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,

The U.S. economy continued to expand through the six months ended August 31, 2017, amid continued low interest rates, rising corporate profits and growth in the leading economies of Europe, Asia and Latin America.

“We believe investors who maintain a properly diversified portfolio and a long term perspective will be best positioned to gain from opportunities presented by the current market environment.” — George C.W. Gatch

Synchronized economic growth in both developed market and emerging market nations helped drive global increases in investment, trade and employment. In turn, global corporate profits rose 25% in the second quarter of 2017, driven by growth in both revenue and profit margins.

In the U.S., the economic expansion entered its 98^th consecutive month in August 2017, the third longest expansion on record. Over the course of the six month reporting period, the unemployment rate fell to 4.4% from 4.5%. In response, the U.S. Federal Reserve raised interest rates in both March and June of 2017, and signaled it would raise rates once more before the end of 2017.

Meanwhile, demand from overseas and a weakening U.S. dollar helped drive U.S. corporate profits to their highest levels in 13 years. In the second quarter of 2017, more than an estimated three-fourths of the companies in the Standard & Poor’s 500 Index (the “S&P 500”) reported earnings that surpassed analysts’ consensus estimates, according to Bloomberg News. U.S. corporations also took advantage of low interest rates and issued a record $1 trillion of bonds from January through August 2017.

Equity and bond markets generally provided investors with positive returns for the six month reporting period. A rally in the U.S. stock market, which followed the Republican Party’s success in the November 8, 2016 elections, extended well into 2017 amid investor expectations for tax cuts, infrastructure spending and regulatory reform. Equity prices continued to reach new record highs through August 2017. Financial market volatility held near 10-year lows, spiking only briefly in early August 2017 amid rising military tension between the U.S. and North Korea. For the six months ended August 31, 2017, the S&P 500 returned 5.4%, while the MSCI Europe, Australasia and Far East Index returned 12.8% and the MSCI Emerging Markets Index returned 17.8%.

The leading economies of Europe, Asia and Latin America provided a notable boost to global growth during the reporting period and the world’s central banks largely maintained accommodative policies that benefitted both corporations and investors. We believe investors who maintain a properly diversified portfolio and a long term perspective will be best positioned to gain from opportunities presented by the current market environment.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

Global equity and bond markets generally had positive returns for the six month reporting period amid a surge in corporate profits, continued low interest rates and steady economic growth.

Within fixed-income markets, high-yield bonds (also known as “junk bonds”) continued to outperform investment grade corporate debt and U.S. Treasury bonds throughout the six month reporting period. Notably, U.S. companies sold new bonds at a record pace in 2017 — more than $1 trillion combined — amid expectations for further interest rate increases by the U.S. Federal Reserve over the course of the year. Emerging market debt also outperformed U.S. corporate bonds and U.S. Treasury bonds.

U.S. financial market volatility remained historically low through July but then spiked sharply in early August amid rising tensions between the U.S. and North Korea. The CBOE Volatility Index, which measures Standard & Poor’s 500 options to gauge market expectations of near-term volatility, ended the six month period slightly lower than its February 2017 level.

INVESTMENT OBJECTIVE**

The JPMorgan Core Bond Trust (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the six months ended August 31, 2017, the Fund outperformed the Bloomberg Barclays U.S. Aggregate Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s overall security selection was a leading contributor to performance. The Fund outperformed the Benchmark in government bonds, corporate bonds, mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities. The Fund’s overweight position in the 10-to-20 year portion of the yield curve also contributed to relative performance. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.

The Fund’s underweight position in non-corporate credit, particularly in bonds issued by sovereign nations, foreign agencies, foreign local governments and supranational groups, was a leading detractor from performance relative to the Benchmark. The Fund’s out-of-Benchmark allocation to agency collateralized mortgage obligations detracted from relative performance.

HOW WAS THE FUND POSITIONED?

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

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


PORTFOLIO COMPOSITION***
Corporate Bonds	26.8	%
U.S. Treasury Obligations	16.6
Mortgage-Backed Securities	16.6
Collateralized Mortgage Obligations	15.3
Asset-Backed Securities	12.4
Commercial Mortgage-Backed Securities	4.9
Foreign Government Securities	1.9
U.S. Government Agency Securities	1.7
Others (each less than 1.0%)	0.7
Short-Term Investment	3.1

The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

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

***

Percentages indicated are based on total investments as of August 31, 2017. 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 Bloomberg Barclays U.S. Aggregate Index and the Lipper Intermediate U.S. Government Funds Index from August 31, 2007 to August 31, 2017. 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 Bloomberg 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 Bloomberg 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 the 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 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 six months ended August 31, 2017, the Fund outperformed the Bloomberg Barclays Intermediate U.S. Government/Credit Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s security selection in government bonds and corporate debt was a leading contributor to performance. The Fund’s out-of-Benchmark allocation to mortgages, asset-backed securities and commercial mortgage-backed securities also contributed to relative performance. The Fund’s underweight position in the shorter end of the yield curve and its overweight position in the 7-to-10 year portion of the yield curve also helped relative performance. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.

The Fund’s underweight position in non-corporate credit, including bonds issued by sovereign nations, foreign agencies, foreign local governments and supranational institutions, was a leading detractor from relative performance. The Fund’s allocation to agency collateralized mortgage obligations also detracted slightly 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.


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	24.1	%
Corporate Bonds	23.5
Collateralized Mortgage Obligations	21.3
Asset-Backed Securities	12.1
Mortgage-Backed Securities	11.3
Commercial Mortgage-Backed Securities	4.2
U.S. Government Agency Securities	1.5
Foreign Government Securities	0.6
Short-Term Investment	1.4

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

***

Percentages indicated are based on total investments as of August 31, 2017. 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 Bloomberg Barclays Intermediate U.S. Government/Credit Index and the Lipper Short-Intermediate U.S. Government Funds Index from August 31, 2007 to August 31, 2017. 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 Bloomberg 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 Bloomberg 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 the 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 — 12.7%
		Academic Loan Funding Trust,
	223	Series 2012-1A, Class A1, 2.03%, 12/27/2022 (e) (z)		223
	1,279	Series 2013-1A, Class A, 2.03%, 12/26/2044 (e) (z)		1,273
	367	Air Canada Pass-Through Trust, (Canada), Series 2013-1, Class A, 4.13%, 05/15/2025 (e)		387
	3,983	Ajax Mortgage Loan Trust, Series 2016-2, Class A, SUB, 4.13%, 10/25/2056 (e) (bb)		3,975
		American Airlines Pass-Through Trust,
	156	Series 2011-1, Class A, 5.25%, 01/31/2021		167
	502	Series 2013-2, Class A, 4.95%, 01/15/2023		538
	276	Series 2016-2, Class A, 3.65%, 06/15/2028		281
	565	Series 2017-1, Class AA, 3.65%, 02/15/2029		585
	409	Series 2017-2, Class AA, 3.35%, 10/15/2029		413
		American Credit Acceptance Receivables Trust,
	1,225	Series 2015-2, Class C, 4.32%, 05/12/2021 (e)		1,246
	870	Series 2016-4, Class C, 2.91%, 02/13/2023 (e) (bb)		875
	2,590	Series 2016-1A, Class B, 4.24%, 06/13/2022 (e) (bb)		2,619
	1,480	Series 2017-1, Class C, 2.88%, 03/13/2023 (e)		1,486
		American Homes 4 Rent,
	4,069	Series 2015-SFR1, Class A, 3.47%, 04/17/2052 (e) (bb)		4,269
	1,275	Series 2015-SFR1, Class E, 5.64%, 04/17/2052 (e) (bb)		1,408
		American Homes 4 Rent Trust,
	3,809	Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (e) (bb)		4,038
	2,000	Series 2014-SFR2, Class D, 5.15%, 10/17/2036 (e) (bb)		2,218
	850	Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (e)		966
	2,857	Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (e)		3,033
	500	Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (e)		543
	2,380	Series 2014-SFR3, Class E, 6.42%, 12/17/2036 (e) (bb)		2,738
	999	AmeriCredit Automobile Receivables, Series 2016-1, Class A3, 1.81%, 10/08/2020		1,000


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		AmeriCredit Automobile Receivables Trust,
	865	Series 2016-2, Class A2A, 1.42%, 10/08/2019		865
	794	Series 2016-3, Class A3, 1.46%, 05/10/2021		792
	10,700	Anchor Assets IX LLC, Series 2016-1, Class A, 5.13%, 02/15/2020 (e) (bb)		10,700
	503	Axis Equipment Finance Receivables III LLC, Series 2015-1A, Class A2, 1.90%, 03/20/2020 (e)		503
		B2R Mortgage Trust,
	1,526	Series 2015-1, Class A1, 2.52%, 05/15/2048 (e)		1,526
	2,825	Series 2015-2, Class A, 3.34%, 11/15/2048 (e)		2,868
	576	Banc of America Funding Corp., Series 2012-R6, Class 1A1, 3.00%, 10/26/2039 (e) (bb)		569
		BCC Funding Corp. X,
	945	Series 2015-1, Class A2, 2.22%, 10/20/2020 (e)		944
	550	Series 2015-1, Class D, 4.54%, 12/21/2020 (e) (bb)		550
	181	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, 1.60%, 04/25/2036 (z) (bb)		177
	388	BXG Receivables Note Trust, Series 2012-A, Class A, 2.66%, 12/02/2027 (e)		385
	880	Cabela’s Credit Card Master Note Trust, Series 2015-2, Class A1, 2.25%, 07/17/2023		889
	1,460	CAM Mortgage Trust, Series 2017-1, Class A1, SUB, 3.22%, 08/01/2057 (e) (bb)		1,461
	5,076	Camillo Issuer LLC, Series 2016-SFR, Class 1A1, 5.00%, 12/05/2023 (bb)		5,065
		CarFinance Capital Auto Trust,
	138	Series 2014-1A, Class B, 2.72%, 04/15/2020 (e)		138
	323	Series 2015-1A, Class A, 1.75%, 06/15/2021 (e)		323
	777	Chase Funding Trust, Series 2003-6, Class 1A7, SUB, 5.09%, 11/25/2034 (bb)		793
		Citi Held For Asset Issuance,
	358	Series 2015-PM1, Class B, 2.93%, 12/15/2021 (e) (bb)		358
	1,105	Series 2016-MF1, Class A, 4.48%, 08/15/2022 (e)		1,117
	1,069	Series 2016-PM1, Class A, 4.65%, 04/15/2025 (e)		1,078
	800	Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.15%, 06/15/2039		1,080


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	114	Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, 1.61%, 12/25/2033 (z)		114
	978	CLUB Credit Trust, Series 2017-NP1, Class A, 2.39%, 04/17/2023 (e)		979
	2,465	Colony American Finance Ltd., (Cayman Islands), Series 2016-1, Class A, 2.54%, 06/15/2048 (e)		2,463
	3,794	Colony American Homes, Series 2014-2A, Class A, 2.18%, 07/17/2031 (e) (z)		3,799
		Continental Airlines Pass-Through Trust,
	97	Series 1999-2, Class A-1, 7.26%, 03/15/2020		103
	368	Series 2007-1, Class A, 5.98%, 04/19/2022		405
		CPS Auto Receivables Trust,
	86	Series 2014-D, Class A, 1.49%, 04/15/2019 (e)		86
	700	Series 2014-D, Class C, 4.35%, 11/16/2020 (e)		718
	255	Series 2015-A, Class A, 1.53%, 07/15/2019 (e)		255
	223	Series 2015-A, Class C, 4.00%, 02/16/2021 (e)		228
	2,535	Series 2015-B, Class C, 4.20%, 05/17/2021 (e)		2,573
	1,376	Series 2015-C, Class D, 4.63%, 08/16/2021 (e) (bb)		1,408
	705	Series 2016-A, Class A, 2.25%, 10/15/2019 (e)		706
	490	Series 2016-B, Class A, 2.07%, 11/15/2019 (e)		490
	1,400	Series 2016-C, Class C, 3.27%, 06/15/2022 (e)		1,413
		Credit Acceptance Auto Loan Trust,
	579	Series 2015-2A, Class C, 3.76%, 02/15/2024 (e)		586
	1,564	Series 2017-1A, Class A, 2.56%, 10/15/2025 (e)		1,571
	686	Series 2017-1A, Class B, 3.04%, 12/15/2025 (e)		690
	574	Series 2017-1A, Class C, 3.48%, 02/17/2026 (e)		583
	604	Series 2017-2A, Class C, 3.35%, 06/15/2026 (e)		606
	948	CVS Pass-Through Trust, 5.93%, 01/10/2034 (e)		1,103
	147	CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1, 2.13%, 10/25/2034 (z)		140


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Delta Air Lines Pass-Through Trust,
	269	Series 2010-2, Class A, 4.95%, 05/23/2019		279
	119	Series 2011-1, Class A, 5.30%, 04/15/2019		124
	306	Series 2012-1, Class A, 4.75%, 05/07/2020		321
		Drive Auto Receivables Trust,
	1,471	Series 2015-AA, Class D, 4.12%, 07/15/2022 (e)		1,506
	2,882	Series 2015-BA, Class D, 3.84%, 07/15/2021 (e)		2,933
	1,059	Series 2015-CA, Class D, 4.20%, 09/15/2021 (e)		1,083
	1,320	Series 2015-DA, Class D, 4.59%, 01/17/2023 (e) (bb)		1,362
	918	Series 2016-AA, Class B, 3.17%, 05/15/2020 (e)		920
	2,535	Series 2016-AA, Class C, 3.91%, 05/17/2021 (e)		2,571
	475	Series 2016-BA, Class B, 2.56%, 06/15/2020 (e)		476
	3,101	Series 2016-CA, Class D, 4.18%, 03/15/2024 (e)		3,188
	2,635	Series 2017-1, Class C, 2.84%, 04/15/2022		2,656
	2,992	Series 2017-1, Class D, 3.84%, 03/15/2023		3,045
		DT Auto Owner Trust,
	1,808	Series 2015-2A, Class D, 4.25%, 02/15/2022 (e)		1,845
	81	Series 2016-2A, Class A, 1.73%, 08/15/2019 (e)		81
	932	Series 2016-4A, Class B, 2.02%, 08/17/2020 (e)		932
	1,609	Series 2016-4A, Class D, 3.77%, 10/17/2022 (e)		1,623
	2,244	Series 2017-2A, Class C, 3.03%, 01/17/2023 (e)		2,249
	728	Engs Commercial Finance Trust, Series 2016-1A, Class A2, 2.63%, 02/22/2022 (e)		728
		Exeter Automobile Receivables Trust,
	207	Series 2014-3A, Class B, 2.77%, 11/15/2019 (e)		207
	105	Series 2015-2A, Class A, 1.54%, 11/15/2019 (e)		105
	283	Series 2015-3A, Class A, 2.00%, 03/16/2020 (e)		283
	795	Series 2016-2A, Class A, 2.21%, 07/15/2020 (e)		795
	1,171	Series 2016-3A, Class B, 2.84%, 08/16/2021 (e)		1,177
	56	Fifth Third Auto Trust, Series 2014-3, Class A3, 0.96%, 03/15/2019		56


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
		First Investors Auto Owner Trust,
	299	Series 2014-3A, Class A3, 1.67%, 11/16/2020 (e)		299
	141	Series 2015-2A, Class A1, 1.59%, 12/16/2019 (e)		141
	373	Series 2015-2A, Class D, 4.22%, 12/15/2021 (e)		382
		FirstKey Lending Trust,
	6,343	Series 2015-SFR1, Class A, 2.55%, 03/09/2047 (e)		6,350
	2,246	Series 2015-SFR1, Class B, 3.42%, 03/09/2047 (e) (bb)		2,267
		Flagship Credit Auto Trust,
	117	Series 2014-1, Class B, 2.55%, 02/18/2020 (e)		117
	68	Series 2014-2, Class A, 1.43%, 12/16/2019 (e)		68
	892	Series 2014-2, Class B, 2.84%, 11/16/2020 (e)		897
	440	Series 2014-2, Class C, 3.95%, 12/15/2020 (e)		445
	403	Series 2015-1, Class A, 1.63%, 06/15/2020 (e)		403
	2,000	Series 2015-3, Class A, 2.38%, 10/15/2020 (e)		2,002
	757	Series 2015-3, Class B, 3.68%, 03/15/2022 (e)		769
	756	Series 2015-3, Class C, 4.65%, 03/15/2022 (e)		784
	3,000	Series 2016-2, Class C, 6.22%, 09/15/2022 (e)		3,222
	156	GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, 6.70%, 04/25/2029 (z)		133
	86	GLC Trust, Series 2014-A, Class A, 3.00%, 07/15/2021 (e)		86
		GLS Auto Receivables Trust,
	877	Series 2015-1A, Class A, 2.25%, 12/15/2020 (e)		877
	1,431	Series 2015-1A, Class B, 4.43%, 12/15/2020 (e)		1,441
	1,886	Series 2016-1A, Class A, 2.73%, 10/15/2020 (e)		1,886
	1,200	Series 2016-1A, Class C, 6.90%, 10/15/2021 (e)		1,238
	410	GMAT Trust, Series 2013-1A, Class A, SUB, 6.97%, 11/25/2043 (e) (bb)		410
	328	GO Financial Auto Securitization Trust, Series 2015-1, Class B, 3.59%, 10/15/2020 (e)		328


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	936	Gold Key Resorts LLC, Series 2014-A, Class A, 3.22%, 03/17/2031 (e)		939
	872	Goodgreen Trust, Series 2017-1A, Class A, 3.74%, 10/15/2052 (e)		900
	1,609	Green Tree Agency Advance Funding Trust I, Series 2016-T1, Class BT1, 3.12%, 10/15/2048 (e) (bb)		1,601
		HERO Funding Trust,
	1,608	Series 2016-3A, Class A1, 3.08%, 09/20/2042 (e)		1,614
	3,160	Series 2017-1A, Class A2, 4.46%, 09/20/2047 (e)		3,328
	444	Hilton Grand Vacations Trust, Series 2017-AA, Class A, 2.66%, 12/26/2028 (e)		447
	102	Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-A, Class A3, 1.43%, 03/25/2036 (z) (bb)		95
	99	HSBC Home Equity Loan Trust USA, Series 2007-3, Class APT, 2.43%, 11/20/2036 (z) (bb)		99
		Kabbage Asset Securitization LLC,
	8,515	Series 2017-1, Class A, 4.57%, 03/15/2022 (e)		8,694
	2,525	Series 2017-1, Class B, 5.79%, 03/15/2022 (e)		2,571
		KGS-Alpha SBA COOF Trust,
	7,844	Series 2012-2, Class A, IO, 0.85%, 08/25/2038 (e) (z) (bb)		193
	6,391	Series 2013-2, Class A, IO, 1.69%, 03/25/2039 (e) (z) (bb)		273
	3,852	Series 2015-2, Class A, IO, 2.58%, 07/25/2041 (e) (z)		417
	592	LendingClub Issuance Trust, Series 2016-NP1, Class A, 3.75%, 06/15/2022 (e)		596
		Lendmark Funding Trust,
	2,894	Series 2016-A, Class A, 4.82%, 08/21/2023 (e)		2,961
	1,866	Series 2017-1A, Class A, 2.83%, 01/22/2024 (e)		1,874
	136	Long Beach Mortgage Loan Trust, Series 2006-WL2, Class 2A3, 1.43%, 01/25/2036 (z) (bb)		135
		LV Tower 52 Issuer,
	6,658	Series 2013-1, Class A, 5.75%, 02/15/2023 (e) (bb)		6,666
	2,359	Series 2013-1, Class M, 7.75%, 02/15/2023 (e) (bb)		2,371
	2,130	Mariner Finance Issuance Trust, Series 2017-AA, Class A, 3.62%, 02/20/2029 (e)		2,144


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
		Marlette Funding Trust,
	1,479	Series 2016-1A, Class A, 3.06%, 01/17/2023 (e)		1,485
	3,546	Series 2017-1A, Class A, 2.83%, 03/15/2024 (e)		3,564
	823	Mid-State Capital Corp. Trust, Series 2006-1, Class M1, 6.08%, 10/15/2040 (e) (bb)		925
	1,397	Murray Hill Marketplace Trust, Series 2016-LC1, Class A, 4.19%, 11/25/2022 (e)		1,405
	380	Nationstar HECM Loan Trust, Series 2017-1A, Class M1, 2.94%, 05/25/2027 (e)		380
	315	NCUA Guaranteed Notes Trust, Series 2010-A1, Class A, 1.58%, 12/07/2020 (z)		315
	599	New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.13%, 11/25/2033 (bb)		603
	2,565	New Residential Advance Receivables Trust Advance Receivables Backed Notes, Series 2016-T2, Class AT2, 2.58%, 10/15/2049 (e)		2,555
		NRPL Trust,
	2,066	Series 2015-1A, Class A1, SUB, 3.88%, 11/01/2054 (e)		2,065
	1,522	Series 2015-1A, Class A2, SUB, 3.88%, 11/01/2054 (e)		1,526
	5,741	Series 2015-2A, Class A1, SUB, 3.75%, 10/25/2057 (e) (bb)		5,749
	1,200	Series 2015-2A, Class A2, SUB, 3.75%, 10/25/2057 (e) (bb)		1,200
		Ocwen Master Advance Receivables Trust,
	2,934	Series 2015-T3, Class AT3, 3.21%, 11/15/2047 (e)		2,930
	654	Series 2015-T3, Class BT3, 3.70%, 11/15/2047 (e) (bb)		654
	487	Series 2015-T3, Class CT3, 4.20%, 11/15/2047 (e) (b)		486
	2,500	Series 2015-T3, Class DT3, 4.69%, 11/15/2047 (e) (bb)		2,501
	1,400	Series 2016-T1, Class AT1, 2.52%, 08/17/2048 (e)		1,398
		OnDeck Asset Securitization Trust II LLC,
	2,169	Series 2016-1A, Class A, 4.21%, 05/17/2020 (e)		2,173
	1,174	Series 2016-1A, Class B, 7.63%, 05/17/2020 (e)		1,203
		OneMain Financial Issuance Trust,
	98	Series 2014-1A, Class A, 2.43%, 06/18/2024 (e)		98
	402	Series 2014-1A, Class B, 3.24%, 06/18/2024 (e) (bb)		402


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	648	Series 2014-2A, Class A, 2.47%, 09/18/2024 (e)		648
	1,491	Series 2014-2A, Class B, 3.02%, 09/18/2024 (e) (bb)		1,495
	550	Series 2015-1A, Class B, 3.85%, 03/18/2026 (e)		558
	6,879	Series 2015-2A, Class A, 2.57%, 07/18/2025 (e)		6,886
	1,911	Series 2015-2A, Class B, 3.10%, 07/18/2025 (e) (bb)		1,914
	2,755	Series 2016-1A, Class A, 3.66%, 02/20/2029 (e)		2,820
	1,800	Series 2016-1A, Class C, 6.00%, 02/20/2029 (e)		1,850
	1,622	Oportun Funding II LLC, Series 2016-A, Class B, 6.41%, 03/08/2021 (e) (bb)		1,656
	1,455	Oportun Funding VI LLC, Series 2017-A, Class A, 3.23%, 06/08/2023 (e)		1,473
	104	PFS Tax Lien Trust, Series 2014-1, Class NOTE, 1.44%, 05/15/2029 (e) (bb)		104
		Progress Residential Trust,
	3,917	Series 2015-SFR2, Class A, 2.74%, 06/12/2032 (e)		3,955
	2,012	Series 2015-SFR2, Class B, 3.14%, 06/12/2032 (e) (bb)		2,037
	2,566	Series 2015-SFR2, Class C, 3.44%, 06/12/2032 (e) (bb)		2,601
	1,230	Series 2015-SFR2, Class E, 4.43%, 06/12/2032 (e) (bb)		1,256
	5,220	Series 2015-SFR3, Class A, 3.07%, 11/12/2032 (e) (bb)		5,326
	295	Series 2015-SFR3, Class D, 4.67%, 11/12/2032 (e) (bb)		309
	1,200	Series 2015-SFR3, Class E, 5.66%, 11/12/2032 (e)		1,272
	1,804	Prosper Marketplace Issuance Trust, Series 2017-1A, Class A, 2.56%, 06/15/2023 (e)		1,809
		Purchasing Power Funding LLC,
	4,000	Series 2015-A, Class A2, 4.75%, 12/15/2019 (e)		4,014
	985	Series 2015-A, Class B, 6.00%, 12/15/2019 (e) (bb)		995
	1,264	Series 2016-A, 5.97%, 02/27/2019 (z) (bb)		1,264
	16	RAMP Trust, Series 2006-RZ1, Class A3, 1.53%, 03/25/2036 (z) (bb)		16
	755	RBSHD Trust, Series 2013-1A, Class A, SUB, 7.69%, 10/25/2047 (e) (bb)		756
	3,900	RCM Fund 1 Issuer LLC, Series 2017-1, Class A, 5.50%, 10/25/2021 (e) (bb)		3,900


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — continued
	289	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.68%, 06/25/2037 (bb)		143
	1,241	Renew Financial Group LLC, (Cayman Islands), Series 2017-1A, Class A, 3.67%, 09/20/2052 (e)		1,268
	111	Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.79%, 06/25/2033 (bb)		111
	248	Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 3.42%, 01/25/2036 (bb)		217
	89	Skopos Auto Receivables Trust, Series 2015-2A, Class A, 3.55%, 02/15/2020 (e)		89
	1,514	SoFi Consumer Loan Program LLC, Series 2016-2, Class A, 3.09%, 10/27/2025 (e)		1,533
	2,895	SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 04/25/2029 (e)		2,915
		Springleaf Funding Trust,
	3,841	Series 2015-AA, Class A, 3.16%, 11/15/2024 (e)		3,874
	1,087	Series 2015-AA, Class B, 3.62%, 11/15/2024 (e)		1,106
	2,040	Series 2016-AA, Class B, 3.80%, 11/15/2029 (e) (bb)		2,075
	1,500	Spruce ABS Trust, Series 2016-E1, Class A, 4.32%, 06/15/2028 (e)		1,495
	2,321	Tricolor Auto Securitization Trust, Series 2017-1, Class A, 5.09%, 05/15/2020 (e) (bb)		2,322
		Tricon American Homes Trust,
	827	Series 2015-SFR1, Class A, 2.48%, 05/17/2032 (e) (z)		833
	1,824	Series 2016-SFR1, Class A, 2.59%, 11/17/2033 (e) (bb)		1,830
	1,045	United Airlines Pass-Through Trust, Series 2016-1, Class A, 3.45%, 07/07/2028		1,059
	1,737	Upstart Securitization Trust, Series 2017-1, Class A, 2.64%, 06/20/2024 (e)		1,737
		US Residential Opportunity Fund III Trust,
	1,674	Series 2016-1III, Class A, SUB, 3.47%, 07/27/2036 (e)		1,685
	2,344	Series 2016-2III, Class A, SUB, 3.47%, 08/27/2036 (e)		2,335
	250	Verizon Owner Trust, Series 2016-1A, Class A, 1.42%, 01/20/2021 (e)		249
	3,655	VM DEBT LLC, Series 2017-1, Class A, 6.50%, 10/02/2024 (e) (bb)		3,655


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	89	VML LLC, Series 2014-NPL1, Class A1, SUB, 3.88%, 04/27/2054 (e)		89
	2,207	VOLT LIII LLC, Series 2016-NP13, Class A1, SUB, 3.88%, 12/26/2046 (e) (bb)		2,218
	1,783	VOLT LIV LLC, Series 2017-NPL1, Class A1, SUB, 3.62%, 02/25/2047 (e) (bb)		1,792
	1,334	VOLT LIX LLC, Series 2017-NPL6, Class A1, SUB, 3.25%, 05/25/2047 (e) (bb)		1,340
	1,442	VOLT LV LLC, Series 2017-NPL2, Class A1, SUB, 3.50%, 03/25/2047 (e) (bb)		1,456
	2,073	VOLT LX LLC, Series 2017-NPL7, Class A1, SUB, 3.25%, 04/25/2059 (e)		2,085
		VOLT XIX LLC,
	330	Series 2014-NP11, Class A1, SUB, 3.88%, 04/25/2055 (e) (bb)		330
	400	Series 2014-NP11, Class A2, 5.00%, 04/25/2055 (e) (bb)		401
	1,058	VOLT XL LLC, Series 2015-NP14, Class A1, SUB, 4.37%, 11/27/2045 (e) (bb)		1,062
		VOLT XXII LLC,
	731	Series 2015-NPL4, Class A1, SUB, 3.50%, 02/25/2055 (e) (bb)		733
	665	Series 2015-NPL4, Class A2, SUB, 4.25%, 02/25/2055 (e) (bb)		666
	867	VOLT XXIV LLC, Series 2015-NPL6, Class A1, SUB, 3.50%, 02/25/2055 (e) (bb)		872
	1,114	VOLT XXXIII LLC, Series 2015-NPL5, Class A1, SUB, 3.50%, 03/25/2055 (e) (bb)		1,118
		Westgate Resorts LLC,
	238	Series 2015-1A, Class A, 2.75%, 05/20/2027 (e)		239
	1,587	Series 2017-1A, Class A, 3.05%, 12/20/2030 (e)		1,596
		Westlake Automobile Receivables Trust,
	941	Series 2017-1A, Class C, 2.70%, 10/17/2022 (e)		946
	947	Series 2017-1A, Class D, 3.46%, 10/17/2022 (e)		955

		Total Asset-Backed Securities (Cost $307,499)		311,449

	Collateralized Mortgage Obligations — 15.7%
	1,961	Access PT Funding Trust, Series 2016-1, 6.25%, 02/16/2021 (bb)		1,962
	1,397	Ajax Mortgage Loan Trust, Series 2015-B, Class A, SUB, 3.88%, 07/25/2060 (e)		1,397
		Alternative Loan Trust,
	8,532	Series 2004-2CB, Class 1A9, 5.75%, 03/25/2034		8,503


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
	1,058	Series 2005-1CB, Class 1A6, IF, IO, 5.87%, 03/25/2035 (z) (bb)		210
	2,785	Series 2005-20CB, Class 3A8, IF, IO, 3.52%, 07/25/2035 (z) (bb)		392
	5,384	Series 2005-22T1, Class A2, IF, IO, 3.84%, 06/25/2035 (z) (bb)		792
	2,779	Series 2005-28CB, Class 1A4, 5.50%, 08/25/2035		2,578
	103	Series 2005-28CB, Class 3A5, 6.00%, 08/25/2035		82
	4,084	Series 2005-37T1, Class A2, IF, IO, 3.82%, 09/25/2035 (z) (bb)		620
	2,227	Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 (bb)		2,083
	5,574	Series 2005-54CB, Class 1A2, IF, IO, 3.62%, 11/25/2035 (z)		761
	1,250	Series 2005-57CB, Class 3A2, IF, IO, 3.87%, 12/25/2035 (z) (bb)		173
	918	Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035		901
	1,637	Series 2005-J1, Class 1A4, IF, IO, 3.87%, 02/25/2035 (z) (bb)		58
	1,447	Series 2006-26CB, Class A9, 6.50%, 09/25/2036		1,231
		Angel Oak Mortgage Trust LLC,
	448	Series 2015-1, Class A, SUB, 4.50%, 11/25/2045 (e) (bb)		448
	533	Series 2015-1, Class M, SUB, 5.50%, 11/25/2045 (e)		532
		ASG Resecuritization Trust,
	591	Series 2009-3, Class A65, 2.81%, 03/26/2037 (e) (z)		592
	215	Series 2011-1, Class 3A50, 3.54%, 11/28/2035 (e) (z)		215
		Banc of America Alternative Loan Trust,
	39	Series 2004-6, Class 15PO, PO, 07/25/2019 (bb)		37
	777	Series 2005-5, Class 1CB1, 5.50%, 06/25/2035		730
	1,910	Series 2005-6, Class CBIO, IO, 5.50%, 07/25/2035 (bb)		418
	491	Series 2006-4, Class 1A4, 6.00%, 05/25/2046		398
		Banc of America Funding Trust,
	197	Series 2004-1, Class PO, PO, 03/25/2034 (bb)		165
	106	Series 2004-2, Class 30PO, PO, 09/20/2034 (bb)		96
	161	Series 2004-C, Class 1A1, 3.23%, 12/20/2034 (z)		161
	396	Series 2005-6, Class 2A7, 5.50%, 10/25/2035		385


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	232	Series 2005-7, Class 30PO, PO, 11/25/2035 (bb)		192
	139	Series 2005-8, Class 30PO, PO, 01/25/2036 (z) (bb)		111
	566	Series 2005-E, Class 4A1, 3.27%, 03/20/2035 (z)		575
	344	Series 2006-A, Class 3A2, 3.49%, 02/20/2036 (z)		311
		Banc of America Mortgage Trust,
	107	Series 2004-A, Class 2A2, 3.59%, 02/25/2034 (z)		107
	470	Series 2004-J, Class 3A1, 3.66%, 11/25/2034 (z)		470
		BCAP LLC Trust,
	155	Series 2009-RR5, Class 8A1, 5.50%, 11/26/2034 (e) (z)		158
	1,002	Series 2010-RR7, Class 2A1, 3.21%, 07/26/2045 (e) (z)		992
	63	Series 2010-RR12, Class 2A5, 3.41%, 01/26/2036 (e) (z)		62
	23	Series 2011-RR4, Class 6A3, 5.00%, 08/26/2037 (e) (z)		23
		Bear Stearns ARM Trust,
	116	Series 2003-7, Class 3A, 3.32%, 10/25/2033 (z)		116
	446	Series 2004-1, Class 12A1, 3.62%, 04/25/2034 (z)		448
	70	Series 2004-2, Class 14A, 3.72%, 05/25/2034 (z)		71
	836	Series 2005-5, Class A1, 3.28%, 08/25/2035 (z)		848
	1,936	Series 2006-1, Class A1, 2.91%, 02/25/2036 (z)		1,939
		CHL Mortgage Pass-Through Trust,
	267	Series 2004-7, Class 2A1, 3.52%, 06/25/2034 (z)		263
	43	Series 2004-8, Class 2A1, 4.50%, 06/25/2019		44
	95	Series 2004-HYB1, Class 2A, 3.22%, 05/20/2034 (z)		91
	476	Series 2004-HYB3, Class 2A, 3.22%, 06/20/2034 (z)		460
	347	Series 2004-HYB6, Class A3, 3.21%, 11/20/2034 (z)		349
	35	Series 2004-J8, Class 1A2, 4.75%, 11/25/2019		36
	621	Series 2005-16, Class A23, 5.50%, 09/25/2035		614
	1,841	Series 2005-22, Class 2A1, 3.22%, 11/25/2035 (z)		1,640


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust,
	89	Series 2005-5, Class APO, PO, 08/25/2035 (bb)		80
	95	Series 2005-8, Class APO, PO, 11/25/2035 (bb)		81
		Citigroup Global Markets Mortgage Securities VII, Inc.,
	125	Series 2003-HYB1, Class A, 3.24%, 09/25/2033 (z)		126
	2	Series 2003-UP2, Class PO1, PO, 12/25/2018 (bb)		2
		Citigroup Mortgage Loan Trust,
	168	Series 2009-10, Class 2A1A, 7.00%, 12/25/2035 (e) (z)		172
	475	Series 2015-A, Class B2, 4.50%, 06/25/2058 (e) (z)		471
		Citigroup Mortgage Loan Trust, Inc.,
	101	Series 2003-1, Class 2A5, 5.25%, 10/25/2033		102
	52	Series 2003-1, Class 2A6, PO, 10/25/2033 (bb)		49
	47	Series 2003-1, Class PO2, PO, 10/25/2033 (bb)		41
	43	Series 2003-1, Class PO3, PO, 09/25/2033 (bb)		40
	30	Series 2003-UP3, Class A3, 7.00%, 09/25/2033		30
	56	Series 2003-UST1, Class A1, 5.50%, 12/25/2018		56
	18	Series 2003-UST1, Class PO1, PO, 12/25/2018 (bb)		17
	4	Series 2003-UST1, Class PO3, PO, 12/25/2018 (bb)		4
	98	Series 2004-UST1, Class A6, 3.23%, 08/25/2034 (z)		96
	261	Series 2005-1, Class 2A1A, 3.07%, 02/25/2035 (z)		227
	309	Series 2005-2, Class 2A11, 5.50%, 05/25/2035		316
	353	Series 2005-5, Class 1A2, 4.07%, 08/25/2035 (z)		298
	1,079	Conix Mortgage Asset Trust, Series 2013-1, Class A 12/25/2047 (d) (z) (bb)		116
		Credit Suisse First Boston Mortgage Securities Corp.,
	426	Series 2003-1, Class DB1, 6.71%, 02/25/2033 (z)		432
	10	Series 2003-17, Class 2A1, 5.00%, 07/25/2018		10


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	148		Series 2003-21, Class 1A4, 5.25%, 09/25/2033		152
	260		Series 2003-25, Class 1P, PO, 10/25/2033 (bb)		236
	5		Series 2004-5, Class 5P, PO, 08/25/2019 (bb)		5
	2,515		Series 2005-4, Class 3A18, 5.50%, 06/25/2035		2,548
	2,811		Series 2005-4, Class 3A23, 5.50%, 06/25/2035		2,809
	792		CSMC, Series 2010-11R, Class A6, 2.23%, 06/28/2047(e) (z)		790
	88		FHLMC — GNMA, Series 8, Class ZA, 7.00%, 03/25/2023		94
			FHLMC REMIC,
	1		Series 22, Class C, 9.50%, 04/15/2020		1
	2		Series 23, Class F, 9.60%, 04/15/2020		2
	—	(h)	Series 47, Class F, 10.00%, 06/15/2020		—	(h)
	1		Series 99, Class Z, 9.50%, 01/15/2021		1
	—	(h)	Series 204, Class E, HB, IF, 1,644.59%, 05/15/2023 (z)		—	(h)
	—	(h)	Series 1045, Class G, HB, 1,066.21%, 02/15/2021		—	(h)
	2		Series 1065, Class J, 9.00%, 04/15/2021		2
	—	(h)	Series 1079, Class S, HB, IF, 29.83%, 05/15/2021 (z)		—	(h)
	1		Series 1084, Class F, 2.18%, 05/15/2021 (z)		1
	1		Series 1084, Class S, HB, IF, 39.71%, 05/15/2021 (z)		1
	3		Series 1116, Class I, 5.50%, 08/15/2021		4
	5		Series 1144, Class KB, 8.50%, 09/15/2021		6
	—	(h)	Series 1172, Class L, HB, 1,181.25%, 11/15/2021 (z)		—	(h)
	—	(h)	Series 1196, Class B, HB, IF, 1,104.54%, 01/15/2022 (z)		1
	4		Series 1250, Class J, 7.00%, 05/15/2022		4
	9		Series 1343, Class LA, 8.00%, 08/15/2022		9
	11		Series 1343, Class LB, 7.50%, 08/15/2022		12
	18		Series 1370, Class JA, 2.38%, 09/15/2022 (z)		19
	17		Series 1455, Class WB, IF, 4.06%, 12/15/2022 (z)		18
	87		Series 1466, Class PZ, 7.50%, 02/15/2023		96
	1		Series 1470, Class F, 1.66%, 02/15/2023 (z)		1
	93		Series 1498, Class I, 2.38%, 04/15/2023 (z)		95
	144		Series 1502, Class PX, 7.00%, 04/15/2023		158
	15		Series 1505, Class Q, 7.00%, 05/15/2023		17
	36		Series 1518, Class G, IF, 7.84%, 05/15/2023 (z)		41
	12		Series 1541, Class M, HB, IF, 24.89%, 07/15/2023 (z)		17


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
	34	Series 1541, Class O, 1.57%, 07/15/2023 (z)		34
	4	Series 1570, Class F, 2.16%, 08/15/2023 (z)		4
	119	Series 1573, Class PZ, 7.00%, 09/15 /2023		129
	73	Series 1591, Class PV, 6.25%, 10/15/2023		79
	27	Series 1602, Class SA, IF, 18.76%, 10/15/2023 (z)		38
	325	Series 1608, Class L, 6.50%, 09/15/2023		360
	226	Series 1638, Class H, 6.50%, 12/15/2023		245
	163	Series 1642, Class PJ, 6.00%, 11/15/2023		175
	14	Series 1671, Class QC, IF, 10.00%, 02/15/2024 (z)		19
	8	Series 1686, Class SH, IF, 16.48%, 02/15/2024 (z)		10
	54	Series 1695, Class EB, 7.00%, 03/15/2024		59
	10	Series 1699, Class FC, 1.83%, 03/15/2024 (z)		10
	50	Series 1700, Class GA, PO, 02/15/2024		49
	144	Series 1706, Class K, 7.00%, 03/15/2024		158
	5	Series 1709, Class FA, 1.42%, 03/15/2024 (z)		5
	22	Series 1745, Class D, 7.50%, 08/15/2024		25
	307	Series 1760, Class ZD, 1.77%, 02/15/2024 (z)		306
	114	Series 1798, Class F, 5.00%, 05/15/2023		120
	1	Series 1807, Class G, 9.00%, 10/15/2020		1
	26	Series 1829, Class ZB, 6.50%, 03/15/2026		28
	29	Series 1863, Class Z, 6.50%, 07/15/2026		32
	39	Series 1865, Class D, PO, 02/15/2024		36
	26	Series 1890, Class H, 7.50%, 09/15/2026		30
	90	Series 1899, Class ZE, 8.00%, 09/15/2026		105
	5	Series 1935, Class FL, 1.93%, 02/15/2027 (z)		5
	65	Series 1963, Class Z, 7.50%, 01/15/2027		75
	8	Series 1970, Class PG, 7.25%, 07/15/2027		9
	112	Series 1981, Class Z, 6.00%, 05/15/2027		122
	41	Series 1987, Class PE, 7.50%, 09/15/2027		48
	92	Series 2019, Class Z, 6.50%, 12/15/2027		103
	26	Series 2033, Class SN, HB, IF, 28.48%, 03/15/2024 (z)		10
	80	Series 2038, Class PN, IO, 7.00%, 03/15/2028		15
	174	Series 2040, Class PE, 7.50%, 03/15/2028		202
	23	Series 2043, Class CJ, 6.50%, 04/15/2028		26
	113	Series 2054, Class PV, 7.50%, 05/15/2028		131
	220	Series 2075, Class PH, 6.50%, 08/15/2028		247


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	247	Series 2075, Class PM, 6.25%, 08/15/2028		272
	62	Series 2086, Class GB, 6.00%, 09/15/2028		69
	103	Series 2089, Class PJ, IO, 7.00%, 10/15/2028		12
	286	Series 2095, Class PE, 6.00%, 11/15/2028		319
	97	Series 2125, Class JZ, 6.00%, 02/15/2029		106
	22	Series 2132, Class SB, HB, IF, 25.21%, 03/15/2029 (z)		37
	5	Series 2134, Class PI, IO, 6.50%, 03/15/2019		—	(h)
	122	Series 2136, Class PG, 6.00%, 03/15/2029		136
	36	Series 2141, Class IO, IO, 7.00%, 04/15/2029		4
	38	Series 2163, Class PC, IO, 7.50%, 06/15/2029		5
	367	Series 2169, Class TB, 7.00%, 06/15/2029		420
	215	Series 2172, Class QC, 7.00%, 07/15/2029		249
	189	Series 2176, Class OJ, 7.00%, 08/15/2029		217
	102	Series 2201, Class C, 8.00%, 11/15/2029		118
	95	Series 2209, Class TC, 8.00%, 01/15/2030		114
	173	Series 2210, Class Z, 8.00%, 01/15/2030		207
	34	Series 2224, Class CB, 8.00%, 03/15/2030		40
	97	Series 2230, Class Z, 8.00%, 04/15/2030		116
	67	Series 2234, Class PZ, 7.50%, 05/15/2030		79
	71	Series 2247, Class Z, 7.50%, 08/15/2030		81
	107	Series 2256, Class MC, 7.25%, 09/15/2030		125
	146	Series 2259, Class ZM, 7.00%, 10/15/2030		169
	5	Series 2261, Class ZY, 7.50%, 10/15/2030		6
	21	Series 2262, Class Z, 7.50%, 10/15/2030		25
	172	Series 2271, Class PC, 7.25%, 12/15/2030		200
	135	Series 2283, Class K, 6.50%, 12/15/2023		146
	91	Series 2296, Class PD, 7.00%, 03/15/2031		105
	24	Series 2306, Class K, PO, 05/15/2024		23
	56	Series 2306, Class SE, IF, IO, 8.33%, 05/15/2024 (z)		10
	96	Series 2313, Class LA, 6.50%, 05/15/2031		109
	138	Series 2325, Class PM, 7.00%, 06/15/2031		160
	908	Series 2344, Class ZD, 6.50%, 08/15/2031		1,060
	70	Series 2344, Class ZJ, 6.50%, 08/15/2031		78
	70	Series 2345, Class NE, 6.50%, 08/15/2031		79
	68	Series 2351, Class PZ, 6.50%, 08/15/2031		77
	532	Series 2353, Class AZ, 6.00%, 09/15/2031		581
	281	Series 2359, Class ZB, 8.50%, 06/15/2031		328
	153	Series 2367, Class ME, 6.50%, 10/15/2031		170
	328	Series 2396, Class FM, 1.68%, 12/15/2031 (z)		329
	168	Series 2399, Class OH, 6.50%, 01/15/2032		193


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
	248		Series 2399, Class TH, 6.50%, 01/15/2032		284
	249		Series 2410, Class NG, 6.50%, 02/15/2032		285
	89		Series 2410, Class OE, 6.38%, 02/15/2032		98
	166		Series 2410, Class QS, IF, 16.31%, 02/15/2032 (z)		251
	96		Series 2410, Class QX, IF, IO, 7.42%, 02/15/2032 (z)		26
	198		Series 2412, Class SP, IF, 13.65%, 02/15/2032 (z)		256
	278		Series 2420, Class XK, 6.50%, 02/15/2032		319
	256		Series 2423, Class MC, 7.00%, 03/15/2032		297
	219		Series 2423, Class MT, 7.00%, 03/15/2032		256
	436		Series 2430, Class WF, 6.50%, 03/15/2032		499
	259		Series 2434, Class TC, 7.00%, 04/15/2032		299
	289		Series 2435, Class CJ, 6.50%, 04/15/2032		331
	188		Series 2436, Class MC, 7.00%, 04/15/2032		214
	165		Series 2444, Class ES, IF, IO, 6.72%, 03/15/2032 (z)		40
	121		Series 2450, Class GZ, 7.00%, 05/15/2032		143
	132		Series 2450, Class SW, IF, IO, 6.77%, 03/15/2032 (z)		29
	555		Series 2455, Class GK, 6.50%, 05/15/2032		636
	200		Series 2462, Class JG, 6.50%, 06/15/2032		229
	415		Series 2464, Class SI, IF, IO, 6.77%, 02/15/2032 (z)		86
	373		Series 2466, Class PH, 6.50%, 06/15/2032		428
	176		Series 2474, Class NR, 6.50%, 07/15/2032		196
	245		Series 2484, Class LZ, 6.50%, 07/15/2032		276
	252		Series 2500, Class MC, 6.00%, 09/15/2032		286
	—	(h)	Series 2503, Class BH, 5.50%, 09/15/2017		—	(h)
	4		Series 2508, Class AQ, 5.50%, 10/15/2017		4
	199		Series 2512, Class PG, 5.50%, 10/15/2022		211
	107		Series 2535, Class BK, 5.50%, 12/15/2022		113
	14		Series 2537, Class TE, 5.50%, 12/15/2017		14
	424		Series 2543, Class YX, 6.00%, 12/15/2032		475
	439		Series 2544, Class HC, 6.00%, 12/15/2032		496
	531		Series 2552, Class ME, 6.00%, 01/15/2033		608
	428		Series 2567, Class QD, 6.00%, 02/15/2033		490
	266		Series 2568, Class KG, 5.50%, 02/15/2023		285
	51		Series 2571, Class SK, HB, IF, 29.21%, 09/15/2023 (z)		79
	1,184		Series 2575, Class ME, 6.00%, 02/15/2033		1,334
	156		Series 2586, Class WI, IO, 6.50%, 03/15/2033		29
	47		Series 2587, Class WX, 5.00%, 03/15/2018		47
	326		Series 2596, Class QG, 6.00%, 03/15/2033		354
	22		Series 2611, Class UH, 4.50%, 05/15/2018		22


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	41	Series 2617, Class GR, 4.50%, 05/15/2018		41
	32	Series 2626, Class NS, IF, IO, 5.32%, 06/15/2023 (z)		—	(h)
	49	Series 2631, Class LC, 4.50%, 06/15/2018		49
	24	Series 2636, Class Z, 4.50%, 06/15/2018		24
	30	Series 2637, Class SA, IF, IO, 4.87%, 06/15/2018 (z)		—	(h)
	22	Series 2638, Class DS, IF, 7.37%, 07/15/2023 (z)		23
	15	Series 2650, Class PO, PO, 12/15/2032		15
	137	Series 2650, Class SO, PO, 12/15/2032		135
	39	Series 2651, Class VZ, 4.50%, 07/15/2018		39
	221	Series 2675, Class CK, 4.00%, 09/15/2018		223
	70	Series 2692, Class SC, IF, 10.83%, 07/15/2033 (z)		87
	64	Series 2695, Class DG, 4.00%, 10/15/2018		64
	705	Series 2710, Class HB, 5.50%, 11/15/2023		749
	428	Series 2716, Class UN, 4.50%, 12/15/2023		446
	85	Series 2744, Class PE, 5.50%, 02/15/2034		90
	142	Series 2783, Class AT, 4.00%, 04/15/2019		144
	379	Series 2809, Class UC, 4.00%, 06/15/2019		383
	34	Series 2835, Class QO, PO, 12/15/2032		30
	10	Series 2840, Class JO, PO, 06/15/2023		10
	23	Series 2922, Class JN, 4.50%, 02/15/2020		24
	159	Series 2934, Class EC, PO, 02/15/2020		155
	133	Series 2934, Class HI, IO, 5.00%, 02/15/2020		6
	105	Series 2934, Class KI, IO, 5.00%, 02/15/2020		4
	52	Series 2958, Class QD, 4.50%, 04/15/2020		52
	449	Series 2965, Class GD, 4.50%, 04/15/2020		456
	5	Series 2989, Class PO, PO, 06/15/2023		5
	2,613	Series 2990, Class UZ, 5.75%, 06/15/2035		2,972
	1,233	Series 3004, Class EK, 5.50%, 07/15/2035		1,308
	59	Series 3014, Class OD, PO, 08/15/2035		55
	944	Series 3047, Class OD, 5.50%, 10/15/2035		1,093
	3,095	Series 3064, Class MC, 5.50%, 11/15/2035		3,449
	3	Series 3068, Class AO, PO, 01/15/2035		3
	69	Series 3068, Class QB, 4.50%, 06/15/2020		70
	883	Series 3074, Class BH, 5.00%, 11/15/2035		947
	224	Series 3085, Class WF, 2.03%, 08/15/2035 (z)		229
	366	Series 3102, Class FB, 1.53%, 01/15/2036 (z)		366
	87	Series 3102, Class HS, HB, IF, 20.07%, 01/15/2036 (z)		129
	504	Series 3117, Class EO, PO, 02/15/2036		448


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
	292	Series 3117, Class OK, PO, 02/15/2036		249
	21	Series 3122, Class ZB, 6.00%, 03/15/2036		32
	929	Series 3131, Class BK, 5.50%, 03/15/2026		998
	78	Series 3134, Class PO, PO, 03/15/2036		71
	370	Series 3138, Class PO, PO, 04/15/2036		335
	30	Series 3149, Class SO, PO, 05/15/2036		25
	176	Series 3151, Class UC, 5.50%, 08/15/2035		180
	373	Series 3152, Class MO, PO, 03/15/2036		331
	85	Series 3171, Class MO, PO, 06/15/2036		79
	313	Series 3179, Class OA, PO, 07/15/2036		282
	58	Series 3194, Class SA, IF, IO, 5.87%, 07/15/2036 (z)		7
	345	Series 3211, Class SO, PO, 09/15/2036		305
	156	Series 3218, Class AO, PO, 09/15/2036		125
	280	Series 3219, Class DI, IO, 6.00%, 04/15/2036		57
	837	Series 3229, Class HE, 5.00%, 10/15/2026		891
	335	Series 3232, Class ST, IF, IO, 5.47%, 10/15/2036 (z)		48
	121	Series 3233, Class OP, PO, 05/15/2036		111
	212	Series 3256, Class PO, PO, 12/15/2036		185
	456	Series 3260, Class CS, IF, IO, 4.91%, 01/15/2037 (z)		68
	248	Series 3261, Class OA, PO, 01/15/2037		218
	75	Series 3274, Class JO, PO, 02/15/2037		69
	80	Series 3275, Class FL, 1.67%, 02/15/2037 (z)		80
	497	Series 3290, Class SB, IF, IO, 5.22%, 03/15/2037 (z)		66
	588	Series 3315, Class HZ, 6.00%, 05/15/2037		612
	28	Series 3318, Class AO, PO, 05/15/2037		26
	30	Series 3326, Class JO, PO, 06/15/2037		28
	249	Series 3331, Class PO, PO, 06/15/2037		228
	155	Series 3385, Class SN, IF, IO, 4.77%, 11/15/2037 (z)		16
	346	Series 3387, Class SA, IF, IO, 5.19%, 11/15/2037 (z)		48
	577	Series 3404, Class SC, IF, IO, 4.77%, 01/15/2038 (z)		104
	2,754	Series 3422, Class AI, IO, SUB, 0.25%, 01/15/2038		29
	381	Series 3424, Class PI, IF, IO, 5.57%, 04/15/2038 (z)		68
	705	Series 3481, Class SJ, IF, IO, 4.62%, 08/15/2038 (z)		110
	446	Series 3511, Class SA, IF, IO, 4.77%, 02/15/2039 (z)		71
	113	Series 3549, Class FA, 2.43%, 07/15/2039 (z)		115


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	175	Series 3607, Class BO, PO, 04/15/2036		160
	675	Series 3607, Class OP, PO, 07/15/2037		581
	341	Series 3607, Class PO, PO, 05/15/2037		294
	83	Series 3611, Class PO, PO, 07/15/2034		73
	257	Series 3621, Class BO, PO, 01/15/2040		230
	274	Series 3720, Class A, 4.50%, 09/15/2025		291
	793	Series 3747, Class HI, IO, 4.50%, 07/15/2037		17
	1,000	Series 3747, Class PY, 4.00%, 10/15/2040		1,088
	521	Series 3759, Class HI, IO, 4.00%, 08/15/2037		18
	446	Series 3760, Class GI, IO, 4.00%, 10/15/2037		11
	123	Series 3804, Class FN, 1.68%, 03/15/2039 (z)		123
	1,626	Series 3819, Class ZQ, 6.00%, 04/15/2036		1,840
	379	Series 3852, Class QN, IF, 5.50%, 05/15/2041 (z)		401
	1,272	Series 3852, Class TP, IF, 5.50%, 05/15/2041 (z)		1,414
	1,236	Series 3920, Class LP, 5.00%, 01/15/2034		1,353
	796	Series 3925, Class FL, 1.68%, 01/15/2041 (z)		795
	549	Series 3957, Class B, 4.00%, 11/15/2041		584
	854	Series 3966, Class NA, 4.00%, 12/15/2041		919
	348	Series 3997, Class PF, 1.68%, 11/15/2039 (z)		349
	1,739	Series 4048, Class FJ, 1.63%, 07/15/2037 (z)		1,741
	2,000	Series 4217, Class KY, 3.00%, 06/15/2043		2,001
	2,501	Series 4240, Class B, 3.00%, 08/15/2033		2,542
	3,684	Series 4251, Class KW, 2.50%, 04/15/2028		3,593
	3,484	Series 4374, Class NC, SUB, 3.75%, 02/15/2046		3,597
		FHLMC STRIPS,
	1	Series 134, Class B, IO, 9.00%, 04/01/2022		—	(h)
	608	Series 233, Class 11, IO, 5.00%, 09/15/2035		115
	855	Series 233, Class 13, IO, 5.00%, 09/15/2035		156
	67	Series 243, Class 16, IO, 4.50%, 11/15/2020		2
	168	Series 243, Class 17, IO, 4.50%, 12/15/2020		5
	6,168	Series 299, Class 300, 3.00%, 01/15/2043		6,187
	1,955	Series 310, Class PO, PO, 09/15/2043		1,588
	3,900	Series 323, Class 300, 3.00%, 01/15/2044		3,962


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
			FHLMC, Structured Pass-Through Securities Certificates,
	377		Series T-41, Class 3A, 5.70%, 07/25/2032 (z)		411
	239		Series T-51, Class 2A, 7.50%, 08/25/2042 (z)		294
	1,359		Series T-54, Class 2A, 6.50%, 02/25/2043		1,616
	391		Series T-54, Class 3A, 7.00%, 02/25/2043		461
	148		Series T-58, Class APO, PO, 09/25/2043		125
	342		Series T-59, Class 1AP, PO, 10/25/2043		283
	1,363		Series T-76, Class 2A, 1.98%, 10/25/2037 (z)		1,411
			First Horizon Alternative Mortgage Securities Trust,
	524		Series 2004-AA4, Class A1, 3.22%, 10/25/2034 (z)		522
	866		Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035		773
	1,645		Series 2007-FA4, Class 1A2, IF, IO, 4.42%, 08/25/2037 (z) (bb)		342
	555		First Horizon Mortgage Pass-Through Trust, Series 2005-AR1, Class 2A2, 3.17%, 04/25/2035 (z)		566
			FNMA Grantor Trust,
	677		Series 2002-T19, Class A2, 7.00%, 07/25/2042		786
	468		Series 2004-T3, Class 1A3, 7.00%, 02/25/2044		551
			FNMA REMIC,
	—	(h)	Series 1988-7, Class Z, 9.25%, 04/25/2018		—	(h)
	2		Series 1989-70, Class G, 8.00%, 10/25/2019		3
	1		Series 1989-78, Class H, 9.40%, 11/25/2019		1
	2		Series 1989-83, Class H, 8.50%, 11/25/2019		2
	1		Series 1989-89, Class H, 9.00%, 11/25/2019		1
	2		Series 1990-1, Class D, 8.80%, 01/25/2020		2
	—	(h)	Series 1990-60, Class K, 5.50%, 06/25/2020		—	(h)
	1		Series 1990-63, Class H, 9.50%, 06/25/2020		1
	—	(h)	Series 1990-93, Class G, 5.50%, 08/25/2020		—	(h)
	—	(h)	Series 1990-94, Class H, HB, 505.00%, 08/25/2020		—	(h)
	—	(h)	Series 1990-95, Class J, HB, 1,118.04%, 08/25/2020		—	(h)
	6		Series 1990-102, Class J, 6.50%, 08/25/2020		6


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	5		Series 1990-120, Class H, 9.00%, 10/25/2020		6
	1		Series 1990-134, Class SC, IF, 19.75%, 11/25/2020 (z)		1
	—	(h)	Series 1990-140, Class K, HB, 652.15%, 12/25/2020		—	(h)
	—	(h)	Series 1991-7, Class K, HB, 908.50%, 02/25/2021		—	(h)
	2		Series 1991-24, Class Z, 5.00%, 03/25/2021		2
	1		Series 1992-101, Class J, 7.50%, 06/25/2022		1
	16		Series 1992-136, Class PK, 6.00%, 08/25/2022		17
	11		Series 1992-143, Class MA, 5.50%, 09/25/2022		12
	40		Series 1992-163, Class M, 7.75%, 09/25/2022		44
	64		Series 1992-188, Class PZ, 7.50%, 10/25/2022		70
	26		Series 1993-21, Class KA, 7.70%, 03/25/2023		29
	43		Series 1993-25, Class J, 7.50%, 03/25/2023		48
	10		Series 1993-27, Class SA, IF, 15.50%, 02/25/2023 (z)		13
	15		Series 1993-62, Class SA, IF, 19.00%, 04/25/2023 (z)		19
	8		Series 1993-165, Class SD, IF, 13.46%, 09/25/2023 (z)		10
	18		Series 1993-165, Class SK, IF, 12.50%, 09/25/2023 (z)		21
	13		Series 1993-179, Class SB, HB, IF, 26.88%, 10/25/2023 (z)		18
	9		Series 1993-179, Class SC, IF, 10.50%, 10/25/2023 (z)		10
	24		Series 1993-205, Class H, PO, 09/25/2023		23
	40		Series 1993-225, Class UB, 6.50%, 12/25/2023		44
	13		Series 1993-230, Class FA, 1.83%, 12/25/2023 (z)		13
	33		Series 1993-247, Class FE, 2.23%, 12/25/2023 (z)		33
	15		Series 1993-247, Class SU, IF, 12.29%, 12/25/2023 (z)		18
	133		Series 1994-37, Class L, 6.50%, 03/25/2024		145
	722		Series 1994-40, Class Z, 6.50%, 03/25/2024		788
	30		Series 1995-2, Class Z, 8.50%, 01/25/2025		32


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
	160	Series 1995-19, Class Z, 6.50%, 11/25/2023		177
	144	Series 1996-14, Class SE, IF, IO, 8.48%, 08/25/2023 (z)		25
	12	Series 1996-59, Class J, 6.50%, 08/25/2022		13
	101	Series 1997-20, Class IO, IO, 1.84%, 03/25/2027 (z)		3
	12	Series 1997-27, Class J, 7.50%, 04/18/2027		14
	27	Series 1997-29, Class J, 7.50%, 04/20/2027		31
	182	Series 1997-39, Class PD, 7.50%, 05/20/2027		210
	15	Series 1997-42, Class ZC, 6.50%, 07/18/2027		16
	259	Series 1997-61, Class ZC, 7.00%, 02/25/2023		283
	48	Series 1997-81, Class PI, IO, 7.00%, 12/18/2027		5
	6	Series 1998-4, Class C, PO, 04/25/2023		6
	71	Series 1998-36, Class ZB, 6.00%, 07/18/2028		80
	48	Series 1998-43, Class SA, IF, IO, 17.45%, 04/25/2023 (z)		16
	80	Series 1998-66, Class SB, IF, IO, 6.92%, 12/25/2028 (z)		10
	53	Series 1999-17, Class C, 6.35%, 04/25/2029		59
	195	Series 1999-18, Class Z, 5.50%, 04/18/2029		213
	11	Series 1999-38, Class SK, IF, IO, 6.82%, 08/25/2023 (z)		1
	24	Series 1999-52, Class NS, IF, 19.92%, 10/25/2023 (z)		33
	80	Series 1999-62, Class PB, 7.50%, 12/18/2029		92
	259	Series 2000-2, Class ZE, 7.50%, 02/25/2030		301
	152	Series 2000-20, Class SA, IF, IO, 7.87%, 07/25/2030 (z)		28
	20	Series 2000-52, Class IO, IO, 8.50%, 01/25/2031		4
	52	Series 2001-4, Class PC, 7.00%, 03/25/2021		54
	55	Series 2001-7, Class PF, 7.00%, 03/25/2031		64
	157	Series 2001-30, Class PM, 7.00%, 07/25/2031		183
	171	Series 2001-33, Class ID, IO, 6.00%, 07/25/2031		38


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	157	Series 2001-36, Class DE, 7.00%, 08/25/2031		180
	417	Series 2001-44, Class MY, 7.00%, 09/25/2031		487
	51	Series 2001-44, Class PD, 7.00%, 09/25/2031		59
	70	Series 2001-44, Class PU, 7.00%, 09/25/2031		81
	385	Series 2001-48, Class Z, 6.50%, 09/25/2021		409
	40	Series 2001-49, Class Z, 6.50%, 09/25/2031		45
	51	Series 2001-52, Class KB, 6.50%, 10/25/2031		57
	531	Series 2001-61, Class Z, 7.00%, 11/25/2031		621
	15	Series 2001-72, Class SX, IF, 14.59%, 12/25/2031 (z)		20
	37	Series 2002-1, Class HC, 6.50%, 02/25/2022		39
	31	Series 2002-1, Class SA, HB, IF, 21.18%, 02/25/2032 (z)		56
	33	Series 2002-1, Class UD, HB, IF, 20.18%, 12/25/2023 (z)		45
	586	Series 2002-13, Class SJ, IF, IO, 1.60%, 03/25/2032 (z)		29
	8	Series 2002-13, Class ST, IF, 10.00%, 03/25/2032 (z)		10
	16	Series 2002-21, Class LO, PO, 04/25/2032		14
	159	Series 2002-21, Class PE, 6.50%, 04/25/2032		182
	410	Series 2002-28, Class PK, 6.50%, 05/25/2032		468
	100	Series 2002-37, Class Z, 6.50%, 06/25/2032		112
	574	Series 2002-48, Class GH, 6.50%, 08/25/2032		649
	1	Series 2002-62, Class ZE, 5.50%, 11/25/2017		1
	1	Series 2002-63, Class KC, 5.00%, 10/25/2017		1
	88	Series 2002-77, Class S, IF, 12.22%, 12/25/2032 (z)		109
	282	Series 2002-83, Class CS, 6.88%, 08/25/2023		306
	17	Series 2003-3, Class HJ, 5.00%, 02/25/2018		18
	1,793	Series 2003-22, Class UD, 4.00%, 04/25/2033		1,904
	580	Series 2003-33, Class IA, IO, 6.50%, 05/25/2033		143


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
	345	Series 2003-34, Class AX, 6.00%, 05/25/2033		392
	1,347	Series 2003-34, Class ED, 6.00%, 05/25/2033		1,470
	22	Series 2003-35, Class UC, 3.75%, 05/25/2033		23
	70	Series 2003-39, Class IO, IO, 6.00%, 05/25/2033 (z)		15
	523	Series 2003-39, Class LW, 5.50%, 05/25/2023		560
	294	Series 2003-41, Class PE, 5.50%, 05/25/2023		310
	98	Series 2003-42, Class GB, 4.00%, 05/25/2033		103
	256	Series 2003-47, Class PE, 5.75%, 06/25/2033		287
	93	Series 2003-52, Class SX, IF, 19.25%, 10/25/2031 (z)		129
	72	Series 2003-64, Class SX, IF, 10.67%, 07/25/2033 (z)		89
	428	Series 2003-71, Class DS, IF, 5.83%, 08/25/2033 (z)		467
	567	Series 2003-72, Class IE, IO, 5.50%, 08/25/2033		104
	61	Series 2003-74, Class SH, IF, 7.95%, 08/25/2033 (z)		72
	34	Series 2003-76, Class GQ, 4.50%, 08/25/2018		34
	66	Series 2003-81, Class LC, 4.50%, 09/25/2018		67
	285	Series 2003-83, Class PG, 5.00%, 06/25/2023		290
	127	Series 2003-91, Class SD, IF, 10.44%, 09/25/2033 (z)		151
	828	Series 2003-116, Class SB, IF, IO, 6.37%, 11/25/2033 (z)		168
	40	Series 2003-128, Class NG, 4.00%, 01/25/2019		41
	34	Series 2003-130, Class SX, IF, 9.67%, 01/25/2034 (z)		40
	58	Series 2003-132, Class OA, PO, 08/25/2033		54
	688	Series 2004-4, Class QI, IF, IO, 5.87%, 06/25/2033 (z)		55
	65	Series 2004-4, Class QM, IF, 11.73%, 06/25/2033 (z)		74
	186	Series 2004-10, Class SC, HB, IF, 23.66%, 02/25/2034 (z)		206
	123	Series 2004-25, Class PC, 5.50%, 01/25/2034		125
	480	Series 2004-25, Class SA, IF, 16.13%, 04/25/2034 (z)		666


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	356	Series 2004-27, Class HB, 4.00%, 05/25/2019		361
	85	Series 2004-36, Class PC, 5.50%, 02/25/2034		87
	771	Series 2004-36, Class SA, IF, 16.13%, 05/25/2034 (z)		1,053
	149	Series 2004-36, Class SN, IF, 11.73%, 07/25/2033 (z)		158
	299	Series 2004-46, Class QB, IF, 19.06%, 05/25/2034 (z)		454
	892	Series 2004-46, Class SK, IF, 13.11%, 05/25/2034 (z)		1,136
	142	Series 2004-51, Class SY, IF, 11.77%, 07/25/2034 (z)		179
	144	Series 2004-53, Class NC, 5.50%, 07/25/2024		155
	199	Series 2004-59, Class BG, PO, 12/25/2032		182
	64	Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (z)		71
	28	Series 2004-76, Class CL, 4.00%, 10/25/2019		28
	204	Series 2004-79, Class SP, IF, 16.41%, 11/25/2034 (z)		238
	15	Series 2005-52, Class PA, 6.50%, 06/25/2035		16
	816	Series 2005-56, Class S, IF, IO, 5.48%, 07/25/2035 (z)		143
	202	Series 2005-66, Class SG, IF, 14.29%, 07/25/2035 (z)		284
	226	Series 2005-68, Class BC, 5.25%, 06/25/2035		234
	808	Series 2005-68, Class PG, 5.50%, 08/25/2035		897
	306	Series 2005-68, Class UC, 5.00%, 06/25/2035		315
	336	Series 2005-74, Class CS, IF, 16.63%, 05/25/2035 (z)		441
	2,621	Series 2005-84, Class XM, 5.75%, 10/25/2035		2,913
	1,037	Series 2005-109, Class PC, 6.00%, 12/25/2035		1,147
	4,326	Series 2005-110, Class GL, 5.50%, 12/25/2035		4,944
	394	Series 2005-110, Class MN, 5.50%, 06/25/2035		402
	45	Series 2006-15, Class OT, PO, 01/25/2036		43
	278	Series 2006-16, Class OA, PO, 03/25/2036		249
	407	Series 2006-22, Class AO, PO, 04/25/2036		365
	101	Series 2006-23, Class KO, PO, 04/25/2036		90


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
	899	Series 2006-39, Class WC, 5.50%, 01/25/2036		975
	563	Series 2006-44, Class GO, PO, 06/25/2036		514
	1,332	Series 2006-44, Class P, PO, 12/25/2033		1,226
	826	Series 2006-46, Class UC, 5.50%, 12/25/2035		882
	841	Series 2006-53, Class US, IF, IO, 5.35%, 06/25/2036 (z)		129
	805	Series 2006-56, Class FC, 1.52%, 07/25/2036 (z)		804
	451	Series 2006-56, Class PO, PO, 07/25/2036		411
	488	Series 2006-58, Class AP, PO, 07/25/2036		441
	62	Series 2006-58, Class FL, 1.69%, 07/25/2036 (z)		63
	249	Series 2006-58, Class PO, PO, 07/25/2036		230
	71	Series 2006-59, Class QO, PO, 01/25/2033		70
	4,125	Series 2006-60, Class DZ, 6.50%, 07/25/2036		5,090
	380	Series 2006-65, Class QO, PO, 07/25/2036		340
	78	Series 2006-72, Class TO, PO, 08/25/2036		72
	1,411	Series 2006-77, Class PC, 6.50%, 08/25/2036		1,601
	309	Series 2006-79, Class DO, PO, 08/25/2036		282
	262	Series 2006-90, Class AO, PO, 09/25/2036		240
	112	Series 2006-109, Class PO, PO, 11/25/2036		100
	711	Series 2006-110, Class PO, PO, 11/25/2036		637
	76	Series 2006-111, Class EO, PO, 11/25/2036		69
	469	Series 2006-118, Class A2, 1.29%, 12/25/2036 (z)		461
	75	Series 2006-119, Class PO, PO, 12/25/2036		69
	960	Series 2006-124, Class HB, 3.21%, 11/25/2036 (z)		1,021
	464	Series 2006-128, Class BP, 5.50%, 01/25/2037		491
	456	Series 2006-130, Class GI, IO, 6.50%, 07/25/2032		72
	785	Series 2007-7, Class SG, IF, IO, 5.27%, 08/25/2036 (z)		206
	1,063	Series 2007-14, Class ES, IF, IO, 5.21%, 03/25/2037 (z)		178
	89	Series 2007-15, Class NO, PO, 03/25/2022		86
	210	Series 2007-16, Class FC, 1.98%, 03/25/2037 (z)		215
	92	Series 2007-42, Class AO, PO, 05/25/2037		85
	176	Series 2007-48, Class PO, PO, 05/25/2037		160
	447	Series 2007-54, Class FA, 1.63%, 06/25/2037 (z)		447
	2,914	Series 2007-60, Class AX, IF, IO, 5.92%, 07/25/2037 (z)		649


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	110	Series 2007-77, Class FG, 1.73%, 03/25/2037 (z)		110
	597	Series 2007-81, Class GE, 6.00%, 08/25/2037		654
	1,894	Series 2007-88, Class VI, IF, IO, 5.31%, 09/25/2037 (z)		372
	1,468	Series 2007-91, Class ES, IF, IO, 5.23%, 10/25/2037 (z)		255
	996	Series 2007-97, Class KI, IO, 7.00%, 05/25/2033		124
	799	Series 2007-101, Class A2, 1.48%, 06/27/2036 (z)		784
	268	Series 2007-106, Class A7, 6.21%, 10/25/2037 (z)		298
	1,334	Series 2007-116, Class HI, IO, 1.38%, 01/25/2038 (z)		80
	590	Series 2008-1, Class BI, IF, IO, 4.68%, 02/25/2038 (z)		86
	376	Series 2008-10, Class XI, IF, IO, 5.00%, 03/25/2038 (z)		47
	199	Series 2008-16, Class IS, IF, IO, 4.97%, 03/25/2038 (z)		27
	62	Series 2008-19, Class IC, IO, 5.00%, 03/25/2023		1
	63	Series 2008-24, Class DY, 5.00%, 04/25/2023		64
	248	Series 2008-27, Class SN, IF, IO, 5.67%, 04/25/2038 (z)		37
	25	Series 2008-39, Class CI, IO, 4.50%, 05/25/2018		—	(h)
	148	Series 2008-42, Class AO, PO, 09/25/2036		139
	14	Series 2008-44, Class PO, PO, 05/25/2038		13
	243	Series 2008-47, Class SI, IF, IO, 5.27%, 06/25/2023 (z)		16
	373	Series 2008-53, Class CI, IF, IO, 5.97%, 07/25/2038 (z)		57
	35	Series 2008-76, Class GF, 1.88%, 09/25/2023 (z)		35
	830	Series 2008-80, Class SA, IF, IO, 4.62%, 09/25/2038 (z)		111
	545	Series 2008-81, Class SB, IF, IO, 4.62%, 09/25/2038 (z)		67
	789	Series 2009-6, Class GS, IF, IO, 5.32%, 02/25/2039 (z)		157
	205	Series 2009-9, Class IO, IO, 5.00%, 02/25/2024		10
	139	Series 2009-18, Class IO, IO, 5.00%, 03/25/2024		5
	1,573	Series 2009-19, Class IP, IO, 5.50%, 10/25/2036		278


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
	626	Series 2009-60, Class HT, 6.00%, 08/25/2039		710
	345	Series 2009-62, Class HJ, 6.00%, 05/25/2039		378
	600	Series 2009-70, Class CO, PO, 01/25/2037		527
	237	Series 2009-99, Class SC, IF, IO, 4.95%, 12/25/2039 (z)		32
	644	Series 2009-103, Class MB, 3.36%, 12/25/2039 (z)		686
	214	Series 2010-45, Class BD, 4.50%, 11/25/2038		216
	723	Series 2010-49, Class SC, IF, 10.19%, 03/25/2040 (z)		876
	406	Series 2010-64, Class DM, 5.00%, 06/25/2040		443
	528	Series 2010-71, Class HJ, 5.50%, 07/25/2040		594
	1,884	Series 2010-147, Class SA, IF, IO, 5.30%, 01/25/2041 (z)		368
	300	Series 2010-148, Class MA, 4.00%, 02/25/2039		309
	529	Series 2011-2, Class WA, 5.83%, 02/25/2051 (z)		579
	1,835	Series 2011-30, Class LS, IO, 1.71%, 04/25/2041 (z)		92
	2,500	Series 2011-31, Class DB, 3.50%, 04/25/2031		2,638
	431	Series 2011-75, Class FA, 1.78%, 08/25/2041 (z)		436
	856	Series 2011-118, Class MT, 7.00%, 11/25/2041		1,009
	1,260	Series 2011-130, Class CA, 6.00%, 12/25/2041		1,441
	552	Series 2012-14, Class FB, 1.68%, 08/25/2037 (z)		554
	3,000	Series 2012-66, Class CB, 3.00%, 06/25/2032		3,060
	2,000	Series 2013-81, Class TA, 3.00%, 02/25/2043		1,961
	1,694	Series 2013-90, Class PM, 3.50%, 09/25/2043		1,777
	1,818	Series 2013-92, Class PO, PO, 09/25/2043		1,460
	3,349	Series 2013-101, Class AE, 3.00%, 10/25/2033		3,399
	2,690	Series 2013-101, Class DO, PO, 10/25/2043		2,120
	3,000	Series 2013-101, Class E, 3.00%, 10/25/2033		3,062
	3,500	Series 2013-103, Class VG, 3.00%, 03/25/2030		3,611
	4,000	Series 2013-108, Class GU, 3.00%, 10/25/2033		4,069


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	3,450		Series 2013-128, Class PO, PO, 12/25/2043		2,880
	—	(h)	Series G-17, Class S, HB, 954.05%, 06/25/2021 (z)		—	(h)
	4		Series G-28, Class S, IF, 13.87%, 09/25/2021 (z)		4
	8		Series G-35, Class M, 8.75%, 10/25/2021		9
	2		Series G-51, Class SA, HB, IF, 24.07%, 12/25/2021 (z)		3
	—	(h)	Series G92-27, Class SQ, HB, IF, 489.58%, 05/25/2022 (z)		—	(h)
	52		Series G92-35, Class E, 7.50%, 07/25/2022		56
	—	(h)	Series G92-35, Class G, HB, 1,184.78%, 07/25/2022		1
	6		Series G92-42, Class Z, 7.00%, 07/25/2022		7
	5		Series G92-44, Class ZQ, 8.00%, 07/25/2022		5
	8		Series G92-52, Class FD, 1.26%, 09/25/2022 (z)		8
	49		Series G92-54, Class ZQ, 7.50%, 09/25/2022		52
	7		Series G92-59, Class F, 1.36%, 10/25/2022 (z)		7
	17		Series G92-61, Class Z, 7.00%, 10/25/2022		19
	12		Series G92-62, Class B, PO, 10/25/2022		12
	61		Series G93-1, Class KA, 7.90%, 01/25/2023		67
	14		Series G93-5, Class Z, 6.50%, 02/25/2023		15
	19		Series G93-14, Class J, 6.50%, 03/25/2023		20
	43		Series G93-17, Class SI, IF, 6.00%, 04/25/2023 (z)		47
	37		Series G93-27, Class FD, 2.11%, 08/25/2023 (z)		37
	9		Series G93-37, Class H, PO, 09/25/2023		9
	27		Series G95-1, Class C, 8.80%, 01/25/2025		31
			FNMA REMIC Trust,
	610		Series 2003-W1, Class 1A1, 6.50%, 12/25/2042 (z)		665
	252		Series 2003-W1, Class 2A, 7.50%, 12/25/2042 (z)		289
	75		Series 2003-W4, Class 2A, 6.50%, 10/25/2042 (z)		89
	20		Series 2007-W7, Class 1A4, HB, IF, 31.77%, 07/25/2037 (z)		29
	1,081		Series 2009-W1, Class A, 6.00%, 12/25/2049		1,229
			FNMA STRIPS,
	—	(h)	Series 23, Class 2, IO, 10.00%, 09/25/2017		—
	—	(h)	Series 50, Class 2, IO, 10.50%, 03/25/2019		—	(h)
	5		Series 218, Class 2, IO, 7.50%, 04/25/2023		1
	6		Series 265, Class 2, 9.00%, 03/25/2024		7


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
	71	Series 329, Class 1, PO, 01/25/2033		63
	29	Series 339, Class 18, IO, 4.50%, 07/25/2018		—	(h)
	43	Series 339, Class 21, IO, 4.50%, 08/25/2018		—	(h)
	7	Series 339, Class 28, IO, 5.50%, 08/25/2018		—	(h)
	101	Series 345, Class 6, IO, 5.00%, 12/25/2033 (z)		17
	340	Series 351, Class 7, IO, 5.00%, 04/25/2034 (z)		67
	271	Series 355, Class 11, IO, 6.00%, 07/25/2034		48
	27	Series 355, Class 31, IO, 4.50%, 12/25/2018 (z)		—	(h)
	443	Series 365, Class 8, IO, 5.50%, 05/25/2036		95
	21	Series 368, Class 3, IO, 4.50%, 11/25/2020		1
	230	Series 374, Class 5, IO, 5.50%, 08/25/2036		51
	111	Series 383, Class 32, IO, 6.00%, 01/25/2038		23
	292	Series 383, Class 33, IO, 6.00%, 01/25/2038		56
	82	Series 393, Class 6, IO, 5.50%, 04/25/2037		15
		FNMA Trust,
	153	Series 2004-W1, Class 2A2, 7.00%, 12/25/2033		180
	370	Series 2004-W2, Class 2A2, 7.00%, 02/25/2044		423
	488	Series 2004-W15, Class 2AF, 1.48%, 08/25/2044 (z)		484
	1,319	Series 2005-W3, Class 2AF, 1.45%, 03/25/2045 (z)		1,287
	468	Series 2006-W2, Class 1AF1, 1.45%, 02/25/2046 (z)		468
	2,065	GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4, 3.75%, 06/19/2035 (z)		2,031
		GNMA,
	699	Series 1994-7, Class PQ, 6.50%, 10/16/2024		758
	512	Series 1999-4, Class ZB, 6.00%, 02/20/2029		570
	62	Series 1999-30, Class S, IF, IO, 7.37%, 08/16/2029 (z)		13
	86	Series 2000-9, Class Z, 8.00%, 06/20/2030		100
	715	Series 2000-9, Class ZJ, 8.50%, 02/16/2030		831
	978	Series 2000-21, Class Z, 9.00%, 03/16/2030		1,131
	158	Series 2000-31, Class Z, 9.00%, 10/20/2030		189


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	97	Series 2000-35, Class ZA, 9.00%, 11/20/2030		117
	9	Series 2000-36, Class IK, IO, 9.00%, 11/16/2030		1
	46	Series 2001-6, Class SD, IF, IO, 7.32%, 03/16/2031 (z)		13
	129	Series 2001-35, Class SA, IF, IO, 7.02%, 08/16/2031 (z)		37
	121	Series 2001-36, Class S, IF, IO, 6.82%, 08/16/2031 (z)		35
	454	Series 2002-24, Class AG, IF, IO, 6.72%, 04/16/2032 (z)		84
	43	Series 2002-24, Class SB, IF, 10.08%, 04/16/2032 (z)		52
	855	Series 2002-31, Class SE, IF, IO, 6.27%, 04/16/2030 (z)		125
	15	Series 2002-41, Class SV, IF, 9.00%, 06/16/2032 (z)		19
	1,081	Series 2002-45, Class QE, 6.50%, 06/20/2032		1,235
	384	Series 2002-47, Class PG, 6.50%, 07/16/2032		444
	697	Series 2002-47, Class ZA, 6.50%, 07/20/2032		822
	601	Series 2002-52, Class GH, 6.50%, 07/20/2032		709
	949	Series 2002-75, Class PB, 6.00%, 11/20/2032		1,082
	444	Series 2003-11, Class SK, IF, IO, 6.47%, 02/16/2033 (z)		68
	206	Series 2003-12, Class SP, IF, IO, 6.47%, 02/20/2033 (z)		48
	41	Series 2003-24, Class PO, PO, 03/16/2033		38
	1,096	Series 2003-40, Class TJ, 6.50%, 03/20/2033		1,242
	677	Series 2003-46, Class MG, 6.50%, 05/20/2033		778
	518	Series 2003-46, Class TC, 6.50%, 03/20/2033		583
	185	Series 2003-52, Class AP, PO, 06/16/2033		159
	921	Series 2003-58, Class BE, 6.50%, 01/20/2033		1,044
	56	Series 2003-90, Class PO, PO, 10/20/2033		50
	715	Series 2003-112, Class SA, IF, IO, 5.32%, 12/16/2033 (z)		132
	295	Series 2004-28, Class S, IF, 16.29%, 04/16/2034 (z)		417
	83	Series 2004-73, Class AE, IF, 12.32%, 08/17/2034 (z)		95
	973	Series 2004-90, Class SI, IF, IO, 4.87%, 10/20/2034 (z)		153


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
	189	Series 2005-35, Class FL, 1.58%, 03/20/2032 (z)		190
	1,629	Series 2005-58, Class NI, IO, 5.50%, 08/20/2035		306
	145	Series 2005-68, Class DP, IF, 13.48%, 06/17/2035 (z)		181
	2,231	Series 2005-68, Class KI, IF, IO, 5.07%, 09/20/2035 (z)		366
	312	Series 2005-91, Class PI, IO, 6.00%, 12/20/2035		60
	149	Series 2006-16, Class OP, PO, 03/20/2036		137
	332	Series 2006-38, Class SW, IF, IO, 5.27%, 06/20/2036 (z)		29
	1,667	Series 2006-38, Class ZK, 6.50%, 08/20/2036		1,938
	442	Series 2006-59, Class SD, IF, IO, 5.47%, 10/20/2036 (z)		66
	759	Series 2006-65, Class SA, IF, IO, 5.57%, 11/20/2036 (z)		140
	1,299	Series 2007-17, Class JI, IF, IO, 5.58%, 04/16/2037 (z)		253
	139	Series 2007-17, Class JO, PO, 04/16/2037		123
	706	Series 2007-19, Class SD, IF, IO, 4.97%, 04/20/2037 (z)		103
	663	Series 2007-26, Class SC, IF, IO, 4.97%, 05/20/2037 (z)		105
	576	Series 2007-27, Class SA, IF, IO, 4.97%, 05/20/2037 (z)		88
	156	Series 2007-28, Class BO, PO, 05/20/2037		133
	454	Series 2007-36, Class SE, IF, IO, 5.24%, 06/16/2037 (z)		76
	1,291	Series 2007-40, Class SB, IF, IO, 5.52%, 07/20/2037 (z)		210
	767	Series 2007-42, Class SB, IF, IO, 5.52%, 07/20/2037 (z)		128
	2,500	Series 2007-47, Class PH, 6.00%, 07/16/2037		3,003
	477	Series 2007-50, Class AI, IF, IO, 5.54%, 08/20/2037 (z)		87
	68	Series 2007-53, Class SW, IF, 16.51%, 09/20/2037 (z)		93
	331	Series 2007-57, Class PO, PO, 03/20/2037		299
	96	Series 2007-71, Class SB, IF, IO, 5.47%, 07/20/2036 (z)		2
	388	Series 2007-72, Class US, IF, IO, 5.32%, 11/20/2037 (z)		66
	404	Series 2007-73, Class MI, IF, IO, 4.77%, 11/20/2037 (z)		68
	781	Series 2007-76, Class SA, IF, IO, 5.30%, 11/20/2037 (z)		135


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	381	Series 2007-79, Class SY, IF, IO, 5.32%, 12/20/2037 (z)		67
	208	Series 2008-2, Class MS, IF, IO, 5.93%, 01/16/2038 (z)		41
	692	Series 2008-2, Class NS, IF, IO, 5.31%, 01/16/2038 (z)		122
	443	Series 2008-10, Class S, IF, IO, 4.60%, 02/20/2038 (z)		65
	277	Series 2008-32, Class PI, IO, 5.50%, 10/16/2037		34
	622	Series 2008-36, Class SH, IF, IO, 5.07%, 04/20/2038 (z)		92
	3,715	Series 2008-40, Class SA, IF, IO, 5.17%, 05/16/2038 (z)		646
	351	Series 2008-55, Class SA, IF, IO, 4.97%, 06/20/2038 (z)		53
	13	Series 2008-60, Class PO, PO, 01/20/2038		13
	175	Series 2008-71, Class SC, IF, IO, 4.77%, 08/20/2038 (z)		26
	416	Series 2008-93, Class AS, IF, IO, 4.47%, 12/20/2038 (z)		58
	461	Series 2009-6, Class SA, IF, IO, 4.87%, 02/16/2039 (z)		64
	155	Series 2009-10, Class SL, IF, IO, 5.27%, 03/16/2034 (z)		3
	1,058	Series 2009-12, Class IE, IO, 5.50%, 03/20/2039		196
	417	Series 2009-14, Class KI, IO, 6.50%, 03/20/2039		94
	401	Series 2009-14, Class NI, IO, 6.50%, 03/20/2039		105
	1,013	Series 2009-22, Class SA, IF, IO, 5.04%, 04/20/2039 (z)		132
	302	Series 2009-25, Class SE, IF, IO, 6.37%, 09/20/2038 (z)		57
	235	Series 2009-33, Class CI, IO, 5.50%, 05/20/2039		43
	238	Series 2009-33, Class TI, IO, 6.00%, 05/20/2039		49
	424	Series 2009-43, Class SA, IF, IO, 4.72%, 06/20/2039 (z)		62
	309	Series 2009-65, Class IQ, IO, 6.00%, 12/20/2038		37
	978	Series 2009-72, Class SM, IF, IO, 5.02%, 08/16/2039 (z)		158
	242	Series 2009-79, Class OK, PO, 11/16/2037		222
	357	Series 2010-14, Class CO, PO, 08/20/2035		324
	1,912	Series 2010-31, Class NO, PO, 03/20/2040		1,780
	273	Series 2010-130, Class CP, 7.00%, 10/16/2040		317


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
	2,003	Series 2010-157, Class OP, PO, 12/20/2040		1,777
	670	Series 2011-22, Class WA, 5.93%, 02/20/2037 (z)		742
	1,254	Series 2011-75, Class SM, IF, IO, 5.37%, 05/20/2041 (z)		246
	575	Series 2012-141, Class WC, 3.71%, 01/20/2042 (z)		602
	362	Series 2012-H15, Class FA, 1.67%, 05/20/2062 (z)		362
	1,546	Series 2012-H21, Class CF, 1.92%, 05/20/2061 (z)		1,550
	2,629	Series 2012-H22, Class FD, 1.69%, 01/20/2061 (z)		2,633
	891	Series 2012-H24, Class FG, 1.65%, 04/20/2060 (z)		892
	928	Series 2012-H26, Class MA, 1.77%, 07/20/2062 (z)		930
	1,491	Series 2012-H28, Class FA, 1.80%, 09/20/2062 (z)		1,496
	1,479	Series 2012-H29, Class FA, 1.74%, 10/20/2062 (z)		1,478
	163	Series 2012-H30, Class PA, 1.67%, 11/20/2059 (z)		163
	1,561	Series 2012-H31, Class FD, 1.56%, 12/20/2062 (z)		1,551
	2,671	Series 2013-54, Class WA, 4.73%, 11/20/2042 (z)		2,888
	1,960	Series 2013-75, Class WA, 5.22%, 06/20/2040 (z)		2,152
	1,177	Series 2013-91, Class WA, 4.49%, 04/20/2043 (z)		1,248
	1,300	Series 2013-116, Class JY, 4.00%, 08/16/2043		1,420
	2,547	Series 2013-H01, Class FA, 1.65%, 01/20/2063		2,536
	110	Series 2013-H03, Class FA, 1.52%, 08/20/2060 (z)		110
	1,252	Series 2013-H04, Class BA, 1.65%, 02/20/2063		1,247
	2,294	Series 2013-H05, Class FB, 1.62%, 02/20/2062 (z)		2,294
	1,426	Series 2013-H07, Class HA, 1.63%, 03/20/2063 (z)		1,420
	1,394	Series 2013-H08, Class FC, 1.67%, 02/20/2063 (z)		1,390
	1,739	Series 2013-H09, Class HA, 1.65%, 04/20/2063		1,720
	3,095	Series 2013-H18, Class JA, 1.82%, 08/20/2063 (z)		3,106
	947	Series 2014-188, Class W, 4.65%, 10/20/2041 (z)		1,019


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	1,534	Series 2014-H01, Class FD, 1.87%, 01/20/2064 (z)		1,540
	1,551	Series 2014-H09, Class TA, 1.82%, 04/20/2064 (z)		1,554
	5,456	Series 2015-H05, Class FC, 1.70%, 02/20/2065 (z)		5,441
	6,793	Series 2015-H12, Class FA, 1.70%, 05/20/2065 (z)		6,776
	1,800	Series 2015-H15, Class FD, 1.66%, 06/20/2065 (z)		1,792
	3,946	Series 2015-H15, Class FJ, 1.66%, 06/20/2065 (z)		3,928
	3,110	Series 2015-H16, Class FG, 1.66%, 07/20/2065 (z)		3,096
	2,915	Series 2015-H23, Class FB, 1.74%, 09/20/2065 (z)		2,913
	2,086	Series 2015-H32, Class FH, 1.88%, 12/20/2065 (z)		2,099
	8,973	Series 2017-H08, Class XI, IO, 2.08%, 03/20/2067 (z)		1,183
		GSMPS Mortgage Loan Trust,
	676	Series 2001-2, Class A, 7.50%, 06/19/2032 (e) (z)		682
	967	Series 2005-RP3, Class 1AF, 1.58%, 09/25/2035 (e) (z)		843
	731	Series 2005-RP3, Class 1AS, IO, 3.40%, 09/25/2035 (e) (z) (bb)		80
	3,194	Series 2006-RP2, Class 1AS2, IF, IO, 4.86%, 04/25/2036 (e) (z) (bb)		380
		GSR Mortgage Loan Trust,
	529	Series 2004-13F, Class 3A3, 6.00%, 11/25/2034		542
	323	Series 2004-6F, Class 3A4, 6.50%, 05/25/2034		343
	217	Series 2004-8F, Class 2A3, 6.00%, 09/25/2034		223
	26	Series 2005-4F, Class AP, PO, 05/25/2035 (bb)		24
	1,166	Series 2005-7F, Class 3A9, 6.00%, 09/25/2035		1,238
	1,708	Series 2006-1F, Class 2A4, 6.00%, 02/25/2036		1,531
	1,240	Series 2007-1F, Class 2A4, 5.50%, 01/25/2037		1,230
	1,204	Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.00%, 05/26/2053 (e) (bb)		1,199
		Impac CMB Trust,
	1,449	Series 2004-7, Class 1A1, 1.97%, 11/25/2034 (z)		1,441
	163	Series 2005-4, Class 2A1, 1.83%, 05/25/2035 (z)		162


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
		Impac Secured Assets Trust,
	463	Series 2006-1, Class 2A1, 1.58%, 05/25/2036 (z)		440
	270	Series 2006-2, Class 2A1, 1.58%, 08/25/2036 (z)		265
		JP Morgan Mortgage Trust,
	622	Series 2006-A2, Class 4A1, 3.73%, 08/25/2034 (z)		628
	803	Series 2006-A2, Class 5A3, 3.22%, 11/25/2033 (z)		817
	145	Series 2006-A3, Class 6A1, 3.57%, 08/25/2034 (z)		146
		Lehman Mortgage Trust,
	414	Series 2006-2, Class 1A1, 5.84%, 04/25/2036 (z)		375
	783	Series 2008-2, Class 1A6, 6.00%, 03/25/2038		570
		MASTR Adjustable Rate Mortgages Trust,
	49	Series 2004-4, Class 2A1, 2.99%, 05/25/2034 (z)		46
	353	Series 2004-13, Class 2A1, 3.18%, 04/21/2034 (z)		361
	867	Series 2004-13, Class 3A7, 3.43%, 11/21/2034 (z)		888
	291	Series 2004-15, Class 3A1, 3.87%, 12/25/2034 (z)		284
		MASTR Alternative Loan Trust,
	139	Series 2003-3, Class 1A1, 6.50%, 05/25/2033		144
	408	Series 2003-9, Class 8A1, 6.00%, 01/25/2034		421
	371	Series 2004-3, Class 2A1, 6.25%, 04/25/2034		387
	502	Series 2004-4, Class 10A1, 5.00%, 05/25/2024		522
	252	Series 2004-6, Class 30PO, PO, 07/25/2034 (bb)		206
	413	Series 2004-6, Class 7A1, 6.00%, 07/25/2034		409
	165	Series 2004-7, Class 30PO, PO, 08/25/2034 (bb)		137
	233	Series 2004-8, Class 6A1, 5.50%, 09/25/2019		236
	37	Series 2004-10, Class 1A1, 4.50%, 09/25/2019		37
		MASTR Asset Securitization Trust,
	31	Series 2003-12, Class 30PO, PO, 12/25/2033 (bb)		29
	26	Series 2004-1, Class 30PO, PO, 02/25/2034 (bb)		22
	6	Series 2004-4, Class 3A1, 4.50%, 04/25/2019		6


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	7		Series 2004-6, Class 15PO, PO, 07/25/2019 (bb)		7
	15		Series 2004-8, Class 1A1, 4.75%, 08/25/2019		15
	6		Series 2004-8, Class PO, PO, 08/25/2019 (bb)		6
	1,922		MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, 1.58%, 05/25/2035 (e) (z)		1,629
	224		MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/2035 (e) (bb)		178
			Merrill Lynch Mortgage Investors Trust,
	152		Series 2003-E, Class A1, 1.85%, 10/25/2028 (z)		149
	1,645		Series 2003-F, Class A1, 1.87%, 10/25/2028 (z)		1,614
	431		Series 2004-1, Class 2A1, 3.13%, 12/25/2034 (z)		434
	291		Series 2004-A, Class A1, 1.69%, 04/25/2029 (z)		280
	2		ML Trust XLVII, Series 47, Class Z, 8.99%, 10/20/2020 (bb)		2
	332		MortgageIT Trust, Series 2005-1, Class 1A1, 1.87%, 02/25/2035 (z)		322
	351		NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, 6.50%, 10/25/2034 (e) (z)		343
			Nomura Asset Acceptance Corp. Alternative Loan Trust,
	147		Series 2003-A1, Class A1, 5.50%, 05/25/2033		150
	93		Series 2003-A1, Class A2, 6.00%, 05/25/2033		95
	34		Series 2003-A1, Class A5, 7.00%, 04/25/2033		35
	—	(h)	Series 2003-A1, Class A7, 5.00%, 04/25/2018		— (h)
	2		PaineWebber CMO Trust, Series P, Class 4, 8.50%, 08/01/2019		2
	125		Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, 3.42%, 05/25/2035 (z)		122
			RALI Trust,
	3		Series 2002-QS16, Class A3, IF, 14.04%, 10/25/2017 (z)		3
	12		Series 2003-QS3, Class A2, IF, 13.78%, 02/25/2018 (z)		13
	53		Series 2003-QS9, Class A3, IF, IO, 6.32%, 05/25/2018 (z) (bb)		1
	62		Series 2003-QS12, Class A2A, IF, IO, 6.37%, 06/25/2018 (z) (bb)		1
	19		Series 2003-QS12, Class A5, IO, 5.00%, 06/25/2018 (bb)		—	(h)


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
	185	Series 2003-QS14, Class A1, 5.00%, 07/25/2018		185
	57	Series 2003-QS18, Class A1, 5.00%, 09/25/2018		57
	1,254	Series 2004-QA6, Class NB2, 3.74%, 12/26/2034 (z)		1,107
		RBSSP Resecuritization Trust,
	174	Series 2009-2, Class 1A1, 7.00%, 08/26/2037 (e) (z)		179
	364	Series 2009-12, Class 1A1, 5.61%, 11/25/2033 (e) (z)		374
		Residential Asset Securitization Trust,
	5	Series 2003-A14, Class A1, 4.75%, 02/25/2019		5
	1,779	Series 2005-A2, Class A4, IF, IO, 3.82%, 03/25/2035 (z) (bb)		188
	434	Series 2006-A4, Class 2A5, 6.00%, 05/25/2036		417
		RFMSI Trust,
	10	Series 2003-S14, Class A4, PO, 07/25/2018 (bb)		10
	27	Series 2004-S3, Class A1, 4.75%, 03/25/2019		27
	22	Series 2004-S9, Class 2A1, 4.75%, 12/25/2019		23
	367	Series 2005-SA4, Class 1A1, 3.54%, 09/25/2035 (z)		305
		Springleaf Mortgage Loan Trust,
	821	Series 2013-2A, Class A, 1.78%, 12/25/2065 (e) (z)		820
	1,058	Series 2013-2A, Class M1, 3.52%, 12/25/2065 (e) (z)		1,056
	300	Series 2013-3A, Class A, 1.87%, 09/25/2057 (e) (z)		299
	2,131	Series 2013-3A, Class M1, 3.79%, 09/25/2057 (e) (z) (bb)		2,136
	505	Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1, 1.89%, 10/19/2034 (z)		487
		Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
	540	Series 2003-33H, Class 1A1, 5.50%, 10/25/2033		549
	842	Series 2004-5H, Class A4, 5.54%, 12/25/2033		864
	81	Structured Asset Securities Corp. Trust, Series 2005-10, Class 5A9, 5.25%, 12/25/2034		79
		Thornburg Mortgage Securities Trust,
	268	Series 2003-4, Class A1, 1.87%, 09/25/2043 (z)		259


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	635	Series 2004-4, Class 3A, 2.66%, 12/25/2044 (z)		637
		Vendee Mortgage Trust,
	288	Series 1994-1, Class 1, 5.36%, 02/15/2024 (z)		306
	386	Series 1994-1, Class 2ZB, 6.50%, 02/15/2024		423
	424	Series 1996-1, Class 1Z, 6.75%, 02/15/2026		479
	334	Series 1996-2, Class 1Z, 6.75%, 06/15/2026		374
	598	Series 1997-1, Class 2Z, 7.50%, 02/15/2027		686
	691	Series 1998-1, Class 2E, 7.00%, 03/15/2028		800
	1,383	Series 1999-1, Class 2Z, 6.50%, 01/15/2029		1,550
	6,316	Series 2003-2, Class Z, 5.00%, 05/15/2033		6,989
	1,157	WaMu Mortgage Pass-Through Certificates, Series 2004-RS2, Class A4, 5.00%, 11/25/2033		1,175
		WaMu Mortgage Pass-Through Certificates Trust,
	100	Series 2003-AR8, Class A, 3.21%, 08/25/2033 (z)		101
	1,389	Series 2003-AR9, Class 1A6, 3.09%, 09/25/2033 (z)		1,414
	219	Series 2003-AR9, Class 2A, 3.24%, 09/25/2033 (z)		221
	28	Series 2003-S8, Class A6, 4.50%, 09/25/2018		28
	656	Series 2003-S9, Class A8, 5.25%, 10/25/2033		683
	60	Series 2003-S9, Class P, PO, 10/25/2033 (bb)		53
	124	Series 2004-AR3, Class A1, 3.15%, 06/25/2034 (z)		126
	104	Series 2004-AR3, Class A2, 3.15%, 06/25/2034 (z)		105
	148	Series 2006-AR10, Class 2P, 3.24%, 09/25/2036 (z) (bb)		126
	131	Series 2006-AR12, Class 2P, 2.50%, 10/25/2036 (z) (bb)		109
		Washington Mutual Mortgage Pass-Through Certificates WMALT Trust,
	5,726	Series 2005-2, Class 1A4, IF, IO, 3.82%, 04/25/2035 (z) (bb)		829
	1,350	Series 2005-2, Class 2A3, IF, IO, 3.77%, 04/25/2035 (z) (bb)		185
	1,581	Series 2005-3, Class CX, IO, 5.50%, 05/25/2035 (bb)		315


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — continued
	1,795	Series 2005-4, Class CB7, 5.50%, 06/25/2035		1,690
	1,451	Series 2005-4, Class CX, IO, 5.50%, 06/25/2035 (bb)		291
	397	Series 2005-6, Class 2A4, 5.50%, 08/25/2035		384
	2,539	Series 2005-6, Class 2A9, 5.50%, 08/25/2035		2,461
		Wells Fargo Mortgage-Backed Securities Trust,
	115	Series 2003-K, Class 1A1, 2.96%, 11/25/2033 (z)		117
	218	Series 2003-K, Class 1A2, 2.96%, 11/25/2033 (z)		221
	238	Series 2004-EE, Class 2A1, 3.29%, 12/25/2034 (z)		241
	310	Series 2004-EE, Class 3A1, 3.64%, 12/25/2034 (z)		321
	1,317	Series 2004-P, Class 2A1, 3.53%, 09/25/2034 (z)		1,347
	237	Series 2004-V, Class 1A1, 3.39%, 10/25/2034 (z)		240
	81	Series 2005-16, Class APO, PO, 01/25/2036 (bb)		69
	2,228	Series 2005-AR3, Class 1A1, 3.38%, 03/25/2035 (z)		2,285
	241	Series 2005-AR8, Class 2A1, 3.35%, 06/25/2035 (z)		246
	222	Series 2005-AR16, Class 2A1, 3.18%, 02/25/2034 (z)		227
	324	Series 2006-2, Class APO, PO, 03/25/2036 (bb)		271
	130	Series 2006-4, Class 1APO, PO, 04/25/2036 (bb)		117
	524	Series 2007-7, Class A7, 6.00%, 06/25/2037		527
	166	Series 2007-11, Class A14, 6.00%, 08/25/2037		166

		Total Collateralized Mortgage Obligations (Cost $363,734)		386,696

	Commercial Mortgage-Backed Securities — 5.0%
	469	A10 Securitization LLC, Series 2015-1, Class A2, 3.13%, 04/15/2034 (e)		470
		BAMLL Commercial Mortgage Securities Trust,
	560	Series 2012-PARK, Class A, 2.96%, 12/10/2030 (e)		576
	1,300	Series 2014-520M, Class C, 4.35%, 08/15/2046 (e) (z) (bb)		1,265
		BAMLL Re-REMIC Trust,
	1,950	Series 2014-FRR5, Class A714, PO, 01/27/2047 (e)		1,736


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	2,600	Series 2016-FR16, Class A, 1.00%, 05/27/2021 (e) (z)		2,406
		BB-UBS Trust,
	4,400	Series 2012-SHOW, Class A, 3.43%, 11/05/2036 (e)		4,570
	483	Series 2012-TFT, Class A, 2.89%, 06/05/2030 (e)		481
	408	Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR8, Class X1, IO, 0.52%, 06/11/2041 (e) (z) (bb)		—	(h)
	2,678	CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, 0.74%, 12/11/2049 (e) (z) (bb)		—	(h)
	1,196	COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class IO, IO, 1.25%, 08/15/2048 (z) (bb)		10
		Commercial Mortgage Trust,
	125	Series 2006-GG7, Class AM, 5.96%, 07/10/2038 (z)		124
	2,550	Series 2012-CR2, Class XA, IO, 1.84%, 08/15/2045 (z) (bb)		171
	3,500	Series 2013-300P, Class A1, 4.35%, 08/10/2030 (e)		3,846
	1,060	Series 2013-SFS, Class A2, 3.09%, 04/12/2035 (e) (z)		1,085
	1,400	Series 2014-TWC, Class A, 2.08%, 02/13/2032 (e) (z)		1,403
	1,156	Series 2015-CR24, Class A5, 3.70%, 08/10/2048		1,229
	2,812	Series 2015-CR25, Class A4, 3.76%, 08/10/2048		3,001
		FHLMC, Multifamily Structured Pass-Through Certificates,
	3,560	Series K052, Class A2, 3.15%, 11/25/2025		3,743
	2,467	Series K065, Class A2, 3.24%, 04/25/2027		2,599
	1,322	Series K065, Class AM, 3.33%, 05/25/2027		1,383
	852	Series KJ02, Class A2, 2.60%, 09/25/2020		866
	2,759	Series KJ09, Class A2, 2.84%, 09/25/2022		2,847
	5,500	Series KPLB, Class A, 2.77%, 05/25/2025		5,611
	1,000	Series KS01, Class A2, 2.52%, 01/25/2023		1,018
		FNMA ACES,
	2,636	Series 2010-M3, Class A3, 4.33%, 03/25/2020 (z)		2,777
	359	Series 2011-M2, Class A2, 3.65%, 04/25/2021		365
	8,500	Series 2011-M2, Class A3, 3.76%, 04/25/2021		8,981
	107	Series 2012-M11, Class FA, 1.77%, 08/25/2019 (z)		107


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — continued
	1,878	Series 2013-M7, Class A2, 2.28%, 12/27/2022		1,893
	2,500	Series 2014-M3, Class A2, 3.50%, 01/25/2024 (z)		2,678
	8,555	Series 2015-M10, Class A2, 3.09%, 04/25/2027 (z)		8,810
	6,250	Series 2017-M3, Class A2, 2.57%, 12/25/2026 (z)		6,214
	3,376	Series 2017-M5, Class A2, 3.30%, 04/25/2029		3,492
	3,815	Series 2017-M8, Class A2, 3.06%, 05/25/2027 (z)		3,950
	4,865	FNMA Grantor Trust, Series 2017-T1, Class A, 2.90%, 06/25/2027		4,927
		FORT CRE LLC,
	1,256	Series 2016-1A, Class B, 3.98%, 05/21/2036 (e) (z)		1,261
	1,887	Series 2016-1A, Class C, 4.48%, 05/21/2036 (e) (z)		1,891
	1,232	GS Mortgage Securities Corp. II, Series 2013-KING, Class A, 2.71%, 12/10/2027 (e)		1,252
	488	GS Mortgage Securities Corp. Trust, Series 2013-NYC5, Class A, 2.32%, 01/10/2030 (e)		489
		JP Morgan Chase Commercial Mortgage Securities Trust,
	400	Series 2006-LDP9, Class AMS, 5.34%, 05/15/2047		397
	351	Series 2007-C1, Class A4, 5.72%, 02/15/2051		351
	998	Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2, 3.99%, 02/15/2036 (e)		1,060
	2,694	LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class XW, IO, 0.91%, 11/15/2038 (e) (z) (bb)		7
	894	ML-CFC Commercial Mortgage Trust, Series 2006-4, Class XC, IO, 0.72%, 12/12/2049 (e) (z) (bb)		—	(h)
	2,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.67%, 02/15/2047		2,102
		Morgan Stanley Capital I Trust,
	4,200	Series 2006-IQ12, Class X1, IO, 0.65%, 12/15/2043 (e) (z) (bb)		—	(h)
	11,819	Series 2007-HQ11, Class X, IO, 0.45%, 02/12/2044 (e) (z) (bb)		141
	654	Series 2011-C3, Class A3, 4.05%, 07/15/2049		676


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Morgan Stanley Re-REMIC Trust,
	287	Series 2012-IO, Class AXA, 1.00%, 03/27/2051 (e)		287
	10	Series 2012-XA, Class A, 2.00%, 07/27/2049 (e)		10
	1,800	Series 2012-XA, Class B, 0.25%, 07/27/2049 (e) (bb)		1,693
		PFP Ltd., (Cayman Islands),
	716	Series 2015-2, Class A, 2.68%, 07/14/2034 (e) (z)		716
	1,055	Series 2015-2, Class C, 4.48%, 07/14/2034 (e) (z) (bb)		1,057
	730	Series 2015-2, Class D, 5.23%, 07/14/2034 (e) (z) (bb)		731
		RAIT Trust,
	31	Series 2015-FL4, Class A, 2.58%, 12/15/2031 (e) (z)		31
	1,450	Series 2015-FL4, Class AS, 2.98%, 12/15/2031 (e) (z)		1,462
	1,805	Series 2015-FL5, Class B, 5.13%, 01/15/2031 (e) (z) (bb)		1,808
	664	RBS Commercial Funding, Inc. Trust, Series 2013-SMV, Class A, 3.26%, 03/11/2031 (e)		669
		Resource Capital Corp. Ltd., (Cayman Islands),
	157	Series 2015-CRE4, Class A, 2.63%, 08/15/2032 (e) (z)		157
	1,151	Series 2015-CRE4, Class B, 4.23%, 08/15/2032 (e) (z) (bb)		1,139
	2,236	UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.66%, 06/10/2030 (e)		2,316
		UBS-Barclays Commercial Mortgage Trust,
	1,053	Series 2012-C2, Class A4, 3.53%, 05/10/2063		1,107
	7,827	Series 2012-C2, Class XA, IO, 1.54%, 05/10/2063 (e) (z) (bb)		408
	857	Series 2013-C6, Class A4, 3.24%, 04/10/2046		891
		VNDO Mortgage Trust,
	1,398	Series 2012-6AVE, Class A, 3.00%, 11/15/2030 (e)		1,443
	5,000	Series 2013-PENN, Class A, 3.81%, 12/13/2029 (e)		5,268
		Wells Fargo Commercial Mortgage Trust,
	2,500	Series 2013-120B, Class A, 2.80%, 03/18/2028 (e) (z)		2,535
	1,094	Series 2015-C30, Class A4, 3.66%, 09/15/2058		1,160
		WFRBS Commercial Mortgage Trust,
	1,700	Series 2011-C3, Class A4, 4.38%, 03/15/2044 (e)		1,814


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — continued
	800	Series 2012-C6, Class A4, 3.44%, 04/15/2045		839
	400	Series 2013-C11, Class D, 4.35%, 03/15/2045 (e) (z) (bb)		374

		Total Commercial Mortgage-Backed Securities (Cost $118,246)		122,176

	Corporate Bonds — 27.5%
		Consumer Discretionary — 1.6%
		Auto Components — 0.0% (g)
	188	Lear Corp., 3.80%, 09/15/2027		188

		Automobiles — 0.4%
		Daimler Finance North America LLC, (Germany),
	532	1.88%, 01/11/2018 (e)		532
	305	2.25%, 03/02/2020 (e)		307
	981	2.38%, 08/01/2018 (e)		987
	1,500	Ford Motor Co., 7.45%, 07/16/2031		1,922
	2,286	General Motors Co., 6.60%, 04/01/2036		2,677
		Hyundai Capital America,
	526	2.40%, 10/30/2018 (e)		527
	1,000	3.00%, 03/18/2021 (e)		1,009
	874	Nissan Motor Acceptance Corp., 1.80%, 03/15/2018 (e)		875

				8,836

		Diversified Consumer Services — 0.0% (g)
	643	President & Fellows of Harvard College, 3.30%, 07/15/2056		633

		Hotels, Restaurants & Leisure — 0.0% (g)
	412	Darden Restaurants, Inc., 3.85%, 05/01/2027		428
	900	McDonald’s Corp., 4.70%, 12/09/2035		1,007

				1,435

		Internet & Direct Marketing Retail — 0.1%
	1,435	Amazon.com, Inc., 4.80%, 12/05/2034		1,646

		Media — 1.0%
		21st Century Fox America, Inc.,
	100	6.20%, 12/15/2034		126
	400	6.65%, 11/15/2037		532
	250	6.90%, 08/15/2039		338
	1,075	7.30%, 04/30/2028		1,399
	430	8.88%, 04/26/2023		559
		CBS Corp.,
	792	4.00%, 01/15/2026		830
	140	4.85%, 07/01/2042		147
	360	4.90%, 08/15/2044		386


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Media — continued
		Charter Communications Operating LLC,
	1,797	4.91%, 07/23/2025		1,925
	703	6.38%, 10/23/2035		804
		Comcast Corp.,
	555	4.20%, 08/15/2034		587
	400	6.45%, 03/15/2037		528
	2,383	6.50%, 11/15/2035		3,134
	275	Cox Communications, Inc., 4.60%, 08/15/2047 (e)		279
	450	Cox Enterprises, Inc., 7.38%, 07/15/2027 (e)		560
	569	Discovery Communications LLC, 6.35%, 06/01/2040		654
		Grupo Televisa SAB, (Mexico),
	221	4.63%, 01/30/2026		238
	200	6.13%, 01/31/2046		234
	1,197	Historic TW, Inc., 9.15%, 02/01/2023		1,554
		NBCUniversal Media LLC,
	800	5.95%, 04/01/2041		1,020
	515	6.40%, 04/30/2040		685
	296	Sky plc, (United Kingdom), 3.75%, 09/16/2024 (e)		307
		Time Warner Cable LLC,
	800	4.13%, 02/15/2021		834
	359	5.50%, 09/01/2041		368
	400	6.55%, 05/01/2037		462
	300	Time Warner Cos., Inc., 7.57%, 02/01/2024		377
	1,410	Time Warner Entertainment Co. LP, 8.38%, 07/15/2033		1,894
		Time Warner, Inc.,
	500	3.60%, 07/15/2025		505
	313	5.38%, 10/15/2041		338
	150	6.20%, 03/15/2040		177
	172	6.25%, 03/29/2041		206
		Viacom, Inc.,
	67	3.25%, 03/15/2023		67
	1,643	3.88%, 04/01/2024		1,662
	464	4.38%, 03/15/2043		398
	256	4.85%, 12/15/2034		247

				24,361

		Multiline Retail — 0.1%
		Macy’s Retail Holdings, Inc.,
	971	4.38%, 09/01/2023		978
	178	6.38%, 03/15/2037		186
	455	Nordstrom, Inc., 4.00%, 10/15/2021		472
	350	Target Corp., 2.50%, 04/15/2026		336

				1,972


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Specialty Retail — 0.0% (g)
	196	Home Depot, Inc. (The), 3.50%, 09/15/2056		181
	739	Lowe’s Cos., Inc., 4.65%, 04/15/2042		821
	432	O’Reilly Automotive, Inc., 3.60%, 09/01/2027		434

				1,436

		Total Consumer Discretionary		40,507

		Consumer Staples — 1.2%
		Beverages — 0.6%
	600	Anheuser-Busch Cos. LLC, (Belgium), 5.50%, 01/15/2018		609
		Anheuser-Busch InBev Finance, Inc., (Belgium),
	94	1.90%, 02/01/2019		94
	4,522	3.30%, 02/01/2023		4,691
	1,733	3.65%, 02/01/2026		1,806
	900	3.70%, 02/01/2024		954
	1,430	4.70%, 02/01/2036		1,585
	1,135	4.90%, 02/01/2046		1,293
	1,123	Anheuser-Busch InBev Worldwide, Inc., (Belgium), 4.44%, 10/06/2048		1,201
	750	Brown-Forman Corp., 4.50%, 07/15/2045		820
	250	Coca-Cola Femsa SAB de CV, (Mexico), 3.88%, 11/26/2023		266
	255	Diageo Investment Corp., (United Kingdom), 8.00%, 09/15/2022		322
	250	Dr Pepper Snapple Group, Inc., 3.43%, 06/15/2027 (e)		255
	187	Molson Coors Brewing Co., 3.00%, 07/15/2026		183
	534	PepsiCo, Inc., 4.45%, 04/14/2046		599

				14,678

		Food & Staples Retailing — 0.2%
		CVS Health Corp.,
	725	4.00%, 12/05/2023		776
	322	5.30%, 12/05/2043		378
		Kroger Co. (The),
	491	6.90%, 04/15/2038		622
	589	7.50%, 04/01/2031		794
	291	Sysco Corp., 3.75%, 10/01/2025		305
	200	Walgreen Co., 4.40%, 09/15/2042		203
		Walgreens Boots Alliance, Inc.,
	100	3.80%, 11/18/2024		104
	386	4.50%, 11/18/2034		407
	400	4.80%, 11/18/2044		433
		Wal-Mart Stores, Inc.,
	762	5.00%, 10/25/2040		919
	202	6.20%, 04/15/2038		277
	350	7.55%, 02/15/2030		514

				5,732


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Food Products — 0.4%
	95	Bunge Ltd. Finance Corp., 3.50%, 11/24/2020		98
	600	Cargill, Inc., 3.30%, 03/01/2022 (e)		623
	500	Danone SA, (France), 2.59%, 11/02/2023 (e)		494
		Kraft Heinz Foods Co.,
	414	3.50%, 06/06/2022		430
	400	3.95%, 07/15/2025		413
	694	5.00%, 06/04/2042		734
	2,353	6.88%, 01/26/2039		3,058
		McCormick & Co., Inc.,
	179	3.15%, 08/15/2024		182
	264	3.40%, 08/15/2027		267
		Mead Johnson Nutrition Co., (United Kingdom),
	317	3.00%, 11/15/2020		327
	153	4.13%, 11/15/2025		167
	157	Smithfield Foods, Inc., 4.25%, 02/01/2027 (e)		165
		Tyson Foods, Inc.,
	777	3.95%, 08/15/2024		827
	1,100	4.88%, 08/15/2034		1,226

				9,011

		Tobacco — 0.0% (g)
	342	BAT Capital Corp., (United Kingdom), 4.39%, 08/15/2037 (e)		351
	100	Reynolds American, Inc., (United Kingdom), 7.00%, 08/04/2041		130

				481

		Total Consumer Staples		29,902

		Energy — 3.3%
		Energy Equipment & Services — 0.2%
	300	Baker Hughes a GE Co. LLC, 5.13%, 09/15/2040		351
	1,620	Halliburton Co., 7.45%, 09/15/2039		2,248
		Nabors Industries, Inc.,
	200	4.63%, 09/15/2021		190
	200	5.00%, 09/15/2020		200
		Schlumberger Holdings Corp.,
	649	3.63%, 12/21/2022 (e)		682
	200	4.00%, 12/21/2025 (e)		212
	441	Schlumberger Investment SA, 3.30%, 09/14/2021 (e)		458

				4,341

		Oil, Gas & Consumable Fuels — 3.1%
	330	Anadarko Petroleum Corp., 8.70%, 03/15/2019		361


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Oil, Gas & Consumable Fuels — continued
		Apache Corp.,
	138	3.25%, 04/15/2022		141
	556	4.75%, 04/15/2043		550
	500	6.90%, 09/15/2018		523
	732	APT Pipelines Ltd., (Australia), 4.25%, 07/15/2027 (e)		762
	235	BG Energy Capital plc, (United Kingdom), 5.13%, 10/15/2041 (e)		267
		Boardwalk Pipelines LP,
	338	4.95%, 12/15/2024		360
	318	5.95%, 06/01/2026		357
		BP Capital Markets plc, (United Kingdom),
	1,283	2.24%, 05/10/2019		1,294
	375	3.12%, 05/04/2026		379
	1,982	3.22%, 04/14/2024		2,040
	451	3.51%, 03/17/2025		471
	1,337	3.81%, 02/10/2024		1,423
		Buckeye Partners LP,
	95	3.95%, 12/01/2026		95
	500	4.35%, 10/15/2024		520
	330	4.88%, 02/01/2021		351
	770	5.85%, 11/15/2043		837
		Canadian Natural Resources Ltd., (Canada),
	350	6.45%, 06/30/2033		408
	1,000	6.75%, 02/01/2039		1,220
	213	Carlyle Promissory Note, 3.06%, 07/15/2019 (bb)		211
		Cenovus Energy, Inc., (Canada),
	208	3.00%, 08/15/2022		200
	356	4.45%, 09/15/2042		298
	1,509	6.75%, 11/15/2039		1,631
		Chevron Corp.,
	560	2.36%, 12/05/2022		563
	1,200	2.57%, 05/16/2023		1,213
	215	2.90%, 03/03/2024		221
	1,852	CNOOC Finance 2015 Australia Pty. Ltd., (China), 2.63%, 05/05/2020		1,864
	1,789	CNOOC Nexen Finance 2014 ULC, (China), 4.25%, 04/30/2024		1,917
	230	Conoco Funding Co., 7.25%, 10/15/2031		313
		ConocoPhillips,
	200	5.90%, 10/15/2032		245
	200	6.50%, 02/01/2039		263
		ConocoPhillips Co.,
	1,205	4.20%, 03/15/2021		1,288
	945	4.95%, 03/15/2026		1,062


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — continued
		Devon Energy Corp.,
	750	3.25%, 05/15/2022		759
	522	5.60%, 07/15/2041		557
		Ecopetrol SA, (Colombia),
	533	4.13%, 01/16/2025		534
	773	5.38%, 06/26/2026		821
	226	5.88%, 09/18/2023		251
		Enbridge, Inc., (Canada),
	215	3.70%, 07/15/2027		217
	350	5.50%, 12/01/2046		401
		Encana Corp., (Canada),
	545	6.50%, 05/15/2019		583
	150	6.50%, 08/15/2034		171
	760	7.38%, 11/01/2031		932
		Energy Transfer LP,
	143	3.60%, 02/01/2023		145
	964	4.05%, 03/15/2025		978
	321	4.75%, 01/15/2026		339
	305	4.90%, 02/01/2024		327
	375	6.05%, 06/01/2041		401
	364	6.50%, 02/01/2042		408
	925	Eni SpA, (Italy), 5.70%, 10/01/2040 (e)		990
		EnLink Midstream Partners LP,
	140	2.70%, 04/01/2019		140
	838	4.15%, 06/01/2025		842
	500	5.05%, 04/01/2045		474
		Enterprise Products Operating LLC,
	506	3.70%, 02/15/2026		523
	343	3.75%, 02/15/2025		358
	475	3.90%, 02/15/2024		500
	333	3.95%, 02/15/2027		348
	199	4.85%, 03/15/2044		212
	155	4.95%, 10/15/2054		164
	318	5.10%, 02/15/2045		352
	201	5.95%, 02/01/2041		242
	902	EOG Resources, Inc., 5.10%, 01/15/2036		1,004
	950	Gulf South Pipeline Co. LP, 4.00%, 06/15/2022		975
	900	Hess Corp., 7.13%, 03/15/2033		1,025
		Kerr-McGee Corp.,
	200	6.95%, 07/01/2024		236
	1,700	7.88%, 09/15/2031		2,195
		Magellan Midstream Partners LP,
	353	3.20%, 03/15/2025		349
	1,127	5.15%, 10/15/2043		1,254


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Oil, Gas & Consumable Fuels — continued
	250	6.55%, 07/15/2019		270
	833	Marathon Oil Corp., 2.80%, 11/01/2022		814
	578	Marathon Petroleum Corp., 3.63%, 09/15/2024		591
		MPLX LP,
	259	4.88%, 12/01/2024		279
	323	5.20%, 03/01/2047		333
		Noble Energy, Inc.,
	294	5.63%, 05/01/2021		302
	314	6.00%, 03/01/2041		353
		Occidental Petroleum Corp.,
	281	3.40%, 04/15/2026		288
	1,022	3.50%, 06/15/2025		1,057
		ONEOK Partners LP,
	515	3.20%, 09/15/2018		521
	151	3.38%, 10/01/2022		153
	2,000	4.90%, 03/15/2025		2,168
	334	5.00%, 09/15/2023		363
	350	6.65%, 10/01/2036		422
	450	8.63%, 03/01/2019		491
		Petro-Canada, (Canada),
	324	6.05%, 05/15/2018		334
	1,295	6.80%, 05/15/2038		1,730
		Petroleos Mexicanos, (Mexico),
	393	4.88%, 01/18/2024		409
	158	5.50%, 06/27/2044		148
	617	5.63%, 01/23/2046		581
	647	6.38%, 02/04/2021		712
	846	6.38%, 01/23/2045		872
	250	6.63%, 06/15/2035		273
	313	6.75%, 09/21/2047		337
	1,710	6.88%, 08/04/2026		1,966
	182	Phillips 66, 4.30%, 04/01/2022		196
		Plains All American Pipeline LP,
	1,000	3.60%, 11/01/2024		986
	323	3.65%, 06/01/2022		327
	2,500	4.65%, 10/15/2025		2,591
	1,480	4.90%, 02/15/2045		1,390
	531	Regency Energy Partners LP, 5.00%, 10/01/2022		575
	831	Sinopec Group Overseas Development 2013 Ltd., (China), 4.38%, 10/17/2023 (e)		899
	452	Spectra Energy Partners LP, 5.95%, 09/25/2043		542


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — continued
		Statoil ASA, (Norway),
	456	3.25%, 11/10/2024		471
	253	4.25%, 11/23/2041		268
	180	Suncor Energy, Inc., (Canada), 5.95%, 12/01/2034		219
		Sunoco Logistics Partners Operations LP,
	244	3.90%, 07/15/2026		241
	259	4.25%, 04/01/2024		267
	170	5.30%, 04/01/2044		167
	1,133	5.35%, 05/15/2045		1,122
	400	6.10%, 02/15/2042		424
	391	TC PipeLines LP, 3.90%, 05/25/2027		395
	554	Texas Eastern Transmission LP, 2.80%, 10/15/2022 (e)		552
		Tosco Corp.,
	310	7.80%, 01/01/2027		410
	400	8.13%, 02/15/2030		561
		TransCanada PipeLines Ltd., (Canada),
	394	4.88%, 01/15/2026		446
	1,200	6.20%, 10/15/2037		1,564
	1,100	7.25%, 08/15/2038		1,564
	250	Valero Energy Corp., 7.50%, 04/15/2032		328
		Western Gas Partners LP,
	74	5.38%, 06/01/2021		80
	280	5.45%, 04/01/2044		288
	512	Williams Partners LP, 3.90%, 01/15/2025		526

				76,821

		Total Energy		81,162

		Financials — 10.7%
		Banks — 4.5%
	1,216	ABN AMRO Bank NV, (Netherlands), 4.75%, 07/28/2025 (e)		1,300
		ANZ New Zealand Int’l Ltd., (New Zealand),
	750	2.60%, 09/23/2019 (e)		760
	402	2.85%, 08/06/2020 (e)		410
		Australia & New Zealand Banking Group Ltd., (Australia),
	263	4.40%, 05/19/2026 (e)		275
	228	4.88%, 01/12/2021 (e)		248
		Bank of America Corp.,
	600	2.00%, 01/11/2018		601
	1,473	3.30%, 01/11/2023		1,515
	1,189	3.50%, 04/19/2026		1,211


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Banks — continued
	1,700	(USD 3 Month LIBOR + 1.51%), 3.71%, 04/24/2028 (aa)		1,739
	4,752	3.88%, 08/01/2025		4,996
	972	4.00%, 04/01/2024		1,033
	700	4.00%, 01/22/2025		724
	547	4.13%, 01/22/2024		586
	851	4.25%, 10/22/2026		893
	542	4.45%, 03/03/2026		576
	2,905	5.00%, 05/13/2021		3,175
	740	5.63%, 07/01/2020		810
	645	5.65%, 05/01/2018		661
	420	5.75%, 12/01/2017		424
	794	6.88%, 04/25/2018		820
	875	7.63%, 06/01/2019		958
	799	Series L, 2.25%, 04/21/2020		803
	760	Series L, 2.65%, 04/01/2019		769
	921	Series L, 3.95%, 04/21/2025		951
		Barclays plc, (United Kingdom),
	1,449	3.20%, 08/10/2021		1,479
	1,808	3.65%, 03/16/2025		1,820
	400	4.38%, 01/12/2026		421
	435	5.25%, 08/17/2045		497
	740	BB&T Corp., 5.25%, 11/01/2019		793
		BNZ International Funding Ltd., (New Zealand),
	450	2.10%, 09/14/2021 (e)		445
	632	2.35%, 03/04/2019 (e)		636
	952	Canadian Imperial Bank of Commerce, (Canada), 2.25%, 07/21/2020 (e)		960
	1,950	Capital One Bank USA NA, 3.38%, 02/15/2023		1,987
		Capital One NA,
	978	2.35%, 08/17/2018		983
	850	2.40%, 09/05/2019		855
		Citigroup, Inc.,
	1,000	1.70%, 04/27/2018		1,000
	1,210	2.05%, 12/07/2018		1,214
	1,096	2.15%, 07/30/2018		1,100
	115	2.35%, 08/02/2021		115
	500	2.40%, 02/18/2020		504
	778	2.70%, 03/30/2021		789
	1,000	3.40%, 05/01/2026		1,009
	1,900	3.70%, 01/12/2026		1,958
	500	3.88%, 03/26/2025		512
	1,200	4.30%, 11/20/2026		1,257
	569	4.40%, 06/10/2025		602
	389	4.65%, 07/30/2045		428


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Banks — continued
	1,000	4.75%, 05/18/2046		1,075
	106	5.30%, 05/06/2044		123
	865	5.50%, 09/13/2025		978
	321	5.88%, 01/30/2042		409
	250	6.63%, 01/15/2028		307
	223	8.13%, 07/15/2039		350
	148	Comerica, Inc., 3.80%, 07/22/2026		152
	832	Commonwealth Bank of Australia, (Australia), 4.50%, 12/09/2025 (e)		877
		Cooperatieve Rabobank UA, (Netherlands),
	1,488	4.38%, 08/04/2025		1,580
	500	5.80%, 09/30/2110 (e)		646
	1,250	Credit Agricole SA, (France), 4.38%, 03/17/2025 (e)		1,302
		Credit Suisse Group Funding Guernsey Ltd., (Switzerland),
	250	2.75%, 03/26/2020		254
	340	3.75%, 03/26/2025		348
	419	3.80%, 09/15/2022		438
	800	3.80%, 06/09/2023		834
	762	4.55%, 04/17/2026		819
	484	4.88%, 05/15/2045		541
		Discover Bank,
	343	3.10%, 06/04/2020		351
	940	4.20%, 08/08/2023		1,004
	1,205	4.25%, 03/13/2026		1,262
	1,028	Fifth Third Bancorp, 2.88%, 07/27/2020		1,052
		Fifth Third Bank,
	600	2.38%, 04/25/2019		606
	340	2.88%, 10/01/2021		348
	575	HSBC Bank plc, (United Kingdom), 4.75%, 01/19/2021 (e)		622
		HSBC Holdings plc, (United Kingdom),
	4,212	2.65%, 01/05/2022		4,243
	1,854	3.60%, 05/25/2023		1,936
	200	3.90%, 05/25/2026		210
	1,056	4.00%, 03/30/2022		1,124
	939	4.25%, 08/18/2025		981
	600	6.10%, 01/14/2042		802
	321	Huntington Bancshares, Inc., 3.15%, 03/14/2021		330
		Huntington National Bank (The),
	250	2.00%, 06/30/2018		251
	858	2.88%, 08/20/2020		877
	680	Industrial & Commercial Bank of China Ltd., (China), 2.35%, 11/13/2017		681


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Banks — continued
	859	Intesa Sanpaolo SpA, (Italy), 3.88%, 07/14/2027 (e)		861
	729	KeyBank NA, 3.18%, 05/22/2022		750
		Lloyds Banking Group plc, (United Kingdom),
	612	3.00%, 01/11/2022		619
	381	3.75%, 01/11/2027		388
	400	4.58%, 12/10/2025		421
	2,100	Manufacturers & Traders Trust Co., 6.63%, 12/04/2017		2,125
	422	Mitsubishi UFJ Financial Group, Inc., (Japan), 2.95%, 03/01/2021		432
		Mizuho Bank Ltd., (Japan),
	393	1.80%, 03/26/2018 (e)		393
	623	2.65%, 09/25/2019 (e)		631
	742	Mizuho Financial Group, Inc., (Japan), 2.63%, 04/12/2021 (e)		747
	270	MUFG Americas Holdings Corp., 2.25%, 02/10/2020		272
	945	Nordea Bank AB, (Sweden), 4.25%, 09/21/2022 (e)		1,005
		PNC Bank NA,
	490	1.95%, 03/04/2019		492
	400	6.88%, 04/01/2018		411
		PNC Financial Services Group, Inc. (The),
	182	3.90%, 04/29/2024		193
	864	4.38%, 08/11/2020		924
	298	6.70%, 06/10/2019		323
	964	Regions Financial Corp., 3.20%, 02/08/2021		990
	337	Royal Bank of Canada, (Canada), 4.65%, 01/27/2026		365
	400	Santander Issuances SAU, (Spain), 5.18%, 11/19/2025		432
		Santander UK Group Holdings plc, (United Kingdom),
	452	3.13%, 01/08/2021		462
	200	3.57%, 01/10/2023		205
	850	Societe Generale SA, (France), 2.50%, 04/08/2021 (e)		856
	927	SpareBank 1 Boligkreditt A/S, (Norway), 1.75%, 11/15/2019 (e)		923
	1,148	Stadshypotek AB, (Sweden), 1.88%, 10/02/2019 (e)		1,149
		Standard Chartered plc, (United Kingdom),
	769	4.05%, 04/12/2026 (e)		794
	1,300	5.20%, 01/26/2024 (e)		1,409
	872	Sumitomo Mitsui Financial Group, Inc., (Japan), 2.63%, 07/14/2026		844


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Banks — continued
		SunTrust Banks, Inc.,
	253	2.90%, 03/03/2021		259
	880	6.00%, 09/11/2017		880
		Toronto-Dominion Bank (The), (Canada),
	114	1.80%, 07/13/2021		113
	115	2.13%, 04/07/2021		115
	521	2.25%, 11/05/2019		526
		UBS Group Funding Switzerland AG, (Switzerland),
	200	(USD 3 Month LIBOR + 0.95%), 2.86%, 08/15/2023 (e) (aa)		200
	269	3.49%, 05/23/2023 (e)		277
	300	4.13%, 09/24/2025 (e)		318
	963	4.13%, 04/15/2026 (e)		1,021
	1,277	US Bancorp, 7.50%, 06/01/2026		1,681
	896	US Bank NA, 2.80%, 01/27/2025		901
	2,106	Wachovia Corp., 5.75%, 02/01/2018		2,142
		Wells Fargo & Co.,
	453	3.00%, 02/19/2025		454
	540	3.00%, 04/22/2026		534
	1,000	3.30%, 09/09/2024		1,025
	850	3.50%, 03/08/2022		890
	637	4.10%, 06/03/2026		669
	541	4.30%, 07/22/2027		577
	702	4.48%, 01/16/2024		762
	500	4.60%, 04/01/2021		540
	920	4.65%, 11/04/2044		979
	1,280	5.61%, 01/15/2044		1,541
	250	Wells Fargo Bank NA, 6.00%, 11/15/2017		252

				111,387

		Capital Markets — 2.9%
	761	Ameriprise Financial, Inc., 2.88%, 09/15/2026		751
		Bank of New York Mellon Corp. (The),
	909	2.60%, 08/17/2020		927
	254	2.80%, 05/04/2026		253
	700	3.25%, 09/11/2024		725
	413	3.55%, 09/23/2021		435
	760	4.60%, 01/15/2020		807
	950	Series 0012, 3.65%, 02/04/2024		1,006
	429	Blackstone Holdings Finance Co. LLC, 4.45%, 07/15/2045 (e)		448
	285	CME Group, Inc., 5.30%, 09/15/2043		363
		Credit Suisse AG, (Switzerland),
	728	2.30%, 05/28/2019		734
	271	3.00%, 10/29/2021		278


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Capital Markets — continued
	402	3.63%, 09/09/2024		422
	310	Credit Suisse Group AG, (Switzerland), 3.57%, 01/09/2023 (e)		319
	610	Daiwa Securities Group, Inc., (Japan), 3.13%, 04/19/2022 (e)		621
		Deutsche Bank AG, (Germany),
	1,900	4.25%, 10/14/2021		2,005
	400	4.50%, 04/01/2025		404
	805	6.00%, 09/01/2017		805
	160	E*TRADE Financial Corp., 3.80%, 08/24/2027		163
	500	FMR LLC, 6.45%, 11/15/2039 (e)		672
		Goldman Sachs Group, Inc. (The),
	1,309	2.35%, 11/15/2021		1,302
	952	2.60%, 04/23/2020		964
	300	2.63%, 04/25/2021		302
	493	(USD 3 Month LIBOR + 0.99%), 2.90%, 07/24/2023 (aa)		495
	2,173	(USD 3 Month LIBOR + 1.05%), 2.91%, 06/05/2023 (aa)		2,183
	557	3.50%, 01/23/2025		568
	469	3.50%, 11/16/2026		473
	2,093	(USD 3 Month LIBOR + 1.51%), 3.69%, 06/05/2028 (aa)		2,129
	884	3.75%, 05/22/2025		912
	830	3.85%, 01/26/2027		855
	1,100	4.00%, 03/03/2024		1,167
	1,415	4.25%, 10/21/2025		1,482
	1,786	5.38%, 03/15/2020		1,928
	1,200	5.75%, 01/24/2022		1,355
	2,890	5.95%, 01/18/2018		2,935
	685	6.75%, 10/01/2037		902
	2,678	7.50%, 02/15/2019		2,890
	949	Series D, 6.00%, 06/15/2020		1,047
	900	ING Bank NV, (Netherlands), 1.65%, 08/15/2019 (e)		894
		Intercontinental Exchange, Inc.,
	447	2.50%, 10/15/2018		451
	884	4.00%, 10/15/2023		954
		Invesco Finance plc,
	390	3.75%, 01/15/2026		412
	657	4.00%, 01/30/2024		703
		Jefferies Group LLC,
	1,015	5.13%, 04/13/2018		1,035
	1,010	6.45%, 06/08/2027		1,173
	880	6.88%, 04/15/2021		1,005


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Capital Markets — continued
		Macquarie Bank Ltd., (Australia),
	2,615	1.60%, 10/27/2017 (e)		2,615
	896	2.60%, 06/24/2019 (e)		905
	1,000	2.85%, 07/29/2020 (e)		1,018
	1,000	4.00%, 07/29/2025 (e)		1,057
		Macquarie Group Ltd., (Australia),
	1,200	6.00%, 01/14/2020 (e)		1,304
	1,650	6.25%, 01/14/2021 (e)		1,847
		Morgan Stanley,
	1,064	2.50%, 04/21/2021		1,071
	500	2.65%, 01/27/2020		508
	1,250	3.70%, 10/23/2024		1,302
	2,365	3.75%, 02/25/2023		2,481
	946	3.88%, 01/27/2026		989
	2,873	4.00%, 07/23/2025		3,032
	1,550	4.10%, 05/22/2023		1,628
	480	4.35%, 09/08/2026		504
	1,574	5.00%, 11/24/2025		1,733
	475	5.50%, 07/24/2020		519
	559	5.50%, 07/28/2021		623
	1,265	5.63%, 09/23/2019		1,356
	906	5.75%, 01/25/2021		1,007
	1,400	6.63%, 04/01/2018		1,439
	970	7.30%, 05/13/2019		1,056
	390	Northern Trust Corp., (USD 3 Month LIBOR + 1.13%), 3.38%, 05/08/2032 (aa)		396
	369	State Street Corp., 3.10%, 05/15/2023		379

				71,423

		Consumer Finance — 1.1%
		AerCap Ireland Capital DAC, (Netherlands),
	390	3.50%, 05/26/2022		401
	1,220	3.65%, 07/21/2027		1,226
	700	American Express Co., 7.00%, 03/19/2018		720
		American Express Credit Corp.,
	1,140	1.80%, 07/31/2018		1,142
	1,028	1.88%, 11/05/2018		1,032
	1,126	2.25%, 05/05/2021		1,131
	1,455	2.38%, 05/26/2020		1,472
	715	2.70%, 03/03/2022		729
		Capital One Financial Corp.,
	1,069	3.20%, 02/05/2025		1,069
	962	3.75%, 04/24/2024		999
	1,462	4.20%, 10/29/2025		1,508


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Consumer Finance — continued
		Ford Motor Credit Co. LLC,
	472	1.68%, 09/08/2017		472
	340	2.15%, 01/09/2018		340
	991	2.24%, 06/15/2018		995
	1,602	3.34%, 03/28/2022		1,633
	1,085	3.81%, 01/09/2024		1,108
	1,162	4.13%, 08/04/2025		1,195
		General Motors Financial Co., Inc.,
	489	3.10%, 01/15/2019		496
	1,500	3.45%, 01/14/2022		1,531
	1,091	3.45%, 04/10/2022		1,111
	1,230	3.70%, 05/09/2023		1,254
	1,400	3.95%, 04/13/2024		1,434
	550	4.30%, 07/13/2025		567
	875	4.35%, 01/17/2027		900
	207	HSBC Finance Corp., 7.35%, 11/27/2032		273
		John Deere Capital Corp.,
	893	2.80%, 03/06/2023		913
	233	3.15%, 10/15/2021		243
	1,060	Synchrony Financial, 4.25%, 08/15/2024		1,110

				27,004

		Diversified Financial Services — 0.8%
	6,783	GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/2035 (bb)		7,418
		GTP Acquisition Partners I LLC,
	1,236	2.35%, 06/15/2020 (e)		1,237
	1,436	3.48%, 06/16/2025 (e)		1,447
	539	Hutchison Whampoa International 12 II Ltd., (Hong Kong), 3.25%, 11/08/2022 (e)		557
		National Rural Utilities Cooperative Finance Corp.,
	306	2.95%, 02/07/2024		312
	290	10.38%, 11/01/2018		319
		Nationwide Building Society, (United Kingdom),
	200	2.45%, 07/27/2021 (e)		201
	400	4.00%, 09/14/2026 (e)		403
	553	ORIX Corp., (Japan), 2.90%, 07/18/2022		559
	681	Private Export Funding Corp., Series KK, 3.55%, 01/15/2024		740
		Shell International Finance BV, (Netherlands),
	2,854	4.00%, 05/10/2046		2,898
	2,069	4.13%, 05/11/2035		2,207
		Siemens Financieringsmaatschappij NV, (Germany),
	634	2.90%, 05/27/2022 (e)		653


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Diversified Financial Services — continued
	750	3.13%, 03/16/2024 (e)		773
	513	4.40%, 05/27/2045 (e)		565
	540	Voya Financial, Inc., 3.65%, 06/15/2026		548

				20,837

		Insurance — 1.3%
	520	AIG SunAmerica Global Financing X, 6.90%, 03/15/2032 (e)		701
	651	Allstate Corp. (The), 3.15%, 06/15/2023		676
		American International Group, Inc.,
	674	3.75%, 07/10/2025		700
	296	3.88%, 01/15/2035		291
	641	4.13%, 02/15/2024		685
	1,685	4.70%, 07/10/2035		1,832
	306	Aon Corp., 6.25%, 09/30/2040		399
		Athene Global Funding,
	1,055	2.75%, 04/20/2020 (e)		1,066
	515	4.00%, 01/25/2022 (e)		538
	1,574	Berkshire Hathaway Finance Corp., 4.40%, 05/15/2042		1,731
		CNA Financial Corp.,
	463	3.95%, 05/15/2024		486
	337	4.50%, 03/01/2026		367
	526	Dai-ichi Life Insurance Co. Ltd. (The), (Japan), (USD 3 Month LIBOR + 3.66%), 4.00%, 07/24/2026 (e) (x) (y) (aa)		527
	700	Great-West Lifeco Finance Delaware LP, (Canada), 4.15%, 06/03/2047 (e)		722
	208	Guardian Life Insurance Co. of America (The), 4.85%, 01/24/2077 (e)		227
		Jackson National Life Global Funding,
	563	1.88%, 10/15/2018 (e)		564
	675	3.05%, 04/29/2026 (e)		671
		Liberty Mutual Group, Inc.,
	408	4.95%, 05/01/2022 (e)		451
	900	6.50%, 03/15/2035 (e)		1,159
	100	Liberty Mutual Insurance Co., 8.50%, 05/15/2025 (e)		131
	598	Lincoln National Corp., 4.20%, 03/15/2022		640
		Marsh & McLennan Cos., Inc.,
	192	2.75%, 01/30/2022		196
	288	3.30%, 03/14/2023		299
		Massachusetts Mutual Life Insurance Co.,
	280	5.38%, 12/01/2041 (e)		336
	91	8.88%, 06/01/2039 (e)		150
	626	MassMutual Global Funding II, 2.50%, 10/17/2022 (e)		630


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Insurance — continued
	600	MetLife, Inc., 4.88%, 11/13/2043		693
		Metropolitan Life Global Funding I,
	604	1.55%, 09/13/2019 (e)		601
	1,277	3.88%, 04/11/2022 (e)		1,369
	1,750	Nationwide Mutual Insurance Co., 9.38%, 08/15/2039 (e)		2,958
		New York Life Global Funding,
	129	1.95%, 02/11/2020 (e)		129
	3,951	2.15%, 06/18/2019 (e)		3,978
	820	Pacific Life Insurance Co., 9.25%, 06/15/2039 (e)		1,353
	603	Prudential Financial, Inc., Series B, 5.75%, 07/15/2033		736
	1,750	Prudential Insurance Co. of America (The), 8.30%, 07/01/2025 (e)		2,326
	388	Reliance Standard Life Global Funding II, 3.05%, 01/20/2021 (e)		395
	400	Teachers Insurance & Annuity Association of America, 4.27%, 05/15/2047 (e)		417

				31,130

		Thrifts & Mortgage Finance — 0.1%
		BPCE SA, (France),
	850	1.63%, 01/26/2018		850
	400	3.38%, 12/02/2026		411
	800	4.63%, 07/11/2024 (e)		836

				2,097

		Total Financials		263,878

		Health Care — 1.4%
		Biotechnology — 0.5%
		AbbVie, Inc.,
	992	2.00%, 11/06/2018		996
	2,273	2.85%, 05/14/2023		2,296
	872	3.20%, 11/06/2022		898
	813	3.60%, 05/14/2025		840
	315	4.30%, 05/14/2036		329
	1,483	4.50%, 05/14/2035		1,586
		Amgen, Inc.,
	1,920	4.66%, 06/15/2051		2,072
	500	4.95%, 10/01/2041		566
		Baxalta, Inc.,
	500	3.60%, 06/23/2022		520
	167	5.25%, 06/23/2045		193
	250	Biogen, Inc., 5.20%, 09/15/2045		288
	633	Celgene Corp., 5.70%, 10/15/2040		755


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Biotechnology — continued
		Gilead Sciences, Inc.,
	140	2.50%, 09/01/2023		140
	210	3.50%, 02/01/2025		220
	632	3.65%, 03/01/2026		663
	189	3.70%, 04/01/2024		201
	816	4.60%, 09/01/2035		895

				13,458

		Health Care Equipment & Supplies — 0.1%
		Becton Dickinson and Co.,
	142	2.68%, 12/15/2019		144
	113	3.73%, 12/15/2024		117
	399	Covidien International Finance SA, 2.95%, 06/15/2023		406
		Medtronic, Inc.,
	422	3.13%, 03/15/2022		437
	960	4.38%, 03/15/2035		1,062
	128	Stryker Corp., 3.50%, 03/15/2026		133

				2,299

		Health Care Providers & Services — 0.4%
		Aetna, Inc.,
	265	4.50%, 05/15/2042		293
	440	6.75%, 12/15/2037		617
		Anthem, Inc.,
	467	2.30%, 07/15/2018		469
	615	3.13%, 05/15/2022		634
	280	3.30%, 01/15/2023		290
	500	4.63%, 05/15/2042		546
	535	4.65%, 01/15/2043		588
	648	4.65%, 08/15/2044		710
		Cardinal Health, Inc.,
	540	2.40%, 11/15/2019		545
	690	3.75%, 09/15/2025		726
		Express Scripts Holding Co.,
	305	3.00%, 07/15/2023		307
	900	3.50%, 06/15/2024		924
	300	4.50%, 02/25/2026		324
	425	Mayo Clinic, Series 2016, 4.13%, 11/15/2052		454
	588	Memorial Sloan-Kettering Cancer Center, 4.20%, 07/01/2055		635
	251	Quest Diagnostics, Inc., 3.45%, 06/01/2026		257
	640	Texas Health Resources, 4.33%, 11/15/2055		684
		UnitedHealth Group, Inc.,
	760	4.63%, 07/15/2035		874
	620	6.63%, 11/15/2037		876

				10,753


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Life Sciences Tools & Services — 0.1%
		Thermo Fisher Scientific, Inc.,
	369	3.00%, 04/15/2023		377
	520	3.15%, 01/15/2023		535
	343	4.15%, 02/01/2024		370

				1,282

		Pharmaceuticals — 0.3%
		Allergan Funding SCS,
	443	3.85%, 06/15/2024		467
	706	4.55%, 03/15/2035		757
		Allergan, Inc.,
	525	2.80%, 03/15/2023		527
	453	3.38%, 09/15/2020		468
	395	Bayer US Finance LLC, (Germany), 2.38%, 10/08/2019 (e)		398
	937	Forest Laboratories LLC, 5.00%, 12/15/2021 (e)		1,028
	530	GlaxoSmithKline Capital, Inc., (United Kingdom), 6.38%, 05/15/2038		730
	282	Johnson & Johnson, 4.38%, 12/05/2033		322
	210	Merck & Co., Inc., 3.70%, 02/10/2045		212
		Mylan NV,
	463	3.95%, 06/15/2026		472
	318	5.25%, 06/15/2046		344
		Mylan, Inc.,
	520	3.13%, 01/15/2023 (e)		518
	250	5.40%, 11/29/2043		273

				6,516

		Total Health Care		34,308

		Industrials — 1.7%
		Aerospace & Defense — 0.4%
	557	Airbus Group Finance BV, (France), 2.70%, 04/17/2023 (e)		567
		Airbus SE, (France),
	409	3.15%, 04/10/2027 (e)		418
	150	3.95%, 04/10/2047 (e)		158
		BAE Systems Holdings, Inc., (United Kingdom),
	900	3.80%, 10/07/2024 (e)		950
	400	6.38%, 06/01/2019 (e)		430
	676	BAE Systems plc, (United Kingdom), 5.80%, 10/11/2041 (e)		837
	200	Boeing Co. (The), 7.95%, 08/15/2024		266
	164	L3 Technologies, Inc., 3.85%, 12/15/2026		171
		Lockheed Martin Corp.,
	131	3.10%, 01/15/2023		136


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Aerospace & Defense — continued
	1,281	4.07%, 12/15/2042		1,321
	292	4.85%, 09/15/2041		337
	277	Series B, 6.15%, 09/01/2036		365
	300	Northrop Grumman Systems Corp., 7.75%, 02/15/2031		435
	1,350	Precision Castparts Corp., 3.25%, 06/15/2025		1,394
		Rockwell Collins, Inc.,
	350	3.20%, 03/15/2024		356
	199	4.35%, 04/15/2047		209
	370	Textron, Inc., 3.65%, 03/15/2027		379
		United Technologies Corp.,
	543	4.15%, 05/15/2045		557
	914	4.50%, 06/01/2042		983

				10,269

		Air Freight & Logistics — 0.0% (g)
		FedEx Corp.,
	318	3.90%, 02/01/2035		323
	239	4.10%, 04/15/2043		235

				558

		Airlines — 0.0% (g)
	174	Continental Airlines Pass-Through Trust, Series 2012-2, Class A, 4.00%, 10/29/2024		183

		Building Products — 0.1%
		Johnson Controls International plc,
	591	3.75%, 12/01/2021		621
	675	4.25%, 03/01/2021		718
	223	5.13%, 09/14/2045		261
	1,000	5.25%, 12/01/2041		1,161
	273	SUB, 4.95%, 07/02/2064		298

				3,059

		Commercial Services & Supplies — 0.0% (g)
		Republic Services, Inc.,
	175	2.90%, 07/01/2026		174
	614	3.55%, 06/01/2022		642

				816

		Construction & Engineering — 0.1%
		ABB Finance USA, Inc., (Switzerland),
	292	2.88%, 05/08/2022		301
	145	4.38%, 05/08/2042		160
	789	Fluor Corp., 3.38%, 09/15/2021		822

				1,283


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Electrical Equipment — 0.0% (g)
		Eaton Corp.,
	170	4.00%, 11/02/2032		180
	300	7.63%, 04/01/2024		363

				543

		Industrial Conglomerates — 0.1%
		General Electric Co.,
	107	2.70%, 10/09/2022		109
	573	3.10%, 01/09/2023		599
	573	3.15%, 09/07/2022		600
	541	3.45%, 05/15/2024		573
	191	5.30%, 02/11/2021		212
	95	5.88%, 01/14/2038		124
		Roper Technologies, Inc.,
	192	3.00%, 12/15/2020		197
	134	3.80%, 12/15/2026		139

				2,553

		Machinery — 0.2%
		Deere & Co.,
	819	2.60%, 06/08/2022		835
	346	3.90%, 06/09/2042		365
		Illinois Tool Works, Inc.,
	400	3.50%, 03/01/2024		425
	825	3.90%, 09/01/2042		866
	95	4.88%, 09/15/2041		113
	290	Ingersoll-Rand Co., 6.39%, 11/15/2027		349
	592	Parker-Hannifin Corp., 4.45%, 11/21/2044		663
		Xylem, Inc.,
	197	3.25%, 11/01/2026		199
	224	4.38%, 11/01/2046		238

				4,053

		Professional Services — 0.0% (g)
	380	Equifax, Inc., 2.30%, 06/01/2021		381

		Road & Rail — 0.7%
		Burlington Northern Santa Fe LLC,
	375	4.38%, 09/01/2042		404
	500	4.40%, 03/15/2042		535
	455	4.70%, 09/01/2045		515
	769	5.15%, 09/01/2043		927
	1,658	5.40%, 06/01/2041		2,002
	425	5.75%, 05/01/2040		538
	250	6.70%, 08/01/2028		330
		Canadian Pacific Railway Co., (Canada),
	600	4.50%, 01/15/2022		644


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Road & Rail — continued
	1,130	6.13%, 09/15/2115		1,444
	250	7.13%, 10/15/2031		348
		CSX Corp.,
	191	4.75%, 05/30/2042		211
	575	5.50%, 04/15/2041		694
		ERAC USA Finance LLC,
	559	4.50%, 08/16/2021 (e)		600
	355	5.25%, 10/01/2020 (e)		384
	436	5.63%, 03/15/2042 (e)		499
	350	6.38%, 10/15/2017 (e)		352
	746	6.70%, 06/01/2034 (e)		934
		Norfolk Southern Corp.,
	2,059	4.05%, 08/15/2052 (e)		2,039
	59	6.00%, 03/15/2105		73
	1,131	Penske Truck Leasing Co. LP, 3.38%, 02/01/2022 (e)		1,172
		Ryder System, Inc.,
	240	2.50%, 03/01/2018		241
	723	2.50%, 05/11/2020		732
	517	2.88%, 09/01/2020		528
	200	Union Pacific Corp., 4.30%, 06/15/2042		218

				16,364

		Trading Companies & Distributors — 0.1%
		Air Lease Corp.,
	743	3.00%, 09/15/2023		743
	500	3.88%, 04/01/2021		524
	506	International Lease Finance Corp., 5.88%, 08/15/2022		572
	655	WW Grainger, Inc., 4.60%, 06/15/2045		717

				2,556

		Total Industrials		42,618

		Information Technology — 1.7%
		Communications Equipment — 0.1%
		Cisco Systems, Inc.,
	350	5.50%, 01/15/2040		440
	755	5.90%, 02/15/2039		993
	850	Harris Corp., 3.83%, 04/27/2025		892

				2,325

		Electronic Equipment, Instruments & Components — 0.0% (g)
		Arrow Electronics, Inc.,
	219	3.00%, 03/01/2018		220
	442	3.88%, 01/12/2028		446
	190	4.50%, 03/01/2023		203

				869


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Internet Software & Services — 0.1%
		eBay, Inc.,
	500	2.60%, 07/15/2022		501
	348	3.45%, 08/01/2024		356
	271	4.00%, 07/15/2042		246

				1,103

		IT Services — 0.1%
	478	DXC Technology Co., 4.25%, 04/15/2024		504
	1,100	Western Union Co. (The), 3.60%, 03/15/2022		1,126

				1,630

		Semiconductors & Semiconductor Equipment — 0.2%
	300	Analog Devices, Inc., 4.50%, 12/05/2036		312
	1,747	Broadcom Corp., 3.63%, 01/15/2024 (e)		1,800
		Intel Corp.,
	375	3.10%, 07/29/2022		392
	652	3.70%, 07/29/2025		695
	1,185	4.00%, 12/15/2032		1,292
	453	4.90%, 07/29/2045		536
	815	QUALCOMM, Inc., 3.25%, 05/20/2027		827

				5,854

		Software — 0.6%
		Microsoft Corp.,
	489	2.38%, 05/01/2023		492
	2,878	2.88%, 02/06/2024		2,960
	836	3.30%, 02/06/2027		872
	291	3.50%, 02/12/2035		298
	305	4.00%, 02/12/2055		314
	1,359	4.10%, 02/06/2037		1,484
	615	4.20%, 11/03/2035		683
	117	4.50%, 10/01/2040		132
	1,190	4.50%, 02/06/2057		1,333
	639	4.75%, 11/03/2055		746
		Oracle Corp.,
	1,000	2.40%, 09/15/2023		1,002
	587	2.50%, 05/15/2022		596
	1,750	2.95%, 05/15/2025		1,783
	1,088	4.30%, 07/08/2034		1,194
	1,740	4.38%, 05/15/2055		1,888

				15,777

		Technology Hardware, Storage & Peripherals — 0.6%
		Apple, Inc.,
	2,556	2.40%, 05/03/2023		2,565
	815	2.45%, 08/04/2026		791
	467	2.85%, 05/11/2024		476
	586	3.00%, 02/09/2024		603


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Technology Hardware, Storage & Peripherals — continued
	1,125	3.00%, 06/20/2027		1,132
	1,539	3.20%, 05/13/2025		1,592
	686	3.20%, 05/11/2027		701
	625	3.45%, 02/09/2045		599
	569	3.85%, 08/04/2046		576
	426	4.50%, 02/23/2036		487
	2,613	Dell International LLC, 6.02%, 06/15/2026 (e)		2,917
	300	Dell, Inc., 7.10%, 04/15/2028		330
	849	HP, Inc., 6.00%, 09/15/2041		905

				13,674

		Total Information Technology		41,232

		Materials — 0.7%
		Chemicals — 0.4%
		Agrium, Inc., (Canada),
	490	3.38%, 03/15/2025		500
	525	4.13%, 03/15/2035		529
	757	5.25%, 01/15/2045		874
		CF Industries, Inc.,
	667	4.50%, 12/01/2026 (e)		694
	500	7.13%, 05/01/2020		551
		Dow Chemical Co. (The),
	850	3.50%, 10/01/2024		886
	375	4.25%, 10/01/2034		392
	200	5.25%, 11/15/2041		229
	150	Ecolab, Inc., 5.50%, 12/08/2041		187
	208	Monsanto Co., 4.70%, 07/15/2064		213
		Mosaic Co. (The),
	79	4.88%, 11/15/2041		75
	861	5.45%, 11/15/2033		900
	347	5.63%, 11/15/2043		363
		Potash Corp. of Saskatchewan, Inc., (Canada),
	660	3.00%, 04/01/2025		656
	85	3.25%, 12/01/2017		85
		PPG Industries, Inc.,
	114	5.50%, 11/15/2040		138
	355	9.00%, 05/01/2021		434
		Sherwin-Williams Co. (The),
	381	3.13%, 06/01/2024		387
	314	3.45%, 06/01/2027		317
		Union Carbide Corp.,
	1,000	7.50%, 06/01/2025		1,237
	850	7.75%, 10/01/2096		1,152

				10,799


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Construction Materials — 0.1%
		CRH America, Inc., (Ireland),
	417	3.88%, 05/18/2025 (e)		439
	893	5.13%, 05/18/2045 (e)		1,028
	770	Martin Marietta Materials, Inc., Series 10YR, 3.45%, 06/01/2027		781

				2,248

		Containers & Packaging — 0.1%
		International Paper Co.,
	600	7.30%, 11/15/2039		833
	470	8.70%, 06/15/2038		713

				1,546

		Metals & Mining — 0.1%
	295	Barrick Gold Corp., (Canada), 6.45%, 10/15/2035		359
	150	BHP Billiton Finance USA Ltd., (Australia), 5.00%, 09/30/2043		178
	283	Nucor Corp., 4.00%, 08/01/2023		303
	300	Vale Canada Ltd., (Brazil), 7.20%, 09/15/2032		326
	306	Vale Overseas Ltd., (Brazil), 6.25%, 08/10/2026		347

				1,513

		Total Materials		16,106

		Real Estate — 0.9%
		Equity Real Estate Investment Trusts (REITs) — 0.9%
		American Tower Corp.,
	312	3.38%, 10/15/2026		310
	1,043	3.50%, 01/31/2023		1,083
	974	5.00%, 02/15/2024		1,082
	100	5.90%, 11/01/2021		114
		American Tower Trust #1,
	471	1.55%, 03/15/2018 (e)		470
	750	3.07%, 03/15/2023 (e)		763
	700	AvalonBay Communities, Inc., 2.85%, 03/15/2023		707
		Boston Properties LP,
	360	2.75%, 10/01/2026		346
	483	3.65%, 02/01/2026		499
	400	Brixmor Operating Partnership LP, 3.85%, 02/01/2025		401
	264	Crown Castle International Corp., 4.00%, 03/01/2027		273
		DDR Corp.,
	101	3.90%, 08/15/2024		102
	330	4.70%, 06/01/2027		342


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Equity Real Estate Investment Trusts (REITs) — continued
	252	Digital Realty Trust LP, 3.70%, 08/15/2027		256
	239	Duke Realty LP, 3.25%, 06/30/2026		240
	621	EPR Properties, 4.50%, 06/01/2027		631
	600	Equity Commonwealth, 5.88%, 09/15/2020		643
	853	ERP Operating LP, 3.00%, 04/15/2023		871
	784	Government Properties Income Trust, 4.00%, 07/15/2022		788
		HCP, Inc.,
	265	3.40%, 02/01/2025		267
	2,294	3.88%, 08/15/2024		2,392
	230	4.20%, 03/01/2024		245
	845	Kimco Realty Corp., 3.80%, 04/01/2027		866
	783	National Retail Properties, Inc., 4.00%, 11/15/2025		813
	133	Prologis LP, 3.75%, 11/01/2025		141
	556	Realty Income Corp., 4.65%, 03/15/2047		586
	420	Scentre Group Trust 1, (Australia), 3.50%, 02/12/2025 (e)		427
		Simon Property Group LP,
	868	3.38%, 10/01/2024		897
	532	3.75%, 02/01/2024		561
	200	4.38%, 03/01/2021		214
	382	UDR, Inc., 2.95%, 09/01/2026		369
		Ventas Realty LP,
	242	3.50%, 02/01/2025		246
	593	3.75%, 05/01/2024		613
	554	3.85%, 04/01/2027		569
	406	4.13%, 01/15/2026		427
	1,000	VEREIT Operating Partnership LP, 4.60%, 02/06/2024		1,057
		Welltower, Inc.,
	223	4.00%, 06/01/2025		235
	732	4.50%, 01/15/2024		797

		Total Real Estate		21,643

		Telecommunication Services — 1.9%
		Diversified Telecommunication Services — 1.9%
		AT&T, Inc.,
	2,525	3.00%, 06/30/2022		2,554
	2,218	3.40%, 05/15/2025		2,203
	2,716	3.60%, 02/17/2023		2,799
	832	3.95%, 01/15/2025		860
	348	4.30%, 12/15/2042		323
	462	4.35%, 06/15/2045		421
	577	4.45%, 04/01/2024		618
	525	4.50%, 05/15/2035		514


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Diversified Telecommunication Services — continued
	977	4.55%, 03/09/2049		902
	1,000	4.60%, 02/15/2021		1,067
	563	4.75%, 05/15/2046		539
	860	5.35%, 09/01/2040		909
	2,000	6.00%, 08/15/2040		2,265
	2,700	6.30%, 01/15/2038		3,170
	400	6.50%, 09/01/2037		477
	2,250	BellSouth LLC, 6.55%, 06/15/2034		2,682
	150	British Telecommunications plc, (United Kingdom), 9.12%, 12/15/2030		232
	600	Centel Capital Corp., 9.00%, 10/15/2019		665
		Deutsche Telekom International Finance BV, (Germany),
	325	3.60%, 01/19/2027 (e)		332
	232	4.88%, 03/06/2042 (e)		259
	400	6.00%, 07/08/2019		429
	741	Qwest Corp., 6.75%, 12/01/2021		813
		Telefonica Emisiones SAU, (Spain),
	252	3.19%, 04/27/2018		254
	534	4.10%, 03/08/2027		558
	526	5.13%, 04/27/2020		566
	547	5.21%, 03/08/2047		608
	316	5.46%, 02/16/2021		349
		Verizon Communications, Inc.,
	1,322	2.95%, 03/15/2022		1,346
	2,804	3.38%, 02/15/2025 (e)		2,806
	881	3.45%, 03/15/2021		916
	400	3.50%, 11/01/2021		417
	938	4.15%, 03/15/2024		994
	200	4.27%, 01/15/2036		194
	2,645	4.40%, 11/01/2034		2,648
	832	4.50%, 08/10/2033		846
	730	4.52%, 09/15/2048		687
	1,085	4.67%, 03/15/2055		1,008
	1,693	4.81%, 03/15/2039		1,717
	4,200	4.86%, 08/21/2046		4,179
	566	5.01%, 08/21/2054		556
	457	5.25%, 03/16/2037		493

				46,175

		Wireless Telecommunication Services — 0.0% (g)
	400	Rogers Communications, Inc., (Canada), 8.75%, 05/01/2032		594

		Total Telecommunication Services		46,769


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Utilities — 2.4%
		Electric Utilities — 1.5%
		Alabama Power Co.,
	214	3.75%, 03/01/2045		219
	239	6.13%, 05/15/2038		310
		Arizona Public Service Co.,
	133	2.20%, 01/15/2020		134
	296	4.50%, 04/01/2042		331
	467	5.05%, 09/01/2041		552
		Baltimore Gas & Electric Co.,
	455	2.80%, 08/15/2022		464
	376	3.50%, 08/15/2046		362
	1,234	China Southern Power Grid International Finance BVI Co. Ltd., (China), 3.50%, 05/08/2027 (e)		1,263
	1,025	Cleveland Electric Illuminating Co. (The), Series D, 7.88%, 11/01/2017		1,034
	831	Comision Federal de Electricidad, (Mexico), 4.88%, 05/26/2021 (e)		889
	195	Connecticut Light & Power Co. (The), 5.65%, 05/01/2018		201
		Duke Energy Carolinas LLC,
	129	4.25%, 12/15/2041		141
	100	6.00%, 01/15/2038		134
	245	Duke Energy Florida LLC, 6.40%, 06/15/2038		341
		Duke Energy Indiana LLC,
	700	3.75%, 05/15/2046		708
	1,320	6.35%, 08/15/2038		1,812
		Duke Energy Progress LLC,
	273	4.10%, 05/15/2042		293
	125	4.10%, 03/15/2043		134
	1,300	Electricite de France SA, (France), 6.00%, 01/22/2114 (e)		1,483
	740	Enel Finance International NV, (Italy), 3.63%, 05/25/2027 (e)		749
	175	Entergy Arkansas, Inc., 3.50%, 04/01/2026		183
	336	Entergy Corp., 2.95%, 09/01/2026		329
	629	Entergy Louisiana LLC, 3.05%, 06/01/2031		624
	559	Entergy Mississippi, Inc., 2.85%, 06/01/2028		552
		FirstEnergy Corp.,
	299	Series B, 3.90%, 07/15/2027		305
	289	Series C, 4.85%, 07/15/2047		302
	350	Florida Power & Light Co., 5.95%, 02/01/2038		466
	679	Great Plains Energy, Inc., 4.85%, 06/01/2021		727
		Hydro-Quebec, (Canada),
	1,000	Series HY, 8.40%, 01/15/2022		1,235
	350	Series IO, 8.05%, 07/07/2024		462


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Electric Utilities — continued
	100	Indiana Michigan Power Co., 7.00%, 03/15/2019		107
	100	Jersey Central Power & Light Co., 7.35%, 02/01/2019		107
	771	John Sevier Combined Cycle Generation LLC, 4.63%, 01/15/2042		859
	1,400	Kansas City Power & Light Co., 5.30%, 10/01/2041		1,654
	424	Louisville Gas & Electric Co., Series 25, 3.30%, 10/01/2025		440
		Nevada Power Co.,
	55	5.38%, 09/15/2040		66
	305	5.45%, 05/15/2041		376
	100	Series N, 6.65%, 04/01/2036		138
	371	NextEra Energy Capital Holdings, Inc., 2.40%, 09/15/2019		374
		Niagara Mohawk Power Corp.,
	493	3.51%, 10/01/2024 (e)		517
	300	4.88%, 08/15/2019 (e)		317
	510	Northern States Power Co., 6.25%, 06/01/2036		688
		Oncor Electric Delivery Co. LLC,
	840	6.80%, 09/01/2018		880
	110	7.00%, 09/01/2022		133
		Pacific Gas & Electric Co.,
	492	2.95%, 03/01/2026		496
	781	3.50%, 06/15/2025		817
	217	4.45%, 04/15/2042		244
	390	4.50%, 12/15/2041		431
	90	4.60%, 06/15/2043		103
	100	6.05%, 03/01/2034		130
	160	8.25%, 10/15/2018		171
	316	Pepco Holdings LLC, 7.45%, 08/15/2032		430
	1,085	Potomac Electric Power Co., 6.50%, 11/15/2037		1,499
	200	PPL Capital Funding, Inc., 3.40%, 06/01/2023		208
		Progress Energy, Inc.,
	673	3.15%, 04/01/2022		690
	300	7.00%, 10/30/2031		414
	214	Public Service Co. of Colorado, 3.55%, 06/15/2046		209
	2,490	Public Service Co. of Oklahoma, Series G, 6.63%, 11/15/2037		3,366
	317	Public Service Electric & Gas Co., 5.38%, 11/01/2039		394
		Southern California Edison Co.,
	1,185	6.05%, 03/15/2039		1,595


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Electric Utilities — continued
	200	Series 08-A, 5.95%, 02/01/2038		263
	200	Southwestern Public Service Co., 4.50%, 08/15/2041		226
	312	State Grid Overseas Investment 2013 Ltd., (China), 1.75%, 05/22/2018 (e)		311
	300	Toledo Edison Co. (The), 6.15%, 05/15/2037		377
	64	Virginia Electric & Power Co., 3.45%, 02/15/2024		67
		Xcel Energy, Inc.,
	440	3.30%, 06/01/2025		452
	92	4.80%, 09/15/2041		105
	200	6.50%, 07/01/2036		270

				36,663

		Gas Utilities — 0.2%
		Atmos Energy Corp.,
	125	4.13%, 10/15/2044		135
	828	4.15%, 01/15/2043		890
	375	8.50%, 03/15/2019		412
	308	Boston Gas Co., 4.49%, 02/15/2042 (e)		338
	335	CenterPoint Energy Resources Corp., 4.50%, 01/15/2021		355
	382	Dominion Energy Gas Holdings LLC, 2.80%, 11/15/2020		389
	653	Korea Gas Corp., (South Korea), 1.88%, 07/18/2021 (e)		636
		Southern Natural Gas Co. LLC,
	367	4.80%, 03/15/2047 (e)		400
	351	8.00%, 03/01/2032		481

				4,036

		Independent Power and Renewable Electricity Producers — 0.1%
		Exelon Generation Co. LLC,
	300	2.95%, 01/15/2020		305
	122	3.40%, 03/15/2022		126
	1,018	4.25%, 06/15/2022		1,084
	235	5.75%, 10/01/2041		250
		Southern Power Co.,
	357	4.15%, 12/01/2025		378
	600	5.15%, 09/15/2041		654
	417	Tri-State Generation & Transmission Association, Inc., 4.25%, 06/01/2046		423

				3,220

		Multi-Utilities — 0.5%
		CMS Energy Corp.,
	475	3.00%, 05/15/2026		471
	400	3.88%, 03/01/2024		424


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Multi-Utilities — continued
	596	Consolidated Edison Co. of New York, Inc., 5.70%, 06/15/2040		767
	286	Consumers Energy Co., 3.25%, 08/15/2046		269
	235	Delmarva Power & Light Co., 4.00%, 06/01/2042		245
		Dominion Energy, Inc.,
	300	7.00%, 06/15/2038		407
	331	Series B, 2.75%, 01/15/2022		336
	920	Series F, 5.25%, 08/01/2033		1,066
	200	DTE Energy Co., 6.38%, 04/15/2033		256
		NiSource Finance Corp.,
	370	3.85%, 02/15/2023		388
	1,256	5.80%, 02/01/2042		1,524
		San Diego Gas & Electric Co.,
	379	3.95%, 11/15/2041		393
	275	6.00%, 06/01/2026		335
		Sempra Energy,
	350	2.88%, 10/01/2022		354
	236	3.55%, 06/15/2024		244
	1,013	4.05%, 12/01/2023		1,083
	460	9.80%, 02/15/2019		512
		Southern Co. Gas Capital Corp.,
	254	3.25%, 06/15/2026		255
	563	3.50%, 09/15/2021		585
	208	4.40%, 06/01/2043		218
	1,445	5.88%, 03/15/2041		1,806
	1,009	WEC Energy Group, Inc., 3.55%, 06/15/2025		1,054

				12,992

		Water Utilities — 0.1%
	793	American Water Capital Corp., 3.40%, 03/01/2025		830

		Total Utilities		57,741

		Total Corporate Bonds (Cost $640,714)		675,866

	Foreign Government Securities — 1.9%
		Israel Government AID Bond, (Israel),
	6,165	Zero Coupon, 11/01/2023		5,403
	5,535	Zero Coupon, 05/01/2024		4,780
	2,000	Zero Coupon, 08/15/2024		1,708
	7,805	Zero Coupon, 08/15/2024		6,674
	1,000	Zero Coupon, 11/01/2024		847
	8,205	Zero Coupon, 11/01/2024		6,948
	5,000	Zero Coupon, 08/15/2025		4,121
	1,000	5.50%, 09/18/2033		1,356


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	377	Province of Quebec, (Canada), SUB, 7.37%, 03/06/2026		504
		Republic of Colombia, (Colombia),
	922	4.00%, 02/26/2024		963
	581	4.50%, 01/28/2026		624
	515	5.00%, 06/15/2045		532
	200	5.63%, 02/26/2044		224
	200	7.38%, 09/18/2037		265
		Republic of Panama, (Panama),
	317	3.75%, 03/16/2025		335
	416	4.00%, 09/22/2024		446
	88	Republic of Peru, (Peru), 5.63%, 11/18/2050		111
	1,133	Republic of Poland, (Poland), 4.00%, 01/22/2024		1,225
	640	Republic of South Africa, (South Africa), 5.88%, 09/16/2025		701
		United Mexican States, (Mexico),
	788	3.60%, 01/30/2025		810
	1,732	4.00%, 10/02/2023		1,833
	316	4.13%, 01/21/2026		334
	186	4.35%, 01/15/2047		183
	200	4.60%, 01/23/2046		204
	120	4.75%, 03/08/2044		125
	4,913	5.55%, 01/21/2045		5,704

		Total Foreign Government Securities (Cost $44,421)		46,960

	Mortgage-Backed Securities — 17.1%
		FHLMC,
	3	ARM, 2.81%, 07/01/2019 (z)		3
	53	ARM, 2.85%, 10/01/2036 (z)		56
	276	ARM, 2.86%, 12/01/2033 (z)		291
	291	ARM, 2.94%, 01/01/2035 (z)		306
	331	ARM, 2.97%, 11/01/2036 (z)		350
	257	ARM, 2.98%, 02/01/2036 (z)		271
	70	ARM, 3.00%, 05/01/2036 (z)		74
	25	ARM, 3.02%, 04/01/2030 (z)		26
	165	ARM, 3.10%, 07/01/2036 (z)		174
	222	ARM, 3.14%, 11/01/2036 (z)		232
	226	ARM, 3.19%, 10/01/2036 (z)		237
	124	ARM, 3.19%, 12/01/2034 (z)		131
	430	ARM, 3.27%, 03/01/2037 (z)		449
	162	ARM, 3.31%, 12/01/2036 (z)		170
	120	ARM, 3.33%, 02/01/2036 (z)		126
	588	ARM, 3.44%, 07/01/2040 (z)		617
	398	ARM, 3.48%, 04/01/2034 (z)		418
	111	ARM, 3.51%, 02/01/2037 (z)		117
	194	ARM, 3.51%, 10/01/2036 (z)		208


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage-Backed Securities — continued
		FHLMC Gold Pools, 15 Year, Single Family,
	8	4.50%, 08/01/2018		8
	3	6.00%, 04/01/2018		3
	2	6.50%, 11/01/2017 - 02/01/2019		2
		FHLMC Gold Pools, 20 Year, Single Family,
	402	3.50%, 03/01/2032		423
	40	6.00%, 12/01/2022		45
		FHLMC Gold Pools, 30 Year, Single Family,
	4,645	3.00%, 08/01/2043		4,731
	496	4.00%, 09/01/2035		526
	2,977	4.50%, 05/01/2041		3,210
	2,428	5.00%, 09/01/2034 - 08/01/2040		2,669
	1,110	5.50%, 10/01/2033 - 07/01/2035		1,242
	247	6.00%, 12/01/2033 - 01/01/2034		282
	896	6.50%, 11/01/2034 - 11/01/2036		1,031
	282	7.00%, 07/01/2032 - 10/01/2036		320
	142	FHLMC Gold Pools, FHA/VA, 10.00%, 10/01/2030		152
		FHLMC Gold Pools, Other,
	767	3.00%, 03/01/2033		792
	16,371	4.00%, 01/01/2032 - 01/01/2046		17,504
	5,159	4.50%, 01/01/2046		5,616
	243	5.50%, 10/01/2033 - 01/01/2034		262
	180	6.00%, 02/01/2033		197
	51	7.00%, 07/01/2029		56
		FNMA,
	1	ARM, 1.88%, 01/01/2019 (z)		1
	892	ARM, 2.02%, 03/01/2022 (z)		894
	23	ARM, 2.40%, 09/01/2027 (z)		23
	1	ARM, 2.55%, 03/01/2019 (z)		1
	116	ARM, 2.65%, 11/01/2033 (z)		123
	60	ARM, 2.69%, 09/01/2034 (z)		62
	90	ARM, 2.71%, 07/01/2034 (z)		95
	632	ARM, 2.78%, 01/01/2033 (z)		649
	144	ARM, 2.79%, 01/01/2036 (z)		152
	182	ARM, 2.79%, 07/01/2033 (z)		187
	97	ARM, 2.86%, 09/01/2035 (z)		101
	648	ARM, 2.89%, 01/01/2035 (z)		669
	53	ARM, 2.89%, 09/01/2034 (z)		56
	214	ARM, 2.90%, 08/01/2034 (z)		225
	309	ARM, 2.90%, 11/01/2034 (z)		320
	1,225	ARM, 2.91%, 08/01/2034 - 09/01/2035 (z)		1,274
	587	ARM, 2.92%, 11/01/2034 (z)		617
	261	ARM, 2.94%, 07/01/2036 (z)		270


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	338	ARM, 2.97%, 10/01/2034 (z)		354
	1,058	ARM, 2.99%, 04/01/2035 (z)		1,115
	312	ARM, 3.03%, 10/01/2034 (z)		328
	440	ARM, 3.09%, 06/01/2035 (z)		460
	244	ARM, 3.10%, 09/01/2033 (z)		258
	287	ARM, 3.12%, 01/01/2035 (z)		302
	157	ARM, 3.13%, 04/01/2034 (z)		163
	197	ARM, 3.16%, 04/01/2035 (z)		207
	332	ARM, 3.17%, 05/01/2035 (z)		344
	42	ARM, 3.19%, 07/01/2033 (z)		44
	89	ARM, 3.21%, 02/01/2035 (z)		94
	270	ARM, 3.21%, 05/01/2034 (z)		284
	131	ARM, 3.23%, 01/01/2034 (z)		138
	155	ARM, 3.23%, 10/01/2034 (z)		164
	270	ARM, 3.26%, 07/01/2033 (z)		285
	182	ARM, 3.34%, 10/01/2036 (z)		193
	51	ARM, 3.41%, 01/01/2038 (z)		53
	108	ARM, 3.42%, 05/01/2035 (z)		113
	109	ARM, 3.44%, 06/01/2036 (z)		115
	36	ARM, 3.88%, 01/01/2036 (z)		37
	16	ARM, 3.95%, 03/01/2029 (z)		17
	93	ARM, 4.00%, 02/01/2034 (z)		96
		FNMA, 15 Year, Single Family,
	43	4.00%, 08/01/2018		44
	334	4.50%, 06/01/2018 - 12/01/2019		343
	205	5.00%, 06/01/2018 - 08/01/2024		216
	52	5.50%, 03/01/2020 - 07/01/2020		52
	1,348	6.00%, 11/01/2017 - 01/01/2024		1,442
	17	6.50%, 08/01/2020		17
		FNMA, 20 Year, Single Family,
	913	3.50%, 08/01/2032		959
	46	4.50%, 04/01/2024		50
	347	6.50%, 05/01/2022 - 04/01/2025		384
		FNMA, 30 Year, FHA/VA,
	70	6.00%, 09/01/2033		77
	510	6.50%, 03/01/2029 - 08/01/2039		584
	11	7.00%, 02/01/2033		12
	29	8.00%, 06/01/2028		33
		FNMA, 30 Year, Single Family,
	4,009	3.00%, 06/01/2043		4,093
	2,491	4.50%, 11/01/2033 - 09/01/2043		2,699
	739	5.00%, 07/01/2033 - 09/01/2035		819
	1,097	5.50%, 09/01/2031 - 03/01/2034		1,241
	1,331	6.00%, 12/01/2028 - 09/01/2037		1,516
	575	6.50%, 11/01/2029 - 08/01/2031		660
	501	7.00%, 01/01/2024 - 01/01/2039		580


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage-Backed Securities — continued
	190	7.50%, 08/01/2036 - 11/01/2037		220
	342	8.00%, 03/01/2027 - 11/01/2028		398
	6	9.50%, 07/01/2028		7
		FNMA, Other,
	3,367	1.74%, 05/01/2020		3,354
	1,887	1.94%, 07/01/2019		1,891
	222	2.03%, 08/01/2019		225
	2,500	2.12%, 09/01/2021		2,489
	3,504	2.34%, 12/01/2022		3,559
	1,830	2.35%, 05/01/2023		1,858
	3,500	2.40%, 12/01/2022		3,567
	2,771	2.42%, 06/01/2023		2,822
	2,781	2.52%, 10/01/2022		2,847
	2,500	2.66%, 12/01/2022		2,576
	3,000	2.67%, 07/01/2022		3,095
	3,058	2.71%, 04/01/2023		3,143
	3,023	2.75%, 03/01/2022		3,122
	1,558	2.77%, 05/01/2022		1,612
	5,131	2.78%, 06/01/2027		5,225
	10,925	2.79%, 05/01/2027 - 06/01/2027		11,128
	12,000	2.92%, 12/01/2024 - 05/01/2030		12,175
	1,360	2.94%, 05/01/2022		1,413
	6,204	2.95%, 08/01/2023 - 12/01/2024		6,467
	2,965	2.96%, 06/01/2027		3,050
	7,465	2.97%, 12/01/2024 - 06/01/2030		7,654
	6,396	2.98%, 03/01/2022 - 07/01/2022		6,666
	990	2.99%, 01/01/2025		1,031
	2,211	3.00%, 01/01/2043		2,242
	2,341	3.02%, 07/01/2023		2,451
	3,076	3.03%, 06/01/2035		3,079
	13,000	3.04%, 12/01/2024 - 04/01/2030		13,395
	14,150	3.08%, 04/01/2030 - 06/01/2030		14,506
	8,815	3.10%, 05/01/2030		9,076
	6,153	3.11%, 12/01/2024 - 12/01/2026		6,435
	11,685	3.12%, 01/01/2022 - 06/01/2035		11,837
	2,921	3.14%, 12/01/2026		3,044
	2,578	3.16%, 02/01/2022		2,698
	3,000	3.17%, 02/01/2030		3,101
	9,171	3.23%, 11/01/2020		9,527
	4,235	3.24%, 12/01/2026		4,447
	13,752	3.25%, 07/01/2025 - 09/01/2026		14,459
	3,957	3.26%, 12/01/2026		4,159
	7,870	3.29%, 10/01/2020 - 11/01/2026		8,266
	8,022	3.30%, 12/01/2026 - 07/01/2030		8,402
	3,000	3.34%, 02/01/2027		3,202
	1,937	3.35%, 09/01/2030		2,035


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	802	3.37%, 11/01/2020		836
	2,000	3.38%, 12/01/2023		2,128
	1,356	3.43%, 09/01/2020		1,417
	7,819	3.50%, 12/01/2032 - 05/01/2033		8,203
	1,825	3.52%, 01/01/2018		1,823
	3,000	3.54%, 10/01/2020		3,145
	2,000	3.55%, 02/01/2030		2,134
	2,500	3.59%, 08/01/2023		2,689
	2,682	3.60%, 09/01/2020		2,815
	934	3.64%, 01/01/2025		1,006
	1,500	3.69%, 11/01/2023		1,616
	1,771	3.74%, 07/01/2020		1,857
	4,886	3.76%, 10/01/2023 - 11/01/2023		5,274
	3,000	3.77%, 09/01/2021		3,193
	3,581	3.78%, 01/01/2026		3,884
	1,504	3.87%, 01/01/2021		1,596
	3,745	3.93%, 07/01/2020 - 01/01/2021		3,965
	1,500	3.95%, 07/01/2020		1,585
	1,795	3.97%, 12/01/2025		1,978
	6,357	4.00%, 10/01/2032 - 07/01/2042		6,761
	1,363	4.13%, 08/01/2021		1,464
	4,380	4.25%, 04/01/2021		4,711
	1,970	4.26%, 07/01/2021		2,124
	1,050	4.28%, 01/01/2021		1,126
	2,274	4.30%, 08/01/2020 - 04/01/2021		2,342
	1,279	4.31%, 07/01/2021		1,376
	2,002	4.33%, 04/01/2021		2,154
	5,000	4.34%, 06/01/2021		5,437
	1,834	4.37%, 02/01/2020		1,939
	656	4.38%, 04/01/2020		694
	1,896	4.39%, 05/01/2021		2,045
	2,000	4.40%, 02/01/2020		2,113
	2,732	4.48%, 02/01/2021		2,942
	8,240	4.50%, 12/01/2043 - 03/01/2044		8,953
	2,731	4.54%, 07/01/2026		3,083
	1,784	5.24%, 07/01/2019		1,881
	169	5.50%, 09/01/2017 - 09/01/2033		189
	188	6.00%, 09/01/2037		206
	151	6.50%, 01/01/2036 - 07/01/2036		166
	8	10.50%, 04/15/2019		8
		GNMA I, 30 Year, Single Family,
	189	6.50%, 03/15/2028 - 04/15/2033		209
	126	7.00%, 02/15/2033 - 06/15/2033		147
	24	7.50%, 11/15/2022 - 09/15/2028		25
	5	8.00%, 08/15/2028		5
	96	9.50%, 10/15/2024		103


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage-Backed Securities — continued
		GNMA II, 30 Year, Single Family,
	1,860	4.25%, 03/20/2045		1,991
	162	4.50%, 08/20/2033		173
	1,305	6.00%, 09/20/2038		1,460
	35	7.50%, 02/20/2028 - 09/20/2028		41
	57	8.00%, 12/20/2025 - 09/20/2028		66
	21	8.50%, 05/20/2025		23
		GNMA II, Other,
	8,675	4.38%, 06/20/2063 (z)		9,109
	9,220	4.46%, 05/20/2063 (z)		9,655
	2,981	4.46%, 05/20/2063 (z)		3,115
	1,841	4.49%, 04/20/2063 (z)		1,933

		Total Mortgage-Backed Securities (Cost $410,655)		418,899

	Municipal Bonds — 0.5% (t)
		California — 0.1%
	440	City of Los Angeles, Department of Airports, Series C, Rev., 6.58%, 05/15/2039		583
	350	State of California, Various Purpose, GO, 7.30%, 10/01/2039		522

				1,105

		New York — 0.2%
	360	New York State Dormitory Authority, Series D, Rev., 5.60%, 03/15/2040		464
		Port Authority of New York & New Jersey, Consolidated,
	1,825	Series 164, Rev., 5.65%, 11/01/2040		2,443
	440	Series 165, Rev., 5.65%, 11/01/2040		589
	2,060	Series 174, Rev., 4.46%, 10/01/2062		2,349

				5,845

		Ohio — 0.2%
	1,315	American Municipal Power, Inc., Meldahl Hydroelectric Project, Series B, Rev., 7.50%, 02/15/2050		1,970
		Ohio State University, General Receipts,
	200	Rev., 5.59%, 12/01/2114		232
	325	Series A, Rev., 4.05%, 12/01/2056		341
	1,563	Series A, Rev., 4.80%, 06/01/2111		1,671

				4,214

		Total Municipal Bonds (Cost $9,184)		11,164

	Supranational — 0.1%
	3,000	African Development Bank, (Supranational), 8.80%, 09/01/2019 (Cost $3,331)		3,411


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Government Agency Securities — 1.7%
	1,525	FHLB, 5.50%, 07/15/2036		2,092
	4,260	FNMA, 1.80%, 10/09/2019 (n)		4,110
	13,319	Government Trust Certificate, Series 1-Z, 2.75%, 10/01/2019 (n)		12,838

		Resolution Funding Corp. STRIPS,
	8,040	1.72%, 10/15/2019 (n)		7,784
	510	2.67%, 10/15/2027 (n)		393
	580	2.85%, 01/15/2026 (n)		476
		Tennessee Valley Authority,
	304	4.63%, 09/15/2060		376
	4,196	5.25%, 09/15/2039		5,619
	1,115	5.88%, 04/01/2036		1,558
		Tennessee Valley Authority STRIPS,
	5,000	3.39%, 11/01/2025 (n)		4,025
	800	4.42%, 06/15/2035 (n)		446
	2,000	4.48%, 05/01/2019 (n)		1,941

		Total U.S. Government Agency Securities (Cost $40,476)		41,658

	U.S. Treasury Obligations — 17.1%
		U.S. Treasury Bonds,
	3,350	2.88%, 05/15/2043		3,462
	3,000	3.63%, 08/15/2043		3,528
	700	4.25%, 05/15/2039		896
	5,295	4.38%, 11/15/2039		6,899
	8,880	4.38%, 05/15/2040		11,587
	300	6.13%, 08/15/2029		424
		U.S. Treasury Inflation Linked Bonds,
	300	1.75%, 01/15/2028		397
	300	2.50%, 01/15/2029		418
	799	3.63%, 04/15/2028		1,604
		U.S. Treasury Inflation Linked Notes,
	2,453	0.13%, 01/15/2022		2,670
	630	1.38%, 07/15/2018		727
	607	1.38%, 01/15/2020		713
		U.S. Treasury Notes,
	1,100	2.00%, 10/31/2021		1,116
	1,000	2.13%, 01/31/2021		1,020
	23,000	2.13%, 08/15/2021		23,467
	7,250	3.13%, 05/15/2021		7,659
		U.S. Treasury STRIPS Bonds,
	23,265	1.93%, 05/15/2021 (n)		21,938
	2,755	2.18%, 02/15/2020 (n)		2,663
	12,570	2.23%, 08/15/2023 (n)		11,207
	14,000	2.23%, 11/15/2023 (n)		12,404


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — continued
	2,200	2.32%, 02/15/2024 (n)		1,937
	18,545	2.36%, 05/15/2022 (n)		17,072
	17,095	2.43%, 02/15/2021 (n)		16,193
	14,400	2.62%, 11/15/2022 (n)		13,089
	15,768	2.70%, 02/15/2022 (n)		14,607
	15,400	2.88%, 05/15/2023 (n)		13,824
	4,800	2.89%, 08/15/2022 (n)		4,390
	14,395	2.93%, 08/15/2032 (n)		9,931
	9,575	3.10%, 02/15/2032 (n)		6,702
	38,462	3.27%, 02/15/2023 (n)		34,718
	5,000	3.27%, 05/15/2031 (n)		3,576
	9,980	3.31%, 11/15/2021 (n)		9,304
	1,592	3.32%, 08/15/2026 (n)		1,309
	6,650	3.36%, 11/15/2029 (n)		4,981
	14,465	3.52%, 08/15/2020 (n)		13,851
	18,050	3.53%, 05/15/2032 (n)		12,534
	10,650	3.60%, 11/15/2031 (n)		7,509
	6,600	3.65%, 05/15/2034 (n)		4,309
	9,500	3.66%, 02/15/2034 (n)		6,267
	1,650	3.70%, 08/15/2034 (n)		1,070
	5,500	3.73%, 02/15/2033 (n)		3,739
	9,700	3.88%, 08/15/2031 (n)		6,895
	10,140	3.96%, 11/15/2032 (n)		6,943
	21,059	4.14%, 05/15/2020 (n)		20,275
	16,500	4.16%, 05/15/2033 (n)		11,133
	8,000	4.18%, 02/15/2031 (n)		5,775
	6,400	4.54%, 05/15/2030 (n)		4,719
	10,577	4.77%, 05/15/2019 (n)		10,339
	12,800	4.81%, 08/15/2030 (n)		9,373
	600	4.82%, 08/15/2024 (n)		521
	4,750	5.03%, 11/15/2033 (n)		3,154
	9,925	5.12%, 11/15/2030 (n)		7,217
	5,190	5.30%, 08/15/2019 (n)		5,055
	1,200	5.47%, 02/15/2035 (n)		765
	6,100	5.51%, 08/15/2021 (n)		5,722
	3,050	5.70%, 08/15/2033 (n)		2,041
	1,500	6.27%, 05/15/2026 (n)		1,242
	2,550	6.38%, 05/15/2027 (n)		2,054
	200	6.41%, 05/15/2024 (n)		175

		Total U.S. Treasury Obligations (Cost $393,821)		419,109

	Loan Assignment — 0.2% (cc)
		Consumer Discretionary — 0.2%
		Hotels, Restaurants & Leisure — 0.2%
	4,362	Lila Mexican Holdings LLC, Tranche B, (1 Month LIBOR + 3.00%), 4.23%, 08/11/2022 (aa) (bb) (Cost $4,249)		4,303


SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 3.2%
		Investment Company — 3.2%
	78,458	JPMorgan Prime Money Market Fund, Institutional Class Shares, 1.18% (b) (l) (Cost $78,482)		78,482

		Total Investments — 102.7% (Cost $2,414,812)		2,520,173
		Liabilities in Excess of Other Assets — (2.7)%		(65,689	)

		NET ASSETS — 100.0%	$	2,454,484

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — 12.1%
	20	Academic Loan Funding Trust, Series 2012-1A, Class A1, 2.03%, 12/27/2022 (e) (z)		20
		American Airlines Pass-Through Trust,
	146	Series 2013-2, Class A, 4.95%, 01/15/2023		156
	82	Series 2017-2, Class AA, 3.35%, 10/15/2029		83
	245	American Credit Acceptance Receivables Trust, Series 2015-2, Class C, 4.32%, 05/12/2021 (e)		249
	91	AmeriCredit Automobile Receivables Trust, Series 2017-3, Class A3, 1.90%, 03/18/2022		91
	750	Anchor Assets IX LLC, Series 2016-1, Class A, 5.13%, 02/15/2020 (e) (bb)		750
	49	Axis Equipment Finance Receivables III LLC, Series 2015-1A, Class A2, 1.90%, 03/20/2020 (e)		49
		B2R Mortgage Trust,
	112	Series 2015-1, Class A1, 2.52%, 05/15/2048 (e)		112
	236	Series 2015-2, Class A, 3.34%, 11/15/2048 (e)		239
	84	BCC Funding Corp. X, Series 2015-1, Class A2, 2.22%, 10/20/2020 (e)		84
	16	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, 1.60%, 04/25/2036 (z) (bb)		16
		CarFinance Capital Auto Trust,
	46	Series 2014-1A, Class B, 2.72%, 04/15/2020 (e)		46
	33	Series 2014-2A, Class A, 1.44%, 11/16/2020 (e)		33
	40	Series 2015-1A, Class A, 1.75%, 06/15/2021 (e)		40
		Citi Held For Asset Issuance,
	196	Series 2016-MF1, Class A, 4.48%, 08/15/2022 (e)		198
	400	Series 2016-MF1, Class B, 6.64%, 08/15/2022 (e)		415
	85	Series 2016-PM1, Class A, 4.65%, 04/15/2025 (e)		86
	455	Colony American Homes, Series 2014-2A, Class A, 2.18%, 07/17/2031 (e) (z)		456
	14	Continental Airlines Pass-Through Trust, Series 1999-2, Class A-1, 7.26%, 03/15/2020		14
		CPS Auto Receivables Trust,
	9	Series 2014-D, Class A, 1.49%, 04/15/2019 (e)		9
	32	Series 2015-A, Class A, 1.53%, 07/15/2019 (e)		32


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	208	Series 2015-B, Class A, 1.65%, 11/15/2019 (e)		208
	425	Series 2015-B, Class C, 4.20%, 05/17/2021 (e)		432
	310	Series 2015-C, Class D, 4.63%, 08/16/2021 (e) (bb)		317
	83	Series 2016-A, Class A, 2.25%, 10/15/2019 (e)		83
	100	Series 2017-C, Class B, 2.30%, 07/15/2021 (e)		100
	250	Credit Acceptance Auto Loan Trust, Series 2015-2A, Class C, 3.76%, 02/15/2024 (e)		253
	48	CVS Pass-Through Trust, 5.93%, 01/10/2034 (e)		56
	33	Delta Air Lines Pass-Through Trust, Series 2010-2, Class A, 4.95%, 05/23/2019		34
		Drive Auto Receivables Trust,
	177	Series 2015-AA, Class D, 4.12%, 07/15/2022 (e)		181
	320	Series 2015-BA, Class D, 3.84%, 07/15/2021 (e)		326
	220	Series 2015-DA, Class D, 4.59%, 01/17/2023 (e) (bb)		227
		DT Auto Owner Trust,
	301	Series 2015-2A, Class D, 4.25%, 02/15/2022 (e)		307
	61	Series 2017-3A, Class B, 2.40%, 05/17/2021 (e)		61
		Exeter Automobile Receivables Trust,
	21	Series 2014-3A, Class B, 2.77%, 11/15/2019 (e)		21
	366	Series 2015-1A, Class B, 2.84%, 03/16/2020 (e)		367
	16	Series 2015-2A, Class A, 1.54%, 11/15/2019 (e)		16
	51	Series 2016-1A, Class A, 2.35%, 07/15/2020 (e)		51
	310	Series 2016-1A, Class C, 5.52%, 10/15/2021 (e)		322
	370	Series 2016-2A, Class B, 3.64%, 02/15/2022 (e)		374
	413	Federal Express Corp. Pass-Through Trust, Series 981A, 6.72%, 01/15/2022		453
		First Investors Auto Owner Trust,
	47	Series 2014-3A, Class A3, 1.67%, 11/16/2020 (e)		47
	17	Series 2015-2A, Class A1, 1.59%, 12/16/2019 (e)		17
	100	Series 2015-2A, Class D, 4.22%, 12/15/2021 (e)		102


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — continued
		FirstKey Lending Trust,
	278	Series 2015-SFR1, Class A, 2.55%, 03/09/2047 (e)		278
	144	Series 2015-SFR1, Class B, 3.42%, 03/09/2047 (e) (bb)		146
		Flagship Credit Auto Trust,
	11	Series 2014-2, Class A, 1.43%, 12/16/2019 (e)		11
	89	Series 2014-2, Class B, 2.84%, 11/16/2020 (e)		89
	44	Series 2014-2, Class C, 3.95%, 12/15/2020 (e)		45
	50	Series 2015-1, Class A, 1.63%, 06/15/2020 (e)		51
	267	Series 2015-3, Class A, 2.38%, 10/15/2020 (e)		267
	114	Series 2015-3, Class B, 3.68%, 03/15/2022 (e)		116
	113	Series 2015-3, Class C, 4.65%, 03/15/2022 (e)		117
	400	Series 2016-1, Class C, 6.22%, 06/15/2022 (e)		427
	36	GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, 6.70%, 04/25/2029 (z) (bb)		31
		GLS Auto Receivables Trust,
	63	Series 2015-1A, Class A, 2.25%, 12/15/2020 (e)		63
	261	Series 2016-1A, Class A, 2.73%, 10/15/2020 (e)		261
	67	GMAT Trust, Series 2013-1A, Class A, SUB, 6.97%, 11/25/2043 (e) (bb)		67
		GO Financial Auto Securitization Trust,
	51	Series 2015-1, Class B, 3.59%, 10/15/2020 (e)		50
	249	Series 2015-2, Class B, 4.80%, 08/17/2020 (e)		252
	82	Gold Key Resorts LLC, Series 2014-A, Class A, 3.22%, 03/17/2031 (e)		82
	3	HSBC Home Equity Loan Trust USA, Series 2007-3, Class APT, 2.43%, 11/20/2036 (z) (bb)		3
	200	Hyundai Auto Receivables Trust, Series 2017-B, Class A3, 1.77%, 01/18/2022		200
	342	Lendmark Funding Trust, Series 2016-A, Class A, 4.82%, 08/21/2023 (e)		350
	1,479	LV Tower 52 Issuer, Series 2013-1, Class A, 5.75%, 02/15/2023 (e) (bb)		1,481
	35	Nissan Auto Receivables Owner Trust, Series 2014-B, Class A3, 1.11%, 05/15/2019		35


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		NRPL Trust,
	220	Series 2015-1A, Class A1, SUB, 3.88%, 11/01/2054 (e)		220
	502	Series 2015-2A, Class A1, SUB, 3.75%, 10/25/2057 (e) (bb)		503
	200	Series 2015-2A, Class A2, SUB, 3.75%, 10/25/2057 (e) (bb)		200
		Ocwen Master Advance Receivables Trust,
	661	Series 2015-T3, Class AT3, 3.21%, 11/15/2047 (e)		660
	295	Series 2015-T3, Class BT3, 3.70%, 11/15/2047 (e) (bb)		295
		OneMain Financial Issuance Trust,
	159	Series 2014-2A, Class A, 2.47%, 09/18/2024 (e)		159
	403	Series 2015-1A, Class A, 3.19%, 03/18/2026 (e)		408
	642	Series 2015-2A, Class A, 2.57%, 07/18/2025 (e)		643
	233	Series 2015-2A, Class B, 3.10%, 07/18/2025 (e) (bb)		233
	484	Oportun Funding II LLC, Series 2016-A, Class A, 4.70%, 03/08/2021 (e)		491
	476	Oportun Funding III LLC, Series 2016-B, Class A, 3.69%, 07/08/2021 (e)		481
		Progress Residential Trust,
	856	Series 2015-SFR2, Class A, 2.74%, 06/12/2032 (e)		864
	351	Series 2015-SFR2, Class B, 3.14%, 06/12/2032 (e) (bb)		355
	784	Series 2015-SFR3, Class A, 3.07%, 11/12/2032 (e) (bb)		800
	200	Series 2015-SFR3, Class D, 4.67%, 11/12/2032 (e) (bb)		209
	850	Purchasing Power Funding LLC, Series 2015-A, Class A2, 4.75%, 12/15/2019 (e)		853
	1	RAMP Trust, Series 2006-RZ1, Class A3, 1.53%, 03/25/2036 (z) (bb)		1
	34	Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 3.42%, 01/25/2036 (bb)		30
	11	Skopos Auto Receivables Trust, Series 2015-2A, Class A, 3.55%, 02/15/2020 (e)		11
	461	Springleaf Funding Trust, Series 2015-AA, Class A, 3.16%, 11/15/2024 (e)		465
	375	Toyota Auto Receivables Owner Trust, Series 2016-A, Class A3, 1.25%, 03/16/2020		374
	266	Trafigura Securitisation Finance plc, (Ireland), Series 2014-1A, Class A, 2.18%, 10/15/2018 (e) (z) (bb)		266


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — continued
	111	Tricon American Homes Trust, Series 2015-SFR1, Class A, 2.48%, 05/17/2032 (e) (z)		111
	120	United Airlines Pass-Through Trust, Series 2016-2, Class AA, 2.88%, 10/07/2028		119
	10	VML LLC, Series 2014-NPL1, Class A1, SUB, 3.88%, 04/27/2054 (e)		10
	137	VOLT XL LLC, Series 2015-NP14, Class A1, SUB, 4.37%, 11/27/2045 (e) (bb)		138
	557	VOLT XXV LLC, Series 2015-NPL8, Class A1, SUB, 3.50%, 06/26/2045 (e)		558
		Westlake Automobile Receivables Trust,
	200	Series 2015-3A, Class D, 4.40%, 05/17/2021 (e)		203
	55	Series 2016-1A, Class A2A, 1.82%, 01/15/2019 (e)		55
		World Omni Auto Receivables Trust,
	78	Series 2013-B, Class A4, 1.32%, 01/15/2020		78
	39	Series 2015-A, Class A3, 1.34%, 05/15/2020		39
	104	Series 2017-B, Class A3, 1.95%, 02/15/2023		105

		Total Asset-Backed Securities (Cost $21,621)		21,892

	Collateralized Mortgage Obligations — 21.2%
	214	Access PT Funding Trust, Series 2016-1, 6.25%, 02/16/2021 (bb)		214
	155	Ajax Mortgage Loan Trust, Series 2015-B, Class A, SUB, 3.88%, 07/25/2060 (e)		155
		Alternative Loan Trust,
	1,145	Series 2004-2CB, Class 1A9, 5.75%, 03/25/2034		1,142
	183	Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035		171
	58	Angel Oak Mortgage Trust LLC, Series 2015-1, Class A, SUB, 4.50%, 11/25/2045 (e)		58
	56	ASG Resecuritization Trust, Series 2009-3, Class A65, 2.81%, 03/26/2037 (e) (z)		56
	19	Banc of America Funding Trust, Series 2004-1, Class PO, PO, 03/25/2034 (bb)		16
	169	BCAP LLC Trust, Series 2010-RR7, Class 2A1, 3.21%, 07/26/2045 (e) (z)		167
	55	Bear Stearns ARM Trust, Series 2005-5, Class A1, 3.28%, 08/25/2035 (z)		56
		CHL Mortgage Pass-Through Trust,
	37	Series 2004-5, Class 1A4, 5.50%, 06/25/2034		37
	20	Series 2004-HYB3, Class 2A, 3.22%, 06/20/2034 (z)		19


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


	179		Series 2005-22, Class 2A1, 3.22%, 11/25/2035 (z)		160
			Citigroup Global Markets Mortgage Securities VII, Inc.,
	30		Series 2003-HYB1, Class A, 3.24%, 09/25/2033 (z)		31
	—	(h)	Series 2003-UP2, Class PO1, PO, 12/25/2018 (bb)		—	(h)
			Citigroup Mortgage Loan Trust, Inc.,
	8		Series 2003-UP3, Class A3, 7.00%, 09/25/2033		8
	8		Series 2003-UST1, Class A1, 5.50%, 12/25/2018		8
	1		Series 2003-UST1, Class PO1, PO, 12/25/2018 (bb)		1
	—	(h)	Series 2003-UST1, Class PO3, PO, 12/25/2018 (bb)		—	(h)
	4		Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 2A5, 5.00%, 10/25/2018		4
	69		CSMC, Series 2010-11R, Class A6, 2.23%, 06/28/2047 (e) (z)		69
	63		Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-3, Class 1A1, 3.52%, 06/25/2020 (z)		60
	2		Deutsche Mortgage Securities, Inc., Mortgage Loan Trust, Series 2004-1, Class 2APO, PO, 10/25/2018 (bb)		2
	23		FHLMC — GNMA, Series 24, Class ZE, 6.25%, 11/25/2023		25
			FHLMC REMIC,
	—	(h)	Series 46, Class B, 7.80%, 09/15/2020		—	(h)
	—	(h)	Series 47, Class F, 10.00%, 06/15/2020		—	(h)
	—	(h)	Series 85, Class C, 8.60%, 01/15/2021		—	(h)
	—	(h)	Series 99, Class Z, 9.50%, 01/15/2021		—	(h)
	3		Series 114, Class H, 6.95%, 01/15/2021		3
	—	(h)	Series 1079, Class S, HB, IF, 29.83%, 05/15/2021 (z)		—	(h)
	—	(h)	Series 1084, Class F, 2.18%, 05/15/2021 (z)		—	(h)
	—	(h)	Series 1084, Class S, HB, IF, 39.71%, 05/15/2021 (z)		—	(h)
	3		Series 1144, Class KB, 8.50%, 09/15/2021		4
	—	(h)	Series 1172, Class L, HB, 1,181.25%, 11/15/2021 (z)		—	(h)
	—	(h)	Series 1196, Class B, HB, IF, 1,104.54%, 01/15/2022 (z)		—	(h)
	2		Series 1206, Class IA, 7.00%, 03/15/2022		2
	1		Series 1250, Class J, 7.00%, 05/15/2022		1
	7		Series 1343, Class LA, 8.00%, 08/15/2022		8
	31		Series 1466, Class PZ, 7.50%, 02/15/2023		34


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
	—	(h)	Series 1470, Class F, 1.66%, 02/15/2023 (z)		—	(h)
	11		Series 1491, Class I, 7.50%, 04/15/2023		12
	10		Series 1518, Class G, IF, 7.84%, 05/15/2023 (z)		12
	10		Series 1541, Class O, 1.57%, 07/15/2023 (z)		10
	3		Series 1602, Class SA, IF, 18.76%, 10/15/2023 (z)		4
	33		Series 1608, Class L, 6.50%, 09/15/2023		37
	4		Series 1671, Class L, 7.00%, 02/15/2024		5
	5		Series 1700, Class GA, PO, 02/15/2024		5
	57		Series 1706, Class K, 7.00%, 03/15/2024		63
	189		Series 1720, Class PL, 7.50%, 04/15/2024		208
	8		Series 1745, Class D, 7.50%, 08/15/2024		9
	11		Series 1798, Class F, 5.00%, 05/15/2023		12
	—	(h)	Series 1807, Class G, 9.00%, 10/15/2020		—	(h)
	67		Series 1927, Class PH, 7.50%, 01/15/2027		77
	29		Series 1981, Class Z, 6.00%, 05/15/2027		32
	9		Series 1987, Class PE, 7.50%, 09/15/2027		11
	4		Series 2033, Class SN, HB, IF, 28.48%, 03/15/2024 (z)		1
	11		Series 2038, Class PN, IO, 7.00%, 03/15/2028		2
	61		Series 2040, Class PE, 7.50%, 03/15/2028		71
	1		Series 2056, Class TD, 6.50%, 05/15/2018		1
	64		Series 2063, Class PG, 6.50%, 06/15/2028		71
	8		Series 2064, Class TE, 7.00%, 06/15/2028		9
	43		Series 2075, Class PH, 6.50%, 08/15/2028		49
	42		Series 2075, Class PM, 6.25%, 08/15/2028		46
	13		Series 2089, Class PJ, IO, 7.00%, 10/15/2028		2
	26		Series 2125, Class JZ, 6.00%, 02/15/2029		29
	7		Series 2163, Class PC, IO, 7.50%, 06/15/2029		1
	123		Series 2169, Class TB, 7.00%, 06/15/2029		141
	46		Series 2172, Class QC, 7.00%, 07/15/2029		53
	—	(h)	Series 2196, Class TL, 7.50%, 11/15/2029		—	(h)
	22		Series 2201, Class C, 8.00%, 11/15/2029		25
	58		Series 2210, Class Z, 8.00%, 01/15/2030		69
	15		Series 2224, Class CB, 8.00%, 03/15/2030		18
	32		Series 2256, Class MC, 7.25%, 09/15/2030		38
	31		Series 2259, Class ZM, 7.00%, 10/15/2030		36
	29		Series 2271, Class PC, 7.25%, 12/15/2030		33
	17		Series 2283, Class K, 6.50%, 12/15/2023		19
	15		Series 2296, Class PD, 7.00%, 03/15/2031		17
	7		Series 2306, Class K, PO, 05/15/2024		6


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	16	Series 2306, Class SE, IF, IO, 8.33%, 05/15/2024 (z)		3
	27	Series 2333, Class HC, 6.00%, 07/15/2031		30
	276	Series 2344, Class ZD, 6.50%, 08/15/2031		322
	31	Series 2344, Class ZJ, 6.50%, 08/15/2031		35
	23	Series 2345, Class NE, 6.50%, 08/15/2031		26
	7	Series 2347, Class VP, 6.50%, 03/15/2020		7
	26	Series 2351, Class PZ, 6.50%, 08/15/2031		29
	23	Series 2410, Class NG, 6.50%, 02/15/2032		26
	33	Series 2410, Class OE, 6.38%, 02/15/2032		36
	15	Series 2410, Class QX, IF, IO, 7.42%, 02/15/2032 (z)		4
	59	Series 2412, Class SP, IF, 13.65%, 02/15/2032 (z)		76
	18	Series 2423, Class MC, 7.00%, 03/15/2032		21
	35	Series 2423, Class MT, 7.00%, 03/15/2032		41
	124	Series 2435, Class CJ, 6.50%, 04/15/2032		142
	38	Series 2441, Class GF, 6.50%, 04/15/2032		43
	37	Series 2444, Class ES, IF, IO, 6.72%, 03/15/2032 (z)		9
	48	Series 2450, Class GZ, 7.00%, 05/15/2032		57
	15	Series 2450, Class SW, IF, IO, 6.77%, 03/15/2032 (z)		3
	57	Series 2455, Class GK, 6.50%, 05/15/2032		65
	85	Series 2466, Class DH, 6.50%, 06/15/2032		95
	38	Series 2474, Class NR, 6.50%, 07/15/2032		42
	73	Series 2484, Class LZ, 6.50%, 07/15/2032		83
	68	Series 2500, Class MC, 6.00%, 09/15/2032		77
	107	Series 2512, Class PG, 5.50%, 10/15/2022		113
	19	Series 2535, Class BK, 5.50%, 12/15/2022		20
	3	Series 2537, Class TE, 5.50%, 12/15/2017		3
	137	Series 2543, Class YX, 6.00%, 12/15/2032		154
	158	Series 2568, Class KG, 5.50%, 02/15/2023		169
	255	Series 2575, Class ME, 6.00%, 02/15/2033		287
	22	Series 2586, Class WI, IO, 6.50%, 03/15/2033		4
	6	Series 2622, Class PE, 4.50%, 05/15/2018		6
	4	Series 2631, Class LC, 4.50%, 06/15/2018		4
	7	Series 2651, Class VZ, 4.50%, 07/15/2018		7
	27	Series 2934, Class EC, PO, 02/15/2020		26
	53	Series 2990, Class SL, HB, IF, 20.00%, 06/15/2034 (z)		69
	754	Series 2990, Class UZ, 5.75%, 06/15/2035		857
	77	Series 2999, Class ND, 4.50%, 07/15/2020		79
	2	Series 3068, Class AO, PO, 01/15/2035		2
	81	Series 3117, Class EO, PO, 02/15/2036		72
	9	Series 3117, Class OK, PO, 02/15/2036		7


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
	101	Series 3122, Class OH, PO, 03/15/2036		92
	124	Series 3137, Class XP, 6.00%, 04/15/2036		141
	6	Series 3149, Class SO, PO, 05/15/2036		5
	186	Series 3152, Class MO, PO, 03/15/2036		165
	65	Series 3171, Class MO, PO, 06/15/2036		61
	28	Series 3179, Class OA, PO, 07/15/2036		26
	263	Series 3202, Class HI, IF, IO, 5.42%, 08/15/2036 (z)		47
	42	Series 3232, Class ST, IF, IO, 5.47%, 10/15/2036 (z)		6
	9	Series 3253, Class PO, PO, 12/15/2021		9
	10	Series 3316, Class JO, PO, 05/15/2037		10
	473	Series 3417, Class EO, PO, 11/15/2036		444
	141	Series 3481, Class SJ, IF, IO, 4.62%, 08/15/2038 (z)		22
	50	Series 3607, Class AO, PO, 04/15/2036		45
	216	Series 3607, Class OP, PO, 07/15/2037		186
	33	Series 3611, Class PO, PO, 07/15/2034		29
	352	Series 3680, Class MA, 4.50%, 07/15/2039		377
	44	Series 3804, Class FN, 1.68%, 03/15/2039 (z)		44
	325	Series 3819, Class ZQ, 6.00%, 04/15/2036		368
	104	Series 3997, Class PF, 1.68%, 11/15/2039 (z)		105
	580	Series 4219, Class JA, 3.50%, 08/15/2039		605
	747	Series 4374, Class NC, SUB, 3.75%, 02/15/2046		771
		FHLMC STRIPS,
	8	Series 243, Class 16, IO, 4.50%, 11/15/2020		—	(h)
	643	Series 262, Class 35, 3.50%, 07/15/2042		673
		FHLMC, Structured Pass-Through Securities Certificates,
	29	Series T-41, Class 3A, 5.70%, 07/25/2032 (z)		32
	26	Series T-51, Class 2A, 7.50%, 08/25/2042 (z)		32
	252	Series T-54, Class 2A, 6.50%, 02/25/2043		300
	84	Series T-54, Class 3A, 7.00%, 02/25/2043		99
	646	Series T-56, Class A5, 5.23%, 05/25/2043		734
	20	Series T-58, Class APO, PO, 09/25/2043		17
	170	Series T-76, Class 2A, 1.98%, 10/25/2037 (z)		176
		First Horizon Mortgage Pass-Through Trust,
	72	Series 2004-AR7, Class 2A2, 3.19%, 02/25/2035 (z)		72
	62	Series 2005-AR1, Class 2A2, 3.17%, 04/25/2035 (z)		63


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			FNMA REMIC,
	—	(h)	Series 1988-7, Class Z, 9.25%, 04/25/2018		—	(h)
	1		Series 1989-70, Class G, 8.00%, 10/25/2019		1
	1		Series 1989-78, Class H, 9.40%, 11/25/2019		1
	1		Series 1989-83, Class H, 8.50%, 11/25/2019		1
	—	(h)	Series 1989-89, Class H, 9.00%, 11/25/2019		—	(h)
	—	(h)	Series 1990-1, Class D, 8.80%, 01/25/2020		—	(h)
	—	(h)	Series 1990-7, Class B, 8.50%, 01/25/2020		—	(h)
	—	(h)	Series 1990-60, Class K, 5.50%, 06/25/2020		—	(h)
	—	(h)	Series 1990-63, Class H, 9.50%, 06/25/2020		—	(h)
	—	(h)	Series 1990-93, Class G, 5.50%, 08/25/2020		—	(h)
	—	(h)	Series 1990-94, Class H, HB, 505.00%, 08/25/2020		—	(h)
	—	(h)	Series 1990-95, Class J, HB, 1,118.04%, 08/25/2020		—	(h)
	3		Series 1990-102, Class J, 6.50%, 08/25/2020		3
	1		Series 1990-120, Class H, 9.00%, 10/25/2020		1
	—	(h)	Series 1990-134, Class SC, IF, 19.75%, 11/25/2020 (z)		—	(h)
	—	(h)	Series 1990-140, Class K, HB, 652.15%, 12/25/2020		—	(h)
	1		Series 1991-42, Class S, IF, 15.52%, 05/25/2021 (z)		1
	15		Series 1992-107, Class SB, HB, IF, 26.43%, 06/25/2022 (z)		21
	1		Series 1992-143, Class MA, 5.50%, 09/25/2022		1
	10		Series 1993-25, Class J, 7.50%, 03/25/2023		11
	60		Series 1993-37, Class PX, 7.00%, 03/25/2023		65
	21		Series 1993-54, Class Z, 7.00%, 04/25/2023		23
	4		Series 1993-62, Class SA, IF, 19.00%, 04/25/2023 (z)		6
	6		Series 1993-122, Class M, 6.50%, 07/25/2023		6
	2		Series 1993-165, Class SD, IF, 13.46%, 09/25/2023 (z)		3
	10		Series 1993-178, Class PK, 6.50%, 09/25/2023		11


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
	148	Series 1993-183, Class KA, 6.50%, 10/25/2023		164
	64	Series 1993-189, Class PL, 6.50%, 10/25/2023		70
	15	Series 1993-247, Class SA, HB, IF, 28.10%, 12/25/2023 (z)		22
	1	Series 1994-9, Class E, PO, 11/25/2023		1
	42	Series 1996-14, Class SE, IF, IO, 8.48%, 08/25/2023 (z)		7
	4	Series 1996-59, Class J, 6.50%, 08/25/2022		5
	17	Series 1997-20, Class IB, IO, 1.84%, 03/25/2027 (z)		1
	15	Series 1997-20, Class IO, IO, 1.84%, 03/25/2027 (z)		—	(h)
	13	Series 1997-27, Class J, 7.50%, 04/18/2027		15
	16	Series 1997-29, Class J, 7.50%, 04/20/2027		18
	35	Series 1997-39, Class PD, 7.50%, 05/20/2027		41
	9	Series 1997-81, Class PI, IO, 7.00%, 12/18/2027		1
	1	Series 1998-4, Class C, PO, 04/25/2023		1
	7	Series 1998-36, Class ZB, 6.00%, 07/18/2028		8
	95	Series 1998-43, Class EA, PO, 04/25/2023		91
	70	Series 2000-2, Class ZE, 7.50%, 02/25/2030		81
	15	Series 2001-4, Class PC, 7.00%, 03/25/2021		15
	43	Series 2001-33, Class ID, IO, 6.00%, 07/25/2031		9
	52	Series 2001-36, Class DE, 7.00%, 08/25/2031		60
	10	Series 2001-44, Class PD, 7.00%, 09/25/2031		12
	52	Series 2001-48, Class Z, 6.50%, 09/25/2021		55
	9	Series 2001-49, Class Z, 6.50%, 09/25/2031		10
	8	Series 2001-81, Class LO, PO, 01/25/2032		7
	20	Series 2002-1, Class HC, 6.50%, 02/25/2022		21
	6	Series 2002-1, Class SA, HB, IF, 21.18%, 02/25/2032 (z)		11
	31	Series 2002-21, Class PE, 6.50%, 04/25/2032		35
	31	Series 2002-28, Class PK, 6.50%, 05/25/2032		36


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	36	Series 2002-37, Class Z, 6.50%, 06/25/2032		40
	131	Series 2003-22, Class UD, 4.00%, 04/25/2033		139
	21	Series 2003-34, Class GB, 6.00%, 03/25/2033		21
	304	Series 2003-34, Class GE, 6.00%, 05/25/2033		339
	7	Series 2003-39, Class IO, IO, 6.00%, 05/25/2033 (z)		2
	125	Series 2003-47, Class PE, 5.75%, 06/25/2033		140
	15	Series 2003-52, Class SX, IF, 19.25%, 10/25/2031 (z)		20
	16	Series 2003-64, Class SX, IF, 10.67%, 07/25/2033 (z)		19
	96	Series 2003-71, Class DS, IF, 5.83%, 08/25/2033 (z)		105
	22	Series 2003-83, Class PG, 5.00%, 06/25/2023		22
	11	Series 2003-91, Class SD, IF, 10.44%, 09/25/2033 (z)		13
	111	Series 2003-116, Class SB, IF, IO, 6.37%, 11/25/2033 (z)		23
	8	Series 2003-130, Class SX, IF, 9.67%, 01/25/2034 (z)		9
	44	Series 2004-25, Class PC, 5.50%, 01/25/2034		45
	64	Series 2004-25, Class SA, IF, 16.13%, 04/25/2034 (z)		89
	30	Series 2004-36, Class PC, 5.50%, 02/25/2034		30
	76	Series 2004-36, Class SA, IF, 16.13%, 05/25/2034 (z)		103
	45	Series 2004-46, Class SK, IF, 13.11%, 05/25/2034 (z)		57
	471	Series 2004-50, Class VZ, 5.50%, 07/25/2034		519
	41	Series 2004-61, Class SH, IF, 19.05%, 11/25/2032 (z)		59
	35	Series 2004-74, Class SW, IF, 13.04%, 11/25/2031 (z)		48
	10	Series 2004-76, Class CL, 4.00%, 10/25/2019		10
	76	Series 2005-45, Class DC, IF, 19.78%, 06/25/2035 (z)		109
	4	Series 2005-52, Class PA, 6.50%, 06/25/2035		4
	54	Series 2005-56, Class S, IF, IO, 5.48%, 07/25/2035 (z)		10


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
	94	Series 2005-56, Class TP, IF, 14.45%, 08/25/2033 (z)		118
	318	Series 2005-68, Class PG, 5.50%, 08/25/2035		353
	141	Series 2005-73, Class PS, IF, 13.61%, 08/25/2035 (z)		185
	56	Series 2005-74, Class CS, IF, 16.63%, 05/25/2035 (z)		74
	107	Series 2005-106, Class US, HB, IF, 20.04%, 11/25/2035 (z)		157
	357	Series 2005-121, Class DX, 5.50%, 01/25/2026		381
	98	Series 2006-27, Class OH, PO, 04/25/2036		90
	38	Series 2006-44, Class P, PO, 12/25/2033		35
	241	Series 2006-56, Class FC, 1.52%, 07/25/2036 (z)		241
	12	Series 2006-59, Class QO, PO, 01/25/2033		12
	37	Series 2006-65, Class QO, PO, 07/25/2036		33
	56	Series 2006-72, Class GO, PO, 08/25/2036		51
	107	Series 2006-77, Class PC, 6.50%, 08/25/2036		121
	44	Series 2006-79, Class DO, PO, 08/25/2036		40
	70	Series 2006-110, Class PO, PO, 11/25/2036		63
	96	Series 2006-124, Class HB, 3.21%, 11/25/2036 (z)		102
	53	Series 2007-14, Class ES, IF, IO, 5.21%, 03/25/2037 (z)		9
	45	Series 2007-79, Class SB, IF, 19.49%, 08/25/2037 (z)		69
	213	Series 2007-81, Class GE, 6.00%, 08/25/2037		234
	126	Series 2007-88, Class VI, IF, IO, 5.31%, 09/25/2037 (z)		25
	367	Series 2007-91, Class ES, IF, IO, 5.23%, 10/25/2037 (z)		64
	54	Series 2007-106, Class A7, 6.21%, 10/25/2037 (z)		60
	97	Series 2007-116, Class HI, IO, 1.38%, 01/25/2038 (z)		6
	27	Series 2008-10, Class XI, IF, IO, 5.00%, 03/25/2038 (z)		3
	20	Series 2008-16, Class IS, IF, IO, 4.97%, 03/25/2038 (z)		3
	43	Series 2008-28, Class QS, IF, 17.00%, 04/25/2038 (z)		58
	110	Series 2008-46, Class HI, IO, 1.67%, 06/25/2038 (z)		6
	63	Series 2009-69, Class PO, PO, 09/25/2039		59


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


	758		Series 2009-71, Class BC, 4.50%, 09/25/2024		816
	161		Series 2009-103, Class MB, 3.36%, 12/25/2039 (z)		172
	891		Series 2010-47, Class MB, 5.00%, 09/25/2039		978
	211		Series 2010-71, Class HJ, 5.50%, 07/25/2040		238
	1,000		Series 2011-44, Class EB, 3.00%, 05/25/2026		1,037
	286		Series 2011-118, Class MT, 7.00%, 11/25/2041		336
	250		Series 2011-118, Class NT, 7.00%, 11/25/2041		288
	171		Series 2012-47, Class HF, 1.63%, 05/25/2027 (z)		172
	357		Series 2013-101, Class DO, PO, 10/25/2043		282
	345		Series 2013-128, Class PO, PO, 12/25/2043		288
	1		Series G-14, Class L, 8.50%, 06/25/2021		1
	3		Series G-18, Class Z, 8.75%, 06/25/2021		3
	3		Series G-35, Class M, 8.75%, 10/25/2021		3
	15		Series G92-35, Class E, 7.50%, 07/25/2022		16
	1		Series G92-42, Class Z, 7.00%, 07/25/2022		1
	—	(h)	Series G92-44, Class ZQ, 8.00%, 07/25/2022		—	(h)
	11		Series G92-54, Class ZQ, 7.50%, 09/25/2022		12
	4		Series G93-5, Class Z, 6.50%, 02/25/2023		4
	8		Series G95-1, Class C, 8.80%, 01/25/2025		9
			FNMA REMIC Trust,
	104		Series 2003-W1, Class 1A1, 6.50%, 12/25/2042 (z)		114
	21		Series 2003-W4, Class 2A, 6.50%, 10/25/2042 (z)		25
	12		Series 2007-W7, Class 1A4, HB, IF, 31.77%, 07/25/2037 (z)		17
			FNMA STRIPS,
	—	(h)	Series 50, Class 2, IO, 10.50%, 03/25/2019		—	(h)
	1		Series 218, Class 2, IO, 7.50%, 04/25/2023		—	(h)
	36		Series 300, Class 1, PO, 09/25/2024		34
	7		Series 329, Class 1, PO, 01/25/2033		6
			FNMA Trust,
	44		Series 2004-W2, Class 2A2, 7.00%, 02/25/2044		50
	136		Series 2005-W3, Class 2AF, 1.45%, 03/25/2045 (z)		133
			GNMA,
	94		Series 1994-7, Class PQ, 6.50%, 10/16/2024		102


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
	13	Series 1999-30, Class S, IF, IO, 7.37%, 08/16/2029 (z)		3
	8	Series 2000-9, Class Z, 8.00%, 06/20/2030		9
	141	Series 2000-9, Class ZJ, 8.50%, 02/16/2030		164
	21	Series 2002-31, Class S, IF, IO, 7.47%, 01/16/2031 (z)		5
	58	Series 2002-47, Class PG, 6.50%, 07/16/2032		67
	69	Series 2002-47, Class PY, 6.00%, 07/20/2032		78
	71	Series 2002-47, Class ZA, 6.50%, 07/20/2032		83
	11	Series 2003-24, Class PO, PO, 03/16/2033		10
	253	Series 2003-40, Class TJ, 6.50%, 03/20/2033		286
	61	Series 2003-52, Class AP, PO, 06/16/2033		53
	17	Series 2004-28, Class S, IF, 16.29%, 04/16/2034 (z)		25
	34	Series 2004-71, Class SB, HB, IF, 23.42%, 09/20/2034 (z)		54
	22	Series 2004-73, Class AE, IF, 12.32%, 08/17/2034 (z)		26
	189	Series 2004-90, Class SI, IF, IO, 4.87%, 10/20/2034 (z)		30
	48	Series 2005-68, Class DP, IF, 13.48%, 06/17/2035 (z)		60
	349	Series 2005-68, Class KI, IF, IO, 5.07%, 09/20/2035 (z)		57
	556	Series 2006-38, Class ZK, 6.50%, 08/20/2036		646
	35	Series 2006-59, Class SD, IF, IO, 5.47%, 10/20/2036 (z)		5
	150	Series 2007-17, Class JI, IF, IO, 5.58%, 04/16/2037 (z)		29
	173	Series 2007-27, Class SA, IF, IO, 4.97%, 05/20/2037 (z)		27
	258	Series 2007-40, Class SB, IF, IO, 5.52%, 07/20/2037 (z)		42
	154	Series 2007-45, Class QA, IF, IO, 5.41%, 07/20/2037 (z)		25
	136	Series 2007-50, Class AI, IF, IO, 5.54%, 08/20/2037 (z)		25
	36	Series 2007-53, Class ES, IF, IO, 5.32%, 09/20/2037 (z)		6
	34	Series 2007-53, Class SW, IF, 16.51%, 09/20/2037 (z)		47
	10	Series 2007-71, Class SB, IF, IO, 5.47%, 07/20/2036 (z)		—	(h)
	78	Series 2007-72, Class US, IF, IO, 5.32%, 11/20/2037 (z)		13


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	78	Series 2007-76, Class SA, IF, IO, 5.30%, 11/20/2037 (z)		13
	51	Series 2008-33, Class XS, IF, IO, 6.47%, 04/16/2038 (z)		10
	155	Series 2008-40, Class SA, IF, IO, 5.17%, 05/16/2038 (z)		27
	195	Series 2008-50, Class KB, 6.00%, 06/20/2038		222
	100	Series 2008-55, Class SA, IF, IO, 4.97%, 06/20/2038 (z)		15
	104	Series 2008-93, Class AS, IF, IO, 4.47%, 12/20/2038 (z)		14
	31	Series 2009-6, Class SA, IF, IO, 4.87%, 02/16/2039 (z)		4
	48	Series 2009-14, Class NI, IO, 6.50%, 03/20/2039		13
	150	Series 2009-22, Class SA, IF, IO, 5.04%, 04/20/2039 (z)		20
	126	Series 2009-31, Class TS, IF, IO, 5.07%, 03/20/2039 (z)		13
	137	Series 2009-79, Class OK, PO, 11/16/2037		126
	879	Series 2009-92, Class ZC, 5.00%, 10/20/2039		996
	267	Series 2009-106, Class ST, IF, IO, 4.77%, 02/20/2038 (z)		44
	51	Series 2010-14, Class AO, PO, 12/20/2032		49
	1,000	Series 2010-105, Class B, 5.00%, 08/20/2040		1,118
	91	Series 2010-130, Class CP, 7.00%, 10/16/2040		106
	320	Series 2011-137, Class WA, 5.55%, 07/20/2040 (z)		361
	222	Series 2012-H21, Class DF, 1.87%, 05/20/2061 (z)		223
	46	Series 2012-H24, Class FA, 1.67%, 03/20/2060 (z)		46
	232	Series 2012-H26, Class MA, 1.77%, 07/20/2062 (z)		232
	665	Series 2012-H29, Class FA, 1.74%, 10/20/2062 (z)		665
	588	Series 2013-91, Class WA, 4.49%, 04/20/2043 (z)		624
	28	Series 2013-H03, Class FA, 1.52%, 08/20/2060 (z)		28
	746	Series 2014-H15, Class FA, 1.72%, 07/20/2064 (z)		745
	681	Series 2014-H17, Class FC, 1.72%, 07/20/2064 (z)		680
	658	Series 2015-H15, Class FJ, 1.66%, 06/20/2065 (z)		655


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
	609	Series 2015-H18, Class FA, 1.67%, 06/20/2065 (z)		607
	643	Series 2015-H20, Class FA, 1.69%, 08/20/2065 (z)		641
	745	Series 2015-H26, Class FG, 1.74%, 10/20/2065 (z)		744
	108	GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3, 5.50%, 02/25/2036		104
	41	Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO, PO, 04/25/2033 (bb)		28
		JP Morgan Mortgage Trust,
	359	Series 2003-A1, Class 1A1, 2.99%, 10/25/2033 (z)		354
	31	Series 2006-A2, Class 4A1, 3.73%, 08/25/2034 (z)		31
	103	Series 2006-A2, Class 5A3, 3.22%, 11/25/2033 (z)		105
		MASTR Adjustable Rate Mortgages Trust,
	32	Series 2004-3, Class 4A2, 3.07%, 04/25/2034 (z)		30
	89	Series 2004-13, Class 2A1, 3.18%, 04/21/2034 (z)		91
		MASTR Alternative Loan Trust,
	116	Series 2003-9, Class 8A1, 6.00%, 01/25/2034		120
	213	Series 2004-4, Class 10A1, 5.00%, 05/25/2024		222
	14	Series 2004-7, Class 30PO, PO, 08/25/2034 (bb)		11
	6	Series 2004-10, Class 1A1, 4.50%, 09/25/2019		6
	52	Series 2005-6, Class 3A1, 5.50%, 11/25/2020		51
	2	MASTR Asset Securitization Trust, Series 2004-8, Class PO, PO, 08/25/2019 (bb)		2
	16	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/2035 (e) (bb)		12
		Merrill Lynch Mortgage Investors Trust,
	165	Series 2003-E, Class A1, 1.85%, 10/25/2028 (z)		161
	58	Series 2004-A, Class A1, 1.69%, 04/25/2029 (z)		56
	26	MortgageIT Trust, Series 2005-1, Class 1A1, 1.87%, 02/25/2035 (z)		25
	47	NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, 6.50%, 10/25/2034 (e) (z)		46
	47	NCUA Guaranteed Notes Trust, Series 2010-R3, Class 3A, 2.40%, 12/08/2020		48


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Nomura Asset Acceptance Corp. Alternative Loan Trust,
	27	Series 2003-A1, Class A1, 5.50%, 05/25/2033		27
	19	Series 2003-A1, Class A2, 6.00%, 05/25/2033		19
	7	Series 2003-A1, Class A5, 7.00%, 04/25/2033		7
		RALI Trust,
	1	Series 2002-QS16, Class A3, IF, 14.04%, 10/25/2017 (z)		1
	2	Series 2003-QS3, Class A2, IF, 13.78%, 02/25/2018 (z)		2
	13	Series 2003-QS9, Class A3, IF, IO, 6.32%, 05/25/2018 (z) (bb)		—	(h)
	31	Series 2004-QS3, Class CB, 5.00%, 03/25/2019		31
	69	Reperforming Loan REMIC Trust, Series 2005-R1, Class 2APO, PO, 03/25/2035 (e) (bb)		61
	3	Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.75%, 02/25/2019		3
		Springleaf Mortgage Loan Trust,
	66	Series 2013-2A, Class A, 1.78%, 12/25/2065 (e) (z)		65
	125	Series 2013-2A, Class M1, 3.52%, 12/25/2065 (e) (z)		125
	75	Series 2013-3A, Class A, 1.87%, 09/25/2057 (e) (z)		75
	306	Series 2013-3A, Class M1, 3.79%, 09/25/2057 (e) (z) (bb)		307
	65	Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-33H, Class 1A1, 5.50%, 10/25/2033		67
		Vendee Mortgage Trust,
	265	Series 1993-1, Class ZB, 7.25%, 02/15/2023		292
	143	Series 1994-1, Class 1, 5.36%, 02/15/2024 (z)		152
	212	Series 1996-1, Class 1Z, 6.75%, 02/15/2026		239
	70	Series 1996-2, Class 1Z, 6.75%, 06/15/2026		79
	286	Series 1997-1, Class 2Z, 7.50%, 02/15/2027		328
	68	Series 1998-1, Class 2E, 7.00%, 03/15/2028		78
		WaMu Mortgage Pass-Through Certificates Trust,
	4	Series 2002-S8, Class 2A7, 5.25%, 01/25/2018		4


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — continued
	77	Series 2003-AR5, Class A7, 3.06%, 06/25/2033 (z)		78
	41	Series 2004-AR3, Class A2, 3.15%, 06/25/2034 (z)		42
	168	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7, 5.50%, 06/25/2035		158
		Washington Mutual MSC Mortgage Pass-Through Certificates Trust,
	13	Series 2003-MS2, Class 1A1, 5.75%, 02/25/2033		13
	2	Series 2003-MS7, Class P, PO, 03/25/2033 (bb)		2
		Wells Fargo Mortgage-Backed Securities Trust,
	28	Series 2003-K, Class 1A1, 2.96%, 11/25/2033 (z)		29
	48	Series 2004-EE, Class 3A1, 3.64%, 12/25/2034 (z)		50
	138	Series 2004-P, Class 2A1, 3.53%, 09/25/2034 (z)		141
	223	Series 2005-AR3, Class 1A1, 3.38%, 03/25/2035 (z)		228

		Total Collateralized Mortgage Obligations (Cost $37,004)		38,490

	Commercial Mortgage-Backed Securities — 4.1%
	432	CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, 0.74%, 12/11/2049 (e) (z) (bb)		—	(h)
		Commercial Mortgage Trust,
	132	Series 2014-PAT, Class A, 2.03%, 08/13/2027 (e) (z)		132
	400	Series 2014-TWC, Class A, 2.08%, 02/13/2032 (e) (z)		401
	281	Series 2015-CR25, Class A4, 3.76%, 08/10/2048		300
		FHLMC, Multifamily Structured Pass-Through Certificates,
	516	Series KF12, Class A, 1.93%, 09/25/2022 (z)		518
	500	Series KSMC, Class A2, 2.62%, 01/25/2023		510
		FNMA ACES,
	399	Series 2010-M3, Class A3, 4.33%, 03/25/2020 (z)		421
	92	Series 2012-M11, Class FA, 1.77%, 08/25/2019 (z)		92
	444	Series 2014-M2, Class A2, 3.51%, 12/25/2023 (z)		475
	636	Series 2014-M13, Class A2, 3.02%, 08/25/2024 (z)		663


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	1,000	Series 2015-M3, Class A2, 2.72%, 10/25/2024		1,016
	820	Series 2015-M7, Class A2, 2.59%, 12/25/2024		827
	603	Series 2015-M17, Class FA, 2.16%, 11/25/2022 (z)		606
	1	Morgan Stanley Re-REMIC Trust, Series 2012-XA, Class A, 2.00%, 07/27/2049 (e)		1
		PFP Ltd., (Cayman Islands),
	179	Series 2015-2, Class A, 2.68%, 07/14/2034 (e) (z)		179
	100	Series 2015-2, Class C, 4.48%, 07/14/2034 (e) (z) (bb)		100
	100	Series 2015-2, Class D, 5.23%, 07/14/2034 (e) (z) (bb)		101
		RAIT Trust,
	7	Series 2015-FL4, Class A, 2.58%, 12/15/2031 (e) (z)		7
	250	Series 2015-FL5, Class B, 5.13%, 01/15/2031 (e) (z) (bb)		250
		Resource Capital Corp. Ltd., (Cayman Islands),
	42	Series 2015-CRE4, Class A, 2.63%, 08/15/2032 (e) (z)		42
	153	Series 2015-CRE4, Class B, 4.23%, 08/15/2032 (e) (z) (bb)		151
	116	UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.66%, 06/10/2030 (e)		120
	104	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.53%, 05/10/2063		109
	500	VNDO Mortgage Trust, Series 2013-PENN, Class A, 3.81%, 12/13/2029 (e)		527

		Total Commercial Mortgage-Backed Securities (Cost $7,423)		7,548

	Corporate Bonds — 23.5%
		Consumer Discretionary — 2.1%
		Automobiles — 0.4%
	150	Daimler Finance North America LLC, (Germany), 2.20%, 05/05/2020 (e)		150
	600	General Motors Co., 4.20%, 10/01/2027		608

				758

		Internet & Direct Marketing Retail — 0.2%
		Amazon.com, Inc.,
	100	3.80%, 12/05/2024		108
	200	3.88%, 08/22/2037 (e)		205

				313


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Media — 1.1%
	100	21st Century Fox America, Inc., 7.70%, 10/30/2025		130
	208	CBS Corp., 4.00%, 01/15/2026		218
	160	Charter Communications Operating LLC, 4.91%, 07/23/2025		171
	80	Comcast Corp., 3.38%, 08/15/2025		82
	154	Cox Communications, Inc., 3.50%, 08/15/2027 (e)		152
	78	Discovery Communications LLC, 4.38%, 06/15/2021		83
	200	NBCUniversal Media LLC, 2.88%, 01/15/2023		205
	35	Time Warner Cable LLC, 8.75%, 02/14/2019		38
	100	Time Warner Cos., Inc., 7.57%, 02/01/2024		126
	300	Time Warner, Inc., 3.60%, 07/15/2025		303
		Viacom, Inc.,
	11	3.25%, 03/15/2023		11
	180	3.88%, 04/01/2024		182
	250	Walt Disney Co. (The), 2.95%, 06/15/2027		253

				1,954

		Multiline Retail — 0.1%
		Macy’s Retail Holdings, Inc.,
	49	4.38%, 09/01/2023		49
	62	6.90%, 04/01/2029		68
	35	Nordstrom, Inc., 4.00%, 10/15/2021		36

				153

		Specialty Retail — 0.3%
	200	Advance Auto Parts, Inc., 4.50%, 12/01/2023		212
	200	Lowe’s Cos., Inc., 3.38%, 09/15/2025		208
		O’Reilly Automotive, Inc.,
	100	3.55%, 03/15/2026		102
	62	3.60%, 09/01/2027		62

				584

		Total Consumer Discretionary		3,762

		Consumer Staples — 1.1%
		Beverages — 0.4%
		Anheuser-Busch InBev Finance, Inc., (Belgium),
	300	3.30%, 02/01/2023		311
	150	3.70%, 02/01/2024		159
	200	Coca-Cola Co. (The), 2.90%, 05/25/2027		202
	70	Diageo Capital plc, (United Kingdom), 4.83%, 07/15/2020		76

				748


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Food & Staples Retailing — 0.1%
		Kroger Co. (The),
	90	4.00%, 02/01/2024		94
	30	6.15%, 01/15/2020		33
	100	Sysco Corp., 3.75%, 10/01/2025		105

				232

		Food Products — 0.3%
	100	Cargill, Inc., 3.30%, 03/01/2022 (e)		104
		Kraft Heinz Foods Co.,
	15	3.50%, 06/06/2022		16
	15	3.95%, 07/15/2025		15
	66	5.00%, 07/15/2035		72
	22	5.38%, 02/10/2020		24
	45	McCormick & Co., Inc., 3.15%, 08/15/2024		46
	92	Mead Johnson Nutrition Co., (United Kingdom), 4.13%, 11/15/2025		100
	73	Tyson Foods, Inc., 3.95%, 08/15/2024		78

				455

		Household Products — 0.0% (g)
	20	Kimberly-Clark Corp., 2.40%, 03/01/2022		20
	37	Procter & Gamble — ESOP, Series A, 9.36%, 01/01/2021		43

				63

		Tobacco — 0.3%
	200	BAT Capital Corp., (United Kingdom), 3.22%, 08/15/2024 (e)		202
	250	Philip Morris International, Inc., 3.13%, 08/17/2027		251

				453

		Total Consumer Staples		1,951

		Energy — 2.5%
		Energy Equipment & Services — 0.1%
	107	Halliburton Co., 3.50%, 08/01/2023		111
		Nabors Industries, Inc.,
	30	4.63%, 09/15/2021		29
	30	5.00%, 09/15/2020		30
	15	National Oilwell Varco, Inc., 1.35%, 12/01/2017		15
	47	Schlumberger Investment SA, 3.30%, 09/14/2021 (e)		49

				234

		Oil, Gas & Consumable Fuels — 2.4%
		Apache Corp.,
	42	3.25%, 04/15/2022		43


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Oil, Gas & Consumable Fuels — continued
	25	6.90%, 09/15/2018		26
	29	Boardwalk Pipelines LP, 4.95%, 12/15/2024		31
		BP Capital Markets plc, (United Kingdom),
	20	1.38%, 11/06/2017		20
	60	3.51%, 03/17/2025		62
	166	3.81%, 02/10/2024		177
		Buckeye Partners LP,
	30	4.35%, 10/15/2024		31
	40	4.88%, 02/01/2021		43
	25	5.85%, 11/15/2043		27
	25	Canadian Natural Resources Ltd., (Canada), 3.90%, 02/01/2025		26
	17	Carlyle Promissory Note, 3.06%, 07/15/2019 (bb)		16
	21	Cenovus Energy, Inc., (Canada), 3.00%, 08/15/2022		20
	40	Chevron Corp., 2.36%, 12/05/2022		40
	200	CNOOC Nexen Finance 2014 ULC, (China), 4.25%, 04/30/2024		214
	58	Ecopetrol SA, (Colombia), 4.13%, 01/16/2025		58
		Energy Transfer LP,
	28	3.60%, 02/01/2023		28
	91	4.05%, 03/15/2025		92
	61	4.90%, 02/01/2024		66
	200	Eni SpA, (Italy), 4.15%, 10/01/2020 (e)		209
	174	EnLink Midstream Partners LP, 4.15%, 06/01/2025		175
		Enterprise Products Operating LLC,
	37	3.75%, 02/15/2025		39
	49	3.90%, 02/15/2024		51
		EOG Resources, Inc.,
	23	2.63%, 03/15/2023		23
	100	4.10%, 02/01/2021		106
	300	4.15%, 01/15/2026		320
	50	Gulf South Pipeline Co. LP, 4.00%, 06/15/2022		51
	50	Magellan Midstream Partners LP, 6.55%, 07/15/2019		54
	67	Marathon Petroleum Corp., 3.63%, 09/15/2024		69
		Noble Energy, Inc.,
	100	3.85%, 01/15/2028		100
	36	5.63%, 05/01/2021		37
	91	Occidental Petroleum Corp., 3.50%, 06/15/2025		94
		ONEOK Partners LP,
	40	3.20%, 09/15/2018		41
	12	3.38%, 10/01/2022		12
	200	4.90%, 03/15/2025		217


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Oil, Gas & Consumable Fuels — continued
	28	5.00%, 09/15/2023		30
		Petroleos Mexicanos, (Mexico),
	69	4.88%, 01/18/2024		72
	149	6.38%, 02/04/2021		164
	51	6.88%, 08/04/2026		59
		Plains All American Pipeline LP,
	100	3.60%, 11/01/2024		99
	250	4.65%, 10/15/2025		259
	200	Sinopec Group Overseas Development 2013 Ltd., (China), 4.38%, 10/17/2023 (e)		216
	150	Spectra Energy Capital LLC, 5.65%, 03/01/2020		161
	63	Spectra Energy Partners LP, 3.50%, 03/15/2025		64
	180	Sunoco Logistics Partners Operations LP, 4.65%, 02/15/2022		192
	42	TC PipeLines LP, 3.90%, 05/25/2027		43
		TransCanada PipeLines Ltd., (Canada),
	172	3.75%, 10/16/2023		183
	100	6.50%, 08/15/2018		104
	30	7.13%, 01/15/2019		32
	86	Williams Partners LP, 3.90%, 01/15/2025		88

				4,384

		Total Energy		4,618

		Financials — 9.5%
		Banks — 4.3%
	200	ANZ New Zealand Int’l Ltd., (New Zealand), 2.60%, 09/23/2019 (e)		203
		Bank of America Corp.,
	250	3.25%, 10/21/2027		247
	150	3.30%, 01/11/2023		154
	485	3.88%, 08/01/2025		510
	42	4.13%, 01/22/2024		45
	100	5.00%, 05/13/2021		109
	154	Series L, 3.95%, 04/21/2025		159
	300	Bank of Nova Scotia (The), (Canada), 2.15%, 07/14/2020		302
	317	Barclays plc, (United Kingdom), 3.20%, 08/10/2021		324
	300	Capital One Bank USA NA, 3.38%, 02/15/2023		306
		Citigroup, Inc.,
	82	2.15%, 07/30/2018		82
	750	4.13%, 07/25/2028		774
	115	5.50%, 09/13/2025		130
	16	Comerica, Inc., 3.80%, 07/22/2026		16


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Banks — continued
	201	Commonwealth Bank of Australia, (Australia), 4.50%, 12/09/2025 (e)		212
		Cooperatieve Rabobank UA, (Netherlands),
	118	3.88%, 02/08/2022		126
	250	4.38%, 08/04/2025		265
	250	Discover Bank, 3.10%, 06/04/2020		256
		HSBC Holdings plc, (United Kingdom),
	200	2.65%, 01/05/2022		202
	200	4.25%, 08/18/2025		209
	300	4.88%, 01/14/2022		329
	250	Huntington National Bank (The), 2.88%, 08/20/2020		256
	50	KeyCorp, 5.10%, 03/24/2021		55
	250	Lloyds Banking Group plc, (United Kingdom), 3.75%, 01/11/2027		255
	225	Mitsubishi UFJ Financial Group, Inc., (Japan), 3.29%, 07/25/2027		227
	200	Mizuho Bank Ltd., (Japan), 2.65%, 09/25/2019 (e)		202
	36	MUFG Americas Holdings Corp., 2.25%, 02/10/2020		36
	133	PNC Financial Services Group, Inc. (The), 4.38%, 08/11/2020		142
	107	Regions Financial Corp., 3.20%, 02/08/2021		110
	200	Standard Chartered plc, (United Kingdom), 5.20%, 01/26/2024 (e)		217
		Wells Fargo & Co.,
	450	2.63%, 07/22/2022		453
	99	3.00%, 02/19/2025		99
	400	(USD 3 Month LIBOR + 1.31%), 3.58%, 05/22/2028 (aa)		410
	21	4.10%, 06/03/2026		22
	30	4.30%, 07/22/2027		32
	300	Westpac Banking Corp., (Australia), 2.50%, 06/28/2022		301

				7,777

		Capital Markets — 2.3%
		Bank of New York Mellon Corp. (The),
	150	3.25%, 09/11/2024		155
	75	4.60%, 01/15/2020		80
	150	Blackstone Holdings Finance Co. LLC, 5.88%, 03/15/2021 (e)		168
	40	Charles Schwab Corp. (The), 3.23%, 09/01/2022		41
		Deutsche Bank AG, (Germany),
	319	1.88%, 02/13/2018		319
	38	3.13%, 01/13/2021		39


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Capital Markets — continued
	62	3.38%, 05/12/2021		63
		Goldman Sachs Group, Inc. (The),
	349	(USD 3 Month LIBOR + 1.51%), 3.69%, 06/05/2028 (aa)		355
	137	3.75%, 05/22/2025		141
	120	4.00%, 03/03/2024		127
	80	5.75%, 01/24/2022		91
		Intercontinental Exchange, Inc.,
	47	2.50%, 10/15/2018		47
	88	4.00%, 10/15/2023		95
		Invesco Finance plc,
	125	3.75%, 01/15/2026		132
	71	4.00%, 01/30/2024		76
	125	Jefferies Group LLC, 6.88%, 04/15/2021		143
		Macquarie Bank Ltd., (Australia),
	100	2.85%, 07/29/2020 (e)		102
	300	3.90%, 01/15/2026 (e)		315
	100	4.00%, 07/29/2025 (e)		105
	40	Macquarie Group Ltd., (Australia), 6.25%, 01/14/2021 (e)		45
		Morgan Stanley,
	300	2.75%, 05/19/2022		303
	83	3.70%, 10/23/2024		86
	330	4.00%, 07/23/2025		348
	155	5.00%, 11/24/2025		171
	166	5.50%, 07/24/2020		181
	100	5.50%, 07/28/2021		112
	100	5.75%, 01/25/2021		111
	100	6.63%, 04/01/2018		103
	84	Nomura Holdings, Inc., (Japan), 6.70%, 03/04/2020		93
	17	Northern Trust Corp., (USD 3 Month LIBOR + 1.13%), 3.38%, 05/08/2032 (aa)		17
	36	State Street Corp., 3.10%, 05/15/2023		37
	34	TD Ameritrade Holding Corp., 2.95%, 04/01/2022		35

				4,236

		Consumer Finance — 0.9%
	169	AerCap Ireland Capital DAC, (Netherlands), 3.65%, 07/21/2027		170
	200	American Honda Finance Corp., 1.95%, 07/20/2020		200
	235	Capital One Financial Corp., 3.20%, 02/05/2025		235
	58	Caterpillar Financial Services Corp., 2.85%, 06/01/2022		60


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Consumer Finance — continued
		Ford Motor Credit Co. LLC,
	250	2.98%, 08/03/2022		250
	250	3.16%, 08/04/2020		255
	200	3.81%, 01/09/2024		204
	100	General Motors Financial Co., Inc., 4.35%, 01/17/2027		103
		John Deere Capital Corp.,
	33	3.15%, 10/15/2021		34
	50	Series 14, 2.45%, 09/11/2020		51
	100	Synchrony Financial, 4.25%, 08/15/2024		105

				1,667

		Diversified Financial Services — 1.2%
	150	AIG Global Funding, 2.15%, 07/02/2020 (e)		150
	349	GE Capital International Funding Co. Unlimited Co., 2.34%, 11/15/2020		353
		GTP Acquisition Partners I LLC,
	174	2.35%, 06/15/2020 (e)		174
	202	3.48%, 06/16/2025 (e)		204
	200	National Rural Utilities Cooperative Finance Corp., 2.30%, 09/15/2022		200
	81	ORIX Corp., (Japan), 2.90%, 07/18/2022		82
		Private Export Funding Corp.,
	500	Series EE, 2.80%, 05/15/2022		521
	200	Series KK, 3.55%, 01/15/2024		218
	200	Protective Life Global Funding, 2.62%, 08/22/2022 (e)		201
	100	Shell International Finance BV, (Netherlands), 3.25%, 05/11/2025		104

				2,207

		Insurance — 0.8%
	61	Allstate Corp. (The), 3.15%, 06/15/2023		63
	161	American International Group, Inc., 3.75%, 07/10/2025		167
	143	Aon plc, 3.88%, 12/15/2025		152
	130	Chubb INA Holdings, Inc., 2.88%, 11/03/2022		134
		CNA Financial Corp.,
	52	3.95%, 05/15/2024		55
	38	4.50%, 03/01/2026		41
	125	Guardian Life Global Funding, 2.50%, 05/08/2022 (e)		126
	35	Lincoln National Corp., 4.20%, 03/15/2022		37
	300	Manulife Financial Corp., (Canada), 4.15%, 03/04/2026		323
	50	Marsh & McLennan Cos., Inc., 3.30%, 03/14/2023		52


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Insurance — continued
	150	Prudential Insurance Co. of America (The), 8.30%, 07/01/2025 (e)		199

				1,349

		Total Financials		17,236

		Health Care — 1.5%
		Biotechnology — 0.5%
		AbbVie, Inc.,
	214	2.85%, 05/14/2023		216
	35	3.20%, 11/06/2022		36
		Amgen, Inc.,
	44	3.63%, 05/15/2022		46
	40	5.70%, 02/01/2019		43
	75	Baxalta, Inc., 3.60%, 06/23/2022		78
	184	Biogen, Inc., 3.63%, 09/15/2022		193
		Celgene Corp.,
	98	3.25%, 08/15/2022		102
	161	3.63%, 05/15/2024		168
		Gilead Sciences, Inc.,
	13	2.50%, 09/01/2023		13
	25	3.50%, 02/01/2025		26
	57	3.65%, 03/01/2026		60
	21	3.70%, 04/01/2024		22

				1,003

		Health Care Equipment & Supplies — 0.3%
	300	Abbott Laboratories, 3.25%, 04/15/2023		308
	200	Medtronic, Inc., 3.50%, 03/15/2025		211

				519

		Health Care Providers & Services — 0.5%
	200	Aetna, Inc., 2.80%, 06/15/2023		203
	115	Anthem, Inc., 3.13%, 05/15/2022		119
		Cardinal Health, Inc.,
	45	2.40%, 11/15/2019		45
	49	3.75%, 09/15/2025		52
	72	Express Scripts Holding Co., 3.50%, 06/15/2024		74
	214	Laboratory Corp. of America Holdings, 3.20%, 02/01/2022		220
	112	UnitedHealth Group, Inc., 3.38%, 11/15/2021		117

				830

		Life Sciences Tools & Services — 0.1%
		Thermo Fisher Scientific, Inc.,
	57	3.15%, 01/15/2023		58
	100	3.20%, 08/15/2027		100
	34	4.15%, 02/01/2024		37

				195


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Pharmaceuticals — 0.1%
	69	Forest Laboratories LLC, 5.00%, 12/15/2021 (e)		76
	30	Merck & Co., Inc., 3.70%, 02/10/2045		30

				106

		Total Health Care		2,653

		Industrials — 1.3%
		Aerospace & Defense — 0.2%
	43	Airbus Group Finance BV, (France), 2.70%, 04/17/2023 (e)		44
	68	BAE Systems Holdings, Inc., (United Kingdom), 3.80%, 10/07/2024 (e)		72
	174	Lockheed Martin Corp., 3.10%, 01/15/2023		180

				296

		Building Products — 0.2%
	200	CRH America Finance, Inc., (Ireland), 3.40%, 05/09/2027 (e)		204
		Johnson Controls International plc,
	99	3.75%, 12/01/2021		104
	32	3.90%, 02/14/2026		34

				342

		Commercial Services & Supplies — 0.0% (g)
	50	Pitney Bowes, Inc., 5.60%, 03/15/2018		51

		Construction & Engineering — 0.1%
	41	ABB Finance USA, Inc., (Switzerland), 2.88%, 05/08/2022		42
	70	Fluor Corp., 3.38%, 09/15/2021		73

				115

		Electrical Equipment — 0.0% (g)
		Eaton Corp.,
	27	1.50%, 11/02/2017		27
	50	5.60%, 05/15/2018		52

				79

		Industrial Conglomerates — 0.1%
	34	Ingersoll-Rand Global Holding Co. Ltd., 4.25%, 06/15/2023		37
	152	Koninklijke Philips NV, (Netherlands), 3.75%, 03/15/2022		161
	49	Pentair Finance SA, (United Kingdom), 2.90%, 09/15/2018		49

				247

		Machinery — 0.2%
	31	Caterpillar, Inc., 2.60%, 06/26/2022		31
	89	Deere & Co., 2.60%, 06/08/2022		91


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Machinery — continued
	175	Illinois Tool Works, Inc., 3.50%, 03/01/2024		186
	25	Parker-Hannifin Corp., 5.50%, 05/15/2018		26

				334

		Road & Rail — 0.5%
		Burlington Northern Santa Fe LLC,
	43	3.05%, 03/15/2022		45
	32	3.45%, 09/15/2021		33
	19	3.60%, 09/01/2020		20
	55	Canadian Pacific Railway Co., (Canada), 4.50%, 01/15/2022		59
	162	CSX Corp., 3.25%, 06/01/2027		162
		ERAC USA Finance LLC,
	27	4.50%, 08/16/2021 (e)		29
	48	5.25%, 10/01/2020 (e)		52
		Penske Truck Leasing Co. LP,
	53	2.88%, 07/17/2018 (e)		54
	200	3.38%, 02/01/2022 (e)		207
		Ryder System, Inc.,
	25	2.50%, 03/01/2018		25
	28	2.50%, 05/11/2020		28
	86	2.88%, 09/01/2020		88
		Union Pacific Corp.,
	21	2.95%, 01/15/2023		22
	75	3.65%, 02/15/2024		80

				904

		Trading Companies & Distributors — 0.0% (g)
	55	WW Grainger, Inc., 4.60%, 06/15/2045		60

		Total Industrials		2,428

		Information Technology — 0.5%
		Communications Equipment — 0.0% (g)
	44	Cisco Systems, Inc., 2.95%, 02/28/2026		45

		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	32	3.00%, 03/01/2018		32
	100	3.88%, 01/12/2028		101
	16	4.50%, 03/01/2023		17

				150

		IT Services — 0.1%
	200	Western Union Co. (The), 3.60%, 03/15/2022		205

		Semiconductors & Semiconductor Equipment — 0.1%
	130	Intel Corp., 3.70%, 07/29/2025		139
	94	QUALCOMM, Inc., 3.25%, 05/20/2027		95

				234


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Software — 0.1%
		Microsoft Corp.,
	23	0.88%, 11/15/2017		23
	34	2.38%, 05/01/2023		34

				57

		Technology Hardware, Storage & Peripherals — 0.1%
		HP, Inc.,
	118	4.38%, 09/15/2021		126
	45	4.65%, 12/09/2021		49

				175

		Total Information Technology		866

		Materials — 0.9%
		Chemicals — 0.6%
		Agrium, Inc., (Canada),
	45	3.38%, 03/15/2025		46
	100	4.13%, 03/15/2035		101
		Dow Chemical Co. (The),
	59	3.00%, 11/15/2022		61
	100	3.50%, 10/01/2024		104
	60	4.13%, 11/15/2021		64
	20	8.55%, 05/15/2019		22
	88	Ecolab, Inc., 3.25%, 01/14/2023		92
	246	Mosaic Co. (The), 4.25%, 11/15/2023		258
	25	Potash Corp. of Saskatchewan, Inc., (Canada), 3.25%, 12/01/2017		25
	41	Praxair, Inc., 2.65%, 02/05/2025		41
	51	Sherwin-Williams Co. (The), 3.45%, 06/01/2027		51
	150	Union Carbide Corp., 7.50%, 06/01/2025		185

				1,050

		Construction Materials — 0.2%
	200	CRH America, Inc., (Ireland), 3.88%, 05/18/2025 (e)		211
	78	Martin Marietta Materials, Inc., Series 10YR, 3.45%, 06/01/2027		79

				290

		Containers & Packaging — 0.0% (g)
	80	WestRock Co., 3.00%, 09/15/2024 (e)		80

		Metals & Mining — 0.1%
	95	BHP Billiton Finance USA Ltd., (Australia), 3.85%, 09/30/2023		103
	27	Nucor Corp., 4.00%, 08/01/2023		29

				132

		Total Materials		1,552


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Real Estate — 1.2%
		Equity Real Estate Investment Trusts (REITs) — 1.2%
		American Tower Corp.,
	80	3.50%, 01/31/2023		83
	38	5.00%, 02/15/2024		42
	45	American Tower Trust #1, 1.55%, 03/15/2018 (e)		45
	100	Brixmor Operating Partnership LP, 3.85%, 02/01/2025		100
	121	DDR Corp., 3.90%, 08/15/2024		123
	62	EPR Properties, 4.50%, 06/01/2027		63
	125	Equity Commonwealth, 5.88%, 09/15/2020		134
	255	ERP Operating LP, 4.63%, 12/15/2021		278
		HCP, Inc.,
	38	3.40%, 02/01/2025		38
	205	3.88%, 08/15/2024		214
	17	4.20%, 03/01/2024		18
		Prologis LP,
	38	3.75%, 11/01/2025		40
	53	4.25%, 08/15/2023		58
	50	Realty Income Corp., 3.88%, 07/15/2024		52
	150	Scentre Group Trust 1, (Australia), 3.50%, 02/12/2025 (e)		153
		Simon Property Group LP,
	62	3.38%, 10/01/2024		64
	38	3.75%, 02/01/2024		40
	81	4.13%, 12/01/2021		87
	75	Tanger Properties LP, 3.75%, 12/01/2024		76
		Ventas Realty LP,
	27	3.50%, 02/01/2025		27
	44	3.75%, 05/01/2024		46
	62	4.13%, 01/15/2026		65
		VEREIT Operating Partnership LP,
	100	3.95%, 08/15/2027		100
	100	4.60%, 02/06/2024		106
	73	Welltower, Inc., 4.50%, 01/15/2024		80

		Total Real Estate		2,132

		Telecommunication Services — 1.4%
		Diversified Telecommunication Services — 1.3%
		AT&T, Inc.,
	25	3.00%, 06/30/2022		25
	141	3.40%, 05/15/2025		140
	227	3.60%, 02/17/2023		234
	52	3.95%, 01/15/2025		54
	34	4.45%, 04/01/2024		36
	150	4.60%, 02/15/2021		160
	350	Bellsouth Capital Funding Corp., 7.88%, 02/15/2030		468


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — continued
		Diversified Telecommunication Services — continued
	148	Qwest Corp., 6.75%, 12/01/2021		162
	31	Telefonica Emisiones SAU, (Spain), 5.13%, 04/27/2020		33
		Verizon Communications, Inc.,
	300	2.95%, 03/15/2022		306
	156	4.15%, 03/15/2024		165
	208	4.50%, 08/10/2033		212
	448	4.81%, 03/15/2039		454

				2,449

		Wireless Telecommunication Services — 0.1%
	160	Rogers Communications, Inc., (Canada), 4.10%, 10/01/2023		172

		Total Telecommunication Services		2,621

		Utilities — 1.5%
		Electric Utilities — 0.9%
	27	American Electric Power Co., Inc., Series E, 1.65%, 12/15/2017		27
	27	Arizona Public Service Co., 2.20%, 01/15/2020		27
	43	Baltimore Gas & Electric Co., 2.80%, 08/15/2022		44
	200	Commonwealth Edison Co., Series 122, 2.95%, 08/15/2027		201
	30	Connecticut Light & Power Co. (The), 5.65%, 05/01/2018		31
	20	DTE Electric Co., 2.65%, 06/15/2022		20
	60	Duke Energy Indiana LLC, 3.75%, 07/15/2020		63
	40	Duke Energy Progress LLC, 2.80%, 05/15/2022		41
	60	Electricite de France SA, (France), 2.15%, 01/22/2019 (e)		60
	200	Enel Finance International NV, (Italy), 3.63%, 05/25/2027 (e)		202
	186	Entergy Mississippi, Inc., 2.85%, 06/01/2028		184
	25	Jersey Central Power & Light Co., 7.35%, 02/01/2019		27
	47	Kansas City Power & Light Co., 3.15%, 03/15/2023		48
	60	Nevada Power Co., 7.13%, 03/15/2019		65
		NextEra Energy Capital Holdings, Inc.,
	27	2.40%, 09/15/2019		27
	89	3.55%, 05/01/2027		93
		Niagara Mohawk Power Corp.,
	28	3.51%, 10/01/2024 (e)		30
	40	4.88%, 08/15/2019 (e)		42
	25	Ohio Power Co., 6.05%, 05/01/2018		26
	50	Oncor Electric Delivery Co. LLC, 6.80%, 09/01/2018		52


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Electric Utilities — continued
		Pacific Gas & Electric Co.,
	68	2.45%, 08/15/2022		68
	50	3.25%, 06/15/2023		52
	51	Public Service Co. of Colorado, 3.20%, 11/15/2020		53
	74	Public Service Co. of Oklahoma, 4.40%, 02/01/2021		79
	37	Southern California Edison Co., 1.85%, 02/01/2022		37
		Virginia Electric & Power Co.,
	21	3.45%, 02/15/2024		22
	40	Series A, 6.00%, 05/15/2037		53

				1,674

		Gas Utilities — 0.0% (g)
	30	Atmos Energy Corp., 8.50%, 03/15/2019		33

		Independent Power and Renewable Electricity Producers — 0.3%
		Exelon Generation Co. LLC,
	45	2.95%, 01/15/2020		46
	72	4.25%, 06/15/2022		76
	317	Southern Power Co., 4.15%, 12/01/2025		336

				458

		Multi-Utilities — 0.3%
	50	Consumers Energy Co., 5.65%, 04/15/2020		55
	79	DTE Energy Co., Series B, 3.30%, 06/15/2022		81
	200	NiSource Finance Corp., 3.85%, 02/15/2023		210
	48	Sempra Energy, 4.05%, 12/01/2023		51
	94	Southern Co. Gas Capital Corp., 3.50%, 09/15/2021		98
	87	WEC Energy Group, Inc., 3.55%, 06/15/2025		91

				586

		Total Utilities		2,751

		Total Corporate Bonds (Cost $41,138)		42,570

	Foreign Government Securities — 0.6%
	150	Republic of Colombia, (Colombia), 7.38%, 09/18/2037		198
		Republic of Poland, (Poland),
	125	3.25%, 04/06/2026		129
	92	4.00%, 01/22/2024		100
		United Mexican States, (Mexico),
	250	3.60%, 01/30/2025		257
	244	3.63%, 03/15/2022		256
	116	4.00%, 10/02/2023		123

		Total Foreign Government Securities (Cost $1,021)		1,063


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Mortgage-Backed Securities — 11.3%
			FHLMC,
	19		ARM, 2.82%, 01/01/2027 (z)		19
	39		ARM, 3.04%, 01/01/2037 (z)		41
	135		ARM, 3.06%, 08/01/2036 (z)		141
	10		ARM, 3.13%, 07/01/2026 (z)		10
	48		ARM, 3.14%, 11/01/2036 (z)		51
	86		ARM, 3.27%, 03/01/2037 (z)		90
	118		ARM, 3.29%, 12/01/2034 (z)		125
	57		ARM, 3.40%, 09/01/2036 (z)		60
	80		ARM, 3.61%, 09/01/2036 (z)		85
	140		ARM, 3.69%, 06/01/2036 (z)		149
	80		ARM, 3.77%, 04/01/2038 (z)		85
	58		ARM, 3.94%, 02/01/2037 (z)		62
			FHLMC Gold Pools, 15 Year, Single Family,
	16		4.00%, 06/01/2019		17
	1		4.50%, 10/01/2018		1
	1		6.00%, 04/01/2018		1
	18		6.50%, 02/01/2019 - 03/01/2022		19
			FHLMC Gold Pools, 20 Year, Single Family,
	4		6.00%, 12/01/2022		4
	15		6.50%, 08/01/2026		16
			FHLMC Gold Pools, 30 Year, Single Family,
	39		6.00%, 01/01/2034		45
	34		7.00%, 04/01/2026 - 02/01/2037		40
	3		7.50%, 08/01/2025		4
	3		8.00%, 07/01/2020 - 11/01/2024		4
	10		8.50%, 07/01/2028		12
	69		FHLMC Gold Pools, FHA/VA, 10.00%, 10/01/2030		74
			FHLMC Gold Pools, Other,
	1,995		3.50%, 05/01/2033 - 05/01/2043		2,081
	324		4.00%, 06/01/2042		345
	51		6.00%, 02/01/2033		56
			FNMA,
	977		ARM, 2.01%, 12/01/2025 (z)		976
	4		ARM, 2.40%, 09/01/2027 (z)		4
	—	(h)	ARM, 2.55%, 03/01/2019 (z)		—	(h)
	36		ARM, 2.84%, 02/01/2037 (z)		38
	107		ARM, 2.84%, 09/01/2034 (z)		113
	97		ARM, 2.86%, 09/01/2035 (z)		101
	—	(h)	ARM, 2.88%, 08/01/2019 (z)		—	(h)
	70		ARM, 2.89%, 01/01/2035 (z)		72
	62		ARM, 2.90%, 09/01/2036 (z)		65
	93		ARM, 2.91%, 02/01/2035 (z)		96
	197		ARM, 2.91%, 08/01/2034 - 09/01/2035 (z)		206
	61		ARM, 2.98%, 11/01/2033 (z)		64


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	74	ARM, 3.00%, 04/01/2033 (z)		78
	108	ARM, 3.02%, 01/01/2035 (z)		114
	98	ARM, 3.10%, 09/01/2033 (z)		103
	41	ARM, 3.13%, 08/01/2036 (z)		43
	35	ARM, 3.14%, 08/01/2035 (z)		37
	66	ARM, 3.16%, 04/01/2035 (z)		69
	60	ARM, 3.20%, 02/01/2035 (z)		63
	78	ARM, 3.23%, 10/01/2034 (z)		82
	105	ARM, 3.41%, 02/01/2037 (z)		110
	82	ARM, 3.63%, 07/01/2046 (z)		87
	114	ARM, 3.88%, 02/01/2036 (z)		121
	3	ARM, 3.95%, 03/01/2029 (z)		3
		FNMA, 15 Year, Single Family,
	8	4.00%, 05/01/2019		8
	36	4.50%, 05/01/2018 - 05/01/2019		37
	51	5.00%, 06/01/2018 - 04/01/2019		52
	18	5.50%, 01/01/2020 - 06/01/2020		18
	97	6.00%, 03/01/2021 - 01/01/2024		104
	5	6.50%, 08/01/2020		5
	42	FNMA, 20 Year, Single Family, 6.50%, 05/01/2022		46
		FNMA, 30 Year, FHA/VA,
	12	6.00%, 09/01/2033		13
	16	6.50%, 03/01/2029		18
	1	9.50%, 12/01/2018		1
		FNMA, 30 Year, Single Family,
	37	4.50%, 08/01/2033		40
	533	5.00%, 07/01/2033 - 08/01/2040		587
	62	5.50%, 12/01/2033		71
	252	6.00%, 12/01/2032 - 09/01/2037		288
	22	6.50%, 08/01/2031		25
	3	7.00%, 09/01/2027 - 08/01/2032		4
	6	7.50%, 11/01/2022 - 10/01/2024		6
	233	8.00%, 03/01/2021 - 11/01/2032		277
	4	8.50%, 07/01/2024 - 05/01/2025		4
	1	10.00%, 02/01/2024		1
		FNMA, Other,
	949	2.22%, 12/01/2022		959
	475	2.24%, 12/01/2022		481
	630	2.40%, 01/01/2022		639
	1,000	2.79%, 05/01/2027		1,018
	1,000	3.03%, 04/01/2027		1,034
	1,500	3.10%, 09/01/2025		1,567
	1,000	3.24%, 12/01/2026		1,050
	1,000	3.29%, 08/01/2026		1,054
	500	3.34%, 02/01/2027		534
	481	3.76%, 10/01/2023		519


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage-Backed Securities — continued
	585	4.00%, 07/01/2042		623
	328	4.26%, 06/01/2021		351
	751	4.30%, 04/01/2021		807
	474	4.39%, 05/01/2021		511
	29	5.50%, 04/01/2038		31
	50	6.00%, 03/01/2037		55
		GNMA I, 30 Year, Single Family,
	186	6.00%, 11/15/2028 - 12/15/2038		210
	163	6.50%, 01/15/2024 - 12/15/2035		185
	165	7.00%, 08/15/2023 - 06/15/2035		189
	12	7.50%, 11/15/2022 - 09/15/2028		13
	2	8.00%, 08/15/2028		2
	2	9.00%, 02/15/2020 - 11/15/2024		2
	24	9.50%, 09/15/2018 - 12/15/2025		26
		GNMA II, 30 Year, Single Family,
	141	6.00%, 03/20/2028 - 09/20/2038		159
	7	7.50%, 02/20/2028 - 09/20/2028		8
	20	8.00%, 12/20/2025 - 08/20/2028		22
	11	8.50%, 03/20/2025 - 05/20/2025		13
	501	GNMA II, Other, 3.50%, 11/20/2033		528

		Total Mortgage-Backed Securities (Cost $19,806)		20,477

	U.S. Government Agency Securities — 1.5%
	1,440	Financing Corp. STRIPS, Series 1P, 1.58%, 05/11/2018 (n)		1,427
	85	FNMA, 1.80%, 10/09/2019 (n)		82
		Resolution Funding Corp. STRIPS,
	330	1.21%, 01/15/2021 (n)		312
	165	1.59%, 10/15/2019 (n)		160
	250	1.71%, 07/15/2020 (n)		238
	80	2.67%, 10/15/2027 (n)		62
	90	2.85%, 01/15/2026 (n)		74
	333	Tennessee Valley Authority STRIPS, 4.48%, 05/01/2019 (n)		323

		Total U.S. Government Agency Securities (Cost $2,667)		2,678

	U.S. Treasury Obligations — 24.1%
	516	U.S. Treasury Bonds, 6.00%, 02/15/2026		676
		U.S. Treasury Notes,
	5,000	1.38%, 08/31/2020		4,990
	4,000	1.38%, 01/31/2021		3,981
	3,000	1.88%, 10/31/2017		3,004
	1,000	1.88%, 01/31/2022		1,009
	3,000	2.00%, 02/28/2021		3,048
	9,000	2.00%, 08/15/2025		8,979
	3,000	3.50%, 02/15/2018		3,032


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		U.S. Treasury STRIPS Bonds,
	3,825	2.09%, 08/15/2023 (n)		3,410
	200	2.12%, 05/15/2024 (n)		175
	2,150	2.21%, 11/15/2023 (n)		1,905
	200	2.25%, 05/15/2026 (n)		166
	3,000	2.36%, 02/15/2024 (n)		2,641
	10	2.36%, 05/15/2028 (n)		8
	750	2.54%, 05/15/2023 (n)		673
	300	2.57%, 02/15/2027 (n)		243
	2,400	2.65%, 02/15/2022 (n)		2,223
	1,300	2.68%, 11/15/2022 (n)		1,182
	200	2.76%, 05/15/2025 (n)		170
	53	2.91%, 02/15/2028 (n)		42
	200	3.06%, 08/15/2028 (n)		155
	47	3.31%, 08/15/2026 (n)		39
	300	3.44%, 11/15/2026 (n)		245
	100	3.66%, 08/15/2027 (n)		80
	140	3.69%, 11/15/2027 (n)		111
	1,525	3.75%, 11/15/2021 (n)		1,422

		Total U.S. Treasury Obligations (Cost $43,499)		43,609


SHARES
	Short-Term Investment — 1.4%
		Investment Company — 1.4%
	2,456	JPMorgan Prime Money Market Fund, Institutional Class Shares, 1.18% (b) (l) (Cost $2,456)		2,456

		Total Investments — 99.8% (Cost $176,635)		180,783
		Other Assets in Excess of Liabilities — 0.2%		405

		NET ASSETS — 100.0%	$	181,188

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 August 31, 2017.
CMBS		— Commercial Mortgage Backed Security
CSMC		— Credit Suisse Mortgage Trust
ESOP		— Employee Stock Ownership Program
FHA		— Federal Housing Administration
FHLB		— Federal Home Loan Bank
FHLMC		— Federal Home Loan Mortgage Corp.
FNMA		— Federal National Mortgage Association
GNMA		— Government National Mortgage Association
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 IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.
IF		— Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of August 31, 2017. 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.
LIBOR		— London Interbank Offered Rate
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


STRIPS		— Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
SUB		— Step-Up Bond. The interest rate shown is the rate in effect as of August 31, 2017.
USD		— United States Dollar
VA		— Veterans Administration

(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. Security has not paid its last interest payment and/or interest is not being accrued.
(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 0.05%.
(h)		— Amount rounds to less than 500.
(l)		— The rate shown is the current yield as of August 31, 2017.
(n)		— The rate shown is the effective yield as of August 31, 2017.
(t)		— The date shown represents the earliest of the next put date, next demand date or final maturity date.
(x)		— Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of August 31, 2017.
(y)		— Preferred Security.
(z)		— Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2017.
(aa)		— Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2017.
(bb)		— Security has been valued using significant unobservable inputs.
(cc)		— Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms.

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. Two separate diversified series of the Trust (collectively, the “Funds”) covered by this report commenced operations on February 7, 2005: Core Bond 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 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.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.

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.

The Administrator has established the J.P. Morgan Investment 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 Core Bond Trust and Intermediate Bond Trust at August 31, 2017.

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 between fair value levels are valued utilizing values as of the beginning of the period.

For each of the Funds, there were no transfers between levels 1 and 2 during the six months ended August 31, 2017.

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

Transfers between level 2 and level 3 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack or increase of available market inputs to determine the price for the six months ended August 31, 2017.

The change in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2017, which were valued using significant unobservable inputs (level 3) were as follows (amounts in thousands):

These amounts are included in Change in net unrealized appreciation/depreciation of investments in non-affiliates on the Statements of Operations.

The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the 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.

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 asset value of the Funds.

As of August 31, 2017, 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 — The Funds 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.

The Funds did not have forward commitments nor delayed delivery securities outstanding as of August 31, 2017.

D. Loan Assignments — Core 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 JPMIM 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.

Certain loan assignments are also subject to the risks associated with high yield securities described under Note 7.

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 August 31, 2017, the Fund did not have any outstanding unfunded loan commitments.

F. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a fund first learns of the dividend. Certain Funds may receive other income from investment in loan assignments and/or unfunded commitments, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income on the Statements of Operations.

G. Allocation of Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds.

H. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of August 31, 2017, 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.

I. Distributions to Shareholders — Distributions from net investment income are generally declared and paid monthly. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

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

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing 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 six months ended August 31, 2017, and are in place until at least until June 30, 2018.

For the six months ended August 31, 2017, 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 have contractually agreed to waive fees and/or reimburse expenses 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.

The amounts of these waivers/reimbursements resulting from investments in these money market funds for the six months ended August 31, 2017 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 six months ended August 31, 2017, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

The Funds may use related party broker-dealers. For the six months ended August 31, 2017, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.

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

During the six months ended August 31, 2017, 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 investments held at August 31, 2017 were 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 28, 2017, the following Fund deferred to March 1, 2017 post-October capital losses of:

Effective August 16, 2016, Core Bond Trust and Intermediate Bond Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. The initial term of the Credit Facility is 364 days, unless extended.

The Funds did not utilize the Credit Facility during the six months ended August 31, 2017.

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 August 31, 2017, Intermediate Bond Trust had three individual shareholder accounts which collectively represented 36.2% of the Fund’s net assets. Significant shareholder transactions by these accounts may impact the Funds’ performance.

The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The 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 that the Federal Reserve has recently raised interest rates and may continue to do so, the Funds may face a heightened level of interest rate risk. 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 are 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.

In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to Funds’ August 31, 2017. The adoption had no effect on the Funds’ net assets or results of operations.

As a shareholder of the Funds, you incur ongoing costs, including investment advisory fees, administration fees, and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Funds at the beginning of the reporting period, March 1, 2017, and continued to hold your shares at the end of the reporting period, August 31, 2017.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2017, at which the Trustees considered the continuation of the investment advisory agreements for each of the Funds whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 16, 2017.

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

standards for their consideration of the proposed Advisory Agreements. The Trustees also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.

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

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

Nature, Extent and Quality of Services Provided by the Adviser

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

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

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

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

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

Fall-Out Benefits

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

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

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees noted that the proposed investment advisory fee schedule for each Fund does not contain breakpoints, but that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has implemented fee waivers and expense limitations (“Fee Caps”)

which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Funds over time, noting the Adviser’s substantial investments in its business in support of the Funds, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees also considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders.

Independent Written Evaluation of the Funds’ Chief Compliance Officer

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

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, and for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance for the Funds in a report prepared by Broadridge/

Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe ”), as well as a sub-set of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Peer Group and Universe. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. For Core Bond Trust, the Trustees and Adviser determined that the Peer Group and/or Universe is less meaningful and the independent consultant prepared an analysis of the Fund across various risk and return metrics including tracking error, volatility, total/excess return versus various indices and customized peer groups of funds with similar portfolio objectives (as selected by the independent consultant). The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance is summarized below:

The Trustees noted that the Core Bond Trust’s performance was in the fourth, third and fifth quintiles based upon the Peer Group, and in the third, first and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with the fixed income committee at each of their regularly scheduled meetings over

the course of the next year. The Trustees noted that the Intermediate Bond Trust’s performance was in the first quintile based upon the Universe for each of the one-, three-, and five-year periods ended December 31, 2016. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, concluded that the Fund’s performance was reasonable.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate paid by each Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and the administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios are summarized below:

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

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 businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

(a) 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.

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

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

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

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

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

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

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


REPORTING PERIOD RETURN:
Fund*		3.30%
Bloomberg Barclays U.S. Aggregate Index		2.74%

Net Assets as of 8/31/2017 (In Thousands)	$	2,454,484
Duration as of 8/31/2017		5.7 Years


AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2017

	INCEPTION DATE OF CLASS		6 MONTH*			1 YEAR			5 YEAR			10 YEAR
		February 7, 2005		3.30	%		1.56	%		2.76	%		5.39	%


REPORTING PERIOD RETURN:
Fund*			2.44%
Bloomberg Barclays Intermediate U.S. Government/Credit Index			2.06%

Net Assets as of 8/31/2017 (In Thousands)			$181,188
Duration as of 8/31/2017			3.7 Years


AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2017

	INCEPTION DATE OF CLASS		6 MONTH*			1 YEAR			5 YEAR			10 YEAR
		February 7, 2005		2.44	%		1.36	%		2.18	%		4.63	%



CEO’s Letter			1

Market Overview			2

Fund Commentaries:

JPMorgan Core Bond Trust			3

JPMorgan Intermediate Bond Trust			5

Schedules of Portfolio Investments			7

Financial Statements			69

Financial Highlights			72

Notes to Financial Statements			74

Schedule of Shareholder Expenses			83

Board Approval of Investment Advisory Agreements			84


	Core Bond Trust			Intermediate Bond Trust
ASSETS:
Investments in non-affiliates, at value	$	2,441,691		$	178,327
Investments in affiliates, at value		78,482			2,456
Cash		74			14
Receivables:
Investment securities sold		15,841			29
Interest from non-affiliates		11,542			647
Dividends from affiliates		46			2
Prepaid expenses		35			—

Total Assets		2,547,711			181,475


LIABILITIES:
Payables:
Excise tax		35			—
Investment securities purchased		473			214
Fund shares redeemed		92,299			—
Accrued liabilities:
Investment advisory fees		283			5
Custodian and accounting fees		70			29
Trustees’ and Chief Compliance Officer’s fees		—	(a)		—
Audit fees		43			36
Other		24			3

Total Liabilities		93,227			287

Net Assets	$	2,454,484		$	181,188


Paid-in-Capital	$	2,326,158		$	176,805
Accumulated undistributed (distributions in excess of) net investment income		12			—	(a)
Accumulated net realized gains (losses)		22,953			235
Net unrealized appreciation (depreciation)		105,361			4,148

Total Net Assets	$	2,454,484		$	181,188


Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):		234,000			18,190
Net asset value, offering and redemption price per share (b)	$	10.49		$	9.96


Cost of investments in non-affiliates	$	2,336,330		$	174,179
Cost of investments in affiliates		78,482			2,456


	Core Bond Trust			Intermediate Bond Trust
INVESTMENT INCOME:
Interest income from non-affiliates	$	50,834		$	2,761
Dividend income from affiliates		249			12

Total investment income		51,083			2,773


EXPENSES:
Investment advisory fees		4,420			267
Administration fees		1,473			89
Custodian and accounting fees		154			62
Professional fees		105			33
Trustees’ and Chief Compliance Officer’s fees		16			13
Printing and mailing costs		12			1
Transfer agency fees		14			1
Other		74			8

Total expenses		6,268			474

Less fees waived		(4,100	)		(344	)

Net expenses		2,168			130

Net investment income (loss)		48,915			2,643


REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		13,306			(337	)
Investments in affiliates		(13	)		—	(a)

Net realized gain (loss)		13,293			(337	)

Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		29,677			1,965
Investments in affiliates		—	(a)		—	(a)

Change in net unrealized appreciation/depreciation		29,677			1,965

Net realized/unrealized gains (losses)		42,970			1,628

Change in net assets resulting from operations	$	91,885		$	4,271


	Core Bond Trust						Intermediate Bond Trust
	Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017			Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	48,915		$	119,900		$	2,643		$	9,109
Net realized gain (loss)		13,293			38,262			(337	)		7,529
Change in net unrealized appreciation/depreciation		29,677			(73,971	)		1,965			(9,329	)

Change in net assets resulting from operations		91,885			84,191			4,271			7,309


DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income		(49,662	)		(120,356	)		(2,666	)		(9,134	)
From net realized gains		—			(31,700	)		—			(7,402	)

Total distributions to shareholders		(49,662	)		(152,056	)		(2,666	)		(16,536	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		65,932			479,291			7,894			21,400
Distributions reinvested		46,523			143,201			2,243			14,746
Cost of shares redeemed		(859,426	)		(1,606,001	)		(11,903	)		(298,583	)

Change in net assets resulting from capital transactions		(746,971	)		(983,509	)		(1,766	)		(262,437	)


NET ASSETS:
Change in net assets		(704,748	)		(1,051,374	)		(161	)		(271,664	)
Beginning of period		3,159,232			4,210,606			181,349			453,013

End of period	$	2,454,484		$	3,159,232		$	181,188		$	181,349

Accumulated undistributed (distributions in excess of) net investment income	$	12		$	759		$	—	(a)	$	23


SHARE TRANSACTIONS:
Issued		6,374			45,410			799			2,159
Reinvested		4,477			13,622			226			1,461
Redeemed		(82,657	)		(151,360	)		(1,209	)		(28,949	)

Change in Shares		(71,806	)		(92,328	)		(184	)		(25,329	)


	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			Total distributions
Core Bond Trust
Six Months Ended August 31, 2017 (Unaudited)	$	10.33	$	0.17	(e)	$	0.17		$	0.34	$	(0.18	)	$	—		$	(0.18	)
Year Ended February 28, 2017		10.58		0.33	(e)		(0.14	)		0.19		(0.34	)		(0.10	)		(0.44	)
Year Ended February 29, 2016		10.69		0.32	(e)		(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	)

Intermediate Bond Trust
Six Months Ended August 31, 2017 (Unaudited)		9.87		0.15	(e)		0.09			0.24		(0.15	)		—			(0.15	)
Year Ended February 28, 2017		10.37		0.29	(e)		(0.15	)		0.14		(0.30	)		(0.34	)		(0.64	)
Year Ended February 29, 2016		10.40		0.26	(e)		(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	)


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

$	10.49		3.30	%	$	2,454,484		0.15	%		3.32	%		0.43	%		7	%
	10.33		1.78			3,159,232		0.15			3.15			0.42			16
	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


	9.96		2.44			181,188		0.15			2.97			0.53			16
	9.87		1.33			181,349		0.15			2.85			0.48			32
	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


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Debt Securities
Asset-Backed Securities		$ —		$ 194,131		$117,318		$ 311,449
Collateralized Mortgage Obligations		—		372,193		14,503		386,696
Commercial Mortgage-Backed Securities		—		113,372		8,804		122,176
Corporate Bonds
Consumer Discretionary		—		40,507		—		40,507
Consumer Staples		—		29,902		—		29,902
Energy		—		80,951		211		81,162
Financials		—		263,878		—		263,878
Health Care		—		34,308		—		34,308
Industrials		—		42,618		—		42,618
Information Technology		—		41,232		—		41,232
Materials		—		16,106		—		16,106
Real Estate		—		21,643		—		21,643
Telecommunication Services		—		46,769		—		46,769
Utilities		—		57,741		—		57,741

Total Corporate Bonds		—		675,655		211		675,866

Foreign Government Securities		—		46,960		—		46,960
Mortgage-Backed Securities		—		418,899		—		418,899
Municipal Bonds		—		11,164		—		11,164
Supranational		—		3,411		—		3,411
U.S. Government Agency Securities		—		41,658		—		41,658
U.S. Treasury Obligations		—		419,109		—		419,109
Loan Assignment
Consumer Discretionary		—		—		4,303		4,303
Short-Term Investment
Investment Company		78,482		—		—		78,482

Total Investments in Securities		$78,482		$2,296,552		$145,139		$2,520,173


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Debt Securities
Asset-Backed Securities		$ —		$ 15,824		$6,068		$ 21,892
Collateralized Mortgage Obligations		—		37,832		658		38,490
Commercial Mortgage-Backed Securities		—		6,946		602		7,548
Corporate Bonds
Consumer Discretionary		—		3,762		—		3,762
Consumer Staples		—		1,951		—		1,951
Energy		—		4,602		16		4,618
Financials		—		17,236		—		17,236
Health Care		—		2,653		—		2,653
Industrials		—		2,428		—		2,428
Information Technology		—		866		—		866
Materials		—		1,552		—		1,552
Real Estate		—		2,132		—		2,132
Telecommunication Services		—		2,621		—		2,621
Utilities		—		2,751		—		2,751

Total Corporate Bonds		—		42,554		16		42,570

Foreign Government Securities		—		1,063		—		1,063
Mortgage-Backed Securities		—		20,477		—		20,477
U.S. Government Agency Securities		—		2,678		—		2,678
U.S. Treasury Obligations		—		43,609		—		43,609
Short-Term Investment
Investment Company		2,456		—		—		2,456

Total Investments in Securities		$2,456		$170,983		$7,344		$180,783


Core Bond Trust	Balance as of February 28, 2017		Realized gain (loss)			Change in net unrealized appreciation (depreciation)			Net accretion (amortization)			Purchases¹		Sales²			Transfers into Level 3		Transfers out of Level 3			Balance as of August 31, 2017
Investments in Securities:
Asset-Backed Securities	$	131,541	$	(460	)	$	1,872		$	(159	)	$	12,535	$	(46,531	)	$	21,677	$	(3,157	)	$	117,318
Collateralized Mortgage Obligations		16,382		13			322			(158	)		—		(2,056	)		—		—			14,503
Commercial Mortgage-Backed Securities		8,819		—	(a)		239			(68	)		—		(1,430	)		1,244		—			8,804
Corporate Bond — Energy		—		—			—	(a)		—	(a)		211		—			—		—			211
Loan Assignment — Consumer Discretionary		—		—			2			10			—		(412	)		4,703		—			4,303

	$	156,742	$	(447	)	$	2,435		$	(375	)	$	12,746	$	(50,429	)	$	27,624	$	(3,157	)	$	145,139


	Fair Value at August 31, 2017		Valuation Technique(s)	Unobservable Input	Range (Weighted Average)
	$	71,270	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 40.00% (7.14%)
				Constant Default Rate		0.00% - 30.00% (0.59%)
				Yield (Discount Rate of Cash Flows)		1.67% - 7.65% (3.24%)

Asset-Backed Securities		71,270

		12,891	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 30.00% (12.01%)
				PSA Prepayment Model		324.00% - 324.00% (324.00%)
				Constant Default Rate		0.00% - 9.64% (3.34%)
				Yield (Discount Rate of Cash Flows)		0.37% - 199.00% (6.09%)

Collateralized Mortgage Obligations		12,891

		4,013	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 100.00% (14.59%)
				Yield (Discount Rate of Cash Flows)		1.55% - 5.73% (4.37%)

Commercial Mortgage-Backed Securities		4,013

		211	Discounted Cash Flow	Yield (Discount Rate of Cash Flows)		3.23% (3.23%)
				Liquidity Discount		1.00% (1.00%)

Corporate Bonds		211

Total	$	88,384



AUGUST 31, 2017	JPMORGAN INSTITUTIONAL TRUST FUNDS	1



2	JPMORGAN INSTITUTIONAL TRUST FUNDS	AUGUST 31, 2017



AUGUST 31, 2017	JPMORGAN INSTITUTIONAL TRUST FUNDS	3



4	JPMORGAN INSTITUTIONAL TRUST FUNDS	AUGUST 31, 2017


	Contractual Waivers
	Investment Advisory Fees		Administration Fees		Total
Core Bond Trust	$	2,584	$	1,473	$	4,057
Intermediate Bond Trust		251		89		340


	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Purchases of U.S. Government		Sales of U.S. Government
Core Bond Trust	$	197,673	$	801,429	$	10,115	$	120,027
Intermediate Bond Trust		15,294		19,606		11,959		12,215


	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Core Bond Trust	$	2,414,812	$	114,195	$	8,834	$	105,361
Intermediate Bond Trust		176,635		4,722		574		4,148


	Beginning Account Value March 1, 2017		Ending Account Value August 31, 2017		Expenses Paid During the Period*		Annualized Expense Ratio
Core Bond Trust
Class A
Actual	$	1,000.00	$	1,033.00	$	0.77		0.15	%
Hypothetical		1,000.00		1,024.45		0.77		0.15

Intermediate Bond Trust
Class A
Actual		1,000.00		1,024.40		0.77		0.15
Hypothetical		1,000.00		1,024.45		0.77		0.15


		^© JPMorgan Chase & Co., 2017. All rights reserved. August 2017.		SAN-INSTT-817


By:		/s/ Brian S. Shlissel
		Brian S. Shlissel
		President and Principal Executive Officer
		November 1, 2017