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 Shareholders,

By way of introduction, I am head of the Americas Client organization for J.P. Morgan Asset Management, as well as a twenty year J.P. Morgan veteran, spending nearly all of my career in Asset Management. The reason I joined J.P. Morgan Asset Management over twenty years ago is the same reason I still come to work energized every day; our shareholders & clients. Our shareholders & clients are our highest priority and at the center of everything we do. As such, I plan to use our Letter to Shareholders as an opportunity to provide updates on recent market events and also, from time to time, introduce innovative initiatives happening within J.P. Morgan Asset Management that are designed in part to continue to improve the shareholder & client experiences.

“The reason I joined J.P. Morgan Asset Management over twenty years ago is the same reason I still come to work energized every day; our shareholders & clients.” — Andrea L. Lisher

While the longest U.S. economic expansion on record showed signs of slowing in 2019, financial markets have so far largely

provided positive returns in 2019. In response to a weaker global economic outlook and muted inflationary pressure, the U.S. Federal Reserve cut interest rates in July for the first time in more than a decade and then reduced interest rates further in September, which provided support for both equity and bond prices. However, global economic growth continued to weaken in the third quarter of 2019 and continued uncertainty about U.S.-China trade has led to increased volatility in financial markets. Given continued uncertainty around trade, we expect market volatility to continue going forward. For long-term investors, we recommend maintaining a long-term view and a properly diversified investment portfolio.

On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. 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

Andrea L. Lisher

Head of Americas, Client

J.P. Morgan Asset Management

Both equity and bond markets in the U.S. provided positive returns for the six month reporting period amid continued U.S. economic growth, buoyant corporate earnings and the U.S. Federal Reserve’s first reduction in benchmark interest rates in a more than a decade. Global bond markets generally provided positive returns, particularly in emerging markets and lower-rated corporate bonds, which benefitted from investor demand for higher yielding assets.

While financial markets largely rallied in the first months of the reporting period, investor concerns about slowing global economic growth and an increase in U.S.-China trade tensions drove an increase in market volatility and weighed down asset prices in the final months of the period.

Amid market volatility, investors flocked to longer-dated U.S. Treasury bonds in August, which drove the yields on the 30-year U.S. Treasury bond below 2% for the first time. More notably, yields on 10-year U.S. Treasury bonds fell below yields on two-year U.S. Treasury bonds for the first time since 2007. This so-called yield curve inversion, which has preceded every U.S. economic recession since 1950, put further pressure on financial markets at the end of the reporting period.

For the six months ended August 31, 2019, the Bloomberg Barclays U.S. Aggregate Index returned 8.02%; the Bloomberg Barclays U.S. High Yield Bond Index returned 4.46%; the Bloomberg Barclays Emerging Markets Debt Index returned 6.48% and the Bloomberg Barclays Municipal Bond Index returned 6.24%.

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, 2019, the Fund outperformed the Bloomberg Barclays U.S. Aggregate Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s longer overall duration and its overweight position in bonds with maturities of 10 to 20 years were leading contributors to performance as interest rates fell during the reporting period. Duration measures the price sensitivity of a portfolio of bonds relative to changes in interest rates. Generally, bonds with longer duration will experience a larger increase in price when interest rates fall, compared with shorter duration bonds. The Fund’s allocation to agency mortgage-backed securities and its out-of-Benchmark allocations to asset-backed securities and commercial mortgage-backed securities also contributed to relative performance.

The Fund’s underweight allocation to investment grade corporate bonds detracted from performance.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to focus on security selection and relative value, which seeks to exploit pricing

discrepancies between individual securities or market sectors. The 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 commercial mortgage-backed securities and asset-backed securities, relative to the Benchmark.


PORTFOLIO COMPOSITION***
Corporate Bonds	30.4	%
U.S. Treasury Obligations	24.9
Collateralized Mortgage Obligations	17.4
Mortgage-Backed Securities	11.5
Asset-Backed Securities	9.3
Commercial Mortgage-Backed Securities	5.0
Others (each less than 1.0%)	0.6
Short-Term Investments	0.9

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, 2019. 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, 2009 to August 31, 2019. 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, 2019, the Fund outperformed the Bloomberg Barclays Intermediate U.S. Government/Credit Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s underweight allocation to U.S. Treasury bonds contributed to performance as Treasury bonds underperformed other sectors of the market. The Fund’s out-of-Benchmark allocation to non-agency mortgage-backed securities also contributed to relative performance.

The Fund’s shorter overall duration detracted from performance relative to the Benchmark as interest rates fell during the period. Duration measures the price sensitivity of a portfolio of bonds relative to changes in interest rates. Generally, bonds of shorter duration will experience a small increase in price when interest rates fall compared with longer duration bonds.

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.


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	23.4	%
Corporate Bonds	23.1
Mortgage-Backed Securities	15.5
Collateralized Mortgage Obligations	13.9
Asset-Backed Securities	10.8
Commercial Mortgage-Backed Securities	3.8
U.S. Government Agency Securities	1.4
Others (each less than 1.0%)	1.1
Short-Term Investments	7.0

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, 2019. 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, 2009 to August 31, 2019. 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.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
U.S. Treasury Obligations — 23.6%

U.S. Treasury Bonds

3.13%, 2/15/2043		565		693

2.88%, 5/15/2043		22,775		26,880

3.63%, 8/15/2043		27,650		36,691

3.75%, 11/15/2043		12,028		16,280

3.63%, 2/15/2044		17,780		23,657

2.50%, 2/15/2045		25,900		28,740

2.88%, 8/15/2045		2,300		2,731

2.25%, 8/15/2046		8,270		8,759

3.00%, 2/15/2048		670		821

3.13%, 5/15/2048		3,757		4,714

2.25%, 8/15/2049		120		128

U.S. Treasury Inflation Indexed Bonds

1.75%, 1/15/2028		300		419

3.63%, 4/15/2028		799		1,653

2.50%, 1/15/2029		300		441

U.S. Treasury Inflation Indexed Notes

1.38%, 1/15/2020		607		716

0.13%, 1/15/2022		2,453		2,758

U.S. Treasury Notes

1.38%, 1/31/2021		880		876

2.63%, 5/15/2021		1,006		1,023

3.13%, 5/15/2021		2,250		2,307

2.13%, 8/15/2021		13,000		13,144

1.25%, 10/31/2021		10,000		9,945

2.00%, 10/31/2021		1,100		1,111

2.00%, 7/31/2022		5,000		5,081

1.63%, 8/31/2022		3,000		3,016

2.00%, 10/31/2022		1,650		1,679

1.50%, 2/28/2023		3,000		3,008

1.75%, 5/15/2023		2,221		2,247

2.50%, 5/15/2024		8,840		9,275

1.88%, 8/31/2024		569		582

2.25%, 11/15/2024		400		417

2.88%, 4/30/2025		1,212		1,306

2.88%, 5/31/2025		17,719		19,118

2.25%, 2/15/2027		11,738		12,395

U.S. Treasury STRIPS Bonds

2.63%, 5/15/2020 (a)		1,535		1,516

2.55%, 2/15/2021 (a)		12,095		11,810

2.00%, 5/15/2021 (a)		23,265		22,639

3.75%, 8/15/2021 (a)		6,100		5,918

3.51%, 11/15/2021 (a)		9,980		9,646

2.85%, 2/15/2022 (a)		15,768		15,184

2.47%, 5/15/2022 (a)		18,545		17,805


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


3.05%, 8/15/2022 (a)		3,265		3,126

2.75%, 11/15/2022 (a)		14,400		13,737

3.48%, 2/15/2023 (a)		38,462		36,567

3.05%, 5/15/2023 (a)		14,070		13,322

2.33%, 8/15/2023 (a)		13,900		13,122

2.33%, 11/15/2023 (a)		14,000		13,162

2.42%, 2/15/2024 (a)		2,200		2,060

5.21%, 8/15/2024 (a)		600		558

6.88%, 5/15/2026 (a)		1,500		1,354

3.51%, 8/15/2026 (a)		1,592		1,433

4.23%, 5/15/2027 (a)		6,550		5,812

3.76%, 5/15/2032 (a)		18,050		14,491

3.10%, 8/15/2032 (a)		14,395		11,489

4.25%, 11/15/2032 (a)		10,140		8,046

3.99%, 2/15/2033 (a)		5,500		4,340

4.48%, 5/15/2033 (a)		16,500		12,941

6.23%, 8/15/2033 (a)		3,050		2,378

3.93%, 2/15/2034 (a)		9,500		7,318

4.68%, 5/15/2034 (a)		3,600		2,756

3.94%, 8/15/2034 (a)		1,650		1,256

3.15%, 11/15/2041 (a)		500		326


Total U.S. Treasury Obligations (Cost $451,378)				496,723

Corporate Bonds — 23.4%

Aerospace & Defense — 0.5%

Airbus Finance BV (France) 2.70%, 4/17/2023 (b)		557		569

Airbus SE (France) 3.95%, 4/10/2047 (b)		150		178

Boeing Co. (The) 3.95%, 8/1/2059		1,280		1,450

L3Harris Technologies, Inc. 3.83%, 4/27/2025		850		912

Lockheed Martin Corp. 4.07%, 12/15/2042		600		705

Northrop Grumman Corp. 3.25%, 1/15/2028		200		212

Northrop Grumman Systems Corp. 7.75%, 2/15/2031		300		444

Precision Castparts Corp. 3.25%, 6/15/2025		897		945

Rockwell Collins, Inc.

3.20%, 3/15/2024		350		365

4.35%, 4/15/2047		199		234

United Technologies Corp.

3.95%, 8/16/2025		215		236

4.45%, 11/16/2038		210		255

4.50%, 6/1/2042		2,799		3,376

4.15%, 5/15/2045		543		629


				10,510


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Air Freight & Logistics — 0.0% (c)

FedEx Corp. 3.90%, 2/1/2035		318		333


Airlines — 0.0% (c)

Continental Airlines Pass-Through Trust Series 2012-2, Class A, 4.00%, 10/29/2024		153		162


Automobiles — 0.0% (c)

Daimler Finance North America LLC (Germany) 2.25%, 3/2/2020 (b)		305		305


Banks — 4.8%

ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (b)		1,216		1,326

AIB Group plc (Ireland) 4.75%, 10/12/2023 (b)		1,165		1,234

ANZ New Zealand Int’l Ltd. (New Zealand)

2.60%, 9/23/2019 (b)		750		750

2.85%, 8/6/2020 (b)		402		405

ASB Bank Ltd. (New Zealand) 3.13%, 5/23/2024 (b)		905		936

Australia & New Zealand Banking Group Ltd. (Australia)

4.88%, 1/12/2021 (b)		228		237

4.40%, 5/19/2026 (b)		263		283

Banco Santander SA (Spain) 3.13%, 2/23/2023		400		409

Bank of America Corp.

3.30%, 1/11/2023		885		920

(ICE LIBOR USD 3 Month + 1.16%), 3.12%, 1/20/2023 (d)		588		602

(ICE LIBOR USD 3 Month + 1.02%), 2.88%, 4/24/2023 (d)		1,855		1,889

(ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (d)		1,747		1,793

(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (d)		547		572

(ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/1/2025 (d)		526		547

3.25%, 10/21/2027		1,189		1,255

(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (d)		1,700		1,834

(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (d)		4,975		5,250

(ICE LIBOR USD 3 Month + 1.32%), 4.08%, 4/23/2040 (d)		1,000		1,147

(ICE LIBOR USD 3 Month + 1.52%), 4.33%, 3/15/2050 (d)		1,000		1,217


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Banks — continued

Bank of Montreal (Canada) 2.10%, 12/12/2019		3,000		2,999

Banque Federative du Credit Mutuel SA (France) 3.75%, 7/20/2023 (b)		540		570

Barclays plc (United Kingdom) 3.65%, 3/16/2025		1,000		1,019

BNP Paribas SA (France)

3.50%, 3/1/2023 (b)		290		301

3.38%, 1/9/2025 (b)		425		441

BNZ International Funding Ltd. (New Zealand)

2.10%, 9/14/2021 (b)		450		449

2.65%, 11/3/2022 (b)		632		641

Capital One Bank USA NA 3.38%, 2/15/2023		300		310

Citigroup, Inc.

2.65%, 10/26/2020		1,210		1,217

2.70%, 3/30/2021		778		786

2.35%, 8/2/2021		115		116

3.88%, 3/26/2025		500		529

(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 4/24/2025 (d)		355		371

4.40%, 6/10/2025		865		939

3.70%, 1/12/2026		1,900		2,047

3.40%, 5/1/2026		1,000		1,058

4.30%, 11/20/2026		1,200		1,310

6.63%, 1/15/2028		250		318

(ICE LIBOR USD 3 Month + 1.34%), 3.98%, 3/20/2030 (d)		1,000		1,105

8.13%, 7/15/2039		223		373

4.65%, 7/23/2048		1,021		1,282

Citizens Bank NA 3.70%, 3/29/2023		720		758

Commonwealth Bank of Australia (Australia)

3.45%, 3/16/2023 (b)		600		631

4.50%, 12/9/2025 (b)		832		902

2.85%, 5/18/2026 (b)		600		624

Cooperatieve Rabobank UA (Netherlands)

4.38%, 8/4/2025		1,738		1,879

5.80%, 9/30/2110 (b)		500		766

Credit Agricole SA (France)

3.75%, 4/24/2023 (b)		500		524

4.38%, 3/17/2025 (b)		1,250		1,329

Credit Suisse Group Funding Guernsey Ltd. (Switzerland)

2.75%, 3/26/2020		250		251

3.80%, 6/9/2023		800		840

3.75%, 3/26/2025		340		359


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

Discover Bank

3.35%, 2/6/2023		343		355

4.25%, 3/13/2026		1,205		1,314

Fifth Third Bancorp 3.95%, 3/14/2028		500		554

Fifth Third Bank 2.88%, 10/1/2021		340		345

HSBC Bank plc (United Kingdom) 4.75%, 1/19/2021 (b)		575		595

HSBC Holdings plc (United Kingdom)

2.65%, 1/5/2022		2,212		2,234

4.00%, 3/30/2022		552		579

(ICE LIBOR USD 3 Month + 0.92%), 3.03%, 11/22/2023 (d)		991		1,007

(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (d)		1,054		1,106

4.25%, 8/18/2025		939		995

3.90%, 5/25/2026		200		214

Huntington Bancshares, Inc. 3.15%, 3/14/2021		321		326

Huntington National Bank (The) 2.88%, 8/20/2020		858		864

KeyBank NA 3.18%, 5/22/2022		729		749

KeyCorp 4.15%, 10/29/2025		280		308

Lloyds Banking Group plc (United Kingdom) (ICE LIBOR USD 3 Month + 0.81%),

2.91%, 11/7/2023 (d)		612		614

4.58%, 12/10/2025		400		420

4.38%, 3/22/2028		475		517

Mitsubishi UFJ Financial Group, Inc. (Japan)

2.95%, 3/1/2021		243		245

3.41%, 3/7/2024		1,260		1,323

3.75%, 7/18/2039		760		833

Mizuho Bank Ltd. (Japan) 2.65%, 9/25/2019 (b)		623		623

Mizuho Financial Group, Inc. (Japan) 2.63%, 4/12/2021 (b)		742		747

National Australia Bank Ltd. (Australia) 3.38%, 1/14/2026		800		859

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 (b) (d)		1,025		1,059

NatWest Markets plc (United Kingdom) 3.63%, 9/29/2022 (b)		1,025		1,049

Nordea Bank Abp (Finland) 4.25%, 9/21/2022 (b)		945		991

PNC Financial Services Group, Inc. (The)

4.38%, 8/11/2020		864		883


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

Royal Bank of Canada (Canada)

3.70%, 10/5/2023		1,000		1,064

4.65%, 1/27/2026		337		376

Royal Bank of Scotland Group plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (d)		480		501

(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (d)		290		318

(ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (d)		640		685

Santander UK Group Holdings plc (United Kingdom)

3.13%, 1/8/2021		452		454

3.57%, 1/10/2023		200		204

Societe Generale SA (France)

2.50%, 4/8/2021 (b)		850		853

3.88%, 3/28/2024 (b)		815		859

SpareBank 1 Boligkreditt A/S (Norway) 1.75%, 11/15/2019 (b)		927		926

Standard Chartered plc (United Kingdom)

5.20%, 1/26/2024 (b)		700		755

(ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (b) (d)		400		413

(ICE LIBOR USD 3 Month + 1.91%), 4.30%, 5/21/2030 (b) (d)		550		595

(ICE LIBOR USD 3 Month + 1.97%), 4.87%, 3/15/2033 (b) (d)		200		214

Sumitomo Mitsui Financial Group, Inc. (Japan)

2.78%, 10/18/2022		542		552

3.10%, 1/17/2023		689		711

4.44%, 4/2/2024 (b)		500		536

2.63%, 7/14/2026		872		881

3.04%, 7/16/2029		1,315		1,361

SunTrust Bank 3.30%, 5/15/2026		400		418

SunTrust Banks, Inc.

2.90%, 3/3/2021		253		256

4.00%, 5/1/2025		265		289

Toronto-Dominion Bank (The) (Canada)

2.13%, 4/7/2021		115		115

2.65%, 6/12/2024		1,200		1,232

UBS Group Funding Switzerland AG (Switzerland)

3.49%, 5/23/2023 (b)		269		277

(ICE LIBOR USD 3 Month + 0.95%), 2.86%, 8/15/2023 (b) (d)		200		203


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

4.13%, 9/24/2025 (b)		300		327

4.13%, 4/15/2026 (b)		963		1,054

US Bancorp 7.50%, 6/1/2026		1,277		1,643

US Bank NA 2.80%, 1/27/2025		896		931

Wells Fargo & Co.

3.50%, 3/8/2022		850		880

3.07%, 1/24/2023		500		511

4.48%, 1/16/2024		702		761

3.75%, 1/24/2024		675		719

3.30%, 9/9/2024		1,000		1,053

3.00%, 4/22/2026		993		1,029

4.10%, 6/3/2026		637		690

(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (d)		1,395		1,453

4.65%, 11/4/2044		1,180		1,418

4.40%, 6/14/2046		300		348

4.75%, 12/7/2046		325		399

Westpac Banking Corp. (Australia)

2.85%, 5/13/2026		690		719

4.42%, 7/24/2039		580		647


				100,988


Beverages — 0.5%

Anheuser-Busch Cos. LLC (Belgium)

4.70%, 2/1/2036		3,945		4,592

4.90%, 2/1/2046		1,135		1,356

Anheuser-Busch InBev Finance, Inc. (Belgium) 4.63%, 2/1/2044		70		81

Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.75%, 1/23/2029		441		515

Coca-Cola Femsa SAB de CV (Mexico) 3.88%, 11/26/2023		250		266

Constellation Brands, Inc.

4.40%, 11/15/2025		325		361

5.25%, 11/15/2048		220		279

Diageo Investment Corp. (United Kingdom) 8.00%, 9/15/2022		255		300

Keurig Dr Pepper, Inc.

3.13%, 12/15/2023		500		515

4.42%, 5/25/2025		149		163

3.43%, 6/15/2027		250		260

4.99%, 5/25/2038		215		254

PepsiCo, Inc. 4.45%, 4/14/2046		534		677


				9,619


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Biotechnology — 0.2%

AbbVie, Inc.

4.40%, 11/6/2042		790		829

4.45%, 5/14/2046		190		200

Baxalta, Inc.

3.60%, 6/23/2022		149		153

5.25%, 6/23/2045		50		66

Celgene Corp. 5.70%, 10/15/2040		633		840

Gilead Sciences, Inc. 4.60%, 9/1/2035		816		977


				3,065


Building Products — 0.0% (c)

Masco Corp. 6.50%, 8/15/2032		600		735


Capital Markets — 2.5%

Bank of New York Mellon Corp. (The) (ICE LIBOR USD 3 Month + 0.63%),

2.66%, 5/16/2023 (d)		2,123		2,157

3.25%, 9/11/2024		700		738

2.80%, 5/4/2026		254		264

Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b)		429		493

Brookfield Finance, Inc. (Canada)

3.90%, 1/25/2028		337		356

4.85%, 3/29/2029		895		1,015

4.70%, 9/20/2047		427		483

CME Group, Inc. 5.30%, 9/15/2043		285		396

Credit Suisse AG (Switzerland) 3.63%, 9/9/2024		402		428

Credit Suisse Group AG (Switzerland)

3.57%, 1/9/2023 (b)		729		747

4.28%, 1/9/2028 (b)		1,162		1,264

Deutsche Bank AG (Germany)

4.25%, 10/14/2021		1,000		1,017

3.30%, 11/16/2022		1,000		994

FMR LLC 6.45%, 11/15/2039 (b)		500		727

Goldman Sachs Group, Inc. (The)

5.38%, 3/15/2020		1,786		1,816

2.35%, 11/15/2021		1,255		1,257

3.00%, 4/26/2022		1,200		1,216

(ICE LIBOR USD 3 Month + 0.82%), 2.88%, 10/31/2022 (d)		505		512

(ICE LIBOR USD 3 Month + 1.05%), 2.91%, 6/5/2023 (d)		2,473		2,516

(ICE LIBOR USD 3 Month + 0.99%), 2.90%, 7/24/2023 (d)		493		501

3.50%, 1/23/2025		557		586


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Capital Markets — continued

3.75%, 5/22/2025		1,984		2,116

4.25%, 10/21/2025		1,415		1,526

3.50%, 11/16/2026		469		491

3.85%, 1/26/2027		830		886

(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (d)		2,093		2,226

(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (d)		1,000		1,106

6.75%, 10/1/2037		685		938

4.80%, 7/8/2044		685		848

Intercontinental Exchange, Inc. 4.00%, 10/15/2023		884		951

Invesco Finance plc

4.00%, 1/30/2024		657		701

3.75%, 1/15/2026		390		420

Jefferies Group LLC 6.45%, 6/8/2027		749		881

Macquarie Bank Ltd. (Australia)

2.85%, 7/29/2020 (b)		1,000		1,006

4.00%, 7/29/2025 (b)		1,000		1,080

Macquarie Group Ltd. (Australia)

6.00%, 1/14/2020 (b)		1,200		1,216

6.25%, 1/14/2021 (b)		1,650		1,737

(ICE LIBOR USD 3 Month + 1.37%), 3.76%, 11/28/2028 (b) (d)		700		739

(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (b) (d)		700		807

Morgan Stanley

5.50%, 7/24/2020		475		489

5.75%, 1/25/2021		906		951

5.50%, 7/28/2021		559		593

3.75%, 2/25/2023		3,429		3,607

(ICE LIBOR USD 3 Month + 0.85%), 3.74%, 4/24/2024 (d)		1,765		1,857

4.00%, 7/23/2025		2,873		3,112

3.88%, 1/27/2026		946		1,023

(ICE LIBOR USD 3 Month + 1.43%), 4.46%, 4/22/2039 (d)		1,265		1,501

4.30%, 1/27/2045		485		574

State Street Corp. 3.10%, 5/15/2023		369		383


				53,248


Chemicals — 0.3%

Albemarle Corp. 5.45%, 12/1/2044		150		170

DuPont de Nemours, Inc. 4.49%, 11/15/2025		500		555

5.32%, 11/15/2038		215		265


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Chemicals — continued

International Flavors & Fragrances, Inc.

4.45%, 9/26/2028		300		332

5.00%, 9/26/2048		365		412

Mosaic Co. (The)

5.45%, 11/15/2033		861		987

4.88%, 11/15/2041		79		80

Nutrien Ltd. (Canada)

4.20%, 4/1/2029		175		196

4.13%, 3/15/2035		455		480

5.00%, 4/1/2049		230		274

Sherwin-Williams Co. (The) 3.13%, 6/1/2024		381		396

Union Carbide Corp. 7.75%, 10/1/2096		850		1,184

Westlake Chemical Corp. 4.38%, 11/15/2047		237		235


				5,566


Commercial Services & Supplies — 0.0% (c)

Republic Services, Inc. 2.90%, 7/1/2026		175		182

Waste Management, Inc. 3.45%, 6/15/2029		390		427


				609


Communications Equipment — 0.1%

Cisco Systems, Inc.

5.90%, 2/15/2039		755		1,097

5.50%, 1/15/2040		350		491


				1,588


Construction Materials — 0.1%

CRH America, Inc. (Ireland)

3.88%, 5/18/2025 (b)		417		442

5.13%, 5/18/2045 (b)		893		1,044

Martin Marietta Materials, Inc. 3.45%, 6/1/2027		770		793


				2,279


Consumer Finance — 0.6%

AerCap Ireland Capital DAC (Ireland)

3.30%, 1/23/2023		390		400

3.50%, 1/15/2025		600		614

American Express Credit Corp. 2.70%, 3/3/2022		715		729

Avolon Holdings Funding Ltd. (Ireland) 4.38%, 5/1/2026 (b)		820		851

Capital One Financial Corp. 3.20%, 2/5/2025		1,069		1,103

4.20%, 10/29/2025		250		267

General Motors Financial Co., Inc.

3.45%, 4/10/2022		1,091		1,113


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Consumer Finance — continued

3.70%, 5/9/2023		1,230		1,262

3.95%, 4/13/2024		1,400		1,448

3.50%, 11/7/2024		640		649

4.35%, 4/9/2025		540		566

4.30%, 7/13/2025		550		574

John Deere Capital Corp.

3.15%, 10/15/2021		233		239

2.70%, 1/6/2023		1,712		1,752


				11,567


Containers & Packaging — 0.1%

International Paper Co. 7.30%, 11/15/2039		600		839

WRKCo, Inc.

3.75%, 3/15/2025		400		423

3.90%, 6/1/2028		170		180


				1,442


Diversified Consumer Services — 0.0% (c)

President & Fellows of Harvard College 3.30%, 7/15/2056		643		725


Diversified Financial Services — 0.7%

GE Capital International Funding Co. Unlimited Co.

2.34%, 11/15/2020		930		925

4.42%, 11/15/2035		3,583		3,640

GTP Acquisition Partners I LLC

2.35%, 6/15/2020 (b)		1,236		1,234

3.48%, 6/16/2025 (b)		1,436		1,505

Hutchison Whampoa International 12 II Ltd. (Hong Kong) 3.25%, 11/8/2022 (b)		539		552

Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) 2.65%, 9/19/2022 (b)		606		609

National Rural Utilities Cooperative Finance Corp. 2.95%, 2/7/2024		306		318

ORIX Corp. (Japan) 2.90%, 7/18/2022		553		565

Shell International Finance BV (Netherlands) 4.13%, 5/11/2035		2,069		2,413

Siemens Financieringsmaatschappij NV (Germany)

2.90%, 5/27/2022 (b)		634		649

3.13%, 3/16/2024 (b)		750		781

4.40%, 5/27/2045 (b)		513		621


				13,812


Diversified Telecommunication Services — 0.9%

AT&T, Inc.

3.95%, 1/15/2025		1,126		1,210


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Diversified Telecommunication Services — continued

3.60%, 7/15/2025		500		527

4.13%, 2/17/2026		400		435

4.30%, 2/15/2030		1,567		1,740

6.00%, 8/15/2040		2,000		2,508

5.35%, 9/1/2040		500		596

5.38%, 10/15/2041		313		371

4.35%, 6/15/2045		462		494

British Telecommunications plc (United Kingdom) 9.63%, 12/15/2030 (e)		150		230

Centel Capital Corp. 9.00%, 10/15/2019		600		602

Deutsche Telekom International Finance BV (Germany)

3.60%, 1/19/2027 (b)		175		186

4.88%, 3/6/2042 (b)		232		276

Qwest Corp. 6.75%, 12/1/2021		741		799

Telefonica Emisiones SA (Spain)

5.13%, 4/27/2020		526		536

5.46%, 2/16/2021		316		331

4.10%, 3/8/2027		321		351

Verizon Communications, Inc.

2.63%, 8/15/2026		306		313

4.33%, 9/21/2028		962		1,105

4.02%, 12/3/2029 (b)		885		1,000

4.40%, 11/1/2034		1,895		2,195

4.27%, 1/15/2036		1,445		1,659

5.25%, 3/16/2037		457		579

4.86%, 8/21/2046		396		493

4.67%, 3/15/2055		400		493


				19,029


Electric Utilities — 1.5%

Alabama Power Co. 6.13%, 5/15/2038		239		337

Arizona Public Service Co.

2.20%, 1/15/2020		133		133

5.05%, 9/1/2041		200		250

Baltimore Gas & Electric Co. 3.50%, 8/15/2046		376		401

China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (b)		1,234		1,316

Comision Federal de Electricidad (Mexico)

4.88%, 5/26/2021 (b)		831		861

Connecticut Light & Power Co. (The) 4.00%, 4/1/2048		236		278

Duke Energy Carolinas LLC

6.00%, 1/15/2038		100		140


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Electric Utilities — continued

4.25%, 12/15/2041		129		152

Duke Energy Corp. 3.40%, 6/15/2029		1,098		1,166

Duke Energy Florida LLC 6.40%, 6/15/2038		90		135

Duke Energy Progress LLC

4.10%, 5/15/2042		273		319

4.10%, 3/15/2043		125		145

Duquesne Light Holdings, Inc. 3.62%, 8/1/2027 (b)		750		772

Edison International 5.75%, 6/15/2027		400		454

Electricite de France SA (France) 6.00%, 1/22/2114 (b)		1,300		1,644

Enel Finance International NV (Italy)

4.63%, 9/14/2025 (b)		265		289

3.63%, 5/25/2027 (b)		740		761

Entergy Arkansas LLC 3.50%, 4/1/2026		175		188

Entergy Corp. 2.95%, 9/1/2026		336		343

Entergy Louisiana LLC 3.05%, 6/1/2031		629		664

Entergy Mississippi LLC 2.85%, 6/1/2028		559		581

Evergy, Inc. 4.85%, 6/1/2021		679		704

FirstEnergy Corp. Series C, 4.85%, 7/15/2047		289		351

FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b)		240		288

Florida Power & Light Co. 5.95%, 2/1/2038		350		502

Fortis, Inc. (Canada) 3.06%, 10/4/2026		500		512

Hydro-Quebec (Canada)

Series HY, 8.40%, 1/15/2022		1,000		1,148

Series IO, 8.05%, 7/7/2024		350		449

ITC Holdings Corp. 2.70%, 11/15/2022		900		913

Jersey Central Power & Light Co. 4.30%, 1/15/2026 (b)		560		613

John Sevier Combined Cycle Generation LLC

4.63%, 1/15/2042		743		879

Kansas City Power & Light Co. 5.30%, 10/1/2041		1,400		1,834

Korea Southern Power Co. Ltd. (South Korea)

3.00%, 1/29/2021 (b)		228		231

Mid-Atlantic Interstate Transmission LLC

4.10%, 5/15/2028 (b)		315		351

Nevada Power Co.

Series N, 6.65%, 4/1/2036		100		143

5.45%, 5/15/2041		305		394

NextEra Energy Capital Holdings, Inc. 2.40%, 9/15/2019		371		371

Niagara Mohawk Power Corp. 3.51%, 10/1/2024 (b)		493		522


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Electric Utilities — continued

Northern States Power Co. 6.25%, 6/1/2036		510		734

Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029		110		141

Pennsylvania Electric Co. 3.25%, 3/15/2028 (b)		150		156

Pepco Holdings LLC 7.45%, 8/15/2032		316		445

Potomac Electric Power Co. 6.50%, 11/15/2037		1,085		1,587

PPL Capital Funding, Inc. 3.40%, 6/1/2023		200		207

Progress Energy, Inc.

3.15%, 4/1/2022		673		688

7.00%, 10/30/2031		300		420

Public Service Co. of Colorado 3.55%, 6/15/2046		214		231

Public Service Co. of Oklahoma Series G, 6.63%, 11/15/2037		2,490		3,521

Public Service Electric & Gas Co. 5.38%, 11/1/2039		317		418

Southern California Edison Co.

Series B, 3.65%, 3/1/2028		400		433

Series 08-A, 5.95%, 2/1/2038		200		263

4.05%, 3/15/2042		552		596

Southwestern Public Service Co. 4.50%, 8/15/2041		200		243

Toledo Edison Co. (The) 6.15%, 5/15/2037		300		415


				32,032


Electrical Equipment — 0.0% (c)

Eaton Corp.

7.63%, 4/1/2024		300		355

4.00%, 11/2/2032		170		196


				551


Electronic Equipment, Instruments & Components — 0.0% (c)

Arrow Electronics, Inc.

4.50%, 3/1/2023		190		200

3.25%, 9/8/2024		219		222

3.88%, 1/12/2028		442		457


				879


Energy Equipment & Services — 0.1%

Baker Hughes a GE Co. LLC 5.13%, 9/15/2040		300		338

Halliburton Co. 7.45%, 9/15/2039		500		707

Schlumberger Holdings Corp.

4.00%, 12/21/2025 (b)		13		14

3.90%, 5/17/2028 (b)		1,126		1,200


				2,259


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Entertainment — 0.2%

NBCUniversal Media LLC 5.95%, 4/1/2041		800		1,113

Viacom, Inc.

3.88%, 4/1/2024		1,019		1,077

4.38%, 3/15/2043		464		492

Walt Disney Co. (The)

8.88%, 4/26/2023 (b)		430		530

6.20%, 12/15/2034 (b)		100		142

6.65%, 11/15/2037 (b)		400		605


				3,959


Equity Real Estate Investment Trusts (REITs) — 0.9%

Alexandria Real Estate Equities, Inc.

3.80%, 4/15/2026		135		146

4.00%, 2/1/2050		653		723

American Campus Communities Operating Partnership LP 3.63%, 11/15/2027		500		530

American Tower Corp.

5.90%, 11/1/2021		100		108

3.50%, 1/31/2023		1,043		1,085

5.00%, 2/15/2024		974		1,082

3.38%, 10/15/2026		312		327

American Tower Trust #1 3.07%, 3/15/2023 (b)		750		765

Boston Properties LP

3.20%, 1/15/2025		532		554

3.65%, 2/1/2026		483		514

Brixmor Operating Partnership LP 3.85%, 2/1/2025		400		420

Crown Castle International Corp. 4.00%, 3/1/2027		264		286

Digital Realty Trust LP 3.70%, 8/15/2027		252		269

Duke Realty LP 3.25%, 6/30/2026		239		250

HCP, Inc.

4.20%, 3/1/2024		230		249

3.88%, 8/15/2024		794		854

3.40%, 2/1/2025		265		277

3.50%, 7/15/2029		772		815

Life Storage LP 4.00%, 6/15/2029		859		928

National Retail Properties, Inc. 4.00%, 11/15/2025		783		846

Office Properties Income Trust

3.60%, 2/1/2020		1,000		1,002

4.00%, 7/15/2022		784		801

Realty Income Corp. 4.65%, 3/15/2047		556		710

Regency Centers LP 2.95%, 9/15/2029		745		754


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Equity Real Estate Investment Trusts (REITs) — continued

Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b)		420		438

Senior Housing Properties Trust 4.75%, 2/15/2028		400		401

SITE Centers Corp. 4.70%, 6/1/2027		330		365

UDR, Inc.

2.95%, 9/1/2026		382		393

3.00%, 8/15/2031		305		311

Ventas Realty LP

3.50%, 2/1/2025		242		255

4.13%, 1/15/2026		406		440

3.85%, 4/1/2027		554		594

Welltower, Inc.

4.50%, 1/15/2024		732		792

3.10%, 1/15/2030		670		682


				18,966


Food & Staples Retailing — 0.2%

CK Hutchison International Ltd. (Hong Kong) 3.63%, 4/11/2029 (b)		1,215		1,304

CVS Pass-Through Trust Series 2013, 4.70%, 1/10/2036 (b)		667		733

Sysco Corp.

3.55%, 3/15/2025		140		149

3.75%, 10/1/2025		291		313

4.45%, 3/15/2048		100		120

Walgreen Co. 4.40%, 9/15/2042		200		204

Walgreens Boots Alliance, Inc. 4.50%, 11/18/2034		386		416


				3,239


Food Products — 0.3%

Campbell Soup Co. 3.95%, 3/15/2025		720		762

Cargill, Inc.

3.30%, 3/1/2022 (b)		600		616

3.25%, 3/1/2023 (b)		115		120

Conagra Brands, Inc.

4.60%, 11/1/2025		290		320

5.30%, 11/1/2038		650		761

General Mills, Inc.

4.00%, 4/17/2025		490		532

4.15%, 2/15/2043		450		488

Kellogg Co. 3.40%, 11/15/2027		190		201

Kraft Heinz Foods Co.

5.00%, 7/15/2035		625		669

6.88%, 1/26/2039		1,071		1,309


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Food Products — continued

McCormick & Co., Inc.

3.15%, 8/15/2024		179		186

3.40%, 8/15/2027		264		280

Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025		153		169

Tyson Foods, Inc. 4.88%, 8/15/2034		300		360


				6,773


Gas Utilities — 0.2%

Atmos Energy Corp.

4.15%, 1/15/2043		828		963

4.13%, 10/15/2044		125		146

Boston Gas Co. 4.49%, 2/15/2042 (b)		308		368

Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (b)		440		526

CenterPoint Energy Resources Corp. 4.50%, 1/15/2021		335		344

Dominion Energy Gas Holdings LLC 2.80%, 11/15/2020		382		384

Korea Gas Corp. (South Korea) 1.88%, 7/18/2021 (b)		653		650

Southern Natural Gas Co. LLC

8.00%, 3/1/2032		351		503

4.80%, 3/15/2047 (b)		367		412


				4,296


Health Care Equipment & Supplies — 0.2%

Abbott Laboratories 4.90%, 11/30/2046		900		1,203

Boston Scientific Corp.

3.75%, 3/1/2026		530		569

4.00%, 3/1/2029		1,050		1,172

Covidien International Finance SA 2.95%, 6/15/2023		399		413

Medtronic, Inc. 4.38%, 3/15/2035		330		399


				3,756


Health Care Providers & Services — 0.6%

Aetna, Inc. 6.75%, 12/15/2037		440		596

Anthem, Inc.

4.63%, 5/15/2042		500		570

4.65%, 1/15/2043		535		603

4.65%, 8/15/2044		100		115

CVS Health Corp.

4.10%, 3/25/2025		1,051		1,125

4.30%, 3/25/2028		779		850

3.25%, 8/15/2029		895		907


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Health Care Providers & Services — continued

4.78%, 3/25/2038		1,945		2,181

5.05%, 3/25/2048		642		748

Express Scripts Holding Co. 4.50%, 2/25/2026		300		331

HCA, Inc.

5.25%, 6/15/2026		850		959

5.13%, 6/15/2039		725		801

Mayo Clinic Series 2016, 4.13%, 11/15/2052		225		279

Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055		200		255

Quest Diagnostics, Inc. 3.45%, 6/1/2026		150		159

Texas Health Resources 4.33%, 11/15/2055		300		382

UnitedHealth Group, Inc.

4.63%, 7/15/2035		400		491

3.50%, 8/15/2039		815		868


				12,220


Hotels, Restaurants & Leisure — 0.0% (c)

McDonald’s Corp. 4.70%, 12/9/2035		700		845


Household Products — 0.0% (c)

Reckitt Benckiser Treasury Services plc (United Kingdom)

2.38%, 6/24/2022 (b)		700		704


Independent Power and Renewable Electricity Producers — 0.1%

Exelon Generation Co. LLC 5.75%, 10/1/2041		235		280

NRG Energy, Inc. 4.45%, 6/15/2029 (b)		615		646

Tri-State Generation & Transmission Association, Inc. 4.25%, 6/1/2046		417		469


				1,395


Industrial Conglomerates — 0.1%

General Electric Co.

5.30%, 2/11/2021		191		196

2.70%, 10/9/2022		107		106

3.10%, 1/9/2023		573		575

5.55%, 1/5/2026		1,114		1,235

5.88%, 1/14/2038		95		110

Roper Technologies, Inc. 3.00%, 12/15/2020		192		194


				2,416


Insurance — 1.1%

AIA Group Ltd. (Hong Kong) 3.60%, 4/9/2029 (b)		445		482

AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b)		520		737


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Insurance — continued

American International Group, Inc.

3.75%, 7/10/2025		674		718

3.88%, 1/15/2035		605		642

Assurant, Inc. 4.20%, 9/27/2023		660		690

Athene Global Funding

2.75%, 4/20/2020 (b)		1,055		1,058

4.00%, 1/25/2022 (b)		515		535

Athene Holding Ltd. 4.13%, 1/12/2028		287		294

Berkshire Hathaway Finance Corp. 4.40%, 5/15/2042		1,000		1,220

CNA Financial Corp. 3.95%, 5/15/2024		463		492

Dai-ichi Life Insurance Co. Ltd. (The) (Japan) (ICE LIBOR USD 3 Month + 3.66%), 4.00%, 7/24/2026 (b) (d) (f) (g)		526		546

Globe Life, Inc. 4.55%, 9/15/2028		485		549

Great-West Lifeco Finance Delaware LP (Canada) 4.15%, 6/3/2047 (b)		700		820

Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (b)		208		270

Harborwalk Funding Trust (ICE LIBOR USD 3 Month + 3.19%), 5.08%, 2/15/2069 (b) (d)		900		1,106

Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043		400		451

Jackson National Life Global Funding 3.05%, 4/29/2026 (b)		675		702

Liberty Mutual Group, Inc.

4.57%, 2/1/2029 (b)		408		464

6.50%, 3/15/2035 (b)		900		1,199

Liberty Mutual Insurance Co. 8.50%, 5/15/2025 (b)		100		127

Lincoln National Corp.

4.20%, 3/15/2022		598		626

3.05%, 1/15/2030		650		659

Markel Corp. 3.50%, 11/1/2027		200		207

Massachusetts Mutual Life Insurance Co.

8.88%, 6/1/2039 (b)		91		159

5.38%, 12/1/2041 (b)		280		364

MassMutual Global Funding II 2.50%, 10/17/2022 (b)		626		637

MetLife, Inc. 4.88%, 11/13/2043		600		761

Metropolitan Life Global Funding I 3.88%, 4/11/2022 (b)		1,277		1,336

New York Life Global Funding 1.95%, 2/11/2020 (b)		129		129


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Insurance — continued

OneBeacon US Holdings, Inc. 4.60%, 11/9/2022		500		521

Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (b) (d)		266		286

Progressive Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.54%), 5.38%, 3/15/2023 (d) (f) (g)		360		372

Prudential Financial, Inc. 3.91%, 12/7/2047		300		334

Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b)		1,750		2,278

Reliance Standard Life Global Funding II 3.85%, 9/19/2023 (b)		390		411

Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 5.00%, 4/2/2049 (b) (d)		600		661

Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (b)		400		468


				23,311


Internet & Direct Marketing Retail — 0.1%

Amazon.com, Inc. 4.80%, 12/5/2034		1,435		1,823


IT Services — 0.4%

DXC Technology Co. 4.25%, 4/15/2024		478		506

Fidelity National Information Services, Inc. 4.75%, 5/15/2048		353		435

Fiserv, Inc.

3.20%, 7/1/2026		395		413

4.40%, 7/1/2049		375		432

Global Payments, Inc. 4.15%, 8/15/2049		795		841

International Business Machines Corp.

3.30%, 5/15/2026		1,530		1,623

3.50%, 5/15/2029		2,845		3,089

Western Union Co. (The) 3.60%, 3/15/2022		1,100		1,135


				8,474


Life Sciences Tools & Services — 0.0% (c)

Thermo Fisher Scientific, Inc.

3.00%, 4/15/2023		369		380

4.15%, 2/1/2024		343		369


				749


Machinery — 0.1%

Illinois Tool Works, Inc.

3.50%, 3/1/2024		400		424

4.88%, 9/15/2041		95		125


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Machinery — continued

3.90%, 9/1/2042		825		984

nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028		450		476

Parker-Hannifin Corp. 4.45%, 11/21/2044		592		697

Xylem, Inc. 3.25%, 11/1/2026		197		204


				2,910


Media — 0.6%

CBS Corp.

4.00%, 1/15/2026		792		849

4.85%, 7/1/2042		140		160

Charter Communications Operating LLC

6.38%, 10/23/2035		528		645

Comcast Corp.

3.95%, 10/15/2025		696		762

3.15%, 3/1/2026		740		780

3.55%, 5/1/2028		443		481

4.20%, 8/15/2034		555		652

6.50%, 11/15/2035		2,383		3,378

4.60%, 10/15/2038		845		1,023

4.95%, 10/15/2058		620		805

Cox Communications, Inc. 4.60%, 8/15/2047 (b)		275		306

Discovery Communications LLC 6.35%, 6/1/2040		569		705

Fox Corp. 4.71%, 1/25/2029 (b)		390		452

Grupo Televisa SAB (Mexico)

4.63%, 1/30/2026		221		237

6.13%, 1/31/2046		200		247

Time Warner Cable LLC

6.55%, 5/1/2037		400		484

5.50%, 9/1/2041		359		391

Time Warner Entertainment Co. LP 8.38%, 7/15/2033		700		982


				13,339


Metals & Mining — 0.1%

Anglo American Capital plc (South Africa) 4.00%, 9/11/2027 (b)		500		516

Barrick Gold Corp. (Canada) 6.45%, 10/15/2035		295		386

Vale Canada Ltd. (Brazil) 7.20%, 9/15/2032		300		355

Vale Overseas Ltd. (Brazil) 6.25%, 8/10/2026		119		137


				1,394


Multiline Retail — 0.0% (c)

Dollar General Corp. 4.13%, 5/1/2028		235		260


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Multi-Utilities — 0.4%

CMS Energy Corp.

3.88%, 3/1/2024		400		425

3.00%, 5/15/2026		475		489

Consolidated Edison Co. of New York, Inc.

5.70%, 6/15/2040		596		816

Delmarva Power & Light Co. 4.00%, 6/1/2042		235		263

Dominion Energy, Inc.

Series B, 2.75%, 1/15/2022		331		335

Series F, 5.25%, 8/1/2033		920		1,136

NiSource, Inc.

3.85%, 2/15/2023		370		387

5.80%, 2/1/2042		1,256		1,648

San Diego Gas & Electric Co.

6.00%, 6/1/2026		275		331

3.95%, 11/15/2041		379		406

Sempra Energy 4.05%, 12/1/2023		1,013		1,077

Southern Co. Gas Capital Corp.

3.50%, 9/15/2021		563		575

3.25%, 6/15/2026		254		263


				8,151


Oil, Gas & Consumable Fuels — 2.2%

Andeavor Logistics LP 5.25%, 1/15/2025		268		282

Apache Corp.

3.25%, 4/15/2022		56		57

4.75%, 4/15/2043		556		538

APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (b)		732		790

BG Energy Capital plc (United Kingdom) 5.13%, 10/15/2041 (b)		235		304

Boardwalk Pipelines LP 4.80%, 5/3/2029		410		433

BP Capital Markets America, Inc. 3.22%, 4/14/2024		1,982		2,072

BP Capital Markets plc (United Kingdom)

3.81%, 2/10/2024		1,337		1,431

3.51%, 3/17/2025		451		481

Buckeye Partners LP

4.88%, 2/1/2021		330		337

3.95%, 12/1/2026		67		60

5.85%, 11/15/2043		770		663

Canadian Natural Resources Ltd. (Canada) 6.45%, 6/30/2033		350		455

Cenovus Energy, Inc. (Canada) 6.75%, 11/15/2039		1,200		1,484


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Oil, Gas & Consumable Fuels — continued

Chevron Corp.

2.36%, 12/5/2022		560		570

2.90%, 3/3/2024		215		224

CNOOC Finance 2015 Australia Pty. Ltd. (China) 2.63%, 5/5/2020		1,852		1,855

Ecopetrol SA (Colombia)

5.88%, 9/18/2023		226		252

4.13%, 1/16/2025		533		559

Enable Midstream Partners LP 4.95%, 5/15/2028		325		345

Enbridge, Inc. (Canada)

3.70%, 7/15/2027		215		230

4.50%, 6/10/2044		350		385

(ICE LIBOR USD 3 Month + 3.64%), 6.25%, 3/1/2078 (d)		400		417

Encana Corp. (Canada) 7.38%, 11/1/2031		760		970

Energy Transfer Operating LP

4.75%, 1/15/2026		321		351

6.25%, 4/15/2049		800		990

Eni SpA (Italy) 5.70%, 10/1/2040 (b)		925		1,163

Enterprise Products Operating LLC

3.90%, 2/15/2024		475		508

3.75%, 2/15/2025		343		368

3.70%, 2/15/2026		506		544

4.20%, 1/31/2050		530		576

EQM Midstream Partners LP 4.00%, 8/1/2024		700		688

Equinor ASA (Norway) 3.25%, 11/10/2024		456		484

Exxon Mobil Corp.

3.00%, 8/16/2039		895		921

3.10%, 8/16/2049		1,115		1,156

Kerr-McGee Corp.

6.95%, 7/1/2024		200		237

7.88%, 9/15/2031		700		965

Kinder Morgan, Inc. 4.30%, 3/1/2028		1,090		1,194

Magellan Midstream Partners LP

3.20%, 3/15/2025		353		361

5.15%, 10/15/2043		600		720

Marathon Petroleum Corp. 3.63%, 9/15/2024		200		210

MPLX LP

4.13%, 3/1/2027		259		273

4.50%, 4/15/2038		338		351

5.20%, 3/1/2047		323		352

Noble Energy, Inc. 6.00%, 3/1/2041		999		1,184


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Oil, Gas & Consumable Fuels — continued

Occidental Petroleum Corp.

3.50%, 8/15/2029		1,210		1,233

4.30%, 8/15/2039		670		701

ONEOK Partners LP

3.38%, 10/1/2022		151		155

5.00%, 9/15/2023		334		364

4.90%, 3/15/2025		1,000		1,093

6.65%, 10/1/2036		350		442

Petroleos Mexicanos (Mexico)

6.38%, 2/4/2021		647		665

4.88%, 1/18/2024		393		395

6.88%, 8/4/2026		250		262

5.35%, 2/12/2028		282		267

6.50%, 1/23/2029		350		353

6.63%, 6/15/2035		250		244

6.38%, 1/23/2045		846		780

6.75%, 9/21/2047		313		297

6.35%, 2/12/2048		869		799

Phillips 66 3.90%, 3/15/2028		355		386

Plains All American Pipeline LP

3.60%, 11/1/2024		1,000		1,027

4.65%, 10/15/2025		200		215

Spectra Energy Partners LP 5.95%, 9/25/2043		452		575

Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038		1,195		1,707

Sunoco Logistics Partners Operations LP

3.90%, 7/15/2026		244		253

6.10%, 2/15/2042		400		465

5.30%, 4/1/2044		170		182

5.35%, 5/15/2045		1,133		1,235

TC PipeLines LP 3.90%, 5/25/2027		391		409

Texas Eastern Transmission LP

2.80%, 10/15/2022 (b)		554		559

3.50%, 1/15/2028 (b)		90		94

Total Capital International SA (France) 3.46%, 7/12/2049		815		878

TransCanada PipeLines Ltd. (Canada) 4.88%, 1/15/2026		394		444

Valero Energy Corp. 7.50%, 4/15/2032		250		347

Williams Cos., Inc. (The)

3.90%, 1/15/2025		512		538

4.85%, 3/1/2048		409		448


				46,602


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Pharmaceuticals — 0.7%

Allergan Finance LLC 4.63%, 10/1/2042		480		509

Allergan Funding SCS

3.45%, 3/15/2022		937		962

3.85%, 6/15/2024		443		468

Allergan, Inc.

3.38%, 9/15/2020		453		458

2.80%, 3/15/2023		525		529

AstraZeneca plc (United Kingdom) 6.45%, 9/15/2037		300		431

Bayer US Finance LLC (Germany) 2.38%, 10/8/2019 (b)		395		395

Bristol-Myers Squibb Co.

3.20%, 6/15/2026 (b)		810		857

3.40%, 7/26/2029 (b)		870		942

4.13%, 6/15/2039 (b)		545		632

Eli Lilly & Co. 4.15%, 3/15/2059		460		549

Johnson & Johnson

4.38%, 12/5/2033		282		342

3.40%, 1/15/2038		926		1,013

Merck & Co., Inc.

3.90%, 3/7/2039		900		1,067

3.70%, 2/10/2045		210		240

Mylan NV 3.95%, 6/15/2026		300		312

Pfizer, Inc. 3.90%, 3/15/2039		950		1,092

Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026		1,713		1,782

Takeda Pharmaceutical Co. Ltd. (Japan) 5.00%, 11/26/2028 (b)		895		1,059


				13,639


Road & Rail — 0.4%

Burlington Northern Santa Fe LLC

5.75%, 5/1/2040		425		584

4.38%, 9/1/2042		375		447

5.15%, 9/1/2043		769		1,000

3.55%, 2/15/2050		653		715

Canadian Pacific Railway Co. (Canada) 6.13%, 9/15/2115		506		764

CSX Corp.

5.50%, 4/15/2041		150		191

4.75%, 5/30/2042		191		229

4.75%, 11/15/2048		700		863

ERAC USA Finance LLC 6.70%, 6/1/2034 (b)		746		1,037

JB Hunt Transport Services, Inc. 3.88%, 3/1/2026		515		554


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Road & Rail — continued

Norfolk Southern Corp. 4.05%, 8/15/2052		600		681

Penske Truck Leasing Co. LP 4.13%, 8/1/2023 (b)		1,131		1,199

Ryder System, Inc. 2.88%, 9/1/2020		517		520


				8,784


Semiconductors & Semiconductor Equipment — 0.2%

Analog Devices, Inc. 4.50%, 12/5/2036		300		333

Broadcom Corp. 3.63%, 1/15/2024		1,747		1,783

Broadcom, Inc. 4.75%, 4/15/2029 (b)		1,610		1,696


				3,812


Software — 0.4%

Microsoft Corp.

3.30%, 2/6/2027		836		914

3.50%, 2/12/2035		291		328

4.20%, 11/3/2035		615		741

4.10%, 2/6/2037		800		965

4.50%, 10/1/2040		117		150

4.00%, 2/12/2055		660		808

3.95%, 8/8/2056		324		397

4.50%, 2/6/2057		470		630

Oracle Corp.

4.30%, 7/8/2034		700		826

3.80%, 11/15/2037		500		558

4.38%, 5/15/2055		900		1,085


				7,402


Specialty Retail — 0.1%

Lowe’s Cos., Inc.

3.65%, 4/5/2029		418		455

4.65%, 4/15/2042		739		847

4.55%, 4/5/2049		403		471

O’Reilly Automotive, Inc. 3.60%, 9/1/2027		432		460


				2,233


Technology Hardware, Storage & Peripherals — 0.4%

Apple, Inc.

2.75%, 1/13/2025		920		956

3.20%, 5/13/2025		1,539		1,641

2.45%, 8/4/2026		815		834

3.20%, 5/11/2027		686		734

3.00%, 6/20/2027		1,125		1,193

3.45%, 2/9/2045		1,130		1,223

3.85%, 8/4/2046		569		654

3.75%, 11/13/2047		150		171


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Technology Hardware, Storage & Peripherals — continued

Dell International LLC 6.02%, 6/15/2026 (b)		1,410		1,591


				8,997


Thrifts & Mortgage Finance — 0.1%

BPCE SA (France)

4.63%, 7/11/2024 (b)		800		855

3.38%, 12/2/2026		400		423


				1,278


Tobacco — 0.0% (c)

BAT Capital Corp. (United Kingdom) 4.39%, 8/15/2037		342		344

Reynolds American, Inc. (United Kingdom) 7.00%, 8/4/2041		100		126


				470


Trading Companies & Distributors — 0.2%

Aircastle Ltd. 4.40%, 9/25/2023		620		655

Aviation Capital Group LLC

3.88%, 5/1/2023 (b)		490		513

3.50%, 11/1/2027 (b)		700		731

BOC Aviation Ltd. (Singapore)

2.75%, 9/18/2022 (b)		450		451

3.50%, 10/10/2024 (b)		310		320

International Lease Finance Corp. 5.88%, 8/15/2022		506		556


				3,226


Water Utilities — 0.0% (c)

American Water Capital Corp. 3.40%, 3/1/2025		793		836


Wireless Telecommunication Services — 0.2%

America Movil SAB de CV (Mexico)

3.63%, 4/22/2029		880		947

4.38%, 4/22/2049		441		521

Rogers Communications, Inc. (Canada) 4.35%, 5/1/2049		560		657

Vodafone Group plc (United Kingdom)

4.13%, 5/30/2025		501		544

5.25%, 5/30/2048		496		594

4.88%, 6/19/2049		1,105		1,276


				4,539


Total Corporate Bonds (Cost $451,599)				492,101


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — 15.7%

FHLMC

Pool # 846812, ARM, 4.79%, 4/1/2030 (h)		8		8

Pool # 781087, ARM, 4.73%, 12/1/2033 (h)		191		201

Pool # 1B1665, ARM, 4.69%, 4/1/2034 (h)		149		156

Pool # 847356, ARM, 5.19%, 12/1/2034 (h)		99		104

Pool # 782979, ARM, 4.95%, 1/1/2035 (h)		167		176

Pool # 1Q0025, ARM, 4.61%, 2/1/2036 (h)		67		70

Pool # 848431, ARM, 4.70%, 2/1/2036 (h)		117		123

Pool # 1L1286, ARM, 4.75%, 5/1/2036 (h)		36		39

Pool # 848365, ARM, 4.74%, 7/1/2036 (h)		103		108

Pool # 1G2539, ARM, 4.34%, 10/1/2036 (h)		21		22

Pool # 1A1096, ARM, 4.41%, 10/1/2036 (h)		141		147

Pool # 1J1348, ARM, 5.02%, 10/1/2036 (h)		73		78

Pool # 782760, ARM, 4.61%, 11/1/2036 (h)		169		178

Pool # 1G2671, ARM, 4.63%, 11/1/2036 (h)		118		124

Pool # 1J1634, ARM, 4.39%, 12/1/2036 (h)		86		91

Pool # 1J0282, ARM, 4.92%, 2/1/2037 (h)		45		48

Pool # 1Q0739, ARM, 4.51%, 3/1/2037 (h)		184		193

Pool # 848699, ARM, 4.65%, 7/1/2040 (h)		310		327

FHLMC Gold Pools, 20 Year Pool # C91403, 3.50%, 3/1/2032		294		306

FHLMC Gold Pools, 30 Year

Pool # C68485, 7.00%, 7/1/2032		21		23

Pool # G01448, 7.00%, 8/1/2032		54		63

Pool # A13625, 5.50%, 10/1/2033		264		299

Pool # A16107, 6.00%, 12/1/2033		80		88

Pool # A17537, 6.00%, 1/1/2034		102		117

Pool # A61572, 5.00%, 9/1/2034		617		687

Pool # A28796, 6.50%, 11/1/2034		135		156

Pool # G03369, 6.50%, 1/1/2035		260		298

Pool # A46987, 5.50%, 7/1/2035		567		633

Pool # G01919, 4.00%, 9/1/2035		377		394

Pool # C02641, 7.00%, 10/1/2036		86		98

Pool # C02660, 6.50%, 11/1/2036		212		244

Pool # A93383, 5.00%, 8/1/2040		542		598

Pool # A93511, 5.00%, 8/1/2040		607		669

Pool # G06493, 4.50%, 5/1/2041		2,088		2,262


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

FHLMC Gold Pools, Other

Pool # P20570, 7.00%, 7/1/2029		45		50

Pool # G20027, 10.00%, 10/1/2030		24		25

Pool # U50105, 4.00%, 1/1/2032		646		677

Pool # L10151, 6.00%, 2/1/2033		25		26

Pool # U80254, 3.00%, 3/1/2033		601		619

Pool # P20409, 5.50%, 10/1/2033		93		100

Pool # P50201, 5.50%, 1/1/2034		58		61

Pool # U90975, 4.00%, 6/1/2042		2,530		2,696

Pool # U90673, 4.00%, 1/1/2043		578		616

Pool # U99134, 4.00%, 1/1/2046		8,985		9,572

Pool # U69030, 4.50%, 1/1/2046		3,925		4,252

FNMA

Pool # 470623, ARM, 3.20%, 3/1/2022 (h)		852		854

Pool # 54844, ARM, 2.81%, 9/1/2027 (h)		15		15

Pool # 303532, ARM, 4.06%, 3/1/2029 (h)		11		11

Pool # 555258, ARM, 4.01%, 1/1/2033 (h)		427		439

Pool # 722421, ARM, 4.02%, 7/1/2033 (h)		47		48

Pool # 722985, ARM, 4.53%, 7/1/2033 (h)		19		20

Pool # 686040, ARM, 4.62%, 7/1/2033 (h)		171		180

Pool # 746299, ARM, 4.24%, 9/1/2033 (h)		133		141

Pool # 749923, ARM, 4.65%, 11/1/2033 (h)		13		13

Pool # 766610, ARM, 4.61%, 1/1/2034 (h)		83		87

Pool # 920467, ARM, 4.75%, 2/1/2034 (h)		85		87

Pool # 770377, ARM, 4.38%, 4/1/2034 (h)		92		95

Pool # 751531, ARM, 4.71%, 5/1/2034 (h)		107		113

Pool # 782306, ARM, 4.41%, 7/1/2034 (h)		45		46

Pool # 790235, ARM, 3.75%, 8/1/2034 (h)		115		120

Pool # 735332, ARM, 4.62%, 8/1/2034 (h)		235		247

Pool # 791961, ARM, 3.56%, 9/1/2034 (h)		32		32

Pool # 725902, ARM, 4.41%, 9/1/2034 (h)		14		15

Pool # 803599, ARM, 4.28%, 10/1/2034 (h)		231		240

Pool # 803594, ARM, 4.35%, 10/1/2034 (h)		156		163

Pool # 896463, ARM, 4.67%, 10/1/2034 (h)		111		118

Pool # 806778, ARM, 4.12%, 11/1/2034 (h)		422		441

Pool # 806776, ARM, 4.16%, 11/1/2034 (h)		186		191

Pool # 810896, ARM, 4.14%, 1/1/2035 (h)		384		397

Pool # 802692, ARM, 4.37%, 1/1/2035 (h)		265		277

Pool # 816597, ARM, 4.69%, 2/1/2035 (h)		28		30

Pool # 745862, ARM, 4.74%, 4/1/2035 (h)		115		122


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # 735539, ARM, 4.86%, 4/1/2035 (h)		589		620

Pool # 821378, ARM, 4.24%, 5/1/2035 (h)		137		142

Pool # 823660, ARM, 4.52%, 5/1/2035 (h)		69		72

Pool # 745766, ARM, 4.44%, 6/1/2035 (h)		242		253

Pool # 843026, ARM, 3.97%, 9/1/2035 (h)		507		524

Pool # 832801, ARM, 4.02%, 9/1/2035 (h)		62		66

Pool # 849251, ARM, 4.42%, 1/1/2036 (h)		101		104

Pool # 872622, ARM, 4.42%, 6/1/2036 (h)		27		28

Pool # 895141, ARM, 4.07%, 7/1/2036 (h)		206		214

Pool # 900197, ARM, 4.84%, 10/1/2036 (h)		93		99

Pool # 966946, ARM, 4.91%, 1/1/2038 (h)		35		36

FNMA, 30 Year

Pool # 535183, 8.00%, 6/1/2028		20		22

Pool # 252409, 6.50%, 3/1/2029		61		68

Pool # 653815, 7.00%, 2/1/2033		9		10

Pool # 752786, 6.00%, 9/1/2033		64		70

Pool # 931717, 6.50%, 8/1/2039		288		326

FNMA, Other

Pool # AD0851, 4.37%, 2/1/2020		703		705

Pool # AE0136, 4.38%, 4/1/2020		472		478

Pool # 465659, 3.74%, 7/1/2020		1,688		1,696

Pool # 465578, 3.93%, 7/1/2020		1,776		1,785

Pool # FN0005, 3.37%, 11/1/2020		552		561

Pool # 466836, 3.87%, 1/1/2021		1,455		1,480

Pool # FN0003, 4.28%, 1/1/2021		722		745

Pool # 467344, 4.48%, 2/1/2021		2,625		2,689

Pool # 467755, 4.25%, 4/1/2021		2,380		2,447

Pool # 467944, 4.25%, 4/1/2021		2,000		2,054

Pool # 467630, 4.30%, 4/1/2021		905		930

Pool # 467757, 4.33%, 4/1/2021		1,922		1,976

Pool # 468102, 4.34%, 6/1/2021		5,000		5,166

Pool # 468159, 4.26%, 7/1/2021		1,911		1,976

Pool # AL0602, 4.31%, 7/1/2021		981		1,022

Pool # AM1771, 2.12%, 9/1/2021		2,500		2,506

Pool # 470407, 3.16%, 2/1/2022		2,463		2,545

Pool # 470622, 2.75%, 3/1/2022		525		538

Pool # 471177, 2.94%, 5/1/2022		1,298		1,338

Pool # 471254, 2.98%, 7/1/2022		2,407		2,482

Pool # 471284, 2.98%, 7/1/2022		1,926		1,986

Pool # AM3789, 3.02%, 7/1/2023		2,250		2,349

Pool # AM7245, 2.95%, 8/1/2023		4,443		4,619

Pool # AM4066, 3.59%, 8/1/2023		2,500		2,674

Pool # AM4628, 3.69%, 11/1/2023		1,485		1,599

Pool # AM4668, 3.76%, 11/1/2023		1,951		2,104


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # AM4716, 3.38%, 12/1/2023		1,947		2,072

Pool # AM7231, 2.92%, 12/1/2024		4,000		4,230

Pool # AM7589, 2.95%, 12/1/2024		1,555		1,644

Pool # AM7290, 2.97%, 12/1/2024		3,465		3,673

Pool # AM7576, 3.04%, 12/1/2024		4,000		4,254

Pool # AM7124, 3.11%, 12/1/2024		2,500		2,667

Pool # 470300, 3.64%, 1/1/2025		906		987

Pool # AM3833, 3.25%, 7/1/2025		3,606		3,849

Pool # AM4991, 3.97%, 12/1/2025		1,729		1,927

Pool # AL6805, 3.78%, 1/1/2026		3,501		3,865

Pool # 468645, 4.54%, 7/1/2026		2,620		2,993

Pool # AM6392, 3.29%, 8/1/2026		4,000		4,349

Pool # AM6448, 3.25%, 9/1/2026		9,845		10,676

Pool # AM7223, 3.11%, 12/1/2026		3,511		3,774

Pool # AM7118, 3.14%, 12/1/2026		2,802		3,017

Pool # AM7485, 3.24%, 12/1/2026		4,235		4,583

Pool # AM7390, 3.26%, 12/1/2026		3,820		4,119

Pool # AM7265, 3.30%, 12/1/2026		3,898		4,215

Pool # AM7515, 3.34%, 2/1/2027		3,000		3,248

Pool # AM8432, 2.79%, 5/1/2027		9,000		9,502

Pool # AM8803, 2.78%, 6/1/2027		4,949		5,221

Pool # AM8987, 2.79%, 6/1/2027		1,849		1,950

Pool # AM9003, 2.96%, 6/1/2027		2,865		3,057

Pool # AN9656, 3.57%, 7/1/2028		4,739		5,279

Pool # BL1040, 3.81%, 12/1/2028		3,000		3,413

Pool # AM7785, 3.17%, 2/1/2030		2,924		3,212

Pool # AM7516, 3.55%, 2/1/2030		2,000		2,254

Pool # AM8427, 3.04%, 4/1/2030		8,801		9,529

Pool # AM8544, 3.08%, 4/1/2030		7,817		8,489

Pool # AM8889, 2.92%, 5/1/2030		8,000		8,569

Pool # AM8804, 3.10%, 5/1/2030		3,715		4,041

Pool # AM8807, 3.10%, 5/1/2030		4,804		5,223

Pool # AM9020, 2.97%, 6/1/2030		3,921		4,249

Pool # AM8967, 3.08%, 6/1/2030		6,134		6,679

Pool # AM9320, 3.30%, 7/1/2030		4,022		4,489

Pool # AM9219, 3.35%, 9/1/2030		1,866		2,069

Pool # AP9632, 4.00%, 10/1/2032		780		822

Pool # AP9762, 4.00%, 10/1/2032		756		797

Pool # AQ7084, 3.50%, 12/1/2032		764		792

Pool # AT2703, 3.50%, 5/1/2033		1,851		1,917

Pool # AT2954, 3.50%, 5/1/2033		1,075		1,114

Pool # AT4180, 3.50%, 5/1/2033		1,177		1,219

Pool # AT4939, 3.50%, 5/1/2033		946		980

Pool # 754922, 5.50%, 9/1/2033		87		97

Pool # 762520, 4.00%, 11/1/2033		508		532


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Pool # AM8922, 3.03%, 6/1/2035		2,847			3,085

Pool # AM9188, 3.12%, 6/1/2035		7,000			7,665

Pool # 849215, 6.50%, 1/1/2036		30			33

Pool # 872740, 6.50%, 6/1/2036		83			94

Pool # 886320, 6.50%, 7/1/2036		25			27

Pool # 888796, 6.00%, 9/1/2037		103			117

Pool # AO7225, 4.00%, 7/1/2042		751			800

Pool # AO9352, 4.00%, 7/1/2042		852			908

Pool # MA1125, 4.00%, 7/1/2042		1,233			1,312

Pool # AR1397, 3.00%, 1/1/2043		1,671			1,724

Pool # MA1711, 4.50%, 12/1/2043		3,427			3,697

Pool # MA1828, 4.50%, 3/1/2044		2,711			2,925

GNMA I, 30 Year

Pool # 313110, 7.50%, 11/15/2022		—	(i)		—	(i)

Pool # 345288, 7.50%, 3/15/2023		1			1

Pool # 782507, 9.50%, 10/15/2024		17			17

Pool # 554108, 6.50%, 3/15/2028		46			50

Pool # 481872, 7.50%, 7/15/2028		4			4

Pool # 468149, 8.00%, 8/15/2028		4			4

Pool # 486537, 7.50%, 9/15/2028		11			11

Pool # 486631, 6.50%, 10/15/2028		6			7

Pool # 591882, 6.50%, 7/15/2032		15			17

Pool # 607645, 6.50%, 2/15/2033		38			43

Pool # 607724, 7.00%, 2/15/2033		37			41

Pool # 604209, 6.50%, 4/15/2033		39			43

Pool # 781614, 7.00%, 6/15/2033		71			86

Pool # BM2141, 5.00%, 7/15/2049		1,762			1,962

GNMA II, 30 Year

Pool # 2006, 8.50%, 5/20/2025		12			13

Pool # 2141, 8.00%, 12/20/2025		1			2

Pool # 2234, 8.00%, 6/20/2026		5			6

Pool # 2270, 8.00%, 8/20/2026		3			3

Pool # 2285, 8.00%, 9/20/2026		3			4

Pool # 2324, 8.00%, 11/20/2026		4			5

Pool # 2499, 8.00%, 10/20/2027		7			8

Pool # 2512, 8.00%, 11/20/2027		8			9

Pool # 2525, 8.00%, 12/20/2027		3			4

Pool # 2549, 7.50%, 2/20/2028		6			7

Pool # 2646, 7.50%, 9/20/2028		16			18

Pool # 2647, 8.00%, 9/20/2028		2			2

Pool # 3427, 4.50%, 8/20/2033		115			121

Pool # 4245, 6.00%, 9/20/2038		869			994

Pool # AK8806, 4.25%, 3/20/2045		1,503			1,598

Pool # BM2118, 4.50%, 6/20/2049		1,596			1,686

Pool # BO0535, 4.00%, 7/20/2049		3,099			3,250


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Mortgage-Backed Securities — continued

Pool # BO8227, 5.00%, 7/20/2049		2,057			2,241

Pool # BO8228, 5.00%, 7/20/2049		1,891			2,057

Pool # BO8229, 5.00%, 7/20/2049		3,778			4,111

GNMA II, Other

Pool # AC0979, 4.40%, 4/20/2063 (h)		1,190			1,211

Pool # AC0973, 4.45%, 5/20/2063 (h)		1,673			1,696

UMBS, 15 Year

Pool # 745048, 5.00%, 10/1/2019		—	(i)		—	(i)

Pool # 735841, 4.50%, 11/1/2019		—	(i)		—	(i)

Pool # 735290, 4.50%, 12/1/2019		1			1

Pool # 888557, 5.50%, 3/1/2020		—	(i)		—	(i)

Pool # 889805, 5.50%, 7/1/2020		—	(i)		—	(i)

Pool # 735911, 6.50%, 8/1/2020		1			2

Pool # 889634, 6.00%, 2/1/2023		311			322

Pool # 995381, 6.00%, 1/1/2024		70			73

Pool # 995425, 6.00%, 1/1/2024		165			172

Pool # AD0133, 5.00%, 8/1/2024		63			65

UMBS, 20 Year

Pool # 254305, 6.50%, 5/1/2022		17			19

Pool # 555791, 6.50%, 12/1/2022		49			54

Pool # 255217, 4.50%, 4/1/2024		25			26

Pool # 888656, 6.50%, 4/1/2025		61			67

Pool # MA1138, 3.50%, 8/1/2032		670			699

UMBS, 30 Year

Pool # 50966, 7.00%, 1/1/2024		2			2

Pool # 399269, 7.00%, 4/1/2026		29			30

Pool # 689977, 8.00%, 3/1/2027		39			42

Pool # 695533, 8.00%, 6/1/2027		14			16

Pool # 457268, 9.50%, 7/1/2028		—	(i)		—	(i)

Pool # 756024, 8.00%, 9/1/2028		63			71

Pool # 755973, 8.00%, 11/1/2028		128			148

Pool # 455759, 6.00%, 12/1/2028		16			18

Pool # 252211, 6.00%, 1/1/2029		22			25

Pool # 459097, 7.00%, 1/1/2029		37			40

Pool # 889020, 6.50%, 11/1/2029		344			390

Pool # 598559, 6.50%, 8/1/2031		31			36

Pool # 622542, 5.50%, 9/1/2031		294			326

Pool # 788150, 6.00%, 3/1/2032		35			39

Pool # 649734, 7.00%, 6/1/2032		32			34

Pool # 675555, 6.00%, 12/1/2032		85			95

Pool # AL0045, 6.00%, 12/1/2032		350			401

Pool # 674349, 6.00%, 3/1/2033		16			17

Pool # 688625, 6.00%, 3/1/2033		22			24

Pool # 688655, 6.00%, 3/1/2033		25			28

Pool # 695584, 6.00%, 3/1/2033		7			8


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # 702901, 6.00%, 5/1/2033		114		131

Pool # 723852, 5.00%, 7/1/2033		133		147

Pool # 729296, 5.00%, 7/1/2033		288		318

Pool # 729379, 6.00%, 8/1/2033		27		29

Pool # 737825, 6.00%, 9/1/2033		36		40

Pool # 750977, 4.50%, 11/1/2033		105		113

Pool # 725017, 5.50%, 12/1/2033		439		497

Pool # 751341, 5.50%, 3/1/2034		46		50

Pool # 888568, 5.00%, 12/1/2034		11		12

Pool # 815426, 4.50%, 2/1/2035		1		1

Pool # AD0755, 7.00%, 6/1/2035		3,175		3,799

Pool # 820347, 5.00%, 9/1/2035		86		96

Pool # 833657, 7.50%, 8/1/2036		41		46

Pool # 986648, 6.00%, 9/1/2037		154		176

Pool # 888892, 7.50%, 11/1/2037		47		58

Pool # 257510, 7.00%, 12/1/2038		137		172

Pool # AD0753, 7.00%, 1/1/2039		114		139

Pool # AT5891, 3.00%, 6/1/2043		3,111		3,231

Pool # AL7527, 4.50%, 9/1/2043		1,630		1,766

Pool # BM3500, 4.00%, 9/1/2047		4,649		4,936

Pool # BJ1778, 4.50%, 10/1/2047		2,422		2,583

Pool # BN9180, 4.00%, 6/1/2049		1,642		1,720

Pool # BK8753, 4.50%, 6/1/2049		4,688		5,027

Pool # BO1219, 4.50%, 6/1/2049		5,473		5,787


Total Mortgage-Backed Securities (Cost $315,353)				328,988


Collateralized Mortgage Obligations — 14.1%

ACC 1/15/2021		2,200		2,200

Acre 7.00%, 12/15/2020		3,785		3,785

Alternative Loan Trust

Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034		5,849		6,275

Series 2005-J1, Class 1A4, IF, IO, 2.95%, 2/25/2035 ‡ (h)		359		5

Series 2005-1CB, Class 1A6, IF, IO, 4.95%, 3/25/2035 ‡ (h)		745		112

Series 2005-22T1, Class A2, IF, IO, 2.92%, 6/25/2035 ‡ (h)		4,472		653

Series 2005-20CB, Class 3A8, IF, IO, 2.60%, 7/25/2035 ‡ (h)		1,982		249

Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035		1,959		1,960

Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035		80		57

Series 2005-37T1, Class A2, IF, IO, 2.90%, 9/25/2035 ‡ (h)		3,260		462


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-54CB, Class 1A2, IF, IO, 2.70%, 11/25/2035 ‡ (h)		3,743		531

Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035		1,487		1,424

Series 2005-57CB, Class 3A2, IF, IO, 2.95%, 12/25/2035 ‡ (h)		846		109

Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035		645		642

Series 2006-26CB, Class A9, 6.50%, 9/25/2036		1,123		905

ARIVO 9/15/2019 ‡		2,764		2,764

Banc of America Alternative Loan Trust

Series 2004-6, Class 15PO, PO, 7/25/2019 ‡		6		5

Series 2005-5, Class 1CB1, 5.50%, 6/25/2035		541		546

Series 2006-4, Class 1A4, 6.00%, 5/25/2046		337		315

Banc of America Funding Trust

Series 2004-1, PO, 3/25/2034 ‡		146		130

Series 2004-2, Class 30PO, PO, 9/20/2034 ‡		95		89

Series 2004-C, Class 1A1, 4.96%, 12/20/2034 (h)		81		82

Series 2005-E, Class 4A1, 4.72%, 3/20/2035 (h)		112		113

Series 2005-6, Class 2A7, 5.50%, 10/25/2035		236		231

Series 2005-7, Class 30PO, PO, 11/25/2035 ‡		182		157

Series 2005-8, Class 30PO, PO, 1/25/2036 ‡		96		75

Series 2006-A, Class 3A2, 4.33%, 2/20/2036 (h)		220		212

Banc of America Mortgage Trust Series 2004-A, Class 2A2, 4.80%, 2/25/2034 (h)		71		71

BCAP LLC Trust

Series 2009-RR5, Class 8A1, 5.50%, 11/26/2034 (b) (h)		90		92

Series 2010-RR7, Class 2A1, 4.31%, 7/26/2045 (b) (h)		280		281

Bear Stearns ARM Trust

Series 2003-7, Class 3A, 4.56%, 10/25/2033 (h)		63		64

Series 2004-1, Class 12A1, 4.68%, 4/25/2034 (h)		303		308

Series 2004-2, Class 14A, 4.45%, 5/25/2034 (h)		47		47


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2006-1, Class A1, 4.91%, 2/25/2036 (h)		926		947

CHL Mortgage Pass-Through Trust

Series 2004-8, Class 2A1, 4.50%, 6/25/2019		2		2

Series 2004-HYB1, Class 2A, 4.17%, 5/20/2034 (h)		56		57

Series 2004-HYB3, Class 2A, 3.83%, 6/20/2034 (h)		256		262

Series 2004-7, Class 2A1, 4.62%, 6/25/2034 (h)		172		179

Series 2004-HYB6, Class A3, 4.24%, 11/20/2034 (h)		206		210

Series 2005-16, Class A23, 5.50%, 9/25/2035		423		394

Series 2005-22, Class 2A1, 3.98%, 11/25/2035 (h)		1,188		1,071

Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust

Series 2005-5, Class APO, PO, 8/25/2035 ‡		48		43

Series 2005-8, Class APO, PO, 11/25/2035 ‡		78		69

Citigroup Global Markets Mortgage Securities VII, Inc.

Series 2003-UP2, Class PO1, PO, 6/25/2033 ‡		1		—	(i)

Series 2003-HYB1, Class A, 4.74%, 9/25/2033 (h)		43		44

Citigroup Mortgage Loan Trust Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (h)		447		477

Citigroup Mortgage Loan Trust, Inc.

Series 2003-1, Class PO3, PO, 9/25/2033 ‡		29		28

Series 2003-UP3, Class A3, 7.00%, 9/25/2033		13		13

Series 2003-1, Class 2A6, PO, 10/25/2033 ‡		26		26

Series 2003-1, Class PO2, PO, 10/25/2033 ‡		24		22

Series 2003-1, Class 2A5, 5.25%, 10/25/2033		51		53

Series 2004-UST1, Class A6, 4.51%, 8/25/2034 (h)		31		30

Series 2005-1, Class 2A1A, 3.37%, 2/25/2035 (h)		205		178

Series 2005-2, Class 2A11, 5.50%, 5/25/2035		227		242

Series 2005-5, Class 1A2, 3.93%, 8/25/2035 (h)		254		205


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Conix Mortgage Asset Trust Series 2013-1, Class A, 12/25/2047 ‡ (h) (j)		1,079			55

Credit Suisse First Boston Mortgage Securities Corp.

Series 2003-1, Class DB1, 6.74%, 2/25/2033 (h)		278			301

Series 2003-21, Class 1A4, 5.25%, 9/25/2033		104			109

Series 2003-25, Class 1P, PO, 10/25/2033 ‡		231			222

CSFB Mortgage-Backed Pass-Through Certificates

Series 2005-4, Class 3A18, 5.50%, 6/25/2035		1,244			1,301

Series 2005-4, Class 3A23, 5.50%, 6/25/2035		2,633			2,666

csma sfr 4/25/2023 ‡		3,226			3,225

FHLMC — GNMA Series 8, Class ZA, 7.00%, 3/25/2023		41			43

FHLMC, REMIC

Series 2934, Class EC, PO, 2/15/2020		9			9

Series 2934, Class HI, IO, 5.00%, 2/15/2020		7			—	(i)

Series 2934, Class KI, IO, 5.00%, 2/15/2020		4			—	(i)

Series 2965, Class GD, 4.50%, 4/15/2020		16			16

Series 1807, Class G, 9.00%, 10/15/2020		—	(i)		—	(i)

Series 99, Class Z, 9.50%, 1/15/2021		—	(i)		—	(i)

Series 1045, Class G, HB, 1,066.21%, 2/15/2021		—	(i)		—	(i)

Series 1065, Class J, 9.00%, 4/15/2021		1			1

Series 1084, Class F, 3.15%, 5/15/2021 (h)		—	(i)		—	(i)

Series 1079, Class S, HB, IF, 26.54%, 5/15/2021 (h)		—	(i)		—	(i)

Series 1084, Class S, HB, IF, 35.35%, 5/15/2021 (h)		—	(i)		—	(i)

Series 1116, Class I, 5.50%, 8/15/2021		—	(i)		1

Series 1144, Class KB, 8.50%, 9/15/2021		2			2

Series 1196, Class B, HB, IF, 1,104.54%, 1/15/2022 (h)		—	(i)		—	(i)

Series 1250, Class J, 7.00%, 5/15/2022		2			2

Series 1343, Class LB, 7.50%, 8/15/2022		5			6

Series 1343, Class LA, 8.00%, 8/15/2022		4			4

Series 1370, Class JA, 3.35%, 9/15/2022 (h)		8			8

Series 2512, Class PG, 5.50%, 10/15/2022		88			91

Series 1455, Class WB, IF, 3.51%, 12/15/2022 (h)		9			9


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2535, Class BK, 5.50%, 12/15/2022		47		49

Series 1470, Class F, 2.14%, 2/15/2023 (h)		1		1

Series 2568, Class KG, 5.50%, 2/15/2023		126		131

Series 1466, Class PZ, 7.50%, 2/15/2023		37		39

Series 1498, Class I, 3.35%, 4/15/2023 (h)		47		47

Series 1502, Class PX, 7.00%, 4/15/2023		71		76

Series 1798, Class F, 5.00%, 5/15/2023		58		60

Series 1518, Class G, IF, 6.87%, 5/15/2023 (h)		19		20

Series 1505, Class Q, 7.00%, 5/15/2023		8		8

Series 1541, Class O, 1.30%, 7/15/2023 (h)		18		18

Series 2638, Class DS, IF, 6.40%, 7/15/2023 (h)		14		14

Series 1541, Class M, HB, IF, 22.98%, 7/15/2023 (h)		7		8

Series 1570, Class F, 2.64%, 8/15/2023 (h)		2		2

Series 1608, Class L, 6.50%, 9/15/2023		177		189

Series 1573, Class PZ, 7.00%, 9/15/2023		55		58

Series 2571, Class SK, HB, IF, 25.03%, 9/15/2023 (h)		25		34

Series 1591, Class PV, 6.25%, 10/15/2023		35		37

Series 1602, Class SA, IF, 15.19%, 10/15/2023 (h)		22		25

Series 2710, Class HB, 5.50%, 11/15/2023		327		337

Series 1642, Class PJ, 6.00%, 11/15/2023		84		89

Series 2716, Class UN, 4.50%, 12/15/2023		213		220

Series 1638, Class H, 6.50%, 12/15/2023		118		126

Series 2283, Class K, 6.50%, 12/15/2023		56		60

Series 1700, Class GA, PO, 2/15/2024		16		16

Series 1865, Class D, PO, 2/15/2024		39		37

Series 1760, Class ZD, 1.57%, 2/15/2024 (h)		153		151

Series 1671, Class QC, IF, 10.00%, 2/15/2024 (h)		14		17

Series 1686, Class SH, IF, 14.01%, 2/15/2024 (h)		4		5

Series 1709, Class FA, 1.22%, 3/15/2024 (h)		2		2

Series 1699, Class FC, 2.93%, 3/15/2024 (h)		5		5

Series 1695, Class EB, 7.00%, 3/15/2024		27		29

Series 1706, Class K, 7.00%, 3/15/2024		80		85

Series 2033, Class SN, HB, IF, 26.31%, 3/15/2024 (h)		13		3

Series 2306, Class K, PO, 5/15/2024		13		13

Series 2306, Class SE, IF, IO, 8.53%, 5/15/2024 (h)		32		5


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 1745, Class D, 7.50%, 8/15/2024		16		18

Series 3720, Class A, 4.50%, 9/15/2025		153		161

Series 3131, Class BK, 5.50%, 3/15/2026		530		561

Series 1829, Class ZB, 6.50%, 3/15/2026		13		14

Series 1863, Class Z, 6.50%, 7/15/2026		17		18

Series 1890, Class H, 7.50%, 9/15/2026		17		19

Series 1899, Class ZE, 8.00%, 9/15/2026		50		57

Series 3229, Class HE, 5.00%, 10/15/2026		496		527

Series 1963, Class Z, 7.50%, 1/15/2027		43		48

Series 1935, Class FL, 2.90%, 2/15/2027 (h)		3		3

Series 1981, Class Z, 6.00%, 5/15/2027		67		72

Series 1970, Class PG, 7.25%, 7/15/2027		5		6

Series 1987, Class PE, 7.50%, 9/15/2027		23		27

Series 2019, Class Z, 6.50%, 12/15/2027		55		61

Series 2038, Class PN, IO, 7.00%, 3/15/2028		50		8

Series 2040, Class PE, 7.50%, 3/15/2028		111		127

Series 4251, Class KW, 2.50%, 4/15/2028		3,684		3,786

Series 2043, Class CJ, 6.50%, 4/15/2028		16		18

Series 2054, Class PV, 7.50%, 5/15/2028		74		85

Series 2075, Class PM, 6.25%, 8/15/2028		159		174

Series 2075, Class PH, 6.50%, 8/15/2028		142		159

Series 2086, Class GB, 6.00%, 9/15/2028		43		47

Series 2089, Class PJ, IO, 7.00%, 10/15/2028		67		7

Series 2095, Class PE, 6.00%, 11/15/2028		197		218

Series 2125, Class JZ, 6.00%, 2/15/2029		63		68

Series 2136, Class PG, 6.00%, 3/15/2029		78		87

Series 2132, Class SB, HB, IF, 20.89%, 3/15/2029 (h)		13		20

Series 2141, IO, 7.00%, 4/15/2029		22		2

Series 2169, Class TB, 7.00%, 6/15/2029		229		260

Series 2163, Class PC, IO, 7.50%, 6/15/2029		25		3

Series 2172, Class QC, 7.00%, 7/15/2029		152		175

Series 2176, Class OJ, 7.00%, 8/15/2029		110		126

Series 2201, Class C, 8.00%, 11/15/2029		64		73

Series 2209, Class TC, 8.00%, 1/15/2030		61		71

Series 2210, Class Z, 8.00%, 1/15/2030		116		138

Series 2224, Class CB, 8.00%, 3/15/2030		26		31

Series 2230, Class Z, 8.00%, 4/15/2030		66		77

Series 2234, Class PZ, 7.50%, 5/15/2030		51		60

Series 2247, Class Z, 7.50%, 8/15/2030		50		58

Series 2256, Class MC, 7.25%, 9/15/2030		74		87

Series 2259, Class ZM, 7.00%, 10/15/2030		93		108


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2262, Class Z, 7.50%, 10/15/2030		15		17

Series 2271, Class PC, 7.25%, 12/15/2030		112		131

Series 2296, Class PD, 7.00%, 3/15/2031		66		76

Series 2313, Class LA, 6.50%, 5/15/2031		53		60

Series 2325, Class PM, 7.00%, 6/15/2031		79		92

Series 2359, Class ZB, 8.50%, 6/15/2031		184		221

Series 2344, Class ZD, 6.50%, 8/15/2031		614		722

Series 2344, Class ZJ, 6.50%, 8/15/2031		54		61

Series 2345, Class NE, 6.50%, 8/15/2031		41		47

Series 2351, Class PZ, 6.50%, 8/15/2031		53		60

Series 2353, Class AZ, 6.00%, 9/15/2031		365		399

Series 2367, Class ME, 6.50%, 10/15/2031		97		108

Series 2396, Class FM, 2.65%, 12/15/2031 (h)		200		198

Series 2399, Class OH, 6.50%, 1/15/2032		130		150

Series 2399, Class TH, 6.50%, 1/15/2032		159		183

Series 2464, Class SI, IF, IO, 5.80%, 2/15/2032 (h)		297		46

Series 2410, Class OE, 6.38%, 2/15/2032		56		61

Series 2410, Class QX, IF, IO, 6.45%, 2/15/2032 (h)		68		15

Series 2410, Class NG, 6.50%, 2/15/2032		149		172

Series 2420, Class XK, 6.50%, 2/15/2032		211		243

Series 2412, Class SP, IF, 11.71%, 2/15/2032 (h)		143		186

Series 2410, Class QS, IF, 13.79%, 2/15/2032 (h)		115		161

Series 2444, Class ES, IF, IO, 5.75%, 3/15/2032 (h)		118		22

Series 2450, Class SW, IF, IO, 5.80%, 3/15/2032 (h)		94		17

Series 2430, Class WF, 6.50%, 3/15/2032		310		360

Series 2423, Class MC, 7.00%, 3/15/2032		173		201

Series 2423, Class MT, 7.00%, 3/15/2032		151		177

Series 2435, Class CJ, 6.50%, 4/15/2032		219		251

Series 2434, Class TC, 7.00%, 4/15/2032		164		190

Series 2436, Class MC, 7.00%, 4/15/2032		119		136

Series 2455, Class GK, 6.50%, 5/15/2032		335		388

Series 2450, Class GZ, 7.00%, 5/15/2032		92		109

Series 2462, Class JG, 6.50%, 6/15/2032		145		168

Series 2466, Class PH, 6.50%, 6/15/2032		235		271

Series 2474, Class NR, 6.50%, 7/15/2032		140		159

Series 2484, Class LZ, 6.50%, 7/15/2032		163		193

Series 2500, Class MC, 6.00%, 9/15/2032		158		181

Series 2835, Class QO, PO, 12/15/2032		24		22

Series 2543, Class YX, 6.00%, 12/15/2032		307		354


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2544, Class HC, 6.00%, 12/15/2032		293		334

Series 2552, Class ME, 6.00%, 1/15/2033		387		447

Series 2567, Class QD, 6.00%, 2/15/2033		327		377

Series 2575, Class ME, 6.00%, 2/15/2033		826		939

Series 2596, Class QG, 6.00%, 3/15/2033		223		244

Series 2586, Class WI, IO, 6.50%, 3/15/2033		105		20

Series 2692, Class SC, IF, 8.90%, 7/15/2033 (h)		58		71

Series 4240, Class B, 3.00%, 8/15/2033		2,501		2,638

Series 3920, Class LP, 5.00%, 1/15/2034		873		984

Series 2744, Class PE, 5.50%, 2/15/2034		28		29

Series 3611, PO, 7/15/2034		57		53

Series 2990, Class UZ, 5.75%, 6/15/2035		1,993		2,315

Series 3004, Class EK, 5.50%, 7/15/2035		1,233		1,529

Series 3014, Class OD, PO, 8/15/2035		50		45

Series 3085, Class WF, 3.00%, 8/15/2035 (h)		152		155

Series 3047, Class OD, 5.50%, 10/15/2035		944		1,056

Series 3074, Class BH, 5.00%, 11/15/2035		437		467

Series 3064, Class MC, 5.50%, 11/15/2035		3,095		3,733

Series 3102, Class FB, 2.50%, 1/15/2036 (h)		200		200

Series 3102, Class HS, IF, 16.52%, 1/15/2036 (h)		51		74

Series 3117, Class EO, PO, 2/15/2036		352		319

Series 3117, Class OK, PO, 2/15/2036		205		186

Series 3134, PO, 3/15/2036		54		50

Series 3152, Class MO, PO, 3/15/2036		265		242

Series 3122, Class ZB, 6.00%, 3/15/2036		24		39

Series 3138, PO, 4/15/2036		249		228

Series 3607, Class BO, PO, 4/15/2036		117		108

Series 3219, Class DI, IO, 6.00%, 4/15/2036		190		35

Series 3819, Class ZQ, 6.00%, 4/15/2036		1,134		1,316

Series 3149, Class SO, PO, 5/15/2036		30		25

Series 3233, Class OP, PO, 5/15/2036		80		73

Series 3171, Class MO, PO, 6/15/2036		50		46

Series 3179, Class OA, PO, 7/15/2036		238		219

Series 3194, Class SA, IF, IO, 4.90%, 7/15/2036 (h)		42		2

Series 3211, Class SO, PO, 9/15/2036		231		212

Series 3218, Class AO, PO, 9/15/2036		114		95

Series 3232, Class ST, IF, IO, 4.50%, 10/15/2036 (h)		237		33

Series 3256, PO, 12/15/2036		147		132


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 3261, Class OA, PO, 1/15/2037		188		168

Series 3260, Class CS, IF, IO, 3.94%, 1/15/2037 (h)		297		51

Series 3274, Class JO, PO, 2/15/2037		46		43

Series 3275, Class FL, 2.64%, 2/15/2037 (h)		51		51

Series 3290, Class SB, IF, IO, 4.25%, 3/15/2037 (h)		354		61

Series 3318, Class AO, PO, 5/15/2037		14		13

Series 3607, PO, 5/15/2037		234		210

Series 3315, Class HZ, 6.00%, 5/15/2037		264		287

Series 3326, Class JO, PO, 6/15/2037		16		15

Series 3331, PO, 6/15/2037		163		149

Series 3607, Class OP, PO, 7/15/2037		488		448

Series 4048, Class FJ, 2.80%, 7/15/2037 (h)		908		906

Series 3759, Class HI, IO, 4.00%, 8/15/2037		33		—	(i)

Series 3385, Class SN, IF, IO, 3.80%, 11/15/2037 (h)		80		9

Series 3387, Class SA, IF, IO, 4.22%, 11/15/2037 (h)		238		27

Series 3422, Class AI, IO, 0.25%, 1/15/2038 (e)		1,425		8

Series 3404, Class SC, IF, IO, 3.80%, 1/15/2038 (h)		404		63

Series 3424, Class PI, IF, IO, 4.60%, 4/15/2038 (h)		302		44

Series 3481, Class SJ, IF, IO, 3.65%, 8/15/2038 (h)		466		82

Series 3511, Class SA, IF, IO, 3.80%, 2/15/2039 (h)		301		49

Series 3549, Class FA, 3.40%, 7/15/2039 (h)		45		46

Series 3997, Class PF, 2.65%, 11/15/2039 (h)		130		130

Series 3621, Class BO, PO, 1/15/2040		173		157

Series 3747, Class PY, 4.00%, 10/15/2040		1,000		1,153

Series 3925, Class FL, 2.65%, 1/15/2041 (h)		538		539

Series 3852, Class QN, IF, 5.50%, 5/15/2041 (h)		250		267

Series 3852, Class TP, IF, 5.50%, 5/15/2041 (h)		864		964

Series 3957, Class B, 4.00%, 11/15/2041		369		397

Series 3966, Class NA, 4.00%, 12/15/2041		611		670

Series 4217, Class KY, 3.00%, 6/15/2043		2,000		2,129


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 4374, Class NC, 3.75%, 2/15/2046 (e)		1,062			1,074

FHLMC, STRIPS

Series 243, Class 16, IO, 4.50%, 11/15/2020		4			—	(i)

Series 243, Class 17, IO, 4.50%, 12/15/2020		9			—	(i)

Series 134, Class B, IO, 9.00%, 4/1/2022		—	(i)		—	(i)

Series 233, Class 11, IO, 5.00%, 9/15/2035		412			68

Series 233, Class 13, IO, 5.00%, 9/15/2035		585			97

Series 299, Class 300, 3.00%, 1/15/2043		4,511			4,756

Series 310, PO, 9/15/2043		1,503			1,365

Series 323, Class 300, 3.00%, 1/15/2044		2,764			2,878

FHLMC, Structured Pass-Through Certificates, Whole Loan

Series T-41, Class 3A, 5.41%, 7/25/2032 (h)		309			344

Series T-76, Class 2A, 2.37%, 10/25/2037 (h)		924			1,014

Series T-51, Class 2A, 7.50%, 8/25/2042 (h)		200			256

Series T-54, Class 2A, 6.50%, 2/25/2043		1,134			1,375

Series T-54, Class 3A, 7.00%, 2/25/2043		319			384

Series T-58, Class APO, PO, 9/25/2043		109			93

Series T-59, Class 1AP, PO, 10/25/2043		258			184

First Horizon Alternative Mortgage Securities Trust

Series 2004-AA4, Class A1, 4.31%, 10/25/2034 (h)		256			255

Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035		640			528

Series 2007-FA4, Class 1A2, IF, IO, 3.50%, 8/25/2037 ‡ (h)		1,282			274

First Horizon Mortgage Pass-Through Trust Series 2005-AR1, Class 2A2, 4.81%, 4/25/2035 (h)		110			112

FNMA

6/1/2029 (k)		5,490			5,521

8/1/2031 (k)		4,550			4,607

FNMA Trust, Whole Loan

Series 2004-W1, Class 2A2, 7.00%, 12/25/2033		108			124

Series 2004-W2, Class 2A2, 7.00%, 2/25/2044		253			291

Series 2004-W15, Class 2AF, 2.40%, 8/25/2044 (h)		336			334

Series 2005-W3, Class 2AF, 2.37%, 3/25/2045 (h)		925			922


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Series 2006-W2, Class 1AF1, 2.37%, 2/25/2046 (h)		317			317

FNMA, Grantor Trust, Whole Loan

Series 2002-T19, Class A2, 7.00%, 7/25/2042		573			674

Series 2004-T3, Class 1A3, 7.00%, 2/25/2044		340			399

FNMA, REMIC

Series 1989-70, Class G, 8.00%, 10/25/2019		—	(i)		—	(i)

Series 1989-83, Class H, 8.50%, 11/25/2019		—	(i)		—	(i)

Series 1989-89, Class H, 9.00%, 11/25/2019		—	(i)		—	(i)

Series 1989-78, Class H, 9.40%, 11/25/2019		—	(i)		—	(i)

Series 1990-1, Class D, 8.80%, 1/25/2020		—	(i)		—	(i)

Series 1990-60, Class K, 5.50%, 6/25/2020		—	(i)		—	(i)

Series 1990-63, Class H, 9.50%, 6/25/2020		—	(i)		—	(i)

Series 1990-93, Class G, 5.50%, 8/25/2020		—	(i)		—	(i)

Series 1990-102, Class J, 6.50%, 8/25/2020		1			1

Series 1990-94, Class H, HB, 505.00%, 8/25/2020		—	(i)		—	(i)

Series 1990-95, Class J, HB, 1,118.04%, 8/25/2020		—	(i)		—	(i)

Series 1990-120, Class H, 9.00%, 10/25/2020		1			1

Series 1990-134, Class SC, IF, 18.38%, 11/25/2020 (h)		—	(i)		—	(i)

Series 1990-140, Class K, HB, 652.15%, 12/25/2020		—	(i)		—	(i)

Series 1991-7, Class K, HB, 908.50%, 2/25/2021		—	(i)		—	(i)

Series 1991-24, Class Z, 5.00%, 3/25/2021		1			1

Series 2001-4, Class PC, 7.00%, 3/25/2021		11			11

Series G-17, Class S, HB, 848.09%, 6/25/2021 (h)		—	(i)		—	(i)

Series 2001-48, Class Z, 6.50%, 9/25/2021		131			134

Series G-28, Class S, IF, 12.95%, 9/25/2021 (h)		—	(i)		—	(i)

Series G-35, Class M, 8.75%, 10/25/2021		1			1

Series G-51, Class SA, HB, IF, 24.55%, 12/25/2021 (h)		—	(i)		—	(i)

Series 2002-1, Class HC, 6.50%, 2/25/2022		14			15


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2007-15, Class NO, PO, 3/25/2022		31			31

Series 1992-101, Class J, 7.50%, 6/25/2022		—	(i)		—	(i)

Series G92-42, Class Z, 7.00%, 7/25/2022		2			2

Series G92-35, Class E, 7.50%, 7/25/2022		19			20

Series G92-44, Class ZQ, 8.00%, 7/25/2022		2			2

Series G92-35, Class G, HB, 1,184.78%, 7/25/2022		—	(i)		—	(i)

Series 1992-136, Class PK, 6.00%, 8/25/2022		8			8

Series 1996-59, Class J, 6.50%, 8/25/2022		5			5

Series G92-52, Class FD, 2.29%, 9/25/2022 (h)		3			3

Series 1992-143, Class MA, 5.50%, 9/25/2022		4			4

Series G92-54, Class ZQ, 7.50%, 9/25/2022		13			13

Series 1992-163, Class M, 7.75%, 9/25/2022		14			15

Series G92-62, Class B, PO, 10/25/2022		5			5

Series G92-59, Class F, 1.84%, 10/25/2022 (h)		3			3

Series G92-61, Class Z, 7.00%, 10/25/2022		7			7

Series 1992-188, Class PZ, 7.50%, 10/25/2022		32			34

Series G93-1, Class KA, 7.90%, 1/25/2023		27			29

Series G93-5, Class Z, 6.50%, 2/25/2023		8			8

Series 1997-61, Class ZC, 7.00%, 2/25/2023		125			132

Series 1993-27, Class SA, IF, 15.50%, 2/25/2023 (h)		5			6

Series G93-14, Class J, 6.50%, 3/25/2023		10			10

Series 1993-25, Class J, 7.50%, 3/25/2023		21			23

Series 1993-21, Class KA, 7.70%, 3/25/2023		13			14

Series 1998-4, Class C, PO, 4/25/2023		4			4

Series 2008-24, Class DY, 5.00%, 4/25/2023		1			1

Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (h)		20			22

Series 1998-43, Class SA, IF, IO, 17.77%, 4/25/2023 (h)		26			6

Series 1993-62, Class SA, IF, 17.87%, 4/25/2023 (h)		7			9

Series 2003-39, Class LW, 5.50%, 5/25/2023		252			261

Series 2003-41, Class PE, 5.50%, 5/25/2023		113			118


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2008-47, Class SI, IF, IO, 4.35%, 6/25/2023 (h)		73		2

Series G93-27, Class FD, 3.03%, 8/25/2023 (h)		16		17

Series 1999-38, Class SK, IF, IO, 5.90%, 8/25/2023 (h)		5		—	(i)

Series 2002-83, Class CS, 6.88%, 8/25/2023		148		156

Series 1996-14, Class SE, IF, IO, 8.68%, 8/25/2023 (h)		76		10

Series 1993-205, Class H, PO, 9/25/2023		12		11

Series G93-37, Class H, PO, 9/25/2023		4		4

Series 2008-76, Class GF, 2.80%, 9/25/2023 (h)		1		1

Series 1993-165, Class SD, IF, 12.44%, 9/25/2023 (h)		4		5

Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (h)		10		10

Series 1993-179, Class SC, IF, 10.50%, 10/25/2023 (h)		4		5

Series 1999-52, Class NS, IF, 17.37%, 10/25/2023 (h)		12		15

Series 1993-179, Class SB, HB, IF, 24.76%, 10/25/2023 (h)		6		8

Series 1995-19, Class Z, 6.50%, 11/25/2023		83		92

Series 1993-230, Class FA, 2.87%, 12/25/2023 (h)		7		7

Series 1993-247, Class FE, 3.15%, 12/25/2023 (h)		17		17

Series 1993-225, Class UB, 6.50%, 12/25/2023		21		23

Series 1993-247, Class SU, IF, 11.81%, 12/25/2023 (h)		8		9

Series 2002-1, Class UD, IF, 16.99%, 12/25/2023 (h)		17		21

Series 2009-9, IO, 5.00%, 2/25/2024		27		—	(i)

Series 2009-18, IO, 5.00%, 3/25/2024		9		—	(i)

Series 1994-37, Class L, 6.50%, 3/25/2024		65		69

Series 1994-40, Class Z, 6.50%, 3/25/2024		391		419

Series 2004-53, Class NC, 5.50%, 7/25/2024		72		76

Series 1995-2, Class Z, 8.50%, 1/25/2025		19		22

Series G95-1, Class C, 8.80%, 1/25/2025		11		12

Series 1997-20, IO, 1.84%, 3/25/2027 (h)		42		1

Series 1997-27, Class J, 7.50%, 4/18/2027		7		8

Series 1997-29, Class J, 7.50%, 4/20/2027		17		19


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 1997-39, Class PD, 7.50%, 5/20/2027		123		141

Series 1997-42, Class ZC, 6.50%, 7/18/2027		9		10

Series 1997-81, Class PI, IO, 7.00%, 12/18/2027		31		3

Series 1998-36, Class ZB, 6.00%, 7/18/2028		41		45

Series 1998-66, Class SB, IF, IO, 6.00%, 12/25/2028 (h)		40		2

Series 1999-18, Class Z, 5.50%, 4/18/2029		93		100

Series 1999-17, Class C, 6.35%, 4/25/2029		34		37

Series 1999-62, Class PB, 7.50%, 12/18/2029		51		59

Series 2000-2, Class ZE, 7.50%, 2/25/2030		166		192

Series 2013-103, Class VG, 3.00%, 3/25/2030		3,500		3,588

Series 2000-20, Class SA, IF, IO, 6.95%, 7/25/2030 (h)		89		12

Series 2000-52, IO, 8.50%, 1/25/2031		14		3

Series 2001-7, Class PF, 7.00%, 3/25/2031		33		38

Series 2011-31, Class DB, 3.50%, 4/25/2031		2,372		2,506

Series 2001-33, Class ID, IO, 6.00%, 7/25/2031		115		19

Series 2001-30, Class PM, 7.00%, 7/25/2031		110		129

Series 2001-36, Class DE, 7.00%, 8/25/2031		125		144

Series 2001-49, Class Z, 6.50%, 9/25/2031		29		34

Series 2001-44, Class MY, 7.00%, 9/25/2031		275		322

Series 2001-44, Class PD, 7.00%, 9/25/2031		39		45

Series 2001-44, Class PU, 7.00%, 9/25/2031		63		74

Series 2001-52, Class KB, 6.50%, 10/25/2031		36		40

Series 2003-52, Class SX, IF, 16.51%, 10/25/2031 (h)		65		100

Series 2001-61, Class Z, 7.00%, 11/25/2031		371		436

Series 2001-72, Class SX, IF, 12.47%, 12/25/2031 (h)		10		14

Series 2002-1, Class SA, IF, 18.22%, 2/25/2032 (h)		17		24

Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (h)		350		14


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (h)		5		6

Series 2002-21, Class LO, PO, 4/25/2032		11		11

Series 2002-21, Class PE, 6.50%, 4/25/2032		104		119

Series 2002-28, Class PK, 6.50%, 5/25/2032		274		315

Series 2012-66, Class CB, 3.00%, 6/25/2032		3,000		3,140

Series 2002-37, Class Z, 6.50%, 6/25/2032		69		77

Series 2006-130, Class GI, IO, 6.50%, 7/25/2032		293		51

Series 2002-48, Class GH, 6.50%, 8/25/2032		390		444

Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (h)		45		53

Series 2004-59, Class BG, PO, 12/25/2032		139		128

Series 2002-77, Class S, IF, 10.55%, 12/25/2032 (h)		61		75

Series 2003-22, Class UD, 4.00%, 4/25/2033		1,240		1,339

Series 2003-35, Class UC, 3.75%, 5/25/2033		13		14

Series 2003-42, Class GB, 4.00%, 5/25/2033		82		89

Series 2003-34, Class AX, 6.00%, 5/25/2033		229		263

Series 2003-34, Class ED, 6.00%, 5/25/2033		1,044		1,196

Series 2003-39, IO, 6.00%, 5/25/2033 (h)		48		9

Series 2003-33, Class IA, IO, 6.50%, 5/25/2033		388		83

Series 2007-97, Class KI, IO, 7.00%, 5/25/2033		681		80

Series 2004-4, Class QI, IF, IO, 4.95%, 6/25/2033 (h)		376		17

Series 2003-47, Class PE, 5.75%, 6/25/2033		180		202

Series 2004-4, Class QM, IF, 9.91%, 6/25/2033 (h)		36		39

Series 2003-64, Class SX, IF, 8.18%, 7/25/2033 (h)		52		61

Series 2004-36, Class SN, IF, 9.91%, 7/25/2033 (h)		26		26

Series 2003-132, Class OA, PO, 8/25/2033		30		28

Series 2003-71, Class DS, IF, 4.49%, 8/25/2033 (h)		368		407

Series 2003-72, Class IE, IO, 5.50%, 8/25/2033		380		68


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2003-74, Class SH, IF, 6.31%, 8/25/2033 (h)		61		70

Series 2003-91, Class SD, IF, 8.92%, 9/25/2033 (h)		81		97

Series 2013-101, Class AE, 3.00%, 10/25/2033		3,349		3,526

Series 2013-101, Class E, 3.00%, 10/25/2033		3,000		3,140

Series 2013-108, Class GU, 3.00%, 10/25/2033		4,000		4,208

Series 2003-116, Class SB, IF, IO, 5.45%, 11/25/2033 (h)		541		97

Series 2006-44, Class P, PO, 12/25/2033		905		832

Series 2003-130, Class SX, IF, 8.30%, 1/25/2034 (h)		16		18

Series 2004-25, Class SA, IF, 13.63%, 4/25/2034 (h)		278		384

Series 2004-46, Class SK, IF, 10.60%, 5/25/2034 (h)		515		661

Series 2004-36, Class SA, IF, 13.63%, 5/25/2034 (h)		536		784

Series 2004-46, Class QB, IF, 15.42%, 5/25/2034 (h)		206		292

Series 2004-51, Class SY, IF, 9.95%, 7/25/2034 (h)		96		116

Series 2004-79, Class SP, IF, 13.90%, 11/25/2034 (h)		64		68

Series 2005-74, Class CS, IF, 14.12%, 5/25/2035 (h)		194		243

Series 2005-68, Class UC, 5.00%, 6/25/2035		58		58

Series 2005-68, Class BC, 5.25%, 6/25/2035		43		43

Series 2005-56, Class S, IF, IO, 4.56%, 7/25/2035 (h)		572		117

Series 2005-66, Class SG, IF, 12.01%, 7/25/2035 (h)		146		203

Series 2005-68, Class PG, 5.50%, 8/25/2035		511		569

Series 2005-84, Class XM, 5.75%, 10/25/2035		1,503		1,676

Series 2005-110, Class GL, 5.50%, 12/25/2035		3,713		4,256

Series 2006-46, Class UC, 5.50%, 12/25/2035		502		539

Series 2005-109, Class PC, 6.00%, 12/25/2035		543		598

Series 2006-15, Class OT, PO, 1/25/2036		11		11


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2006-39, Class WC, 5.50%, 1/25/2036		484		521

Series 2006-16, Class OA, PO, 3/25/2036		188		171

Series 2006-22, Class AO, PO, 4/25/2036		289		263

Series 2006-23, Class KO, PO, 4/25/2036		57		53

Series 2006-44, Class GO, PO, 6/25/2036		385		353

Series 2006-53, Class US, IF, IO, 4.43%, 6/25/2036 (h)		589		96

Series 2007-101, Class A2, 2.60%, 6/27/2036 (h)		363		357

Series 2006-56, PO, 7/25/2036		306		279

Series 2006-58, PO, 7/25/2036		170		156

Series 2006-58, Class AP, PO, 7/25/2036		345		312

Series 2006-65, Class QO, PO, 7/25/2036		264		244

Series 2006-56, Class FC, 2.44%, 7/25/2036 (h)		555		554

Series 2006-58, Class FL, 2.61%, 7/25/2036 (h)		42		43

Series 2006-60, Class DZ, 6.50%, 7/25/2036		4,696		5,778

Series 2006-72, Class TO, PO, 8/25/2036		53		47

Series 2006-79, Class DO, PO, 8/25/2036		213		201

Series 2007-7, Class SG, IF, IO, 4.35%, 8/25/2036 (h)		785		200

Series 2006-77, Class PC, 6.50%, 8/25/2036		798		903

Series 2006-90, Class AO, PO, 9/25/2036		160		148

Series 2008-42, Class AO, PO, 9/25/2036		81		73

Series 2009-19, Class IP, IO, 5.50%, 10/25/2036		1,057		226

Series 2006-109, PO, 11/25/2036		75		67

Series 2006-110, PO, 11/25/2036		486		445

Series 2006-111, Class EO, PO, 11/25/2036		53		48

Series 2006-124, Class HB, 4.61%, 11/25/2036 (h)		710		738

Series 2006-119, PO, 12/25/2036		52		48

Series 2006-118, Class A2, 2.33%, 12/25/2036 (h)		290		287

Series 2009-70, Class CO, PO, 1/25/2037		401		354

Series 2006-128, Class BP, 5.50%, 1/25/2037		197		212

Series 2007-77, Class FG, 2.65%, 3/25/2037 (h)		73		73

Series 2007-16, Class FC, 2.90%, 3/25/2037 (h)		101		105

Series 2007-14, Class ES, IF, IO, 4.29%, 3/25/2037 (h)		704		119


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2007-48, PO, 5/25/2037		119		113

Series 2007-54, Class FA, 2.55%, 6/25/2037 (h)		267		269

Series 2007-60, Class AX, IF, IO, 5.00%, 7/25/2037 (h)		1,994		495

Series 2012-14, Class FB, 2.60%, 8/25/2037 (h)		195		195

Series 2007-81, Class GE, 6.00%, 8/25/2037		242		268

Series 2007-88, Class VI, IF, IO, 4.39%, 9/25/2037 (h)		1,370		283

Series 2007-91, Class ES, IF, IO, 4.31%, 10/25/2037 (h)		958		192

Series 2007-106, Class A7, 6.16%, 10/25/2037 (h)		165		184

Series 2007-116, Class HI, IO, 1.46%, 1/25/2038 (h)		607		27

Series 2008-1, Class BI, IF, IO, 3.76%, 2/25/2038 (h)		345		56

Series 2008-16, Class IS, IF, IO, 4.05%, 3/25/2038 (h)		104		11

Series 2008-10, Class XI, IF, IO, 4.08%, 3/25/2038 (h)		300		41

Series 2008-27, Class SN, IF, IO, 4.75%, 4/25/2038 (h)		155		27

Series 2008-44, PO, 5/25/2038		9		8

Series 2008-53, Class CI, IF, IO, 5.05%, 7/25/2038 (h)		251		37

Series 2008-80, Class SA, IF, IO, 3.70%, 9/25/2038 (h)		532		86

Series 2008-81, Class SB, IF, IO, 3.70%, 9/25/2038 (h)		482		41

Series 2010-148, Class MA, 4.00%, 2/25/2039		142		144

Series 2009-6, Class GS, IF, IO, 4.40%, 2/25/2039 (h)		546		97

Series 2009-62, Class HJ, 6.00%, 5/25/2039		179		193

Series 2009-60, Class HT, 6.00%, 8/25/2039		422		486

Series 2009-99, Class SC, IF, IO, 4.03%, 12/25/2039 (h)		126		15

Series 2009-103, Class MB, 4.62%, 12/25/2039 (h)		233		249

Series 2010-49, Class SC, IF, 8.37%, 3/25/2040 (h)		476		575

Series 2010-64, Class DM, 5.00%, 6/25/2040		229		250


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2010-71, Class HJ, 5.50%, 7/25/2040		367		423

Series 2010-147, Class SA, IF, IO, 4.38%, 1/25/2041 (h)		1,342		283

Series 2011-30, Class LS, IO, 1.85%, 4/25/2041 (h)		671		38

Series 2011-75, Class FA, 2.70%, 8/25/2041 (h)		232		234

Series 2011-118, Class MT, 7.00%, 11/25/2041		493		589

Series 2011-130, Class CA, 6.00%, 12/25/2041		908		1,052

Series 2013-81, Class TA, 3.00%, 2/25/2043		2,000		2,061

Series 2013-92, PO, 9/25/2043		1,336		1,189

Series 2013-90, Class PM, 3.50%, 9/25/2043		1,694		1,893

Series 2013-101, Class DO, PO, 10/25/2043		2,082		1,856

Series 2013-128, PO, 12/25/2043		2,585		2,327

Series 2011-2, Class WA, 5.86%, 2/25/2051 (h)		307		341

FNMA, REMIC Trust Series 2007-42, Class AO, PO, 5/25/2037		44		40

FNMA, REMIC Trust, Whole Loan

Series 2007-W7, Class 1A4, HB, IF, 26.31%, 7/25/2037 (h)		14		24

Series 2003-W4, Class 2A, 5.80%, 10/25/2042 (h)		53		60

Series 2003-W1, Class 1A1, 5.32%, 12/25/2042 (h)		473		521

Series 2003-W1, Class 2A, 5.83%, 12/25/2042 (h)		198		221

Series 2009-W1, Class A, 6.00%, 12/25/2049		694		802

FNMA, STRIPS

Series 368, Class 3, IO, 4.50%, 11/25/2020		1		—	(i)

Series 218, Class 2, IO, 7.50%, 4/25/2023		3		—	(i)

Series 265, Class 2, 9.00%, 3/25/2024		3		3

Series 329, Class 1, PO, 1/25/2033		47		44

Series 345, Class 6, IO, 5.00%, 12/25/2033 (h)		69		9

Series 351, Class 7, IO, 5.00%, 4/25/2034 (h)		226		27

Series 355, Class 11, IO, 6.00%, 7/25/2034		193		37

Series 365, Class 8, IO, 5.50%, 5/25/2036		297		52

Series 374, Class 5, IO, 5.50%, 8/25/2036		154		23

Series 393, Class 6, IO, 5.50%, 4/25/2037		62		9


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 383, Class 32, IO, 6.00%, 1/25/2038		72		15

Series 383, Class 33, IO, 6.00%, 1/25/2038		189		31

GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.92%, 6/19/2035 (h)		809		807

GNMA

Series 1994-7, Class PQ, 6.50%, 10/16/2024		372		371

Series 1999-4, Class ZB, 6.00%, 2/20/2029		337		337

Series 2000-31, Class Z, 9.00%, 10/20/2030		115		114

Series 2000-36, Class IK, IO, 9.00%, 11/16/2030		8		—	(i)

Series 2000-35, Class ZA, 9.00%, 11/20/2030		77		92

Series 2001-35, Class SA, IF, IO, 6.05%, 8/16/2031 (h)		95		1

Series 2002-41, Class SV, IF, 9.00%, 6/16/2032 (h)		10		10

Series 2002-45, Class QE, 6.50%, 6/20/2032		803		802

Series 2002-52, Class GH, 6.50%, 7/20/2032		444		444

Series 2002-75, Class PB, 6.00%, 11/20/2032		906		959

Series 2003-58, Class BE, 6.50%, 1/20/2033		655		738

Series 2003-11, Class SK, IF, IO, 5.50%, 2/16/2033 (h)		255		14

Series 2003-12, Class SP, IF, IO, 5.53%, 2/20/2033 (h)		146		24

Series 2003-24, PO, 3/16/2033		28		26

Series 2003-40, Class TJ, 6.50%, 3/20/2033		775		870

Series 2003-46, Class TC, 6.50%, 3/20/2033		366		404

Series 2003-46, Class MG, 6.50%, 5/20/2033		482		543

Series 2003-52, Class AP, PO, 6/16/2033		136		124

Series 2003-90, PO, 10/20/2033		39		37

Series 2003-112, Class SA, IF, IO, 4.35%, 12/16/2033 (h)		504		66

Series 2004-28, Class S, IF, 13.62%, 4/16/2034 (h)		221		316

Series 2004-73, Class AE, IF, 10.32%, 8/17/2034 (h)		43		47

Series 2004-90, Class SI, IF, IO, 3.93%, 10/20/2034 (h)		694		92

Series 2005-68, Class DP, IF, 11.14%, 6/17/2035 (h)		85		103


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2010-14, Class CO, PO, 8/20/2035		250		229

Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (h)		1,140		226

Series 2005-68, Class KI, IF, IO, 4.13%, 9/20/2035 (h)		1,590		313

Series 2005-91, Class PI, IO, 6.00%, 12/20/2035		226		35

Series 2006-16, Class OP, PO, 3/20/2036		104		96

Series 2006-38, Class SW, IF, IO, 4.33%, 6/20/2036 (h)		194		9

Series 2006-38, Class ZK, 6.50%, 8/20/2036		1,204		1,358

Series 2006-59, Class SD, IF, IO, 4.53%, 10/20/2036 (h)		359		62

Series 2006-65, Class SA, IF, IO, 4.63%, 11/20/2036 (h)		534		66

Series 2011-22, Class WA, 5.89%, 2/20/2037 (h)		496		571

Series 2007-57, PO, 3/20/2037		204		193

Series 2007-17, Class JO, PO, 4/16/2037		93		82

Series 2007-17, Class JI, IF, IO, 4.61%, 4/16/2037 (h)		872		157

Series 2007-19, Class SD, IF, IO, 4.03%, 4/20/2037 (h)		499		50

Series 2007-28, Class BO, PO, 5/20/2037		107		98

Series 2007-26, Class SC, IF, IO, 4.03%, 5/20/2037 (h)		441		49

Series 2007-27, Class SA, IF, IO, 4.03%, 5/20/2037 (h)		424		46

Series 2007-36, Class SE, IF, IO, 4.27%, 6/16/2037 (h)		259		31

Series 2007-47, Class PH, 6.00%, 7/16/2037		2,500		2,919

Series 2007-40, Class SB, IF, IO, 4.58%, 7/20/2037 (h)		878		144

Series 2007-42, Class SB, IF, IO, 4.58%, 7/20/2037 (h)		516		80

Series 2007-50, Class AI, IF, IO, 4.60%, 8/20/2037 (h)		329		70

Series 2007-53, Class SW, IF, 13.69%, 9/20/2037 (h)		47		60

Series 2008-32, Class PI, IO, 5.50%, 10/16/2037		158		12

Series 2009-79, Class OK, PO, 11/16/2037		163		151

Series 2007-73, Class MI, IF, IO, 3.83%, 11/20/2037 (h)		288		31

Series 2007-76, Class SA, IF, IO, 4.36%, 11/20/2037 (h)		560		66


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2007-72, Class US, IF, IO, 4.38%, 11/20/2037 (h)		276		32

Series 2007-79, Class SY, IF, IO, 4.38%, 12/20/2037 (h)		266		33

Series 2008-2, Class NS, IF, IO, 4.34%, 1/16/2038 (h)		528		79

Series 2008-2, Class MS, IF, IO, 4.96%, 1/16/2038 (h)		158		26

Series 2008-10, Class S, IF, IO, 3.66%, 2/20/2038 (h)		317		33

Series 2008-36, Class SH, IF, IO, 4.13%, 4/20/2038 (h)		442		81

Series 2008-40, Class SA, IF, IO, 4.20%, 5/16/2038 (h)		2,701		428

Series 2008-55, Class SA, IF, IO, 4.03%, 6/20/2038 (h)		241		38

Series 2008-71, Class SC, IF, IO, 3.83%, 8/20/2038 (h)		118		14

Series 2009-25, Class SE, IF, IO, 5.43%, 9/20/2038 (h)		208		28

Series 2008-93, Class AS, IF, IO, 3.53%, 12/20/2038 (h)		295		32

Series 2009-65, Class IQ, IO, 6.00%, 12/20/2038		153		10

Series 2009-6, Class SA, IF, IO, 3.90%, 2/16/2039 (h)		334		36

Series 2009-12, Class IE, IO, 5.50%, 3/20/2039		706		113

Series 2009-14, Class KI, IO, 6.50%, 3/20/2039		287		49

Series 2009-14, Class NI, IO, 6.50%, 3/20/2039		282		65

Series 2009-22, Class SA, IF, IO, 4.10%, 4/20/2039 (h)		671		68

Series 2009-33, Class CI, IO, 5.50%, 5/20/2039		154		21

Series 2009-33, Class TI, IO, 6.00%, 5/20/2039		162		27

Series 2009-43, Class SA, IF, IO, 3.78%, 6/20/2039 (h)		288		34

Series 2009-72, Class SM, IF, IO, 4.05%, 8/16/2039 (h)		662		124

Series 2010-31, Class NO, PO, 3/20/2040		1,299		1,203

Series 2013-75, Class WA, 5.16%, 6/20/2040 (h)		1,351		1,510

Series 2010-130, Class CP, 7.00%, 10/16/2040		190		225

Series 2010-157, Class OP, PO, 12/20/2040		1,404		1,287


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2011-75, Class SM, IF, IO, 4.43%, 5/20/2041 (h)		913		137

Series 2014-188, Class W, 4.61%, 10/20/2041 (h)		663		730

Series 2012-141, Class WC, 3.69%, 1/20/2042 (h)		402		436

Series 2013-54, Class WA, 4.77%, 11/20/2042 (h)		2,021		2,249

Series 2013-91, Class WA, 4.49%, 4/20/2043 (h)		859		924

Series 2013-116, Class JY, 4.00%, 8/16/2043		1,300		1,514

Series 2012-H24, Class FG, 2.81%, 4/20/2060 (h)		83		83

Series 2013-H03, Class FA, 2.68%, 8/20/2060 (h)		9		9

Series 2012-H22, Class FD, 2.85%, 1/20/2061 (h)		320		320

Series 2012-H21, Class CF, 3.08%, 5/20/2061 (h)		57		57

Series 2013-H05, Class FB, 2.78%, 2/20/2062 (h)		225		225

Series 2012-H15, Class FA, 2.83%, 5/20/2062 (h)		13		13

Series 2012-H26, Class MA, 2.93%, 7/20/2062 (h)		39		39

Series 2012-H28, Class FA, 2.96%, 9/20/2062 (h)		209		210

Series 2012-H29, Class FA, 2.89%, 10/20/2062 (h)		1,177		1,178

Series 2012-H31, Class FD, 2.72%, 12/20/2062 (h)		1,222		1,218

Series 2013-H01, Class FA, 1.65%, 1/20/2063		1,259		1,253

Series 2013-H04, Class BA, 1.65%, 2/20/2063		604		601

Series 2013-H08, Class FC, 2.83%, 2/20/2063 (h)		1,069		1,068

Series 2013-H07, Class HA, 2.79%, 3/20/2063 (h)		1,222		1,220

Series 2013-H09, Class HA, 1.65%, 4/20/2063		921		914

Series 2013-H18, Class JA, 2.98%, 8/20/2063 (h)		2,318		2,325

Series 2014-H01, Class FD, 3.03%, 1/20/2064 (h)		1,326		1,332

Series 2014-H09, Class TA, 3.03%, 4/20/2064 (h)		1,346		1,350


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2015-H15, Class FD, 2.82%, 6/20/2065 (h)		1,660		1,657

Series 2015-H15, Class FJ, 2.82%, 6/20/2065 (h)		3,583		3,578

Series 2015-H16, Class FG, 2.82%, 7/20/2065 (h)		2,493		2,489

Series 2015-H23, Class FB, 2.90%, 9/20/2065 (h)		2,473		2,477

Series 2015-H32, Class FH, 3.04%, 12/20/2065 (h)		1,832		1,845

Series 2017-H08, Class XI, IO, 2.22%, 3/20/2067 (h)		8,556		1,020

GSMPS Mortgage Loan Trust

Series 2001-2, Class A, 7.50%, 6/19/2032 (b) (h)		503		499

Series 2005-RP3, Class 1AS, IO, 2.23%, 9/25/2035 ‡ (b) (h)		590		82

Series 2005-RP3, Class 1AF, 2.50%, 9/25/2035 (b) (h)		780		688

Series 2006-RP2, Class 1AS2, IF, IO, 3.82%, 4/25/2036 ‡ (b) (h)		2,483		421

GSR Mortgage Loan Trust

Series 2004-6F, Class 3A4, 6.50%, 5/25/2034		206		223

Series 2004-8F, Class 2A3, 6.00%, 9/25/2034		111		113

Series 2004-13F, Class 3A3, 6.00%, 11/25/2034		343		365

Series 2005-4F, Class AP, PO, 5/25/2035 ‡		7		6

Series 2005-7F, Class 3A9, 6.00%, 9/25/2035		645		684

Series 2006-1F, Class 2A4, 6.00%, 2/25/2036		1,255		1,048

Headlands Residential LLC Series 2019-RPL1, 3.97%, 6/25/2024 (b) (e)		4,600		4,642

Impac CMB Trust

Series 2004-7, Class 1A1, 2.89%, 11/25/2034 (h)		976		986

Series 2005-4, Class 2A1, 2.75%, 5/25/2035 (h)		119		119

Impac Secured Assets Trust

Series 2006-1, Class 2A1, 2.50%, 5/25/2036 (h)		234		236

Series 2006-2, Class 2A1, 2.50%, 8/25/2036 (h)		122		122

JP Morgan Mortgage Trust

Series 2006-A2, Class 5A3, 4.62%, 11/25/2033 (h)		433		447


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Series 2006-A3, Class 6A1, 4.17%, 8/25/2034 (h)		84			84

Series 2006-A2, Class 4A1, 4.70%, 8/25/2034 (h)		365			380

Lehman Mortgage Trust

Series 2006-2, Class 1A1, 5.73%, 4/25/2036 (h)		268			237

Series 2008-2, Class 1A6, 6.00%, 3/25/2038		626			422

MASTR Adjustable Rate Mortgages Trust

Series 2004-13, Class 2A1, 4.85%, 4/21/2034 (h)		180			186

Series 2004-4, Class 2A1, 4.26%, 5/25/2034 (h)		36			34

Series 2004-13, Class 3A7, 4.75%, 11/21/2034 (h)		432			448

Series 2004-15, Class 3A1, 4.86%, 12/25/2034 (h)		224			220

MASTR Alternative Loan Trust

Series 2004-10, Class 1A1, 4.50%, 9/25/2019		5			5

Series 2004-8, Class 6A1, 5.50%, 9/25/2019		3			3

Series 2004-4, Class 10A1, 5.00%, 5/25/2024		311			322

Series 2003-3, Class 1A1, 6.50%, 5/25/2033		114			118

Series 2003-9, Class 8A1, 6.00%, 1/25/2034		340			363

Series 2004-3, Class 2A1, 6.25%, 4/25/2034		225			243

Series 2004-6, Class 30PO, PO, 7/25/2034 ‡		184			156

Series 2004-6, Class 7A1, 6.00%, 7/25/2034		305			318

Series 2004-7, Class 30PO, PO, 8/25/2034 ‡		113			99

MASTR Asset Securitization Trust

Series 2004-6, Class 15PO, PO, 7/25/2019 ‡		—	(i)		—	(i)

Series 2003-12, Class 30PO, PO, 12/25/2033 ‡		23			22

Series 2004-1, Class 30PO, PO, 2/25/2034 ‡		14			12

MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 2.50%, 5/25/2035 (b) (h)		1,585			1,122


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

MASTR Resecuritization Trust

Series 2005-PO, Class 3PO, PO, 5/28/2035 ‡ (b)		130			109

Merrill Lynch Mortgage Investors Trust

Series 2003-E, Class A1, 2.77%, 10/25/2028 (h)		97			97

Series 2003-F, Class A1, 2.79%, 10/25/2028 (h)		960			959

Series 2004-A, Class A1, 2.61%, 4/25/2029 (h)		163			162

Series 2004-1, Class 2A1, 4.23%, 12/25/2034 (h)		234			237

ML Trust XLVII Series 47, Class Z, 8.99%, 10/20/2020 ‡		—	(i)		—	(i)

NACC Reperforming Loan REMIC Trust

Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (h)		271			275

Nomura Asset Acceptance Corp. Alternative Loan Trust

Series 2003-A1, Class A5, 7.00%, 4/25/2033		34			37

Series 2003-A1, Class A1, 5.50%, 5/25/2033		40			42

Series 2003-A1, Class A2, 6.00%, 5/25/2033		85			89

Provident Funding Mortgage Loan Trust Series 2005-1, Class 2A1, 4.85%, 5/25/2035 (h)		16			16

RALI Trust

Series 2002-QS16, Class A3, IF, 12.14%, 10/25/2017 (h)		—	(i)		1

Series 2003-QS9, Class A3, IF, IO, 5.40%, 5/25/2018 ‡ (h)		4			—	(i)

Series 2003-QS12, Class A5, IO, 5.00%, 6/25/2018 ‡		1			—	(i)

Series 2003-QS12, Class A2A, IF, IO, 5.45%, 6/25/2018 ‡ (h)		2			—	(i)

Series 2003-QS14, Class A1, 5.00%, 7/25/2018		7			7

Series 2004-QA6, Class NB2, 4.33%, 12/26/2034 (h)		779			691

RBSSP Resecuritization Trust Series 2009-12, Class 1A1, 5.42%, 11/25/2033 (b) (h)		234			242

Residential Asset Securitization Trust

Series 2003-A14, Class A1, 4.75%, 2/25/2019		1			1

Series 2005-A2, Class A4, IF, IO, 2.90%, 3/25/2035 ‡ (h)		1,362			120


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2006-A4, Class 2A5, 6.00%, 5/25/2036		351		344

RFMSI Trust

Series 2004-S9, Class 2A1, 4.75%, 12/25/2019		1		1

Series 2005-SA4, Class 1A1, 4.01%, 9/25/2035 (h)		188		173

Rmip Frn 8/25/2021 ‡		3,525		3,525

SART

4.75%, 7/15/2024		4,377		4,452

4.76%, 6/15/2025		4,397		4,475

Seasoned Credit Risk Transfer Trust

Series 2019-1, Class MT, 3.50%, 7/25/2058		4,499		4,733

Series 2019-3, Class MB, 3.50%, 10/25/2058		1,725		1,896

Structured Asset Mortgage Investments II Trust Series 2004-AR5, Class 1A1, 2.84%, 10/19/2034 (h)		317		317

Structured Asset Securities Corp. Trust

Series 2005-10, Class 5A9, 5.25%, 12/25/2034		35		35

Thornburg Mortgage Securities Trust

Series 2003-4, Class A1, 2.79%, 9/25/2043 (h)		162		164

Series 2004-4, Class 3A, 4.16%, 12/25/2044 (h)		428		437

Vendee Mortgage Trust

Series 1994-1, Class 1, 5.30%, 2/15/2024 (h)		169		178

Series 1994-1, Class 2ZB, 6.50%, 2/15/2024		208		222

Series 1996-1, Class 1Z, 6.75%, 2/15/2026		274		306

Series 1996-2, Class 1Z, 6.75%, 6/15/2026		215		240

Series 1997-1, Class 2Z, 7.50%, 2/15/2027		408		459

Series 1998-1, Class 2E, 7.00%, 3/15/2028		479		546

Series 1999-1, Class 2Z, 6.50%, 1/15/2029		937		1,066

Series 2003-2, Class Z, 5.00%, 5/15/2033		4,173		4,622

vMobo, Inc. 7.50%, 6/15/2024		3,100		3,100

WaMu Mortgage Pass-Through Certificates Series 2004-RS2, Class A4, 5.00%, 11/25/2033		801		833

WaMu Mortgage Pass-Through Certificates Trust

Series 2003-AR8, Class A, 4.40%, 8/25/2033 (h)		58		59

Series 2003-AR9, Class 1A6, 4.43%, 9/25/2033 (h)		849		878


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2003-AR9, Class 2A, 4.46%, 9/25/2033 (h)		110		113

Series 2003-S9, Class P, PO, 10/25/2033 ‡		21		19

Series 2003-S9, Class A8, 5.25%, 10/25/2033		444		461

Series 2004-AR3, Class A1, 4.50%, 6/25/2034 (h)		72		74

Series 2004-AR3, Class A2, 4.50%, 6/25/2034 (h)		60		62

Series 2006-AR10, Class 2P, 3.94%, 9/25/2036 ‡ (h)		75		62

Series 2006-AR12, Class 2P, 3.48%, 10/25/2036 ‡ (h)		86		85

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust

Series 2005-2, Class 2A3, IF, IO, 2.85%, 4/25/2035 ‡ (h)		1,111		163

Series 2005-2, Class 1A4, IF, IO, 2.90%, 4/25/2035 ‡ (h)		3,811		485

Series 2005-3, Class CX, IO, 5.50%, 5/25/2035 ‡		1,052		208

Series 2005-4, Class CB7, 5.50%, 6/25/2035		1,289		1,271

Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 ‡		1,091		211

Series 2005-6, Class 2A4, 5.50%, 8/25/2035		243		239

Series 2005-6, Class 2A9, 5.50%, 8/25/2035		1,558		1,534

Wells Fargo Mortgage-Backed Securities Trust

Series 2003-K, Class 1A1, 4.70%, 11/25/2033 (h)		69		71

Series 2003-K, Class 1A2, 4.70%, 11/25/2033 (h)		131		135

Series 2005-AR16, Class 2A1, 5.01%, 2/25/2034 (h)		101		104

Series 2004-P, Class 2A1, 4.86%, 9/25/2034 (h)		709		735

Series 2004-V, Class 1A1, 4.95%, 10/25/2034 (h)		144		149

Series 2004-EE, Class 3A1, 4.82%, 12/25/2034 (h)		162		167

Series 2004-EE, Class 2A1, 4.97%, 12/25/2034 (h)		116		120

Series 2005-AR3, Class 1A1, 4.99%, 3/25/2035 (h)		1,143		1,189

Series 2005-AR8, Class 2A1, 5.01%, 6/25/2035 (h)		131		132


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2005-16, Class APO, PO, 12/25/2035 ‡		61		54

Series 2006-2, Class APO, PO, 3/25/2036 ‡		158		138

Series 2006-4, Class 1APO, PO, 4/25/2036 ‡		108		92

Series 2007-7, Class A7, 6.00%, 6/25/2037		292		294

Series 2007-11, Class A14, 6.00%, 8/25/2037		90		91


Total Collateralized Mortgage Obligations (Cost $275,207)				296,101


Asset-Backed Securities — 10.9%

Academic Loan Funding Trust Series 2013-1A, Class A, 2.95%, 12/26/2044 (b) (h)		969		964

Air Canada Pass-Through Trust (Canada)

Series 2013-1, Class A, 4.13%, 5/15/2025 (b)		620		662

Series 2015-2, Class AA, 3.75%, 12/15/2027 (b)		231		248

Series 2017-1, Class AA, 3.30%, 1/15/2030 (b)		466		487

Series 2017-1, Class A, 3.55%, 1/15/2030 (b)		659		687

American Airlines Pass-Through Trust

Series 2011-1, Class A, 5.25%, 1/31/2021		110		114

Series 2013-2, Class A, 4.95%, 1/15/2023		342		360

Series 2016-2, Class A, 3.65%, 6/15/2028		248		261

Series 2016-3, Class AA, 3.00%, 10/15/2028		367		378

Series 2017-1, Class AA, 3.65%, 2/15/2029		495		533

American Credit Acceptance Receivables Trust

Series 2016-4, Class C, 2.91%, 2/13/2023 (b)		216		217

Series 2017-1, Class C, 2.88%, 3/13/2023 (b)		354		354

American Homes 4 Rent

Series 2015-SFR1, Class A, 3.47%, 4/17/2052 ‡ (b)		3,913		4,092

Series 2015-SFR1, Class E, 5.64%, 4/17/2052 ‡ (b)		1,275		1,408

American Homes 4 Rent Trust

Series 2014-SFR2, Class A, 3.79%, 10/17/2036 ‡ (b)		3,672		3,880

Series 2014-SFR2, Class D, 5.15%, 10/17/2036 ‡ (b)		2,000		2,198

Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (b)		850		957


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (b)		2,750		2,904

Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (b)		500		544

Series 2014-SFR3, Class E, 6.42%, 12/17/2036 ‡ (b)		2,380		2,709

B2R Mortgage Trust

Series 2015-1, Class A1, 2.52%, 5/15/2048 ‡ (b)		41		41

Series 2015-2, Class A, 3.34%, 11/15/2048 (b)		1,293		1,295

British Airways Pass-Through Trust (United Kingdom)

Series 2018-1, Class AA, 3.80%, 9/20/2031 (b)		604		644

Series 2018-1, Class A, 4.13%, 9/20/2031 (b)		966		1,027

Series 2019-1, Class AA, 3.30%, 12/15/2032 (b)		695		730

Business Jet Securities LLC

Series 2018-1, Class A, 4.34%, 2/15/2033 (b)		2,085		2,111

Series 2018-2, Class B, 5.44%, 6/15/2033 (b)		2,285		2,332

Series 2019-1, Class A, 4.21%, 7/15/2034 (b)		1,846		1,900

Series 2019-1, Class B, 5.19%, 7/15/2034 (b)		3,724		3,834

BXG Receivables Note Trust Series 2012-A, Class A, 2.66%, 12/2/2027 (b)		155		155

Cabela’s Credit Card Master Note Trust

Series 2015-2, Class A1, 2.25%, 7/17/2023		880		882

Camillo Issuer LLC Series 2016-SFR, Class 1-A-1, 5.00%, 12/5/2023 ‡		4,943		4,932

Carnow Auto Receivables Trust

Series 2017-1A, Class A, 2.92%, 9/15/2022 (b)		198		198

Carvana Auto Receivables Trust Series 2019-2A, Class C, 3.00%, 6/17/2024 (b)		4,675		4,723

Chase Funding Trust

Series 2003-6, Class 1A7, 5.02%, 11/25/2034 (e)		539		567

Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039		800		1,160


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Citigroup Mortgage Loan Trust, Inc.

Series 2003-HE3, Class A, 2.91%, 12/25/2033 (h)		21		21

Colony American Finance Ltd. (Cayman Islands) Series 2016-1, Class A, 2.54%, 6/15/2048 (b)		648		646

Continental Airlines Pass-Through Trust

Series 1999-2, Class A-1, 7.26%, 3/15/2020		13		13

Series 2007-1, Class A, 5.98%, 4/19/2022		333		353

Continental Credit Card Series 2017-1A, Class A, 4.29%, 1/15/2024 (b)		863		870

CoreVest American Finance Trust

Series 2019-2, Class D, 4.22%, 6/15/2052 ‡ (b)		2,000		2,119

CPS Auto Receivables Trust

Series 2014-D, Class C, 4.35%, 11/16/2020 (b)		238		239

Series 2015-A, Class C, 4.00%, 2/16/2021 (b)		130		131

Series 2015-B, Class C, 4.20%, 5/17/2021 (b)		2,063		2,078

Series 2015-C, Class D, 4.63%, 8/16/2021 (b)		1,376		1,388

Series 2016-C, Class C, 3.27%, 6/15/2022 (b)		769		770

CPS Auto Trust Series 2018-C, Class D, 4.40%, 6/17/2024 (b)		2,964		3,078

Credit Acceptance Auto Loan Trust

Series 2017-1A, Class A, 2.56%, 10/15/2025 (b)		592		592

Series 2017-1A, Class B, 3.04%, 12/15/2025 (b)		686		688

Series 2017-1A, Class C, 3.48%, 2/17/2026 (b)		574		576

Series 2017-2A, Class C, 3.35%, 6/15/2026 (b)		604		609

Series 2018-1A, Class A, 3.01%, 2/16/2027 (b)		1,543		1,554

Series 2018-3A, Class B, 3.89%, 10/15/2027 (b)		2,097		2,173

CVS Pass-Through Trust 5.93%, 1/10/2034 (b)		876		1,033

CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 3.05%, 10/25/2034 (h)		78		77

Delta Air Lines Pass-Through Trust

Series 2012-1, Class A, 4.75%, 5/7/2020		185		187


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2015-1, Class AA, 3.63%, 7/30/2027		273		294

Drive Auto Receivables Trust

Series 2015-BA, Class D, 3.84%, 7/15/2021 (b)		630		631

Series 2015-CA, Class D, 4.20%, 9/15/2021 (b)		266		267

Series 2017-1, Class C, 2.84%, 4/15/2022		901		901

Series 2015-DA, Class D, 4.59%, 1/17/2023 (b)		997		1,001

Series 2017-1, Class D, 3.84%, 3/15/2023		2,992		3,031

Series 2017-3, Class D, 3.53%, 12/15/2023 (b)		4,800		4,862

Series 2016-CA, Class D, 4.18%, 3/15/2024 (b)		3,101		3,154

Series 2018-2, Class C, 3.63%, 8/15/2024		1,755		1,768

DT Auto Owner Trust

Series 2016-4A, Class D, 3.77%, 10/17/2022 (b)		1,412		1,421

Series 2017-2A, Class C, 3.03%, 1/17/2023 (b)		676		676

Engs Commercial Finance Trust Series 2016-1A, Class A2, 2.63%, 2/22/2022 (b)		176		176

Exeter Automobile Receivables Trust

Series 2016-3A, Class B, 2.84%, 8/16/2021 (b)		356		357

Series 2018-4A, Class B, 3.64%, 11/15/2022 (b)		1,175		1,187

Series 2019-3A, Class D, 3.11%, 8/15/2025 (b)		3,540		3,592

First Investors Auto Owner Trust Series 2015-2A, Class D, 4.22%, 12/15/2021 (b)		373		376

Flagship Credit Auto Trust

Series 2015-3, Class B, 3.68%, 3/15/2022 (b)		276		277

Series 2015-3, Class C, 4.65%, 3/15/2022 (b)		756		767

Series 2016-2, Class C, 6.22%, 9/15/2022 (b)		3,000		3,111

Series 2018-2, Class A, 2.97%, 10/17/2022 (b)		1,529		1,535

FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027		4,857		5,104

Foundation Finance Trust

Series 2019-1A, Class A, 3.86%, 11/15/2034 (b)		1,605		1,645


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


FREED ABS Trust Series 2018-2, Class A, 3.99%, 10/20/2025 (b)		2,024		2,040

GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (h)		95		81

GLS Auto Receivables Trust Series 2016-1A, Class C, 6.90%, 10/15/2021 (b)		975		994

GMAT Trust

Series 2013-1A, Class A, 6.97%, 11/25/2043 ‡ (b) (e)		17		17

Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b)		401		402

Goodgreen Trust

Series 2017-1A, Class A, 3.74%, 10/15/2052 (b)		629		660

HERO (Cayman Islands) Series 2018-1ASI, Class A, 4.00%, 9/20/2047 (b)		1,783		1,781

HERO Funding (Cayman Islands)

Series 2017-3A, Class A2, 3.95%, 9/20/2048 (b)		2,171		2,296

HERO Funding Trust (Cayman Islands)

Series 2016-3A, Class A1, 3.08%, 9/20/2042 (b)		972		999

Series 2017-1A, Class A2, 4.46%, 9/20/2047 (b)		2,061		2,203

Hilton Grand Vacations Trust Series 2017-AA, Class A, 2.66%, 12/26/2028 (b)		238		239

Home Equity Mortgage Loan Asset-Backed Trust Series 2006-A, Class A3, 2.35%, 3/25/2036 ‡ (h)		60		59

KGS-Alpha SBA COOF Trust

Series 2012-2, Class A, IO, 0.83%, 8/25/2038 ‡ (b) (h)		3,937		93

Series 2013-2, Class A, IO, 1.71%, 3/25/2039 ‡ (b) (h)		3,736		159

Series 2015-2, Class A, IO, 3.05%, 7/25/2041 ‡ (b) (h)		1,537		173

Lendmark Funding Trust Series 2019-1A, Class B, 3.40%, 12/20/2027 ‡ (b)		3,319		3,381

LV Tower 52 Issuer

Series 2013-1, Class A, 5.75%, 7/15/2019 ‡ (b)		4,496		4,529

Series 2013-1, Class M, 7.75%, 7/15/2019 ‡ (b)		1,629		1,641

Marlette Funding Trust Series 2018-1A, Class A, 2.61%, 3/15/2028 (b)		288		288

Mid-State Capital Corp. Trust

Series 2006-1, Class M1, 6.08%, 10/15/2040 ‡ (b)		687		771


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

NCUA Guaranteed Notes Trust Series 2010-A1, Class A, 2.56%, 12/7/2020 (h)		257		256

New Century Home Equity Loan Trust

Series 2003-5, Class AI6, 5.05%, 11/25/2033 ‡ (e)		413		427

OnDeck Asset Securitization Trust LLC Series 2018-1A, Class A, 3.50%, 4/18/2022 (b)		1,801		1,812

OneMain Direct Auto Receivables Trust

Series 2018-1A, Class B, 3.71%, 4/14/2025 (b)		1,863		1,924

OneMain Financial Issuance Trust

Series 2015-1A, Class B, 3.85%, 3/18/2026 (b)		65		65

Series 2016-1A, Class A, 3.66%, 2/20/2029 (b)		1,080		1,084

Series 2016-1A, Class C, 6.00%, 2/20/2029 (b)		1,800		1,846

Oportun Funding VI LLC Series 2017-A, Class A, 3.23%, 6/8/2023 (b)		1,455		1,455

Oportun Funding X LLC

Series 2018-C, Class A, 4.10%, 10/8/2024 (b)		5,756		5,922

Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025 (b)		3,010		3,044

Pretium Mortgage Credit Partners I LLC

Series 2018-NPL4, Class A1, 4.83%, 9/25/2058 ‡ (b) (e)		1,769		1,787

Progress Residential Trust

Series 2015-SFR2, Class A, 2.74%, 6/12/2032 (b)		3,895		3,889

Series 2015-SFR2, Class B, 3.14%, 6/12/2032 ‡ (b)		2,012		2,009

Series 2015-SFR2, Class C, 3.44%, 6/12/2032 ‡ (b)		2,566		2,563

Series 2015-SFR2, Class E, 4.43%, 6/12/2032 ‡ (b)		1,230		1,229

Series 2015-SFR3, Class A, 3.07%, 11/12/2032 ‡ (b)		5,187		5,182

Series 2015-SFR3, Class D, 4.67%, 11/12/2032 ‡ (b)		295		296

Series 2015-SFR3, Class E, 5.66%, 11/12/2032 (b)		1,200		1,205

Prosper Marketplace Issuance Trust Series 2019-3A, Class A, 3.19%, 7/15/2025 (b)		1,364		1,371

Regional Management Issuance Trust

Series 2018-1, Class A, 3.83%, 7/15/2027 (b)		1,705		1,717


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 ‡ (e)		287		122

Renew (Cayman Islands)

Series 2017-1A, Class A, 3.67%, 9/20/2052 (b)		822		858

Santander Drive Auto Receivables Trust Series 2015-5, Class E, 4.67%, 2/15/2023 (b)		4,200		4,230

Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 3.35%, 1/25/2036 ‡ (e)		212		189

Sierra Timeshare Receivables Funding LLC Series 2019-2A, Class C, 3.12%, 5/20/2036 (b)		3,848		3,892

SoFi Consumer Loan Program LLC

Series 2016-2, Class A, 3.09%, 10/27/2025 (b)		339		340

Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030		368		389

Springleaf Funding Trust

Series 2016-AA, Class B, 3.80%, 11/15/2029 (b)		2,040		2,045

Spruce ABS Trust Series 2016-E1, Class A, 4.32%, 6/15/2028 (b)		627		641

Synchrony Card Funding LLC

Series 2019-A1, Class A, 2.95%, 3/15/2025		4,681		4,805

Series 2019-A2, Class A, 2.34%, 6/15/2025		5,000		5,063

Synchrony Card Issuance Trust Series 2018-A1, Class A, 3.38%, 9/15/2024		2,600		2,685

Tricolor Auto Securitization Trust

Series 2018-2A, Class A, 3.96%, 10/15/2021 (b)		2,422		2,434

Tricon American Homes Trust Series 2016-SFR1, Class A, 2.59%, 11/17/2033 (b)		1,784		1,783

United Airlines Pass-Through Trust

Series 2018-1, Class B, 4.60%, 3/1/2026		209		218

Series 2016-1, Class A, 3.45%, 7/7/2028		935		985

Series 2018-1, Class AA, 3.50%, 3/1/2030		1,047		1,109

Series 2018-1, Class A, 3.70%, 3/1/2030		711		749

Series 2019-1, Class AA, 4.15%, 8/25/2031		1,120		1,257

Series 2019-1, Class A, 4.55%, 8/25/2031		1,000		1,124

Verizon Owner Trust Series 2018-A, Class A1A, 3.23%, 4/20/2023		2,405		2,458


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

VOLT LXIX LLC Series 2018-NPL5, Class A1A, 4.21%, 8/25/2048 ‡ (b) (e)		1,363		1,368

VOLT LXX LLC Series 2018-NPL6, Class A1A, 4.11%, 9/25/2048 ‡ (b) (e)		1,415		1,420

VOLT LXXII LLC Series 2018-NPL8, Class A1A, 4.21%, 10/26/2048 ‡ (b) (e)		3,946		3,969

VOLT LXXV LLC Series 2019-NPL1, Class A1A, 4.34%, 1/25/2049 ‡ (b) (e)		2,700		2,720

VOLT Trust Series 2018-FT1, Class A1, 3.26%, 1/27/2023 (h)		493		492

Westgate Resorts LLC Series 2017-1A, Class A, 3.05%, 12/20/2030 (b)		827		831

Westlake Automobile Receivables Trust

Series 2017-1A, Class C, 2.70%, 10/17/2022 (b)		544		544

Series 2017-1A, Class D, 3.46%, 10/17/2022 (b)		947		954

Series 2019-2A, Class D, 3.20%, 11/15/2024 (b)		2,500		2,528

World Financial Network Credit Card Master Trust Series 2019-A, Class A, 3.14%, 12/15/2025		2,245		2,307

World Omni Auto Receivables Trust Series 2018-B, Class A3, 2.87%, 7/17/2023		6,900		6,987


Total Asset-Backed Securities (Cost $224,658)				229,201


Commercial Mortgage-Backed Securities — 3.9%

BAMLL Commercial Mortgage Securities Trust

Series 2012-PARK, Class A, 2.96%, 12/10/2030 (b)		560		579

Series 2014-520M, Class C, 4.35%, 8/15/2046 ‡ (b) (h)		1,300		1,430

BAMLL Re-REMIC Trust

Series 2016-FR16, Class A, 0.94%, 5/27/2021 (b) (h)		2,600		2,505

Series 2014-FRR5, Class A714, PO, 1/27/2047 (b)		1,950		1,866

BB-UBS Trust

Series 2012-TFT, Class A, 2.89%, 6/5/2030 (b)		483		483

Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (b)		4,400		4,681

Bear Stearns Commercial Mortgage Securities Trust Series 2005-PWR8, Class X1, IO, 0.51%, 6/11/2041 ‡ (b) (h)		379		1


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


CD Commercial Mortgage Trust

Series 2007-CD4, Class XC, IO, 0.76%, 12/11/2049 ‡ (b) (h)		118		3

COBALT CMBS Commercial Mortgage Trust Series 2006-C1, IO, 1.01%, 8/15/2048 ‡ (h)		685		11

Commercial Mortgage Trust

Series 2013-300P, Class A1, 4.35%, 8/10/2030 (b)		3,500		3,781

Series 2013-SFS, Class A2, 3.09%, 4/12/2035 (b) (h)		1,060		1,098

Series 2006-GG7, Class AM, 5.82%, 7/10/2038 (h)		54		55

Series 2012-CR2, Class XA, IO, 1.80%, 8/15/2045 ‡ (h)		2,384		92

FHLMC, Multifamily Structured Pass-Through Certificates

Series KJ02, Class A2, 2.60%, 9/25/2020		179		179

Series KJ09, Class A2, 2.84%, 9/25/2022		2,460		2,517

Series KS01, Class A2, 2.52%, 1/25/2023		1,000		1,014

Series KPLB, Class A, 2.77%, 5/25/2025		353		369

Series K052, Class A2, 3.15%, 11/25/2025		3,560		3,822

Series K065, Class A2, 3.24%, 4/25/2027		2,467		2,688

Series K065, Class AM, 3.33%, 5/25/2027		1,322		1,443

Series K070, Class A2, 3.30%, 11/25/2027 (h)		1,748		1,916

FNMA ACES

Series 2010-M3, Class A3, 4.33%, 3/25/2020 (h)		595		599

Series 2014-M3, Class A2, 3.50%, 1/25/2024 (h)		2,061		2,194

Series 2017-M3, Class A2, 2.57%, 12/25/2026 (h)		6,250		6,456

Series 2015-M10, Class A2, 3.09%, 4/25/2027 (h)		8,555		9,211

Series 2017-M8, Class A2, 3.06%, 5/25/2027 (h)		3,815		4,089

Series 2018-M8, Class A2, 3.44%, 6/25/2028 (h)		2,580		2,837

Series 2018-M10, Class A2, 3.50%, 7/25/2028 (h)		3,335		3,685

Series 2017-M5, Class A2, 3.30%, 4/25/2029 (h)		3,376		3,650

GS Mortgage Securities Corp. II Series 2013-KING, Class A, 2.71%, 12/10/2027 (b)		1,113		1,113

Ladder Capital Commercial Mortgage Trust

Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (b)		998		1,119


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

LB-UBS Commercial Mortgage Trust Series 2006-C7, Class XW, IO, 0.88%, 11/15/2038 ‡ (b) (h)		2,183		1

ML-CFC Commercial Mortgage Trust Series 2006-4, Class XC, IO, 0.75%, 12/12/2049 ‡ (b) (h)		409		—	(i)

Morgan Stanley Capital I Trust

Series 2006-IQ12, Class X1, IO, 0.78%, 12/15/2043 ‡ (b) (h)		1,091		—	(i)

Series 2007-HQ11, Class X, IO, 0.41%, 2/12/2044 ‡ (b) (h)		484		—	(i)

Series 2011-C3, Class A3, 4.05%, 7/15/2049		179		179

RBS Commercial Funding, Inc. Trust Series 2013-SMV, Class A, 3.26%, 3/11/2031 (b)		664		684

UBS-BAMLL Trust

Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b)		2,236		2,308

UBS-Barclays Commercial Mortgage Trust

Series 2013-C6, Class A4, 3.24%, 4/10/2046		857		892

Series 2012-C2, Class XA, IO, 1.47%, 5/10/2063 ‡ (b) (h)		7,122		224

VNDO Mortgage Trust

Series 2013-PENN, Class A, 3.81%, 12/13/2029 (b)		5,000		5,078

Series 2012-6AVE, Class A, 3.00%, 11/15/2030 (b)		1,398		1,444

Wells Fargo Commercial Mortgage Trust Series 2013-120B, Class A, 2.80%, 3/18/2028 (b) (h)		2,500		2,499

WFRBS Commercial Mortgage Trust

Series 2011-C3, Class A4, 4.38%, 3/15/2044 (b)		1,700		1,749

Series 2013-C11, Class D, 4.40%, 3/15/2045 ‡ (b) (h)		400		410

Series 2012-C6, Class A4, 3.44%, 4/15/2045		800		819


Total Commercial Mortgage-Backed Securities (Cost $77,575)				81,773


U.S. Government Agency Securities — 1.4%

Government Trust Certificate 2.89%, 10/1/2019 (a)		13,319		13,296

Resolution Funding Corp. STRIPS DN, 3.01%, 1/15/2026 (a)		580		520

DN, 2.82%, 10/15/2027 (a)		510		441


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Tennessee Valley Authority 5.88%, 4/1/2036		6,839		10,095

4.63%, 9/15/2060		304		458

Tennessee Valley Authority STRIPS DN, 3.60%, 11/1/2025 (a)		5,000		4,453

DN, 4.76%, 6/15/2035 (a)		800		530



TOTAL U.S. Government Agency Securities (Cost $27,990)				29,793


Municipal Bonds — 0.6% (l)

California — 0.1%

General Obligation — 0.0% (c)

State of California, Various Purpose

GO, 7.30%, 10/1/2039		350		556


Transportation — 0.1%

City of Los Angeles, Department of Airports Series 2009C, Rev., 6.58%, 5/15/2039		440		609


Total California				1,165


New York — 0.3%

Other Revenue — 0.0% (c)

New York State Dormitory Authority, State Personal Income Tax, General Purpose Series D, Rev., 5.60%, 3/15/2040		360		487


Transportation — 0.3%

Port Authority of New York and New Jersey, Consolidated Series 164, Rev., 5.65%, 11/1/2040		1,825		2,567

Series 165, Rev., 5.65%, 11/1/2040		440		622

Series 174, Rev., 4.46%, 10/1/2062		2,060		2,674


				5,863


Total New York				6,350


Ohio — 0.2%

Education — 0.1%

Ohio State University, General Receipts

Series 2016A, Rev., 4.05%, 12/1/2056		325		406

Series A, Rev., 4.80%, 6/1/2111		1,563		2,229

Rev., 5.59%, 12/1/2114		200		285


				2,920


Utility — 0.1%

American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev., 7.50%, 2/15/2050		1,315		2,176


Total Ohio				5,096


Total Municipal Bonds (Cost $9,167)				12,611


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Foreign Government Securities — 0.4%

Province of Quebec (Canada) 7.36%, 3/6/2026 (e)		377		496

Republic of Colombia (Colombia)

4.00%, 2/26/2024		922		984

4.50%, 1/28/2026		581		643

7.38%, 9/18/2037		200		292

5.63%, 2/26/2044		200		258

5.00%, 6/15/2045		515		622

Republic of Panama (Panama) 4.50%, 4/16/2050		325		404

Republic of Peru (Peru) 5.63%, 11/18/2050		88		134

Republic of South Africa (South Africa) 5.88%, 9/16/2025		640		709

United Mexican States (Mexico) 3.60%, 1/30/2025		788		818

4.13%, 1/21/2026		316		336

3.75%, 1/11/2028		1,216		1,270

4.60%, 1/23/2046		2,113		2,293


Total Foreign Government Securities (Cost $8,540)				9,259


Supranational — 0.1%

African Development Bank (Supranational) 8.80%, 9/1/2019 (Cost $3,000)		3,000		3,000


	SHARES (000)
Short-Term Investments — 7.1%

Investment Companies — 7.1%

JPMorgan Prime Money Market Fund Class Institutional Shares, 2.16% (m) (n) (Cost $148,140)		148,088		148,147

Total Investments — 101.2% (Cost $1,992,607)				2,127,697
Liabilities in Excess of Other Assets — (1.2)%				(25,967	)

NET ASSETS — 100.0%				2,101,730

Percentages indicated are based on net assets.


Abbreviations

ABS		Asset-backed securities
ACES		Alternative Credit Enhancement Securities
ARM		Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2019.
CMBS		Commercial Mortgage-Backed Security
DN		Discount Notes
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.
ICE		Intercontinental Exchange
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, 2019. 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.
UMBS		Uniform Mortgage-Backed Securities
USD		United States Dollar

(a)		The rate shown is the effective yield as of August 31, 2019.
(b)		Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended.
(c)		Amount rounds to less than 0.1% of net assets.
(d)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2019.
(e)		Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2019.
(f)		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, 2019.
(g)		Security is an interest bearing note with preferred security characteristics.
(h)		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, 2019.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — 30.3%

Aerospace & Defense — 0.7%

Airbus Finance BV (France) 2.70%, 4/17/2023 (a)		43		44

General Dynamics Corp. 3.50%, 5/15/2025		100		108

L3Harris Technologies, Inc. 3.85%, 12/15/2026 (a)		70		76

Lockheed Martin Corp. 3.10%, 1/15/2023		174		180

Northrop Grumman Corp. 2.93%, 1/15/2025		150		155

United Technologies Corp.

1.50%, 11/1/2019		180		180

3.95%, 8/16/2025		150		165

4.13%, 11/16/2028		100		114


				1,022


Automobiles — 0.6%

Daimler Finance North America LLC (Germany) 2.20%, 5/5/2020 (a)		150		150

General Motors Co. 4.20%, 10/1/2027		500		516

Nissan Motor Acceptance Corp. 2.60%, 9/28/2022 (a)		200		201


				867


Banks — 5.5%

ANZ New Zealand Int’l Ltd. (New Zealand) 2.60%, 9/23/2019 (a)		200		200

Bank of America Corp.

3.30%, 1/11/2023		90		94

(ICE LIBOR USD 3 Month + 1.16%), 3.12%, 1/20/2023 (b)		60		61

(ICE LIBOR USD 3 Month + 1.02%), 2.88%, 4/24/2023 (b)		100		102

(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (b)		42		44

Series L, 3.95%, 4/21/2025		154		164

(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (b)		610		644

Bank of Montreal (Canada) 2.35%, 9/11/2022		200		203

Barclays plc (United Kingdom) 3.68%, 1/10/2023		317		322

Branch Banking & Trust Co. 2.25%, 6/1/2020		250		250

Canadian Imperial Bank of Commerce (Canada) 3.10%, 4/2/2024		150		156

Citibank NA 2.13%, 10/20/2020		350		350

Citigroup, Inc.

4.40%, 6/10/2025		115		125

4.45%, 9/29/2027		150		165

Citizens Financial Group, Inc. 4.30%, 12/3/2025		50		54


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

Commonwealth Bank of Australia (Australia) 4.50%, 12/9/2025 (a)		201		218

Cooperatieve Rabobank UA (Netherlands)

4.75%, 1/15/2020 (a)		200		202

3.88%, 2/8/2022		118		123

Discover Bank 3.35%, 2/6/2023		250		259

HSBC Holdings plc (United Kingdom)

(ICE LIBOR USD 3 Month + 0.92%),

3.03%, 11/22/2023 (b)		200		203

4.30%, 3/8/2026		200		218

Huntington National Bank (The) 2.88%, 8/20/2020		250		252

KeyCorp 5.10%, 3/24/2021		50		52

Lloyds Banking Group plc (United Kingdom) 3.75%, 1/11/2027		250		261

Mitsubishi UFJ Financial Group, Inc. (Japan) 3.85%, 3/1/2026		225		244

Mizuho Bank Ltd. (Japan) 2.65%, 9/25/2019 (a)		200		200

Nordea Bank Abp (Finland) 4.88%, 1/27/2020 (a)		250		253

PNC Financial Services Group, Inc. (The)

4.38%, 8/11/2020		133		136

3.90%, 4/29/2024		100		108

Regions Financial Corp. 2.75%, 8/14/2022		107		109

Standard Chartered plc (United Kingdom) 5.20%, 1/26/2024 (a)		200		215

Swedbank AB (Sweden) 2.20%, 3/4/2020 (a)		300		300

Toronto-Dominion Bank (The) (Canada) 2.50%, 12/14/2020		200		201

US Bancorp

Series V, 2.38%, 7/22/2026		133		135

Series X, 3.15%, 4/27/2027		68		73

Wells Fargo & Co. 2.63%, 7/22/2022		250		254

3.00%, 2/19/2025		99		103

4.10%, 6/3/2026		21		23

4.30%, 7/22/2027		30		33

(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (b)		250		268

Westpac Banking Corp. (Australia) 2.50%, 6/28/2022		300		305


				7,682


Beverages — 0.4%

Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.75%, 1/23/2029		265		310


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Beverages — continued

Diageo Capital plc (United Kingdom) 4.83%, 7/15/2020		70		72

Keurig Dr Pepper, Inc.

4.42%, 5/25/2025		75		82

4.60%, 5/25/2028		50		56


				520


Biotechnology — 0.4%

AbbVie, Inc. 4.25%, 11/14/2028		100		109

Baxalta, Inc. 3.60%, 6/23/2022		23		24

Biogen, Inc. 3.63%, 9/15/2022		30		31

Celgene Corp. 3.25%, 8/15/2022		98		101

Gilead Sciences, Inc.

1.85%, 9/20/2019		150		150

3.70%, 4/1/2024		36		38

3.50%, 2/1/2025		25		27

3.65%, 3/1/2026		57		61


				541


Building Products — 0.0% (c)

Johnson Controls International plc

3.75%, 12/1/2021		3		3

3.90%, 2/14/2026		12		13


				16


Capital Markets — 2.7%

Bank of New York Mellon Corp. (The)

4.60%, 1/15/2020		75		76

3.25%, 9/11/2024		150		158

Blackstone Holdings Finance Co. LLC 5.88%, 3/15/2021 (a)		150		159

Brookfield Finance, Inc. (Canada) 4.85%, 3/29/2029		75		85

Charles Schwab Corp. (The)

3.23%, 9/1/2022		40		41

3.20%, 1/25/2028		200		213

Deutsche Bank AG (Germany) 3.13%, 1/13/2021		38		38

Goldman Sachs Group, Inc. (The)

2.35%, 11/15/2021		200		201

3.00%, 4/26/2022		80		81

3.75%, 5/22/2025		257		274

(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (b)		349		371

ING Bank NV (Netherlands) 2.50%, 10/1/2019 (a)		200		200


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Capital Markets — continued

Intercontinental Exchange, Inc. 4.00%, 10/15/2023		88		95

Invesco Finance plc

4.00%, 1/30/2024		71		76

3.75%, 1/15/2026		125		134

Jefferies Group LLC 6.88%, 4/15/2021		50		53

Macquarie Bank Ltd. (Australia)

2.85%, 7/29/2020 (a)		100		100

4.00%, 7/29/2025 (a)		100		108

Macquarie Group Ltd. (Australia)

6.00%, 1/14/2020 (a)		100		101

6.25%, 1/14/2021 (a)		40		42

Morgan Stanley

5.75%, 1/25/2021		100		105

5.50%, 7/28/2021		100		106

3.70%, 10/23/2024		83		88

(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (b)		500		533

Nomura Holdings, Inc. (Japan) 6.70%, 3/4/2020		84		86

Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (b)		17		18

State Street Corp. 3.10%, 5/15/2023		36		37

TD Ameritrade Holding Corp. 2.95%, 4/1/2022		34		35

UBS AG (Switzerland) 2.45%, 12/1/2020 (a)		200		201


				3,815


Chemicals — 0.6%

Dow Chemical Co. (The) 4.13%, 11/15/2021		60		62

Ecolab, Inc.

3.25%, 1/14/2023		88		91

3.25%, 12/1/2027		43		47

International Flavors & Fragrances, Inc. 4.45%, 9/26/2028		9		10

Mosaic Co. (The) 3.25%, 11/15/2022		246		252

Nutrien Ltd. (Canada) 3.38%, 3/15/2025		45		47

Sherwin-Williams Co. (The)

3.30%, 2/1/2025		110		113

3.45%, 6/1/2027		51		54

Union Carbide Corp. 7.50%, 6/1/2025		100		122


				798


Commercial Services & Supplies — 0.2%

Republic Services, Inc. 3.38%, 11/15/2027		200		214


Communications Equipment — 0.0% (c)

Cisco Systems, Inc. 2.95%, 2/28/2026		44		47


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Construction Materials — 0.2%

Martin Marietta Materials, Inc.

3.45%, 6/1/2027		78		81

3.50%, 12/15/2027		160		165


				246


Consumer Finance — 1.1%

American Express Co. 3.38%, 5/17/2021		100		102

American Honda Finance Corp. 1.95%, 7/20/2020		200		200

Avolon Holdings Funding Ltd. (Ireland)

5.13%, 10/1/2023 (a)		150		159

3.95%, 7/1/2024 (a)		20		21

Capital One Financial Corp. 3.20%, 2/5/2025		235		242

Caterpillar Financial Services Corp.

1.85%, 9/4/2020		200		200

2.85%, 6/1/2022		58		60

Ford Motor Credit Co. LLC 3.16%, 8/4/2020		250		251

John Deere Capital Corp.

Series 0014, 2.45%, 9/11/2020		50		50

3.15%, 10/15/2021		33		34

2.70%, 1/6/2023		89		91

2.65%, 6/24/2024		100		103

Synchrony Financial 4.25%, 8/15/2024		40		43


				1,556


Containers & Packaging — 0.1%

WRKCo, Inc. 3.00%, 9/15/2024		80		82


Diversified Financial Services — 1.3%

AIG Global Funding 2.15%, 7/2/2020 (a)		150		150

GE Capital International Funding Co. Unlimited Co. 2.34%, 11/15/2020		349		347

GTP Acquisition Partners I LLC 2.35%, 6/15/2020 (a)		174		174

National Rural Utilities Cooperative Finance Corp.

2.30%, 9/15/2022		200		202

ORIX Corp. (Japan) 2.90%, 7/18/2022		81		83

Private Export Funding Corp.

Series EE, 2.80%, 5/15/2022		500		515

Series KK, 3.55%, 1/15/2024		200		216

Shell International Finance BV (Netherlands) 3.25%, 5/11/2025		100		106


				1,793


Diversified Telecommunication Services — 0.9%

AT&T, Inc.

3.60%, 7/15/2025		150		158

7.88%, 2/15/2030		350		479


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Diversified Telecommunication Services — continued

Qwest Corp. 6.75%, 12/1/2021		148		160

Telefonica Emisiones SA (Spain) 5.13%, 4/27/2020		31		31

Verizon Communications, Inc.

4.33%, 9/21/2028		160		184

4.50%, 8/10/2033		208		246


				1,258


Electric Utilities — 1.7%

Arizona Public Service Co. 2.20%, 1/15/2020		27		27

Baltimore Gas & Electric Co. 2.80%, 8/15/2022		43		44

Commonwealth Edison Co. Series 122, 2.95%, 8/15/2027		200		209

DTE Electric Co. 2.65%, 6/15/2022		20		20

Duke Energy Corp. 3.75%, 4/15/2024		300		319

Duke Energy Indiana LLC 3.75%, 7/15/2020		60		61

Duke Energy Progress LLC 2.80%, 5/15/2022		40		41

Enel Finance International NV (Italy) 3.63%, 5/25/2027 (a)		200		206

Entergy Mississippi LLC 2.85%, 6/1/2028		186		193

Jersey Central Power & Light Co. 4.30%, 1/15/2026 (a)		200		219

Kansas City Power & Light Co. 3.15%, 3/15/2023		47		49

NextEra Energy Capital Holdings, Inc.

2.40%, 9/15/2019		27		27

3.55%, 5/1/2027		89		95

Niagara Mohawk Power Corp. 3.51%, 10/1/2024 (a)		28		30

Pennsylvania Electric Co. 3.25%, 3/15/2028 (a)		132		138

Public Service Co. of Colorado 3.20%, 11/15/2020		51		51

Public Service Co. of Oklahoma 4.40%, 2/1/2021		74		76

Southern California Edison Co. 1.85%, 2/1/2022		21		20

Southern Co. (The) 3.25%, 7/1/2026		317		328

Virginia Electric & Power Co.

Series C, 2.75%, 3/15/2023		191		195

3.45%, 2/15/2024		21		22


				2,370


Electrical Equipment — 0.1%

ABB Finance USA, Inc. (Switzerland) 2.88%, 5/8/2022		41		42

Eaton Corp. 3.10%, 9/15/2027		140		147


				189


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued
Electronic Equipment, Instruments & Components — 0.1%

Arrow Electronics, Inc.

4.50%, 3/1/2023		16		17

3.88%, 1/12/2028		100		103


				120


Energy Equipment & Services — 0.2%

Baker Hughes a GE Co. LLC 2.77%, 12/15/2022		150		153

Halliburton Co. 3.80%, 11/15/2025		107		113

Schlumberger Investment SA 3.30%, 9/14/2021 (a)		47		48


				314


Entertainment — 0.1%

Viacom, Inc. 3.88%, 4/1/2024		112		118

Walt Disney Co. (The) 7.70%, 10/30/2025 (a)		50		65


				183


Equity Real Estate Investment Trusts (REITs) — 1.3%

American Tower Corp.

3.50%, 1/31/2023		80		83

5.00%, 2/15/2024		38		42

Boston Properties LP 3.20%, 1/15/2025		152		158

Brixmor Operating Partnership LP 3.85%, 2/1/2025		50		53

ERP Operating LP 4.63%, 12/15/2021		255		268

Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a)		52		55

HCP, Inc.

4.20%, 3/1/2024		17		18

3.88%, 8/15/2024		205		221

3.40%, 2/1/2025		38		40

Office Properties Income Trust 3.60%, 2/1/2020		75		75

Realty Income Corp.

3.88%, 7/15/2024		50		54

3.65%, 1/15/2028		150		163

Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (a)		150		157

Senior Housing Properties Trust 4.75%, 2/15/2028		100		100

Ventas Realty LP

3.75%, 5/1/2024		44		47

3.50%, 2/1/2025		27		28

4.13%, 1/15/2026		62		67

Welltower, Inc. 4.50%, 1/15/2024		100		108


				1,737


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Food & Staples Retailing — 0.3%

Kroger Co. (The)

1.50%, 9/30/2019		200		200

4.00%, 2/1/2024		90		97

Sysco Corp. 3.75%, 10/1/2025		100		107


				404


Food Products — 0.9%

Campbell Soup Co. 3.95%, 3/15/2025		50		53

Cargill, Inc. 3.30%, 3/1/2022 (a)		100		103

Conagra Brands, Inc. 4.60%, 11/1/2025		35		39

General Mills, Inc. 2.60%, 10/12/2022		200		203

Kellogg Co. 3.40%, 11/15/2027		95		100

Kraft Heinz Foods Co. 3.95%, 7/15/2025		202		210

Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025		92		101

Nestle Holdings, Inc. 3.50%, 9/24/2025 (a)		200		216

Smithfield Foods, Inc. 5.20%, 4/1/2029 (a)		7		8

Tyson Foods, Inc. 3.95%, 8/15/2024		73		78

Unilever Capital Corp. (United Kingdom) 3.38%, 3/22/2025		100		107


				1,218


Health Care Equipment & Supplies — 0.3%

Becton Dickinson and Co. 2.68%, 12/15/2019		250		250

Boston Scientific Corp. 3.75%, 3/1/2026		50		54

Zimmer Biomet Holdings, Inc.

3.70%, 3/19/2023		19		20

3.55%, 4/1/2025		50		52


				376


Health Care Providers & Services — 1.0%

Aetna, Inc. 2.80%, 6/15/2023		200		203

Anthem, Inc.

3.13%, 5/15/2022		115		118

3.50%, 8/15/2024		106		111

CVS Health Corp. 4.10%, 3/25/2025		180		193

Express Scripts Holding Co.

3.05%, 11/30/2022		200		205

3.50%, 6/15/2024		72		75

HCA, Inc. 4.13%, 6/15/2029		150		160

Laboratory Corp. of America Holdings

3.20%, 2/1/2022		214		219

UnitedHealth Group, Inc. 3.38%, 11/15/2021		112		115


				1,399


Hotels, Restaurants & Leisure — 0.1%

Starbucks Corp. 3.80%, 8/15/2025		150		163


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Household Durables — 0.1%

DR Horton, Inc. 2.55%, 12/1/2020		150		150


Household Products — 0.2%

Kimberly-Clark Corp. 2.40%, 3/1/2022		20		20

Procter & Gamble — ESOP Series A, 9.36%, 1/1/2021		18		19

Procter & Gamble Co. (The) 1.75%, 10/25/2019		200		200


				239


Independent Power and Renewable Electricity Producers — 0.1%

Exelon Generation Co. LLC

3.40%, 3/15/2022		80		82

4.25%, 6/15/2022		37		39


				121


Industrial Conglomerates — 0.0% (c)

Ingersoll-Rand Global Holding Co. Ltd. 4.25%, 6/15/2023		34		36


Insurance — 1.6%

Allstate Corp. (The) 3.15%, 6/15/2023		61		64

Alterra Finance LLC 6.25%, 9/30/2020		100		104

American International Group, Inc. 3.75%, 7/10/2025		161		172

Aon plc 3.88%, 12/15/2025		143		155

Assurant, Inc. 4.20%, 9/27/2023		90		94

Chubb INA Holdings, Inc. 2.88%, 11/3/2022		130		134

CNA Financial Corp.

3.95%, 5/15/2024		52		55

4.50%, 3/1/2026		38		42

Globe Life, Inc. 4.55%, 9/15/2028		40		45

Guardian Life Global Funding 2.50%, 5/8/2022 (a)		125		126

Lincoln National Corp. 4.20%, 3/15/2022		35		37

Manulife Financial Corp. (Canada) 4.15%, 3/4/2026		100		111

Marsh & McLennan Cos., Inc.

2.35%, 9/10/2019		156		156

3.30%, 3/14/2023		50		52

Metropolitan Life Global Funding I 3.45%, 12/18/2026 (a)		250		269

Principal Financial Group, Inc. 3.10%, 11/15/2026		150		157

Protective Life Global Funding 2.62%, 8/22/2022 (a)		200		203

Prudential Insurance Co. of America (The)

8.30%, 7/1/2025 (a)		150		195


				2,171


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Internet & Direct Marketing Retail — 0.1%

Amazon.com, Inc. 2.80%, 8/22/2024		100		104


IT Services — 0.2%

IBM Credit LLC 2.65%, 2/5/2021		150		151

International Business Machines Corp. 3.50%, 5/15/2029		100		109

Western Union Co. (The) 3.60%, 3/15/2022		20		21


				281


Life Sciences Tools & Services — 0.1%

Thermo Fisher Scientific, Inc.

3.15%, 1/15/2023		57		59

4.15%, 2/1/2024		34		37

3.20%, 8/15/2027		100		105


				201


Machinery — 0.2%

Caterpillar, Inc. 2.60%, 6/26/2022		31		32

Illinois Tool Works, Inc. 3.50%, 3/1/2024		175		185

Stanley Black & Decker, Inc. 3.40%, 3/1/2026		110		118


				335


Media — 0.7%

CBS Corp. 4.00%, 1/15/2026		208		223

Charter Communications Operating LLC

4.91%, 7/23/2025		160		177

Comcast Corp.

3.00%, 2/1/2024		117		122

3.38%, 2/15/2025		77		82

3.38%, 8/15/2025		80		85

3.95%, 10/15/2025		14		15

3.15%, 3/1/2026		16		17

Cox Communications, Inc. 3.50%, 8/15/2027 (a)		154		162

Discovery Communications LLC 4.38%, 6/15/2021		78		81

Fox Corp. 4.71%, 1/25/2029 (a)		35		40


				1,004


Metals & Mining — 0.1%

Glencore Funding LLC (Switzerland) 4.88%, 3/12/2029 (a)		60		65

Nucor Corp. 4.00%, 8/1/2023		27		29


				94


Multiline Retail — 0.0% (c)

Nordstrom, Inc. 4.00%, 10/15/2021		35		36


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Multi-Utilities — 0.6%

Consolidated Edison Co. of New York, Inc.

3.80%, 5/15/2028		155		172

DTE Energy Co. Series B, 3.30%, 6/15/2022		79		81

NiSource, Inc. 3.85%, 2/15/2023		200		209

Public Service Enterprise Group, Inc.

2.88%, 6/15/2024		100		103

Sempra Energy 4.05%, 12/1/2023		48		51

Southern Co. Gas Capital Corp. 3.50%, 9/15/2021		94		96

WEC Energy Group, Inc. 3.55%, 6/15/2025		87		93


				805


Oil, Gas & Consumable Fuels — 2.5%

Andeavor Logistics LP 4.25%, 12/1/2027		27		29

Apache Corp. 3.25%, 4/15/2022		18		18

APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (a)		100		108

BP Capital Markets plc (United Kingdom)

3.81%, 2/10/2024		166		178

3.51%, 3/17/2025		60		64

Buckeye Partners LP 4.88%, 2/1/2021		40		41

Canadian Natural Resources Ltd. (Canada) 3.90%, 2/1/2025		25		26

Cenovus Energy, Inc. (Canada)

5.70%, 10/15/2019		77		77

3.00%, 8/15/2022		21		21

Chevron Corp. 2.36%, 12/5/2022		40		41

CNOOC Nexen Finance 2014 ULC (China) 4.25%, 4/30/2024		200		215

Ecopetrol SA (Colombia) 4.13%, 1/16/2025		58		61

Energy Transfer Operating LP

3.60%, 2/1/2023		28		29

4.90%, 2/1/2024		61		66

4.05%, 3/15/2025		91		96

Eni SpA (Italy) 4.15%, 10/1/2020 (a)		200		204

Enterprise Products Operating LLC 2.80%, 2/15/2021		200		202

3.90%, 2/15/2024		49		52

3.75%, 2/15/2025		37		40

EOG Resources, Inc. 2.63%, 3/15/2023		23		24

Gulf South Pipeline Co. LP 4.00%, 6/15/2022		50		51

Marathon Petroleum Corp. 3.63%, 9/15/2024		67		70

MPLX LP 3.38%, 3/15/2023		32		33

Noble Energy, Inc. 3.85%, 1/15/2028		100		104

Occidental Petroleum Corp. 3.50%, 6/15/2025		30		31


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Oil, Gas & Consumable Fuels — continued

ONEOK Partners LP

3.38%, 10/1/2022		12		12

5.00%, 9/15/2023		28		30

4.90%, 3/15/2025		200		219

Petroleos Mexicanos (Mexico)

6.38%, 2/4/2021		149		153

4.88%, 1/18/2024		69		69

6.88%, 8/4/2026		51		54

5.35%, 2/12/2028		42		40

Phillips 66 3.90%, 3/15/2028		70		76

Plains All American Pipeline LP 3.60%, 11/1/2024		100		103

Sinopec Group Overseas Development Ltd. (China) 4.38%, 10/17/2023 (a)		200		215

Spectra Energy Partners LP 3.50%, 3/15/2025		63		66

Sunoco Logistics Partners Operations LP 4.65%, 2/15/2022		180		189

TC PipeLines LP 3.90%, 5/25/2027		42		44

TransCanada PipeLines Ltd. (Canada) 3.75%, 10/16/2023		172		181

Williams Cos., Inc. (The) 3.90%, 1/15/2025		86		90


				3,422


Pharmaceuticals — 0.5%

Allergan Funding SCS 3.45%, 3/15/2022		69		71

Bristol-Myers Squibb Co. 3.40%, 7/26/2029 (a)		71		77

Eli Lilly & Co. 3.38%, 3/15/2029		70		77

Merck & Co., Inc. 3.40%, 3/7/2029		200		220

Shire Acquisitions Investments Ireland DAC 1.90%, 9/23/2019		200		200


				645


Real Estate Management & Development — 0.1%

Ontario Teachers’ Cadillac Fairview Properties Trust (Canada) 3.13%, 3/20/2022 (a)		200		205


Road & Rail — 0.5%

Canadian Pacific Railway Co. (Canada) 4.50%, 1/15/2022		55		58

CSX Corp. 3.25%, 6/1/2027		162		172

ERAC USA Finance LLC

5.25%, 10/1/2020 (a)		48		50

4.50%, 8/16/2021 (a)		27		28

JB Hunt Transport Services, Inc. 3.88%, 3/1/2026		60		65


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Road & Rail — continued

Penske Truck Leasing Co. LP 4.13%, 8/1/2023 (a)		200		212

Ryder System, Inc.

2.50%, 5/11/2020		28		28

2.88%, 9/1/2020		86		86


				699


Semiconductors & Semiconductor Equipment — 0.4%

Analog Devices, Inc. 2.95%, 1/12/2021		70		71

Broadcom, Inc. 4.75%, 4/15/2029 (a)		250		263

Intel Corp. 3.70%, 7/29/2025		116		126

QUALCOMM, Inc. 3.25%, 5/20/2027		94		99


				559


Software — 0.2%

Microsoft Corp. 2.38%, 5/1/2023		34		35

Oracle Corp. 2.95%, 11/15/2024		200		209


				244


Specialty Retail — 0.4%

Advance Auto Parts, Inc. 4.50%, 12/1/2023		30		32

Home Depot, Inc. (The) 2.80%, 9/14/2027		150		157

Lowe’s Cos., Inc. 3.65%, 4/5/2029		200		218

O’Reilly Automotive, Inc.

3.55%, 3/15/2026		100		106

3.60%, 9/1/2027		62		66


				579


Technology Hardware, Storage & Peripherals — 0.2%

Apple, Inc. 2.75%, 1/13/2025		200		208


Tobacco — 0.3%

BAT Capital Corp. (United Kingdom) 3.22%, 8/15/2024		200		205

Philip Morris International, Inc. 3.38%, 8/11/2025		150		158


				363


Trading Companies & Distributors — 0.2%

Air Lease Corp. 3.63%, 12/1/2027		100		104

Aircastle Ltd. 4.40%, 9/25/2023		65		69

Aviation Capital Group LLC 3.88%, 5/1/2023 (a)		100		105


				278


Water Utilities — 0.1%

American Water Capital Corp. 3.85%, 3/1/2024		150		160


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Wireless Telecommunication Services — 0.1%

Rogers Communications, Inc. (Canada) 4.10%, 10/1/2023		160		172


Total Corporate Bonds (Cost $40,159)				42,041

U.S. Treasury Obligations — 24.7%

U.S. Treasury Bonds 6.00%, 2/15/2026		516		660

U.S. Treasury Notes

3.63%, 2/15/2020		3,000		3,022

1.88%, 1/31/2022		700		706

1.88%, 4/30/2022		1,000		1,011

2.25%, 1/31/2024		3,500		3,624

2.25%, 11/15/2024		250		260

2.88%, 5/31/2025		299		323

2.00%, 8/15/2025		2,500		2,579

2.25%, 11/15/2027		2,000		2,119

3.13%, 11/15/2028		2,000		2,278

2.63%, 2/15/2029		2,000		2,197

U.S. Treasury STRIPS Bonds 3.99%, 11/15/2021 (d)		1,525		1,474

2.79%, 2/15/2022 (d)		2,400		2,311

2.82%, 11/15/2022 (d)		1,300		1,240

2.72%, 5/15/2023 (d)		685		649

2.18%, 8/15/2023 (d)		3,890		3,672

2.31%, 11/15/2023 (d)		2,150		2,021

2.46%, 2/15/2024 (d)		3,000		2,809

2.21%, 5/15/2024 (d)		200		187

2.91%, 5/15/2025 (d)		200		184

2.34%, 5/15/2026 (d)		200		181

3.51%, 8/15/2026 (d)		47		42

3.65%, 11/15/2026 (d)		300		269

2.90%, 2/15/2027 (d)		100		89

3.91%, 8/15/2027 (d)		100		88

3.94%, 11/15/2027 (d)		140		123

3.06%, 2/15/2028 (d)		53		46

2.46%, 5/15/2028 (d)		10		9

3.24%, 8/15/2028 (d)		200		174


Total U.S. Treasury Obligations (Cost $33,140)				34,347

Collateralized Mortgage Obligations — 17.3%

Alternative Loan Trust

Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034		785		842

Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035		122		117


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Banc of America Funding Trust Series 2004-1, PO, 3/25/2034 ‡		14			13

BCAP LLC Trust Series 2010-RR7, Class 2A1, 4.31%, 7/26/2045 (a) (e)		47			47

CHL Mortgage Pass-Through Trust

Series 2004-HYB3, Class 2A, 3.83%, 6/20/2034 (e)		11			11

Series 2004-5, Class 1A4, 5.50%, 6/25/2034		27			28

Series 2005-22, Class 2A1, 3.98%, 11/25/2035 (e)		116			104

Citigroup Global Markets Mortgage Securities VII, Inc.

Series 2003-UP2, Class PO1, PO, 6/25/2033 ‡		—	(f)		—	(f)

Series 2003-HYB1, Class A, 4.74%, 9/25/2033 (e)		10			11

Citigroup Mortgage Loan Trust, Inc. Series 2003-UP3, Class A3, 7.00%, 9/25/2033		3			4

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-3, Class 1A1, 3.86%, 6/25/2020 (e)		18			18

FHLMC — GNMA Series 24, Class ZE, 6.25%, 11/25/2023		12			12

FHLMC, REMIC Series 2934, Class EC, PO, 2/15/2020		1			1

Series 2347, Class VP, 6.50%, 3/15/2020		1			1

Series 2999, Class ND, 4.50%, 7/15/2020		8			8

Series 1807, Class G, 9.00%, 10/15/2020		—	(f)		—	(f)

Series 85, Class C, 8.60%, 1/15/2021		—	(f)		—	(f)

Series 99, Class Z, 9.50%, 1/15/2021		—	(f)		—	(f)

Series 1084, Class F, 3.15%, 5/15/2021 (e)		—	(f)		—	(f)

Series 1079, Class S, HB, IF, 26.54%, 5/15/2021 (e)		—	(f)		—	(f)

Series 1084, Class S, HB, IF, 35.35%, 5/15/2021 (e)		—	(f)		—	(f)

Series 1144, Class KB, 8.50%, 9/15/2021		1			1

Series 1196, Class B, HB, IF, 1,104.54%, 1/15/2022 (e)		—	(f)		—	(f)

Series 1206, Class IA, 7.00%, 3/15/2022		1			1

Series 1250, Class J, 7.00%, 5/15/2022		1			1

Series 1343, Class LA, 8.00%, 8/15/2022		3			4

Series 2512, Class PG, 5.50%, 10/15/2022		47			49

Series 2535, Class BK, 5.50%, 12/15/2022		9			9

Series 1470, Class F, 2.14%, 2/15/2023 (e)		—	(f)		—	(f)

Series 2568, Class KG, 5.50%, 2/15/2023		74			77

Series 1466, Class PZ, 7.50%, 2/15/2023		13			14

Series 1491, Class I, 7.50%, 4/15/2023		5			6


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)



Series 1798, Class F, 5.00%, 5/15/2023		6			6

Series 1518, Class G, IF, 6.87%, 5/15/2023 (e)		5			6

Series 1541, Class O, 1.30%, 7/15/2023 (e)		5			5

Series 1608, Class L, 6.50%, 9/15/2023		18			19

Series 1602, Class SA, IF, 15.19%, 10/15/2023 (e)		2			3

Series 2283, Class K, 6.50%, 12/15/2023		7			8

Series 1700, Class GA, PO, 2/15/2024		2			2

Series 1671, Class L, 7.00%, 2/15/2024		4			5

Series 1706, Class K, 7.00%, 3/15/2024		32			34

Series 2033, Class SN, HB, IF, 26.31%, 3/15/2024 (e)		2			—	(f)

Series 1720, Class PL, 7.50%, 4/15/2024		94			100

Series 2306, Class K, PO, 5/15/2024		4			4

Series 2306, Class SE, IF, IO, 8.53%, 5/15/2024 (e)		9			1

Series 1745, Class D, 7.50%, 8/15/2024		6			6

Series 1927, Class PH, 7.50%, 1/15/2027		44			50

Series 1981, Class Z, 6.00%, 5/15/2027		17			19

Series 1987, Class PE, 7.50%, 9/15/2027		5			6

Series 2038, Class PN, IO, 7.00%, 3/15/2028		7			1

Series 2040, Class PE, 7.50%, 3/15/2028		39			45

Series 2063, Class PG, 6.50%, 6/15/2028		41			46

Series 2064, Class TE, 7.00%, 6/15/2028		5			6

Series 2075, Class PM, 6.25%, 8/15/2028		27			30

Series 2075, Class PH, 6.50%, 8/15/2028		28			31

Series 2089, Class PJ, IO, 7.00%, 10/15/2028		9			1

Series 2125, Class JZ, 6.00%, 2/15/2029		17			18

Series 2169, Class TB, 7.00%, 6/15/2029		77			87

Series 2163, Class PC, IO, 7.50%, 6/15/2029		4			—	(f)

Series 2172, Class QC, 7.00%, 7/15/2029		33			37

Series 2196, Class TL, 7.50%, 11/15/2029		—	(f)		—	(f)

Series 2201, Class C, 8.00%, 11/15/2029		14			16

Series 2210, Class Z, 8.00%, 1/15/2030		39			46

Series 2224, Class CB, 8.00%, 3/15/2030		12			14

Series 2256, Class MC, 7.25%, 9/15/2030		22			26

Series 2259, Class ZM, 7.00%, 10/15/2030		20			23

Series 2271, Class PC, 7.25%, 12/15/2030		19			22

Series 2296, Class PD, 7.00%, 3/15/2031		11			12

Series 2333, Class HC, 6.00%, 7/15/2031		24			27

Series 2344, Class ZD, 6.50%, 8/15/2031		186			219

Series 2344, Class ZJ, 6.50%, 8/15/2031		24			27

Series 2345, Class NE, 6.50%, 8/15/2031		13			15

Series 2351, Class PZ, 6.50%, 8/15/2031		20			23


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2410, Class OE, 6.38%, 2/15/2032		21		23

Series 2410, Class QX, IF, IO, 6.45%, 2/15/2032 (e)		11		2

Series 2410, Class NG, 6.50%, 2/15/2032		14		16

Series 2412, Class SP, IF, 11.71%, 2/15/2032 (e)		42		55

Series 2444, Class ES, IF, IO, 5.75%, 3/15/2032 (e)		26		5

Series 2450, Class SW, IF, IO, 5.80%, 3/15/2032 (e)		10		2

Series 2423, Class MC, 7.00%, 3/15/2032		12		14

Series 2423, Class MT, 7.00%, 3/15/2032		24		29

Series 2435, Class CJ, 6.50%, 4/15/2032		94		108

Series 2441, Class GF, 6.50%, 4/15/2032		27		31

Series 2455, Class GK, 6.50%, 5/15/2032		34		40

Series 2450, Class GZ, 7.00%, 5/15/2032		37		43

Series 2466, Class DH, 6.50%, 6/15/2032		52		58

Series 2474, Class NR, 6.50%, 7/15/2032		30		34

Series 2484, Class LZ, 6.50%, 7/15/2032		49		58

Series 2500, Class MC, 6.00%, 9/15/2032		43		49

Series 2543, Class YX, 6.00%, 12/15/2032		100		115

Series 2575, Class ME, 6.00%, 2/15/2033		178		202

Series 2586, Class WI, IO, 6.50%, 3/15/2033		15		3

Series 2990, Class SL, IF, 16.44%, 6/15/2034 (e)		29		37

Series 3611, PO, 7/15/2034		23		21

Series 2990, Class UZ, 5.75%, 6/15/2035		575		668

Series 3117, Class EO, PO, 2/15/2036		56		51

Series 3117, Class OK, PO, 2/15/2036		6		6

Series 3122, Class OH, PO, 3/15/2036		55		50

Series 3152, Class MO, PO, 3/15/2036		133		121

Series 3607, Class AO, PO, 4/15/2036		34		31

Series 3137, Class XP, 6.00%, 4/15/2036		82		95

Series 3819, Class ZQ, 6.00%, 4/15/2036		227		263

Series 3149, Class SO, PO, 5/15/2036		6		5

Series 3171, Class MO, PO, 6/15/2036		38		35

Series 3179, Class OA, PO, 7/15/2036		22		20

Series 3202, Class HI, IF, IO, 4.45%, 8/15/2036 (e)		180		29

Series 3232, Class ST, IF, IO, 4.50%, 10/15/2036 (e)		30		4

Series 3417, Class EO, PO, 11/15/2036		321		305

Series 3316, Class JO, PO, 5/15/2037		6		5

Series 3607, Class OP, PO, 7/15/2037		156		143

Series 3481, Class SJ, IF, IO, 3.65%, 8/15/2038 (e)		93		16


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)



Series 3680, Class MA, 4.50%, 7/15/2039		203			215

Series 4219, Class JA, 3.50%, 8/15/2039		348			355

Series 3997, Class PF, 2.65%, 11/15/2039 (e)		39			39

Series 4096, Class HA, 2.00%, 12/15/2041		272			272

Series 4374, Class NC, 3.75%, 2/15/2046 (g)		228			230

FHLMC, STRIPS

Series 243, Class 16, IO, 4.50%, 11/15/2020		—	(f)		—	(f)

Series 262, Class 35, 3.50%, 7/15/2042		473			504

FHLMC, Structured Pass-Through Certificates, Whole Loan

Series T-41, Class 3A, 5.41%, 7/25/2032 (e)		24			27

Series T-76, Class 2A, 2.37%, 10/25/2037 (e)		115			127

Series T-51, Class 2A, 7.50%, 8/25/2042 (e)		22			27

Series T-54, Class 2A, 6.50%, 2/25/2043		210			255

Series T-54, Class 3A, 7.00%, 2/25/2043		69			83

Series T-56, Class A5, 5.23%, 5/25/2043		524			589

Series T-58, Class APO, PO, 9/25/2043		15			12

First Horizon Mortgage Pass-Through Trust Series 2005-AR1, Class 2A2, 4.81%, 4/25/2035 (e)		12			12

FNMA Trust, Whole Loan

Series 2004-W2, Class 2A2, 7.00%, 2/25/2044		30			35

Series 2005-W3, Class 2AF, 2.37%, 3/25/2045 (e)		96			95

FNMA, REMIC

Series 1989-70, Class G, 8.00%, 10/25/2019		—	(f)		—	(f)

Series 1989-83, Class H, 8.50%, 11/25/2019		—	(f)		—	(f)

Series 1989-89, Class H, 9.00%, 11/25/2019		—	(f)		—	(f)

Series 1989-78, Class H, 9.40%, 11/25/2019		—	(f)		—	(f)

Series 1990-7, Class B, 8.50%, 1/25/2020		—	(f)		—	(f)

Series 1990-1, Class D, 8.80%, 1/25/2020		—	(f)		—	(f)

Series 1990-60, Class K, 5.50%, 6/25/2020		—	(f)		—	(f)

Series 1990-63, Class H, 9.50%, 6/25/2020		—	(f)		—	(f)

Series 1990-93, Class G, 5.50%, 8/25/2020		—	(f)		—	(f)

Series 1990-102, Class J, 6.50%, 8/25/2020		1			1

Series 1990-94, Class H, HB, 505.00%, 8/25/2020		—	(f)		—	(f)

Series 1990-95, Class J, HB, 1,118.04%, 8/25/2020		—	(f)		—	(f)

Series 1990-120, Class H, 9.00%, 10/25/2020		—	(f)		—	(f)

Series 1990-134, Class SC, IF, 18.38%, 11/25/2020 (e)		—	(f)		—	(f)


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 1990-140, Class K, HB, 652.15%, 12/25/2020		—	(f)		—	(f)

Series 2001-4, Class PC, 7.00%, 3/25/2021		3			3

Series 1991-42, Class S, IF, 13.92%, 5/25/2021 (e)		—	(f)		—	(f)

Series G-14, Class L, 8.50%, 6/25/2021		—	(f)		—	(f)

Series G-18, Class Z, 8.75%, 6/25/2021		1			1

Series 2001-48, Class Z, 6.50%, 9/25/2021		19			19

Series G-35, Class M, 8.75%, 10/25/2021		—	(f)		—	(f)

Series 2002-1, Class HC, 6.50%, 2/25/2022		8			8

Series 1992-107, Class SB, HB, IF, 23.39%, 6/25/2022 (e)		7			8

Series G92-42, Class Z, 7.00%, 7/25/2022		—	(f)		—	(f)

Series G92-35, Class E, 7.50%, 7/25/2022		5			6

Series G92-44, Class ZQ, 8.00%, 7/25/2022		—	(f)		—	(f)

Series 1996-59, Class J, 6.50%, 8/25/2022		2			2

Series 1992-143, Class MA, 5.50%, 9/25/2022		—	(f)		—	(f)

Series G92-54, Class ZQ, 7.50%, 9/25/2022		3			3

Series G93-5, Class Z, 6.50%, 2/25/2023		2			2

Series 1993-37, Class PX, 7.00%, 3/25/2023		33			35

Series 1993-25, Class J, 7.50%, 3/25/2023		5			5

Series 1998-4, Class C, PO, 4/25/2023		1			1

Series 1998-43, Class EA, PO, 4/25/2023		52			50

Series 1993-54, Class Z, 7.00%, 4/25/2023		10			11

Series 1993-62, Class SA, IF, 17.87%, 4/25/2023 (e)		2			2

Series 1993-122, Class M, 6.50%, 7/25/2023		3			3

Series 1996-14, Class SE, IF, IO, 8.68%, 8/25/2023 (e)		22			3

Series 1993-178, Class PK, 6.50%, 9/25/2023		5			5

Series 1993-165, Class SD, IF, 12.44%, 9/25/2023 (e)		1			1

Series 1993-183, Class KA, 6.50%, 10/25/2023		76			81

Series 1993-189, Class PL, 6.50%, 10/25/2023		29			31

Series 1994-9, Class E, PO, 11/25/2023		—	(f)		—	(f)

Series 1993-247, Class SA, HB, IF, 25.96%, 12/25/2023 (e)		8			9

Series G95-1, Class C, 8.80%, 1/25/2025		3			4

Series 2005-121, Class DX, 5.50%, 1/25/2026		204			217

Series 1997-20, IO, 1.84%, 3/25/2027 (e)		6			—	(f)

Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (e)		7			—	(f)


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 1997-27, Class J, 7.50%, 4/18/2027		8		9

Series 1997-29, Class J, 7.50%, 4/20/2027		10		11

Series 1997-39, Class PD, 7.50%, 5/20/2027		24		27

Series 2012-47, Class HF, 2.55%, 5/25/2027 (e)		102		102

Series 1997-81, Class PI, IO, 7.00%, 12/18/2027		6		1

Series 1998-36, Class ZB, 6.00%, 7/18/2028		4		5

Series 2000-2, Class ZE, 7.50%, 2/25/2030		41		47

Series 2001-33, Class ID, IO, 6.00%, 7/25/2031		29		5

Series 2001-36, Class DE, 7.00%, 8/25/2031		41		48

Series 2001-49, Class Z, 6.50%, 9/25/2031		7		8

Series 2001-44, Class PD, 7.00%, 9/25/2031		8		9

Series 2003-52, Class SX, IF, 16.51%, 10/25/2031 (e)		10		16

Series 2004-74, Class SW, IF, 11.14%, 11/25/2031 (e)		25		32

Series 2001-81, Class LO, PO, 1/25/2032		5		5

Series 2002-1, Class SA, IF, 18.22%, 2/25/2032 (e)		3		5

Series 2002-21, Class PE, 6.50%, 4/25/2032		20		23

Series 2002-28, Class PK, 6.50%, 5/25/2032		21		24

Series 2002-37, Class Z, 6.50%, 6/25/2032		25		28

Series 2004-61, Class SH, IF, 15.41%, 11/25/2032 (e)		28		42

Series 2003-22, Class UD, 4.00%, 4/25/2033		90		98

Series 2003-34, Class GE, 6.00%, 5/25/2033		211		236

Series 2003-39, IO, 6.00%, 5/25/2033 (e)		5		1

Series 2003-47, Class PE, 5.75%, 6/25/2033		88		99

Series 2003-64, Class SX, IF, 8.18%, 7/25/2033 (e)		11		13

Series 2003-71, Class DS, IF, 4.49%, 8/25/2033 (e)		83		91

Series 2005-56, Class TP, IF, 11.71%, 8/25/2033 (e)		60		70

Series 2003-91, Class SD, IF, 8.92%, 9/25/2033 (e)		7		9

Series 2003-116, Class SB, IF, IO, 5.45%, 11/25/2033 (e)		73		13

Series 2006-44, Class P, PO, 12/25/2033		26		24

Series 2003-130, Class SX, IF, 8.30%, 1/25/2034 (e)		4		4

Series 2004-25, Class SA, IF, 13.63%, 4/25/2034 (e)		37		51

Series 2004-46, Class SK, IF, 10.60%, 5/25/2034 (e)		26		33


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2004-36, Class SA, IF, 13.63%, 5/25/2034 (e)		53		77

Series 2004-50, Class VZ, 5.50%, 7/25/2034		311		346

Series 2005-74, Class CS, IF, 14.12%, 5/25/2035 (e)		32		40

Series 2005-45, Class DC, IF, 16.44%, 6/25/2035 (e)		52		73

Series 2005-56, Class S, IF, IO, 4.56%, 7/25/2035 (e)		38		8

Series 2005-68, Class PG, 5.50%, 8/25/2035		201		224

Series 2005-73, Class PS, IF, 11.34%, 8/25/2035 (e)		92		119

Series 2005-106, Class US, IF, 16.70%, 11/25/2035 (e)		64		92

Series 2006-27, Class OH, PO, 4/25/2036		53		49

Series 2006-65, Class QO, PO, 7/25/2036		26		24

Series 2006-56, Class FC, 2.44%, 7/25/2036 (e)		167		166

Series 2006-79, Class DO, PO, 8/25/2036		30		29

Series 2006-77, Class PC, 6.50%, 8/25/2036		60		68

Series 2006-110, PO, 11/25/2036		48		44

Series 2006-124, Class HB, 4.61%, 11/25/2036 (e)		71		74

Series 2007-14, Class ES, IF, IO, 4.29%, 3/25/2037 (e)		35		6

Series 2007-81, Class GE, 6.00%, 8/25/2037		86		96

Series 2007-79, Class SB, IF, 16.15%, 8/25/2037 (e)		32		46

Series 2007-88, Class VI, IF, IO, 4.39%, 9/25/2037 (e)		91		19

Series 2007-91, Class ES, IF, IO, 4.31%, 10/25/2037 (e)		239		48

Series 2007-106, Class A7, 6.16%, 10/25/2037 (e)		33		37

Series 2007-116, Class HI, IO, 1.46%, 1/25/2038 (e)		44		2

Series 2008-16, Class IS, IF, IO, 4.05%, 3/25/2038 (e)		10		1

Series 2008-10, Class XI, IF, IO, 4.08%, 3/25/2038 (e)		21		3

Series 2008-28, Class QS, IF, 14.26%, 4/25/2038 (e)		27		35

Series 2008-46, Class HI, IO, 1.77%, 6/25/2038 (e)		42		2

Series 2009-69, PO, 9/25/2039		45		40

Series 2009-103, Class MB, 4.62%, 12/25/2039 (e)		58		62

Series 2010-71, Class HJ, 5.50%, 7/25/2040		147		169


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)



Series 2011-118, Class MT, 7.00%, 11/25/2041		164			196

Series 2011-118, Class NT, 7.00%, 11/25/2041		154			180

Series 2013-101, Class DO, PO, 10/25/2043		277			247

Series 2013-128, PO, 12/25/2043		259			233

FNMA, REMIC Trust Series 2006-72, Class GO, PO, 8/25/2036		38			36

FNMA, REMIC Trust, Whole Loan

Series 2007-W7, Class 1A4, HB, IF, 26.31%, 7/25/2037 (e)		8			14

Series 2003-W4, Class 2A, 5.80%, 10/25/2042 (e)		15			17

Series 2003-W1, Class 1A1, 5.32%, 12/25/2042 (e)		81			89

FNMA, STRIPS

Series 218, Class 2, IO, 7.50%, 4/25/2023		—	(f)		—	(f)

Series 300, Class 1, PO, 9/25/2024		20			19

Series 329, Class 1, PO, 1/25/2033		5			4

GNMA

Series 1994-7, Class PQ, 6.50%, 10/16/2024		50			50

Series 2010-14, Class AO, PO, 12/20/2032		17			16

Series 2003-24, PO, 3/16/2033		7			7

Series 2003-40, Class TJ, 6.50%, 3/20/2033		179			200

Series 2003-52, Class AP, PO, 6/16/2033		45			41

Series 2004-28, Class S, IF, 13.62%, 4/16/2034 (e)		13			19

Series 2004-73, Class AE, IF, 10.32%, 8/17/2034 (e)		12			13

Series 2004-71, Class SB, IF, 18.80%, 9/20/2034 (e)		23			34

Series 2004-90, Class SI, IF, IO, 3.93%, 10/20/2034 (e)		135			18

Series 2005-68, Class DP, IF, 11.14%, 6/17/2035 (e)		28			34

Series 2005-68, Class KI, IF, IO, 4.13%, 9/20/2035 (e)		249			49

Series 2006-38, Class ZK, 6.50%, 8/20/2036		401			453

Series 2006-59, Class SD, IF, IO, 4.53%, 10/20/2036 (e)		28			5

Series 2007-17, Class JI, IF, IO, 4.61%, 4/16/2037 (e)		101			18

Series 2007-27, Class SA, IF, IO, 4.03%, 5/20/2037 (e)		127			14

Series 2007-45, Class QA, IF, IO, 4.47%, 7/20/2037 (e)		108			13

Series 2007-40, Class SB, IF, IO, 4.58%, 7/20/2037 (e)		176			29


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2007-50, Class AI, IF, IO, 4.60%, 8/20/2037 (e)		94		20

Series 2007-53, Class ES, IF, IO, 4.38%, 9/20/2037 (e)		28		4

Series 2007-53, Class SW, IF, 13.69%, 9/20/2037 (e)		24		30

Series 2009-79, Class OK, PO, 11/16/2037		92		86

Series 2007-76, Class SA, IF, IO, 4.36%, 11/20/2037 (e)		56		7

Series 2007-72, Class US, IF, IO, 4.38%, 11/20/2037 (e)		55		6

Series 2009-106, Class ST, IF, IO, 3.83%, 2/20/2038 (e)		192		26

Series 2008-33, Class XS, IF, IO, 5.50%, 4/16/2038 (e)		36		6

Series 2008-40, Class SA, IF, IO, 4.20%, 5/16/2038 (e)		113		18

Series 2008-55, Class SA, IF, IO, 4.03%, 6/20/2038 (e)		69		11

Series 2008-50, Class KB, 6.00%, 6/20/2038		140		162

Series 2008-93, Class AS, IF, IO, 3.53%, 12/20/2038 (e)		74		8

Series 2009-6, Class SA, IF, IO, 3.90%, 2/16/2039 (e)		22		2

Series 2009-31, Class TS, IF, IO, 4.13%, 3/20/2039 (e)		79		6

Series 2009-14, Class NI, IO, 6.50%, 3/20/2039		34		8

Series 2009-22, Class SA, IF, IO, 4.10%, 4/20/2039 (e)		99		10

Series 2009-92, Class ZC, 5.00%, 10/20/2039		592		678

Series 2011-137, Class WA, 5.56%, 7/20/2040 (e)		235		270

Series 2010-105, Class B, 5.00%, 8/20/2040		795		895

Series 2010-130, Class CP, 7.00%, 10/16/2040		63		75

Series 2013-91, Class WA, 4.49%, 4/20/2043 (e)		430		462

Series 2012-H24, Class FA, 2.83%, 3/20/2060 (e)		5		5

Series 2013-H03, Class FA, 2.68%, 8/20/2060 (e)		2		2

Series 2012-H21, Class DF, 3.03%, 5/20/2061 (e)		8		8

Series 2012-H26, Class MA, 2.93%, 7/20/2062 (e)		10		10

Series 2012-H29, Class FA, 2.89%, 10/20/2062 (e)		530		530


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2014-H15, Class FA, 2.88%, 7/20/2064 (e)		639		639

Series 2014-H17, Class FC, 2.88%, 7/20/2064 (e)		594		595

Series 2015-H15, Class FJ, 2.82%, 6/20/2065 (e)		597		596

Series 2015-H18, Class FA, 2.83%, 6/20/2065 (e)		487		487

Series 2015-H20, Class FA, 2.85%, 8/20/2065 (e)		563		562

Series 2015-H26, Class FG, 2.90%, 10/20/2065 (e)		645		646

GSR Mortgage Loan Trust Series 2006-1F, Class 1A3, 5.50%, 2/25/2036		68		84

Impac Secured Assets CMN Owner Trust Series 2002-2, Class APO, PO, 4/25/2033 ‡		37		28

JP Morgan Mortgage Trust

Series 2003-A1, Class 1A1, 4.27%, 10/25/2033 (e) (h)		186		191

Series 2006-A2, Class 5A3, 4.62%, 11/25/2033 (e) (h)		55		57

Series 2006-A2, Class 4A1, 4.70%, 8/25/2034 (e) (h)		18		19

MASTR Adjustable Rate Mortgages Trust

Series 2004-13, Class 2A1, 4.85%, 4/21/2034 (e)		45		47

Series 2004-3, Class 4A2, 4.11%, 4/25/2034 (e)		11		10

MASTR Alternative Loan Trust

Series 2004-10, Class 1A1, 4.50%, 9/25/2019		1		1

Series 2005-6, Class 3A1, 5.50%, 11/25/2020		21		20

Series 2004-4, Class 10A1, 5.00%, 5/25/2024		132		137

Series 2003-9, Class 8A1, 6.00%, 1/25/2034		97		104

Series 2004-7, Class 30PO, PO, 8/25/2034 ‡		10		8

MASTR Resecuritization Trust Series 2005-PO, Class 3PO, PO, 5/28/2035 ‡ (a)		9		8

Merrill Lynch Mortgage Investors Trust

Series 2003-E, Class A1, 2.77%, 10/25/2028 (e)		105		105

Series 2004-A, Class A1, 2.61%, 4/25/2029 (e)		33		33

NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (e)		36		37


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

NCUA Guaranteed Notes Trust Series 2010-R3, Class 3A, 2.40%, 12/8/2020		14			15

Nomura Asset Acceptance Corp. Alternative Loan Trust

Series 2003-A1, Class A5, 7.00%, 4/25/2033		7			7

Series 2003-A1, Class A1, 5.50%, 5/25/2033		7			8

Series 2003-A1, Class A2, 6.00%, 5/25/2033		17			18

RALI Trust

Series 2002-QS16, Class A3, IF, 12.14%, 10/25/2017 (e)		—	(f)		—	(f)

Series 2003-QS9, Class A3, IF, IO, 5.40%, 5/25/2018 ‡ (e)		1			—	(f)

Series 2004-QS3, Class CB, 5.00%, 3/25/2019		1			1

Reperforming Loan REMIC Trust Series 2005-R1, Class 2APO, PO, 3/25/2035 ‡ (a)		49			36

Residential Asset Securitization Trust

Series 2003-A14, Class A1, 4.75%, 2/25/2019		—	(f)		—	(f)

Seasoned Credit Risk Transfer Trust

Series 2019-1, Class MT, 3.50%, 7/25/2058		574			604

Series 2019-3, Class M55D, 4.00%, 10/25/2058		115			121

Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028		458			483

Vendee Mortgage Trust

Series 1993-1, Class ZB, 7.25%, 2/15/2023		123			132

Series 1994-1, Class 1, 5.30%, 2/15/2024 (e)		84			88

Series 1996-1, Class 1Z, 6.75%, 2/15/2026		137			153

Series 1996-2, Class 1Z, 6.75%, 6/15/2026		45			50

Series 1997-1, Class 2Z, 7.50%, 2/15/2027		195			220

Series 1998-1, Class 2E, 7.00%, 3/15/2028		47			53

WaMu Mortgage Pass-Through Certificates Trust

Series 2003-AR5, Class A7, 4.69%, 6/25/2033 (e)		43			44

Series 2004-AR3, Class A2, 4.50%, 6/25/2034 (e)		24			24

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class CB7, 5.50%, 6/25/2035		120			119

Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2003-MS7, Class P, PO, 3/25/2033 ‡		—	(f)		—	(f)

Wells Fargo Mortgage-Backed Securities Trust

Series 2003-K, Class 1A1, 4.70%, 11/25/2033 (e)		17			17


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2004-P, Class 2A1, 4.86%, 9/25/2034 (e)		74		77

Series 2004-EE, Class 3A1, 4.82%, 12/25/2034 (e)		25		26

Series 2005-AR3, Class 1A1, 4.99%, 3/25/2035 (e)		114		119


Total Collateralized Mortgage Obligations (Cost $22,724)				24,015

Mortgage-Backed Securities — 11.5%

FHLMC

Pool # 785618, ARM, 4.50%, 7/1/2026 (e)		8		8

Pool # 611141, ARM, 4.63%, 1/1/2027 (e)		10		10

Pool # 1B2656, ARM, 4.66%, 12/1/2034 (e)		39		41

Pool # 1G2557, ARM, 4.88%, 6/1/2036 (e)		78		83

Pool # 1A1085, ARM, 4.42%, 8/1/2036 (e)		72		75

Pool # 1Q0105, ARM, 4.52%, 9/1/2036 (e)		27		28

Pool # 1B7242, ARM, 4.73%, 9/1/2036 (e)		51		54

Pool # 1Q0737, ARM, 4.52%, 11/1/2036 (e)		33		35

Pool # 1N1511, ARM, 4.29%, 1/1/2037 (e)		36		38

Pool # 1J1543, ARM, 5.48%, 2/1/2037 (e)		12		12

Pool # 1Q0739, ARM, 4.51%, 3/1/2037 (e)		37		39

Pool # 1Q0722, ARM, 5.06%, 4/1/2038 (e)		32		34

FHLMC Gold Pools, 15 Year Pool # G12825, 6.50%, 3/1/2022		5		5

FHLMC Gold Pools, 20 Year Pool # C90985, 6.50%, 8/1/2026		9		10

FHLMC Gold Pools, 30 Year

Pool # G00245, 8.00%, 8/1/2024		1		1

Pool # C00376, 8.00%, 11/1/2024		1		1

Pool # C00414, 7.50%, 8/1/2025		2		2

Pool # C00452, 7.00%, 4/1/2026		3		3

Pool # G00981, 8.50%, 7/1/2028		6		7

Pool # A17537, 6.00%, 1/1/2034		26		30

Pool # G02682, 7.00%, 2/1/2037		21		26

Pool # Q58054, 4.50%, 11/1/2046		338		366

FHLMC Gold Pools, Other

Pool # G20027, 10.00%, 10/1/2030		12		12

Pool # L10151, 6.00%, 2/1/2033		7		8

Pool # U80336, 3.50%, 5/1/2033		528		548

Pool # U90690, 3.50%, 6/1/2042		235		246

Pool # U90975, 4.00%, 6/1/2042		234		250

Pool # U91427, 3.50%, 5/1/2043		588		616

FNMA

Pool # 54844, ARM, 2.81%, 9/1/2027 (e)		3		3

Pool # 303532, ARM, 4.06%, 3/1/2029 (e)		2		2


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)

Mortgage-Backed Securities — continued

Pool # 745446, ARM, 4.89%, 4/1/2033 (e)		39			41

Pool # 746299, ARM, 4.24%, 9/1/2033 (e)		53			56

Pool # 743546, ARM, 4.36%, 11/1/2033 (e)		40			42

Pool # 735332, ARM, 4.62%, 8/1/2034 (e)		58			61

Pool # 790964, ARM, 4.07%, 9/1/2034 (e)		29			30

Pool # 896463, ARM, 4.67%, 10/1/2034 (e)		56			59

Pool # 810896, ARM, 4.14%, 1/1/2035 (e)		41			43

Pool # 816361, ARM, 4.41%, 1/1/2035 (e)		98			103

Pool # 816594, ARM, 3.95%, 2/1/2035 (e)		33			34

Pool # 816597, ARM, 4.69%, 2/1/2035 (e)		19			20

Pool # 745862, ARM, 4.74%, 4/1/2035 (e)		38			41

Pool # 838972, ARM, 4.14%, 8/1/2035 (e)		9			9

Pool # 843026, ARM, 3.97%, 9/1/2035 (e)		63			65

Pool # 832801, ARM, 4.02%, 9/1/2035 (e)		62			66

Pool # 920340, ARM, 5.20%, 2/1/2036 (e)		41			43

Pool # 886558, ARM, 4.11%, 8/1/2036 (e)		13			14

Pool # 893424, ARM, 3.95%, 9/1/2036 (e)		40			42

Pool # 913984, ARM, 3.91%, 2/1/2037 (e)		16			16

Pool # 915645, ARM, 4.51%, 2/1/2037 (e)		44			46

Pool # 887094, ARM, 4.67%, 7/1/2046 (e)		52			55

FNMA, 30 Year Pool # 252409, 6.50%, 3/1/2029		11			12

Pool # 752786, 6.00%, 9/1/2033		11			12

FNMA, Other

Pool # 467630, 4.30%, 4/1/2021		724			744

Pool # AL0569, 4.26%, 6/1/2021		282			293

Pool # AM8317, 2.96%, 3/1/2025		186			197

Pool # AN2309, 2.21%, 7/1/2026		472			482

Pool # AM6381, 3.29%, 8/1/2026		1,000			1,080

Pool # AM7485, 3.24%, 12/1/2026		1,000			1,082

Pool # AM7515, 3.34%, 2/1/2027		500			541

Pool # BL1211, 4.01%, 2/1/2027		200			224

Pool # AM8529, 3.03%, 4/1/2027		1,000			1,072

Pool # AM8432, 2.79%, 5/1/2027		1,000			1,056

Pool # BL1040, 3.81%, 12/1/2028		150			171

Pool # BL0907, 3.88%, 12/1/2028		300			342

Pool # AM6755, 3.65%, 9/1/2029		282			319

Pool # AM6892, 3.76%, 9/1/2029		232			264

Pool # BM4162, 3.20%, 10/1/2029		298			320

Pool # 109707, 3.80%, 9/1/2033		244			274

Pool # 888408, 6.00%, 3/1/2037		30			34

Pool # 257172, 5.50%, 4/1/2038		9			9

Pool # MA1125, 4.00%, 7/1/2042		411			438

GNMA I, 30 Year

Pool # 313110, 7.50%, 11/15/2022		—	(f)		—	(f)


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)



Pool # 352108, 7.00%, 8/15/2023		—	(f)		1

Pool # 363030, 7.00%, 9/15/2023		20			21

Pool # 352022, 7.00%, 11/15/2023		1			1

Pool # 366706, 6.50%, 1/15/2024		7			7

Pool # 371281, 7.00%, 2/15/2024		8			8

Pool # 782507, 9.50%, 10/15/2024		3			3

Pool # 780029, 9.00%, 11/15/2024		—	(f)		—	(f)

Pool # 780965, 9.50%, 12/15/2025		2			2

Pool # 442119, 7.50%, 11/15/2026		2			2

Pool # 411829, 7.50%, 7/15/2027		2			2

Pool # 468149, 8.00%, 8/15/2028		1			1

Pool # 468236, 6.50%, 9/15/2028		37			40

Pool # 486537, 7.50%, 9/15/2028		3			3

Pool # 466406, 6.00%, 11/15/2028		23			25

Pool # 607645, 6.50%, 2/15/2033		10			11

Pool # 781614, 7.00%, 6/15/2033		17			21

Pool # 782615, 7.00%, 6/15/2035		54			63

Pool # 782025, 6.50%, 12/15/2035		66			76

Pool # 681638, 6.00%, 12/15/2038		69			76

GNMA II, 30 Year

Pool # 1974, 8.50%, 3/20/2025		1			1

Pool # 1989, 8.50%, 4/20/2025		3			4

Pool # 2006, 8.50%, 5/20/2025		3			3

Pool # 2141, 8.00%, 12/20/2025		1			1

Pool # 2234, 8.00%, 6/20/2026		1			1

Pool # 2270, 8.00%, 8/20/2026		1			1

Pool # 2285, 8.00%, 9/20/2026		1			2

Pool # 2324, 8.00%, 11/20/2026		1			1

Pool # 2499, 8.00%, 10/20/2027		3			3

Pool # 2512, 8.00%, 11/20/2027		2			3

Pool # 2525, 8.00%, 12/20/2027		1			1

Pool # 2549, 7.50%, 2/20/2028		1			1

Pool # 2562, 6.00%, 3/20/2028		15			17

Pool # 2606, 8.00%, 6/20/2028		1			1

Pool # 2633, 8.00%, 8/20/2028		—	(f)		—	(f)

Pool # 2646, 7.50%, 9/20/2028		4			4

Pool # 4245, 6.00%, 9/20/2038		78			90

Pool # BA7567, 4.50%, 5/20/2048		330			352

Pool # BI0416, 4.50%, 11/20/2048		444			472

Pool # BM9692, 4.50%, 7/20/2049		200			214

GNMA II, Other Pool # AD0860, 3.50%, 11/20/2033		435			456

UMBS, 15 Year

Pool # 735386, 5.50%, 1/1/2020		—	(f)		—	(f)

Pool # 889265, 5.50%, 6/1/2020		—	(f)		—	(f)


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)

Mortgage-Backed Securities — continued

Pool # 735911, 6.50%, 8/1/2020		—	(f)		—	(f)

Pool # 745406, 6.00%, 3/1/2021		9			10

Pool # 995381, 6.00%, 1/1/2024		25			26

UMBS, 20 Year Pool # 254305, 6.50%, 5/1/2022		16			18

UMBS, 30 Year

Pool # 70825, 8.00%, 3/1/2021		—	(f)		—	(f)

Pool # 189190, 7.50%, 11/1/2022		1			1

Pool # 479469, 10.00%, 2/1/2024		—	(f)		—	(f)

Pool # 250066, 8.00%, 5/1/2024		1			1

Pool # 250103, 8.50%, 7/1/2024		2			2

Pool # 303031, 7.50%, 10/1/2024		1			1

Pool # 308499, 8.50%, 5/1/2025		—	(f)		—	(f)

Pool # 695533, 8.00%, 6/1/2027		7			7

Pool # 313687, 7.00%, 9/1/2027		2			2

Pool # 755973, 8.00%, 11/1/2028		11			13

Pool # 598559, 6.50%, 8/1/2031		13			16

Pool # 995409, 8.00%, 11/1/2032		141			168

Pool # 675555, 6.00%, 12/1/2032		27			30

Pool # 674349, 6.00%, 3/1/2033		12			13

Pool # 702901, 6.00%, 5/1/2033		45			51

Pool # 721535, 5.00%, 7/1/2033		69			76

Pool # 723852, 5.00%, 7/1/2033		25			28

Pool # 729296, 5.00%, 7/1/2033		49			54

Pool # 713700, 4.50%, 8/1/2033		28			30

Pool # 737825, 6.00%, 9/1/2033		10			11

Pool # 725027, 5.00%, 11/1/2033		47			52

Pool # 725017, 5.50%, 12/1/2033		44			50

Pool # AA0922, 6.00%, 9/1/2036		67			77

Pool # 986648, 6.00%, 9/1/2037		31			35

Pool # AD9151, 5.00%, 8/1/2040		188			207

Pool # BK8753, 4.50%, 6/1/2049		499			535


Total Mortgage-Backed Securities (Cost $15,152)					15,950

Asset-Backed Securities — 9.2%

Ally Auto Receivables Trust

Series 2018-2, Class A3, 2.92%, 11/15/2022		246			248

Series 2019-1, Class A3, 2.91%, 9/15/2023		69			70

American Airlines Pass-Through Trust

Series 2013-2, Class A, 4.95%, 1/15/2023		99			104

Series 2016-3, Class AA, 3.00%, 10/15/2028		74			76

American Credit Acceptance Receivables Trust

Series 2018-3, Class B, 3.49%, 6/13/2022 (a)		55			55


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2019-1, Class A, 3.06%, 7/12/2022 (a)		75		76

American Express Credit Account Master Trust Series 2019-1, Class A, 2.87%, 10/15/2024		135		139

AmeriCredit Automobile Receivables Trust

Series 2017-3, Class A3, 1.90%, 3/18/2022		71		71

Series 2018-1, Class A3, 3.07%, 12/19/2022		115		116

Series 2018-2, Class A3, 3.15%, 3/20/2023		148		150

Series 2019-1, Class A3, 2.97%, 11/20/2023		61		62

Series 2019-2, Class A3, 2.28%, 1/18/2024		250		252

B2R Mortgage Trust

Series 2015-1, Class A1, 2.52%, 5/15/2048 ‡ (a)		5		5

Series 2015-2, Class A, 3.34%, 11/15/2048 (a)		108		108

British Airways Pass-Through Trust (United Kingdom) Series 2018-1, Class AA, 3.80%, 9/20/2031 (a)		64		68

CarMax Auto Owner Trust

Series 2018-2, Class A3, 2.98%, 1/17/2023		136		138

Series 2018-3, Class A3, 3.13%, 6/15/2023		234		239

Series 2019-1, Class A3, 3.05%, 3/15/2024		220		225

Carvana Auto Receivables Trust Series 2019-2A, Class A3, 2.58%, 3/15/2023 (a)		350		351

Continental Airlines Pass-Through Trust

Series 1999-2, Class A-1, 7.26%, 3/15/2020		2		2

CPS Auto Receivables Trust

Series 2015-B, Class C, 4.20%, 5/17/2021 (a)		346		348

Series 2017-C, Class B, 2.30%, 7/15/2021 (a)		34		34

Series 2015-C, Class D, 4.63%, 8/16/2021 (a)		310		313

CPS Auto Trust Series 2018-C, Class A, 2.87%, 9/15/2021 (a)		34		34

Credit Acceptance Auto Loan Trust

Series 2018-2A, Class A, 3.47%, 5/17/2027 (a)		250		254

CVS Pass-Through Trust 5.93%, 1/10/2034 (a)		44		52

Drive Auto Receivables Trust

Series 2015-BA, Class D, 3.84%, 7/15/2021 (a)		70		70

Series 2018-3, Class A3, 3.01%, 11/15/2021		11		12

Series 2019-1, Class A3, 3.18%, 10/17/2022		195		196

Series 2018-4, Class B, 3.36%, 10/17/2022		118		118


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Asset-Backed Securities — continued

Series 2015-DA, Class D, 4.59%, 1/17/2023 (a)		166		167

Series 2018-2, Class C, 3.63%, 8/15/2024		100		101

DT Auto Owner Trust

Series 2018-2A, Class A, 2.84%, 9/15/2021 (a)		32		32

Series 2019-1A, Class A, 3.08%, 9/15/2022 (a)		62		62

Exeter Automobile Receivables Trust

Series 2016-1A, Class C, 5.52%, 10/15/2021 (a)		184		185

Series 2018-3A, Class A, 2.90%, 1/18/2022 (a)		35		35

Federal Express Corp. Pass-Through Trust Series 1998, 6.72%, 1/15/2022		230		241

First Investors Auto Owner Trust

Series 2015-2A, Class D, 4.22%, 12/15/2021 (a)		100		101

Series 2018-1A, Class A2, 3.22%, 1/17/2023 (a)		68		68

Series 2019-1A, Class A, 2.89%, 3/15/2024 (a)		80		81

Flagship Credit Auto Trust

Series 2015-3, Class B, 3.68%, 3/15/2022 (a)		42		42

Series 2015-3, Class C, 4.65%, 3/15/2022 (a)		113		115

Series 2016-1, Class C, 6.22%, 6/15/2022 (a)		400		414

Series 2018-2, Class A, 2.97%, 10/17/2022 (a)		91		91

Series 2018-3, Class A, 3.07%, 2/15/2023 (a)		60		60

Ford Credit Auto Lease Trust

Series 2018-B, Class A4, 3.30%, 2/15/2022		88		90

Series 2019-A, Class A3, 2.90%, 5/15/2022		115		116

GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (e)		22		19

GM Financial Automobile Leasing Trust

Series 2017-3, Class A3, 2.01%, 11/20/2020		19		19

Series 2018-2, Class A3, 3.06%, 6/21/2021		117		118

Series 2018-3, Class A3, 3.18%, 6/21/2021		107		108

Series 2018-1, Class A4, 2.68%, 12/20/2021		76		76

Series 2019-1, Class A3, 2.98%, 12/20/2021		91		92

GM Financial Consumer Automobile Receivables Trust Series 2018-2, Class A3, 2.81%, 12/16/2022		134		136


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



GMAT Trust

Series 2013-1A, Class A, 6.97%, 11/25/2043 ‡ (a) (g)		3		3

Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (a)		35		35

Honda Auto Receivables Owner Trust

Series 2017-3, Class A3, 1.79%, 9/20/2021		45		45

Series 2018-2, Class A3, 3.01%, 5/18/2022		128		129

Hyundai Auto Lease Securitization Trust

Series 2018-B, Class A4, 3.20%, 6/15/2022 (a)		127		129

Series 2019-A, Class A3, 2.98%, 7/15/2022 (a)		140		142

Hyundai Auto Receivables Trust

Series 2017-B, Class A3, 1.77%, 1/18/2022		170		169

Series 2018-A, Class A3, 2.79%, 7/15/2022		78		79

LV Tower 52 Issuer Series 2013-1, Class A, 5.75%, 7/15/2019 ‡ (a)		999		1,006

Mercedes-Benz Auto Lease Trust

Series 2019-A, Class A3, 3.10%, 11/15/2021		40		41

OneMain Direct Auto Receivables Trust Series 2018-1A, Class A, 3.43%, 12/16/2024 (a)		164		167

Oportun Funding VIII LLC Series 2018-A, Class A, 3.61%, 3/8/2024 (a)		491		497

Progress Residential Trust

Series 2015-SFR2, Class A, 2.74%, 6/12/2032 (a)		851		849

Series 2015-SFR2, Class B, 3.14%, 6/12/2032 ‡ (a)		351		351

Series 2015-SFR3, Class A, 3.07%, 11/12/2032 ‡ (a)		779		778

Series 2015-SFR3, Class D, 4.67%, 11/12/2032 ‡ (a)		200		201

Santander Drive Auto Receivables Trust

Series 2018-3, Class A3, 3.03%, 2/15/2022		49		49

Series 2018-4, Class A3, 3.01%, 3/15/2022		49		49

Series 2019-1, Class A3, 3.00%, 12/15/2022		55		55

Series 2019-2, Class A3, 2.59%, 5/15/2023		110		111

Santander Retail Auto Lease Trust Series 2019-A, Class A3, 2.77%, 6/20/2022 (a)		225		229

Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 3.35%, 1/25/2036 ‡ (g)		29		26

Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030		43		45


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)

Asset-Backed Securities — continued

Synchrony Card Issuance Trust Series 2018-A1, Class A, 3.38%, 9/15/2024		260		269

United Airlines Pass-Through Trust Series 2016-2, Class AA, 2.88%, 10/7/2028		110		113

US Auto Funding LLC Series 2019-1A, Class B, 3.99%, 12/15/2022 (a)		100		102

Verizon Owner Trust Series 2018-A, Class A1A, 3.23%, 4/20/2023		100		102

World Financial Network Credit Card Master Trust Series 2018-B, Class A, 3.46%, 7/15/2025		156		161

World Omni Auto Receivables Trust Series 2017-B, Class A3, 1.95%, 2/15/2023		104		104

World Omni Automobile Lease Securitization Trust

Series 2018-B, Class A3, 3.19%, 12/15/2021		93		95

Series 2019-A, Class A3, 2.94%, 5/16/2022		125		127


Total Asset-Backed Securities (Cost $12,663)				12,813


Commercial Mortgage-Backed Securities — 5.0%

20 Times Square Trust Series 2018-20TS, Class A, 3.20%, 5/15/2035 (a) (e)		145		150

CD Commercial Mortgage Trust Series 2007-CD4, Class XC, IO, 0.76%, 12/11/2049 ‡ (a) (e)		19		—	(f)

Commercial Mortgage Trust Series 2015-CR25, Class A4, 3.76%, 8/10/2048		281		306

FHLMC, Multifamily Structured Pass-Through Certificates

Series KF12, Class A, 2.92%, 9/25/2022 (e)		112		112

Series KSMC, Class A2, 2.62%, 1/25/2023		500		512

Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (e)		500		535

Series K069, Class A2, 3.19%, 9/25/2027 (e)		500		544

Series K081, Class A1, 3.88%, 2/25/2028		117		130

Series K083, Class A2, 4.05%, 9/25/2028 (e)		297		345

Series K088, Class A2, 3.69%, 1/25/2029		480		545

FNMA ACES

Series 2010-M3, Class A3, 4.33%, 3/25/2020 (e)		90		91

Series 2015-M17, Class FA, 3.31%, 11/25/2022 (e)		203		203

Series 2014-M2, Class A2, 3.51%, 12/25/2023 (e)		397		422

Series 2014-M13, Class A2, 3.02%, 8/25/2024 (e)		636		669

Series 2015-M7, Class A2, 2.59%, 12/25/2024		820		846


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)



Series 2018-M2, Class A2, 3.00%, 1/25/2028 (e)		500		532

Series 2018-M13, Class A1, 3.82%, 3/25/2030 (e)		224		251

UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a)		116		120

UBS-Barclays Commercial Mortgage Trust

Series 2012-C2, Class A4, 3.53%, 5/10/2063		104		108

VNDO Mortgage Trust Series 2013-PENN, Class A, 3.81%, 12/13/2029 (a)		500		508


Total Commercial Mortgage-Backed Securities (Cost $6,540)				6,929

U.S. Government Agency Securities — 0.5%

FNMA 1.87%10/9/2019 (d)		85		85

Resolution Funding Corp. STRIPS 1.63%10/15/2019 (d)		165		164

1.77%7/15/2020 (d)		250		246

DN, 3.01%1/15/2026 (d)		90		81

DN, 2.81%10/15/2027 (d)		80		69


Total U.S. Government Agency Securities (Cost $636)				645

Foreign Government Securities — 0.2%

United Mexican States (Mexico) 3.63%, 3/15/2022 (Cost $248)		244		252


	SHARES (000)
Short-Term Investments — 0.9%

Investment Companies — 0.9%

JPMorgan Prime Money Market Fund Class Institutional Shares, 2.16% (h) (i) (Cost $1,240)		1,240		1,240

Total Investments — 99.6% (Cost $132,502)				138,232
Other Assets Less Liabilities — 0.4%				569

NET ASSETS — 100.0%				138,801

Percentages indicated are based on net assets.


Abbreviations

ACES		Alternative Credit Enhancement Securities
ARM		Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2019.
DN		Discount Notes
ESOP		Employee Stock Ownership Program
FHLMC		Federal Home Loan Mortgage Corp.


FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
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.
ICE		Intercontinental Exchange
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, 2019. 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
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.
UMBS		Uniform Mortgage-Backed Securities
USD		United States Dollar

(a)		Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended.
(b)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2019.
(c)		Amount rounds to less than 0.1% of net assets.
(d)		The rate shown is the effective yield as of August 31, 2019.
(e)		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, 2019.
(f)		Amount rounds to less than one thousand.
(g)		Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2019.
(h)		Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(i)		The rate shown is the current yield as of August 31, 2019.
‡		Value determined using significant unobservable inputs.

JPMorgan Institutional Trust (the “Trust”) was organized on September 14, 2004 as a Delaware statutory trust, pursuant to a Declaration of Trust dated September 14, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The following are two separate diversified series of the Trust (each, a “Fund” and collectively, the “Funds”) covered by this report: JPMorgan Core Bond Trust and JPMorgan Intermediate Bond Trust.

The investment objective of JPMorgan Core Bond Trust (“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 JPMorgan Intermediate Bond Trust (“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, thus, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) 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 of the Trust (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 their market value 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 Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or 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.

Investments in open-end investment companies excluding exchange traded funds (“ETFs”) (“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, 2019.

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):

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

The changes in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2019, 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.

For each of the Funds, there were no significant transfers into and out of level 3 for the six months ended August 31, 2019.

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, as amended (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, 2019, 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 Securities, Delayed Delivery Securities and Forward Commitments — Intermediate Bond Trust purchased when-issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until settlement date.

Core Bond Trust had when-issued securities, forward commitments or delayed delivery securities outstanding as of August 31, 2019, which are shown as Payable for Investment securities purchased — delayed delivery securities on the Statements of Assets and Liabilities. The values of these securities held at August 31, 2019 are detailed in the SOIs.

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 Fund invests 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 from non-affiliates on the Statements of Operations.

At August 31, 2019, the Fund did not have any outstanding unfunded loan commitments.

F. Securities Lending — Effective October 5, 2018, the Funds became authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in an affiliated money market fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.

The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations).

Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.

The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.

The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.

Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.

JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.16% to 0.06%. JPMIM waived fees associated with the Funds’ investment in JPMorgan U.S. Government Money Market Fund as follows (amounts in thousands):

The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).

G. Investment Transactions with Affiliates — The Funds invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Funds may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below. Included in the purchases and sales amounts in the tables below are exchanges between certain share classes of the Underlying Funds. Such exchanges are not treated as purchases and sales for the purpose of recognizing realized gains (losses) or calculating portfolio turnover. Amounts in the tables below are in thousands.

H. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend. 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 Funds. These amounts are included in Interest income from non-affiliates on the Statements of Operations.

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

J. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (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, 2019, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

K. Distributions to Shareholders — Distributions from net investment income, if any, 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.

L. New Accounting Pronouncements — In March 2017, the FASB issued Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the amortization period for certain callable debt securities held at a premium. Specifically, it required the premium to be amortized to the earliest call date. The Funds have adopted and applied ASU 2017-08 on a modified retrospective basis through a cumulative-effect adjustment as of the beginning of the period of adoption. As a result of the adoption of ASU 2017-08, as of March 1, 2019, the amortized cost basis of investments and unrealized appreciation (depreciation) of investments of the Funds were increased (decreased) by the amounts presented in the following table (amounts in thousands). The adoption of ASU 2017-08 had no impact on beginning net assets, the current period results from operations, or any prior period information presented in the financial statements.

In August 2018, the FASB issued ASU 2018-13 Fair Value Measurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement, which adds, removes, and modifies certain aspects of the fair value disclosure. ASU 2018-13 amendments are the result of a broader disclosure project, FASB Concepts Statement Conceptual Framework for Financial Reporting — Chapter 8: Notes to Financial Statements, to improve the effectiveness of the fair value disclosure requirements. ASU 2018-13 is effective for the fiscal years, and interim periods within those

fiscal years, beginning after December 15, 2019; early adoption is permitted. Management has evaluated the implications of these changes and the amendments are included in the financial statements, which had no effect to the Funds’ net assets or results of operation.

A. Investment Advisory Fee — Pursuant to Investment Advisory Agreements, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory 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:

Prior to July 1, 2019, the investment advisory fee was accrued daily and paid monthly at an annual rate of 0.30% on each Fund’s respective average daily net assets.

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, effective January 1, 2019, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended August 31, 2019, the effective annualized rate was 0.10% of each Fund’s 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.

Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates 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, expenses related to trustee elections 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, 2019, and are in place until at least until June 30, 2020.

For the six months ended August 31, 2019, 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 (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 Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral.

The amounts of these waivers/reimbursements resulting from investments in these money market funds for the six months ended August 31, 2019 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 designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with 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, 2019, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

The Securities and Exchange Commission (“SEC”) 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, 2019, 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, 2019 were as follows (amounts in thousands):

As of February 28, 2019, the following Fund had the following post-enactment net capital loss carryforwards (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, 2019, the following Funds deferred to March 1, 2019 post-October capital losses of (amounts in thousands):

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Funds had no borrowings outstanding from another fund during the six months ended August 31, 2019.

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 4, 2019.

The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended August 31, 2019.

Core Bond Trust and Intermediate Bond Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), have 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. Effective August 13, 2019, this agreement has been amended and restated for a term of 364 days, unless extended.

The Funds did not utilize the Credit Facility during the six months ended August 31, 2019.

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 brought 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, 2019, Intermediate Bond Trust had three individual shareholder and/or non-affiliated omnibus accounts, which represented 57.6% of the Fund’s outstanding shares.

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. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy, such as rate increase by the Federal Reserve. 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.

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, 2019, and continued to hold your shares at the end of the reporting period, August 31, 2019.

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 2019, at which the Trustees considered the continuation of the investment advisory agreements for each Fund 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 14, 2019.

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. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by 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 Funds’ objectives and peers. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.

A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below.

Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.

After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable 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, personnel changes, if any, 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, including personnel changes, if any. 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 the Adviser in its role as administrator.

The Trustees also considered their knowledge of the nature and quality of 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 information. The Trustees recognized that this information 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, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.

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

Fall-Out Benefits

The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients. 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.

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 considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted each Fund with fee waivers and contractual expense limitations (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale, as well as each Fund that had achieved scale and no longer had a Fee Cap in place for some or all of its classes. The Trustees noted that the fees remain competitive with peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels was reasonable. 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, and that, for those Funds that had achieved scale and no longer had Fee Caps in place for some or all of their classes, through lower average expenses as asset levels had increased, in addition to the reinvestment that ensures sufficient resources in terms of personnel and infrastructure to support the Funds.

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, 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 information 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 subset 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 Universe and Peer Group, and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. 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 certain Funds, 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 group of funds with similar portfolio objectives (as selected by the independent consultant). The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. 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 first and second quintiles based upon the Peer Group for the one- and three-year periods ended December 31, 2018 and in the first quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, 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 satisfactory.

The Trustees noted that the Intermediate Bond Trust’s performance was in the second, first, and first quintiles based upon the Universe for each of the one-, three-, and five-year periods ended December 31, 2018. 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 satisfactory.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined 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, and that changes made to the administration fee in January 2019, if applicable, were reflected in such rate . The Trustees also reviewed information about other expenses and the expense ratios for each Fund, and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio for each class, as applicable, taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustee, additional 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, including a reduction to the contractual advisory fee effective July 1, 2019, in light of this information, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.

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, including a reduction to the contractual advisory fee effective July 1, 2019, in light of this information, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.

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 the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-PORT. Prior to March 31, 2019, each Fund filed a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. Each Fund’s Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov.

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 SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record 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 brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.

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 13(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.

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

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.

ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

(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.

(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.

(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.

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*		8.66%
Bloomberg Barclays U.S. Aggregate Index		8.02%

Net Assets as of 8/31/2019 (In Thousands)	$	2,101,730
Duration as of 8/31/2019		6.0 years


AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2019

	INCEPTION DATE OF FUND		6 MONTH*			1 YEAR			5 YEAR			10 YEAR
		February 7, 2005		8.66	%		10.93	%		3.94	%		4.81	%


Reporting Period Return:
Fund*		5.81%
Bloomberg Barclays Intermediate U.S. Government/Credit Index		5.78%

Net Assets as of 8/31/2019 (In Thousands)	$	138,801
Duration as of 8/31/2019		3.7 years


AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2019

	INCEPTION DATE OF FUND		6 MONTH*			1 YEAR			5 YEAR			10 YEAR
		February 7, 2005		5.81	%		8.20	%		3.16	%		3.90	%



Letter to Shareholders			1

Market Overview			2

Fund Commentaries:

JPMorgan Core Bond Trust			3

JPMorgan Intermediate Bond Trust			5

Schedules of Portfolio Investments			7

Financial Statements			63

Financial Highlights			66

Notes to Financial Statements			70

Schedule of Shareholder Expenses			80

Board Approval of Investment Advisory Agreements			81


(i)		Amount rounds to less than one thousand.
(j)		Defaulted security.
(k)		All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(l)		The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(m)		Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(n)		The rate shown is the current yield as of August 31, 2019.
‡		Value determined using significant unobservable inputs.


	JPMorgan Core Bond Trust		JPMorgan Intermediate Bond Trust
ASSETS:
Investments in non-affiliates, at value	$	1,979,550	$	136,992
Investments in affiliates, at value		148,147		1,240
Receivables:
Investment securities sold		447		48
Interest from non-affiliates		9,118		586
Dividends from affiliates		165		5
Securities lending income (See Note 2.F.)		—		—	(a)
Due from adviser		—		3

Total Assets		2,137,427		138,874


LIABILITIES:
Payables:
Due to custodian		307		10
Investment securities purchased		7,402		—
Investment securities purchased — delayed delivery securities		10,128		—
Fund shares redeemed		17,502		—
Accrued liabilities:
Investment advisory fees		214		—
Administration fees		1		—
Custodian and accounting fees		56		20
Trustees’ and Chief Compliance Officer’s fees		1		—
Audit fees		47		38
Other		39		5

Total Liabilities		35,697		73

Net Assets	$	2,101,730	$	138,801


NET ASSETS:
Paid-in-Capital	$	1,967,227	$	134,260
Total distributable earnings (loss)		134,503		4,541

Total Net Assets	$	2,101,730	$	138,801


Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):		197,373		13,818
Net asset value, offering and redemption price per share (b)	$	10.65	$	10.05


Cost of investments in non-affiliates	$	1,844,467	$	131,262
Cost of investments in affiliates		148,140		1,240


	JPMorgan Core Bond Trust			JPMorgan Intermediate Bond Trust
INVESTMENT INCOME:
Interest income from non-affiliates	$	33,277		$	2,244
Interest income from affiliates		1			—	(a)
Dividend income from affiliates		776			27
Income from securities lending (net) (See Note 2.F.)		—	(a)		—	(a)

Total investment income		34,054			2,271


EXPENSES:
Investment advisory fees		2,863			206
Administration fees		977			70
Custodian and accounting fees		97			47
Interest expense to affiliates		1			—	(a)
Professional fees		58			33
Trustees’ and Chief Compliance Officer’s fees		17			13
Printing and mailing costs		6			3
Transfer agency fees		7			1
Other		35			5

Total expenses		4,061			378

Less fees waived		(2,650	)		(271	)
Less expense reimbursements		—			(2	)

Net expenses		1,411			105

Net investment income (loss)		32,643			2,166


REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		4,531			176
Investments in affiliates		6			1

Net realized gain (loss)		4,537			177

Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		123,090			5,448
Investments in affiliates		3			—	(a)

Change in net unrealized appreciation/depreciation		123,093			5,448

Net realized/unrealized gains (losses)		127,630			5,625

Change in net assets resulting from operations	$	160,273		$	7,791


	JPMorgan Core Bond Trust						JPMorgan Intermediate Bond Trust
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019			Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	32,643		$	70,939		$	2,166		$	4,812
Net realized gain (loss)		4,537			(4,119	)		177			(471	)
Change in net unrealized appreciation/depreciation		123,093			(5,086	)		5,448			486

Change in net assets resulting from operations		160,273			61,734			7,791			4,827


DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders		(33,141	)		(76,166	)		(2,221	)		(4,810	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		233,080			125,604			3,100			—
Distributions reinvested		30,868			71,471			1,752			3,894
Cost of shares redeemed		(165,638	)		(525,157	)		(14,794	)		(22,784	)

Change in net assets resulting from capital transactions		98,310			(328,082	)		(9,942	)		(18,890	)


NET ASSETS:
Change in net assets		225,442			(342,514	)		(4,372	)		(18,873	)
Beginning of period		1,876,288			2,218,802			143,173			162,046

End of period	$	2,101,730		$	1,876,288		$	138,801		$	143,173


SHARE TRANSACTIONS:
Issued		22,438			12,593			318			—
Reinvested		2,994			7,202			178			406
Redeemed		(16,165	)		(52,973	)		(1,517	)		(2,386	)

Change in Shares		9,267			(33,178	)		(1,021	)		(1,980	)


	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
JPMorgan Core Bond Trust
Six Months Ended August 31, 2019 (Unaudited)	$	9.97	$	0.17	(e)	$	0.69		$	0.86	$	(0.18	)	$	—		$	(0.18	)
Year Ended February 28, 2019		10.03		0.34	(e)		(0.03	)		0.31		(0.34	)		(0.03	)		(0.37	)
Year Ended February 28, 2018		10.33		0.35	(e)		(0.18	)		0.17		(0.35	)		(0.12	)		(0.47	)
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	)


		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)

$	10.65		8.66	%	$	2,101,730		0.14	%		3.35	%		0.42	%		13	%
	9.97		3.16			1,876,288		0.15			3.42			0.42			17
	10.03		1.59			2,218,802		0.15			3.36			0.43			18
	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


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Investments in Securities
Debt Securities
Asset-Backed Securities	$	—	$	173,637	$	55,564		$	229,201
Collateralized Mortgage Obligations		—		280,727		15,374			296,101
Commercial Mortgage-Backed Securities		—		79,601		2,172			81,773
Corporate Bonds		—		492,101		—			492,101
Foreign Government Securities		—		9,259		—			9,259
Mortgage-Backed Securities		—		328,988		—			328,988
Municipal Bonds		—		12,611		—			12,611
Supranational		—		3,000		—			3,000
U.S. Government Agency Securities		—		29,793		—			29,793
U.S. Treasury Obligations		—		496,723		—			496,723
Short-Term Investments
Investment Companies		148,147		—		—			148,147

Total Investments in Securities	$	148,147	$	1,906,440	$	73,110		$	2,127,697


Intermediate Bond Trust
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Investments in Securities
Debt Securities
Asset-Backed Securities	$	—	$	10,424	$	2,389		$	12,813
Collateralized Mortgage Obligations		—		23,922		93			24,015
Commercial Mortgage-Backed Securities		—		6,929		—	(a)		6,929
Corporate Bonds		—		42,041		—			42,041
Foreign Government Securities		—		252		—			252
Mortgage-Backed Securities		—		15,950		—			15,950
U.S. Government Agency Securities		—		645		—			645
U.S. Treasury Obligations		—		34,347		—			34,347
Short-Term Investments
Investment Companies		1,240		—		—			1,240

Total Investments in Securities	$	1,240	$	134,510	$	2,482		$	138,232


Core Bond Trust	Balance as of February 28, 2019		Realized gain (loss)			Change in unrealized appreciation (depreciation)			Net accretion (amortization)			Purchases¹			Sales²			Transfers into Level 3		Transfers out of Level 3			Balance as of August 31, 2019
Investments in Securities
Asset-Backed Securities	$	68,402	$	3		$	880		$	(49	)	$	5,462		$	(21,622	)	$	4,860	$	(2,372	)	$	55,564
Collateralized Mortgage Obligations		7,549		—	(a)		758			(369	)		8,091			(655	)		—		—			15,374
Commercial Mortgage-Backed Securities		1,973		—			262			(86	)		136			(113	)		—		—			2,172
Corporate Bonds — Capital Markets		53		—			—	(a)		—	(a)		—			(53	)		—		—			—

Total	$	77,977	$	3		$	1,900		$	(504	)	$	13,689		$	(22,443	)	$	4,860	$	(2,372	)	$	73,110


Intermediate Bond Trust	Balance as of February 28, 2019		Realized gain (loss)			Change in unrealized appreciation (depreciation)			Net accretion (amortization)			Purchases¹			Sales²			Transfers into Level 3		Transfers out of Level 3			Balance as of August 31, 2019
Investments in Securities
Asset-Backed Securities	$	3,073	$	—	(a)	$	12		$	—	(a)	$	—	(a)	$	(750	)	$	54	$	—		$	2,389
Collateralized Mortgage Obligations		107		—	(a)		(4	)		—	(a)		1			(11	)		—		—			93
Commercial Mortgage-Backed Securities		1		—			(1	)		—	(a)		—	(a)		—			—		—			—	(a)
Corporate Bonds — Capital Markets		4		—	(a)		—	(a)		—	(a)		—			(4	)		—		—			—

Total	$	3,185	$	—	(a)	$	7		$	—	(a)	$	1		$	(765	)	$	54	$	—		$	2,482


	Fair Value at August 31, 2019		Valuation Technique(s)	Unobservable Input	Range (Weighted Average) (a)
	$	44,037	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 31.00% (6.96%)
				Constant Default Rate		0.00% - 30.00% (0.11%)
				Yield (Discount Rate of Cash Flows)		2.53% - 7.41% (3.34%)

Asset-Backed Securities		44,037

		5,605	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 24.00% (8.76%)
				PSA Prepayment Model		234.00% (234.00%)
				Constant Default Rate		0.00% - 12.68% (2.60%)
				Yield (Discount Rate of Cash Flows)		0.40% - 199.00% (10.34%)

Collateralized Mortgage Obligations		5,605

		2,161	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 100.00% (14.34%)
				Yield (Discount Rate of Cash Flows)		1.33% - 7.32% (3.20%)

Commercial Mortgage-Backed Securities		2,161

Total	$	51,803



AUGUST 31, 2019	JPMORGAN INSTITUTIONAL TRUST FUNDS	1



2	JPMORGAN INSTITUTIONAL TRUST FUNDS	AUGUST 31, 2019



AUGUST 31, 2019	JPMORGAN INSTITUTIONAL TRUST FUNDS	3



4	JPMORGAN INSTITUTIONAL TRUST FUNDS	AUGUST 31, 2019


For the six months ended August 31, 2019
Security Description	Value at February 28, 2019		Purchases at Cost		Proceeds from Sales		Net Realized Gain (Loss)		Change in Unrealized Appreciation/ (Depreciation)		Value at August 31, 2019		Shares at August 31, 2019		Dividend Income			Capital Gain Distributions
JPMorgan Prime Money Market Fund Class Institutional Shares, 2.16% (a) (b)	$	38,750	$	355,368	$	245,980	$	6	$	3	$	148,147		148,088	$	776		$	—
JPMorgan U.S. Government Money Market Fund Class IM Shares (a)		—		3,786		3,786		—		—		—		—		2	*		—

Total	$	38,750	$	359,154	$	249,766	$	6	$	3	$	148,147			$	778		$	—


	Amortized Cost Basis of Investments			Unrealized Appreciation (Depreciation) of Investments
Core Bond Trust	$	(797	)	$	797
Intermediate Bond Trust		(95	)		95


	Contractual Waivers
	Investment Advisory Fees		Administration Fees		Total		Contractual Reimbursements
Core Bond Trust	$	1,619	$	976	$	2,595	$	—
Intermediate Bond Trust		199		70		269		2


	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Purchases of U.S. Government		Sales of U.S. Government
Core Bond Trust	$	214,142	$	190,741	$	56,771	$	61,433
Intermediate Bond Trust		6,454		16,632		6,820		4,957


	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Core Bond Trust	$	1,992,607	$	139,253	$	4,163	$	135,090
Intermediate Bond Trust		132,502		5,829		99		5,730


	Capital Loss Carryforward
	Short-Term		Long-Term
Core Bond Trust	$	638	$	—
Intermediate Bond Trust		1,080		37


	Net Capital Losses
	Short-Term		Long-Term
Core Bond Trust	$	558	$	3,173
Intermediate Bond Trust		6		97


	Beginning Account Value March 1, 2019		Ending Account Value August 31, 2019		Expenses Paid During the Period*		Annualized Expense Ratio
JPMorgan Core Bond Trust
Actual	$	1,000.00	$	1,086.60	$	0.73		0.14	%
Hypothetical		1,000.00		1,024.43		0.71		0.14

JPMorgan Intermediate Bond Trust
Actual		1,000.00		1,058.10		0.78		0.15
Hypothetical		1,000.00		1,024.38		0.76		0.15


		^© JPMorgan Chase & Co., 2019. All rights reserved. August 2019.		SAN-INSTT-819


JPMorgan Institutional Trust

By:		/s/ Brian S. Shlissel
		Brian S. Shlissel
		President and Principal Executive Officer
		November 4, 2019