, VAR, 3.513%, 12/25/23		2,874
	2,500	Series 2014-M3, Class A2, VAR, 3.475%, 01/25/24		2,693
	153	Series 2014-M5, Class FA, VAR, 0.777%, 01/25/17		153
	7,700	Series 2014-M12, Class ASV2, VAR, 2.614%, 10/25/21		8,042
	3,818	Series 2014-M13, Class A2, VAR, 3.021%, 08/25/24		4,009
	5,740	Series 2015-M7, Class A2, 2.590%, 12/25/24		5,810
	6,000	Series 2015-M8, Class A2, VAR, 2.900%, 01/25/25		6,189
	8,555	Series 2015-M10, Class A2, VAR, 3.092%, 04/25/27		9,096
	9,693	Series 2016-M1, Class A2, VAR, 2.939%, 01/25/26		10,052


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — continued
			Federal National Mortgage Association Grantor Trust,
	760		Series 2002-T19, Class A2, 7.000%, 07/25/42		906
	595		Series 2004-T3, Class 1A3, 7.000%, 02/25/44		710
			Federal National Mortgage Association REMIC,
	2		Series 1988-7, Class Z, 9.250%, 04/25/18		2
	6		Series 1989-70, Class G, 8.000%, 10/25/19		7
	3		Series 1989-78, Class H, 9.400%, 11/25/19		3
	5		Series 1989-83, Class H, 8.500%, 11/25/19		5
	4		Series 1989-89, Class H, 9.000%, 11/25/19		4
	4		Series 1990-1, Class D, 8.800%, 01/25/20		5
	1		Series 1990-60, Class K, 5.500%, 06/25/20		1
	1		Series 1990-63, Class H, 9.500%, 06/25/20		2
	1		Series 1990-93, Class G, 5.500%, 08/25/20		1
	—	(h)	Series 1990-94, Class H, HB, 505.000%, 08/25/20		—	(h)
	—	(h)	Series 1990-95, Class J, HB, 1,118.040%, 08/25/20		—	(h)
	10		Series 1990-102, Class J, 6.500%, 08/25/20		11
	11		Series 1990-120, Class H, 9.000%, 10/25/20		12
	1		Series 1990-134, Class SC, HB, IF, 20.946%, 11/25/20		1
	—	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20		1
	4		Series 1991-24, Class Z, 5.000%, 03/25/21		5
	1		Series 1992-101, Class J, 7.500%, 06/25/22		1
	25		Series 1992-136, Class PK, 6.000%, 08/25/22		27
	21		Series 1992-143, Class MA, 5.500%, 09/25/22		22
	67		Series 1992-163, Class M, 7.750%, 09/25/22		75
	105		Series 1992-188, Class PZ, 7.500%, 10/25/22		118
	41		Series 1993-21, Class KA, 7.700%, 03/25/23		46
	61		Series 1993-25, Class J, 7.500%, 03/25/23		67
	16		Series 1993-27, Class SA, IF, 15.500%, 02/25/23		22
	24		Series 1993-62, Class SA, IF, 19.005%, 04/25/23		35
	12		Series 1993-165, Class SD, IF, 13.467%, 09/25/23		16


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	27	Series 1993-165, Class SK, IF, 12.500%, 09/25/23		31
	19	Series 1993-179, Class SB, HB, IF, 26.884%, 10/25/23		32
	13	Series 1993-179, Class SC, IF, 10.500%, 10/25/23		16
	13	Series 1993-199, Class FA, VAR, 0.986%, 10/25/23		13
	35	Series 1993-205, Class H, PO, 09/25/23		34
	57	Series 1993-225, Class UB, 6.500%, 12/25/23		63
	19	Series 1993-230, Class FA, VAR, 1.036%, 12/25/23		20
	49	Series 1993-247, Class FE, VAR, 1.436%, 12/25/23		49
	23	Series 1993-247, Class SU, IF, 12.295%, 12/25/23		30
	203	Series 1994-37, Class L, 6.500%, 03/25/24		232
	1,023	Series 1994-40, Class Z, 6.500%, 03/25/24		1,122
	46	Series 1995-2, Class Z, 8.500%, 01/25/25		53
	239	Series 1995-19, Class Z, 6.500%, 11/25/23		274
	214	Series 1996-14, Class SE, IF, IO, 8.710%, 08/25/23		49
	1	Series 1996-27, Class FC, VAR, 0.936%, 03/25/17		1
	18	Series 1996-59, Class J, 6.500%, 08/25/22		20
	181	Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		5
	15	Series 1997-27, Class J, 7.500%, 04/18/27		17
	35	Series 1997-29, Class J, 7.500%, 04/20/27		40
	234	Series 1997-39, Class PD, 7.500%, 05/20/27		274
	19	Series 1997-42, Class ZC, 6.500%, 07/18/27		22
	382	Series 1997-61, Class ZC, 7.000%, 02/25/23		425
	64	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		7
	9	Series 1998-4, Class C, PO, 04/25/23		8
	115	Series 1998-36, Class ZB, 6.000%, 07/18/28		132
	72	Series 1998-43, Class SA, IF, IO, 18.123%, 04/25/23		15
	144	Series 1998-66, Class SB, IF, IO, 7.724%, 12/25/28		26
	74	Series 1999-17, Class C, 6.350%, 04/25/29		82
	311	Series 1999-18, Class Z, 5.500%, 04/18/29		345


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	41	Series 1999-38, Class SK, IF, IO, 7.614%, 08/25/23		4
	35	Series 1999-52, Class NS, HB, IF, 22.160%, 10/25/23		55
	103	Series 1999-62, Class PB, 7.500%, 12/18/29		121
	332	Series 2000-2, Class ZE, 7.500%, 02/25/30		382
	206	Series 2000-20, Class SA, IF, IO, 8.664%, 07/25/30		58
	26	Series 2000-52, Class IO, IO, 8.500%, 01/25/31		5
	93	Series 2001-4, Class PC, 7.000%, 03/25/21		100
	73	Series 2001-7, Class PF, 7.000%, 03/25/31		84
	206	Series 2001-30, Class PM, 7.000%, 07/25/31		236
	237	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		28
	206	Series 2001-36, Class DE, 7.000%, 08/25/31		241
	500	Series 2001-44, Class MY, 7.000%, 09/25/31		577
	69	Series 2001-44, Class PD, 7.000%, 09/25/31		78
	91	Series 2001-44, Class PU, 7.000%, 09/25/31		105
	636	Series 2001-48, Class Z, 6.500%, 09/25/21		706
	57	Series 2001-49, Class Z, 6.500%, 09/25/31		66
	66	Series 2001-52, Class KB, 6.500%, 10/25/31		75
	704	Series 2001-61, Class Z, 7.000%, 11/25/31		801
	10	Series 2001-71, Class MB, 6.000%, 12/25/16		10
	13	Series 2001-71, Class QE, 6.000%, 12/25/16		13
	23	Series 2001-72, Class SX, IF, 16.451%, 12/25/31		33
	31	Series 2001-74, Class MB, 6.000%, 12/25/16		32
	58	Series 2002-1, Class HC, 6.500%, 02/25/22		64
	79	Series 2002-1, Class SA, HB, IF, 23.771%, 02/25/32		132
	49	Series 2002-1, Class UD, HB, IF, 22.975%, 12/25/23		76
	36	Series 2002-2, Class UC, 6.000%, 02/25/17		36
	42	Series 2002-3, Class OG, 6.000%, 02/25/17		42
	12	Series 2002-7, Class OG, 6.000%, 03/25/17		12
	19	Series 2002-7, Class TG, 6.000%, 03/25/17		19


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	21	Series 2002-10, Class SB, IF, 18.154%, 03/25/17		22
	752	Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32		43
	11	Series 2002-13, Class ST, IF, 10.000%, 03/25/32		14
	10	Series 2002-19, Class PE, 6.000%, 04/25/17		10
	22	Series 2002-21, Class LO, PO, 04/25/32		21
	216	Series 2002-21, Class PE, 6.500%, 04/25/32		247
	59	Series 2002-24, Class AJ, 6.000%, 04/25/17		60
	26	Series 2002-25, Class SG, IF, 18.274%, 05/25/17		28
	570	Series 2002-28, Class PK, 6.500%, 05/25/32		640
	129	Series 2002-37, Class Z, 6.500%, 06/25/32		149
	55	Series 2002-42, Class C, 6.000%, 07/25/17		57
	749	Series 2002-48, Class GH, 6.500%, 08/25/32		872
	119	Series 2002-62, Class ZE, 5.500%, 11/25/17		122
	38	Series 2002-63, Class KC, 5.000%, 10/25/17		39
	120	Series 2002-77, Class S, IF, 13.684%, 12/25/32		165
	419	Series 2002-83, Class CS, 6.881%, 08/25/23		464
	184	Series 2002-94, Class BK, 5.500%, 01/25/18		187
	155	Series 2003-3, Class HJ, 5.000%, 02/25/18		159
	2,431	Series 2003-22, Class UD, 4.000%, 04/25/33		2,575
	777	Series 2003-33, Class IA, IO, 6.500%, 05/25/33		149
	502	Series 2003-34, Class AX, 6.000%, 05/25/33		578
	1,516	Series 2003-34, Class ED, 6.000%, 05/25/33		1,724
	31	Series 2003-35, Class UC, 3.750%, 05/25/33		33
	92	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		21
	804	Series 2003-39, Class LW, 5.500%, 05/25/23		872
	550	Series 2003-41, Class PE, 5.500%, 05/25/23		592


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	160	Series 2003-42, Class GB, 4.000%, 05/25/33		173
	338	Series 2003-47, Class PE, 5.750%, 06/25/33		385
	129	Series 2003-52, Class SX, HB, IF, 21.643%, 10/25/31		194
	101	Series 2003-64, Class SX, IF, 12.685%, 07/25/33		126
	478	Series 2003-71, Class DS, IF, 6.898%, 08/25/33		545
	812	Series 2003-72, Class IE, IO, 5.500%, 08/25/33		142
	73	Series 2003-74, Class SH, IF, 9.386%, 08/25/33		89
	153	Series 2003-76, Class GQ, 4.500%, 08/25/18		157
	277	Series 2003-80, Class SY, IF, IO, 7.214%, 06/25/23		12
	267	Series 2003-81, Class LC, 4.500%, 09/25/18		276
	722	Series 2003-83, Class PG, 5.000%, 06/25/23		754
	179	Series 2003-91, Class SD, IF, 11.774%, 09/25/33		223
	1,114	Series 2003-116, Class SB, IF, IO, 7.164%, 11/25/33		246
	163	Series 2003-128, Class NG, 4.000%, 01/25/19		167
	59	Series 2003-130, Class SX, IF, 10.866%, 01/25/34		74
	91	Series 2003-132, Class OA, PO, 08/25/33		87
	1,049	Series 2004-4, Class QI, IF, IO, 6.664%, 06/25/33		114
	99	Series 2004-4, Class QM, IF, 13.328%, 06/25/33		124
	408	Series 2004-10, Class SC, HB, IF, 26.857%, 02/25/34		521
	313	Series 2004-25, Class PC, 5.500%, 01/25/34		327
	719	Series 2004-25, Class SA, IF, 18.327%, 04/25/34		1,086
	999	Series 2004-27, Class HB, 4.000%, 05/25/19		1,029
	215	Series 2004-36, Class PC, 5.500%, 02/25/34		224
	1,029	Series 2004-36, Class SA, IF, 18.327%, 05/25/34		1,479
	299	Series 2004-36, Class SN, IF, 13.328%, 07/25/33		343


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	132	Series 2004-37, Class AG, 4.500%, 11/25/32		133
	423	Series 2004-46, Class QB, HB, IF, 22.257%, 05/25/34		638
	1,266	Series 2004-46, Class SK, IF, 15.302%, 05/25/34		1,703
	200	Series 2004-51, Class SY, IF, 13.368%, 07/25/34		275
	221	Series 2004-53, Class NC, 5.500%, 07/25/24		242
	272	Series 2004-59, Class BG, PO, 12/25/32		256
	672	Series 2004-61, Class FH, VAR, 1.236%, 11/25/32		688
	89	Series 2004-61, Class SK, IF, 8.500%, 11/25/32		107
	111	Series 2004-76, Class CL, 4.000%, 10/25/19		113
	338	Series 2004-79, Class SP, IF, 18.602%, 11/25/34		441
	49	Series 2004-81, Class AC, 4.000%, 11/25/19		50
	50	Series 2005-52, Class PA, 6.500%, 06/25/35		52
	1,070	Series 2005-56, Class S, IF, IO, 6.274%, 07/25/35		222
	265	Series 2005-66, Class SG, IF, 16.286%, 07/25/35		398
	419	Series 2005-68, Class BC, 5.250%, 06/25/35		447
	1,153	Series 2005-68, Class PG, 5.500%, 08/25/35		1,305
	567	Series 2005-68, Class UC, 5.000%, 06/25/35		597
	485	Series 2005-74, Class CS, IF, 18.822%, 05/25/35		702
	3,934	Series 2005-84, Class XM, 5.750%, 10/25/35		4,293
	1,607	Series 2005-109, Class PC, 6.000%, 12/25/35		1,794
	4,326	Series 2005-110, Class GL, 5.500%, 12/25/35		5,151
	1,082	Series 2005-110, Class MN, 5.500%, 06/25/35		1,135
	81	Series 2005-116, Class PB, 6.000%, 04/25/34		82
	93	Series 2006-15, Class OT, PO, 01/25/36		90
	373	Series 2006-16, Class OA, PO, 03/25/36		359
	536	Series 2006-22, Class AO, PO, 04/25/36		472


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	150	Series 2006-23, Class KO, PO, 04/25/36		138
	1,353	Series 2006-39, Class WC, 5.500%, 01/25/36		1,486
	793	Series 2006-44, Class GO, PO, 06/25/36		744
	1,806	Series 2006-44, Class P, PO, 12/25/33		1,707
	1,169	Series 2006-46, Class UC, 5.500%, 12/25/35		1,272
	1,186	Series 2006-53, Class US, IF, IO, 6.144%, 06/25/36		195
	1,099	Series 2006-56, Class FC, VAR, 0.726%, 07/25/36		1,104
	617	Series 2006-56, Class PO, PO, 07/25/36		569
	731	Series 2006-58, Class AP, PO, 07/25/36		695
	89	Series 2006-58, Class FL, VAR, 0.896%, 07/25/36		90
	357	Series 2006-58, Class PO, PO, 07/25/36		338
	324	Series 2006-59, Class QO, PO, 01/25/33		319
	3,743	Series 2006-60, Class DZ, 6.500%, 07/25/36		4,580
	535	Series 2006-65, Class QO, PO, 07/25/36		503
	113	Series 2006-72, Class TO, PO, 08/25/36		108
	2,118	Series 2006-77, Class PC, 6.500%, 08/25/36		2,439
	434	Series 2006-79, Class DO, PO, 08/25/36		407
	376	Series 2006-90, Class AO, PO, 09/25/36		354
	155	Series 2006-109, Class PO, PO, 11/25/36		147
	1,073	Series 2006-110, Class PO, PO, 11/25/36		1,018
	104	Series 2006-111, Class EO, PO, 11/25/36		99
	672	Series 2006-118, Class A2, VAR, 0.498%, 12/25/36		670
	107	Series 2006-119, Class PO, PO, 12/25/36		101
	1,921	Series 2006-124, Class HB, VAR, 5.987%, 11/25/36		2,070
	876	Series 2006-128, Class BP, 5.500%, 01/25/37		939
	656	Series 2006-130, Class GI, IO, 6.500%, 07/25/32		115
	785	Series 2007-7, Class SG, IF, IO, 6.064%, 08/25/36		208
	1,640	Series 2007-14, Class ES, IF, IO, 6.004%, 03/25/37		256
	152	Series 2007-15, Class NO, PO, 03/25/22		145
	499	Series 2007-16, Class FC, VAR, 1.186%, 03/25/37		530
	162	Series 2007-42, Class AO, PO, 05/25/37		156
	243	Series 2007-48, Class PO, PO, 05/25/37		227


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	692	Series 2007-54, Class FA, VAR, 0.836%, 06/25/37		697
	3,897	Series 2007-60, Class AX, IF, IO, 6.714%, 07/25/37		843
	169	Series 2007-77, Class FG, VAR, 0.936%, 03/25/37		170
	1,204	Series 2007-81, Class GE, 6.000%, 08/25/37		1,325
	173	Series 2007-84, Class PG, 6.000%, 12/25/36		174
	2,682	Series 2007-88, Class VI, IF, IO, 6.104%, 09/25/37		567
	1,878	Series 2007-91, Class ES, IF, IO, 6.024%, 10/25/37		296
	1,285	Series 2007-97, Class KI, IO, 7.000%, 05/25/33		160
	1,592	Series 2007-101, Class A2, VAR, 0.521%, 06/27/36		1,590
	441	Series 2007-106, Class A7, VAR, 6.119%, 10/25/37		493
	3,039	Series 2007-114, Class A6, VAR, 0.636%, 10/27/37		3,024
	1,801	Series 2007-116, Class HI, IO, VAR, 1.611%, 01/25/38		105
	1	Series 2007-118, Class IO, IO, 6.000%, 06/25/36		—	(h)
	901	Series 2008-1, Class BI, IF, IO, 5.474%, 02/25/38		140
	572	Series 2008-10, Class XI, IF, IO, 5.804%, 03/25/38		86
	313	Series 2008-16, Class IS, IF, IO, 5.774%, 03/25/38		54
	300	Series 2008-19, Class IC, IO, 5.000%, 03/25/23		13
	332	Series 2008-24, Class DY, 5.000%, 04/25/23		344
	372	Series 2008-27, Class SN, IF, IO, 6.464%, 04/25/38		66
	142	Series 2008-39, Class CI, IO, 4.500%, 05/25/18		5
	278	Series 2008-42, Class AO, PO, 09/25/36		268
	26	Series 2008-44, Class PO, PO, 05/25/38		25
	430	Series 2008-47, Class SI, IF, IO, 6.064%, 06/25/23		43
	531	Series 2008-53, Class CI, IF, IO, 6.764%, 07/25/38		113
	156	Series 2008-76, Class GF, VAR, 1.086%, 09/25/23		157


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	1,291	Series 2008-80, Class SA, IF, IO, 5.414%, 09/25/38		189
	912	Series 2008-81, Class SB, IF, IO, 5.414%, 09/25/38		136
	1,114	Series 2009-6, Class GS, IF, IO, 6.124%, 02/25/39		245
	452	Series 2009-9, Class IO, IO, 5.000%, 02/25/24		33
	364	Series 2009-18, Class IO, IO, 5.000%, 03/25/24		21
	2,179	Series 2009-19, Class IP, IO, 5.500%, 10/25/36		365
	870	Series 2009-60, Class HT, 6.000%, 08/25/39		997
	550	Series 2009-62, Class HJ, 6.000%, 05/25/39		616
	876	Series 2009-70, Class CO, PO, 01/25/37		798
	494	Series 2009-99, Class SC, IF, IO, 5.744%, 12/25/39		69
	893	Series 2009-103, Class MB, VAR, 2.498%, 12/25/39		946
	659	Series 2010-45, Class BD, 4.500%, 11/25/38		681
	1,000	Series 2010-49, Class SC, IF, 11.788%, 03/25/40		1,200
	619	Series 2010-64, Class DM, 5.000%, 06/25/40		686
	758	Series 2010-71, Class HJ, 5.500%, 07/25/40		868
	2,436	Series 2010-147, Class SA, IF, IO, 6.094%, 01/25/41		569
	665	Series 2010-148, Class MA, 4.000%, 02/25/39		688
	744	Series 2011-2, Class WA, VAR, 5.812%, 02/25/51		824
	1,237	Series 2011-22, Class MA, 6.500%, 04/25/38		1,370
	2,700	Series 2011-30, Class LS, IO, VAR, 1.592%, 04/25/41		173
	2,500	Series 2011-31, Class DB, 3.500%, 04/25/31		2,688
	7,500	Series 2011-44, Class EB, 3.000%, 05/25/26		7,967
	607	Series 2011-75, Class FA, VAR, 0.977%, 08/25/41		615
	1,261	Series 2011-118, Class MT, 7.000%, 11/25/41		1,502
	1,634	Series 2011-130, Class CA, 6.000%, 12/25/41		1,907


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
			Agency CMO — continued
	945		Series 2012-14, Class FB, VAR, 0.886%, 08/25/37		948
	5,878		Series 2012-47, Class HF, VAR, 0.836%, 05/25/27		5,903
	3,000		Series 2012-66, Class CB, 3.000%, 06/25/32		2,967
	4,449		Series 2012-99, Class AE, 2.500%, 05/25/39		4,514
	2,981		Series 2012-108, Class F, VAR, 0.936%, 10/25/42		3,009
	3,629		Series 2012-137, Class CF, VAR, 0.727%, 08/25/41		3,624
	2,000		Series 2013-81, Class TA, 3.000%, 02/25/43		1,992
	1,694		Series 2013-90, Class PM, 3.500%, 09/25/43		1,808
	2,130		Series 2013-92, Class PO, PO, 09/25/43		1,773
	3,349		Series 2013-101, Class AE, 3.000%, 10/25/33		3,460
	3,255		Series 2013-101, Class DO, PO, 10/25/43		2,685
	3,000		Series 2013-101, Class E, 3.000%, 10/25/33		3,194
	3,500		Series 2013-103, Class VG, 3.000%, 03/25/30		3,490
	4,000		Series 2013-108, Class GU, 3.000%, 10/25/33		4,040
	4,260		Series 2013-128, Class PO, PO, 12/25/43		3,424
	—	(h)	Series G-17, Class S, HB, VAR, 1,037.037%, 06/25/21		2
	11		Series G-28, Class S, IF, 14.664%, 09/25/21		13
	16		Series G-35, Class M, 8.750%, 10/25/21		17
	5		Series G-51, Class SA, HB, IF, 25.082%, 12/25/21		7
	—	(h)	Series G92-27, Class SQ, HB, IF, 11,502.093%, 05/25/22		—	(h)
	85		Series G92-35, Class E, 7.500%, 07/25/22		94
	—	(h)	Series G92-35, Class G, HB, 1,184.775%, 07/25/22		2
	10		Series G92-42, Class Z, 7.000%, 07/25/22		11
	88		Series G92-44, Class ZQ, 8.000%, 07/25/22		91
	14		Series G92-52, Class FD, VAR, 0.447%, 09/25/22		14
	88		Series G92-54, Class ZQ, 7.500%, 09/25/22		95
	13		Series G92-59, Class F, VAR, 1.355%, 10/25/22		13
	26		Series G92-61, Class Z, 7.000%, 10/25/22		29
	19		Series G92-62, Class B, PO, 10/25/22		18
	93		Series G93-1, Class KA, 7.900%, 01/25/23		105


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — continued
	22		Series G93-5, Class Z, 6.500%, 02/25/23		24
	29		Series G93-14, Class J, 6.500%, 03/25/23		31
	63		Series G93-17, Class SI, IF, 6.000%, 04/25/23		73
	57		Series G93-27, Class FD, VAR, 1.316%, 08/25/23		58
	13		Series G93-37, Class H, PO, 09/25/23		13
	31		Series G95-1, Class C, 8.800%, 01/25/25		35
			Federal National Mortgage Association REMIC Trust,
	742		Series 2003-W1, Class 1A1, VAR, 5.711%, 12/25/42		853
	302		Series 2003-W1, Class 2A, VAR, 6.361%, 12/25/42		357
	96		Series 2003-W4, Class 2A, VAR, 6.336%, 10/25/42		112
	36		Series 2007-W7, Class 1A4, HB, IF, 36.565%, 07/25/37		57
	1,565		Series 2009-W1, Class A, 6.000%, 12/25/49		1,805
			Federal National Mortgage Association STRIPS,
	—	(h)	Series 23, Class 2, IO, 10.000%, 09/25/17		—	(h)
	—	(h)	Series 50, Class 2, IO, 10.500%, 03/25/19		—	(h)
	8		Series 218, Class 2, IO, 7.500%, 04/25/23		2
	9		Series 265, Class 2, 9.000%, 03/25/24		11
	102		Series 329, Class 1, PO, 01/25/33		98
	170		Series 339, Class 18, IO, 4.500%, 07/25/18		7
	238		Series 339, Class 21, IO, 4.500%, 08/25/18		7
	111		Series 339, Class 28, IO, 5.500%, 08/25/18		4
	138		Series 345, Class 6, IO, VAR, 5.000%, 12/25/33		26
	480		Series 351, Class 7, IO, VAR, 5.000%, 04/25/34		94
	398		Series 355, Class 11, IO, 6.000%, 07/25/34		73
	112		Series 355, Class 31, IO, VAR, 4.500%, 12/25/18		5
	666		Series 365, Class 8, IO, 5.500%, 05/25/36		132
	61		Series 368, Class 3, IO, 4.500%, 11/25/20		3
	344		Series 374, Class 5, IO, 5.500%, 08/25/36		70
	166		Series 383, Class 32, IO, 6.000%, 01/25/38		32
	438		Series 383, Class 33, IO, 6.000%, 01/25/38		77
	122		Series 393, Class 6, IO, 5.500%, 04/25/37		22
			Federal National Mortgage Association Trust,
	201		Series 2004-W1, Class 2A2, 7.000%, 12/25/33		240
	510		Series 2004-W2, Class 2A2, 7.000%, 02/25/44		598


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	686	Series 2004-W15, Class 2AF, VAR, 0.686%, 08/25/44		682
	1,897	Series 2005-W3, Class 2AF, VAR, 0.656%, 03/25/45		1,845
	636	Series 2006-W2, Class 1AF1, VAR, 0.656%, 02/25/46		636
		Government National Mortgage Association,
	1,020	Series 1994-7, Class PQ, 6.500%, 10/16/24		1,157
	705	Series 1999-4, Class ZB, 6.000%, 02/20/29		793
	73	Series 1999-30, Class S, IF, IO, 8.170%, 08/16/29		19
	165	Series 1999-40, Class ZW, 7.500%, 11/20/29		192
	109	Series 2000-9, Class Z, 8.000%, 06/20/30		131
	979	Series 2000-9, Class ZJ, 8.500%, 02/16/30		1,159
	183	Series 2000-12, Class ST, HB, IF, 37.369%, 02/16/30		292
	1,348	Series 2000-21, Class Z, 9.000%, 03/16/30		1,644
	207	Series 2000-31, Class Z, 9.000%, 10/20/30		241
	124	Series 2000-35, Class ZA, 9.000%, 11/20/30		134
	12	Series 2000-36, Class IK, IO, 9.000%, 11/16/30		2
	60	Series 2001-6, Class SD, IF, IO, 8.120%, 03/16/31		21
	150	Series 2001-35, Class SA, IF, IO, 7.820%, 08/16/31		53
	136	Series 2001-36, Class S, IF, IO, 7.620%, 08/16/31		48
	162	Series 2002-3, Class SP, IF, IO, 6.960%, 01/16/32		47
	611	Series 2002-24, Class AG, IF, IO, 7.520%, 04/16/32		139
	55	Series 2002-24, Class SB, IF, 11.279%, 04/16/32		70
	1,246	Series 2002-31, Class SE, IF, IO, 7.070%, 04/16/30		248
	381	Series 2002-40, Class UK, 6.500%, 06/20/32		450
	20	Series 2002-41, Class SV, IF, 9.000%, 06/16/32		25
	1,435	Series 2002-45, Class QE, 6.500%, 06/20/32		1,698
	484	Series 2002-47, Class PG, 6.500%, 07/16/32		572
	918	Series 2002-47, Class ZA, 6.500%, 07/20/32		1,082


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	782	Series 2002-52, Class GH, 6.500%, 07/20/32		930
	183	Series 2002-70, Class PS, IF, IO, 7.268%, 08/20/32		9
	949	Series 2002-75, Class PB, 6.000%, 11/20/32		1,126
	613	Series 2003-11, Class SK, IF, IO, 7.270%, 02/16/33		110
	268	Series 2003-12, Class SP, IF, IO, 7.268%, 02/20/33		75
	54	Series 2003-24, Class PO, PO, 03/16/33		51
	1,319	Series 2003-40, Class TJ, 6.500%, 03/20/33		1,533
	753	Series 2003-46, Class MG, 6.500%, 05/20/33		898
	692	Series 2003-46, Class TC, 6.500%, 03/20/33		791
	241	Series 2003-52, Class AP, PO, 06/16/33		216
	1,267	Series 2003-58, Class BE, 6.500%, 01/20/33		1,448
	73	Series 2003-90, Class PO, PO, 10/20/33		67
	887	Series 2003-112, Class SA, IF, IO, 6.120%, 12/16/33		201
	263	Series 2003-112, Class TS, IF, IO, 6.518%, 10/20/32		5
	358	Series 2004-28, Class S, IF, 18.479%, 04/16/34		548
	119	Series 2004-73, Class AE, IF, 13.967%, 08/17/34		148
	1,301	Series 2004-90, Class SI, IF, IO, 5.668%, 10/20/34		212
	240	Series 2005-35, Class FL, VAR, 0.782%, 03/20/32		241
	5	Series 2005-39, Class KI, IO, 5.500%, 03/20/34		—	(h)
	2,258	Series 2005-58, Class NI, IO, 5.500%, 08/20/35		395
	216	Series 2005-68, Class DP, IF, 15.396%, 06/17/35		310
	3,129	Series 2005-68, Class KI, IF, IO, 5.868%, 09/20/35		587
	418	Series 2005-91, Class PI, IO, 6.000%, 12/20/35		76
	209	Series 2006-16, Class OP, PO, 03/20/36		199
	543	Series 2006-38, Class SW, IF, IO, 6.068%, 06/20/36		67
	2,376	Series 2006-38, Class ZK, 6.500%, 08/20/36		2,801


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	658	Series 2006-59, Class SD, IF, IO, 6.268%, 10/20/36		121
	1,111	Series 2006-65, Class SA, IF, IO, 6.368%, 11/20/36		219
	1,790	Series 2007-17, Class JI, IF, IO, 6.380%, 04/16/37		379
	192	Series 2007-17, Class JO, PO, 04/16/37		183
	1,016	Series 2007-19, Class SD, IF, IO, 5.768%, 04/20/37		170
	916	Series 2007-26, Class SC, IF, IO, 5.768%, 05/20/37		170
	778	Series 2007-27, Class SA, IF, IO, 5.768%, 05/20/37		129
	226	Series 2007-28, Class BO, PO, 05/20/37		208
	646	Series 2007-36, Class SE, IF, IO, 6.040%, 06/16/37		128
	1,777	Series 2007-40, Class SB, IF, IO, 6.318%, 07/20/37		333
	1,064	Series 2007-42, Class SB, IF, IO, 6.318%, 07/20/37		202
	2,500	Series 2007-47, Class PH, 6.000%, 07/16/37		3,060
	699	Series 2007-50, Class AI, IF, IO, 6.343%, 08/20/37		108
	100	Series 2007-53, Class SW, IF, 18.909%, 09/20/37		144
	487	Series 2007-57, Class PO, PO, 03/20/37		477
	416	Series 2007-71, Class SB, IF, IO, 6.268%, 07/20/36		23
	553	Series 2007-72, Class US, IF, IO, 6.118%, 11/20/37		102
	568	Series 2007-73, Class MI, IF, IO, 5.568%, 11/20/37		94
	1,107	Series 2007-76, Class SA, IF, IO, 6.098%, 11/20/37		207
	553	Series 2007-79, Class SY, IF, IO, 6.118%, 12/20/37		104
	329	Series 2008-2, Class MS, IF, IO, 6.730%, 01/16/38		71
	1,096	Series 2008-2, Class NS, IF, IO, 6.110%, 01/16/38		209
	619	Series 2008-10, Class S, IF, IO, 5.398%, 02/20/38		100
	421	Series 2008-32, Class PI, IO, 5.500%, 10/16/37		45
	871	Series 2008-36, Class SH, IF, IO, 5.868%, 04/20/38		149
	4,806	Series 2008-40, Class SA, IF, IO, 5.970%, 05/16/38		913


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	512	Series 2008-55, Class SA, IF, IO, 5.768%, 06/20/38		84
	116	Series 2008-60, Class PO, PO, 01/20/38		114
	265	Series 2008-71, Class SC, IF, IO, 5.568%, 08/20/38		37
	634	Series 2008-93, Class AS, IF, IO, 5.268%, 12/20/38		98
	713	Series 2009-6, Class SA, IF, IO, 5.670%, 02/16/39		109
	463	Series 2009-10, Class SL, IF, IO, 6.070%, 03/16/34		23
	1,598	Series 2009-12, Class IE, IO, 5.500%, 03/20/39		291
	615	Series 2009-14, Class KI, IO, 6.500%, 03/20/39		130
	574	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		127
	1,535	Series 2009-22, Class SA, IF, IO, 5.838%, 04/20/39		236
	441	Series 2009-25, Class SE, IF, IO, 7.168%, 09/20/38		90
	361	Series 2009-33, Class CI, IO, 5.500%, 05/20/39		60
	372	Series 2009-33, Class TI, IO, 6.000%, 05/20/39		69
	633	Series 2009-43, Class SA, IF, IO, 5.518%, 06/20/39		100
	497	Series 2009-65, Class IQ, IO, 6.000%, 12/20/38		61
	1,439	Series 2009-72, Class SM, IF, IO, 5.820%, 08/16/39		232
	332	Series 2009-79, Class OK, PO, 11/16/37		299
	495	Series 2010-14, Class CO, PO, 08/20/35		464
	2,943	Series 2010-31, Class NO, PO, 03/20/40		2,844
	371	Series 2010-130, Class CP, 7.000%, 10/16/40		439
	2,933	Series 2010-157, Class OP, PO, 12/20/40		2,605
	4,000	Series 2010-H17, Class XQ, VAR, 5.237%, 07/20/60		4,333
	879	Series 2011-22, Class WA, VAR, 5.947%, 02/20/37		987
	1,791	Series 2011-75, Class SM, IF, IO, 6.168%, 05/20/41		413
	2,661	Series 2012-61, Class FM, VAR, 0.831%, 05/16/42		2,682
	739	Series 2012-141, Class WC, VAR, 3.730%, 01/20/42		784
	3,949	Series 2012-H10, Class FA, VAR, 0.980%, 12/20/61		3,921


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	1,368	Series 2012-H15, Class FA, VAR, 0.701%, 05/20/62		1,368
	2,985	Series 2012-H21, Class CF, VAR, 1.130%, 05/20/61		2,985
	2,577	Series 2012-H21, Class DF, VAR, 1.080%, 05/20/61		2,575
	3,921	Series 2012-H22, Class FD, VAR, 0.900%, 01/20/61		3,899
	784	Series 2012-H24, Class FA, VAR, 0.880%, 03/20/60		784
	2,193	Series 2012-H24, Class FG, VAR, 0.681%, 04/20/60		2,182
	1,702	Series 2012-H26, Class MA, VAR, 0.980%, 07/20/62		1,696
	2,279	Series 2012-H28, Class FA, VAR, 1.010%, 09/20/62		2,271
	1,651	Series 2012-H29, Class FA, VAR, 0.945%, 10/20/62		1,637
	2,131	Series 2012-H30, Class PA, VAR, 0.880%, 11/20/59		2,132
	1,811	Series 2012-H31, Class FD, VAR, 0.770%, 12/20/62		1,787
	3,284	Series 2013-54, Class WA, VAR, 4.712%, 11/20/42		3,593
	2,576	Series 2013-75, Class WA, VAR, 5.228%, 06/20/40		2,891
	1,461	Series 2013-91, Class WA, VAR, 4.506%, 04/20/43		1,575
	1,300	Series 2013-116, Class JY, 4.000%, 08/16/43		1,469
	2,885	Series 2013-H01, Class FA, 1.650%, 01/20/63		2,889
	765	Series 2013-H03, Class FA, VAR, 0.730%, 08/20/60		764
	1,447	Series 2013-H04, Class BA, 1.650%, 02/20/63		1,449
	4,115	Series 2013-H05, Class FB, VAR, 0.830%, 02/20/62		4,105
	1,736	Series 2013-H07, Class HA, VAR, 0.840%, 03/20/63		1,715
	9,425	Series 2013-H07, Class JA, 1.750%, 03/20/63		9,524
	1,562	Series 2013-H08, Class FC, VAR, 0.880%, 02/20/63		1,546
	1,853	Series 2013-H09, Class HA, 1.650%, 04/20/63		1,855
	3,570	Series 2013-H18, Class JA, VAR, 1.030%, 08/20/63		3,547


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	1,208	Series 2014-188, Class W, VAR, 4.686%, 10/20/41		1,316
	1,719	Series 2014-H01, Class FD, VAR, 1.080%, 01/20/64		1,709
	1,796	Series 2014-H09, Class TA, VAR, 1.030%, 04/20/64		1,783
	6,240	Series 2015-H05, Class FC, VAR, 0.910%, 02/20/65		6,226
	9,859	Series 2015-H10, Class FC, VAR, 0.910%, 04/20/65		9,818
	7,672	Series 2015-H12, Class FA, VAR, 0.910%, 05/20/65		7,664
	1,940	Series 2015-H15, Class FD, VAR, 0.870%, 06/20/65		1,910
	4,439	Series 2015-H15, Class FJ, VAR, 0.870%, 06/20/65		4,374
	3,729	Series 2015-H16, Class FG, VAR, 0.870%, 07/20/65		3,680
	3,159	Series 2015-H23, Class FB, VAR, 0.950%, 09/20/65		3,119
	2,288	Series 2015-H32, Class FH, VAR, 1.090%, 12/20/65		2,273
		Vendee Mortgage Trust,
	378	Series 1994-1, Class 1, VAR, 5.567%, 02/15/24		415
	573	Series 1994-1, Class 2ZB, 6.500%, 02/15/24		648
	558	Series 1996-1, Class 1Z, 6.750%, 02/15/26		648
	437	Series 1996-2, Class 1Z, 6.750%, 06/15/26		503
	767	Series 1997-1, Class 2Z, 7.500%, 02/15/27		905
	929	Series 1998-1, Class 2E, 7.000%, 03/15/28		1,119
	1,778	Series 1999-1, Class 2Z, 6.500%, 01/15/29		2,045
	6,452	Series 2003-2, Class Z, 5.000%, 05/15/33		7,455

				583,917

		Non-Agency CMO — 4.2%
		Ajax Mortgage Loan Trust,
	1,848	Series 2013-A, Class A, VAR, 3.500%, 02/25/51 (e)		1,831
	2,355	Series 2013-C, Class A, SUB, 4.500%, 03/25/53 (e)		2,400
	1,813	Series 2015-B, Class A, SUB, 3.875%, 07/25/60 (e)		1,818
		Alternative Loan Trust,
	11,696	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		11,609
	1,461	Series 2005-1CB, Class 1A6, IF, IO, 6.664%, 03/25/35		333


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	3,684	Series 2005-20CB, Class 3A8, IF, IO, 4.314%, 07/25/35		539
	6,618	Series 2005-22T1, Class A2, IF, IO, 4.634%, 06/25/35		1,204
	3,766	Series 2005-28CB, Class 1A4, 5.500%, 08/25/35		3,537
	129	Series 2005-28CB, Class 3A5, 6.000%, 08/25/35		102
	5,077	Series 2005-37T1, Class A2, IF, IO, 4.614%, 09/25/35		985
	7,661	Series 2005-54CB, Class 1A2, IF, IO, 4.414%, 11/25/35		1,038
	3,047	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		2,754
	1,818	Series 2005-57CB, Class 3A2, IF, IO, 4.664%, 12/25/35		291
	1,230	Series 2005-64CB, Class 1A9, 5.500%, 12/25/35		1,159
	3,213	Series 2005-J1, Class 1A4, IF, IO, 4.664%, 02/25/35		240
	1,887	Series 2006-26CB, Class A9, 6.500%, 09/25/36		1,612
		American General Mortgage Loan Trust,
	286	Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e)		286
	473	Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e)		482
		Angel Oak Mortgage Trust LLC,
	2,151	Series 2015-1, Class A, SUB, 4.500%, 11/25/45 (e)		2,149
	533	Series 2015-1, Class M, SUB, 5.500%, 11/25/45 (e)		530
		ASG Resecuritization Trust,
	282	Series 2009-1, Class A60, VAR, 5.629%, 06/26/37 (e)		279
	1,683	Series 2009-3, Class A65, VAR, 2.348%, 03/26/37 (e)		1,666
	89	Series 2009-4, Class A60, 6.000%, 06/28/37 (e)		89
	393	Series 2010-2, Class A60, VAR, 1.974%, 01/28/37 (e)		386
	550	Series 2011-1, Class 3A50, VAR, 2.736%, 11/28/35 (e)		538
		Banc of America Alternative Loan Trust,
	130	Series 2003-2, Class PO, PO, 04/25/33		115
	227	Series 2003-11, Class PO, PO, 01/25/34		195
	82	Series 2004-6, Class 15PO, PO, 07/25/19		80


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	1,053	Series 2005-5, Class 1CB1, 5.500%, 06/25/35		972
	2,693	Series 2005-6, Class CBIO, IO, 5.500%, 07/25/35		630
	720	Series 2006-4, Class 1A4, 6.000%, 05/25/46		492
		Banc of America Funding Trust,
	264	Series 2004-1, Class PO, PO, 03/25/34		214
	226	Series 2004-2, Class 30PO, PO, 09/20/34		188
	201	Series 2004-C, Class 1A1, VAR, 3.085%, 12/20/34		197
	537	Series 2005-6, Class 2A7, 5.500%, 10/25/35		522
	362	Series 2005-7, Class 30PO, PO, 11/25/35		289
	216	Series 2005-8, Class 30PO, PO, 01/25/36		149
	854	Series 2005-E, Class 4A1, VAR, 2.866%, 03/20/35		840
	461	Series 2006-A, Class 3A2, VAR, 2.932%, 02/20/36		369
		Banc of America Mortgage Trust,
	60	Series 2003-3, Class 2A1, VAR, 0.986%, 05/25/18		59
	42	Series 2003-6, Class 2A1, VAR, 0.886%, 08/25/18		41
	18	Series 2003-7, Class A2, 4.750%, 09/25/18		18
	101	Series 2003-8, Class APO, PO, 11/25/33		84
	379	Series 2004-3, Class 15IO, IO, VAR, 0.243%, 04/25/19		1
	39	Series 2004-4, Class APO, PO, 05/25/34		34
	724	Series 2004-5, Class 2A2, 5.500%, 06/25/34		732
	246	Series 2004-6, Class 2A5, PO, 07/25/34		215
	158	Series 2004-6, Class APO, PO, 07/25/34		140
	14	Series 2004-8, Class 5PO, PO, 05/25/32		12
	15	Series 2004-8, Class XPO, PO, 10/25/34		13
	196	Series 2004-A, Class 2A2, VAR, 2.943%, 02/25/34		185
	545	Series 2004-J, Class 3A1, VAR, 3.148%, 11/25/34		533
	513	Series 2005-10, Class 1A6, 5.500%, 11/25/35		482
		BCAP LLC Trust,
	288	Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)		300
	170	Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e)		170
	179	Series 2010-RR6, Class 22A3, VAR, 3.980%, 06/26/36 (e)		178


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	93	Series 2010-RR7, Class 1A5, VAR, 2.812%, 04/26/35 (e)		91
	1,619	Series 2010-RR7, Class 2A1, VAR, 2.223%, 07/26/45 (e)		1,607
	13	Series 2010-RR8, Class 3A3, VAR, 2.746%, 05/26/35 (e)		13
	1,500	Series 2010-RR8, Class 3A4, VAR, 2.746%, 05/26/35 (e)		1,451
	321	Series 2010-RR12, Class 2A5, VAR, 2.681%, 01/26/36 (e)		317
	289	Series 2011-R11, Class 25A5, VAR, 4.000%, 08/26/21 (e)		290
	1,372	Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e)		1,379
	609	Series 2011-RR5, Class 11A3, VAR, 0.577%, 05/28/36 (e)		603
	1,493	Series 2011-RR10, Class 2A1, VAR, 1.288%, 09/26/37 (e)		1,439
	351	Series 2012-RR2, Class 1A1, VAR, 0.597%, 08/26/36 (e)		348
	555	Series 2012-RR3, Class 2A5, VAR, 2.069%, 05/26/37 (e)		553
	722	Series 2012-RR10, Class 3A1, VAR, 0.617%, 05/26/36 (e)		703
	1,574	Series 2015-RR4, Class 1A1, VAR, 1.424%, 09/11/38 (e)		1,480
		Bear Stearns ARM Trust,
	156	Series 2003-7, Class 3A, VAR, 2.543%, 10/25/33		152
	580	Series 2004-1, Class 12A1, VAR, 2.900%, 04/25/34		571
	99	Series 2004-2, Class 14A, VAR, 3.129%, 05/25/34		98
	1,166	Series 2005-5, Class A1, VAR, 2.320%, 08/25/35		1,168
	2,892	Series 2006-1, Class A1, VAR, 2.580%, 02/25/36		2,811
		CHL Mortgage Pass-Through Trust,
	396	Series 2004-7, Class 2A1, VAR, 2.520%, 06/25/34		385
	159	Series 2004-8, Class 2A1, 4.500%, 06/25/19		162
	152	Series 2004-HYB1, Class 2A, VAR, 2.702%, 05/20/34		143
	612	Series 2004-HYB3, Class 2A, VAR, 2.331%, 06/20/34		577
	536	Series 2004-HYB6, Class A3, VAR, 2.646%, 11/20/34		506


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	151	Series 2004-J8, Class 1A2, 4.750%, 11/25/19		154
	877	Series 2005-16, Class A23, 5.500%, 09/25/35		850
	2,713	Series 2005-22, Class 2A1, VAR, 2.716%, 11/25/35		2,283
		Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust,
	123	Series 2005-5, Class APO, PO, 08/25/35		108
	99	Series 2005-8, Class APO, PO, 11/25/35		78
		Citigroup Global Markets Mortgage Securities VII, Inc.,
	204	Series 2003-HYB1, Class A, VAR, 2.740%, 09/25/33		202
	8	Series 2003-UP2, Class PO1, PO, 12/25/18		7
		Citigroup Mortgage Loan Trust,
	761	Series 2008-AR4, Class 1A1A, VAR, 2.948%, 11/25/38 (e)		754
	327	Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e)		336
	1,355	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		1,363
	1,699	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		1,715
	492	Series 2015-A, Class B2, VAR, 4.500%, 06/25/58 (e)		499
		Citigroup Mortgage Loan Trust, Inc.,
	196	Series 2003-1, Class 2A5, 5.250%, 10/25/33		198
	101	Series 2003-1, Class 2A6, PO, 10/25/33		91
	72	Series 2003-1, Class PO2, PO, 10/25/33		65
	73	Series 2003-1, Class PO3, PO, 09/25/33		65
	33	Series 2003-UP3, Class A3, 7.000%, 09/25/33		34
	90	Series 2003-UST1, Class A1, 5.500%, 12/25/18		90
	22	Series 2003-UST1, Class PO1, PO, 12/25/18		21
	15	Series 2003-UST1, Class PO3, PO, 12/25/18		14
	126	Series 2004-UST1, Class A6, VAR, 2.349%, 08/25/34		120
	330	Series 2005-1, Class 2A1A, VAR, 2.592%, 04/25/35		261
	391	Series 2005-2, Class 2A11, 5.500%, 05/25/35		400
	460	Series 2005-5, Class 1A2, VAR, 3.559%, 08/25/35		329


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
		Credit Suisse First Boston Mortgage Securities Corp.,
	531	Series 2003-1, Class DB1, VAR, 6.728%, 02/25/33		537
	46	Series 2003-17, Class 2A1, 5.000%, 07/25/18		47
	227	Series 2003-21, Class 1A4, 5.250%, 09/25/33		233
	375	Series 2003-25, Class 1P, PO, 10/25/33		323
	18	Series 2004-5, Class 5P, PO, 08/25/19		18
	2,326	Series 2005-4, Class 3A18, 5.500%, 06/25/35		2,342
	2,589	Series 2005-4, Class 3A23, 5.500%, 06/25/35		2,553
		CSMC,
	6,012	Series 2010-11R, Class A6, VAR, 1.439%, 06/28/47 (e)		5,695
	449	Series 2011-6R, Class 3A1, VAR, 2.897%, 07/28/36 (e)		451
	683	Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)		683
	351	Series 2012-3R, Class 1A1, VAR, 2.389%, 07/27/37 (e)		344
	198	CSMC Trust, Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e)		198
	56	FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/18 (e)		56
		First Horizon Alternative Mortgage Securities Trust,
	803	Series 2004-AA4, Class A1, VAR, 2.365%, 10/25/34		784
	1,159	Series 2005-FA8, Class 1A19, 5.500%, 11/25/35		998
	2,167	Series 2007-FA4, Class 1A2, IF, IO, 5.214%, 08/25/37		531
		First Horizon Mortgage Pass-Through Trust,
	410	Series 2004-AR2, Class 2A1, VAR, 2.747%, 05/25/34		404
	969	Series 2005-AR1, Class 2A2, VAR, 2.794%, 04/25/35		949
		GMACM Mortgage Loan Trust,
	429	Series 2003-AR1, Class A4, VAR, 3.145%, 10/19/33		421
	190	Series 2004-J5, Class A7, 6.500%, 01/25/35		196
	60	Series 2004-J6, Class 1A1, 5.000%, 01/25/20		62
	3,695	Series 2005-AR3, Class 3A4, VAR, 2.976%, 06/19/35		3,596


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
		GSMPS Mortgage Loan Trust,
	794	Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e)		808
	1,152	Series 2005-RP3, Class 1AF, VAR, 0.786%, 09/25/35 (e)		930
	870	Series 2005-RP3, Class 1AS, IO, VAR, 4.359%, 09/25/35 (e)		129
	3,839	Series 2006-RP2, Class 1AS2, IF, IO, 5.676%, 04/25/36 (e)		542
		GSR Mortgage Loan Trust,
	533	Series 2004-6F, Class 3A4, 6.500%, 05/25/34		565
	383	Series 2004-8F, Class 2A3, 6.000%, 09/25/34		394
	717	Series 2004-13F, Class 3A3, 6.000%, 11/25/34		737
	173	Series 2005-4F, Class AP, PO, 05/25/35		155
	1,691	Series 2005-7F, Class 3A9, 6.000%, 09/25/35		1,750
	2,386	Series 2006-1F, Class 2A4, 6.000%, 02/25/36		2,102
	1,884	Series 2007-1F, Class 2A4, 5.500%, 01/25/37		1,830
	2,579	Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.000%, 05/26/53 (e)		2,527
		Impac CMB Trust,
	1,899	Series 2004-7, Class 1A1, VAR, 1.176%, 11/25/34		1,766
	243	Series 2005-4, Class 2A1, VAR, 1.036%, 05/25/35		236
		Impac Secured Assets Trust,
	557	Series 2006-1, Class 2A1, VAR, 0.786%, 05/25/36		497
	430	Series 2006-2, Class 2A1, VAR, 0.786%, 08/25/36		418
		JP Morgan Mortgage Trust,
	1,027	Series 2006-A2, Class 4A1, VAR, 2.716%, 08/25/34		1,028
	1,300	Series 2006-A2, Class 5A3, VAR, 2.682%, 11/25/33		1,301
	247	Series 2006-A3, Class 6A1, VAR, 2.748%, 08/25/34		247
	197	JP Morgan Resecuritization Trust, Series 2009-6, Class 4A1, VAR, 2.661%, 09/26/36 (e)		197
		Lehman Mortgage Trust,
	498	Series 2006-2, Class 1A1, VAR, 5.943%, 04/25/36		441


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	1,002	Series 2008-2, Class 1A6, 6.000%, 03/25/38		770
		MASTR Adjustable Rate Mortgages Trust,
	69	Series 2004-4, Class 2A1, VAR, 2.079%, 05/25/34		61
	577	Series 2004-13, Class 2A1, VAR, 2.781%, 04/21/34		576
	1,322	Series 2004-13, Class 3A7, VAR, 2.777%, 11/21/34		1,341
	369	Series 2004-15, Class 3A1, VAR, 3.403%, 12/25/34		361
		MASTR Alternative Loan Trust,
	165	Series 2003-3, Class 1A1, 6.500%, 05/25/33		170
	425	Series 2003-9, Class 8A1, 6.000%, 01/25/34		424
	464	Series 2004-3, Class 2A1, 6.250%, 04/25/34		483
	659	Series 2004-4, Class 10A1, 5.000%, 05/25/24		685
	374	Series 2004-6, Class 30PO, PO, 07/25/34		292
	576	Series 2004-6, Class 7A1, 6.000%, 07/25/34		576
	247	Series 2004-7, Class 30PO, PO, 08/25/34		189
	600	Series 2004-8, Class 6A1, 5.500%, 09/25/19		611
	104	Series 2004-10, Class 1A1, 4.500%, 09/25/19		104
		MASTR Asset Securitization Trust,
	20	Series 2003-2, Class 2A1, 4.500%, 03/25/18		20
	10	Series 2003-3, Class 4A1, 5.000%, 04/25/18		10
	31	Series 2003-4, Class 3A2, 5.000%, 05/25/18		31
	78	Series 2003-12, Class 30PO, PO, 12/25/33		69
	54	Series 2004-1, Class 30PO, PO, 02/25/34		46
	12	Series 2004-4, Class 3A1, 4.500%, 04/25/19		12
	23	Series 2004-6, Class 15PO, PO, 07/25/19		22
	43	Series 2004-8, Class 1A1, 4.750%, 08/25/19		43
	15	Series 2004-8, Class PO, PO, 08/25/19		14
	2,239	MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.786%, 05/25/35 (e)		1,769
	498	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		393


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
		Merrill Lynch Mortgage Investors Trust,
	235	Series 2003-E, Class A1, VAR, 1.056%, 10/25/28		222
	2,143	Series 2003-F, Class A1, VAR, 1.076%, 10/25/28		2,087
	610	Series 2004-1, Class 2A1, VAR, 2.321%, 12/25/34		608
	434	Series 2004-A, Class A1, VAR, 0.896%, 04/25/29		416
	10	ML Trust XLVII, Series 47, Class Z, 8.985%, 10/20/20		10
	482	MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 1.076%, 02/25/35		456
	411	NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		416
		Nomura Asset Acceptance Corp. Alternative Loan Trust,
	160	Series 2003-A1, Class A1, 5.500%, 05/25/33		162
	99	Series 2003-A1, Class A2, 6.000%, 05/25/33		100
	47	Series 2003-A1, Class A5, 7.000%, 04/25/33		48
	3	Series 2003-A1, Class A7, 5.000%, 04/25/18		3
	5	PaineWebber CMO Trust, Series P, Class 4, 8.500%, 08/01/19		5
	224	Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.641%, 05/25/35		228
		RALI Trust,
	95	Series 2002-QS8, Class A5, 6.250%, 06/25/17		95
	33	Series 2002-QS16, Class A3, IF, 15.712%, 10/25/17		35
	3,573	Series 2003-QR19, Class CB4, 5.750%, 10/25/33		3,716
	98	Series 2003-QS3, Class A2, IF, 15.541%, 02/25/18		103
	245	Series 2003-QS9, Class A3, IF, IO, 7.114%, 05/25/18		12
	268	Series 2003-QS12, Class A2A, IF, IO, 7.164%, 06/25/18		16
	82	Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18		3
	591	Series 2003-QS14, Class A1, 5.000%, 07/25/18		594
	180	Series 2003-QS18, Class A1, 5.000%, 09/25/18		181


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	1,190	Series 2003-QS19, Class A1, 5.750%, 10/25/33		1,238
	1,451	Series 2004-QA6, Class NB2, VAR, 3.248%, 12/26/34		1,203
		RBSSP Resecuritization Trust,
	310	Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e)		324
	255	Series 2009-9, Class 7A4, VAR, 6.000%, 07/26/37 (e)		256
	588	Series 2009-12, Class 1A1, VAR, 5.799%, 11/25/33 (e)		608
	338	Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e)		333
		Residential Asset Securitization Trust,
	239	Series 2003-A13, Class A3, 5.500%, 01/25/34		244
	12	Series 2003-A14, Class A1, 4.750%, 02/25/19		12
	2,352	Series 2005-A2, Class A4, IF, IO, 4.614%, 03/25/35		373
	614	Series 2006-A4, Class 2A5, 6.000%, 05/25/36		557
		RFMSI Trust,
	41	Series 2003-S14, Class A4, PO, 07/25/18		40
	95	Series 2004-S3, Class A1, 4.750%, 03/25/19		94
	368	Series 2004-S6, Class 2A6, PO, 06/25/34		313
	49	Series 2004-S9, Class 2A1, 4.750%, 12/25/19		50
	568	Series 2005-SA4, Class 1A1, VAR, 2.842%, 09/25/35		468
		Springleaf Mortgage Loan Trust,
	1,004	Series 2013-1A, Class A, VAR, 1.270%, 06/25/58 (e)		1,001
	1,116	Series 2013-1A, Class M1, VAR, 2.310%, 06/25/58 (e)		1,116
	900	Series 2013-1A, Class M2, VAR, 3.140%, 06/25/58 (e)		899
	634	Series 2013-1A, Class M3, VAR, 3.790%, 06/25/58 (e)		634
	2,174	Series 2013-2A, Class A, VAR, 1.780%, 12/25/65 (e)		2,176
	1,058	Series 2013-2A, Class M1, VAR, 3.520%, 12/25/65 (e)		1,064
	587	Series 2013-3A, Class A, VAR, 1.870%, 09/25/57 (e)		587
	2,131	Series 2013-3A, Class M1, VAR, 3.790%, 09/25/57 (e)		2,148


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	391	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 2.454%, 06/25/34		389
	649	Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1, VAR, 1.090%, 10/19/34		616
		Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
	696	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		711
	1,215	Series 2004-5H, Class A4, 5.540%, 12/25/33		1,248
		Structured Asset Securities Corp. Trust,
	119	Series 2005-6, Class 4A1, 5.000%, 05/25/35		120
	157	Series 2005-10, Class 5A9, 5.250%, 12/25/34		153
		Thornburg Mortgage Securities Trust,
	366	Series 2003-4, Class A1, VAR, 1.076%, 09/25/43		351
	940	Series 2004-4, Class 3A, VAR, 2.229%, 12/25/44		923
		WaMu Mortgage Pass-Through Certificates Trust,
	132	Series 2003-AR8, Class A, VAR, 2.476%, 08/25/33		134
	2,017	Series 2003-AR9, Class 1A6, VAR, 2.519%, 09/25/33		2,024
	273	Series 2003-AR9, Class 2A, VAR, 2.562%, 09/25/33		268
	103	Series 2003-S8, Class A6, 4.500%, 09/25/18		103
	945	Series 2003-S9, Class A8, 5.250%, 10/25/33		965
	77	Series 2003-S9, Class P, PO, 10/25/33		64
	171	Series 2004-AR3, Class A1, VAR, 2.470%, 06/25/34		172
	143	Series 2004-AR3, Class A2, VAR, 2.470%, 06/25/34		144
	1,698	Series 2004-RS2, Class A4, 5.000%, 11/25/33		1,723
	244	Series 2006-AR10, Class 2P, VAR, 2.451%, 09/25/36		211
	160	Series 2006-AR12, Class 2P, VAR, 1.997%, 10/25/36		115
		Washington Mutual Mortgage Pass-Through Certificates WMALT Trust,
	7,346	Series 2005-2, Class 1A4, IF, IO, 4.614%, 04/25/35		1,256


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	1,718	Series 2005-2, Class 2A3, IF, IO, 4.564%, 04/25/35		251
	2,016	Series 2005-3, Class CX, IO, 5.500%, 05/25/35		419
	2,365	Series 2005-4, Class CB7, 5.500%, 06/25/35		2,197
	1,909	Series 2005-4, Class CX, IO, 5.500%, 06/25/35		397
	515	Series 2005-6, Class 2A4, 5.500%, 08/25/35		467
	3,295	Series 2005-6, Class 2A9, 5.500%, 08/25/35		2,994
	327	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		324
		Wells Fargo Mortgage-Backed Securities Trust,
	174	Series 2003-K, Class 1A1, VAR, 2.615%, 11/25/33		173
	329	Series 2003-K, Class 1A2, VAR, 2.615%, 11/25/33		330
	373	Series 2004-EE, Class 2A1, VAR, 2.742%, 12/25/34		375
	449	Series 2004-EE, Class 3A1, VAR, 2.717%, 12/25/34		450
	2,043	Series 2004-P, Class 2A1, VAR, 2.738%, 09/25/34		2,035
	385	Series 2004-V, Class 1A1, VAR, 2.754%, 10/25/34		385
	119	Series 2005-16, Class APO, PO, 01/25/36		93
	3,463	Series 2005-AR3, Class 1A1, VAR, 2.764%, 03/25/35		3,449
	363	Series 2005-AR8, Class 2A1, VAR, 2.788%, 06/25/35		367
	305	Series 2005-AR16, Class 2A1, VAR, 2.854%, 02/25/34		306
	490	Series 2006-2, Class APO, PO, 03/25/36		317
	191	Series 2006-4, Class 1APO, PO, 04/25/36		159
	916	Series 2007-7, Class A7, 6.000%, 06/25/37		874
	272	Series 2007-11, Class A14, 6.000%, 08/25/37		268

				175,857

		Total Collateralized Mortgage Obligations (Cost $717,258)		759,774

	Commercial Mortgage-Backed Securities — 2.9%
		A10 Securitization LLC,
	102	Series 2013-1, Class A, 2.400%, 11/15/25 (e)		102


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	2,603	Series 2015-1, Class A1, 2.100%, 04/15/34 (e)		2,590
	1,293	Series 2015-1, Class A2, 3.130%, 04/15/34 (e)		1,291
		A10 Term Asset Financing LLC,
	1,701	Series 2013-2, Class A, 2.620%, 11/15/27 (e)		1,663
	696	Series 2013-2, Class B, 4.380%, 11/15/27 (e)		666
		ACRE Commercial Mortgage Trust, (Cayman Islands),
	610	Series 2014-FL2, Class B, VAR, 2.480%, 08/15/31 (e)		602
	710	Series 2014-FL2, Class C, VAR, 2.930%, 08/15/31 (e)		701
	400	Series 2014-FL2, Class D, VAR, 3.830%, 08/15/31 (e)		379
		BAMLL Commercial Mortgage Securities Trust,
	560	Series 2012-PARK, Class A, 2.959%, 12/10/30 (e)		569
	1,300	Series 2014-520M, Class C, VAR, 4.214%, 08/15/46 (e)		1,171
		Banc of America Commercial Mortgage Trust,
	1,099	Series 2006-4, Class A4, 5.634%, 07/10/46		1,101
	783	Series 2006-5, Class A4, 5.414%, 09/10/47		789
	1,269	Series 2007-5, Class A4, 5.492%, 02/10/51		1,313
	247	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-3, Class AM, 4.727%, 07/10/43		245
		BB-UBS Trust,
	4,400	Series 2012-SHOW, Class A, 3.430%, 11/05/36 (e)		4,479
	2,500	Series 2012-TFT, Class A, 2.892%, 06/05/30 (e)		2,489
	1,409	Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR8, Class X1, IO, VAR, 0.258%, 06/11/41 (e)		—	(h)
	58,589	CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.354%, 12/11/49 (e)		192
	748	CGBAM Commercial Mortgage Trust, Series 2014-HD, Class A, VAR, 1.227%, 02/15/31 (e)		737
		COBALT CMBS Commercial Mortgage Trust,
	452	Series 2006-C1, Class A4, 5.223%, 08/15/48		458
	15,219	Series 2006-C1, Class IO, IO, VAR, 0.780%, 08/15/48		72


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — continued
		COMM Mortgage Trust,
	2,684	Series 2012-CR2, Class XA, IO, VAR, 1.800%, 08/15/45		228
	3,500	Series 2013-300P, Class A1, 4.353%, 08/10/30 (e)		3,826
	1,060	Series 2013-SFS, Class A2, VAR, 2.987%, 04/12/35 (e)		1,078
	1,400	Series 2014-TWC, Class A, VAR, 1.274%, 02/13/32 (e)		1,358
	1,156	Series 2015-CR24, Class A5, 3.696%, 08/10/55		1,208
	2,812	Series 2015-CR25, Class A4, 3.759%, 08/10/48		2,950
	300	Commercial Mortgage Trust, Series 2006-GG7, Class AM, VAR, 5.877%, 07/10/38		300
		Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates,
	2,557	Series K029, Class A2, VAR, 3.320%, 02/25/23		2,761
	10,000	Series K037, Class A2, 3.490%, 01/25/24		10,837
	3,560	Series K052, Class A2, 3.151%, 11/25/25		3,751
	872	Series KJ02, Class A2, 2.597%, 09/25/20		900
	5,500	Series KPLB, Class A, 2.770%, 05/25/25		5,606
	1,000	Series KS01, Class A2, 2.522%, 01/25/23		1,030
	2,500	Series KSMC, Class A2, 2.615%, 01/25/23		2,597
	1,910	Government National Mortgage Association, Series 2014-168, Class VA, VAR, 3.400%, 01/16/37		2,060
	1,317	GS Mortgage Securities Corp. II, Series 2013-KING, Class A, 2.706%, 12/10/27 (e)		1,333
	488	GS Mortgage Securities Corp. Trust, Series 2013-NYC5, Class A, 2.318%, 01/10/30 (e)		492
	1,000	GSMS Trust, Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e)		1,002
		JP Morgan Chase Commercial Mortgage Securities Trust,
	139	Series 2005-CB11, Class AJ, VAR, 5.411%, 08/12/37		139
	400	Series 2006-LDP9, Class AMS, 5.337%, 05/15/47		396
	942	Series 2007-C1, Class A4, 5.716%, 02/15/51		984
	998	Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2, 3.985%, 02/15/36 (e)		1,048
		LB-UBS Commercial Mortgage Trust,
	33,253	Series 2006-C7, Class XW, IO, VAR, 0.446%, 11/15/38 (e)		133


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	300	Series 2007-C1, Class AM, 5.455%, 02/15/40		307
	812	Series 2007-C2, Class A3, 5.430%, 02/15/40		828
	21,028	ML-CFC Commercial Mortgage Trust, Series 2006-4, Class XC, IO, VAR, 0.612%, 12/12/49 (e)		82
	2,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 02/15/47		2,110
		Morgan Stanley Capital I Trust,
	32,121	Series 2006-IQ12, Class X1, IO, VAR, 0.444%, 12/15/43 (e)		76
	62,953	Series 2007-HQ11, Class X, IO, VAR, 0.208%, 02/12/44 (e)		104
	764	Series 2011-C3, Class A3, 4.054%, 07/15/49		806
		Morgan Stanley Re-REMIC Trust,
	675	Series 2012-IO, Class AXA, 1.000%, 03/27/51 (e)		669
	1,831	Series 2012-XA, Class A, 2.000%, 07/27/49 (e)		1,827
	1,800	Series 2012-XA, Class B, 0.250%, 07/27/49 (e)		1,651
		NCUA Guaranteed Notes Trust,
	6,908	Series 2010-C1, Class A2, 2.900%, 10/29/20		6,913
	2,857	Series 2010-C1, Class APT, 2.650%, 10/29/20		2,861
		NorthStar, (Cayman Islands),
	733	Series 2013-1A, Class A, VAR, 2.286%, 08/25/29 (e)		733
	1,392	Series 2013-1A, Class B, VAR, 5.436%, 08/25/29 (e)		1,408
	146	ORES NPL LLC, Series 2013-LV2, Class A, 3.081%, 09/25/25 (e)		146
		PFP Ltd., (Cayman Islands),
	1,380	Series 2015-2, Class A, VAR, 1.879%, 07/14/34 (e)		1,363
	1,055	Series 2015-2, Class C, VAR, 3.679%, 07/14/34 (e)		1,056
	730	Series 2015-2, Class D, VAR, 4.429%, 07/14/34 (e)		730
		RAIT Trust,
	1,217	Series 2014-FL3, Class A, VAR, 1.677%, 12/15/31 (e)		1,193
	1,986	Series 2014-FL3, Class AS, VAR, 2.227%, 12/15/31 (e)		1,932
	736	Series 2014-FL3, Class B, VAR, 3.077%, 12/15/31 (e)		719


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — continued
	1,759	Series 2015-FL4, Class A, VAR, 1.777%, 12/15/31 (e)		1,731
	1,450	Series 2015-FL4, Class AS, VAR, 2.177%, 12/15/31 (e)		1,429
	1,805	Series 2015-FL5, Class B, VAR, 4.327%, 01/15/31 (e)		1,801
	664	RBS Commercial Funding, Inc. Trust, Series 2013-SMV, Class A, 3.260%, 03/11/31 (e)		683
	653	RCMC LLC, Series 2012-CRE1, Class A, 5.623%, 11/15/44 (e)		658
		Resource Capital Corp., Ltd., (Cayman Islands),
	600	Series 2015-CRE4, Class A, VAR, 1.827%, 08/15/32 (e)		588
	1,151	Series 2015-CRE4, Class B, VAR, 3.427%, 08/15/32 (e)		1,135
	1,282	RREF LLC, Series 2015-LT7, Class A, 3.000%, 12/25/32 (e)		1,281
	2,236	UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e)		2,312
		UBS-Barclays Commercial Mortgage Trust,
	1,053	Series 2012-C2, Class A4, 3.525%, 05/10/63		1,112
	9,815	Series 2012-C2, Class XA, IO, VAR, 1.664%, 05/10/63 (e)		600
	857	Series 2013-C6, Class A4, 3.244%, 04/10/46		876
		VNDO Mortgage Trust,
	1,398	Series 2012-6AVE, Class A, 2.996%, 11/15/30 (e)		1,406
	5,000	Series 2013-PENN, Class A, 3.808%, 12/13/29 (e)		5,264
		Wells Fargo Commercial Mortgage Trust,
	2,500	Series 2013-120B, Class A, VAR, 2.710%, 03/18/28 (e)		2,544
	1,094	Series 2015-C30, Class A4, 3.664%, 09/15/58		1,138
	257	Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e)		257
		WFRBS Commercial Mortgage Trust,
	1,700	Series 2011-C3, Class A4, 4.375%, 03/15/44 (e)		1,849
	800	Series 2012-C6, Class A4, 3.440%, 04/15/45		841
	400	Series 2013-C11, Class D, VAR, 4.179%, 03/15/45 (e)		341

		Total Commercial Mortgage-Backed Securities (Cost $121,226)		122,986


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — 19.8%
		Consumer Discretionary — 1.5%
		Auto Components — 0.1%
		Johnson Controls, Inc.,
	591	3.750%, 12/01/21		610
	675	4.250%, 03/01/21		708
	173	4.950%, 07/02/64		153
	1,000	5.250%, 12/01/41		984

				2,455

		Automobiles — 0.1%
		Daimler Finance North America LLC,
	532	1.875%, 01/11/18 (e)		531
	305	2.250%, 03/02/20 (e)		300
	981	2.375%, 08/01/18 (e)		986
	739	2.625%, 09/15/16 (e)		744
	1,425	2.950%, 01/11/17 (e)		1,441
	186	General Motors Co., 6.600%, 04/01/36		193
	526	Hyundai Capital America, 2.400%, 10/30/18 (e)		526

				4,721

		Hotels, Restaurants & Leisure — 0.0% (g)
	718	Starbucks Corp., 2.700%, 06/15/22		740

		Internet & Catalog Retail — 0.1%
		Amazon.com, Inc.,
	1,448	3.800%, 12/05/24		1,554
	1,435	4.800%, 12/05/34		1,550

				3,104

		Media — 0.9%
		21st Century Fox America, Inc.,
	100	6.200%, 12/15/34		111
	400	6.650%, 11/15/37		447
	250	6.900%, 08/15/39		281
	1,075	7.300%, 04/30/28		1,330
	505	8.000%, 10/17/16		525
	430	8.875%, 04/26/23		569
		CBS Corp.,
	740	3.700%, 08/15/24		737
	792	4.000%, 01/15/26		790
	345	4.600%, 01/15/45		301
	360	4.900%, 08/15/44		327
	140	5.500%, 05/15/33		141
		CCO Safari II LLC,
	1,797	4.464%, 07/23/22 (e)		1,825
	703	6.384%, 10/23/35 (e)		734


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Media — continued
	250	Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22		349
		Comcast Corp.,
	500	2.750%, 03/01/23		510
	347	3.375%, 08/15/25		364
	555	4.200%, 08/15/34		566
	1,082	4.250%, 01/15/33		1,108
	400	6.450%, 03/15/37		506
	1,355	6.500%, 11/15/35		1,706
		Cox Communications, Inc.,
	446	3.250%, 12/15/22 (e)		416
	885	4.800%, 02/01/35 (e)		740
	125	8.375%, 03/01/39 (e)		136
	450	Cox Enterprises, Inc., 7.375%, 07/15/27 (e)		515
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	1,297	3.800%, 03/15/22		1,333
	376	3.950%, 01/15/25		382
	1,000	4.600%, 02/15/21		1,078
	2,000	6.000%, 08/15/40		2,074
		Discovery Communications LLC,
	1,016	4.375%, 06/15/21		1,035
	569	4.950%, 05/15/42		452
		Grupo Televisa SAB, (Mexico),
	221	4.625%, 01/30/26		224
	200	6.125%, 01/31/46		193
	1,197	Historic TW, Inc., 9.150%, 02/01/23		1,543
		NBCUniversal Media LLC,
	275	2.875%, 01/15/23		280
	310	4.375%, 04/01/21		342
	800	5.950%, 04/01/41		969
	515	6.400%, 04/30/40		649
	296	Sky plc, (United Kingdom), 3.750%, 09/16/24 (e)		293
		Thomson Reuters Corp., (Canada),
	482	3.850%, 09/29/24		493
	1,278	3.950%, 09/30/21		1,343
	441	4.500%, 05/23/43		381
	325	4.700%, 10/15/19		350
		Time Warner Cable, Inc.,
	359	5.500%, 09/01/41		319
	1,218	5.850%, 05/01/17		1,265
	400	6.550%, 05/01/37		403
	800	8.250%, 04/01/19		915
	300	Time Warner Cos., Inc., 7.570%, 02/01/24		365


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Media — continued
	1,410	Time Warner Entertainment Co. LP, 8.375%, 07/15/33		1,673
		Time Warner, Inc.,
	1,700	3.600%, 07/15/25		1,671
	555	4.750%, 03/29/21		598
	313	5.375%, 10/15/41		293
	150	6.200%, 03/15/40		159
	172	6.250%, 03/29/41		184
	265	6.500%, 11/15/36		285
	250	7.625%, 04/15/31		304
	171	7.700%, 05/01/32		205
		Viacom, Inc.,
	235	2.750%, 12/15/19		234
	600	3.125%, 06/15/22		547
	67	3.250%, 03/15/23		61
	808	3.875%, 12/15/21		803
	464	4.375%, 03/15/43		316
	250	4.500%, 02/27/42		175
	262	4.850%, 12/15/34		207
	52	6.250%, 04/30/16		52

				39,482

		Multiline Retail — 0.1%
		Macy’s Retail Holdings, Inc.,
	516	2.875%, 02/15/23		466
	509	3.450%, 01/15/21		510
	462	4.375%, 09/01/23		455
	526	4.500%, 12/15/34		418
	157	5.125%, 01/15/42		125
	230	7.450%, 07/15/17		247
	455	Nordstrom, Inc., 4.000%, 10/15/21		475
	200	Target Corp., 6.000%, 01/15/18		217

				2,913

		Specialty Retail — 0.2%
	217	Bed Bath & Beyond, Inc., 4.915%, 08/01/34		185
	502	Gap, Inc. (The), 5.950%, 04/12/21		523
		Home Depot, Inc. (The),
	573	2.000%, 04/01/21		576
	620	2.625%, 06/01/22		631
	454	3.000%, 04/01/26		470
	517	4.250%, 04/01/46		540
	1,785	5.400%, 03/01/16		1,785
		Lowe’s Cos., Inc.,
	268	3.375%, 09/15/25		281
	739	4.650%, 04/15/42		798


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Specialty Retail — continued
	326	5.125%, 11/15/41		372
	750	Series B, 7.110%, 05/15/37		1,003

				7,164

		Total Consumer Discretionary		60,579

		Consumer Staples — 1.0%
		Beverages — 0.4%
		Anheuser-Busch Cos. LLC,
	600	5.500%, 01/15/18		644
	920	5.750%, 04/01/36		1,057
		Anheuser-Busch InBev Finance, Inc.,
	1,051	2.650%, 02/01/21		1,069
	1,273	3.300%, 02/01/23		1,308
	1,733	3.650%, 02/01/26		1,789
	900	3.700%, 02/01/24		953
	1,430	4.700%, 02/01/36		1,499
	1,135	4.900%, 02/01/46		1,216
	94	Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19		109
	750	Brown-Forman Corp., 4.500%, 07/15/45		796
		Diageo Capital plc, (United Kingdom),
	264	1.500%, 05/11/17		265
	510	4.828%, 07/15/20		562
	255	Diageo Investment Corp., 8.000%, 09/15/22		327
	355	Heineken N.V., (Netherlands), 1.400%, 10/01/17 (e)		355
		PepsiCo, Inc.,
	287	1.250%, 08/13/17		288
	368	3.000%, 08/25/21		386
	852	3.100%, 07/17/22		895
	534	4.450%, 04/14/46		572
	59	7.900%, 11/01/18		69
	698	SABMiller Holdings, Inc., 3.750%, 01/15/22 (e)		733

				14,892

		Food & Staples Retailing — 0.3%
	858	Costco Wholesale Corp., 2.250%, 02/15/22		866
		CVS Health Corp.,
	189	3.500%, 07/20/22		197
	536	4.000%, 12/05/23		579
	229	4.875%, 07/20/35		246
	322	5.300%, 12/05/43		365
	997	CVS Pass-Through Trust, 5.926%, 01/10/34 (e)		1,098


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Food & Staples Retailing — continued
		Kroger Co. (The),
	900	4.000%, 02/01/24		961
	1,100	5.000%, 04/15/42		1,177
	2,480	7.500%, 04/01/31		3,163
	291	Sysco Corp., 3.750%, 10/01/25		301
	1,031	Walgreen Co., 3.100%, 09/15/22		1,015
		Walgreens Boots Alliance, Inc.,
	544	3.300%, 11/18/21		548
	663	3.800%, 11/18/24		665
	386	4.500%, 11/18/34		349
	400	4.800%, 11/18/44		364
		Wal-Mart Stores, Inc.,
	762	5.250%, 09/01/35		897
	255	6.200%, 04/15/38		328
	350	7.550%, 02/15/30		503

				13,622

		Food Products — 0.3%
		Bunge Ltd. Finance Corp.,
	95	3.500%, 11/24/20		95
	1,415	8.500%, 06/15/19		1,637
	191	Bunge N.A. Finance LP, 5.900%, 04/01/17		198
		Cargill, Inc.,
	600	3.300%, 03/01/22 (e)		622
	535	4.307%, 05/14/21 (e)		583
	850	7.350%, 03/06/19 (e)		982
	227	ConAgra Foods, Inc., 2.100%, 03/15/18		227
	365	Kellogg Co., 1.750%, 05/17/17		366
		Kraft Foods Group, Inc.,
	814	3.500%, 06/06/22		840
	694	5.000%, 06/04/42		719
	1,187	6.125%, 08/23/18		1,299
	2,353	6.875%, 01/26/39		2,888
		Mead Johnson Nutrition Co.,
	317	3.000%, 11/15/20		320
	153	Class C, 4.125%, 11/15/25		158
	1,500	Mondelez International, Inc., 4.000%, 02/01/24		1,565
	777	Tyson Foods, Inc., 3.950%, 08/15/24		820

				13,319

		Household Products — 0.0% (g)
		Kimberly-Clark Corp.,
	220	2.400%, 03/01/22		223
	426	3.050%, 08/15/25		442
	71	7.500%, 11/01/18		82


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Household Products — continued
	598	Procter & Gamble — ESOP, Series A, 9.360%, 01/01/21		715
	140	Procter & Gamble Co. (The), 5.500%, 02/01/34		172

				1,634

		Total Consumer Staples		43,467

		Energy — 2.0%
		Energy Equipment & Services — 0.1%
	199	Cameron International Corp., 4.000%, 12/15/23		197
	348	Diamond Offshore Drilling, Inc., 4.875%, 11/01/43		207
	175	Ensco plc, (United Kingdom), 5.200%, 03/15/25		89
		Halliburton Co.,
	204	3.375%, 11/15/22		201
	714	3.500%, 08/01/23		666
	193	4.850%, 11/15/35		169
	1,620	7.450%, 09/15/39		1,867
		Nabors Industries, Inc.,
	200	4.625%, 09/15/21		134
	200	5.000%, 09/15/20		151
	188	National Oilwell Varco, Inc., 1.350%, 12/01/17		182
		Noble Holding International Ltd., (Cayman Islands),
	115	3.950%, 03/15/22		59
	238	4.000%, 03/16/18		190
	83	5.250%, 03/15/42		33
	300	6.050%, 03/01/41		125
	363	6.950%, 04/01/45		167
	441	Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e)		446
		Transocean, Inc., (Cayman Islands),
	361	4.300%, 10/15/22		177
	513	6.500%, 11/15/20		303
	648	7.125%, 12/15/21		356
	100	7.500%, 04/15/31		46
	198	8.100%, 12/15/41		91
	185	Weatherford International Ltd., (Bermuda), 9.875%, 03/01/39		133

				5,989

		Oil, Gas & Consumable Fuels — 1.9%
	160	Alberta Energy Co., Ltd., (Canada), 7.375%, 11/01/31		108
	330	Anadarko Petroleum Corp., 8.700%, 03/15/19		336


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — continued
		Apache Corp.,
	138	3.250%, 04/15/22		120
	556	4.750%, 04/15/43		425
	500	6.900%, 09/15/18		527
	235	BG Energy Capital plc, (United Kingdom), 5.125%, 10/15/41 (e)		226
	338	Boardwalk Pipelines LP, 4.950%, 12/15/24		289
		BP Capital Markets plc, (United Kingdom),
	92	1.375%, 11/06/17		91
	929	1.846%, 05/05/17		929
	1,283	2.237%, 05/10/19		1,272
	1,182	2.750%, 05/10/23		1,119
	451	3.506%, 03/17/25		439
	1,337	3.814%, 02/10/24		1,328
		Buckeye Partners LP,
	500	4.350%, 10/15/24		414
	330	4.875%, 02/01/21		301
	770	5.850%, 11/15/43		570
	200	Burlington Resources Finance Co., (Canada), 7.400%, 12/01/31		217
		Canadian Natural Resources Ltd., (Canada),
	401	3.900%, 02/01/25		311
	350	6.250%, 03/15/38		257
	1,000	6.750%, 02/01/39		736
		Cenovus Energy, Inc., (Canada),
	208	3.000%, 08/15/22		152
	356	4.450%, 09/15/42		208
	759	6.750%, 11/15/39		534
		Chevron Corp.,
	560	2.355%, 12/05/22		537
	1,000	4.950%, 03/03/19		1,083
	1,852	CNOOC Finance 2015 Australia Pty Ltd., (Australia), 2.625%, 05/05/20		1,821
	1,789	CNOOC Nexen Finance 2014 ULC, (Canada), 4.250%, 04/30/24		1,837
	230	Conoco Funding Co., (Canada), 7.250%, 10/15/31		242
		ConocoPhillips,
	325	5.200%, 05/15/18		337
	525	5.750%, 02/01/19		546
	150	6.000%, 01/15/20		158
	200	6.500%, 02/01/39		196
	1,045	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		1,067
		ConocoPhillips Co.,
	205	2.200%, 05/15/20		190


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Oil, Gas & Consumable Fuels — continued
	945	3.350%, 11/15/24		837
		Devon Energy Corp.,
	750	3.250%, 05/15/22		578
	522	4.750%, 05/15/42		334
	360	6.300%, 01/15/19		341
	673	7.950%, 04/15/32		538
		Ecopetrol S.A., (Colombia),
	533	4.125%, 01/16/25		409
	773	5.375%, 06/26/26		627
		Encana Corp., (Canada),
	545	6.500%, 05/15/19		448
	150	6.500%, 08/15/34		91
		Energy Transfer Partners LP,
	448	3.600%, 02/01/23		372
	964	4.750%, 01/15/26		827
	364	5.150%, 03/15/45		265
	925	Eni S.p.A., (Italy), Series EX2, 5.700%, 10/01/40 (e)		813
		EnLink Midstream Partners LP,
	140	2.700%, 04/01/19		109
	838	4.150%, 06/01/25		579
	500	5.050%, 04/01/45		298
		Enterprise Products Operating LLC,
	506	3.700%, 02/15/26		474
	343	3.750%, 02/15/25		325
	475	3.900%, 02/15/24		449
	199	4.900%, 05/15/46		175
	155	4.950%, 10/15/54		124
	318	5.100%, 02/15/45		283
	201	5.950%, 02/01/41		190
		EOG Resources, Inc.,
	379	2.625%, 03/15/23		342
	600	4.100%, 02/01/21		611
	902	5.100%, 01/15/36		853
		Exxon Mobil Corp.,
	1,000	2.397%, 03/06/22		1,002
	1,063	3.043%, 03/01/26		1,063
	393	4.114%, 03/01/46		393
	950	Gulf South Pipeline Co. LP, 4.000%, 06/15/22		833
	180	Hess Corp., 7.875%, 10/01/29		165
		Kerr-McGee Corp.,
	200	6.950%, 07/01/24		190
	1,700	7.875%, 09/15/31		1,538
		Magellan Midstream Partners LP,
	353	3.200%, 03/15/25		316


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — continued
	1,127	5.150%, 10/15/43		955
	250	6.550%, 07/15/19		273
		Marathon Oil Corp.,
	833	2.800%, 11/01/22		546
	902	5.900%, 03/15/18		819
	1,620	6.000%, 10/01/17		1,571
	578	Marathon Petroleum Corp., 3.625%, 09/15/24		471
		Noble Energy, Inc.,
	314	5.050%, 11/15/44		231
	294	5.625%, 05/01/21		265
		Occidental Petroleum Corp.,
	402	1.750%, 02/15/17		401
	1,022	3.500%, 06/15/25		997
		ONEOK Partners LP,
	485	3.375%, 10/01/22		383
	515	3.800%, 03/15/20		467
	2,000	4.900%, 03/15/25		1,636
	350	6.650%, 10/01/36		267
		Petrobras Global Finance B.V., (Netherlands),
	841	4.375%, 05/20/23		573
	1,020	5.375%, 01/27/21		760
	2,622	6.250%, 03/17/24		1,906
	110	6.750%, 01/27/41		68
	350	6.850%, 06/05/15¹		215
	175	7.875%, 03/15/19		158
		Petro-Canada, (Canada),
	324	6.050%, 05/15/18		332
	1,045	6.800%, 05/15/38		965
		Petroleos Mexicanos, (Mexico),
	370	4.250%, 01/15/25 (e)		327
	974	4.500%, 01/23/26 (e)		864
	393	4.875%, 01/18/24		363
	492	5.500%, 06/27/44 (e)		377
	617	5.625%, 01/23/46 (e)		478
	647	6.375%, 02/04/21 (e)		671
	846	6.375%, 01/23/45		732
	250	6.625%, 06/15/35		225
	538	6.875%, 08/04/26 (e)		556
		Phillips 66,
	314	2.950%, 05/01/17		318
	182	4.300%, 04/01/22		186
		Plains All American Pipeline LP/PAA Finance Corp.,
	323	2.600%, 12/15/19		283
	1,000	3.600%, 11/01/24		769


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Oil, Gas & Consumable Fuels — continued
	2,500	4.650%, 10/15/25		2,102
	1,480	4.900%, 02/15/45		995
	850	Repsol Oil & Gas Canada, Inc., (Canada), 7.750%, 06/01/19		750
	549	Schlumberger Holdings Corp., 3.625%, 12/21/22 (e)		539
	831	Sinopec Group Overseas Development 2013 Ltd., (United Kingdom), 4.375%, 10/17/23 (e)		876
		Spectra Energy Capital LLC,
	500	3.300%, 03/15/23		415
	1,500	5.650%, 03/01/20		1,498
	500	6.200%, 04/15/18		522
	400	8.000%, 10/01/19		425
		Spectra Energy Partners LP,
	524	2.950%, 09/25/18		516
	452	5.950%, 09/25/43		434
		Statoil ASA, (Norway),
	906	1.150%, 05/15/18		888
	353	1.200%, 01/17/18		349
	406	2.450%, 01/17/23		382
	1,071	2.650%, 01/15/24		987
	313	2.750%, 11/10/21		309
	467	3.125%, 08/17/17		475
	300	3.150%, 01/23/22		298
	456	3.250%, 11/10/24		441
	253	4.250%, 11/23/41		225
		Suncor Energy, Inc., (Canada),
	180	5.950%, 12/01/34		160
	250	6.850%, 06/01/39		232
		Sunoco Logistics Partners Operations LP,
	259	4.250%, 04/01/24		216
	531	4.400%, 04/01/21		489
	170	5.300%, 04/01/44		126
	1,133	5.350%, 05/15/45		841
	554	Texas Eastern Transmission LP, 2.800%, 10/15/22 (e)		490
		Tosco Corp.,
	310	7.800%, 01/01/27		356
	400	8.125%, 02/15/30		459
		Total Capital International S.A., (France),
	262	1.500%, 02/17/17		262
	508	1.550%, 06/28/17		508
	233	2.700%, 01/25/23		224
	500	2.750%, 06/19/21		500


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — continued
	370	3.750%, 04/10/24		376
	1,400	Total Capital S.A., (France), 2.300%, 03/15/16		1,401
		TransCanada PipeLines Ltd., (Canada),
	394	4.875%, 01/15/26		405
	550	6.200%, 10/15/37		551
	340	6.500%, 08/15/18		367
	1,100	7.250%, 08/15/38		1,245
	74	Western Gas Partners LP, 5.375%, 06/01/21		63

				78,820

		Total Energy		84,809

		Financials — 8.2%
		Banks — 3.5%
		ABN AMRO Bank N.V., (Netherlands),
	1,594	1.800%, 06/04/18 (e)		1,586
	669	2.500%, 10/30/18 (e)		675
	616	4.750%, 07/28/25 (e)		598
		ANZ New Zealand International Ltd., (New Zealand),
	750	2.600%, 09/23/19 (e)		756
	402	2.850%, 08/06/20 (e)		410
		Australia & New Zealand Banking Group Ltd., (Australia),
	900	1.450%, 05/15/18		894
	1,268	2.400%, 11/23/16 (e)		1,280
	228	4.875%, 01/12/21 (e)		253
		Bank of America Corp.,
	600	2.000%, 01/11/18		598
	150	3.300%, 01/11/23		150
	520	3.625%, 03/17/16		521
	4,752	3.875%, 08/01/25		4,876
	972	4.000%, 04/01/24		1,003
	547	4.100%, 07/24/23		570
	851	4.250%, 10/22/26		840
	542	4.450%, 03/03/26		542
	2,065	5.000%, 05/13/21		2,255
	2,730	5.625%, 10/14/16		2,800
	740	5.625%, 07/01/20		819
	420	5.750%, 12/01/17		445
	400	5.875%, 01/05/21		451
	2,996	6.400%, 08/28/17		3,178
	1,564	6.875%, 04/25/18		1,708
	875	7.625%, 06/01/19		1,008
	1,510	7.800%, 09/15/16		1,560
	900	Series L, 2.250%, 04/21/20		881


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Banks — continued
	1,500	Series L, 2.650%, 04/01/19		1,507
	921	Series L, 3.950%, 04/21/25		888
	645	Series L, 5.650%, 05/01/18		689
		Bank of Montreal, (Canada),
	811	1.400%, 09/11/17		813
	855	2.375%, 01/25/19		865
	1,106	2.550%, 11/06/22		1,102
		Bank of Nova Scotia (The), (Canada),
	2,000	1.450%, 04/25/18		1,988
	1,100	1.700%, 06/11/18		1,098
	1,275	Bank of Tokyo-Mitsubishi UFJ Ltd. (The), (Japan), 2.350%, 02/23/17 (e)		1,286
	1,600	Banque Federative du Credit Mutuel S.A., (France), 1.700%, 01/20/17 (e)		1,602
		Barclays Bank plc, (United Kingdom),
	276	2.250%, 05/10/17 (e)		279
	1,000	6.050%, 12/04/17 (e)		1,059
	310	Series 1, 5.000%, 09/22/16		316
		Barclays plc, (United Kingdom),
	1,449	3.250%, 01/12/21		1,397
	508	3.650%, 03/16/25		467
	400	4.375%, 01/12/26		386
	435	5.250%, 08/17/45		416
		BB&T Corp.,
	900	2.625%, 06/29/20		913
	750	3.950%, 04/29/16		754
	740	5.250%, 11/01/19		809
	380	6.850%, 04/30/19		435
	632	BNZ International Funding Ltd., (New Zealand), 2.350%, 03/04/19 (e)		631
	695	Branch Banking & Trust Co., 5.625%, 09/15/16		710
	1,952	Canadian Imperial Bank of Commerce, (Canada), 2.250%, 07/21/20 (e)		1,980
	1,650	Capital One Bank USA N.A., 3.375%, 02/15/23		1,605
	978	Capital One N.A., 2.350%, 08/17/18		973
		Citigroup, Inc.,
	1,000	1.700%, 04/27/18		989
	800	1.750%, 05/01/18		792
	507	1.800%, 02/05/18		504
	1,210	2.050%, 12/07/18		1,203
	1,096	2.150%, 07/30/18		1,092
	500	2.400%, 02/18/20		496
	1,900	3.700%, 01/12/26		1,940
	871	3.750%, 06/16/24		892


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Banks — continued
	433	3.875%, 10/25/23		451
	1,200	4.300%, 11/20/26		1,164
	569	4.400%, 06/10/25		566
	555	4.650%, 07/30/45		557
	250	5.300%, 05/06/44		248
	865	5.500%, 09/13/25		927
	321	5.875%, 01/30/42		364
	250	6.625%, 01/15/28		312
	223	8.125%, 07/15/39		318
	148	Comerica, Inc., 3.800%, 07/22/26		143
		Commonwealth Bank of Australia, (Australia),
	1,080	2.250%, 03/16/17 (e)		1,093
	532	4.500%, 12/09/25 (e)		524
		Cooperatieve Rabobank UA, (Netherlands),
	1,000	2.500%, 01/19/21		1,003
	455	3.375%, 01/19/17		463
	789	3.875%, 02/08/22		831
	1,488	4.375%, 08/04/25		1,496
	500	5.800%, 09/30/10²(e)		568
		Credit Suisse Group Funding Guernsey Ltd., (United Kingdom),
	250	2.750%, 03/26/20		242
	419	3.125%, 12/10/20 (e)		411
	340	3.750%, 03/26/25		321
	484	4.875%, 05/15/45		441
		Discover Bank,
	343	2.600%, 11/13/18		343
	1,000	3.200%, 08/09/21		993
	601	4.200%, 08/08/23		610
		Fifth Third Bancorp,
	1,028	2.875%, 07/27/20		1,036
	760	5.450%, 01/15/17		785
		Fifth Third Bank,
	600	2.375%, 04/25/19		603
	340	2.875%, 10/01/21		343
		HSBC Bank plc, (United Kingdom),
	1,438	1.500%, 05/15/18 (e)		1,429
	666	4.125%, 08/12/20 (e)		708
	575	4.750%, 01/19/21 (e)		634
		HSBC Holdings plc, (United Kingdom),
	1,056	4.000%, 03/30/22		1,098
	939	4.250%, 08/18/25		910
	530	4.875%, 01/14/22		579
	600	6.100%, 01/14/42		741


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Banks — continued
		Huntington National Bank (The),
	250	2.000%, 06/30/18		249
	858	2.875%, 08/20/20		862
	680	Industrial & Commercial Bank of China Ltd., (China), 2.351%, 11/13/17		685
	729	KeyBank N.A., 3.180%, 05/22/22		738
		KeyCorp,
	315	2.900%, 09/15/20		315
	300	5.100%, 03/24/21		330
		Lloyds Bank plc, (United Kingdom),
	651	1.750%, 03/16/18		648
	666	2.050%, 01/22/19		665
	2,100	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		2,270
	422	Mitsubishi UFJ Financial Group, Inc., (Japan), 2.950%, 03/01/21		425
		Mizuho Bank Ltd., (Japan),
	393	1.800%, 03/26/18 (e)		391
	623	2.650%, 09/25/19 (e)		632
	270	MUFG Americas Holdings Corp., 2.250%, 02/10/20		266
		National Australia Bank Ltd., (Australia),
	1,500	2.000%, 06/20/17 (e)		1,514
	1,000	3.000%, 07/27/16 (e)		1,009
	250	National City Bank, 5.800%, 06/07/17		261
		Nordea Bank AB, (Sweden),
	1,000	1.625%, 05/15/18 (e)		996
	1,800	3.125%, 03/20/17 (e)		1,834
	945	4.250%, 09/21/22 (e)		981
	400	PNC Bank N.A., 6.875%, 04/01/18		440
	182	PNC Financial Services Group, Inc. (The), 3.900%, 04/29/24		188
		PNC Funding Corp.,
	709	3.300%, 03/08/22		735
	567	4.375%, 08/11/20		615
	950	5.625%, 02/01/17		982
	595	6.700%, 06/10/19		682
		Royal Bank of Canada, (Canada),
	985	1.200%, 09/19/17		985
	1,450	1.875%, 02/05/20		1,458
	1,789	2.000%, 10/01/18		1,810
	1,000	2.200%, 07/27/18		1,011
	452	Santander UK Group Holdings plc, (United Kingdom), 3.125%, 01/08/21		449
	402	Skandinaviska Enskilda Banken AB, (Sweden), 1.750%, 03/19/18 (e)		402


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Banks — continued
	927	SpareBank 1 Boligkreditt A.S., (Norway), 1.750%, 11/15/19 (e)		922
	1,148	Stadshypotek AB, (Sweden), 1.875%, 10/02/19 (e)		1,152
	1,300	Standard Chartered plc, (United Kingdom), 5.200%, 01/26/24 (e)		1,281
		SunTrust Banks, Inc.,
	253	2.900%, 03/03/21		252
	880	6.000%, 09/11/17		934
	1,411	Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16		1,422
		Toronto-Dominion Bank (The), (Canada),
	2,350	1.500%, 03/13/17 (e)		2,358
	521	2.250%, 11/05/19		525
		U.S. Bancorp,
	550	1.650%, 05/15/17		553
	540	3.000%, 03/15/22		559
	566	4.125%, 05/24/21		617
	1,277	7.500%, 06/01/26		1,670
	896	U.S. Bank N.A., 2.800%, 01/27/25		902
	6,606	Wachovia Corp., 5.750%, 02/01/18		7,102
		Wells Fargo & Co.,
	1,200	2.150%, 01/30/20		1,197
	2,174	2.600%, 07/22/20		2,198
	453	3.000%, 02/19/25		452
	850	3.500%, 03/08/22		892
	484	4.100%, 06/03/26		500
	694	4.300%, 07/22/27		720
	702	4.480%, 01/16/24		746
	500	4.600%, 04/01/21		551
	920	4.650%, 11/04/44		900
	1,280	5.606%, 01/15/44		1,414
	2,350	5.625%, 12/11/17		2,512
	1,045	SUB, 3.676%, 06/15/16		1,054
		Wells Fargo Bank N.A.,
	1,000	5.600%, 03/15/16		1,002
	250	5.750%, 05/16/16		252
	250	6.000%, 11/15/17		268
		Westpac Banking Corp., (Australia),
	338	2.000%, 03/03/20 (e)		339
	2,141	4.875%, 11/19/19		2,334

				149,196

		Capital Markets — 1.7%
	1,500	Ameriprise Financial, Inc., 4.000%, 10/15/23		1,589


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Capital Markets — continued
		Bank of New York Mellon Corp. (The),
	909	2.100%, 01/15/19		917
	880	2.200%, 03/04/19		892
	700	3.250%, 09/11/24		716
	413	3.550%, 09/23/21		435
	950	3.650%, 02/04/24		997
	760	4.600%, 01/15/20		825
		BlackRock, Inc.,
	660	3.375%, 06/01/22		695
	540	3.500%, 03/18/24		566
	430	4.250%, 05/24/21		471
	385	6.250%, 09/15/17		414
	437	Series 2, 5.000%, 12/10/19		486
		Blackstone Holdings Finance Co. LLC,
	429	4.450%, 07/15/45 (e)		393
	1,940	5.875%, 03/15/21 (e)		2,210
	340	Charles Schwab Corp. (The), 3.225%, 09/01/22		352
		Credit Suisse AG, (Switzerland),
	417	1.750%, 01/29/18		414
	728	2.300%, 05/28/19		722
	271	3.000%, 10/29/21		271
	402	3.625%, 09/09/24		404
		Deutsche Bank AG, (Germany),
	591	1.875%, 02/13/18		576
	1,600	2.950%, 08/20/20		1,550
	805	6.000%, 09/01/17		843
	500	FMR LLC, 6.450%, 11/15/39 (e)		611
		Goldman Sachs Group, Inc. (The),
	952	2.600%, 04/23/20		948
	1,309	2.625%, 01/31/19		1,320
	453	2.750%, 09/15/20		452
	557	3.500%, 01/23/25		551
	525	3.750%, 05/22/25		532
	469	3.750%, 02/25/26		473
	800	4.000%, 03/03/24		828
	115	4.250%, 10/21/25		114
	848	5.250%, 07/27/21		942
	1,366	5.375%, 03/15/20		1,498
	1,200	5.750%, 01/24/22		1,363
	4,310	5.950%, 01/18/18		4,596
	949	6.000%, 06/15/20		1,065
	420	6.150%, 04/01/18		453
	685	6.750%, 10/01/37		783
	2,678	7.500%, 02/15/19		3,048


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Capital Markets — continued
		ING Bank N.V., (Netherlands),
	500	1.375%, 03/07/16 (e)		500
	1,445	3.750%, 03/07/17 (e)		1,478
		Invesco Finance plc, (United Kingdom),
	390	3.750%, 01/15/26		403
	657	4.000%, 01/30/24		694
		Jefferies Group LLC,
	1,015	5.125%, 04/13/18		1,048
	1,010	6.450%, 06/08/27		994
	880	6.875%, 04/15/21		985
		Macquarie Bank Ltd., (Australia),
	605	2.350%, 01/15/19 (e)		607
	291	2.600%, 06/24/19 (e)		292
	1,000	2.850%, 07/29/20 (e)		1,003
	1,000	4.000%, 07/29/25 (e)		979
	2,615	5.000%, 02/22/17 (e)		2,697
		Macquarie Group Ltd., (Australia),
	1,200	6.000%, 01/14/20 (e)		1,306
	1,650	6.250%, 01/14/21 (e)		1,827
		Morgan Stanley,
	500	2.650%, 01/27/20		499
	2,365	2.800%, 06/16/20		2,377
	1,250	3.700%, 10/23/24		1,266
	946	3.875%, 01/27/26		972
	703	3.950%, 04/23/27		679
	2,873	4.000%, 07/23/25		2,964
	480	4.350%, 09/08/26		478
	871	5.000%, 11/24/25		916
	1,021	5.500%, 07/24/20		1,130
	559	5.500%, 07/28/21		627
	1,265	5.625%, 09/23/19		1,388
	360	5.750%, 01/25/21		405
	1,400	6.625%, 04/01/18		1,523
	970	7.300%, 05/13/19		1,109
	547	Nomura Holdings, Inc., (Japan), 6.700%, 03/04/20		628
		State Street Corp.,
	369	3.100%, 05/15/23		372
	2,792	3.550%, 08/18/25		2,945
	1,164	3.700%, 11/20/23		1,237
	379	TD Ameritrade Holding Corp., 2.950%, 04/01/22		385

				73,028

		Consumer Finance — 0.9%
	700	American Express Co., 7.000%, 03/19/18		769


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Consumer Finance — continued
		American Express Credit Corp.,
	1,140	1.800%, 07/31/18		1,135
	1,028	1.875%, 11/05/18		1,030
	480	2.375%, 03/24/17		486
	1,455	2.375%, 05/26/20		1,451
	714	Series F, 2.600%, 09/14/20		717
		American Honda Finance Corp.,
	533	1.600%, 02/16/18 (e)		533
	565	2.125%, 02/28/17 (e)		571
	363	2.125%, 10/10/18		367
	417	2.250%, 08/15/19		423
	1,599	2.600%, 09/20/16 (e)		1,615
	150	7.625%, 10/01/18 (e)		171
		Capital One Financial Corp.,
	750	3.200%, 02/05/25		720
	1,281	3.500%, 06/15/23		1,278
	462	4.200%, 10/29/25		453
		Caterpillar Financial Services Corp.,
	882	2.250%, 12/01/19		891
	402	2.850%, 06/01/22		407
	560	5.500%, 03/15/16		561
	340	7.050%, 10/01/18		385
	585	7.150%, 02/15/19		671
		Ford Motor Credit Co. LLC,
	472	1.684%, 09/08/17		465
	340	2.145%, 01/09/18		338
	991	2.240%, 06/15/18		977
	513	2.375%, 03/12/19		504
	1,653	3.000%, 06/12/17		1,669
	1,917	3.984%, 06/15/16		1,932
	1,162	4.134%, 08/04/25		1,157
	561	4.207%, 04/15/16		563
	200	4.250%, 09/20/22		204
	803	VAR, 1.870%, 05/09/16		803
		General Motors Financial Co., Inc.,
	489	3.100%, 01/15/19		484
	1,091	3.200%, 07/13/20		1,054
	207	HSBC Finance Corp., 7.350%, 11/27/32		245
		HSBC USA, Inc.,
	800	1.625%, 01/16/18		796
	1,077	2.350%, 03/05/20		1,055
	2,469	2.750%, 08/07/20		2,453
		John Deere Capital Corp.,
	759	1.200%, 10/10/17		758
	335	1.700%, 01/15/20		332


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Consumer Finance — continued
	400	2.450%, 09/11/20		407
	233	3.150%, 10/15/21		243
	874	Nissan Motor Acceptance Corp., 1.800%, 03/15/18 (e)		871
		PACCAR Financial Corp.,
	626	1.400%, 05/18/18		625
	663	1.600%, 03/15/17		667
		Toyota Motor Credit Corp.,
	412	1.450%, 01/12/18		413
	1,350	2.000%, 09/15/16		1,358
	558	2.100%, 01/17/19		566
	1,130	2.125%, 07/18/19		1,148

				36,721

		Diversified Financial Services — 0.8%
	1,455	Bank of America N.A., 5.300%, 03/15/17		1,504
		Berkshire Hathaway, Inc.,
	2,498	3.400%, 01/31/22		2,650
	840	3.750%, 08/15/21		909
	725	Caisse Centrale Desjardins, (Canada), 2.550%, 03/24/16 (e)		726
		CME Group, Inc.,
	1,230	3.000%, 09/15/22		1,271
	777	3.000%, 03/15/25		780
	285	5.300%, 09/15/43		333
	400	Countrywide Financial Corp., 6.250%, 05/15/16		404
		GE Capital International Funding Co., (Ireland),
	3,710	2.342%, 11/15/20 (e)		3,747
	2,986	3.373%, 11/15/25 (e)		3,124
	3,040	4.418%, 11/15/35 (e)		3,174
		Intercontinental Exchange, Inc.,
	447	2.500%, 10/15/18		453
	884	4.000%, 10/15/23		926
	300	Murray Street Investment Trust I, SUB, 4.647%, 03/09/17		307
	290	National Rural Utilities Cooperative Finance Corp., 10.375%, 11/01/18		351
		Private Export Funding Corp.,
	5,000	Series EE, 2.800%, 05/15/22		5,267
	681	Series KK, 3.550%, 01/15/24		748
		Shell International Finance B.V., (Netherlands),
	212	1.125%, 08/21/17		211
	804	2.125%, 05/11/20		783
	789	4.125%, 05/11/35		731
	1,020	4.300%, 09/22/19		1,077


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Diversified Financial Services — continued
	1,005	4.375%, 03/25/20		1,064
	1,280	6.375%, 12/15/38		1,480
		Siemens Financieringsmaatschappij N.V., (Netherlands),
	634	2.900%, 05/27/22 (e)		654
	513	4.400%, 05/27/45 (e)		543
	300	5.750%, 10/17/16 (e)		309

				33,526

		Insurance — 0.9%
		ACE INA Holdings, Inc.,
	380	2.300%, 11/03/20		382
	533	2.875%, 11/03/22		543
	520	AIG SunAmerica Global Financing X, 6.900%, 03/15/32 (e)		627
	651	Allstate Corp. (The), 3.150%, 06/15/23		668
		American International Group, Inc.,
	674	3.750%, 07/10/25		661
	296	3.875%, 01/15/35		250
	471	4.125%, 02/15/24		478
	1,685	4.700%, 07/10/35		1,589
		Aon Corp.,
	402	3.125%, 05/27/16		404
	306	6.250%, 09/30/40		340
	452	Aon plc, (United Kingdom), 3.875%, 12/15/25		457
		Berkshire Hathaway Finance Corp.,
	404	1.300%, 05/15/18		405
	233	3.000%, 05/15/22		241
	748	4.300%, 05/15/43		738
	1,574	4.400%, 05/15/42		1,567
	1,810	5.400%, 05/15/18		1,973
	120	Chubb Corp. (The), 5.750%, 05/15/18		131
	798	CNA Financial Corp., 3.950%, 05/15/24		782
	563	Jackson National Life Global Funding, 1.875%, 10/15/18 (e)		562
	408	Liberty Mutual Group, Inc., 5.000%, 06/01/21 (e)		440
		Lincoln National Corp.,
	345	4.200%, 03/15/22		358
	253	4.850%, 06/24/21		270
	676	Marsh & McLennan Cos., Inc., 2.350%, 03/06/20		677
	280	Massachusetts Mutual Life Insurance Co., 5.375%, 12/01/41 (e)		307
		MassMutual Global Funding II,
	1,500	2.000%, 04/05/17 (e)		1,514


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Insurance — continued
	626	2.500%, 10/17/22 (e)		618
	540	3.125%, 04/14/16 (e)		541
		MetLife, Inc.,
	600	4.875%, 11/13/43		615
	555	Series A, 6.817%, 08/15/18		618
		Metropolitan Life Global Funding I,
	604	1.500%, 01/10/18 (e)		600
	938	1.875%, 06/22/18 (e)		935
	1,900	3.650%, 06/14/18 (e)		1,975
	1,277	3.875%, 04/11/22 (e)		1,343
	1,750	Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e)		2,528
		New York Life Global Funding,
	129	1.950%, 02/11/20 (e)		129
	3,951	2.150%, 06/18/19 (e)		3,985
	650	Pacific Life Global Funding, 5.000%, 05/15/17 (e)		673
	570	Pacific Life Insurance Co., 9.250%, 06/15/39 (e)		794
	384	Pricoa Global Funding I, 1.600%, 05/29/18 (e)		382
	166	Principal Financial Group, Inc., 1.850%, 11/15/17		166
	953	Principal Life Global Funding II, 2.250%, 10/15/18 (e)		963
	1,750	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		2,254
	388	Reliance Standard Life Global Funding II, 3.050%, 01/20/21 (e)		393
	285	Travelers Cos., Inc. (The), 5.800%, 05/15/18		310

				36,186

		Real Estate Investment Trusts (REITs) — 0.4%
		American Tower Corp.,
	450	3.500%, 01/31/23		442
	567	5.000%, 02/15/24		604
		American Tower Trust I,
	471	1.551%, 03/15/18 (e)		465
	750	3.070%, 03/15/23 (e)		758
	483	Boston Properties LP, 3.650%, 02/01/26		489
		Equity Commonwealth,
	600	5.875%, 09/15/20		654
	1,345	6.650%, 01/15/18		1,416
	364	ERP Operating LP, 4.625%, 12/15/21		402
		HCP, Inc.,
	492	2.625%, 02/01/20		481
	265	3.400%, 02/01/25		236


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Real Estate Investment Trusts (REITs) — continued
	1,204	3.875%, 08/15/24		1,131
	230	4.200%, 03/01/24		220
	598	4.250%, 11/15/23		585
	783	National Retail Properties, Inc., 4.000%, 11/15/25		791
		Prologis LP,
	133	3.750%, 11/01/25		135
	534	4.250%, 08/15/23		568
		Simon Property Group LP,
	917	2.150%, 09/15/17		926
	868	3.375%, 10/01/24		881
	532	3.750%, 02/01/24		558
	579	4.125%, 12/01/21		626
	200	4.375%, 03/01/21		218
		Ventas Realty LP,
	242	3.500%, 02/01/25		234
	353	3.750%, 05/01/24		353
	406	4.125%, 01/15/26		412
		Welltower, Inc.,
	223	4.000%, 06/01/25		219
	732	4.500%, 01/15/24		745

				14,549

		Thrifts & Mortgage Finance — 0.0% (g)
	850	BPCE S.A., (France), 1.625%, 01/26/18		847

		Total Financials		344,053

		Health Care — 1.0%
		Biotechnology — 0.3%
		Amgen, Inc.,
	237	2.125%, 05/01/20		235
	491	3.625%, 05/22/24		505
	1,000	3.875%, 11/15/21		1,069
	500	4.950%, 10/01/41		497
	2,000	5.150%, 11/15/41		2,056
	265	5.650%, 06/15/42		292
	680	5.700%, 02/01/19		753
	720	5.750%, 03/15/40		787
		Baxalta, Inc.,
	500	3.600%, 06/23/22 (e)		496
	167	5.250%, 06/23/45 (e)		160
		Biogen, Inc.,
	918	3.625%, 09/15/22		949
	250	5.200%, 09/15/45		256
		Celgene Corp.,
	873	2.875%, 08/15/20		883


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Biotechnology — continued
	1,336	3.250%, 08/15/22		1,337
	659	3.625%, 05/15/24		663
	633	5.000%, 08/15/45		648
		Gilead Sciences, Inc.,
	539	3.250%, 09/01/22		558
	632	3.650%, 03/01/26		662
	106	4.600%, 09/01/35		110

				12,916

		Health Care Equipment & Supplies — 0.1%
	286	Baxter International, Inc., 1.850%, 06/15/18		286
		Becton, Dickinson & Co.,
	162	2.675%, 12/15/19		165
	243	3.734%, 12/15/24		251
	100	5.000%, 05/15/19		108
		Medtronic, Inc.,
	821	3.150%, 03/15/22		856
	1,025	4.375%, 03/15/35		1,060

				2,726

		Health Care Providers & Services — 0.3%
		Aetna, Inc.,
	265	4.500%, 05/15/42		258
	440	6.750%, 12/15/37		542
		Anthem, Inc.,
	467	2.300%, 07/15/18		469
	615	3.125%, 05/15/22		605
	280	3.300%, 01/15/23		276
	500	4.625%, 05/15/42		473
	535	4.650%, 01/15/43		501
	648	4.650%, 08/15/44		611
		Cardinal Health, Inc.,
	540	2.400%, 11/15/19		542
	690	3.750%, 09/15/25		718
		Express Scripts Holding Co.,
	305	3.300%, 02/25/21		307
	900	3.500%, 06/15/24		861
	639	Laboratory Corp. of America Holdings, 3.200%, 02/01/22		635
	588	Memorial Sloan-Kettering Cancer Center, 4.200%, 07/01/55		594
	640	Texas Health Resources, 4.330%, 11/15/55		655
		UnitedHealth Group, Inc.,
	472	1.900%, 07/16/18		476
	173	2.750%, 02/15/23		174
	400	2.875%, 03/15/23		406


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Health Care Providers & Services — continued
	697	3.100%, 03/15/26		702
	697	3.350%, 07/15/22		729
	1,050	3.375%, 11/15/21		1,113
	560	4.625%, 07/15/35		601
	620	6.625%, 11/15/37		812

				13,060

		Life Sciences Tools & Services — 0.0% (g)
		Thermo Fisher Scientific, Inc.,
	176	1.300%, 02/01/17		176
	687	4.150%, 02/01/24		717

				893

		Pharmaceuticals — 0.3%
		AbbVie, Inc.,
	992	1.750%, 11/06/17		991
	1,164	2.500%, 05/14/20		1,165
	609	2.900%, 11/06/22		604
	422	3.200%, 11/06/22		426
	783	4.500%, 05/14/35		780
		Actavis Funding SCS, (Luxembourg),
	453	3.000%, 03/12/20		460
	443	3.450%, 03/15/22		452
	706	4.550%, 03/15/35		710
	275	Actavis, Inc., 3.250%, 10/01/22		276
	250	Allergan, Inc., 2.800%, 03/15/23		244
	395	Bayer U.S. Finance LLC, 2.375%, 10/08/19 (e)		401
	937	Forest Laboratories LLC, 5.000%, 12/15/21 (e)		1,028
	750	GlaxoSmithKline Capital plc, (United Kingdom), 2.850%, 05/08/22		773
	530	GlaxoSmithKline Capital, Inc., 6.375%, 05/15/38		681
	546	Johnson & Johnson, 3.550%, 03/01/36		547
		Merck & Co., Inc.,
	650	1.300%, 05/18/18		653
	644	2.350%, 02/10/22		646
	474	2.400%, 09/15/22		476
	562	2.800%, 05/18/23		576
	210	3.700%, 02/10/45		200
	560	Novartis Capital Corp., 3.400%, 05/06/24		598
	650	Pfizer, Inc., 3.000%, 06/15/23		673
		Zoetis, Inc.,
	193	1.875%, 02/01/18		191
	123	4.700%, 02/01/43		108

				13,659

		Total Health Care		43,254


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Industrials — 1.6%
		Aerospace & Defense — 0.2%
	557	Airbus Group Finance B.V., (Netherlands), 2.700%, 04/17/23 (e)		562
		BAE Systems Holdings, Inc.,
	500	3.800%, 10/07/24 (e)		511
	400	6.375%, 06/01/19 (e)		450
	676	BAE Systems plc, (United Kingdom), 5.800%, 10/11/41 (e)		771
	200	Boeing Co. (The), 7.950%, 08/15/24		273
	415	Honeywell International, Inc., 5.300%, 03/01/18		449
		Lockheed Martin Corp.,
	387	2.125%, 09/15/16		389
	131	3.100%, 01/15/23		135
	1,281	4.070%, 12/15/42		1,249
	167	4.500%, 05/15/36		176
	292	4.850%, 09/15/41		312
	300	Northrop Grumman Systems Corp., 7.750%, 02/15/31		419
	1,350	Precision Castparts Corp., 3.250%, 06/15/25		1,382
	340	Raytheon Co., 3.150%, 12/15/24		354
		United Technologies Corp.,
	214	1.800%, 06/01/17		216
	681	3.100%, 06/01/22		707
	543	4.150%, 05/15/45		532
	914	4.500%, 06/01/42		943

				9,830

		Air Freight & Logistics — 0.0% (g)
	318	FedEx Corp., 3.900%, 02/01/35		292
		United Parcel Service of America, Inc.,
	355	8.375%, 04/01/20		444
	160	SUB, 8.375%, 04/01/30		230
	214	United Parcel Service, Inc., 2.450%, 10/01/22		218

				1,184

		Airlines — 0.1%
	399	Air Canada 2013-1 Class A Pass-Through Trust, (Canada), 4.125%, 05/15/25 (e)		400
	195	American Airlines 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21		208
	578	American Airlines 2013-2 Class A Pass-Through Trust, 4.950%, 01/15/23		609
	180	Continental Airlines 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20		194
	395	Continental Airlines 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22		435


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Airlines — continued
	190	Continental Airlines 2012-2 Class A Pass-Through Trust, 4.000%, 10/29/24		196
	384	Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		403
	147	Delta Air Lines 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19		157
	377	Delta Air Lines 2012-1 Class A Pass-Through Trust, 4.750%, 05/07/20		399

				3,001

		Commercial Services & Supplies — 0.1%
		ADT Corp. (The),
	820	3.500%, 07/15/22		687
	328	4.875%, 07/15/42		218
	200	Pitney Bowes, Inc., 5.600%, 03/15/18		211
	614	Republic Services, Inc., 3.550%, 06/01/22		643
		Waste Management, Inc.,
	156	3.900%, 03/01/35		152
	214	4.750%, 06/30/20		235

				2,146

		Construction & Engineering — 0.1%
		ABB Finance USA, Inc.,
	226	1.625%, 05/08/17		227
	292	2.875%, 05/08/22		295
	145	4.375%, 05/08/42		153
	789	Fluor Corp., 3.375%, 09/15/21		820

				1,495

		Electrical Equipment — 0.0% (g)
		Eaton Corp.,
	182	1.500%, 11/02/17		181
	170	4.000%, 11/02/32		167
	570	5.600%, 05/15/18		612
	300	7.625%, 04/01/24		383

				1,343

		Industrial Conglomerates — 0.4%
		Danaher Corp.,
	420	2.400%, 09/15/20		429
	667	3.900%, 06/23/21		723
		General Electric Co.,
	750	2.300%, 04/27/17		764
	212	2.700%, 10/09/22		219
	573	3.100%, 01/09/23		600
	573	3.150%, 09/07/22		602
	436	3.375%, 03/11/24		467


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Industrial Conglomerates — continued
	187	4.625%, 01/07/21		209
	602	4.650%, 10/17/21		682
	191	5.300%, 02/11/21		216
	2,500	5.400%, 02/15/17		2,605
	512	5.500%, 01/08/20		583
	4,380	5.625%, 05/01/18		4,777
	95	5.875%, 01/14/38		120
	794	Series A, 6.750%, 03/15/32		1,058
	539	Hutchison Whampoa International 12 II Ltd., (Cayman Islands), 3.250%, 11/08/22 (e)		550
	412	Ingersoll-Rand Global Holding Co., Ltd., 4.250%, 06/15/23		437
		Koninklijke Philips N.V., (Netherlands),
	970	3.750%, 03/15/22		1,002
	409	5.750%, 03/11/18		437
	130	7.200%, 06/01/26		163
	981	Pentair Finance S.A., (Luxembourg), 2.900%, 09/15/18		982
	192	Roper Technologies, Inc., 3.000%, 12/15/20		194
	223	Tyco International Finance S.A., (Luxembourg), 5.125%, 09/14/45		232

				18,051

		Machinery — 0.1%
	164	Caterpillar, Inc., 2.600%, 06/26/22		165
		Deere & Co.,
	819	2.600%, 06/08/22		822
	346	3.900%, 06/09/42		335
		Illinois Tool Works, Inc.,
	400	3.500%, 03/01/24		424
	1,920	3.900%, 09/01/42		1,885
	290	Ingersoll-Rand Co., 6.391%, 11/15/27		336
		Parker-Hannifin Corp.,
	592	4.450%, 11/21/44		629
	215	5.500%, 05/15/18		232

				4,828

		Road & Rail — 0.6%
		Burlington Northern Santa Fe LLC,
	200	3.000%, 03/15/23		204
	522	3.050%, 03/15/22		537
	300	3.450%, 09/15/21		316
	136	3.600%, 09/01/20		145
	249	3.750%, 04/01/24		263
	375	4.375%, 09/01/42		376
	455	4.700%, 09/01/45		482


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Road & Rail — continued
	769	5.150%, 09/01/43		853
	1,658	5.400%, 06/01/41		1,897
	540	5.650%, 05/01/17		566
	335	5.750%, 03/15/18		362
	425	5.750%, 05/01/40		499
	250	6.700%, 08/01/28		319
		Canadian Pacific Railway Co., (Canada),
	600	4.500%, 01/15/22		640
	1,130	6.125%, 09/15/15¹		1,181
	250	7.125%, 10/15/31		322
		CSX Corp.,
	400	3.400%, 08/01/24		406
	526	3.950%, 05/01/50		451
	191	4.100%, 03/15/44		176
	300	4.250%, 06/01/21		322
	575	5.500%, 04/15/41		632
	215	7.375%, 02/01/19		247
	500	7.900%, 05/01/17		536
		ERAC USA Finance LLC,
	559	4.500%, 08/16/21 (e)		600
	355	5.250%, 10/01/20 (e)		392
	436	5.625%, 03/15/42 (e)		466
	350	6.375%, 10/15/17 (e)		374
	746	6.700%, 06/01/34 (e)		895
		Norfolk Southern Corp.,
	746	3.250%, 12/01/21		750
	595	3.950%, 10/01/42		531
	100	6.000%, 03/15/05³		107
	1,510	6.000%, 05/23/11⁴		1,627
	365	7.700%, 05/15/17		392
		Penske Truck Leasing Co. LP/PTL Finance Corp.,
	479	2.875%, 07/17/18 (e)		477
	1,131	3.375%, 02/01/22 (e)		1,101
		Ryder System, Inc.,
	484	2.500%, 03/01/17		487
	723	2.500%, 05/11/20		707
	517	2.875%, 09/01/20		513
	434	3.600%, 03/01/16		434
		Union Pacific Corp.,
	182	2.950%, 01/15/23		185
	838	3.646%, 02/15/24		892
	710	4.163%, 07/15/22		780
	200	4.300%, 06/15/42		204

				23,646


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Trading Companies & Distributors — 0.0% (g)
	655	WW Grainger, Inc., 4.600%, 06/15/45		711

		Total Industrials		66,235

		Information Technology — 1.2%
		Communications Equipment — 0.1%
		Cisco Systems, Inc.,
	514	2.600%, 02/28/23		520
	197	2.900%, 03/04/21		205
	1,111	3.000%, 06/15/22		1,157
	335	3.500%, 06/15/25		353
	500	3.625%, 03/04/24		539
	350	5.500%, 01/15/40		419
	755	5.900%, 02/15/39		934

				4,127

		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	219	3.000%, 03/01/18		220
	190	4.500%, 03/01/23		195
	165	6.000%, 04/01/20		179
	500	6.875%, 06/01/18		543
	1,563	7.500%, 01/15/27		1,884

				3,021

		Internet Software & Services — 0.1%
		eBay, Inc.,
	1,500	2.600%, 07/15/22		1,401
	500	3.450%, 08/01/24		476
	271	4.000%, 07/15/42		206

				2,083

		IT Services — 0.2%
		International Business Machines Corp.,
	409	1.250%, 02/08/18		409
	3,267	1.625%, 05/15/20		3,245
	765	6.220%, 08/01/27		953
	3,675	7.625%, 10/15/18		4,234
		Xerox Corp.,
	271	2.950%, 03/15/17		271
	320	5.625%, 12/15/19		327
	550	6.750%, 02/01/17		569

				10,008

		Semiconductors & Semiconductor Equipment — 0.1%
		Intel Corp.,
	375	3.100%, 07/29/22		393
	397	3.300%, 10/01/21		421


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Semiconductors & Semiconductor Equipment — continued
	652	3.700%, 07/29/25		704
	1,185	4.000%, 12/15/32		1,198
	453	4.900%, 07/29/45		491
	1,460	National Semiconductor Corp., 6.600%, 06/15/17		1,559
	365	Texas Instruments, Inc., 1.650%, 08/03/19		365

				5,131

		Software — 0.3%
	470	Intuit, Inc., 5.750%, 03/15/17		490
		Microsoft Corp.,
	262	0.875%, 11/15/17		262
	384	2.125%, 11/15/22		383
	500	2.375%, 02/12/22		509
	1,310	2.375%, 05/01/23		1,318
	291	3.500%, 02/12/35		280
	1,155	3.625%, 12/15/23		1,259
	305	4.000%, 02/12/55		283
	615	4.200%, 11/03/35		645
	117	4.500%, 10/01/40		124
	639	4.750%, 11/03/55		673
		Oracle Corp.,
	586	2.800%, 07/08/21		606
	1,750	2.950%, 05/15/25		1,766
	1,000	3.625%, 07/15/23		1,058
	457	4.300%, 07/08/34		468
	1,740	4.375%, 05/15/55		1,669
	500	5.000%, 07/08/19		555
	813	5.750%, 04/15/18		888
	475	6.500%, 04/15/38		609

				13,845

		Technology Hardware, Storage & Peripherals — 0.3%
		Apple, Inc.,
	927	2.150%, 02/09/22		918
	2,556	2.400%, 05/03/23		2,533
	2,364	2.850%, 05/06/21		2,463
	1,539	3.200%, 05/13/25		1,590
	625	3.450%, 02/09/45		544
	426	4.500%, 02/23/36		444
	2,069	VAR, 0.869%, 05/03/18		2,062
	300	Dell, Inc., 7.100%, 04/15/28		269
		HP, Inc.,
	282	4.300%, 06/01/21		285
	472	4.375%, 09/15/21		476
	201	4.650%, 12/09/21		205


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Technology Hardware, Storage & Peripherals — continued
	849	6.000%, 09/15/41		700

				12,489

		Total Information Technology		50,704

		Materials — 0.5%
		Chemicals — 0.3%
		Agrium, Inc., (Canada),
	490	3.375%, 03/15/25		450
	525	4.125%, 03/15/35		414
	757	5.250%, 01/15/45		676
	500	CF Industries, Inc., 7.125%, 05/01/20		563
		Dow Chemical Co. (The),
	542	3.000%, 11/15/22		536
	850	3.500%, 10/01/24		854
	693	4.125%, 11/15/21		732
	200	5.250%, 11/15/41		197
	375	7.375%, 11/01/29		475
	73	8.550%, 05/15/19		86
	253	E.I. du Pont de Nemours & Co., 4.900%, 01/15/41		248
		Ecolab, Inc.,
	447	1.450%, 12/08/17		445
	595	3.250%, 01/14/23		605
	150	5.500%, 12/08/41		168
	208	Monsanto Co., 4.700%, 07/15/64		166
		Mosaic Co. (The),
	280	3.750%, 11/15/21		279
	1,456	4.250%, 11/15/23		1,424
	79	4.875%, 11/15/41		67
	861	5.450%, 11/15/33		832
	347	5.625%, 11/15/43		323
		Potash Corp. of Saskatchewan, Inc., (Canada),
	660	3.000%, 04/01/25		613
	85	3.250%, 12/01/17		87
		PPG Industries, Inc.,
	114	5.500%, 11/15/40		130
	122	6.650%, 03/15/18		133
	355	9.000%, 05/01/21		455
	473	Praxair, Inc., 2.650%, 02/05/25		472
		Union Carbide Corp.,
	1,000	7.500%, 06/01/25		1,224
	850	7.750%, 10/01/96		993

				13,647


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Construction Materials — 0.0% (g)
		CRH America, Inc.,
	417	3.875%, 05/18/25 (e)		423
	893	5.125%, 05/18/45 (e)		906

				1,329

		Metals & Mining — 0.2%
		BHP Billiton Finance USA Ltd., (Australia),
	815	3.850%, 09/30/23		814
	150	5.000%, 09/30/43		146
	410	5.400%, 03/29/17		424
	560	6.500%, 04/01/19		615
		Freeport-McMoRan, Inc.,
	1,329	2.150%, 03/01/17		1,263
	1,138	3.875%, 03/15/23		748
	1,020	5.400%, 11/14/34		594
	262	5.450%, 03/15/43		152
	283	Nucor Corp., 4.000%, 08/01/23		285
	295	Placer Dome, Inc., (Canada), 6.450%, 10/15/35		239
		Rio Tinto Finance USA Ltd., (Australia),
	550	3.750%, 09/20/21		545
	650	9.000%, 05/01/19		753
	393	Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17		385
		Teck Resources Ltd., (Canada),
	514	3.750%, 02/01/23		314
	676	4.750%, 01/15/22		419

				7,696

		Total Materials		22,672

		Telecommunication Services — 1.2%
		Diversified Telecommunication Services — 1.1%
		AT&T, Inc.,
	3,830	3.000%, 06/30/22		3,796
	1,120	3.400%, 05/15/25		1,100
	425	3.875%, 08/15/21		446
	879	4.300%, 12/15/42		751
	462	4.350%, 06/15/45		393
	425	4.450%, 05/15/21		454
	485	4.500%, 05/15/35		445
	563	4.750%, 05/15/46		514
	375	5.350%, 09/01/40		365
	250	5.500%, 02/01/18		267
	2,700	6.300%, 01/15/38		2,926
	700	Bellsouth Capital Funding Corp., 7.875%, 02/15/30		831


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Diversified Telecommunication Services — continued
	2,250	BellSouth LLC, 6.550%, 06/15/34		2,385
		British Telecommunications plc, (United Kingdom),
	531	2.350%, 02/14/19		535
	150	9.625%, 12/15/30		215
	600	Centel Capital Corp., 9.000%, 10/15/19		689
		Deutsche Telekom International Finance B.V., (Netherlands),
	336	2.250%, 03/06/17 (e)		338
	232	4.875%, 03/06/42 (e)		244
	400	6.000%, 07/08/19		450
	325	8.750%, 06/15/30		458
		GTP Acquisition Partners I LLC,
	1,236	2.350%, 06/15/20 (e)		1,227
	1,436	3.482%, 06/16/25 (e)		1,449
	267	Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17		267
		Orange S.A., (France),
	560	2.750%, 09/14/16		565
	1,305	9.000%, 03/01/31		1,827
	741	Qwest Corp., 6.750%, 12/01/21		789
		Telefonica Emisiones S.A.U., (Spain),
	252	3.192%, 04/27/18		256
	526	5.134%, 04/27/20		564
	316	5.462%, 02/16/21		346
	300	6.421%, 06/20/16		304
		Verizon Communications, Inc.,
	432	2.625%, 02/21/20		438
	983	3.000%, 11/01/21		999
	2,804	3.500%, 11/01/24		2,863
	938	4.150%, 03/15/24		999
	1,685	4.400%, 11/01/34		1,583
	1,762	4.500%, 09/15/20		1,916
	730	4.522%, 09/15/48		666
	1,085	4.672%, 03/15/55		958
	4,200	4.862%, 08/21/46		4,103
	566	5.012%, 08/21/54		526
	531	5.150%, 09/15/23		601
	100	5.850%, 09/15/35		109
	572	6.400%, 09/15/33		667
	43	6.550%, 09/15/43		52
	764	Verizon New England, Inc., 7.875%, 11/15/29		950
		Verizon Pennsylvania LLC,
	750	6.000%, 12/01/28		822
	1,444	8.350%, 12/15/30		1,846


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Diversified Telecommunication Services — continued
	500	8.750%, 08/15/31		629

				45,923

		Wireless Telecommunication Services — 0.1%
		America Movil S.A.B. de C.V., (Mexico),
	640	2.375%, 09/08/16		642
	592	3.125%, 07/16/22		590
		Rogers Communications, Inc., (Canada),
	1,547	4.100%, 10/01/23		1,639
	400	8.750%, 05/01/32		546
		Vodafone Group plc, (United Kingdom),
	350	1.500%, 02/19/18		347
	1,200	1.625%, 03/20/17		1,205

				4,969

		Total Telecommunication Services		50,892

		Utilities — 1.6%
		Electric Utilities — 1.1%
		Alabama Power Co.,
	214	3.750%, 03/01/45		204
	239	6.125%, 05/15/38		299
	286	American Electric Power Co., Inc., 1.650%, 12/15/17		284
		Arizona Public Service Co.,
	133	2.200%, 01/15/20		134
	296	4.500%, 04/01/42		319
	467	5.050%, 09/01/41		542
	455	Baltimore Gas & Electric Co., 2.800%, 08/15/22		464
	1,025	Cleveland Electric Illuminating Co. (The), Series D, 7.880%, 11/01/17		1,119
	831	Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e)		851
	195	Connecticut Light & Power Co. (The), 5.650%, 05/01/18		212
	224	DTE Electric Co., 2.650%, 06/15/22		228
		Duke Energy Carolinas LLC,
	129	4.250%, 12/15/41		135
	660	5.100%, 04/15/18		710
	100	6.000%, 01/15/38		127
		Duke Energy Florida LLC,
	290	5.650%, 06/15/18		316
	245	6.400%, 06/15/38		324
	1,320	Duke Energy Indiana LLC, 6.350%, 08/15/38		1,716
		Duke Energy Progress LLC,
	540	2.800%, 05/15/22		553


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Electric Utilities — continued
	792	3.250%, 08/15/25		823
	273	4.100%, 05/15/42		276
	125	4.100%, 03/15/43		126
	387	4.150%, 12/01/44		395
	325	5.300%, 01/15/19		358
		Electricite de France S.A., (France),
	770	2.150%, 01/22/19 (e)		770
	1,300	6.000%, 01/22/14⁵ (e)		1,287
	950	Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)		1,033
	350	Florida Power & Light Co., 5.950%, 02/01/38		451
	210	Georgia Power Co., 5.950%, 02/01/39		251
	229	Great Plains Energy, Inc., 4.850%, 06/01/21		247
		Hydro-Quebec, (Canada),
	1,000	Series HY, 8.400%, 01/15/22		1,325
	350	Series IO, 8.050%, 07/07/24		486
	100	Indiana Michigan Power Co., 7.000%, 03/15/19		113
	100	Jersey Central Power & Light Co., 7.350%, 02/01/19		113
	790	John Sevier Combined Cycle Generation LLC, 4.626%, 01/15/42		881
		Kansas City Power & Light Co.,
	403	3.150%, 03/15/23		402
	1,400	5.300%, 10/01/41		1,592
	424	Louisville Gas & Electric Co., Series 25, 3.300%, 10/01/25		444
	125	MidAmerican Energy Co., 5.300%, 03/15/18		134
		Nevada Power Co.,
	55	5.375%, 09/15/40		64
	305	5.450%, 05/15/41		356
	720	6.500%, 08/01/18		797
	100	Series N, 6.650%, 04/01/36		130
		NextEra Energy Capital Holdings, Inc.,
	371	2.400%, 09/15/19		371
	725	6.000%, 03/01/19		792
		Niagara Mohawk Power Corp.,
	493	3.508%, 10/01/24 (e)		511
	300	4.881%, 08/15/19 (e)		326
	510	Northern States Power Co., 6.250%, 06/01/36		670
	320	Ohio Power Co., 6.050%, 05/01/18		346
		Oncor Electric Delivery Co. LLC,
	840	6.800%, 09/01/18		931
	110	7.000%, 09/01/22		134
		Pacific Gas & Electric Co.,
	544	2.450%, 08/15/22		538


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Electric Utilities — continued
	492	2.950%, 03/01/26		495
	71	3.250%, 09/15/21		74
	250	3.250%, 06/15/23		259
	781	3.500%, 06/15/25		816
	217	4.450%, 04/15/42		226
	390	4.500%, 12/15/41		408
	810	5.625%, 11/30/17		864
	100	6.050%, 03/01/34		123
	160	8.250%, 10/15/18		186
		PacifiCorp,
	180	5.500%, 01/15/19		199
	150	5.650%, 07/15/18		163
		PECO Energy Co.,
	350	2.375%, 09/15/22		350
	175	5.350%, 03/01/18		188
	1,085	Potomac Electric Power Co., 6.500%, 11/15/37		1,438
	673	Progress Energy, Inc., 3.150%, 04/01/22		675
		Public Service Co. of Colorado,
	250	2.250%, 09/15/22		249
	90	3.200%, 11/15/20		95
	125	5.800%, 08/01/18		137
	2,490	Public Service Co. of Oklahoma, Series G, 6.625%, 11/15/37		3,114
		Public Service Electric & Gas Co.,
	833	3.000%, 05/15/25		853
	317	5.375%, 11/01/39		387
	210	Series I, 1.800%, 06/01/19		210
	65	South Carolina Electric & Gas Co., 4.500%, 06/01/64		65
		Southern California Edison Co.,
	133	1.845%, 02/01/22		131
	785	5.500%, 08/15/18		861
	1,185	6.050%, 03/15/39		1,526
	200	Series 08-A, 5.950%, 02/01/38		254
	318	Series C, 3.500%, 10/01/23		337
	363	Southern Co. (The), 1.950%, 09/01/16		364
	570	Southwestern Public Service Co., Series G, 8.750%, 12/01/18		666
	312	State Grid Overseas Investment 2013 Ltd., (United Kingdom), 1.750%, 05/22/18 (e)		311
		Virginia Electric & Power Co.,
	64	3.450%, 02/15/24		67
	1,415	5.400%, 04/30/18		1,524
	630	5.950%, 09/15/17		672


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Electric Utilities — continued
	21	Wisconsin Electric Power Co., 2.950%, 09/15/21		22
		Xcel Energy, Inc.,
	162	0.750%, 05/09/16		162
	92	4.800%, 09/15/41		97
	200	6.500%, 07/01/36		254

				44,832

		Gas Utilities — 0.1%
		Atmos Energy Corp.,
	125	4.125%, 10/15/44		126
	828	4.150%, 01/15/43		828
	375	8.500%, 03/15/19		440
	308	Boston Gas Co., 4.487%, 02/15/42 (e)		308
	335	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		355
	382	Dominion Gas Holdings LLC, 2.800%, 11/15/20		387

				2,444

		Independent Power & Renewable Electricity Producers — 0.1%
		Exelon Generation Co. LLC,
	300	2.950%, 01/15/20		300
	1,020	4.000%, 10/01/20		1,054
	235	5.750%, 10/01/41		215
		PSEG Power LLC,
	772	4.150%, 09/15/21		791
	442	4.300%, 11/15/23		443
		Southern Power Co.,
	357	4.150%, 12/01/25		359
	600	5.150%, 09/15/41		557

				3,719

		Multi-Utilities — 0.3%
		AGL Capital Corp.,
	563	3.500%, 09/15/21		576
	208	4.400%, 06/01/43		194
	1,445	5.875%, 03/15/41		1,646
	1,243	6.375%, 07/15/16		1,266
	596	Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40		739
		Consumers Energy Co.,
	216	2.850%, 05/15/22		221
	130	5.650%, 04/15/20		149
	235	Delmarva Power & Light Co., 4.000%, 06/01/42		234


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Multi-Utilities — continued
		Dominion Resources, Inc.,
	300	7.000%, 06/15/38		366
	920	Series F, 5.250%, 08/01/33		987
		DTE Energy Co.,
	992	3.300%, 06/15/22 (e)		1,013
	289	Series F, 3.850%, 12/01/23		304
		NiSource Finance Corp.,
	370	3.850%, 02/15/23		386
	1,256	5.800%, 02/01/42		1,443
		San Diego Gas & Electric Co.,
	379	3.950%, 11/15/41		384
	275	6.000%, 06/01/26		346
		Sempra Energy,
	350	2.875%, 10/01/22		339
	236	3.550%, 06/15/24		236
	1,013	4.050%, 12/01/23		1,059
	1,150	6.150%, 06/15/18		1,238
	180	6.500%, 06/01/16		182
	460	9.800%, 02/15/19		550
	1,009	WEC Energy Group, Inc., 3.550%, 06/15/25		1,041

				14,899

		Water Utilities — 0.0% (g)
	793	American Water Capital Corp., 3.400%, 03/01/25		831

		Total Utilities		66,725

		Total Corporate Bonds (Cost $823,263)		833,390

	Foreign Government Securities — 1.3%
		Federative Republic of Brazil, (Brazil),
	825	4.250%, 01/07/25		703
	472	5.000%, 01/27/45		333
		Israel Government AID Bond, (Israel),
	1,160	Zero Coupon, 08/15/23		984
	6,165	Zero Coupon, 11/01/23		5,174
	2,121	Zero Coupon, 02/15/24		1,786
	5,535	Zero Coupon, 05/01/24		4,614
	1,000	5.500%, 09/18/33		1,356
	1,000	Series 1, Zero Coupon, 05/01/23		857
	1,500	Series 2, Zero Coupon, 11/01/24		1,230
	5,000	Series 7-Z, Zero Coupon, 08/15/25		3,983
	3,424	Series 8-Z, Zero Coupon, 02/15/24		2,883
	2,000	Series 8-Z, Zero Coupon, 08/15/24		1,652
	7,805	Series 10-Z, Zero Coupon, 08/15/24		6,445


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	1,387	Province of Ontario, (Canada), 1.650%, 09/27/19		1,385
	377	Province of Quebec, (Canada), Series A, SUB, 7.365%, 03/06/26		517
		Republic of Colombia, (Colombia),
	422	4.000%, 02/26/24		405
	581	4.500%, 01/28/26		561
	515	5.000%, 06/15/45		432
	200	5.625%, 02/26/44		181
		Republic of Panama, (Panama),
	317	3.750%, 03/16/25		318
	416	4.000%, 09/22/24		424
	88	Republic of Peru, (Peru), 5.625%, 11/18/50		94
	1,133	Republic of Poland, (Poland), 4.000%, 01/22/24		1,215
		Republic of South Africa, (South Africa),
	1,436	5.375%, 07/24/44		1,327
	640	5.875%, 09/16/25		669
		Republic of Turkey, (Turkey),
	2,350	4.250%, 04/14/26		2,230
	719	5.750%, 03/22/24		765
		United Mexican States, (Mexico),
	2,030	3.500%, 01/21/21		2,091
	788	3.600%, 01/30/25		783
	1,732	4.000%, 10/02/23		1,781
	200	4.600%, 01/23/46		184
	120	4.750%, 03/08/44		113
	4,913	5.550%, 01/21/45		5,134

		Total Foreign Government Securities (Cost $51,121)		52,609

	Mortgage Pass-Through Securities — 16.6%
		Federal Home Loan Mortgage Corp.,
	13	ARM, 2.262%, 07/01/19		13
	326	ARM, 2.272%, 10/01/36		342
	77	ARM, 2.354%, 10/01/36		81
	716	ARM, 2.391%, 04/01/34		756
	845	ARM, 2.462%, 03/01/37		890
	293	ARM, 2.467%, 12/01/36		310
	30	ARM, 2.483%, 04/01/30		31
	321	ARM, 2.497%, 11/01/36		339
	100	ARM, 2.500%, 05/01/36		105
	419	ARM, 2.520%, 11/01/36		443
	185	ARM, 2.564%, 02/01/36		194
	411	ARM, 2.605%, 12/01/33		436
	393	ARM, 2.608%, 02/01/36		415
	414	ARM, 2.641%, 01/01/35		435


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — continued
	165		ARM, 2.713%, 02/01/37		174
	267		ARM, 2.840%, 12/01/34		283
	471		ARM, 2.966%, 10/01/36		502
	219		ARM, 3.171%, 07/01/36		227
	1,036		ARM, 3.978%, 07/01/40		1,086
			Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	34		4.500%, 08/01/18		35
	118		5.000%, 12/01/18		122
	6		5.500%, 06/01/17		6
	14		6.000%, 04/01/18		14
	98		6.500%, 08/01/16 - 02/01/19		100
	—	(h)	7.000%, 04/01/17		—	(h)
			Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	2,072		3.500%, 01/01/32 - 03/01/32		2,188
	65		6.000%, 12/01/22		74
			Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	5,523		3.000%, 08/01/43		5,693
	3,065		3.500%, 04/01/43		3,209
	781		4.000%, 09/01/35		834
	4,223		4.500%, 05/01/41		4,607
	3,363		5.000%, 09/01/34 - 08/01/40		3,728
	1,392		5.500%, 10/01/33 - 07/01/35		1,577
	297		6.000%, 12/01/33 - 01/01/34		340
	1,175		6.500%, 11/01/34 - 11/01/36		1,391
	342		7.000%, 07/01/32 - 10/01/36		390
	342		Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30		378
			Federal Home Loan Mortgage Corp. Gold Pools, Other,
	2,433		3.000%, 03/01/33		2,542
	21,415		3.500%, 10/01/32 - 06/01/43		22,647
	7,329		4.000%, 01/01/32 - 01/01/43		7,911
	273		5.500%, 10/01/33 - 01/01/34		299
	256		6.000%, 02/01/33		284
	55		7.000%, 07/01/29		62
			Federal National Mortgage Association,
	63		ARM, 1.812%, 09/01/34		66
	3		ARM, 1.875%, 01/01/19		3
	720		ARM, 1.922%, 01/01/33		743
	465		ARM, 1.935%, 07/01/33		478
	1,085		ARM, 2.020%, 01/01/35		1,132
	376		ARM, 2.039%, 11/01/34		391
	1,118		ARM, 2.041%, 09/01/35		1,163
	488		ARM, 2.050%, 05/01/35		512


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	240	ARM, 2.056%, 04/01/34		252
	3	ARM, 2.091%, 03/01/19		4
	510	ARM, 2.190%, 07/01/36		530
	513	ARM, 2.245%, 01/01/35		542
	782	ARM, 2.254%, 11/01/34		818
	208	ARM, 2.258%, 01/01/36		219
	157	ARM, 2.324%, 07/01/34		167
	583	ARM, 2.335%, 06/01/35		612
	126	ARM, 2.345%, 05/01/35		133
	211	ARM, 2.372%, 09/01/34		222
	422	ARM, 2.379%, 10/01/34		444
	661	ARM, 2.384%, 10/01/34		692
	19	ARM, 2.387%, 04/01/34		19
	115	ARM, 2.391%, 02/01/35		121
	268	ARM, 2.399%, 08/01/34		283
	45	ARM, 2.402%, 07/01/33		48
	128	ARM, 2.403%, 09/01/35		136
	509	ARM, 2.422%, 08/01/34		536
	172	ARM, 2.428%, 06/01/36		183
	475	ARM, 2.443%, 07/01/33		504
	401	ARM, 2.460%, 05/01/34		427
	1,342	ARM, 2.509%, 04/01/35		1,412
	272	ARM, 2.514%, 04/01/35		286
	150	ARM, 2.527%, 11/01/33		158
	179	ARM, 2.547%, 01/01/34		188
	43	ARM, 2.554%, 09/01/27		46
	232	ARM, 2.634%, 10/01/34		245
	347	ARM, 2.685%, 09/01/33		369
	117	ARM, 2.753%, 01/01/38		123
	546	ARM, 2.835%, 10/01/36		582
	100	ARM, 3.000%, 02/01/34		102
	38	ARM, 3.250%, 01/01/36		39
	26	ARM, 3.748%, 03/01/29		28
		Federal National Mortgage Association, 15 Year, Single Family,
	173	4.000%, 08/01/18		181
	952	4.500%, 06/01/18 - 12/01/19		990
	406	5.000%, 06/01/18 - 08/01/24		433
	278	5.500%, 03/01/20 - 07/01/20		287
	2,452	6.000%, 06/01/16 - 01/01/24		2,686
	55	6.500%, 03/01/17 - 08/01/20		58
	41	7.000%, 03/01/17 - 09/01/17		42
	1	7.500%, 03/01/17		1
		Federal National Mortgage Association, 20 Year, Single Family,
	1,231	3.500%, 08/01/32		1,302


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — continued
	74		4.500%, 04/01/24		80
	629		6.500%, 05/01/22 - 04/01/25		722
			Federal National Mortgage Association, 30 Year, FHA/VA,
	74		6.000%, 09/01/33		83
	772		6.500%, 03/01/29 - 08/01/39		900
	12		7.000%, 02/01/33		13
	37		8.000%, 06/01/28		42
	4		9.000%, 05/01/18		4
			Federal National Mortgage Association, 30 Year, Single Family,
	4,999		TBA, 3.000%, 06/01/43 (w)		5,153
	4,441		3.500%, 06/01/43		4,663
	3,567		4.500%, 11/01/33 - 09/01/43		3,882
	1,025		5.000%, 07/01/33 - 09/01/35		1,150
	1,466		5.500%, 09/01/31 - 03/01/34		1,678
	1,815		6.000%, 12/01/28 - 09/01/37		2,098
	800		6.500%, 11/01/29 - 08/01/31		938
	668		7.000%, 01/01/24 - 01/01/39		791
	259		7.500%, 08/01/36 - 11/01/37		310
	432		8.000%, 03/01/27 - 11/01/28		511
	—	(h)	9.000%, 04/01/26		—	(h)
	10		9.500%, 07/01/28		11
			Federal National Mortgage Association, Other,
	4,000		VAR, 0.800%, 12/01/24		4,010
	2,810		VAR, 0.820%, 01/01/23		2,829
	4,793		VAR, 0.890%, 11/01/23		4,824
	2,859		VAR, 0.920%, 11/01/23		2,862
	4,716		VAR, 0.980%, 02/01/19		4,706
	922		VAR, 1.230%, 03/01/22		919
	2,363		VAR, 6.070%, 11/01/18		2,466
	2,000		1.690%, 12/01/19		2,011
	3,450		1.735%, 05/01/20		3,473
	3,806		1.750%, 06/01/20		3,834
	1,944		1.940%, 07/01/19		1,970
	1,500		2.000%, 12/01/20		1,530
	12,000		2.010%, 06/01/20		12,200
	222		2.030%, 08/01/19		228
	2,500		2.120%, 09/01/21		2,524
	1,927		2.140%, 04/01/19		1,964
	1,430		2.150%, 04/01/19		1,463
	3,606		2.340%, 12/01/22		3,691
	1,893		2.350%, 05/01/23		1,933
	5,251		2.390%, 12/01/22		5,485
	3,500		2.400%, 12/01/22		3,578
	2,858		2.420%, 06/01/23		2,932


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	4,000	2.450%, 11/01/22		4,100
	2,802	2.460%, 02/01/23		2,878
	5,418	2.490%, 10/01/17		5,506
	1,426	2.510%, 06/01/23		1,470
	6,871	2.520%, 10/01/22 - 05/01/23		7,043
	5,000	2.590%, 11/01/21		5,201
	2,500	2.660%, 12/01/22		2,665
	3,000	2.670%, 07/01/22		3,113
	6,581	2.690%, 10/01/17		6,704
	3,276	2.703%, 04/01/23		3,411
	3,122	2.750%, 03/01/22		3,267
	3,000	2.760%, 05/01/21		3,165
	1,565	2.770%, 05/01/22		1,633
	5,145	2.780%, 06/01/27		5,202
	10,978	2.790%, 05/01/27 - 06/01/27		11,094
	4,638	2.800%, 07/01/23		4,822
	6,500	2.900%, 12/01/24		6,710
	12,000	2.920%, 12/01/24 - 05/01/30		12,641
	1,403	2.940%, 05/01/22		1,477
	6,314	2.950%, 08/01/23 - 12/01/24		6,629
	3,019	2.960%, 06/01/27		3,099
	4,000	2.970%, 06/01/30		4,054
	6,454	2.980%, 03/01/22 - 07/01/22		6,830
	1,000	2.990%, 01/01/25		1,040
	2,587	3.000%, 01/01/43		2,651
	2,403	3.020%, 07/01/23		2,544
	3,234	3.030%, 06/01/35		3,352
	13,000	3.040%, 12/01/24 - 04/01/30		13,367
	5,795	3.050%, 04/01/22		6,116
	6,778	3.070%, 01/01/22		7,197
	14,150	3.080%, 04/01/30 - 06/01/30		14,506
	8,850	3.100%, 05/01/30		9,100
	6,253	3.110%, 12/01/24 - 12/01/26		6,530
	11,782	3.120%, 01/01/22 - 06/01/35		12,019
	3,005	3.140%, 12/01/26		3,134
	1,401	3.150%, 12/01/21		1,491
	2,658	3.160%, 02/01/22		2,835
	3,000	3.170%, 02/01/30		3,107
	3,842	3.200%, 02/01/22		4,097
	9,453	3.230%, 11/01/20		10,048
	4,235	3.240%, 12/01/26		4,445
	13,853	3.250%, 07/01/25 - 09/01/26		14,591
	6,142	3.260%, 01/01/22 - 12/01/26		6,505
	13,923	3.290%, 10/01/20 - 11/01/26		14,700
	8,022	3.300%, 12/01/26 - 07/01/30		8,402
	3,000	3.340%, 02/01/27		3,176


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — continued
	3,902	3.350%, 11/01/20 - 09/01/30		4,117
	876	3.377%, 11/01/20		935
	2,000	3.380%, 12/01/23		2,153
	2,000	3.390%, 08/01/17		2,055
	1,400	3.430%, 09/01/20		1,494
	42,848	3.500%, 12/01/32 - 08/01/43		45,119
	1,877	3.520%, 01/01/18		1,940
	3,000	3.540%, 10/01/20		3,227
	2,000	3.550%, 02/01/30		2,118
	2,500	3.590%, 08/01/23		2,728
	2,763	3.600%, 09/01/20		2,968
	954	3.640%, 01/01/25		1,040
	5,000	3.670%, 07/01/23		5,462
	1,500	3.690%, 11/01/23		1,642
	4,458	3.730%, 07/01/22		4,856
	1,827	3.740%, 07/01/20		1,981
	4,949	3.760%, 10/01/23 - 11/01/23		5,441
	4,000	3.765%, 12/01/25		4,370
	3,000	3.770%, 09/01/21		3,280
	2,794	3.780%, 09/01/21		3,057
	3,627	3.783%, 01/01/26		3,986
	6,497	3.790%, 09/01/21		7,110
	1,538	3.870%, 01/01/21		1,679
	5,000	3.890%, 09/01/21		5,490
	3,840	3.930%, 07/01/20 - 01/01/21		4,196
	7,924	3.950%, 07/01/20 - 07/01/21		8,710
	1,841	3.970%, 12/01/25		2,034
	7,949	4.000%, 10/01/32 - 07/01/42		8,548
	1,614	4.120%, 04/01/20		1,765
	4,402	4.130%, 11/01/19 - 08/01/21		4,809
	1,816	4.240%, 11/01/19		1,972
	4,380	4.250%, 04/01/21		4,877
	2,000	4.260%, 07/01/21		2,230
	1,144	4.283%, 01/01/21		1,267
	2,079	4.290%, 06/01/20		2,285
	2,338	4.300%, 08/01/20 - 04/01/21		2,592
	1,358	4.307%, 07/01/21		1,520
	2,057	4.330%, 04/01/21		2,278
	5,000	4.340%, 06/01/21		5,609
	1,427	4.350%, 04/01/20		1,567
	1,887	4.369%, 02/01/20		2,065
	675	4.381%, 04/01/20		744
	1,940	4.390%, 05/01/21		2,165
	2,000	4.400%, 02/01/20		2,200
	2,805	4.480%, 02/01/21		3,127
	9,662	4.500%, 12/01/43 - 03/01/44		10,672


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	6,280		4.514%, 12/01/19		6,865
	6,926		4.540%, 01/01/20 - 07/01/26		7,867
	3,760		4.640%, 01/01/21		4,211
	1,834		5.240%, 07/01/19		2,044
	301		5.500%, 03/01/17 - 09/01/33		334
	598		6.000%, 09/01/37 - 06/01/39		679
	214		6.500%, 01/01/36 - 07/01/36		244
	60		7.000%, 10/01/46		66
	26		10.498%, 04/15/19		28
			Government National Mortgage Association II, 30 Year, Single Family,
	2,118		4.250%, 03/20/45		2,296
	222		4.500%, 08/20/33		241
	1,964		6.000%, 09/20/38		2,229
	45		7.500%, 02/20/28 - 09/20/28		52
	71		8.000%, 12/20/25 - 09/20/28		85
	28		8.500%, 05/20/25		32
			Government National Mortgage Association II, Other,
	9,120		4.375%, 06/20/63		9,887
	9,734		4.433%, 05/20/63		10,550
	3,023		4.462%, 05/20/63		3,276
	2,037		4.479%, 04/20/63		2,209
	16		Government National Mortgage Association, 15 Year, Single Family, 6.500%, 06/15/17		16
			Government National Mortgage Association, 30 Year, Single Family,
	245		6.500%, 03/15/28 - 04/15/33		281
	150		7.000%, 02/15/33 - 06/15/33		181
	34		7.500%, 11/15/22 - 09/15/28		37
	8		8.000%, 09/15/22 - 08/15/28		8
	—	(h)	9.000%, 12/15/16		—	(h)
	268		9.500%, 10/15/24		293

			Total Mortgage Pass-Through Securities (Cost $676,192)		698,050

	Municipal Bonds — 0.2% (t)
			California — 0.0% (g)
	440		Los Angeles City Department of Airports, International Airport, Series C, Rev., 6.582%, 05/15/39		586
	350		State of California, Various Purpose, GO, 7.300%, 10/01/39		498

					1,084

			Illinois — 0.0% (g)
	160		State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33		149


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — continued
		New York — 0.1%
	360	New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series D, Rev., 5.600%, 03/15/40		453
		Port Authority of New York & New Jersey, Consolidated,
	1,825	Series 164, Rev., 5.647%, 11/01/40		2,257
	440	Series 165, Rev., 5.647%, 11/01/40		544
	2,060	Series 174, Rev., 4.458%, 10/01/62		2,067

				5,321

		Ohio — 0.1%
	1,315	American Municipal Power, Inc., Meldahl Hydroelectric Project, Series B, Rev., 7.499%, 02/15/50		1,809
		Ohio State University, General Receipts,
	200	Rev., 5.590%, 12/01/14⁴		225
	1,563	Series A, Rev., 4.800%, 06/01/11⁵		1,658

				3,692

		Total Municipal Bonds (Cost $9,021)		10,246

	Supranational — 0.1%
	3,000	African Development Bank, 8.800%, 09/01/19 (Cost $3,567)		3,679

	U.S. Government Agency Securities — 2.3%
	1,525	Federal Home Loan Bank, 5.500%, 07/15/36		2,104
	6,000	Federal National Mortgage Association, 4.015%, 06/01/17 (n)		5,941
		Financing Corp. STRIPS,
	4,500	1.589%, 05/11/18 (n)		4,405
	2,000	3.575%, 04/05/19 (n)		1,928
	1,240	4.843%, 09/26/19 (n)		1,188
		Government Trust Certificate,
	5,000	1.517%, 04/01/16 (n)		4,994
	13,319	Zero Coupon, 10/01/19 (n)		12,402
		Residual Funding Corp. STRIPS,
	12,300	1.638%, 10/15/19 (n)		11,686
	30,450	2.213%, 07/15/20 (n)		28,477
	12,930	2.849%, 10/15/20 (n)		12,023
		Tennessee Valley Authority,
	304	4.625%, 09/15/60		346
	3,521	5.250%, 09/15/39		4,504
	1,115	5.880%, 04/01/36		1,523
		Tennessee Valley Authority STRIPS,
	5,000	3.273%, 11/01/25 (n)		3,857
	800	4.170%, 06/15/35 (n)		404


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	2,000	4.293%, 05/01/19 (n)		1,912

		Total U.S. Government Agency Securities (Cost $95,102)		97,694

	U.S. Treasury Obligations — 25.1%
		U.S. Treasury Bonds,
	2,000	3.500%, 02/15/39		2,389
	700	4.250%, 05/15/39		930
	20,600	4.375%, 02/15/38		27,940
	14,370	4.375%, 11/15/39		19,416
	4,300	4.500%, 05/15/38		5,932
	1,875	4.500%, 08/15/39		2,578
	850	5.250%, 02/15/29		1,168
	1,250	5.375%, 02/15/31		1,791
	750	6.125%, 11/15/27		1,084
	300	6.125%, 08/15/29		447
	2,506	6.250%, 08/15/23		3,336
	900	6.250%, 05/15/30		1,373
	525	6.625%, 02/15/27		775
	4,690	7.500%, 11/15/16		4,916
	864	8.125%, 05/15/21		1,159
	1,845	8.500%, 02/15/20		2,372
	7,000	8.750%, 08/15/20		9,287
		U.S. Treasury Coupon STRIPS,
	8,000	1.573%, 11/15/19 (n)		7,663
	19,751	1.604%, 08/15/16 (n)		19,705
	23,265	1.894%, 05/15/21 (n)		21,591
	28,000	2.066%, 11/15/23 (n)		24,512
	22,570	2.122%, 08/15/23 (n)		19,905
	2,000	2.124%, 02/15/18 (n)		1,968
	2,200	2.265%, 02/15/24 (n)		1,918
	18,545	2.303%, 05/15/22 (n)		16,820
	17,095	2.374%, 02/15/21 (n)		15,967
	14,400	2.555%, 11/15/22 (n)		12,914
	1,000	2.606%, 02/15/25 (n)		845
	1,670	2.610%, 02/15/20 (n)		1,592
	15,768	2.629%, 02/15/22 (n)		14,385
	1,500	2.688%, 05/15/25 (n)		1,257
	11,100	2.714%, 08/15/21 (n)		10,254
	15,400	2.794%, 05/15/23 (n)		13,652
	4,800	2.806%, 08/15/22 (n)		4,329
	4,470	2.931%, 05/15/18 (n)		4,389
	9,575	3.000%, 02/15/32 (n)		6,583
	10,350	3.091%, 08/15/32 (n)		7,011
	19,577	3.092%, 05/15/19 (n)		18,941
	38,935	3.114%, 08/15/20 (n)		36,762


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — continued
	5,000	3.160%, 05/15/31 (n)		3,519
	38,462	3.162%, 02/15/23 (n)		34,301
	9,980	3.207%, 11/15/21 (n)		9,177
	1,592	3.214%, 08/15/26 (n)		1,290
	800	3.231%, 05/15/35 (n)		497
	6,650	3.237%, 11/15/29 (n)		4,883
	54,504	3.381%, 05/15/20 (n)		51,600
	6,015	3.387%, 05/15/28 (n)		4,620
	18,050	3.395%, 05/15/32 (n)		12,303
	15,000	3.413%, 08/15/28 (n)		11,434
	10,650	3.464%, 11/15/31 (n)		7,387
	27,150	3.483%, 11/15/26 (n)		21,845
	6,600	3.511%, 05/15/34 (n)		4,219
	1,650	3.566%, 08/15/34 (n)		1,047
	5,500	3.578%, 02/15/33 (n)		3,665
	7,885	3.707%, 11/15/27 (n)		6,159
	6,305	3.707%, 02/15/29 (n)		4,728
	2,400	3.711%, 08/15/29 (n)		1,777
	9,700	3.728%, 08/15/31 (n)		6,775
	29,300	3.755%, 02/15/27 (n)		23,413
	10,140	3.799%, 11/15/32 (n)		6,805
	16,500	3.979%, 05/15/33 (n)		10,911
	8,000	4.002%, 02/15/31 (n)		5,687
	22,360	4.053%, 08/15/19 (n)		21,538
	6,400	4.330%, 05/15/30 (n)		4,637
	16,741	4.482%, 08/15/18 (n)		16,402
	20,736	4.486%, 02/15/17 (n)		20,592
	600	4.570%, 02/15/26 (n)		494
	12,800	4.576%, 08/15/30 (n)		9,199
	600	4.601%, 08/15/24 (n)		514
	4,750	4.781%, 11/15/33 (n)		3,089
	9,925	4.861%, 11/15/30 (n)		7,083
	6,675	5.038%, 08/15/27 (n)		5,245
	8,860	5.040%, 02/15/28 (n)		6,866
	100	5.061%, 08/15/35 (n)		62
	1,200	5.198%, 02/15/35 (n)		750
	5,000	5.220%, 02/15/34 (n)		3,221
	23,600	5.286%, 02/15/30 (n)		17,207
	1,700	5.345%, 11/15/24 (n)		1,446
	22,839	5.355%, 11/15/17 (n)		22,522
	3,050	5.400%, 08/15/33 (n)		2,001
	1,500	5.917%, 05/15/26 (n)		1,224
	2,500	5.966%, 11/15/28 (n)		1,891
	2,550	6.006%, 05/15/27 (n)		2,019
	200	6.049%, 05/15/24 (n)		173
	5,857	7.734%, 11/15/16 (n)		5,831


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		U.S. Treasury Inflation Indexed Bonds,
	300	1.750%, 01/15/28		385
	300	2.500%, 01/15/29		407
	799	3.625%, 04/15/28		1,582
		U.S. Treasury Inflation Indexed Notes,
	2,453	0.125%, 01/15/22		2,567
	630	1.375%, 07/15/18		724
	607	1.375%, 01/15/20		704
		U.S. Treasury Notes,
	14,257	0.625%, 09/30/17		14,223
	8,000	0.750%, 12/31/17		7,993
	3,560	0.875%, 01/31/18		3,565
	4,510	1.000%, 11/30/19		4,495
	31,250	1.250%, 10/31/18		31,560
	8,635	1.250%, 11/30/18		8,722
	1,500	1.250%, 02/29/20		1,507
	15,000	1.375%, 12/31/18		15,202
	2,000	1.375%, 02/28/19		2,026
	7,400	1.500%, 08/31/18		7,522
	3,770	1.500%, 05/31/19		3,832
	8,000	1.500%, 01/31/22		8,036
	4,000	1.750%, 10/31/20		4,093
	2,000	1.750%, 05/15/22		2,035
	46,300	1.750%, 05/15/23		46,982
	1,100	2.000%, 10/31/21		1,137
	1,000	2.125%, 01/31/21		1,041
	46,000	2.125%, 08/15/21		47,845
	2,000	2.125%, 12/31/21		2,080
	10,000	2.250%, 07/31/18		10,342
	2,000	2.375%, 08/15/24		2,111
	4,575	2.625%, 04/30/16		4,592
	9,300	2.625%, 01/31/18		9,622
	700	2.625%, 08/15/20		743
	2,300	2.625%, 11/15/20		2,444
	2,000	2.750%, 12/31/17		2,071
	5,000	2.750%, 02/15/19		5,266
	9,000	3.125%, 10/31/16		9,148
	11,638	3.125%, 05/15/19		12,431
	7,250	3.125%, 05/15/21		7,906
	15,700	3.250%, 12/31/16		16,033
	2,600	3.500%, 02/15/18		2,736
	450	3.500%, 05/15/20		493
	7,000	3.625%, 02/15/21		7,788
	1,000	U.S. Treasury Principal STRIPS, Zero Coupon, 05/15/16		999

		Total U.S. Treasury Obligations (Cost $984,760)		1,056,894


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Loan Assignments — 0.1%
		Consumer Discretionary — 0.1%
		Hotels, Restaurants & Leisure — 0.1%
	3,994	Lila Mexican Holdings LLC, Tranche B Term Loan, VAR, 3.427%, 08/11/22		3,835

		Financials — 0.0% (g)
		Real Estate Management & Development — 0.0% (g)
	1,149	Tricon Capital Group Inc., Revolving Loan, (Canada), VAR, 3.426%, 06/12/17		1,143

		Total Loan Assignments (Cost $4,977)		4,978


SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 3.0%
		Investment Company — 3.0%
	124,518	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.350% (b) (l) (Cost $124,518)		124,518

		Total Investments — 100.2% (Cost $4,071,265)		4,220,921
		Liabilities in Excess of Other Assets — (0.2)%		(10,315	)

		NET ASSETS — 100.0%	$	4,210,606

Percentages indicated are based on net assets.


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 99.0%
		Consumer Discretionary — 12.8%
		Auto Components — 0.3%
	4	BorgWarner, Inc.		118
	5	Delphi Automotive plc, (United Kingdom)		301
	4	Goodyear Tire & Rubber Co. (The)		131
	10	Johnson Controls, Inc.		381

				931

		Automobiles — 0.6%
	63	Ford Motor Co.		787
	23	General Motors Co.		673
	3	Harley-Davidson, Inc.		134

				1,594

		Distributors — 0.1%
	2	Genuine Parts Co.		219

		Diversified Consumer Services — 0.0% (g)
	4	H&R Block, Inc.		125

		Hotels, Restaurants & Leisure — 1.9%
	7	Carnival Corp.		356
	1	Chipotle Mexican Grill, Inc. (a)		256
	2	Darden Restaurants, Inc.		119
	3	Marriott International, Inc., Class A		212
	15	McDonald’s Corp.		1,737
	3	Royal Caribbean Cruises Ltd.		206
	24	Starbucks Corp.		1,395
	3	Starwood Hotels & Resorts Worldwide, Inc.		188
	2	Wyndham Worldwide Corp.		137
	1	Wynn Resorts Ltd.		108
	7	Yum! Brands, Inc.		478

				5,192

		Household Durables — 0.4%
	5	D.R. Horton, Inc.		142
	2	Garmin Ltd., (Switzerland)		77
	1	Harman International Industries, Inc.		88
	2	Leggett & Platt, Inc.		98
	3	Lennar Corp., Class A		121
	1	Mohawk Industries, Inc. (a)		184
	4	Newell Rubbermaid, Inc.		164
	5	PulteGroup, Inc.		88
	1	Whirlpool Corp.		196

				1,158

		Internet & Catalog Retail — 2.0%
	6	Amazon.com, Inc. (a)		3,428
	2	Expedia, Inc.		198
	7	Netflix, Inc. (a)		644


SHARES			SECURITY DESCRIPTION	VALUE($)

			Internet & Catalog Retail — continued
	1		Priceline Group, Inc. (The) (a)		1,017
	2		TripAdvisor, Inc. (a)		114

					5,401

			Leisure Products — 0.1%
	2		Hasbro, Inc.		137
	5		Mattel, Inc.		178

					315

			Media — 3.1%
	4		Cablevision Systems Corp., Class A		117
	7		CBS Corp. (Non-Voting), Class B		339
	39		Comcast Corp., Class A		2,275
	2		Discovery Communications, Inc., Class A (a)		60
	4		Discovery Communications, Inc., Class C (a)		103
	7		Interpublic Group of Cos., Inc. (The)		140
	6		News Corp., Class A		67
	2		News Corp., Class B		20
	4		Omnicom Group, Inc.		304
	2		Scripps Networks Interactive, Inc., Class A		90
	4		TEGNA, Inc.		88
	5		Time Warner Cable, Inc.		872
	13		Time Warner, Inc.		854
	19		Twenty-First Century Fox, Inc., Class A		511
	7		Twenty-First Century Fox, Inc., Class B		189
	6		Viacom, Inc., Class B		206
	25		Walt Disney Co. (The)		2,345

					8,580

			Multiline Retail — 0.7%
	5		Dollar General Corp.		349
	4		Dollar Tree, Inc. (a)		304
	3		Kohl’s Corp.		143
	5		Macy’s, Inc.		219
	2		Nordstrom, Inc.		113
	10		Target Corp.		780

					1,908

			Specialty Retail — 2.6%
	1		Advance Auto Parts, Inc.		176
	1		AutoNation, Inc. (a)		63
	—	(h)	AutoZone, Inc. (a)		381
	3		Bed Bath & Beyond, Inc. (a)		129
	5		Best Buy Co., Inc.		156
	3		CarMax, Inc. (a)		151
	2		GameStop Corp., Class A		53
	4		Gap, Inc. (The)		102


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Specialty Retail — continued
	20	Home Depot, Inc. (The)		2,540
	4	L Brands, Inc.		349
	15	Lowe’s Cos., Inc.		997
	2	O’Reilly Automotive, Inc. (a)		415
	7	Ross Stores, Inc.		359
	1	Signet Jewelers Ltd.		139
	10	Staples, Inc.		98
	2	Tiffany & Co.		117
	11	TJX Cos., Inc. (The)		801
	2	Tractor Supply Co.		183
	1	Urban Outfitters, Inc. (a)		37

				7,246

		Textiles, Apparel & Luxury Goods — 1.0%
	4	Coach, Inc.		175
	6	Hanesbrands, Inc.		180
	3	Michael Kors Holdings Ltd., (United Kingdom) (a)		168
	22	NIKE, Inc., Class B		1,341
	1	PVH Corp.		106
	1	Ralph Lauren Corp.		86
	3	Under Armour, Inc., Class A (a)		243
	6	V.F. Corp.		358

				2,657

		Total Consumer Discretionary		35,326

		Consumer Staples — 10.6%
		Beverages — 2.4%
	2	Brown-Forman Corp., Class B		162
	63	Coca-Cola Co. (The)		2,724
	3	Coca-Cola Enterprises, Inc.		163
	3	Constellation Brands, Inc., Class A		395
	3	Dr. Pepper Snapple Group, Inc.		279
	3	Molson Coors Brewing Co., Class B		251
	2	Monster Beverage Corp. (a)		304
	24	PepsiCo, Inc.		2,300

				6,578

		Food & Staples Retailing — 2.4%
	7	Costco Wholesale Corp.		1,059
	18	CVS Health Corp.		1,736
	16	Kroger Co. (The)		627
	8	Sysco Corp.		374
	14	Walgreens Boots Alliance, Inc.		1,110
	25	Wal-Mart Stores, Inc.		1,680
	6	Whole Foods Market, Inc.		172

				6,758


SHARES		SECURITY DESCRIPTION	VALUE($)

		Food Products — 1.8%
	10	Archer-Daniels-Midland Co.		337
	3	Campbell Soup Co.		179
	7	ConAgra Foods, Inc.		294
	10	General Mills, Inc.		568
	2	Hershey Co. (The)		211
	4	Hormel Foods Corp.		185
	2	J.M. Smucker Co. (The)		246
	4	Kellogg Co.		305
	2	Keurig Green Mountain, Inc.		172
	10	Kraft Heinz Co. (The)		739
	2	McCormick & Co., Inc. (Non-Voting)		175
	3	Mead Johnson Nutrition Co.		222
	26	Mondelez International, Inc., Class A		1,039
	5	Tyson Foods, Inc., Class A		309

				4,981

		Household Products — 2.1%
	2	Church & Dwight Co., Inc.		192
	2	Clorox Co. (The)		264
	14	Colgate-Palmolive Co.		950
	6	Kimberly-Clark Corp.		763
	44	Procter & Gamble Co. (The)		3,525

				5,694

		Personal Products — 0.1%
	4	Estee Lauder Cos., Inc. (The), Class A		328

		Tobacco — 1.8%
	32	Altria Group, Inc.		1,948
	25	Philip Morris International, Inc.		2,276
	13	Reynolds American, Inc.		675

				4,899

		Total Consumer Staples		29,238

		Energy — 6.5%
		Energy Equipment & Services — 1.0%
	7	Baker Hughes, Inc.		302
	3	Cameron International Corp. (a)		202
	1	Diamond Offshore Drilling, Inc.		21
	4	Ensco plc, (United Kingdom), Class A		33
	4	FMC Technologies, Inc. (a)		90
	14	Halliburton Co.		446
	2	Helmerich & Payne, Inc.		92
	6	National Oilwell Varco, Inc.		177
	20	Schlumberger Ltd.		1,460
	6	Transocean Ltd., (Switzerland)		48

				2,871


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Oil, Gas & Consumable Fuels — 5.5%
	8	Anadarko Petroleum Corp.		311
	6	Apache Corp.		233
	7	Cabot Oil & Gas Corp.		150
	1	California Resources Corp.		1
	8	Chesapeake Energy Corp.		22
	30	Chevron Corp.		2,534
	2	Cimarex Energy Co.		128
	6	Columbia Pipeline Group, Inc.		114
	2	Concho Resources, Inc. (a)		188
	20	ConocoPhillips		674
	4	CONSOL Energy, Inc.		32
	8	Devon Energy Corp.		162
	9	EOG Resources, Inc.		574
	2	EQT Corp.		137
	67	Exxon Mobil Corp.		5,385
	4	Hess Corp.		184
	30	Kinder Morgan, Inc.		534
	11	Marathon Oil Corp.		90
	9	Marathon Petroleum Corp.		295
	3	Murphy Oil Corp.		45
	3	Newfield Exploration Co. (a)		84
	7	Noble Energy, Inc.		203
	12	Occidental Petroleum Corp.		848
	3	ONEOK, Inc.		81
	8	Phillips 66		608
	3	Pioneer Natural Resources Co.		314
	3	Range Resources Corp.		65
	6	Southwestern Energy Co. (a)		36
	11	Spectra Energy Corp.		316
	2	Tesoro Corp.		157
	8	Valero Energy Corp.		467
	11	Williams Cos., Inc. (The)		176

				15,148

		Total Energy		18,019

		Financials — 15.4%
		Banks — 5.3%
	168	Bank of America Corp.		2,104
	13	BB&T Corp.		405
	48	Citigroup, Inc.		1,868
	9	Citizens Financial Group, Inc.		164
	3	Comerica, Inc.		96
	13	Fifth Third Bancorp		196
	13	Huntington Bancshares, Inc.		113
	59	JPMorgan Chase & Co. (q)		3,345
	13	KeyCorp		142


SHARES		SECURITY DESCRIPTION	VALUE($)

		Banks — continued
	3	M&T Bank Corp.		265
	5	People’s United Financial, Inc.		73
	8	PNC Financial Services Group, Inc. (The)		666
	21	Regions Financial Corp.		158
	8	SunTrust Banks, Inc.		273
	27	U.S. Bancorp		1,022
	75	Wells Fargo & Co.		3,520
	3	Zions Bancorp		70

				14,480

		Capital Markets — 1.8%
	1	Affiliated Managers Group, Inc. (a)		121
	3	Ameriprise Financial, Inc.		236
	18	Bank of New York Mellon Corp. (The)		624
	2	BlackRock, Inc.		636
	19	Charles Schwab Corp. (The)		484
	5	E*TRADE Financial Corp. (a)		111
	6	Franklin Resources, Inc.		219
	6	Goldman Sachs Group, Inc. (The)		957
	7	Invesco Ltd.		183
	2	Legg Mason, Inc.		50
	24	Morgan Stanley		602
	4	Northern Trust Corp.		208
	7	State Street Corp.		357
	4	T. Rowe Price Group, Inc.		280

				5,068

		Consumer Finance — 0.8%
	14	American Express Co.		751
	9	Capital One Financial Corp.		564
	7	Discover Financial Services		320
	6	Navient Corp.		63
	13	Synchrony Financial (a)		363

				2,061

		Diversified Financial Services — 2.1%
	30	Berkshire Hathaway, Inc., Class B (a)		4,057
	5	CME Group, Inc.		499
	2	Intercontinental Exchange, Inc.		457
	5	Leucadia National Corp.		78
	4	McGraw Hill Financial, Inc.		391
	3	Moody’s Corp.		247
	2	Nasdaq, Inc.		117

				5,846

		Insurance — 2.6%
	7	Aflac, Inc.		410


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Insurance — continued
	6	Allstate Corp. (The)		397
	20	American International Group, Inc.		1,002
	4	Aon plc, (United Kingdom)		421
	1	Assurant, Inc.		76
	7	Chubb Ltd., (Switzerland)		859
	2	Cincinnati Financial Corp.		150
	7	Hartford Financial Services Group, Inc. (The)		279
	4	Lincoln National Corp.		146
	5	Loews Corp.		164
	8	Marsh & McLennan Cos., Inc.		480
	18	MetLife, Inc.		710
	4	Principal Financial Group, Inc.		166
	9	Progressive Corp. (The)		301
	7	Prudential Financial, Inc.		479
	2	Torchmark Corp.		95
	5	Travelers Cos., Inc. (The)		528
	4	Unum Group		112
	2	Willis Towers Watson plc, (United Kingdom)		251
	5	XL Group plc, (Ireland)		165

				7,191

		Real Estate Investment Trusts (REITs) — 2.8%
	7	American Tower Corp.		630
	3	Apartment Investment & Management Co., Class A		92
	2	AvalonBay Communities, Inc.		379
	2	Boston Properties, Inc.		283
	5	Crown Castle International Corp.		466
	1	Equinix, Inc.		336
	6	Equity Residential		438
	1	Essex Property Trust, Inc.		223
	2	Extra Space Storage, Inc.		164
	1	Federal Realty Investment Trust		166
	9	General Growth Properties, Inc.		259
	8	HCP, Inc.		222
	12	Host Hotels & Resorts, Inc.		186
	3	Iron Mountain, Inc.		91
	7	Kimco Realty Corp.		178
	2	Macerich Co. (The)		172
	8	Prologis, Inc.		325
	2	Public Storage		593
	4	Realty Income Corp.		236
	5	Simon Property Group, Inc.		947
	2	SL Green Realty Corp.		142
	5	Ventas, Inc.		299
	3	Vornado Realty Trust		247


SHARES		SECURITY DESCRIPTION	VALUE($)

		Real Estate Investment Trusts (REITs) — continued
	6	Welltower, Inc.		364
	13	Weyerhaeuser Co.		331

				7,769

		Real Estate Management & Development — 0.0% (g)
	5	CBRE Group, Inc., Class A (a)		119

		Total Financials		42,534

		Health Care — 14.6%
		Biotechnology — 2.8%
	4	Alexion Pharmaceuticals, Inc. (a)		512
	12	Amgen, Inc.		1,732
	9	Baxalta, Inc.		363
	4	Biogen, Inc. (a)		933
	13	Celgene Corp. (a)		1,279
	23	Gilead Sciences, Inc.		2,029
	1	Regeneron Pharmaceuticals, Inc. (a)		481
	4	Vertex Pharmaceuticals, Inc. (a)		339

				7,668

		Health Care Equipment & Supplies — 2.2%
	24	Abbott Laboratories		933
	9	Baxter International, Inc.		349
	3	Becton, Dickinson and Co.		501
	22	Boston Scientific Corp. (a)		369
	1	C.R. Bard, Inc.		229
	4	DENTSPLY International, Inc.		237
	3	Edwards Lifesciences Corp. (a)		303
	1	Intuitive Surgical, Inc. (a)		340
	23	Medtronic plc, (Ireland)		1,756
	5	St. Jude Medical, Inc.		245
	5	Stryker Corp.		509
	2	Varian Medical Systems, Inc. (a)		122
	3	Zimmer Biomet Holdings, Inc.		280

				6,173

		Health Care Providers & Services — 2.7%
	6	Aetna, Inc.		611
	3	AmerisourceBergen Corp.		273
	4	Anthem, Inc.		551
	5	Cardinal Health, Inc.		434
	4	Cigna Corp.		580
	3	DaVita HealthCare Partners, Inc. (a)		177
	11	Express Scripts Holding Co. (a)		768
	5	HCA Holdings, Inc. (a)		351
	1	Henry Schein, Inc. (a)		221
	2	Humana, Inc.		423


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Health Care Providers & Services — continued
	2	Laboratory Corp. of America Holdings (a)		179
	4	McKesson Corp.		578
	1	Patterson Cos., Inc.		59
	2	Quest Diagnostics, Inc.		154
	2	Tenet Healthcare Corp. (a)		40
	15	UnitedHealth Group, Inc.		1,832
	1	Universal Health Services, Inc., Class B		163

				7,394

		Health Care Technology — 0.1%
	5	Cerner Corp. (a)		251

		Life Sciences Tools & Services — 0.6%
	5	Agilent Technologies, Inc.		200
	2	Illumina, Inc. (a)		355
	2	PerkinElmer, Inc.		85
	6	Thermo Fisher Scientific, Inc.		832
	1	Waters Corp. (a)		159

				1,631

		Pharmaceuticals — 6.2%
	26	AbbVie, Inc.		1,441
	6	Allergan plc (a)		1,845
	27	Bristol-Myers Squibb Co.		1,667
	16	Eli Lilly & Co.		1,134
	3	Endo International plc, (Ireland) (a)		141
	45	Johnson & Johnson		4,698
	2	Mallinckrodt plc (a)		122
	45	Merck & Co., Inc.		2,264
	7	Mylan N.V. (a)		300
	2	Perrigo Co. plc, (Ireland)		298
	100	Pfizer, Inc.		2,956
	7	Zoetis, Inc.		304

				17,170

		Total Health Care		40,287

		Industrials — 10.0%
		Aerospace & Defense — 2.5%
	10	Boeing Co. (The)		1,201
	5	General Dynamics Corp.		653
	12	Honeywell International, Inc.		1,261
	1	L-3 Communications Holdings, Inc.		148
	4	Lockheed Martin Corp.		920
	3	Northrop Grumman Corp.		566
	5	Raytheon Co.		602
	2	Rockwell Collins, Inc.		186
	4	Textron, Inc.		151


SHARES		SECURITY DESCRIPTION	VALUE($)

		Aerospace & Defense — continued
	13	United Technologies Corp.		1,212

				6,900

		Air Freight & Logistics — 0.7%
	2	C.H. Robinson Worldwide, Inc.		162
	3	Expeditors International of Washington, Inc.		137
	4	FedEx Corp.		580
	11	United Parcel Service, Inc., Class B		1,085

				1,964

		Airlines — 0.6%
	10	American Airlines Group, Inc.		417
	13	Delta Air Lines, Inc.		612
	10	Southwest Airlines Co.		440
	6	United Continental Holdings, Inc. (a)		345

				1,814

		Building Products — 0.1%
	2	Allegion plc, (Ireland)		98
	5	Masco Corp.		153

				251

		Commercial Services & Supplies — 0.4%
	3	ADT Corp. (The)		107
	1	Cintas Corp.		119
	3	Pitney Bowes, Inc.		58
	4	Republic Services, Inc.		177
	1	Stericycle, Inc. (a)		156
	7	Tyco International plc		240
	7	Waste Management, Inc.		374

				1,231

		Construction & Engineering — 0.1%
	2	Fluor Corp.		105
	2	Jacobs Engineering Group, Inc. (a)		77
	3	Quanta Services, Inc. (a)		52

				234

		Electrical Equipment — 0.5%
	4	AMETEK, Inc.		178
	7	Eaton Corp. plc		423
	11	Emerson Electric Co.		516
	2	Rockwell Automation, Inc.		222

				1,339

		Industrial Conglomerates — 2.6%
	10	3M Co.		1,559
	10	Danaher Corp.		859
	152	General Electric Co.		4,439


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Industrial Conglomerates — continued
	2	Roper Technologies, Inc.		273

				7,130

		Machinery — 1.2%
	9	Caterpillar, Inc.		636
	3	Cummins, Inc.		259
	5	Deere & Co.		403
	3	Dover Corp.		152
	2	Flowserve Corp.		89
	5	Illinois Tool Works, Inc.		498
	4	Ingersoll-Rand plc		234
	6	PACCAR, Inc.		294
	2	Parker-Hannifin Corp.		222
	3	Pentair plc, (United Kingdom)		139
	1	Snap-on, Inc.		135
	2	Stanley Black & Decker, Inc.		227
	3	Xylem, Inc.		108

				3,396

		Professional Services — 0.3%
	1	Dun & Bradstreet Corp. (The)		56
	2	Equifax, Inc.		201
	6	Nielsen Holdings plc		296
	2	Robert Half International, Inc.		84
	3	Verisk Analytics, Inc. (a)		183

				820

		Road & Rail — 0.8%
	16	CSX Corp.		380
	1	J.B. Hunt Transport Services, Inc.		111
	2	Kansas City Southern		144
	5	Norfolk Southern Corp.		353
	1	Ryder System, Inc.		49
	14	Union Pacific Corp.		1,087

				2,124

		Trading Companies & Distributors — 0.2%
	5	Fastenal Co.		212
	1	United Rentals, Inc. (a)		77
	1	W.W. Grainger, Inc.		202

				491

		Total Industrials		27,694

		Information Technology — 20.2%
		Communications Equipment — 1.0%
	82	Cisco Systems, Inc.		2,145
	1	F5 Networks, Inc. (a)		109
	2	Harris Corp.		157


SHARES		SECURITY DESCRIPTION	VALUE($)

		Communications Equipment — continued
	6	Juniper Networks, Inc.		141
	3	Motorola Solutions, Inc.		191

				2,743

		Electronic Equipment, Instruments & Components — 0.4%
	5	Amphenol Corp., Class A		264
	18	Corning, Inc.		328
	2	FLIR Systems, Inc.		69
	6	TE Connectivity Ltd., (Switzerland)		355

				1,016

		Internet Software & Services — 4.3%
	3	Akamai Technologies, Inc. (a)		155
	5	Alphabet, Inc., Class A (a)		3,372
	5	Alphabet, Inc., Class C (a)		3,347
	18	eBay, Inc. (a)		424
	37	Facebook, Inc., Class A (a)		3,918
	2	VeriSign, Inc. (a)		134
	14	Yahoo!, Inc. (a)		446

				11,796

		IT Services — 3.6%
	10	Accenture plc, (Ireland), Class A		1,011
	1	Alliance Data Systems Corp. (a)		207
	7	Automatic Data Processing, Inc.		630
	10	Cognizant Technology Solutions Corp., Class A (a)		559
	2	CSRA, Inc.		58
	4	Fidelity National Information Services, Inc.		261
	4	Fiserv, Inc. (a)		353
	14	International Business Machines Corp.		1,887
	16	MasterCard, Inc., Class A		1,389
	5	Paychex, Inc.		266
	18	PayPal Holdings, Inc. (a)		684
	2	Teradata Corp. (a)		54
	3	Total System Services, Inc.		119
	31	Visa, Inc., Class A		2,274
	8	Western Union Co. (The)		149
	15	Xerox Corp.		148

				10,049

		Semiconductors & Semiconductor Equipment — 2.7%
	5	Analog Devices, Inc.		267
	19	Applied Materials, Inc.		350
	6	Broadcom Ltd., (Singapore)		844
	1	First Solar, Inc. (a)		88
	76	Intel Corp.		2,253
	3	KLA-Tencor Corp.		170


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Semiconductors & Semiconductor Equipment — continued
	3	Lam Research Corp.		187
	4	Linear Technology Corp.		168
	3	Microchip Technology, Inc.		146
	18	Micron Technology, Inc. (a)		186
	8	NVIDIA Corp.		259
	2	Qorvo, Inc. (a)		103
	24	QUALCOMM, Inc.		1,232
	3	Skyworks Solutions, Inc.		205
	16	Texas Instruments, Inc.		868
	4	Xilinx, Inc.		196

				7,522

		Software — 4.3%
	8	Activision Blizzard, Inc.		258
	8	Adobe Systems, Inc. (a)		686
	4	Autodesk, Inc. (a)		189
	5	CA, Inc.		147
	2	Citrix Systems, Inc. (a)		175
	5	Electronic Arts, Inc. (a)		322
	4	Intuit, Inc.		412
	129	Microsoft Corp.		6,559
	52	Oracle Corp.		1,900
	3	Red Hat, Inc. (a)		193
	10	salesforce.com, Inc. (a)		682
	11	Symantec Corp.		211

				11,734

		Technology Hardware, Storage & Peripherals — 3.9%
	90	Apple, Inc.		8,700
	31	EMC Corp.		818
	29	Hewlett Packard Enterprise Co.		385
	29	HP, Inc.		312
	5	NetApp, Inc.		117
	3	SanDisk Corp.		234
	5	Seagate Technology plc		151
	4	Western Digital Corp.		163

				10,880

		Total Information Technology		55,740

		Materials — 2.8%
		Chemicals — 2.1%
	3	Air Products & Chemicals, Inc.		415
	1	Airgas, Inc.		148
	4	CF Industries Holdings, Inc.		137
	18	Dow Chemical Co. (The)		882
	14	E.I. du Pont de Nemours & Co.		861
	2	Eastman Chemical Co.		154


SHARES		SECURITY DESCRIPTION	VALUE($)

		Chemicals — continued
	4	Ecolab, Inc.		440
	2	FMC Corp.		81
	1	International Flavors & Fragrances, Inc.		134
	6	LyondellBasell Industries N.V., Class A		465
	7	Monsanto Co.		639
	5	Mosaic Co. (The)		144
	4	PPG Industries, Inc.		420
	5	Praxair, Inc.		468
	1	Sherwin-Williams Co. (The)		345

				5,733

		Construction Materials — 0.1%
	1	Martin Marietta Materials, Inc.		152
	2	Vulcan Materials Co.		212

				364

		Containers & Packaging — 0.3%
	1	Avery Dennison Corp.		96
	2	Ball Corp.		146
	7	International Paper Co.		239
	3	Owens-Illinois, Inc. (a)		39
	3	Sealed Air Corp.		145
	4	WestRock Co.		140

				805

		Metals & Mining — 0.3%
	21	Alcoa, Inc.		189
	19	Freeport-McMoRan, Inc.		142
	9	Newmont Mining Corp.		221
	5	Nucor Corp.		203

				755

		Total Materials		7,657

		Telecommunication Services — 2.8%
		Diversified Telecommunication Services — 2.8%
	99	AT&T, Inc.		3,669
	9	CenturyLink, Inc.		271
	19	Frontier Communications Corp.		102
	5	Level 3 Communications, Inc. (a)		226
	66	Verizon Communications, Inc.		3,331

		Total Telecommunication Services		7,599

		Utilities — 3.3%
		Electric Utilities — 1.9%
	8	American Electric Power Co., Inc.		489
	11	Duke Energy Corp.		825
	5	Edison International		358
	3	Entergy Corp.		208


SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Electric Utilities — continued
	5	Eversource Energy		278
	15	Exelon Corp.		467
	7	FirstEnergy Corp.		229
	7	NextEra Energy, Inc.		839
	4	Pepco Holdings, Inc.		107
	2	Pinnacle West Capital Corp.		123
	11	PPL Corp.		379
	15	Southern Co. (The)		707
	8	Xcel Energy, Inc.		324

				5,333

		Gas Utilities — 0.0% (g)
	2	AGL Resources, Inc.		126

		Independent Power & Renewable Electricity Producers — 0.1%
	11	AES Corp.		106
	5	NRG Energy, Inc.		55

				161

		Multi-Utilities — 1.3%
	4	Ameren Corp.		184
	7	CenterPoint Energy, Inc.		129
	4	CMS Energy Corp.		177
	5	Consolidated Edison, Inc.		331
	10	Dominion Resources, Inc.		672
	3	DTE Energy Co.		244
	5	NiSource, Inc.		111
	8	PG&E Corp.		449
	8	Public Service Enterprise Group, Inc.		348
	2	SCANA Corp.		150
	4	Sempra Energy		367
	4	TECO Energy, Inc.		104
	5	WEC Energy Group, Inc.		287

				3,553

		Total Utilities		9,173

		Total Common Stocks (Cost $138,553)		273,267


SHARES		SECURITY DESCRIPTION	VALUE($)
	Exchange Traded Fund — 0.1%
		U.S. Equity — 0.1%
	2	SPDR S&P 500 ETF Trust (Cost $272)		290


NUMBER OF RIGHTS
	Rights — 0.0% (g)
		Consumer Staples — 0.0% (g)
		Food & Staples Retailing — 0.0% (g)
	5	Safeway, Inc., Casa Ley CVR, expiring 01/30/18 (a)		1
	5	Safeway, Inc., PDC CVR, expiring 01/30/17 (a)		—	(h)

		Total Rights (Cost $—)		1


PRINCIPAL AMOUNT($)
	Short-Term Investments — 0.7%
		U.S. Treasury Obligation — 0.1%
	240	U.S. Treasury Bill, 0.296%, 05/19/16 (k) (n)		240


SHARES
		Investment Company — 0.6%
	1,641	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.350% (b) (l)		1,641

		Total Short-Term Investments (Cost $1,881)		1,881

		Total Investments — 99.8% (Cost $140,706)		275,439
		Other Assets in Excess of Liabilities — 0.2%		513

		NET ASSETS — 100.0%	$	275,952

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — 13.0%
	92	Academic Loan Funding Trust, Series 2012-1A, Class A1, VAR, 1.236%, 12/27/22 (e)		92
		Ally Auto Receivables Trust,
	137	Series 2013-2, Class A3, 0.790%, 01/15/18		137
	120	Series 2013-2, Class A4, 1.240%, 11/15/18		120
	198	Series 2014-SN2, Class A3, 1.030%, 09/20/17		198
	469	Series 2015-SN1, Class A2A, 0.930%, 06/20/17		469
	305	Series 2015-SN1, Class A3, 1.210%, 12/20/17		305
	170	Series 2016-1, Class A3, 1.470%, 04/15/20		170
	500	Series 2016-2, Class A3, 1.350%, 05/15/20		500
		American Credit Acceptance Receivables Trust,
	38	Series 2014-4, Class A, 1.330%, 07/10/18 (e)		37
	95	Series 2015-1, Class A, 1.430%, 08/12/19 (e)		95
	203	Series 2015-2, Class A, 1.570%, 06/12/19 (e)		203
	245	Series 2015-2, Class C, 4.320%, 05/12/21 (e)		240
	985	American Homes 4 Rent Trust, Series 2015-SFR1, Class A, 3.467%, 04/17/52 (e)		990
		AmeriCredit Automobile Receivables Trust,
	76	Series 2013-5, Class A3, 0.900%, 09/10/18		76
	161	Series 2015-2, Class A2A, 0.830%, 09/10/18		161
	650	Series 2015-2, Class A3, 1.270%, 01/08/20		646
	150	Series 2015-4, Class A3, 1.700%, 07/08/20		150
	365	ARLP Securitization Trust, Series 2015-1, Class A1, SUB, 3.967%, 05/25/55 (e)		355
	24	AXIS Equipment Finance Receivables II LLC, Series 2013-1A, Class A, 1.750%, 03/20/17 (e)		24
	182	AXIS Equipment Finance Receivables III LLC, Series 2015-1A, Class A2, 1.900%, 03/20/20 (e)		181
		B2R Mortgage Trust,
	131	Series 2015-1, Class A1, 2.524%, 05/15/48 (e)		130
	251	Series 2015-2, Class A, 3.336%, 11/15/48 (e)		256
	250	BA Credit Card Trust, Series 2015-A2, Class A, 1.360%, 09/15/20		251
	309	BCC Funding Corp. X, Series 2015-1, Class A2, 2.224%, 10/20/20 (e)		308
	29	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.806%, 04/25/36		28


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		BMW Vehicle Owner Trust,
	55	Series 2013-A, Class A3, 0.670%, 11/27/17		54
	28	Series 2014-A, Class A2, 0.530%, 04/25/17		28
	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)		100
	434	CAM Mortgage LLC, Series 2015-1, Class A, SUB, 3.375%, 07/15/64 (e)		434
		CarFinance Capital Auto Trust,
	185	Series 2014-1A, Class A, 1.460%, 12/17/18 (e)		184
	125	Series 2014-1A, Class B, 2.720%, 04/15/20 (e)		125
	156	Series 2014-2A, Class A, 1.440%, 11/16/20 (e)		155
	129	Series 2015-1A, Class A, 1.750%, 06/15/21 (e)		128
	250	Carlyle Global Market Strategies Commodities Funding Ltd., (Cayman Islands), Series 2014-1A, Class A, VAR, 2.522%, 10/15/21 (e)		250
		CarMax Auto Owner Trust,
	88	Series 2013-4, Class A3, 0.800%, 07/16/18		88
	137	Series 2013-4, Class A4, 1.280%, 05/15/19		137
	304	Series 2014-2, Class A3, 0.980%, 01/15/19		303
	944	Series 2015-2, Class A2A, 0.820%, 06/15/18		943
	105	Series 2016-1, Class A3, 1.610%, 11/16/20		105
	327	Carnow Auto Receivables Trust, Series 2015-1A, Class A, 1.690%, 01/15/20 (e)		326
	52	Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		53
	281	Citi Held For Asset Issuance, Series 2015-PM1, Class A, 1.850%, 12/15/21 (e)		281
	590	Colony American Homes, Series 2014-2A, Class A, VAR, 1.377%, 07/17/31 (e)		572
	300	Concord Funding Co. LLC, Series 2012-2, Class A, 3.145%, 01/15/17 (e)		300
	103	Consumer Credit Origination Loan Trust, Series 2015-1, Class A, 2.820%, 03/15/21 (e)		103
		CPS Auto Receivables Trust,
	10	Series 2011-C, Class A, 4.210%, 03/15/19 (e)		10
	10	Series 2012-A, Class A, 2.780%, 06/17/19 (e)		10
	68	Series 2012-B, Class A, 2.520%, 09/16/19 (e)		68


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	118	Series 2014-A, Class A, 1.210%, 08/15/18 (e)		118
	129	Series 2014-B, Class A, 1.110%, 11/15/18 (e)		128
	162	Series 2014-C, Class A, 1.310%, 02/15/19 (e)		161
	220	Series 2014-D, Class A, 1.490%, 04/15/19 (e)		218
	178	Series 2015-A, Class A, 1.530%, 07/15/19 (e)		177
	771	Series 2015-B, Class A, 1.650%, 11/15/19 (e)		765
	425	Series 2015-B, Class C, 4.200%, 05/17/21 (e)		422
	310	Series 2015-C, Class D, 4.630%, 08/16/21 (e)		311
	335	Series 2016-A, Class A, 2.250%, 10/15/19 (e)		336
		Credit Acceptance Auto Loan Trust,
	250	Series 2014-1A, Class A, 1.550%, 10/15/21 (e)		249
	363	Series 2015-2A, Class A, 2.400%, 02/15/23 (e)		363
	250	Series 2015-2A, Class C, 3.760%, 02/15/24 (e)		249
	400	Discover Card Execution Note Trust, Series 2015-A3, Class A, 1.450%, 03/15/21		401
		Drive Auto Receivables Trust,
	13	Series 2015-AA, Class A2, 1.010%, 11/15/17 (e)		13
	177	Series 2015-AA, Class D, 4.120%, 07/15/22 (e)		173
	408	Series 2015-BA, Class B, 2.120%, 06/17/19 (e)		408
	320	Series 2015-BA, Class D, 3.840%, 07/15/21 (e)		312
	53	Series 2015-CA, Class A2A, 1.030%, 02/15/18 (e)		53
	220	Series 2015-DA, Class D, 4.590%, 01/17/23 (e)		217
		DT Auto Owner Trust,
	80	Series 2014-3A, Class A, 0.980%, 04/16/18 (e)		80
	62	Series 2015-1A, Class A, 1.060%, 09/17/18 (e)		62
	189	Series 2015-2A, Class A, 1.240%, 09/17/18 (e)		189
	301	Series 2015-2A, Class D, 4.250%, 02/15/22 (e)		296


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	465	Series 2016-1A, Class A, 2.000%, 09/16/19 (e)		465
		Exeter Automobile Receivables Trust,
	297	Series 2014-1A, Class A, 1.290%, 05/15/18 (e)		297
	300	Series 2014-1A, Class B, 2.420%, 01/15/19 (e)		300
	85	Series 2014-2A, Class A, 1.060%, 08/15/18 (e)		85
	217	Series 2014-3A, Class A, 1.320%, 01/15/19 (e)		216
	56	Series 2014-3A, Class B, 2.770%, 11/15/19 (e)		55
	174	Series 2015-1A, Class A, 1.600%, 06/17/19 (e)		173
	500	Series 2015-1A, Class B, 2.840%, 03/16/20 (e)		495
	346	Series 2015-2A, Class A, 1.540%, 11/15/19 (e)		345
	240	Series 2016-1A, Class A, 2.350%, 07/15/20 (e)		240
	310	Series 2016-1A, Class C, 5.520%, 10/15/21 (e)		310
		Fifth Third Auto Trust,
	39	Series 2013-1, Class A3, 0.880%, 10/16/17		39
	20	Series 2014-3, Class A2A, 0.570%, 05/15/17		20
	77	Series 2014-3, Class A3, 0.960%, 03/15/19		77
	318	Series 2015-1, Class A3, 1.420%, 03/16/20		319
		First Investors Auto Owner Trust,
	3	Series 2013-1A, Class A2, 0.900%, 10/15/18 (e)		3
	64	Series 2014-3A, Class A2, 1.060%, 11/15/18 (e)		64
	138	Series 2014-3A, Class A3, 1.670%, 11/16/20 (e)		137
	146	Series 2015-1A, Class A2, 1.210%, 04/15/19 (e)		146
	224	Series 2015-2A, Class A1, 1.590%, 12/16/19 (e)		224
	100	Series 2015-2A, Class D, 4.220%, 12/15/21 (e)		97
		FirstKey Lending Trust,
	295	Series 2015-SFR1, Class A, 2.553%, 03/09/47 (e)		292
	144	Series 2015-SFR1, Class B, 3.417%, 03/09/47 (e)		141
		Flagship Credit Auto Trust,
	58	Series 2013-1, Class A, 1.320%, 04/16/18 (e)		58


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	64	Series 2013-2, Class A, 1.940%, 01/15/19 (e)		64
	191	Series 2014-2, Class A, 1.430%, 12/16/19 (e)		190
	89	Series 2014-2, Class B, 2.840%, 11/16/20 (e)		87
	44	Series 2014-2, Class C, 3.950%, 12/15/20 (e)		41
	224	Series 2015-1, Class A, 1.630%, 06/15/20 (e)		221
	702	Series 2015-3, Class A, 2.380%, 10/15/20 (e)		700
	114	Series 2015-3, Class B, 3.680%, 03/15/22 (e)		113
	113	Series 2015-3, Class C, 4.650%, 03/15/22 (e)		107
	400	Series 2016-1, Class C, 6.220%, 06/15/22 (e)		397
		Ford Credit Auto Lease Trust,
	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,
	72	Series 2014-C, Class A2, 0.610%, 08/15/17		71
	245	Series 2014-C, Class A3, 1.060%, 05/15/19		245
	109	Series 2015-A, Class A2A, 0.810%, 01/15/18		109
	471	Series 2015-A, Class A3, 1.280%, 09/15/19		472
	659	Series 2015-B, Class A2A, 0.720%, 03/15/18		659
	641	GCAT, Series 2015-2, Class A1, SUB, 3.750%, 07/25/20 (e)		638
	47	GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		42
	324	GLS Auto Receivables Trust, Series 2015-1A, Class A, 2.250%, 12/15/20 (e)		322
		GM Financial Automobile Leasing Trust,
	1,016	Series 2015-1, Class A2, 1.100%, 12/20/17		1,015
	428	Series 2015-1, Class A3, 1.530%, 09/20/18		429
	134	Series 2015-1, Class A4, 1.730%, 06/20/19		134
	143	GMAT Trust, Series 2013-1A, Class A, SUB, 3.967%, 11/25/43 (e)		143
		GO Financial Auto Securitization Trust,
	302	Series 2015-1, Class A, 1.810%, 03/15/18 (e)		302
	249	Series 2015-1, Class B, 3.590%, 10/15/20 (e)		248
	413	Series 2015-2, Class A, 3.270%, 11/15/18 (e)		411
	267	Series 2015-2, Class B, 4.800%, 08/17/20 (e)		261
	139	Gold Key Resorts LLC, Series 2014-A, Class A, 3.220%, 03/17/31 (e)		139
	531	Green Tree Agency Advance Funding Trust I, Series 2015-T1, Class DT1, 3.931%, 10/15/46 (e)		532


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Honda Auto Receivables Owner Trust,
	171	Series 2013-4, Class A3, 0.690%, 09/18/17		171
	140	Series 2013-4, Class A4, 1.040%, 02/18/20		140
	158	Series 2014-2, Class A3, 0.770%, 03/19/18		158
	131	Series 2015-1, Class A2, 0.700%, 06/15/17		131
	207	Series 2016-1, Class A3, 1.220%, 12/18/19		206
	23	HSBC Home Equity Loan Trust USA, Series 2007-3, Class APT, VAR, 1.632%, 11/20/36		23
		Hyundai Auto Receivables Trust,
	239	Series 2014-B, Class A3, 0.900%, 12/17/18		239
	160	Series 2015-A, Class A2, 0.680%, 10/16/17		160
	228	Series 2015-B, Class A2A, 0.690%, 04/16/18		228
	233	Series 2015-B, Class A3, 1.120%, 11/15/19		233
	600	Invitation Homes Trust, Series 2014-SFR1, Class A, VAR, 1.429%, 06/17/31 (e)		584
	903	LV Tower 52 Issuer LLC, Series 2013-1, Class A, 5.500%, 07/15/19 (e)		883
		MarketPlace Loan Trust,
	69	Series 2015-OD1, Class A, 3.250%, 06/17/17		68
	98	Series 2015-OD2, Class A, 3.250%, 08/17/17 (e)		98
	485	Series 2015-OD3, Class A, 3.250%, 09/17/17 (e)		482
	350	Series 2015-OD4, Class A, 3.250%, 12/18/17 (e)		348
	409	Mercedes-Benz Auto Receivables Trust, Series 2015-1, Class A2A, 0.820%, 06/15/18		408
		Nationstar HECM Loan Trust,
	140	Series 2015-1A, Class A, 3.844%, 05/25/18 (e)		140
	272	Series 2015-2A, Class A, 2.883%, 11/25/25 (e)		272
	296	Series 2015-2A, Class M1, 4.115%, 11/25/25 (e)		295
	280	Series 2016-1A, Class M1, 4.360%, 02/25/26 (e)		280
	16	Navitas Equipment Receivables LLC, Series 2013-1, Class A, 1.950%, 11/15/16 (e)		16
		Nissan Auto Receivables Owner Trust,
	20	Series 2012-A, Class A4, 1.000%, 07/16/18		20
	120	Series 2014-B, Class A3, 1.110%, 05/15/19		120
		NRPL Trust,
	323	Series 2015-1A, Class A1, SUB, 3.875%, 11/01/54 (e)		322
	607	Series 2015-2A, Class A1, VAR, 3.750%, 10/25/57 (e)		595


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
		NRZ Advance Receivables Trust Advance Receivables Backed Notes,
	450	Series 2015-T1, Class AT1, 2.315%, 08/15/46 (e)		448
	250	Series 2015-T1, Class CT1, 3.100%, 08/15/46 (e)		250
	200	Series 2015-T1, Class DT1, 3.600%, 08/15/46 (e)		199
	201	Series 2015-T2, Class DT2, 4.679%, 08/17/48 (e)		201
	550	Series 2015-T3, Class DT3, 4.266%, 11/15/46 (e)		550
	900	Series 2015-T4, Class AT4, 3.196%, 11/15/47 (e)		901
	300	Series 2015-T4, Class DT4, 4.671%, 11/15/47 (e)		300
		Oak Hill Advisors Residential Loan Trust,
	239	Series 2014-NPL2, Class A1, SUB, 3.352%, 04/25/54 (e)		237
	406	Series 2015-NPL2, Class A1, SUB, 3.721%, 07/25/55 (e)		403
		Ocwen Master Advance Receivables Trust,
	443	Series 2015-T1, Class AT1, 2.537%, 09/17/46 (e)		443
	438	Series 2015-T1, Class DT1, 4.100%, 09/17/46 (e)		437
	661	Series 2015-T3, Class AT3, 3.211%, 11/15/47 (e)		662
	295	Series 2015-T3, Class BT3, 3.704%, 11/15/47 (e)		295
		OneMain Financial Issuance Trust,
	902	Series 2014-2A, Class A, 2.470%, 09/18/24 (e)		898
	403	Series 2015-1A, Class A, 3.190%, 03/18/26 (e)		396
	875	Series 2015-2A, Class A, 2.570%, 07/18/25 (e)		855
	233	Series 2015-2A, Class B, 3.100%, 07/18/25 (e)		223
	484	Oportun Funding II LLC, Series 2016-A, Class A, 4.700%, 03/08/21 (e)		484
	30	Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-MCW1, Class M1, VAR, 1.373%, 10/25/34		30
	457	Pretium Mortgage Credit Partners I LLC, Series 2015-NPL2, Class A1, SUB, 3.750%, 07/27/30 (e)		452
	500	Progreso Receivables Funding II LLC, Series 2014-A, Class A, 3.500%, 07/08/19 (e)		501


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	500	Progreso Receivables Funding III LLC, Series 2015-A, Class A, 3.625%, 02/08/20 (e)		500
	321	Progreso Receivables Funding IV LLC, Series 2015-B, Class A, 3.000%, 07/28/20 (e)		319
		Progress Residential Trust,
	868	Series 2015-SFR2, Class A, 2.740%, 06/12/32 (e)		848
	351	Series 2015-SFR2, Class B, 3.138%, 06/12/32 (e)		340
	789	Series 2015-SFR3, Class A, 3.067%, 11/12/32 (e)		799
	200	Series 2015-SFR3, Class D, 4.673%, 11/12/32 (e)		198
	850	Purchasing Power Funding LLC, Series 2015-A, Class A2, 4.750%, 12/15/19 (e)		846
	52	RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.736%, 03/25/36		51
	241	RMAT LLC, Series 2015-NPL1, Class A1, SUB, 3.750%, 05/25/55 (e)		239
		Santander Drive Auto Receivables Trust,
	203	Series 2015-S1, Class R1, 1.930%, 09/17/19 (e)		202
	47	Series 2015-S2, Class R1, 1.840%, 11/18/19 (e)		47
	182	Series 2015-S7, Class R1, 1.970%, 03/16/21 (e)		180
	39	Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 3.384%, 01/25/36		28
	94	Selene Non-Performing Loans LLC, Series 2014-1A, Class A, SUB, 2.981%, 05/25/54 (e)		93
	111	Skopos Auto Receivables Trust, Series 2015-2A, Class A, 3.550%, 02/15/20 (e)		111
		SpringCastle America Funding LLC,
	666	Series 2014-AA, Class A, 2.700%, 05/25/23 (e)		663
	175	Series 2014-AA, Class B, 4.610%, 10/25/27 (e)		176
		Springleaf Funding Trust,
	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)		454
		SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes,
	258	Series 2015-T2, Class DT2, 4.230%, 01/15/47 (e)		258


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	285	Series 2015-T3, Class DT3, 4.430%, 07/15/47 (e)		284
	380	Sunset Mortgage Loan Co. LLC, Series 2014-NPL2, Class A, SUB, 3.721%, 11/16/44 (e)		378
	83	Tidewater Auto Receivables Trust, Series 2014-AA, Class A3, 1.400%, 07/15/18 (e)		83
		Toyota Auto Receivables Owner Trust,
	28	Series 2014-C, Class A2, 0.510%, 02/15/17		28
	134	Series 2014-C, Class A3, 0.930%, 07/16/18		134
	375	Series 2016-A, Class A3, 1.250%, 03/16/20		375
	266	Trafigura Securitisation Finance plc, (Ireland), Series 2014-1A, Class A, VAR, 1.380%, 10/15/21 (e)		262
	128	Tricon American Homes Trust, Series 2015-SFR1, Class A, VAR, 1.679%, 05/17/32 (e)		122
		Truman Capital Mortgage Loan Trust,
	68	Series 2014-NPL1, Class A1, SUB, 3.228%, 07/25/53 (e)		68
	37	Series 2014-NPL3, Class A1, SUB, 3.125%, 04/25/53 (e)		37
	292	U.S. Residential Opportunity Fund II Trust, Series 2015-1II, Class A, 3.721%, 02/27/35 (e)		287
	81	VML LLC, Series 2014-NPL1, Class A1, VAR, 3.875%, 04/27/54 (e)		81
	190	Volkswagen Auto Lease Trust, Series 2015-A, Class A2A, 0.870%, 06/20/17		189
	107	VOLT NPL X LLC, Series 2014-NPL8, Class A1, SUB, 3.375%, 10/26/54 (e)		105
	360	VOLT XL LLC, Series 2015-NP14, Class A1, SUB, 4.375%, 11/27/45 (e)		359
	854	VOLT XXV LLC, Series 2015-NPL8, Class A1, SUB, 3.500%, 06/26/45 (e)		841
		VOLT XXVI LLC,
	361	Series 2014-NPL6, Class A1, SUB, 3.125%, 09/25/43 (e)		356
	115	Series 2014-NPL6, Class A2, SUB, 4.250%, 09/25/43 (e)		113
	388	VOLT XXVII LLC, Series 2014-NPL7, Class A1, SUB, 3.375%, 08/27/57 (e)		383
	281	VOLT XXXIX LLC, Series 2015-NP13, Class A1, SUB, 4.125%, 10/25/45 (e)		280
	348	VOLT XXXV LLC, Series 2015-NPL9, Class A1, SUB, 3.500%, 06/26/45 (e)		344
		Westlake Automobile Receivables Trust,
	200	Series 2015-3A, Class D, 4.400%, 05/17/21 (e)		195


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	467		Series 2016-1A, Class A2A, 1.820%, 01/15/19 (e)		467
			World Omni Auto Receivables Trust,
	212		Series 2013-B, Class A3, 0.830%, 08/15/18		212
	127		Series 2013-B, Class A4, 1.320%, 01/15/20		127
	110		Series 2015-A, Class A2A, 0.790%, 07/16/18		110
	77		Series 2015-A, Class A3, 1.340%, 05/15/20		77

			Total Asset-Backed Securities (Cost $59,129)		58,819

	Collateralized Mortgage Obligations — 18.3%
			Agency CMO — 16.1%
			Federal Home Loan Mortgage Corp.,
	750		08/15/22		748
	400		08/15/22		398
	342		08/01/23		342
	33		Federal Home Loan Mortgage Corp. — Government National Mortgage Association, Series 24, Class ZE, 6.250%, 11/25/23		37
			Federal Home Loan Mortgage Corp. REMIC,
	1		Series 46, Class B, 7.800%, 09/15/20		1
	—	(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
	6		Series 114, Class H, 6.950%, 01/15/21		6
	—	(h)	Series 1079, Class S, HB, IF, 32.548%, 05/15/21		—	(h)
	—	(h)	Series 1084, Class F, VAR, 1.377%, 05/15/21		—	(h)
	—	(h)	Series 1084, Class S, HB, IF, 43.303%, 05/15/21		—	(h)
	5		Series 1144, Class KB, 8.500%, 09/15/21		5
	—	(h)	Series 1172, Class L, HB, VAR, 1,167.776%, 11/15/21		—	(h)
	—	(h)	Series 1196, Class B, HB, IF, 1,147.060%, 01/15/22		—	(h)
	4		Series 1206, Class IA, 7.000%, 03/15/22		4
	3		Series 1250, Class J, 7.000%, 05/15/22		3
	10		Series 1343, Class LA, 8.000%, 08/15/22		11
	43		Series 1466, Class PZ, 7.500%, 02/15/23		48
	1		Series 1470, Class F, VAR, 1.655%, 02/15/23		1
	17		Series 1491, Class I, 7.500%, 04/15/23		18
	16		Series 1518, Class G, IF, 8.579%, 05/15/23		19
	14		Series 1541, Class O, VAR, 1.190%, 07/15/23		14
	3		Series 1602, Class SA, HB, IF, 21.362%, 10/15/23		5
	51		Series 1608, Class L, 6.500%, 09/15/23		58


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
			Agency CMO — continued
	4		Series 1671, Class L, 7.000%, 02/15/24		5
	9		Series 1700, Class GA, PO, 02/15/24		8
	84		Series 1706, Class K, 7.000%, 03/15/24		94
	302		Series 1720, Class PL, 7.500%, 04/15/24		341
	9		Series 1745, Class D, 7.500%, 08/15/24		10
	17		Series 1798, Class F, 5.000%, 05/15/23		19
	1		Series 1807, Class G, 9.000%, 10/15/20		1
	94		Series 1927, Class PH, 7.500%, 01/15/27		108
	39		Series 1981, Class Z, 6.000%, 05/15/27		44
	12		Series 1987, Class PE, 7.500%, 09/15/27		13
	5		Series 2033, Class SN, HB, IF, 28.489%, 03/15/24		3
	15		Series 2038, Class PN, IO, 7.000%, 03/15/28		3
	82		Series 2040, Class PE, 7.500%, 03/15/28		94
	7		Series 2056, Class TD, 6.500%, 05/15/18		8
	87		Series 2063, Class PG, 6.500%, 06/15/28		100
	10		Series 2064, Class TE, 7.000%, 06/15/28		12
	61		Series 2075, Class PH, 6.500%, 08/15/28		68
	59		Series 2075, Class PM, 6.250%, 08/15/28		67
	19		Series 2089, Class PJ, IO, 7.000%, 10/15/28		2
	36		Series 2125, Class JZ, 6.000%, 02/15/29		40
	9		Series 2163, Class PC, IO, 7.500%, 06/15/29		1
	174		Series 2169, Class TB, 7.000%, 06/15/29		199
	58		Series 2172, Class QC, 7.000%, 07/15/29		66
	—	(h)	Series 2196, Class TL, 7.500%, 11/15/29		1
	29		Series 2201, Class C, 8.000%, 11/15/29		34
	74		Series 2210, Class Z, 8.000%, 01/15/30		86
	20		Series 2224, Class CB, 8.000%, 03/15/30		24
	39		Series 2256, Class MC, 7.250%, 09/15/30		45
	44		Series 2259, Class ZM, 7.000%, 10/15/30		50
	44		Series 2271, Class PC, 7.250%, 12/15/30		50
	31		Series 2283, Class K, 6.500%, 12/15/23		35
	19		Series 2296, Class PD, 7.000%, 03/15/31		22
	10		Series 2306, Class K, PO, 05/15/24		9
	23		Series 2306, Class SE, IF, IO, 8.500%, 05/15/24		3
	28		Series 2333, Class HC, 6.000%, 07/15/31		28
	1		Series 2344, Class QG, 6.000%, 08/15/16		1
	367		Series 2344, Class ZD, 6.500%, 08/15/31		431
	43		Series 2344, Class ZJ, 6.500%, 08/15/31		50
	32		Series 2345, Class NE, 6.500%, 08/15/31		37
	2		Series 2345, Class PQ, 6.500%, 08/15/16		2
	16		Series 2347, Class VP, 6.500%, 03/15/20		17
	38		Series 2351, Class PZ, 6.500%, 08/15/31		44
	1		Series 2355, Class BP, 6.000%, 09/15/16		1


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	2	Series 2360, Class PG, 6.000%, 09/15/16		2
	2	Series 2366, Class MD, 6.000%, 10/15/16		2
	2	Series 2391, Class QR, 5.500%, 12/15/16		2
	32	Series 2410, Class NG, 6.500%, 02/15/32		36
	48	Series 2410, Class OE, 6.375%, 02/15/32		51
	21	Series 2410, Class QX, IF, IO, 8.223%, 02/15/32		7
	80	Series 2412, Class SP, IF, 15.246%, 02/15/32		110
	24	Series 2423, Class MC, 7.000%, 03/15/32		28
	49	Series 2423, Class MT, 7.000%, 03/15/32		57
	173	Series 2435, Class CJ, 6.500%, 04/15/32		204
	52	Series 2441, Class GF, 6.500%, 04/15/32		61
	52	Series 2444, Class ES, IF, IO, 7.523%, 03/15/32		15
	64	Series 2450, Class GZ, 7.000%, 05/15/32		74
	21	Series 2450, Class SW, IF, IO, 7.573%, 03/15/32		6
	79	Series 2455, Class GK, 6.500%, 05/15/32		91
	113	Series 2466, Class DH, 6.500%, 06/15/32		129
	62	Series 2474, Class NR, 6.500%, 07/15/32		71
	103	Series 2484, Class LZ, 6.500%, 07/15/32		119
	117	Series 2500, Class MC, 6.000%, 09/15/32		134
	172	Series 2512, Class PG, 5.500%, 10/15/22		188
	31	Series 2535, Class BK, 5.500%, 12/15/22		34
	25	Series 2537, Class TE, 5.500%, 12/15/17		26
	202	Series 2543, Class YX, 6.000%, 12/15/32		228
	254	Series 2568, Class KG, 5.500%, 02/15/23		279
	362	Series 2575, Class ME, 6.000%, 02/15/33		400
	31	Series 2586, Class WI, IO, 6.500%, 03/15/33		6
	33	Series 2622, Class PE, 4.500%, 05/15/18		34
	20	Series 2631, Class LC, 4.500%, 06/15/18		20
	32	Series 2651, Class VZ, 4.500%, 07/15/18		33
	30	Series 2684, Class PO, PO, 01/15/33		30
	40	Series 2744, Class TU, 5.500%, 05/15/32		41
	62	Series 2934, Class EC, PO, 02/15/20		60
	86	Series 2990, Class SL, HB, IF, 22.928%, 06/15/34		122
	972	Series 2990, Class UZ, 5.750%, 06/15/35		1,119
	166	Series 2999, Class ND, 4.500%, 07/15/20		172
	8	Series 3068, Class AO, PO, 01/15/35		8
	110	Series 3117, Class EO, PO, 02/15/36		106
	12	Series 3117, Class OK, PO, 02/15/36		11
	159	Series 3122, Class OH, PO, 03/15/36		147
	172	Series 3137, Class XP, 6.000%, 04/15/36		198


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	6	Series 3149, Class SO, PO, 05/15/36		5
	248	Series 3152, Class MO, PO, 03/15/36		235
	98	Series 3171, Class MO, PO, 06/15/36		93
	41	Series 3179, Class OA, PO, 07/15/36		38
	356	Series 3202, Class HI, IF, IO, 6.223%, 08/15/36		67
	57	Series 3232, Class ST, IF, IO, 6.273%, 10/15/36		10
	38	Series 3253, Class PO, PO, 12/15/21		38
	31	Series 3316, Class JO, PO, 05/15/37		29
	746	Series 3417, Class EO, PO, 11/15/36		721
	193	Series 3481, Class SJ, IF, IO, 5.423%, 08/15/38		27
	78	Series 3607, Class AO, PO, 04/15/36		73
	275	Series 3607, Class OP, PO, 07/15/37		247
	50	Series 3611, Class PO, PO, 07/15/34		48
	484	Series 3680, Class MA, 4.500%, 07/15/39		526
	149	Series 3804, Class FN, VAR, 0.877%, 03/15/39		149
	480	Series 3819, Class ZQ, 6.000%, 04/15/36		548
	187	Series 3997, Class PF, VAR, 0.877%, 11/15/39		187
	783	Series 4219, Class JA, 3.500%, 08/15/39		826
	1,291	Series 4374, Class NC, SUB, 1.750%, 02/15/46		1,348
		Federal Home Loan Mortgage Corp. STRIPS,
	22	Series 243, Class 16, IO, 4.500%, 11/15/20		1
	782	Series 262, Class 35, 3.500%, 07/15/42		816
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	36	Series T-41, Class 3A, VAR, 5.990%, 07/25/32		41
	29	Series T-51, Class 2A, VAR, 7.500%, 08/25/42		35
	299	Series T-54, Class 2A, 6.500%, 02/25/43		359
	103	Series T-54, Class 3A, 7.000%, 02/25/43		124
	780	Series T-56, Class A5, 5.231%, 05/25/43		873
	25	Series T-58, Class APO, PO, 09/25/43		22
	202	Series T-76, Class 2A, VAR, 2.929%, 10/25/37		210
		Federal National Mortgage Association — ACES,
	485	Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20		527
	1,000	Series 2012-M9, Class A2, 2.482%, 04/25/22		1,031
	180	Series 2012-M11, Class FA, VAR, 0.932%, 08/25/19		180


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — continued
	444		Series 2014-M2, Class A2, VAR, 3.513%, 12/25/23		479
	2,000		Series 2014-M3, Class A2, VAR, 3.475%, 01/25/24		2,154
	1,000		Series 2014-M12, Class ASV2, VAR, 2.614%, 10/25/21		1,045
	636		Series 2014-M13, Class A2, VAR, 3.021%, 08/25/24		668
	1,000		Series 2015-M3, Class A2, 2.723%, 10/25/24		1,026
	820		Series 2015-M7, Class A2, 2.590%, 12/25/24		830
	1,122		Series 2015-M17, Class FA, VAR, 1.377%, 11/25/22		1,122
			Federal National Mortgage Association REMIC,
	1		Series 1988-7, Class Z, 9.250%, 04/25/18		1
	3		Series 1989-70, Class G, 8.000%, 10/25/19		4
	2		Series 1989-78, Class H, 9.400%, 11/25/19		2
	1		Series 1989-83, Class H, 8.500%, 11/25/19		1
	1		Series 1989-89, Class H, 9.000%, 11/25/19		1
	—	(h)	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
	—	(h)	Series 1990-93, Class G, 5.500%, 08/25/20		—	(h)
	—	(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)
	5		Series 1990-102, Class J, 6.500%, 08/25/20		6
	1		Series 1990-120, Class H, 9.000%, 10/25/20		2
	—	(h)	Series 1990-134, Class SC, HB, IF, 20.946%, 11/25/20		—	(h)
	—	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20		—	(h)
	1		Series 1991-42, Class S, IF, 16.912%, 05/25/21		2
	26		Series 1992-107, Class SB, HB, IF, 28.781%, 06/25/22		42
	2		Series 1992-143, Class MA, 5.500%, 09/25/22		2
	14		Series 1993-25, Class J, 7.500%, 03/25/23		15
	94		Series 1993-37, Class PX, 7.000%, 03/25/23		104
	33		Series 1993-54, Class Z, 7.000%, 04/25/23		37
	7		Series 1993-62, Class SA, IF, 19.005%, 04/25/23		10


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	9	Series 1993-122, Class M, 6.500%, 07/25/23		9
	3	Series 1993-165, Class SD, IF, 13.467%, 09/25/23		5
	15	Series 1993-178, Class PK, 6.500%, 09/25/23		16
	227	Series 1993-183, Class KA, 6.500%, 10/25/23		260
	105	Series 1993-189, Class PL, 6.500%, 10/25/23		116
	22	Series 1993-247, Class SA, HB, IF, 28.111%, 12/25/23		38
	2	Series 1994-9, Class E, PO, 11/25/23		1
	63	Series 1996-14, Class SE, IF, IO, 8.710%, 08/25/23		15
	1	Series 1996-27, Class FC, VAR, 0.936%, 03/25/17		1
	7	Series 1996-59, Class J, 6.500%, 08/25/22		7
	29	Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27		1
	27	Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		1
	17	Series 1997-27, Class J, 7.500%, 04/18/27		18
	20	Series 1997-29, Class J, 7.500%, 04/20/27		24
	45	Series 1997-39, Class PD, 7.500%, 05/20/27		53
	13	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		1
	2	Series 1998-4, Class C, PO, 04/25/23		2
	12	Series 1998-36, Class ZB, 6.000%, 07/18/28		13
	143	Series 1998-43, Class EA, PO, 04/25/23		138
	89	Series 2000-2, Class ZE, 7.500%, 02/25/30		103
	26	Series 2001-4, Class PC, 7.000%, 03/25/21		28
	59	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		7
	68	Series 2001-36, Class DE, 7.000%, 08/25/31		80
	14	Series 2001-44, Class PD, 7.000%, 09/25/31		16
	90	Series 2001-48, Class Z, 6.500%, 09/25/21		100
	13	Series 2001-49, Class Z, 6.500%, 09/25/31		15
	5	Series 2001-71, Class MB, 6.000%, 12/25/16		5
	4	Series 2001-71, Class QE, 6.000%, 12/25/16		4
	35	Series 2001-74, Class MB, 6.000%, 12/25/16		36
	11	Series 2001-81, Class LO, PO, 01/25/32		11
	31	Series 2002-1, Class HC, 6.500%, 02/25/22		35
	16	Series 2002-1, Class SA, HB, IF, 23.771%, 02/25/32		27


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	4	Series 2002-2, Class UC, 6.000%, 02/25/17		4
	4	Series 2002-3, Class OG, 6.000%, 02/25/17		4
	42	Series 2002-21, Class PE, 6.500%, 04/25/32		47
	18	Series 2002-24, Class AJ, 6.000%, 04/25/17		19
	44	Series 2002-28, Class PK, 6.500%, 05/25/32		49
	46	Series 2002-37, Class Z, 6.500%, 06/25/32		53
	24	Series 2002-94, Class BK, 5.500%, 01/25/18		24
	177	Series 2003-22, Class UD, 4.000%, 04/25/33		188
	162	Series 2003-34, Class GB, 6.000%, 03/25/33		173
	304	Series 2003-34, Class GE, 6.000%, 05/25/33		361
	9	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		2
	165	Series 2003-47, Class PE, 5.750%, 06/25/33		188
	20	Series 2003-52, Class SX, HB, IF, 21.643%, 10/25/31		31
	22	Series 2003-64, Class SX, IF, 12.684%, 07/25/33		27
	107	Series 2003-71, Class DS, IF, 6.899%, 08/25/33		122
	35	Series 2003-80, Class SY, IF, IO, 7.214%, 06/25/23		2
	56	Series 2003-83, Class PG, 5.000%, 06/25/23		58
	16	Series 2003-91, Class SD, IF, 11.774%, 09/25/33		20
	150	Series 2003-116, Class SB, IF, IO, 7.164%, 11/25/33		33
	14	Series 2003-130, Class SX, IF, 10.866%, 01/25/34		17
	112	Series 2004-25, Class PC, 5.500%, 01/25/34		117
	96	Series 2004-25, Class SA, IF, 18.327%, 04/25/34		145
	75	Series 2004-36, Class PC, 5.500%, 02/25/34		78
	101	Series 2004-36, Class SA, IF, 18.327%, 05/25/34		145
	63	Series 2004-46, Class SK, IF, 15.302%, 05/25/34		85
	708	Series 2004-50, Class VZ, 5.500%, 07/25/34		805
	56	Series 2004-61, Class SH, HB, IF, 22.245%, 11/25/32		85
	48	Series 2004-74, Class SW, IF, 14.641%, 11/25/31		70
	40	Series 2004-76, Class CL, 4.000%, 10/25/19		41
	99	Series 2005-45, Class DC, HB, IF, 22.712%, 06/25/35		160
	13	Series 2005-52, Class PA, 6.500%, 06/25/35		14
	71	Series 2005-56, Class S, IF, IO, 6.274%, 07/25/35		15


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	137	Series 2005-56, Class TP, IF, 16.843%, 08/25/33		189
	454	Series 2005-68, Class PG, 5.500%, 08/25/35		513
	191	Series 2005-73, Class PS, IF, 15.611%, 08/25/35		274
	81	Series 2005-74, Class CS, IF, 18.822%, 05/25/35		117
	154	Series 2005-106, Class US, HB, IF, 22.969%, 11/25/35		237
	519	Series 2005-121, Class DX, 5.500%, 01/25/26		568
	154	Series 2006-27, Class OH, PO, 04/25/36		144
	52	Series 2006-44, Class P, PO, 12/25/33		49
	330	Series 2006-56, Class FC, VAR, 0.726%, 07/25/36		331
	54	Series 2006-59, Class QO, PO, 01/25/33		53
	52	Series 2006-65, Class QO, PO, 07/25/36		49
	77	Series 2006-72, Class GO, PO, 08/25/36		73
	160	Series 2006-77, Class PC, 6.500%, 08/25/36		185
	62	Series 2006-79, Class DO, PO, 08/25/36		58
	106	Series 2006-110, Class PO, PO, 11/25/36		101
	192	Series 2006-124, Class HB, VAR, 5.987%, 11/25/36		207
	82	Series 2007-14, Class ES, IF, IO, 6.004%, 03/25/37		13
	64	Series 2007-79, Class SB, HB, IF, 22.419%, 08/25/37		96
	430	Series 2007-81, Class GE, 6.000%, 08/25/37		473
	179	Series 2007-88, Class VI, IF, IO, 6.104%, 09/25/37		38
	470	Series 2007-91, Class ES, IF, IO, 6.024%, 10/25/37		74
	88	Series 2007-106, Class A7, VAR, 6.119%, 10/25/37		99
	131	Series 2007-116, Class HI, IO, VAR, 1.611%, 01/25/38		8
	41	Series 2008-10, Class XI, IF, IO, 5.804%, 03/25/38		6
	31	Series 2008-16, Class IS, IF, IO, 5.774%, 03/25/38		5
	61	Series 2008-28, Class QS, HB, IF, 19.393%, 04/25/38		89
	126	Series 2008-46, Class HI, IO, VAR, 1.616%, 06/25/38		9
	91	Series 2009-69, Class PO, PO, 09/25/39		87
	758	Series 2009-71, Class BC, 4.500%, 09/25/24		842
	223	Series 2009-103, Class MB, VAR, 2.498%, 12/25/39		236


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — continued
	1,000		Series 2010-47, Class MB, 5.000%, 09/25/39		1,137
	303		Series 2010-71, Class HJ, 5.500%, 07/25/40		347
	1,000		Series 2011-44, Class EB, 3.000%, 05/25/26		1,062
	420		Series 2011-118, Class MT, 7.000%, 11/25/41		501
	381		Series 2011-118, Class NT, 7.000%, 11/25/41		454
	245		Series 2012-47, Class HF, VAR, 0.836%, 05/25/27		246
	433		Series 2013-101, Class DO, PO, 10/25/43		357
	426		Series 2013-128, Class PO, PO, 12/25/43		342
	2		Series G-14, Class L, 8.500%, 06/25/21		2
	6		Series G-18, Class Z, 8.750%, 06/25/21		7
	—	(h)	Series G-22, Class G, 6.000%, 12/25/16		—	(h)
	6		Series G-35, Class M, 8.750%, 10/25/21		6
	24		Series G92-35, Class E, 7.500%, 07/25/22		27
	1		Series G92-42, Class Z, 7.000%, 07/25/22		2
	7		Series G92-44, Class ZQ, 8.000%, 07/25/22		7
	20		Series G92-54, Class ZQ, 7.500%, 09/25/22		22
	6		Series G93-5, Class Z, 6.500%, 02/25/23		6
	9		Series G95-1, Class C, 8.800%, 01/25/25		11
			Federal National Mortgage Association REMIC Trust,
	126		Series 2003-W1, Class 1A1, VAR, 5.711%, 12/25/42		145
	27		Series 2003-W4, Class 2A, VAR, 6.336%, 10/25/42		32
	21		Series 2007-W7, Class 1A4, HB, IF, 36.565%, 07/25/37		34
			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)
	59		Series 300, Class 1, PO, 09/25/24		56
	10		Series 329, Class 1, PO, 01/25/33		10
			Federal National Mortgage Association Trust,
	61		Series 2004-W2, Class 2A2, 7.000%, 02/25/44		72
	196		Series 2005-W3, Class 2AF, VAR, 0.656%, 03/25/45		190
			Government National Mortgage Association,
	137		Series 1994-7, Class PQ, 6.500%, 10/16/24		155
	16		Series 1999-30, Class S, IF, IO, 8.170%, 08/16/29		4
	10		Series 2000-9, Class Z, 8.000%, 06/20/30		12
	193		Series 2000-9, Class ZJ, 8.500%, 02/16/30		228
	30		Series 2002-31, Class S, IF, IO, 8.269%, 01/16/31		9


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	79	Series 2002-40, Class UK, 6.500%, 06/20/32		93
	73	Series 2002-47, Class PG, 6.500%, 07/16/32		87
	91	Series 2002-47, Class PY, 6.000%, 07/20/32		104
	93	Series 2002-47, Class ZA, 6.500%, 07/20/32		110
	15	Series 2003-24, Class PO, PO, 03/16/33		14
	304	Series 2003-40, Class TJ, 6.500%, 03/20/33		353
	80	Series 2003-52, Class AP, PO, 06/16/33		72
	21	Series 2004-28, Class S, IF, 18.479%, 04/16/34		32
	47	Series 2004-71, Class SB, HB, IF, 27.343%, 09/20/34		83
	32	Series 2004-73, Class AE, IF, 13.967%, 08/17/34		40
	253	Series 2004-90, Class SI, IF, IO, 5.668%, 10/20/34		41
	72	Series 2005-68, Class DP, IF, 15.396%, 06/17/35		104
	489	Series 2005-68, Class KI, IF, IO, 5.868%, 09/20/35		92
	792	Series 2006-38, Class ZK, 6.500%, 08/20/36		934
	51	Series 2006-59, Class SD, IF, IO, 6.268%, 10/20/36		9
	207	Series 2007-17, Class JI, IF, IO, 6.379%, 04/16/37		44
	233	Series 2007-27, Class SA, IF, IO, 5.768%, 05/20/37		39
	355	Series 2007-40, Class SB, IF, IO, 6.318%, 07/20/37		67
	215	Series 2007-45, Class QA, IF, IO, 6.208%, 07/20/37		44
	200	Series 2007-50, Class AI, IF, IO, 6.343%, 08/20/37		31
	52	Series 2007-53, Class ES, IF, IO, 6.118%, 09/20/37		10
	50	Series 2007-53, Class SW, IF, 18.909%, 09/20/37		72
	42	Series 2007-71, Class SB, IF, IO, 6.268%, 07/20/36		2
	111	Series 2007-72, Class US, IF, IO, 6.118%, 11/20/37		20
	111	Series 2007-76, Class SA, IF, IO, 6.098%, 11/20/37		21
	68	Series 2008-33, Class XS, IF, IO, 7.270%, 04/16/38		15
	201	Series 2008-40, Class SA, IF, IO, 5.970%, 05/16/38		38
	286	Series 2008-50, Class KB, 6.000%, 06/20/38		329


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — continued
	146	Series 2008-55, Class SA, IF, IO, 5.768%, 06/20/38		24
	159	Series 2008-93, Class AS, IF, IO, 5.268%, 12/20/38		24
	48	Series 2009-6, Class SA, IF, IO, 5.670%, 02/16/39		7
	69	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		15
	227	Series 2009-22, Class SA, IF, IO, 5.838%, 04/20/39		35
	203	Series 2009-31, Class TS, IF, IO, 5.868%, 03/20/39		25
	188	Series 2009-79, Class OK, PO, 11/16/37		169
	960	Series 2009-92, Class ZC, 5.000%, 10/20/39		1,145
	365	Series 2009-106, Class ST, IF, IO, 5.568%, 02/20/38		62
	90	Series 2010-14, Class AO, PO, 12/20/32		87
	1,000	Series 2010-105, Class B, 5.000%, 08/20/40		1,165
	124	Series 2010-130, Class CP, 7.000%, 10/16/40		146
	432	Series 2011-137, Class WA, VAR, 5.534%, 07/20/40		493
	1,479	Series 2011-H19, Class FA, VAR, 0.900%, 08/20/61		1,467
	430	Series 2012-H21, Class DF, VAR, 1.079%, 05/20/61		429
	207	Series 2012-H24, Class FA, VAR, 0.880%, 03/20/60		207
	426	Series 2012-H26, Class MA, VAR, 0.980%, 07/20/62		424
	743	Series 2012-H29, Class FA, VAR, 0.945%, 10/20/62		736
	730	Series 2013-91, Class WA, VAR, 4.506%, 04/20/43		788
	191	Series 2013-H03, Class FA, VAR, 0.729%, 08/20/60		191
	471	Series 2013-H07, Class JA, 1.750%, 03/20/63		476
	884	Series 2014-H15, Class FA, VAR, 0.930%, 07/20/64		872
	792	Series 2014-H17, Class FC, VAR, 0.930%, 07/20/64		782
	933	Series 2014-H19, Class FE, VAR, 0.900%, 09/20/64		920
	2,738	Series 2015-H04, Class FL, VAR, 0.721%, 02/20/65		2,708
	2,877	Series 2015-H12, Class FA, VAR, 0.910%, 05/20/65		2,874


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Agency CMO — continued
	740	Series 2015-H15, Class FJ, VAR, 0.869%, 06/20/65		729
	2,016	Series 2015-H16, Class FL, VAR, 0.869%, 07/20/65		1,983
	720	Series 2015-H18, Class FA, VAR, 0.880%, 06/20/65		709
	775	Series 2015-H20, Class FA, VAR, 0.900%, 08/20/65		764
	821	Series 2015-H26, Class FG, VAR, 0.950%, 10/20/65		810
	4,477	Series 2015-H29, Class FL, VAR, 1.029%, 11/20/65		4,432
	2,492	Series 2015-H30, Class FE, VAR, 1.029%, 11/20/65		2,467
	81	NCUA Guaranteed Notes Trust, Series 2010-R3, Class 3A, 2.400%, 12/08/20		82
		Vendee Mortgage Trust,
	386	Series 1993-1, Class ZB, 7.250%, 02/15/23		436
	188	Series 1994-1, Class 1, VAR, 5.567%, 02/15/24		206
	279	Series 1996-1, Class 1Z, 6.750%, 02/15/26		324
	92	Series 1996-2, Class 1Z, 6.750%, 06/15/26		106
	367	Series 1997-1, Class 2Z, 7.500%, 02/15/27		432
	91	Series 1998-1, Class 2E, 7.000%, 03/15/28		109

				73,281

		Non-Agency CMO — 2.2%
		Ajax Mortgage Loan Trust,
	401	Series 2014-A, Class A, SUB, 3.750%, 10/25/57 (e)		404
	201	Series 2015-B, Class A, SUB, 3.875%, 07/25/60 (e)		202
		Alternative Loan Trust,
	1,570	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		1,559
	250	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		226
	280	Angel Oak Mortgage Trust LLC, Series 2015-1, Class A, SUB, 4.500%, 11/25/45 (e)		280
		ASG Resecuritization Trust,
	46	Series 2009-1, Class A60, VAR, 5.629%, 06/26/37 (e)		46
	159	Series 2009-3, Class A65, VAR, 0.000%, 03/26/37 (e)		157
		Banc of America Alternative Loan Trust,
	36	Series 2003-7, Class 2A4, 5.000%, 09/25/18		36
	28	Series 2003-11, Class PO, PO, 01/25/34		24


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
	26	Banc of America Funding Trust, Series 2004-1, Class PO, PO, 03/25/34		21
		Banc of America Mortgage Trust,
	12	Series 2003-8, Class APO, PO, 11/25/33		10
	8	Series 2004-1, Class APO, PO, 02/25/34		7
	23	Series 2004-3, Class 1A26, 5.500%, 04/25/34		23
	14	Series 2004-6, Class APO, PO, 07/25/34		13
		BCAP LLC Trust,
	273	Series 2010-RR7, Class 2A1, VAR, 2.223%, 07/26/45 (e)		271
	228	Series 2011-RR10, Class 2A1, VAR, 1.288%, 09/26/37 (e)		220
	50	Series 2012-RR2, Class 1A1, VAR, 0.597%, 08/26/36 (e)		49
	77	Bear Stearns ARM Trust, Series 2005-5, Class A1, VAR, 2.320%, 08/25/35		77
		CHL Mortgage Pass-Through Trust,
	54	Series 2004-5, Class 1A4, 5.500%, 06/25/34		56
	25	Series 2004-HYB3, Class 2A, VAR, 2.331%, 06/20/34		24
	264	Series 2005-22, Class 2A1, VAR, 2.716%, 11/25/35		222
		Citigroup Global Markets Mortgage Securities VII, Inc.,
	49	Series 2003-HYB1, Class A, VAR, 2.740%, 09/25/33		49
	1	Series 2003-UP2, Class PO1, PO, 12/25/18		1
		Citigroup Mortgage Loan Trust,
	89	Series 2008-AR4, Class 1A1A, VAR, 2.948%, 11/25/38 (e)		88
	135	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		136
	85	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		86
		Citigroup Mortgage Loan Trust, Inc.,
	9	Series 2003-UP3, Class A3, 7.000%, 09/25/33		9
	12	Series 2003-UST1, Class A1, 5.500%, 12/25/18		12
	2	Series 2003-UST1, Class PO1, PO, 12/25/18		2
	2	Series 2003-UST1, Class PO3, PO, 12/25/18		2
	19	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 2A5, 5.000%, 10/25/18		19
		CSMC,
	523	Series 2010-11R, Class A6, VAR, 1.439%, 06/28/47 (e)		495


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
	41	Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)		41
	103	Deutsche Alt-A Securities, Inc., Mortgage Loan Trust, Series 2005-3, Class 1A1, VAR, 5.009%, 06/25/20		103
	8	Deutsche Mortgage Securities, Inc., Mortgage Loan Trust, Series 2004-1, Class 2APO, PO, 10/25/18		7
	8	FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/18 (e)		8
		First Horizon Mortgage Pass-Through Trust,
	106	Series 2004-AR7, Class 2A2, VAR, 2.739%, 02/25/35		105
	108	Series 2005-AR1, Class 2A2, VAR, 2.794%, 04/25/35		105
	193	GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3, 5.500%, 02/25/36		182
	44	Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO, PO, 04/25/33		26
		JP Morgan Mortgage Trust,
	498	Series 2003-A1, Class 1A1, VAR, 2.206%, 10/25/33		474
	51	Series 2006-A2, Class 4A1, VAR, 2.716%, 08/25/34		51
	166	Series 2006-A2, Class 5A3, VAR, 2.682%, 11/25/33		167
		MASTR Adjustable Rate Mortgages Trust,
	39	Series 2004-3, Class 4A2, VAR, 2.452%, 04/25/34		36
	145	Series 2004-13, Class 2A1, VAR, 2.781%, 04/21/34		145
		MASTR Alternative Loan Trust,
	121	Series 2003-9, Class 8A1, 6.000%, 01/25/34		121
	280	Series 2004-4, Class 10A1, 5.000%, 05/25/24		291
	21	Series 2004-7, Class 30PO, PO, 08/25/34		16
	17	Series 2004-10, Class 1A1, 4.500%, 09/25/19		16
	85	Series 2005-6, Class 3A1, 5.500%, 11/25/20		82
		MASTR Asset Securitization Trust,
	19	Series 2003-2, Class 1A1, 5.000%, 03/25/18		19
	4	Series 2004-8, Class PO, PO, 08/25/19		4
	35	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		27


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — continued
		Merrill Lynch Mortgage Investors Trust,
	254	Series 2003-E, Class A1, VAR, 1.056%, 10/25/28		241
	87	Series 2004-A, Class A1, VAR, 0.896%, 04/25/29		83
	38	MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 1.076%, 02/25/35		36
	55	NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		56
		Nomura Asset Acceptance Corp. Alternative Loan Trust,
	29	Series 2003-A1, Class A1, 5.500%, 05/25/33		29
	20	Series 2003-A1, Class A2, 6.000%, 05/25/33		20
	9	Series 2003-A1, Class A5, 7.000%, 04/25/33		10
		RALI Trust,
	43	Series 2002-QS8, Class A5, 6.250%, 06/25/17		43
	10	Series 2002-QS16, Class A3, IF, 15.712%, 10/25/17		10
	16	Series 2003-QS3, Class A2, IF, 15.541%, 02/25/18		16
	60	Series 2003-QS9, Class A3, IF, IO, 7.114%, 05/25/18		3
	83	Series 2004-QS3, Class CB, 5.000%, 03/25/19		83
	100	Reperforming Loan REMIC Trust, Series 2005-R1, Class 2APO, PO, 03/25/35 (e)		82
	6	Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.750%, 02/25/19		6
		Springleaf Mortgage Loan Trust,
	60	Series 2013-1A, Class A, VAR, 1.270%, 06/25/58 (e)		60
	174	Series 2013-2A, Class A, VAR, 1.780%, 12/25/65 (e)		174
	125	Series 2013-2A, Class M1, VAR, 3.520%, 12/25/65 (e)		126
	147	Series 2013-3A, Class A, VAR, 1.870%, 09/25/57 (e)		147
	306	Series 2013-3A, Class M1, VAR, 3.790%, 09/25/57 (e)		309
	84	Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-33H, Class 1A1, 5.500%, 10/25/33		86
	45	Structured Asset Securities Corp. Trust, Series 2005-6, Class 4A1, 5.000%, 05/25/35		45


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Non-Agency CMO — continued
		WaMu Mortgage Pass-Through Certificates Trust,
	13	Series 2002-S8, Class 2A7, 5.250%, 01/25/18		13
	112	Series 2003-AR5, Class A7, VAR, 2.569%, 06/25/33		113
	57	Series 2004-AR3, Class A2, VAR, 2.470%, 06/25/34		57
	221	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7, 5.500%, 06/25/35		205
		Washington Mutual MSC Mortgage Pass-Through Certificates Trust,
	34	Series 2003-MS2, Class 1A1, 5.750%, 02/25/33		36
	6	Series 2003-MS7, Class P, PO, 03/25/33		5
	36	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		36
		Wells Fargo Mortgage-Backed Securities Trust,
	43	Series 2003-K, Class 1A1, VAR, 2.615%, 11/25/33		42
	70	Series 2004-EE, Class 3A1, VAR, 2.717%, 12/25/34		70
	214	Series 2004-P, Class 2A1, VAR, 2.738%, 09/25/34		213
	346	Series 2005-AR3, Class 1A1, VAR, 2.764%, 03/25/35		345

				9,652

		Total Collateralized Mortgage Obligations (Cost $79,903)		82,933

	Commercial Mortgage-Backed Securities — 2.0%
	261	A10 Securitization LLC, Series 2015-1, Class A1, 2.100%, 04/15/34 (e)		260
		A10 Term Asset Financing LLC,
	323	Series 2013-2, Class A, 2.620%, 11/15/27 (e)		316
	215	Series 2014-1, Class A1, 1.720%, 04/15/33 (e)		212
		Banc of America Commercial Mortgage Trust,
	145	Series 2006-4, Class A4, 5.634%, 07/10/46		146
	254	Series 2007-5, Class A4, 5.492%, 02/10/51		262
	23	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-3, Class AM, 4.727%, 07/10/43		23
	200	BB-UBS Trust, Series 2012-TFT, Class A, 2.892%, 06/05/30 (e)		199


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	9,450	CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.354%, 12/11/49 (e)		31
		COMM Mortgage Trust,
	500	Series 2012-9W57, Class A, 2.365%, 02/10/29 (e)		503
	423	Series 2014-KYO, Class A, VAR, 1.329%, 06/11/27 (e)		412
	132	Series 2014-PAT, Class A, VAR, 1.227%, 08/13/27 (e)		128
	400	Series 2014-TWC, Class A, VAR, 1.274%, 02/13/32 (e)		388
	281	Series 2015-CR25, Class A4, 3.759%, 08/10/48		295
		Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates,
	1,000	Series K037, Class A2, 3.490%, 01/25/24		1,084
	764	Series KF12, Class A, VAR, 1.130%, 09/25/22		765
	500	Series KSMC, Class A2, 2.615%, 01/25/23		519
	151	Morgan Stanley Re-REMIC Trust, Series 2012-XA, Class A, 2.000%, 07/27/49 (e)		151
	186	NCUA Guaranteed Notes Trust, Series 2010-C1, Class APT, 2.650%, 10/29/20		186
		NorthStar, (Cayman Islands),
	103	Series 2013-1A, Class A, VAR, 2.286%, 08/25/29 (e)		102
	250	Series 2013-1A, Class B, VAR, 5.436%, 08/25/29 (e)		253
	18	ORES NPL LLC, Series 2013-LV2, Class A, 3.081%, 09/25/25 (e)		18
		PFP Ltd., (Cayman Islands),
	345	Series 2015-2, Class A, VAR, 1.879%, 07/14/34 (e)		341
	100	Series 2015-2, Class C, VAR, 3.679%, 07/14/34 (e)		100
	100	Series 2015-2, Class D, VAR, 4.429%, 07/14/34 (e)		100
		RAIT Trust,
	250	Series 2014-FL2, Class B, VAR, 2.577%, 05/13/31 (e)		245
	152	Series 2014-FL3, Class A, VAR, 1.677%, 12/15/31 (e)		149
	390	Series 2015-FL4, Class A, VAR, 1.777%, 12/15/31 (e)		384
	250	Series 2015-FL5, Class B, VAR, 4.327%, 01/15/31 (e)		249
		Resource Capital Corp., Ltd., (Cayman Islands),
	160	Series 2015-CRE4, Class A, VAR, 1.827%, 08/15/32 (e)		157


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — continued
	153	Series 2015-CRE4, Class B, VAR, 3.427%, 08/15/32 (e)		151
	116	UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e)		120
	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)		526
	36	Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e)		36

		Total Commercial Mortgage-Backed Securities (Cost $8,901)		8,921

	Corporate Bonds — 18.2%
		Consumer Discretionary — 1.0%
		Auto Components — 0.0% (g)
	99	Johnson Controls, Inc., 3.750%, 12/01/21		102

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

				301

		Hotels, Restaurants & Leisure — 0.0% (g)
	65	Starbucks Corp., 2.700%, 06/15/22		67

		Internet & Catalog Retail — 0.0% (g)
	197	Amazon.com, Inc., 3.800%, 12/05/24		211

		Media — 0.7%
		21st Century Fox America, Inc.,
	100	7.250%, 05/18/18		112
	100	7.700%, 10/30/25		127
		CBS Corp.,
	144	3.700%, 08/15/24		143
	208	4.000%, 01/15/26		208
	80	Comcast Corp., 3.375%, 08/15/25		84
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	353	3.800%, 03/15/22		363
	26	3.950%, 01/15/25		26
	150	4.600%, 02/15/21		162
	78	Discovery Communications LLC, 4.375%, 06/15/21		79
	550	NBCUniversal Media LLC, 2.875%, 01/15/23		560
		Thomson Reuters Corp., (Canada),
	51	3.850%, 09/29/24		52
	105	3.950%, 09/30/21		110
	60	4.700%, 10/15/19		65


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Media — continued
		Time Warner Cable, Inc.,
	57	5.850%, 05/01/17		59
	50	6.750%, 07/01/18		54
	150	8.250%, 04/01/19		172
	35	8.750%, 02/14/19		40
	100	Time Warner Cos., Inc., 7.570%, 02/01/24		122
	300	Time Warner, Inc., 3.600%, 07/15/25		295
		Viacom, Inc.,
	37	2.750%, 12/15/19		37
	100	3.125%, 06/15/22		91
	11	3.250%, 03/15/23		10
	43	3.875%, 12/15/21		43
	6	6.250%, 04/30/16		6

				3,020

		Multiline Retail — 0.1%
		Macy’s Retail Holdings, Inc.,
	37	2.875%, 02/15/23		33
	49	4.375%, 09/01/23		48
	25	7.450%, 07/15/17		27
	35	Nordstrom, Inc., 4.000%, 10/15/21		37
	400	Target Corp., 6.000%, 01/15/18		435

				580

		Specialty Retail — 0.1%
	32	Bed Bath & Beyond, Inc., 4.915%, 08/01/34		28
	56	Gap, Inc. (The), 5.950%, 04/12/21		58
		Home Depot, Inc. (The),
	67	2.625%, 06/01/22		68
	130	5.400%, 03/01/16		130
	119	Lowe’s Cos., Inc., 3.375%, 09/15/25		125

				409

		Total Consumer Discretionary		4,690

		Consumer Staples — 0.8%
		Beverages — 0.3%
	75	Anheuser-Busch Cos. LLC, 5.500%, 01/15/18		80
		Anheuser-Busch InBev Finance, Inc.,
	398	3.300%, 02/01/23		409
	150	3.700%, 02/01/24		159
	136	Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19		158
	70	Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20		77
	30	Heineken N.V., (Netherlands), 1.400%, 10/01/17 (e)		30


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Beverages — continued
		PepsiCo, Inc.,
	180	1.250%, 08/13/17		181
	31	3.000%, 08/25/21		32
	111	3.100%, 07/17/22		117
	6	7.900%, 11/01/18		7
	200	SABMiller Holdings, Inc., 3.750%, 01/15/22 (e)		210

				1,460

		Food & Staples Retailing — 0.2%
	86	Costco Wholesale Corp., 2.250%, 02/15/22		87
		CVS Health Corp.,
	178	3.500%, 07/20/22		186
	179	4.000%, 12/05/23		193
	50	CVS Pass-Through Trust, 5.926%, 01/10/34 (e)		55
		Kroger Co. (The),
	50	2.200%, 01/15/17		50
	90	4.000%, 02/01/24		96
	30	6.150%, 01/15/20		35
	75	6.400%, 08/15/17		80
	100	Sysco Corp., 3.750%, 10/01/25		104
	94	Walgreen Co., 3.100%, 09/15/22		92
	91	Walgreens Boots Alliance, Inc., 3.300%, 11/18/21		92

				1,070

		Food Products — 0.3%
	135	Bunge Ltd. Finance Corp., 8.500%, 06/15/19		156
	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)		115
	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		24
	332	6.125%, 08/23/18		364
	66	Kraft Heinz Foods Co., 5.000%, 07/15/35 (e)		69
	92	Mead Johnson Nutrition Co., Class C, 4.125%, 11/15/25		95
	150	Mondelez International, Inc., 4.000%, 02/01/24		156
	73	Tyson Foods, Inc., 3.950%, 08/15/24		77

				1,230


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


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Household Products — continued
	50	Procter & Gamble — ESOP, Series A, 9.360%, 01/01/21		60

				80

		Total Consumer Staples		3,840

		Energy — 1.8%
		Energy Equipment & Services — 0.1%
	14	Cameron International Corp., 4.000%, 12/15/23		14
	9	Ensco plc, (United Kingdom), 5.200%, 03/15/25		5
		Halliburton Co.,
	153	3.375%, 11/15/22		150
	107	3.500%, 08/01/23		100
		Nabors Industries, Inc.,
	30	4.625%, 09/15/21		20
	30	5.000%, 09/15/20		23
	15	National Oilwell Varco, Inc., 1.350%, 12/01/17		14
		Noble Holding International Ltd., (Cayman Islands),
	12	3.950%, 03/15/22		6
	18	4.000%, 03/16/18		14
	47	Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e)		48
		Transocean, Inc., (Cayman Islands),
	39	4.300%, 10/15/22		19
	57	6.500%, 11/15/20		34
	78	7.125%, 12/15/21		43

				490

		Oil, Gas & Consumable Fuels — 1.7%
		Apache Corp.,
	42	3.250%, 04/15/22		37
	25	6.900%, 09/15/18		26
	29	Boardwalk Pipelines LP, 4.950%, 12/15/24		25
		BP Capital Markets plc, (United Kingdom),
	20	1.375%, 11/06/17		20
	233	2.237%, 05/10/19		231
	256	2.750%, 05/10/23		242
	60	3.506%, 03/17/25		58
	166	3.814%, 02/10/24		165
		Buckeye Partners LP,
	30	4.350%, 10/15/24		25
	40	4.875%, 02/01/21		37
	25	5.850%, 11/15/43		18


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Oil, Gas & Consumable Fuels — continued
		Canadian Natural Resources Ltd., (Canada),
	25	3.900%, 02/01/25		19
	150	5.900%, 02/01/18		147
	21	Cenovus Energy, Inc., (Canada), 3.000%, 08/15/22		15
	40	Chevron Corp., 2.355%, 12/05/22		38
	200	CNOOC Nexen Finance 2014 ULC, (Canada), 4.250%, 04/30/24		205
	150	ConocoPhillips, 5.750%, 02/01/19		156
	190	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		194
	41	ConocoPhillips Co., 2.200%, 05/15/20		38
	190	Devon Energy Corp., 6.300%, 01/15/19		180
	58	Ecopetrol S.A., (Colombia), 4.125%, 01/16/25		44
	80	Encana Corp., (Canada), 6.500%, 05/15/19		66
		Energy Transfer Partners LP,
	89	3.600%, 02/01/23		74
	91	4.750%, 01/15/26		78
	200	Eni S.p.A., (Italy), 4.150%, 10/01/20 (e)		205
	74	EnLink Midstream Partners LP, 4.150%, 06/01/25		51
		Enterprise Products Operating LLC,
	500	1.650%, 05/07/18		483
	37	3.750%, 02/15/25		35
	49	3.900%, 02/15/24		46
		EOG Resources, Inc.,
	23	2.625%, 03/15/23		21
	100	4.100%, 02/01/21		102
	300	4.150%, 01/15/26		296
	250	Gulf South Pipeline Co. LP, 4.000%, 06/15/22		219
	50	Magellan Midstream Partners LP, 6.550%, 07/15/19		55
		Marathon Oil Corp.,
	228	5.900%, 03/15/18		207
	175	6.000%, 10/01/17		170
	67	Marathon Petroleum Corp., 3.625%, 09/15/24		55
	36	Noble Energy, Inc., 5.625%, 05/01/21		32
		Occidental Petroleum Corp.,
	35	1.750%, 02/15/17		35
	91	3.500%, 06/15/25		89
		ONEOK Partners LP,
	40	3.375%, 10/01/22		31
	40	3.800%, 03/15/20		36
	200	4.900%, 03/15/25		164


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — continued
		Petrobras Global Finance B.V., (Netherlands),
	84	4.375%, 05/20/23		57
	90	5.375%, 01/27/21		67
	295	6.250%, 03/17/24		215
	50	7.875%, 03/15/19		45
	97	Petro-Canada, (Canada), 6.050%, 05/15/18		99
		Petroleos Mexicanos, (Mexico),
	59	4.250%, 01/15/25 (e)		52
	69	4.875%, 01/18/24		64
	149	6.375%, 02/04/21 (e)		155
	43	Phillips 66, 2.950%, 05/01/17		44
		Plains All American Pipeline LP/PAA Finance Corp.,
	59	2.600%, 12/15/19		52
	100	3.600%, 11/01/24		77
	250	4.650%, 10/15/25		210
	50	Repsol Oil & Gas Canada, Inc., (Canada), 7.750%, 06/01/19		44
	200	Sinopec Group Overseas Development 2013 Ltd., (United Kingdom), 4.375%, 10/17/23 (e)		211
		Spectra Energy Capital LLC,
	150	5.650%, 03/01/20		150
	140	6.200%, 04/15/18		146
	50	8.000%, 10/01/19		53
		Spectra Energy Partners LP,
	79	2.950%, 09/25/18		78
	63	3.500%, 03/15/25		57
		Statoil ASA, (Norway),
	143	2.650%, 01/15/24		132
	42	2.750%, 11/10/21		42
	67	3.125%, 08/17/17		68
	83	3.150%, 01/23/22		82
	180	Sunoco Logistics Partners Operations LP, 4.650%, 02/15/22		162
		Total Capital International S.A., (France),
	44	1.500%, 02/17/17		44
	75	1.550%, 06/28/17		75
	150	2.750%, 06/19/21		150
	175	Total Capital S.A., (France), 2.300%, 03/15/16		175
		TransCanada PipeLines Ltd., (Canada),
	172	3.750%, 10/16/23		168
	100	6.500%, 08/15/18		108
	30	7.125%, 01/15/19		33

				7,585

		Total Energy		8,075


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Financials — 9.0%
		Banks — 3.7%
		ABN AMRO Bank N.V., (Netherlands),
	200	1.800%, 06/04/18 (e)		199
	200	2.500%, 10/30/18 (e)		202
	200	ANZ New Zealand International Ltd., (New Zealand), 2.600%, 09/23/19 (e)		201
	250	Australia & New Zealand Banking Group Ltd., (Australia), 2.400%, 11/23/16 (e)		252
		Bank of America Corp.,
	150	3.300%, 01/11/23		150
	200	3.875%, 03/22/17		205
	485	3.875%, 08/01/25		498
	42	4.100%, 07/24/23		44
	100	5.000%, 05/13/21		109
	130	5.625%, 07/01/20		144
	170	5.750%, 12/01/17		180
	50	5.875%, 01/05/21		56
	814	6.400%, 08/28/17		863
	100	6.500%, 08/01/16		102
	266	6.875%, 04/25/18		291
	208	Series L, 1.950%, 05/12/18		207
	200	Series L, 2.250%, 04/21/20		196
	154	Series L, 3.950%, 04/21/25		148
	300	Series L, 5.650%, 05/01/18		320
	85	Bank of Montreal, (Canada), 2.550%, 11/06/22		85
		Bank of Nova Scotia (The), (Canada),
	175	1.450%, 04/25/18		174
	200	1.700%, 06/11/18		200
	200	Banque Federative du Credit Mutuel S.A., (France), 1.700%, 01/20/17 (e)		200
	250	Barclays Bank plc, (United Kingdom), 6.050%, 12/04/17 (e)		265
	317	Barclays plc, (United Kingdom), 3.250%, 01/12/21		306
		BB&T Corp.,
	225	2.625%, 06/29/20		228
	125	3.950%, 04/29/16		126
	100	5.250%, 11/01/19		109
	234	Canadian Imperial Bank of Commerce, (Canada), 2.250%, 07/21/20 (e)		237
	300	Capital One Bank USA N.A., 3.375%, 02/15/23		292
	250	Capital One N.A., 2.350%, 08/17/18		249
		Citigroup, Inc.,
	650	1.700%, 04/27/18		643
	106	1.800%, 02/05/18		105
	82	2.150%, 07/30/18		82


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Banks — continued
	350	2.400%, 02/18/20		347
	73	3.750%, 06/16/24		75
	115	5.500%, 09/13/25		123
	16	Comerica, Inc., 3.800%, 07/22/26		15
		Commonwealth Bank of Australia, (Australia),
	250	2.250%, 03/16/17 (e)		253
	201	4.500%, 12/09/25 (e)		198
		Cooperatieve Rabobank UA, (Netherlands),
	34	3.375%, 01/19/17		35
	118	3.875%, 02/08/22		124
	250	4.375%, 08/04/25		251
	250	Discover Bank, 2.600%, 11/13/18		250
		Fifth Third Bancorp,
	146	2.875%, 07/27/20		147
	350	5.450%, 01/15/17		362
		HSBC Holdings plc, (United Kingdom),
	196	4.000%, 03/30/22		204
	200	4.250%, 08/18/25		194
	300	4.875%, 01/14/22		327
		Huntington National Bank (The),
	250	2.000%, 06/30/18		249
	250	2.875%, 08/20/20		251
		KeyCorp,
	56	2.900%, 09/15/20		56
	50	5.100%, 03/24/21		55
	200	Lloyds Bank plc, (United Kingdom), 1.750%, 03/16/18		199
	300	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		324
	200	Mizuho Bank Ltd., (Japan), 2.650%, 09/25/19 (e)		203
	36	MUFG Americas Holdings Corp., 2.250%, 02/10/20		36
	300	Nordea Bank AB, (Sweden), 3.125%, 03/20/17 (e)		306
		PNC Funding Corp.,
	133	4.375%, 08/11/20		144
	265	5.125%, 02/08/20		293
	115	5.625%, 02/01/17		119
		Royal Bank of Canada, (Canada),
	150	1.875%, 02/05/20		151
	239	2.000%, 10/01/18		242
	105	2.000%, 12/10/18		105
	125	2.200%, 07/27/18		126
	95	2.300%, 07/20/16		96


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Banks — continued
	77	Santander UK Group Holdings plc, (United Kingdom), 3.125%, 01/08/21		76
	250	Stadshypotek AB, (Sweden), 1.875%, 10/02/19 (e)		251
	200	Standard Chartered plc, (United Kingdom), 5.200%, 01/26/24 (e)		197
		Toronto-Dominion Bank (The), (Canada),
	200	1.500%, 03/13/17 (e)		201
	37	1.950%, 01/22/19		37
	104	2.250%, 11/05/19		105
	250	U.S. Bank N.A., 2.800%, 01/27/25		252
		Wells Fargo & Co.,
	130	2.600%, 07/22/20		131
	99	3.000%, 02/19/25		99
	51	4.300%, 07/22/27		53
	237	4.480%, 01/16/24		252
	415	5.625%, 12/11/17		444
	500	SUB, 3.676%, 06/15/16		504
	250	Wells Fargo Bank N.A., 6.000%, 11/15/17		268
	285	Westpac Banking Corp., (Australia), 4.875%, 11/19/19		311

				16,709

		Capital Markets — 1.9%
	120	Ameriprise Financial, Inc., 4.000%, 10/15/23		127
		Bank of New York Mellon Corp. (The),
	229	2.600%, 08/17/20		232
	150	3.250%, 09/11/24		153
	100	3.650%, 02/04/24		105
	75	4.600%, 01/15/20		82
		BlackRock, Inc.,
	160	4.250%, 05/24/21		175
	166	Series 2, 5.000%, 12/10/19		185
	150	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		171
	40	Charles Schwab Corp. (The), 3.225%, 09/01/22		41
	250	Credit Suisse AG, (Switzerland), 1.700%, 04/27/18		247
		Deutsche Bank AG, (Germany),
	319	1.875%, 02/13/18		311
	100	2.950%, 08/20/20		97
		Goldman Sachs Group, Inc. (The),
	48	2.600%, 04/23/20		48
	68	2.625%, 01/31/19		69
	117	2.750%, 09/15/20		117
	137	3.750%, 05/22/25		139


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Capital Markets — continued
	120	4.000%, 03/03/24		124
	68	5.375%, 03/15/20		74
	80	5.750%, 01/24/22		91
	1,100	5.950%, 01/18/18		1,172
	250	7.500%, 02/15/19		284
	200	ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e)		205
		Invesco Finance plc, (United Kingdom),
	125	3.750%, 01/15/26		129
	71	4.000%, 01/30/24		75
		Jefferies Group LLC,
	150	5.125%, 04/13/18		155
	125	6.875%, 04/15/21		140
		Macquarie Bank Ltd., (Australia),
	65	2.350%, 01/15/19 (e)		65
	100	2.850%, 07/29/20 (e)		100
	300	3.900%, 01/15/26 (e)		296
	100	4.000%, 07/29/25 (e)		98
	291	5.000%, 02/22/17 (e)		300
		Macquarie Group Ltd., (Australia),
	150	6.000%, 01/14/20 (e)		163
	40	6.250%, 01/14/21 (e)		45
		Morgan Stanley,
	40	2.650%, 01/27/20		40
	284	2.800%, 06/16/20		285
	83	3.700%, 10/23/24		84
	62	3.950%, 04/23/27		60
	330	4.000%, 07/23/25		341
	93	5.000%, 11/24/25		98
	166	5.500%, 07/24/20		184
	100	5.500%, 07/28/21		112
	450	5.625%, 09/23/19		494
	100	5.750%, 01/25/21		112
	100	6.625%, 04/01/18		109
	100	7.300%, 05/13/19		114
	84	Nomura Holdings, Inc., (Japan), 6.700%, 03/04/20		96
		State Street Corp.,
	36	3.100%, 05/15/23		36
	294	3.550%, 08/18/25		310
	192	3.700%, 11/20/23		204
	34	TD Ameritrade Holding Corp., 2.950%, 04/01/22		35

				8,529


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Consumer Finance — 1.2%
	250	American Express Co., 7.000%, 03/19/18		275
		American Express Credit Corp.,
	261	1.800%, 07/31/18		260
	139	1.875%, 11/05/18		139
	95	Series F, 2.600%, 09/14/20		96
		American Honda Finance Corp.,
	200	2.125%, 02/28/17 (e)		202
	83	2.250%, 08/15/19		84
		Capital One Financial Corp.,
	125	3.200%, 02/05/25		120
	110	3.500%, 06/15/23		110
		Caterpillar Financial Services Corp.,
	250	1.000%, 11/25/16		250
	206	2.250%, 12/01/19		208
	58	2.850%, 06/01/22		59
	100	5.500%, 03/15/16		100
	65	7.050%, 10/01/18		74
	100	7.150%, 02/15/19		115
		Ford Motor Credit Co. LLC,
	200	2.240%, 06/15/18		197
	550	2.375%, 03/12/19		541
	200	3.000%, 06/12/17		202
	250	3.157%, 08/04/20		249
	200	4.250%, 09/20/22		203
	130	General Motors Financial Co., Inc., 3.100%, 01/15/19		129
		HSBC USA, Inc.,
	200	1.700%, 03/05/18		199
	180	2.350%, 03/05/20		176
	296	2.750%, 08/07/20		294
		John Deere Capital Corp.,
	400	2.375%, 07/14/20		405
	50	2.450%, 09/11/20		51
	33	3.150%, 10/15/21		34
	73	Nissan Motor Acceptance Corp., 1.800%, 03/15/18 (e)		73
		PACCAR Financial Corp.,
	39	1.400%, 05/18/18		39
	66	1.600%, 03/15/17		66
		Toyota Motor Credit Corp.,
	100	1.375%, 01/10/18		100
	225	1.750%, 05/22/17		227
	105	2.100%, 01/17/19		106
	200	2.125%, 07/18/19		203

				5,586


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Diversified Financial Services — 1.1%
	425	Bank of America N.A., 5.300%, 03/15/17		439
		Berkshire Hathaway, Inc.,
	638	3.400%, 01/31/22		677
	98	3.750%, 08/15/21		106
	397	CME Group, Inc., 3.000%, 03/15/25		399
	25	Countrywide Financial Corp., 6.250%, 05/15/16		25
		GE Capital International Funding Co., (Ireland),
	596	0.964%, 04/15/16 (e)		596
	649	2.342%, 11/15/20 (e)		656
		Intercontinental Exchange, Inc.,
	47	2.500%, 10/15/18		48
	88	4.000%, 10/15/23		92
		Private Export Funding Corp.,
	500	Series EE, 2.800%, 05/15/22		527
	200	Series KK, 3.550%, 01/15/24		219
		Shell International Finance B.V., (Netherlands),
	42	1.125%, 08/21/17		42
	367	2.125%, 05/11/20		357
	100	3.250%, 05/11/25		97
	195	4.375%, 03/25/20		207
		Siemens Financieringsmaatschappij N.V., (Netherlands),
	250	2.900%, 05/27/22 (e)		258
	100	5.750%, 10/17/16 (e)		103

				4,848

		Insurance — 0.7%
		ACE INA Holdings, Inc.,
	200	2.700%, 03/13/23		198
	130	2.875%, 11/03/22		132
	61	Allstate Corp. (The), 3.150%, 06/15/23		62
		American International Group, Inc.,
	161	3.750%, 07/10/25		158
	259	4.125%, 02/15/24		263
	143	Aon plc, (United Kingdom), 3.875%, 12/15/25		145
		Berkshire Hathaway Finance Corp.,
	65	1.300%, 05/15/18		65
	150	5.400%, 05/15/18		164
	90	CNA Financial Corp., 3.950%, 05/15/24		88
	80	Jackson National Life Global Funding, 4.700%, 06/01/18 (e)		85
	41	Liberty Mutual Group, Inc., 5.000%, 06/01/21 (e)		44
	35	Lincoln National Corp., 4.200%, 03/15/22		36


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Insurance — continued
		MassMutual Global Funding II,
	300	2.000%, 04/05/17 (e)		303
	100	3.125%, 04/14/16 (e)		100
		Metropolitan Life Global Funding I,
	207	1.500%, 01/10/18 (e)		206
	175	3.650%, 06/14/18 (e)		182
	100	3.875%, 04/11/22 (e)		105
	323	New York Life Global Funding, 2.150%, 06/18/19 (e)		326
	150	Pacific Life Global Funding, 5.000%, 05/15/17 (e)		155
	16	Principal Financial Group, Inc., 1.850%, 11/15/17		16
	106	Principal Life Global Funding II, 2.250%, 10/15/18 (e)		107
	150	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		193
	90	Reliance Standard Life Global Funding II, 3.050%, 01/20/21 (e)		91

				3,224

		Real Estate Investment Trusts (REITs) — 0.4%
		American Tower Corp.,
	80	3.500%, 01/31/23		79
	38	5.000%, 02/15/24		40
		American Tower Trust I,
	45	1.551%, 03/15/18 (e)		45
	200	3.070%, 03/15/23 (e)		202
		Equity Commonwealth,
	125	5.875%, 09/15/20		136
	150	6.650%, 01/15/18		158
	255	ERP Operating LP, 4.625%, 12/15/21		282
		HCP, Inc.,
	52	2.625%, 02/01/20		51
	38	3.400%, 02/01/25		34
	115	3.875%, 08/15/24		108
	17	4.200%, 03/01/24		16
	38	4.250%, 11/15/23		37
		Prologis LP,
	38	3.750%, 11/01/25		39
	53	4.250%, 08/15/23		56
	50	Realty Income Corp., 3.875%, 07/15/24		50
		Simon Property Group LP,
	100	2.500%, 09/01/20		101
	62	3.375%, 10/01/24		63
	38	3.750%, 02/01/24		40


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Real Estate Investment Trusts (REITs) — continued
	81	4.125%, 12/01/21		87
	90	4.375%, 03/01/21		98
		Ventas Realty LP,
	27	3.500%, 02/01/25		26
	44	3.750%, 05/01/24		44
	62	4.125%, 01/15/26		63
	73	Welltower, Inc., 4.500%, 01/15/24		74

				1,929

		Total Financials		40,825

		Health Care — 0.9%
		Biotechnology — 0.3%
		Amgen, Inc.,
	44	2.125%, 05/01/20		44
	400	3.875%, 11/15/21		428
	40	5.700%, 02/01/19		44
	75	Baxalta, Inc., 3.600%, 06/23/22 (e)		74
	184	Biogen, Inc., 3.625%, 09/15/22		190
		Celgene Corp.,
	98	3.250%, 08/15/22		98
	161	3.625%, 05/15/24		162
		Gilead Sciences, Inc.,
	59	3.250%, 09/01/22		61
	57	3.650%, 03/01/26		60

				1,161

		Health Care Equipment & Supplies — 0.0% (g)
	40	Becton, Dickinson & Co., 5.000%, 05/15/19		43

		Health Care Providers & Services — 0.2%
		Anthem, Inc.,
	93	2.300%, 07/15/18		93
	115	3.125%, 05/15/22		113
		Cardinal Health, Inc.,
	45	2.400%, 11/15/19		45
	49	3.750%, 09/15/25		51
	72	Express Scripts Holding Co., 3.500%, 06/15/24		69
	214	Laboratory Corp. of America Holdings, 3.200%, 02/01/22		213
		UnitedHealth Group, Inc.,
	91	1.900%, 07/16/18		92
	70	3.350%, 07/15/22		73
	112	3.375%, 11/15/21		119

				868


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Life Sciences Tools & Services — 0.0% (g)
		Thermo Fisher Scientific, Inc.,
	22	1.300%, 02/01/17		22
	69	4.150%, 02/01/24		72

				94

		Pharmaceuticals — 0.4%
		AbbVie, Inc.,
	119	1.750%, 11/06/17		119
	127	2.500%, 05/14/20		127
	87	2.900%, 11/06/22		87
	35	3.200%, 11/06/22		35
	100	Allergan, Inc., 2.800%, 03/15/23		98
		Forest Laboratories LLC,
	250	4.375%, 02/01/19 (e)		263
	69	5.000%, 12/15/21 (e)		76
	150	GlaxoSmithKline Capital plc, (United Kingdom), 2.850%, 05/08/22		155
	500	Johnson & Johnson, 2.050%, 03/01/23		500
		Merck & Co., Inc.,
	75	1.300%, 05/18/18		75
	64	2.350%, 02/10/22		64
	62	2.400%, 09/15/22		62
	30	3.700%, 02/10/45		29

				1,690

		Total Health Care		3,856

		Industrials — 1.2%
		Aerospace & Defense — 0.1%
	43	Airbus Group Finance B.V., (Netherlands), 2.700%, 04/17/23 (e)		44
		BAE Systems Holdings, Inc.,
	68	3.800%, 10/07/24 (e)		69
	70	6.375%, 06/01/19 (e)		79
	100	Honeywell International, Inc., 5.300%, 03/01/18		108
		Lockheed Martin Corp.,
	47	2.125%, 09/15/16		47
	74	3.100%, 01/15/23		76
	140	Precision Castparts Corp., 3.250%, 06/15/25		143

				566

		Air Freight & Logistics — 0.1%
	473	Federal Express Corp. 1998 Pass-Through Trust, 6.720%, 01/15/22		531
	115	United Parcel Service of America, Inc., 8.375%, 04/01/20		143

				674


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Airlines — 0.1%
	168	American Airlines 2013-2 Class A Pass-Through Trust, 4.950%, 01/15/23		177
	25	Continental Airlines 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20		27
	47	Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		49

				253

		Commercial Services & Supplies — 0.0% (g)
	70	ADT Corp. (The), 3.500%, 07/15/22		59
	50	Pitney Bowes, Inc., 5.600%, 03/15/18		53

				112

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

				146

		Electrical Equipment — 0.0% (g)
		Eaton Corp.,
	27	1.500%, 11/02/17		27
	50	5.600%, 05/15/18		54

				81

		Industrial Conglomerates — 0.4%
	84	Danaher Corp., 2.400%, 09/15/20		86
		General Electric Co.,
	200	3.100%, 01/09/23		210
	175	3.375%, 03/11/24		187
	230	4.650%, 10/17/21		261
	500	5.400%, 02/15/17		521
	140	5.500%, 01/08/20		159
	34	Ingersoll-Rand Global Holding Co., Ltd., 4.250%, 06/15/23		36
	152	Koninklijke Philips N.V., (Netherlands), 3.750%, 03/15/22		157
	98	Pentair Finance S.A., (Luxembourg), 2.900%, 09/15/18		98
	62	Roper Technologies, Inc., 3.000%, 12/15/20		63
	32	Tyco International Finance S.A., (Luxembourg), 3.900%, 02/14/26		32

				1,810

		Machinery — 0.1%
		Caterpillar, Inc.,
	74	1.500%, 06/26/17		75
	31	2.600%, 06/26/22		31


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Machinery — continued
	89	Deere & Co., 2.600%, 06/08/22		89
	25	Parker-Hannifin Corp., 5.500%, 05/15/18		27

				222

		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		105
	100	5.650%, 05/01/17		105
	55	Canadian Pacific Railway Co., (Canada), 4.500%, 01/15/22		59
		CSX Corp.,
	100	3.400%, 08/01/24		101
	30	7.375%, 02/01/19		35
	50	7.900%, 05/01/17		54
		ERAC USA Finance LLC,
	27	4.500%, 08/16/21 (e)		29
	48	5.250%, 10/01/20 (e)		53
		Norfolk Southern Corp.,
	138	3.250%, 12/01/21		139
	50	7.700%, 05/15/17		53
		Penske Truck Leasing Co. LP/PTL Finance Corp.,
	53	2.875%, 07/17/18 (e)		53
	141	3.375%, 02/01/22 (e)		137
		Ryder System, Inc.,
	48	2.500%, 03/01/17		48
	28	2.500%, 05/11/20		28
	86	2.875%, 09/01/20		85
	55	3.600%, 03/01/16		55
		Union Pacific Corp.,
	21	2.950%, 01/15/23		21
	75	3.646%, 02/15/24		80
	233	4.163%, 07/15/22		256

				1,594

		Trading Companies & Distributors — 0.0% (g)
	55	WW Grainger, Inc., 4.600%, 06/15/45		60

		Total Industrials		5,518

		Information Technology — 0.9%
		Communications Equipment — 0.1%
		Cisco Systems, Inc.,
	55	2.900%, 03/04/21		57
	194	3.000%, 06/15/22		202
	44	3.500%, 06/15/25		47

				306


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Electronic Equipment, Instruments & Components — 0.0% (g)
		Arrow Electronics, Inc.,
	32	3.000%, 03/01/18		32
	16	4.500%, 03/01/23		16
	100	6.875%, 06/01/18		109
	63	7.500%, 01/15/27		76

				233

		Internet Software & Services — 0.1%
	410	eBay, Inc., 2.600%, 07/15/22		383

		IT Services — 0.2%
		International Business Machines Corp.,
	126	1.250%, 02/08/18		126
	309	1.625%, 05/15/20		307
	350	7.625%, 10/15/18		403
	236	Xerox Corp., 5.625%, 12/15/19		241

				1,077

		Semiconductors & Semiconductor Equipment — 0.0% (g)
	130	Intel Corp., 3.700%, 07/29/25		141
	30	National Semiconductor Corp., 6.600%, 06/15/17		32
	73	Texas Instruments, Inc., 1.650%, 08/03/19		73

				246

		Software — 0.2%
	25	Intuit, Inc., 5.750%, 03/15/17		26
		Microsoft Corp.,
	23	0.875%, 11/15/17		23
	34	2.125%, 11/15/22		34
	50	2.375%, 02/12/22		51
	118	2.375%, 05/01/23		118
	167	3.625%, 12/15/23		182
		Oracle Corp.,
	200	3.625%, 07/15/23		212
	100	5.750%, 04/15/18		109

				755

		Technology Hardware, Storage & Peripherals — 0.3%
		Apple, Inc.,
	273	2.150%, 02/09/22		271
	182	2.250%, 02/23/21		185
	199	2.400%, 05/03/23		197
	250	2.700%, 05/13/22		254
	207	VAR, 0.869%, 05/03/18		206


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Technology Hardware, Storage & Peripherals — continued
		HP, Inc.,
	118	4.375%, 09/15/21		119
	45	4.650%, 12/09/21		46

				1,278

		Total Information Technology		4,278

		Materials — 0.4%
		Chemicals — 0.2%
		Agrium, Inc., (Canada),
	45	3.375%, 03/15/25		41
	100	4.125%, 03/15/35		79
	125	CF Industries, Inc., 7.125%, 05/01/20		141
		Dow Chemical Co. (The),
	100	3.500%, 10/01/24		100
	119	4.125%, 11/15/21		126
	20	8.550%, 05/15/19		24
	88	Ecolab, Inc., 3.250%, 01/14/23		89
		Mosaic Co. (The),
	34	3.750%, 11/15/21		34
	212	4.250%, 11/15/23		207
	25	Potash Corp. of Saskatchewan, Inc., (Canada), 3.250%, 12/01/17		25
	41	Praxair, Inc., 2.650%, 02/05/25		41
	150	Union Carbide Corp., 7.500%, 06/01/25		184

				1,091

		Construction Materials — 0.1%
	200	CRH America, Inc., 3.875%, 05/18/25 (e)		203

		Metals & Mining — 0.1%
		BHP Billiton Finance USA Ltd., (Australia),
	95	3.850%, 09/30/23		95
	100	5.400%, 03/29/17		103
	100	6.500%, 04/01/19		110
		Freeport-McMoRan, Inc.,
	128	2.150%, 03/01/17		122
	107	3.875%, 03/15/23		70
	27	Nucor Corp., 4.000%, 08/01/23		27
	27	Rio Tinto Finance USA Ltd., (Australia), 3.500%, 11/02/20		27
	58	Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17		57

				611

		Total Materials		1,905


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Telecommunication Services — 1.0%
		Diversified Telecommunication Services — 0.9%
		AT&T, Inc.,
	575	3.000%, 06/30/22		570
	28	3.400%, 05/15/25		28
	50	3.875%, 08/15/21		52
	50	4.450%, 05/15/21		53
	180	5.500%, 02/01/18		192
	350	Bellsouth Capital Funding Corp., 7.875%, 02/15/30		415
	100	British Telecommunications plc, (United Kingdom), 5.950%, 01/15/18		108
		GTP Acquisition Partners I LLC,
	174	2.350%, 06/15/20 (e)		173
	202	3.482%, 06/16/25 (e)		204
	27	Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17		27
	61	Orange S.A., (France), 2.750%, 09/14/16		61
	148	Qwest Corp., 6.750%, 12/01/21		158
	31	Telefonica Emisiones S.A.U., (Spain), 5.134%, 04/27/20		33
		Verizon Communications, Inc.,
	115	2.625%, 02/21/20		117
	179	3.000%, 11/01/21		182
	295	3.500%, 11/01/24		301
	156	4.150%, 03/15/24		166
	353	4.500%, 09/15/20		384
	222	5.150%, 09/15/23		251
	200	6.400%, 09/15/33		233
	176	Verizon New England, Inc., 7.875%, 11/15/29		219

				3,927

		Wireless Telecommunication Services — 0.1%
	160	Rogers Communications, Inc., (Canada), 4.100%, 10/01/23		170
		Vodafone Group plc, (United Kingdom),
	100	1.500%, 02/19/18		99
	100	1.625%, 03/20/17		100

				369

		Total Telecommunication Services		4,296

		Utilities — 1.2%
		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


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Electric Utilities — continued
	50	Cleveland Electric Illuminating Co. (The), Series D, 7.880%, 11/01/17		55
	30	Connecticut Light & Power Co. (The), 5.650%, 05/01/18		33
	20	DTE Electric Co., 2.650%, 06/15/22		20
	285	Duke Energy Corp., 3.550%, 09/15/21		296
	60	Duke Energy Indiana LLC, 3.750%, 07/15/20		64
		Duke Energy Progress LLC,
	40	2.800%, 05/15/22		41
	106	3.250%, 08/15/25		110
	150	5.300%, 01/15/19		165
	60	Electricite de France S.A., (France), 2.150%, 01/22/19 (e)		60
	100	Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)		109
	400	Florida Power & Light Co., 3.125%, 12/01/25		415
		Indiana Michigan Power Co.,
	135	7.000%, 03/15/19		152
	100	Series J, 3.200%, 03/15/23		101
	25	Jersey Central Power & Light Co., 7.350%, 02/01/19		28
	47	Kansas City Power & Light Co., 3.150%, 03/15/23		47
	60	Nevada Power Co., 7.125%, 03/15/19		68
	27	NextEra Energy Capital Holdings, Inc., 2.400%, 09/15/19		27
		Niagara Mohawk Power Corp.,
	28	3.508%, 10/01/24 (e)		29
	40	4.881%, 08/15/19 (e)		44
	25	Ohio Power Co., 6.050%, 05/01/18		27
	50	Oncor Electric Delivery Co. LLC, 6.800%, 09/01/18		55
		Pacific Gas & Electric Co.,
	68	2.450%, 08/15/22		67
	50	3.250%, 06/15/23		52
	125	5.625%, 11/30/17		133
		PacifiCorp,
	140	3.600%, 04/01/24		149
	100	3.850%, 06/15/21		108
	60	5.650%, 07/15/18		65
	75	PECO Energy Co., 5.350%, 03/01/18		81
	51	Public Service Co. of Colorado, 3.200%, 11/15/20		54
	74	Public Service Co. of Oklahoma, 4.400%, 02/01/21		79
	375	Public Service Electric & Gas Co., 3.000%, 05/15/25		384


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Electric Utilities — continued
		Southern California Edison Co.,
	50	1.845%, 02/01/22		49
	212	Series C, 3.500%, 10/01/23		225
	45	Southern Co. (The), 1.950%, 09/01/16		45
	30	Southwestern Public Service Co., Series G, 8.750%, 12/01/18		35
		Virginia Electric & Power Co.,
	21	3.450%, 02/15/24		22
	100	5.400%, 04/30/18		108
	27	Xcel Energy, Inc., 0.750%, 05/09/16		27

				3,727

		Gas Utilities — 0.0% (g)
	30	Atmos Energy Corp., 8.500%, 03/15/19		35
	50	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		53

				88

		Independent Power & Renewable Electricity Producers — 0.1%
		Exelon Generation Co. LLC,
	45	2.950%, 01/15/20		45
	72	4.000%, 10/01/20		74
	37	PSEG Power LLC, 4.300%, 11/15/23		37
	317	Southern Power Co., 4.150%, 12/01/25		319

				475

		Multi-Utilities — 0.2%
		AGL Capital Corp.,
	94	3.500%, 09/15/21		96
	100	6.375%, 07/15/16		102
	50	Consumers Energy Co., 5.650%, 04/15/20		57
	79	DTE Energy Co., 3.300%, 06/15/22 (e)		81
	200	NiSource Finance Corp., 3.850%, 02/15/23		208
		Sempra Energy,
	48	4.050%, 12/01/23		50
	150	9.800%, 02/15/19		180
	87	WEC Energy Group, Inc., 3.550%, 06/15/25		90

				864

		Water Utilities — 0.1%
	122	American Water Capital Corp., 3.400%, 03/01/25		128

		Total Utilities		5,282

		Total Corporate Bonds (Cost $81,278)		82,565


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Foreign Government Securities — 1.0%
		Israel Government AID Bond, (Israel),
	325	Zero Coupon, 08/15/23		276
	1,000	Zero Coupon, 02/15/24		842
	1,000	Series 7-Z, Zero Coupon, 08/15/25		797
	1,000	Series 8-Z, Zero Coupon, 08/15/24		826
	1,000	Series 8-Z, Zero Coupon, 02/15/25		811
	92	Republic of Poland, (Poland), 4.000%, 01/22/24		99
	200	Republic of Turkey, (Turkey), 5.750%, 03/22/24		212
		United Mexican States, (Mexico),
	244	3.500%, 01/21/21		251
	250	3.600%, 01/30/25		249
	116	4.000%, 10/02/23		119

		Total Foreign Government Securities (Cost $4,283)		4,482

	Mortgage Pass-Through Securities — 8.7%
		Federal Home Loan Mortgage Corp.,
	59	ARM, 2.200%, 01/01/37		61
	190	ARM, 2.255%, 08/01/36		200
	12	ARM, 2.375%, 07/01/26		12
	194	ARM, 2.462%, 01/01/27 - 03/01/37		205
	104	ARM, 2.519%, 09/01/36		110
	55	ARM, 2.536%, 11/01/36		58
	118	ARM, 2.592%, 09/01/36		125
	203	ARM, 2.606%, 06/01/36		214
	212	ARM, 2.662%, 12/01/34		225
	140	ARM, 2.793%, 04/01/38		149
	91	ARM, 2.890%, 02/01/37		97
		Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	47	4.000%, 06/01/19		49
	10	4.500%, 10/01/18		10
	2	5.500%, 06/01/17		1
	5	6.000%, 10/01/17 - 04/01/18		5
	65	6.500%, 01/01/17 - 03/01/22		68
		Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	6	6.000%, 12/01/22		6
	20	6.500%, 08/01/26		24
		Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	51	6.000%, 01/01/34		58
	48	7.000%, 04/01/26 - 02/01/37		57
	5	7.500%, 08/01/25		6
	5	8.000%, 07/01/20 - 11/01/24		5
	14	8.500%, 07/01/28		17


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	167		Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30		184
			Federal Home Loan Mortgage Corp. Gold Pools, Other,
	2,317		3.500%, 05/01/33 - 05/01/43		2,438
	398		4.000%, 06/01/42		428
	73		6.000%, 02/01/33		81
			Federal National Mortgage Association,
	977		ARM, 1.220%, 12/01/25		975
	49		ARM, 2.011%, 02/01/37		51
	117		ARM, 2.020%, 01/01/35		122
	140		ARM, 2.041%, 09/01/35		145
	1		ARM, 2.091%, 03/01/19		1
	173		ARM, 2.094%, 02/01/35		180
	77		ARM, 2.135%, 08/01/35		81
	180		ARM, 2.320%, 01/01/35		191
	178		ARM, 2.324%, 09/01/34		188
	95		ARM, 2.325%, 09/01/36		101
	79		ARM, 2.384%, 11/01/33		84
	128		ARM, 2.403%, 09/01/35		136
	126		ARM, 2.422%, 08/01/34		132
	76		ARM, 2.491%, 02/01/35		81
	66		ARM, 2.494%, 08/01/36		70
	91		ARM, 2.514%, 04/01/35		95
	8		ARM, 2.549%, 09/01/27		9
	110		ARM, 2.565%, 07/01/46		117
	103		ARM, 2.580%, 04/01/33		109
	—	(h)	ARM, 2.625%, 08/01/19		—	(h)
	187		ARM, 2.632%, 02/01/37		198
	116		ARM, 2.634%, 10/01/34		122
	139		ARM, 2.685%, 09/01/33		148
	196		ARM, 3.043%, 02/01/36		208
	5		ARM, 3.748%, 03/01/29		5
			Federal National Mortgage Association, 15 Year, Single Family,
	22		4.000%, 05/01/19		24
	114		4.500%, 05/01/18 - 05/01/19		118
	148		5.000%, 06/01/18 - 04/01/19		155
	85		5.500%, 01/01/20 - 06/01/20		88
	173		6.000%, 03/01/21 - 01/01/24		189
	19		6.500%, 03/01/17 - 08/01/20		19
	64		Federal National Mortgage Association, 20 Year, Single Family, 6.500%, 05/01/22		73
			Federal National Mortgage Association, 30 Year, FHA/VA,
	12		6.000%, 09/01/33		14


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — continued
	19		6.500%, 03/01/29		22
	4		8.500%, 02/01/30		4
	4		9.000%, 09/01/19 - 12/01/30		4
	2		9.500%, 12/01/18		2
			Federal National Mortgage Association, 30 Year, Single Family,
	1,565		3.500%, 06/01/43		1,643
	47		4.500%, 08/01/33		51
	767		5.000%, 07/01/33 - 08/01/40		860
	80		5.500%, 12/01/33		92
	358		6.000%, 12/01/32 - 09/01/37		413
	33		6.500%, 08/01/31		39
	5		7.000%, 09/01/27 - 08/01/32		5
	8		7.500%, 11/01/22 - 10/01/24		9
	304		8.000%, 03/01/21 - 11/01/32		383
	5		8.500%, 07/01/24 - 05/01/25		6
	—	(h)	9.000%, 04/01/26		—	(h)
	2		10.000%, 02/01/24		2
			Federal National Mortgage Association, Other,
	472		1.940%, 01/01/17		472
	979		2.220%, 12/01/22		994
	490		2.240%, 12/01/22		498
	649		2.395%, 01/01/22		670
	967		2.480%, 06/01/19		1,000
	1,000		2.760%, 05/01/21		1,055
	1,924		2.764%, 06/01/23		1,995
	1,000		2.790%, 05/01/27		1,010
	1,000		3.030%, 04/01/27		1,031
	1,500		3.100%, 09/01/25		1,570
	1,000		3.110%, 12/01/24		1,049
	1,000		3.240%, 12/01/26		1,050
	1,000		3.290%, 08/01/26		1,054
	500		3.340%, 02/01/27		529
	1,000		3.380%, 12/01/23		1,077
	1,000		3.540%, 10/01/20		1,076
	2,283		3.590%, 12/01/20		2,460
	1,491		3.760%, 10/01/23 - 11/01/23		1,640
	769		4.000%, 07/01/42		827
	1,017		4.160%, 03/01/21		1,122
	337		4.263%, 06/01/21		372
	769		4.300%, 04/01/21		855
	969		4.380%, 01/01/21 - 04/01/21		1,080
	485		4.390%, 05/01/21		541
	60		5.500%, 04/01/38		66
	88		6.000%, 03/01/37		100


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Government National Mortgage Association II, 30 Year, Single Family,
	205	6.000%, 03/20/28 - 09/20/38		234
	9	7.500%, 02/20/28 - 09/20/28		10
	25	8.000%, 12/20/25 - 08/20/28		29
	15	8.500%, 03/20/25 - 05/20/25		18
	2	Government National Mortgage Association, 15 Year, Single Family, 6.000%, 10/15/17		2
		Government National Mortgage Association, 30 Year, Single Family,
	227	6.000%, 11/15/28 - 12/15/38		257
	227	6.500%, 01/15/24 - 12/15/35		264
	212	7.000%, 08/15/23 - 06/15/35		246
	19	7.500%, 11/15/22 - 09/15/28		22
	3	8.000%, 07/15/22 - 08/15/28		3
	1	8.500%, 11/15/17		1
	4	9.000%, 08/15/16 - 11/15/24		5
	62	9.500%, 09/15/18 - 12/15/25		68
	580	Government National Mortgage Association, Other, 3.500%, 11/20/33		617

		Total Mortgage Pass-Through Securities (Cost $37,922)		39,626

	Supranational — 0.0% (g)
	150	African Development Bank, 8.800%, 09/01/19 (Cost $178)		184

	U.S. Government Agency Securities — 1.7%
		Federal National Mortgage Association,
	1,000	3.932%, 06/01/17 (n)		990
	800	5.000%, 05/11/17		840
		Financing Corp. STRIPS,
	1,440	1.563%, 05/11/18 (n)		1,409
	584	3.446%, 09/26/19 (n)		560
	500	3.574%, 04/05/19 (n)		482
		Residual Funding Corp. STRIPS,
	250	1.550%, 10/15/19 (n)		237
	1,950	1.874%, 07/15/20 (n)		1,824
	1,000	Tennessee Valley Authority, 5.500%, 07/18/17		1,063
	333	Tennessee Valley Authority STRIPS, 4.294%, 05/01/19 (n)		319

		Total U.S. Government Agency Securities (Cost $7,530)		7,724

	U.S. Treasury Obligations — 31.7%
		U.S. Treasury Bonds,
	1,225	7.500%, 11/15/16		1,284
	250	8.750%, 08/15/20		332


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — continued
		U.S. Treasury Coupon STRIPS,
	2,650	1.643%, 11/15/19 (n)		2,538
	2,200	1.911%, 02/15/18 (n)		2,165
	5,515	1.996%, 05/15/21 (n)		5,118
	3,825	2.048%, 08/15/23 (n)		3,373
	200	2.082%, 05/15/24 (n)		173
	2,150	2.166%, 11/15/23 (n)		1,882
	2,985	2.179%, 02/15/20 (n)		2,846
	200	2.197%, 05/15/26 (n)		163
	12,925	2.279%, 05/15/22 (n)		11,723
	3,000	2.302%, 02/15/24 (n)		2,615
	10	2.312%, 05/15/28 (n)		8
	3,275	2.360%, 02/15/21 (n)		3,059
	750	2.477%, 05/15/23 (n)		665
	300	2.502%, 02/15/27 (n)		240
	8,275	2.552%, 08/15/21 (n)		7,644
	2,400	2.585%, 02/15/22 (n)		2,190
	1,300	2.607%, 11/15/22 (n)		1,166
	1,495	2.669%, 05/15/19 (n)		1,446
	200	2.688%, 05/15/25 (n)		168
	5,495	2.730%, 02/15/23 (n)		4,901
	3,577	2.757%, 08/15/16 (n)		3,569
	53	2.825%, 02/15/28 (n)		41
	4,350	2.847%, 08/15/19 (n)		4,190
	1,000	2.867%, 08/15/22 (n)		902
	200	2.968%, 08/15/28 (n)		152
	1,224	3.074%, 02/15/17 (n)		1,216
	47	3.205%, 08/15/26 (n)		38
	10,348	3.224%, 05/15/20 (n)		9,797
	14,550	3.257%, 08/15/20 (n)		13,738
	300	3.326%, 11/15/26 (n)		241
	100	3.523%, 08/15/27 (n)		79
	140	3.554%, 11/15/27 (n)		109
	1,525	3.615%, 11/15/21 (n)		1,402
	400	5.477%, 11/15/16 (n)		398
		U.S. Treasury Inflation Indexed Notes,
	617	0.125%, 01/15/22		646
	425	1.375%, 01/15/20		492


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		U.S. Treasury Notes,
	593	0.875%, 01/31/18		594
	1,500	1.250%, 10/31/18		1,515
	2,500	1.500%, 08/31/18		2,541
	320	1.500%, 05/31/19		325
	7,000	1.750%, 05/15/23		7,103
	2,000	1.875%, 11/30/21		2,053
	4,000	2.000%, 10/31/21		4,133
	5,000	2.000%, 02/15/25		5,116
	700	2.375%, 08/15/24		739
	350	2.625%, 08/15/20		371
	800	2.625%, 11/15/20		850
	1,500	2.750%, 11/30/16		1,523
	8,500	2.750%, 02/15/19		8,953
	1,000	3.125%, 04/30/17		1,028
	850	3.125%, 05/15/21		927
	7,900	3.250%, 12/31/16		8,068
	1,050	3.500%, 02/15/18		1,105
	3,050	3.500%, 05/15/20		3,338
	400	4.250%, 11/15/17		423

		Total U.S. Treasury Obligations (Cost $138,032)		143,414


SHARES
	Short-Term Investment — 5.8%
		Investment Company — 5.8%
	26,357	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.350% (b) (l) (Cost $26,357)		26,357

		Total Investments — 100.4% (Cost $443,513)		455,025
		Liabilities in Excess of Other Assets — (0.4)%		(2,012	)

		NET ASSETS — 100.0%	$	453,013

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 29, 2016.
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
GO		— General Obligation
HB		— High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IOs, the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.
IF		— Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of February 29, 2016. 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 29, 2016.
TBA		— To Be Announced
USD		— United States Dollar
VA		— Veterans Administration
VAR		— Variable Rate Security. The interest rate shown is the rate in effect as of February 29, 2016.

(a)		— Non-income producing security.
(b)		— Investment in affiliate. Money market fund is 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).
(k)		— All or a portion of this security is deposited with the broker as initial margin for futures contracts.
(l)		— The rate shown is the current yield as of February 29, 2016.
(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.
(w)		— All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
¹		— Security matures in 2115.
²		— Security matures in 2110.
³		— Security matures in 2105.
⁴		— Security matures in 2114.
⁵		— Security matures in 2111.

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

The investment objective of Core Bond Trust is to seek to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.

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

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

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The 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 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 affiliated and unaffiliated 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 excluding exchange traded funds (“ETFs”) (the “Underlying Funds”) are valued at each Underlying Fund’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 29, 2016.

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):

Transfers into, and out of, level 3 are valued utilizing values as of the beginning of the year.

For each of the Funds, there were no transfers between levels 1 and 2 during the year ended February 29, 2016.

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

Transfers from level 3 to level 2 are due to an increase in market activity (e.g. frequency of trades) which resulted in available market inputs to determine price for the year ended February 29, 2016.

The change in net unrealized appreciation (depreciation) attributable to securities owned at February 29, 2016, 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 default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or 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 Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). 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 29, 2016, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.

C. When Issued, Delayed Delivery Securities and Forward Commitments — Core Bond Trust and Intermediate Bond Trust purchased when issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when issued, delayed delivery, or forward commitment basis involves the risk that the value of the security to be purchased declines before settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when issued, delayed delivery, or forward commitment basis is not accrued until settlement date.

Core Bond Trust had a TBA purchase commitment outstanding as of February 29, 2016, which is shown as Payable for investment securities purchased-delayed delivery securities, on the Statements of Assets and Liabilities. The value of this security held at February 29, 2016 is detailed on the SOIs.

Intermediate Bond Trust did not have forward commitments nor delayed delivery securities outstanding as of February 29, 2016.

D. Loan Assignments — Core Bond Trust and Intermediate Bond Trust may invest in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental, or other borrowers (a “Borrower”). A loan is often administered by a bank or other financial institution (the “Agent”) that acts as Agent for all holders. The Agent administers the terms of the loan, as specified in the loan agreement. The Funds invest in loan assignments of all or a portion of the loans. When a 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 the Agent. As a result, a fund assumes the credit risk of the Borrower as well as any other persons interpositioned between the fund and the Borrower (“Intermediate Participants”). A fund may incur certain costs and delays in realizing payment on a loan assignment or suffer a loss of principal and/or interest if assets or interests held by the Agent or other Intermediate Participants are determined to be subject to the claims of the Agent’s or other Intermediate Participant’s creditors. In addition, it is unclear whether loan assignments and other forms of direct indebtedness offer securities law protections against fraud and misrepresentation. Also, because J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), may wish to invest in publicly traded securities of a Borrower, it may not have access to material non-public information regarding the Borrower to which other investors have access. Although certain loan assignments are secured by collateral, a fund could experience delays or limitations in realizing the value on such collateral or have its interest subordinated to other indebtedness of the Borrower. 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 and they may be difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, a fund may not receive the proceeds from a sale of such investments for a period after the sale.

E. 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.D.). 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. 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 29, 2016, 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):

F. Futures Contracts — Equity Index Trust used index futures contracts to gain or reduce exposure to its index, maintain liquidity or minimize transaction costs. The Fund also bought futures contracts to invest incoming cash in the market or sold 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 29, 2016 (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).

G. 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 issuers listed in the table below to be affiliated issuers (amounts in thousands)

H. 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.

I. 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.

J. 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 29, 2016, 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 Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

K. 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 investments in real estate investments trusts and treasury inflation protected securities (“TIPS”) deflationary adjustments.

A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, the Adviser 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.

Effective April 1, 2016, the Administrator merged with and into JPMIM, and JPMIM became the Funds’ administrator under the Administration Agreement.

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 on 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 and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

The expense limitation agreements were in effect for the year ended February 29, 2016, and are in place until at least until June 30, 2017.

For the year ended February 29, 2016, 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 (affiliated money market funds). The Adviser and Administrator waive fees in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable 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 29, 2016 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 29, 2016, 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 29, 2016, 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 29, 2016, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at February 29, 2016 were as follows (amounts in thousands):

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

The tax character of distributions paid during the year ended February 29, 2016 was as follows (amounts in thousands):

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

As of February 29, 2016, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

The cumulative timing differences primarily consist of non-taxable dividends, trustee deferred compensation and wash sale loss deferrals.

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after February 28, 2011 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 29, 2016, the Funds did not have any post-enactment net capital loss carryforwards.

During the year ended February 29, 2016, the following Fund utilized pre-enactment capital loss carryforwards as follows (amounts in thousands):

Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year.

For the year ended February 29, 2016, the following Funds deferred to March 1, 2016 post-October capital losses of (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.

As of February 29, 2016, the Adviser and/or affiliate held shares on behalf of certain of its clients representing 100% of each Fund’s net assets.

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).

ETFs 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 investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments 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.

On May 28, 2014, certain shareholders purchased shares of Core Bond Trust. The portfolio securities were received 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 29, 2016, 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 29, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.

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, 2015, and continued to hold your shares at the end of the reporting period, February 29, 2016.

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 29, 2016. 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, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 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 29, 2016:


	Dividends Received Deduction
Equity Index Trust		100.00%

Long Term Capital Gain

Each Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended February 29, 2016 (amounts in thousands):


	Long-Term Capital Gain Distribution
Core Bond Trust	$	9,931
Equity Index Trust		31,146
Intermediate Bond Trust		624

Qualified Dividend Income (QDI)

Each 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 29, 2016 (amounts in thousands):


	Qualified Dividend Income
Equity Index Trust	$	6,719

Treasury Income

Each Fund listed below had the following percentage, or the maximum allowable percentage, of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 29, 2016:


	Income from U.S. Treasury Obligations
Core Bond Trust		21.05	%
Intermediate Bond Trust		26.09

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 29, 2016 and February 28, 2015, respectively.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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



CEO’s Letter			1

Market Overview			2

Fund Commentaries:

JPMorgan Core Bond Trust			3

JPMorgan Equity Index Trust			5

JPMorgan Intermediate Bond Trust			7

Schedules of Portfolio Investments			9

Financial Statements			97

Financial Highlights			102

Notes to Financial Statements			104

Report of Independent Registered Public Accounting Firm			115

Trustees			116

Officers			118

Schedule of Shareholder Expenses			119

Tax Letter			120


REPORTING PERIOD RETURN:
JPMorgan Core Bond Trust*			2.35%
Barclays U.S. Aggregate Index			1.50%

Net Assets as of 2/29/2016 (In Thousands)			$4,210,606
Duration as of 2/29/2016			5.1 years


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2016

	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
	February 7, 2005		2.35	%		4.12	%		5.67	%


REPORTING PERIOD RETURN:
JPMorgan Equity Index Trust*		(6.24)%
S&P 500 Index**		(6.19)%

Net Assets as of 2/29/2016 (In Thousands)	$	275,952


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2016

	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
	February 7, 2005		(6.24	)%		10.01	%		6.32	%


REPORTING PERIOD RETURN:
JPMorgan Intermediate Bond Trust*			2.47%
Barclays Intermediate U.S. Government/Credit Index			1.83%

Net Assets as of 2/29/2016 (In Thousands)			$453,013
Duration as of 2/29/2016			3.6 years


	Core Bond Trust		Equity Index Trust			Intermediate Bond Trust
ASSETS:
Investments in non-affiliates, at value	$	4,096,403	$	270,453		$	428,668
Investments in affiliates, at value		124,518		4,986			26,357

Total investment securities, at value		4,220,921		275,439			455,025
Cash		90		—			—
Receivables:
Investment securities sold		2,603		47			61
Interest and dividends from non-affiliates		16,260		678			1,417
Dividends from affiliates		34		—	(a)		6
Other assets		35		—			—

Total Assets		4,239,943		276,164			456,509


LIABILITIES:
Payables:
Due to custodian		—		—			107
Investment securities purchased		23,157		132			3,285
Investment securities purchased — delayed delivery		5,153		—			—
Fund shares redeemed		414		—			—
Variation margin on futures contracts		—		13			—
Unrealized depreciation on unfunded commitments		1		—			—
Accrued liabilities:
Investment advisory fees		397		15			26
Custodian and accounting fees		108		17			36
Trustees’ and Chief Compliance Officer’s fees		5		1			—	(a)
Audit fees		51		32			40
Other		51		2			2

Total Liabilities		29,337		212			3,496

Net Assets	$	4,210,606	$	275,952		$	453,013


Paid-in-Capital	$	4,056,638	$	152,111		$	441,008
Accumulated undistributed (distributions in excess of) net investment income		1,215		962			48
Accumulated net realized gains (losses)		3,098		(11,879	)		445
Net unrealized appreciation (depreciation)		149,655		134,758			11,512

Total Net Assets	$	4,210,606	$	275,952		$	453,013


Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized):		398,134		13,240			43,703

Net asset value, offering and redemption price per share (b)	$	10.58	$	20.84		$	10.37


Cost of investments in non-affiliates	$	3,946,747	$	136,999		$	417,156
Cost of investments in affiliates		124,518		3,707			26,357


	Core Bond Trust						Equity Index Trust
	Year Ended February 29, 2016			Year Ended February 28, 2015			Year Ended February 29, 2016			Year Ended February 28, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	131,867		$	132,376		$	6,632		$	7,241
Net realized gain (loss)		12,075			8,477			35,301			24,571
Change in net unrealized appreciation/depreciation		(46,534	)		47,283			(60,840	)		20,964

Change in net assets resulting from operations		97,408			188,136			(18,907	)		52,776


DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income		(135,958	)		(133,647	)		(6,719	)		(7,023	)
From net realized gains		(10,096	)		(10,035	)		(31,146	)		—

Total distributions to shareholders		(146,054	)		(143,682	)		(37,865	)		(7,023	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		810,370			641,786			9,366			11,244
Subscriptions in-kind (See Note 7)		—			14,902			—			—
Distributions reinvested		138,032			139,400			37,865			7,023
Cost of shares redeemed		(670,162	)		(724,664	)		(81,120	)		(64,785	)

Change in net assets resulting from capital transactions		278,240			71,424			(33,889	)		(46,518	)


NET ASSETS:
Change in net assets		229,594			115,878			(90,661	)		(765	)
Beginning of period		3,981,012			3,865,134			366,613			367,378

End of period	$	4,210,606		$	3,981,012		$	275,952		$	366,613

Accumulated undistributed (distributions in excess of) net investment income	$	1,215		$	5,298		$	962		$	1,215


SHARE TRANSACTIONS:
Issued		76,020			60,365			384			484
Subscriptions in-kind (See Note 7)		—			1,394			—			—
Reinvested		13,089			13,124			1,719			293
Redeemed		(63,554	)		(68,136	)		(3,262	)		(2,712	)

Change in Shares		25,555			6,747			(1,159	)		(1,935	)


	Intermediate Bond Trust
	Year Ended February 29, 2016			Year Ended February 28, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	11,279		$	10,009
Net realized gain (loss)		916			887
Change in net unrealized appreciation/depreciation		(1,454	)		142

Change in net assets resulting from operations		10,741			11,038


DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income		(11,609	)		(9,939	)
From net realized gains		(628	)		(1,560	)

Total distributions to shareholders		(12,237	)		(11,499	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		117,431			60,539
Distributions reinvested		11,334			10,521
Cost of shares redeemed		(51,605	)		(41,905	)

Change in net assets resulting from capital transactions		77,160			29,155


NET ASSETS:
Change in net assets		75,664			28,694
Beginning of period		377,349			348,655

End of period	$	453,013		$	377,349

Accumulated undistributed (distributions in excess of) net investment income	$	48		$	361


SHARE TRANSACTIONS:
Issued		11,315			5,814
Reinvested		1,097			1,012
Redeemed		(4,998	)		(4,035	)

Change in Shares		7,414			2,791


			Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Return of capital			Total distributions
Core Bond Trust
Year Ended February 29, 2016	$	10.69	$	0.32	(d)	$	(0.07	)	$	0.25		$	(0.33	)	$	(0.03	)	$	—		$	(0.36	)
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	)

Equity Index Trust
Year Ended February 29, 2016		25.46		0.53	(d)		(2.02	)		(1.49	)		(0.52	)		(2.61	)		—			(3.13	)
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	)

Intermediate Bond Trust
Year Ended February 29, 2016		10.40		0.26	(d)		(0.01	)		0.25			(0.27	)		(0.01	)		—			(0.28	)
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	)


		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)

$	10.58		2.35	%	$	4,210,606		0.14	%		3.03	%		0.42	%		22	%
	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


	20.84		(6.24	)		275,952		0.10			2.19			0.39			5
	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


	10.37		2.47			453,013		0.14			2.53			0.46			27
	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


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Debt Securities
Asset-Backed Securities	$	—	$	411,639	$	44,464	$	456,103
Collateralized Mortgage Obligations
Agency CMO		—		583,917		—		583,917
Non-Agency CMO		—		154,580		21,277		175,857

Total Collateralized Mortgage Obligations		—		738,497		21,277		759,774

Commercial Mortgage-Backed Securities		—		108,137		14,849		122,986
Corporate Bonds
Consumer Discretionary		—		60,579		—		60,579
Consumer Staples		—		43,467		—		43,467
Energy		—		84,809		—		84,809
Financials		—		344,053		—		344,053
Health Care		—		43,254		—		43,254
Industrials		—		66,235		—		66,235
Information Technology		—		50,704		—		50,704
Materials		—		22,672		—		22,672
Telecommunication Services		—		50,892		—		50,892
Utilities		—		66,725		—		66,725

Total Corporate Bonds		—		833,390		—		833,390

Foreign Government Securities		—		52,609		—		52,609
Mortgage Pass-Through Securities		—		698,050		—		698,050
Municipal Bonds		—		10,246		—		10,246
Supranational		—		3,679		—		3,679
U.S. Government Agency Securities		—		97,694		—		97,694
U.S. Treasury Obligations		—		1,056,894		—		1,056,894
Loan Assignments
Consumer Discretionary		—		3,835		—		3,835
Financials		—		—		1,143		1,143

Total Loan Assignments		—		3,835		1,143		4,978

Short-Term Investment
Investment Company		124,518		—		—		124,518

Total Investments in Securities	$	124,518	$	4,014,670	$	81,733	$	4,220,921


Core Bond Trust	Balance as of February 28, 2015		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 29, 2016
Investments in Securities
Asset-Backed Securities	$	140,370	$	—	(a)	$	(1,249	)	$	(289	)	$	28,688		$	(38,452	)	$	—	$	(84,604	)	$	44,464
Collateralized Mortgage Obligations — Non-Agency CMO		43,718		198			(259	)		(83	)		530			(11,492	)		—		(11,335	)		21,277
Commercial Mortgage-Backed Securities		18,375		—			(285	)		(1,464	)		4,740			—			—		(6,517	)		14,849
Corporate Bonds — Industrials		3,141		—			—			—			—			—			—		(3,141	)		—
Corporate Bonds — Telecommunication Services		1,772		—			(30	)		—			—			(1,742	)		—		—			—
Loan Assignments — Financials		10,515		—			46			—	(a)		4,298			(13,716	)		—		—			1,143

	$	217,891	$	198		$	(1,777	)	$	(1,836	)	$	38,256		$	(65,402	)	$	—	$	(105,597	)	$	81,733


Intermediate Bond Trust	Balance as of February 28, 2015		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 29, 2016
Investments in Securities
Asset-Backed Securities	$	9,251	$	—	(a)	$	(33	)	$	1		$	1,665		$	(2,760	)	$	—	$	(6,136	)	$	1,988
Collateralized Mortgage Obligations — Non-Agency CMO		1,117		—			(5	)		8			—	(a)		(278	)		—		(283	)		559
Commercial Mortgage-Backed Securities		892		—			(2	)		(53	)		847			—			—		(555	)		1,129
Corporate Bonds — Industrials		884		—			—			—			—			—			—		(884	)		—

	$	12,144	$	—	(a)	$	(40	)	$	(44	)	$	2,512		$	(3,038	)	$	—	$	(7,858	)	$	3,676


	Fair Value at February 29, 2016		Valuation Technique(s)	Unobservable Input	Range (Weighted Average)
	$	40,436	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 15.00% (1.71%)
				Constant Default Rate		0.00% - 50.00% (12.68%)
				Yield (Discount Rate of Cash Flows)		1.78% - 7.48% (4.36%)
				Projected Principal Writedown		0.00% - 76.31% (5.30%)

Asset-Backed Securities		40,436


	Term	Maturity Date		Commitment Fee Rate			Rate if Funded			Unfunded Commitment				Funded Commitment				Total Commitment
Security Description	Term	Maturity Date		Commitment Fee Rate			Rate if Funded			Par Amount		Value		Par Amount		Value		Par Amount		Value
Tricon Capital Group, Inc.	Revolving Loan		06/12/17		0.500	%		3.439	%	$	151	$	150	$	1,149	$	1,143	$	1,300	$	1,293



FEBRUARY 29, 2016	JPMORGAN INSTITUTIONAL TRUST FUNDS	1



2	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 29, 2016



FEBRUARY 29, 2016	JPMORGAN INSTITUTIONAL TRUST FUNDS	3



4	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 29, 2016


	Equity Index Trust
Futures Contracts:
Average Notional Balance Long	$	2,542
Ending Notional Balance Long		1,833


Affiliate	Value at February 28, 2015		Purchase Cost		Sales Proceeds		Realized Gain/(Loss)		Dividend/ Interest Income		Shares at February 29, 2016		Value at February 29, 2016
Core Bond Trust
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares	$	177,183	$	1,140,913	$	1,193,578	$	—	$	232		124,518	$	124,518

Equity Index Trust
JPMorgan Chase & Co. (common stock)*	$	4,459	$	—	$	835	$	333	$	106		59	$	3,345
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares		2,091		19,541		19,991		—		3		1,641		1,641

	$	6,550	$	19,541	$	20,826	$	333	$	109		1,700	$	4,986

Intermediate Bond Trust
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares	$	30,495	$	155,205	$	159,343	$	—	$	31		26,357	$	26,357


	Paid-in-Capital			Accumulated undistributed (distributions in excess of) net investment income			Accumulated net realized gains (losses)
Core Bond Trust	$	—		$	8		$	(8	)
Equity Index Trust		—	(a)		(166	)		166
Intermediate Bond Trust		—			17			(17	)


	Contractual Waivers
	Investment Advisory		Administration		Total
Core Bond Trust	$	7,275	$	4,367	$	11,642
Equity Index Trust		567		303		870
Intermediate Bond Trust		918		447		1,365


	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Purchases of U.S. Government		Sales of U.S. Government
Core Bond Trust	$	893,199	$	693,216	$	265,171	$	235,726
Equity Index Trust		15,349		79,421		—		—
Intermediate Bond Trust		131,572		72,870		63,956		40,550


	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Core Bond Trust	$	4,071,290	$	183,245	$	33,614	$	149,631
Equity Index Trust		155,207		125,825		5,593		120,232
Intermediate Bond Trust		443,518		13,347		1,840		11,507


	Ordinary Income		Net Long-Term Capital Gains		Total Distributions Paid
Core Bond Trust	$	136,123	$	9,931	$	146,054
Equity Index Trust		6,719		31,146		37,865
Intermediate Bond Trust		11,613		624		12,237


	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		Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover)		Unrealized Appreciation (Depreciation)
Core Bond Trust	$	1,270	$	3,724	$	149,630
Equity Index Trust		968		2,695		120,232
Intermediate Bond Trust		68		436		11,507


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


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

John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	148	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).	148	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).	148	None

Frankie D. Hughes (1952); Trustee of Trust since 2008.	President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).	148	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).	148	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).	148	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).	148	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).	148	Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).

Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.	Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).	148	Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-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.

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

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 to 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 to February 2011.

Carmine Lekstutis (1980), Assistant Secretary (2011)		Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; 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.

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. since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.

Lauren A. Paino (1973), Assistant Treasurer (2014)		Executive Director, JPMorgan Funds Management, Inc. since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.

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

Matthew J. Plastina (1970), Assistant Treasurer (2011)		Executive Director, JPMorgan Funds Management, Inc. since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.

Julie A. Roach (1971), Assistant Treasurer (2012)*		Vice President, JPMorgan Funds Management, Inc. since 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. since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).


	Beginning Account Value September 1, 2015		Ending Account Value February 29, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Core Bond Trust
Actual	$	1,000.00	$	1,022.90	$	0.70		0.14	%
Hypothetical		1,000.00		1,024.17		0.70		0.14

Equity Index Trust
Actual		1,000.00		990.30		0.49		0.10
Hypothetical		1,000.00		1,024.37		0.50		0.10

Intermediate Bond Trust
Actual		1,000.00		1,018.50		0.70		0.14
Hypothetical		1,000.00		1,024.17		0.70		0.14


		^© JPMorgan Chase & Co., 2016. All rights reserved. February 2016.		AN-INSTT-216


JPMorgan Institutional Trust

By:		/s/ Robert L. Young
		Robert L. Young
		President and Principal Executive Officer
		May 5, 2016