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,

Amid the unprecedented global response to the COVID-19 pandemic, all of us at J.P. Morgan Asset Management sincerely hope that you and your loved ones are safe and healthy. We continue to closely monitor the situation globally and implement protocols and processes based on recommendations from relevant authorities aimed at protecting our clients, shareholders, employees, businesses and the broader public health.

“Our detailed planning and investments in technology have allowed us to maintain our high level of service to our clients and shareholders and help them navigate the current uncertainty even as our people have transitioned to working from home and ensuring the well-being of their own households.”
— Andrea L. Lisher

We want to assure you that J.P. Morgan Asset Management is deeply committed to protecting and serving our clients and shareholders through this crisis. We regularly plan and exercise against various events and coordinate closely with regulators, vendors and industry parties, among others, striving for seamless and consistent execution. Throughout each year, we test

our resiliency capabilities and core functions. Past events, such as hurricanes or other emergencies, have helped to prepare us for rare events, including multi-day outages. Our technology teams and systems employ distributed operating models and our client services have extensive capabilities through multiple global call centers and digital channels.

Our detailed planning and investments in technology have allowed us to maintain our high level of service to our clients and shareholders and help them navigate the current uncertainty even as our people have transitioned to working from home and ensuring the well-being of their own households.

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

Overall, interest rates declined during the reporting period amid slowing but still positive growth in the U.S. economy. Financial markets largely rallied in the first months of the reporting period, but 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 toward the middle 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.

By late 2019 and into early 2020, financial markets strengthened on the back of positive developments in U.S.-China trade negotiations. However, in the final weeks of the reporting period those trade concerns were replaced by investor worries about the impact of COVID-19. Global bond and equity markets experienced sharp declines in late February 2020.

U.S. Treasury bonds generally benefitted as investors sought a perceived safe haven amid volatile markets. By the end of the reporting period, demand for 10-year Treasury bonds had pushed their yield to a record low 1.1%. For the twelve months ended February 29, 2020, the Bloomberg Barclays US Aggregate Index returned 11.68%.

INVESTMENT OBJECTIVE**

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

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

For the twelve months ended February 29, 2020, the Fund outperformed the Bloomberg Barclays U.S. Aggregate Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s longer overall duration was a leading contributor to performance as interest rates fell during the period. Generally, bonds with longer duration will experience a greater increase in price when interest rates decline, compared with shorter duration bonds. The Fund’s underweight allocation to U.S. Treasury bonds, which underperformed other sectors of the bond market, also contributed to relative performance. The Fund’s security selection in corporate bonds and its allocation to securitized credit, which outperformed other sectors of the bond market during the period, also contributed to relative performance.

The Fund’s overweight allocation to agency commercial mortgage-backed securities and its small allocation to U.S. Treasury Inflation Protected Securities detracted from relative 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***
U.S. Treasury Obligations	26.0	%
Corporate Bonds	22.2
Mortgage-Backed Securities	17.3
Collateralized Mortgage Obligations	13.5
Asset-Backed Securities	12.4
Commercial Mortgage-Backed Securities	3.9
Others (each less than 1.0%)	1.8
Short-Term Investments	2.9

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 February 29, 2020. The Fund’s portfolio composition is subject to change.

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

The graph illustrates comparative performance for $10,000,000 invested in the JPMorgan Core Bond Trust and the Bloomberg Barclays U.S. Aggregate Index from February 28, 2010 to February 29, 2020. 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 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. 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 applicable 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 twelve months ended February 29, 2020, the Fund underperformed the Bloomberg Barclays Intermediate U.S. Government/Credit Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s shorter overall duration detracted from performance as interest rates fell during the period. Generally, bonds of shorter duration will experience a smaller increase in price when interest rates fall compared with longer duration bonds. The Fund’s underweight allocation to corporate bonds, which outperformed other sectors of the bond market during the period, also detracted from relative performance.

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

HOW WAS THE FUND POSITIONED?

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

individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities.


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	28.1	%
Corporate Bonds	27.2
Collateralized Mortgage Obligations	16.1
Mortgage-Backed Securities	11.4
Asset-Backed Securities	9.5
Commercial Mortgage-Backed Securities	5.6
Others (each less than 1.0%)	0.4
Short-Term Investments	1.7

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

***

Percentages indicated are based on total investments as of February 29, 2020. 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 and the Bloomberg Barclays Intermediate U.S. Government/Credit Index from February 28, 2010 to February 29, 2020. 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 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. 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 — 26.1%

U.S. Treasury Bonds

4.38%, 2/15/2038		447		660

3.88%, 8/15/2040		235		333

2.75%, 8/15/2042		5,900		7,167

2.88%, 5/15/2043		19,710		24,443

3.63%, 8/15/2043		22,214		30,880

3.75%, 11/15/2043		10,188		14,438

3.63%, 2/15/2044		17,780		24,781

2.50%, 2/15/2045		25,900		30,266

2.88%, 8/15/2045		2,300		2,872

2.25%, 8/15/2046		11,193		12,560

3.13%, 5/15/2048		3,757		4,991

2.25%, 8/15/2049		5,365		6,098

2.38%, 11/15/2049		1,290		1,506

U.S. Treasury Inflation Indexed Bonds

1.75%, 1/15/2028		300		426

3.63%, 4/15/2028		799		1,669

2.50%, 1/15/2029		300		447

U.S. Treasury Inflation Indexed Notes 0.13%, 1/15/2022		2,453		2,804

U.S. Treasury Notes

1.50%, 5/15/2020		15,000		15,001

2.38%, 12/31/2020		880		889

2.63%, 5/15/2021		1,006		1,025

3.13%, 5/15/2021		2,250		2,306

2.13%, 8/15/2021		13,000		13,213

1.13%, 9/30/2021		6,240		6,255

1.25%, 10/31/2021		20,000		20,097

2.00%, 10/31/2021		1,100		1,119

1.88%, 11/30/2021		5,100		5,183

1.75%, 2/28/2022		12,700		12,910

1.75%, 7/15/2022		5,000		5,101

1.63%, 8/31/2022		3,000		3,055

2.00%, 10/31/2022		1,650		1,698

1.50%, 2/28/2023		3,000		3,054

1.75%, 5/15/2023		2,221		2,281

2.50%, 5/15/2024		8,840		9,416

1.88%, 8/31/2024		569		593

2.25%, 11/15/2024		400		424

1.75%, 12/31/2024		13,555		14,082

2.88%, 4/30/2025		1,212		1,330

1.75%, 12/31/2026		10,154		10,627

2.88%, 5/15/2028		1,198		1,366

U.S. Treasury STRIPS Bonds

2.71%, 5/15/2020 (a)		1,535		1,531


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


2.46%, 2/15/2021 (a)		14,685		14,538

2.05%, 5/15/2021 (a)		20,675		20,431

3.86%, 8/15/2021 (a)		6,100		6,015

3.35%, 11/15/2021 (a)		11,340		11,156

2.93%, 2/15/2022 (a)		15,768		15,474

2.53%, 5/15/2022 (a)		18,545		18,163

3.14%, 8/15/2022 (a)		1,905		1,862

2.83%, 11/15/2022 (a)		14,400		14,048

3.58%, 2/15/2023 (a)		38,462		37,444

3.13%, 5/15/2023 (a)		14,070		13,649

2.39%, 8/15/2023 (a)		13,900		13,455

2.51%, 11/15/2023 (a)		4,845		4,673

1.84%, 2/15/2024 (a)		11,355		10,925

1.70%, 8/15/2024 (a)		20,600		19,709

7.13%, 5/15/2026 (a)		1,500		1,403

3.61%, 8/15/2026 (a)		1,592		1,485

4.37%, 5/15/2027 (a)		6,550		6,035

4.12%, 2/15/2033 (a)		5,500		4,566

5.65%, 5/15/2033 (a)		10,500		8,677

6.45%, 8/15/2033 (a)		3,050		2,508

4.05%, 2/15/2034 (a)		9,500		7,740

4.84%, 5/15/2034 (a)		3,600		2,917

4.05%, 8/15/2034 (a)		1,650		1,330

2.37%, 11/15/2041 (a)		500		346


Total U.S. Treasury Obligations (Cost $489,293)				537,446

Corporate Bonds — 22.2%

Aerospace & Defense — 0.4%

Airbus Finance BV (France) 2.70%, 4/17/2023 (b)		557		581

Airbus SE (France) 3.95%, 4/10/2047 (b)		150		186

Boeing Co. (The) 3.95%, 8/1/2059		775		848

L3Harris Technologies, Inc. 3.83%, 4/27/2025		850		936

Northrop Grumman Corp. 3.25%, 1/15/2028		200		217

Precision Castparts Corp. 3.25%, 6/15/2025		897		962

Rockwell Collins, Inc.

3.20%, 3/15/2024		350		372

4.35%, 4/15/2047		199		256

United Technologies Corp.

4.50%, 6/1/2042		2,799		3,565

4.15%, 5/15/2045		543		659


				8,582


Airlines — 0.0% (c)

Continental Airlines Pass-Through Trust

Series 2012-2, Class A Shares, 4.00%, 10/29/2024		148		160


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

Automobiles — 0.0% (c)

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


Banks — 4.5%

ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (b)		1,216		1,353

AIB Group plc (Ireland) 4.75%, 10/12/2023 (b)		1,165		1,268

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

2.85%, 8/6/2020 (b)		402		404

2.55%, 2/13/2030 (b)		1,245		1,278

ASB Bank Ltd. (New Zealand) 3.13%, 5/23/2024 (b)		905		959

Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b)		263		298

Banco Santander SA (Spain) 3.13%, 2/23/2023		400		415

Bank of America Corp.

(ICE LIBOR USD 3 Month + 1.16%), 3.12%, 1/20/2023 (d)		588		603

(ICE LIBOR USD 3 Month + 1.02%), 2.88%, 4/24/2023 (d)		1,855		1,905

(ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (d)		1,747		1,810

(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (d)		547		576

(ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/1/2025 (d)		526		552

3.25%, 10/21/2027		1,189		1,277

(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (d)		1,700		1,861

(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (d)		4,975		5,376

(ICE LIBOR USD 3 Month + 1.32%), 4.08%, 4/23/2040 (d)		1,000		1,171

(ICE LIBOR USD 3 Month + 1.52%), 4.33%, 3/15/2050 (d)		1,000		1,281

Banque Federative du Credit Mutuel SA (France)

3.75%, 7/20/2023 (b)		540		580

2.38%, 11/21/2024 (b)		813		837

Barclays plc (United Kingdom) 3.65%, 3/16/2025		1,000		1,061

BNP Paribas SA (France)

3.50%, 3/1/2023 (b)		290		305

3.38%, 1/9/2025 (b)		425		453

(SOFR + 1.51%), 3.05%, 1/13/2031 (b) (d)		1,065		1,092

BNZ International Funding Ltd. (New Zealand)

2.10%, 9/14/2021 (b)		450		455

2.65%, 11/3/2022 (b)		632		653


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


Banks — continued

Capital One Bank USA NA 3.38%, 2/15/2023		300		314

Citigroup, Inc.

3.88%, 3/26/2025		500		541

(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 4/24/2025 (d)		355		376

4.40%, 6/10/2025		865		962

3.40%, 5/1/2026		1,000		1,081

4.30%, 11/20/2026		1,200		1,328

6.63%, 1/15/2028		250		326

(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (d)		1,573		1,723

(ICE LIBOR USD 3 Month + 1.34%), 3.98%, 3/20/2030 (d)		1,000		1,132

8.13%, 7/15/2039		223		387

4.65%, 7/23/2048		1,021		1,352

Citizens Bank NA 3.70%, 3/29/2023		720		767

Commonwealth Bank of Australia (Australia)

3.45%, 3/16/2023 (b)		600		637

4.50%, 12/9/2025 (b)		832		935

2.85%, 5/18/2026 (b)		600		636

3.74%, 9/12/2039 (b)		711		765

Cooperatieve Rabobank UA (Netherlands)

4.38%, 8/4/2025		783		869

3.75%, 7/21/2026		945		1,025

5.80%, 9/30/2110 (b)		500		874

Credit Agricole SA (France)

3.75%, 4/24/2023 (b)		500		530

4.38%, 3/17/2025 (b)		1,250		1,365

Credit Suisse Group Funding Guernsey Ltd. (Switzerland)

2.75%, 3/26/2020		250		250

3.80%, 6/9/2023		800		850

3.75%, 3/26/2025		340		368

Discover Bank

3.35%, 2/6/2023		343		360

4.25%, 3/13/2026		1,205		1,353

Fifth Third Bancorp 3.95%, 3/14/2028		500		572

HSBC Bank plc (United Kingdom) 4.75%, 1/19/2021 (b)		575		591

HSBC Holdings plc (United Kingdom)

4.00%, 3/30/2022		552		577

(ICE LIBOR USD 3 Month + 0.92%), 3.03%, 11/22/2023 (d)		991		1,022

(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (d)		1,054		1,122


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

Banks — continued

4.25%, 8/18/2025		939		1,017

3.90%, 5/25/2026		200		219

KeyBank NA 3.18%, 5/22/2022		729		754

Lloyds Banking Group plc (United Kingdom)

(ICE LIBOR USD 3 Month + 0.81%), 2.91%, 11/7/2023 (d)		612		627

4.58%, 12/10/2025		400		437

4.38%, 3/22/2028		475		532

Mitsubishi UFJ Financial Group, Inc. (Japan)

2.95%, 3/1/2021		243		246

3.41%, 3/7/2024		1,260		1,338

3.75%, 7/18/2039		760		887

Mizuho Financial Group, Inc. (Japan)

2.63%, 4/12/2021 (b)		742		751

(ICE LIBOR USD 3 Month + 0.83%), 2.23%, 5/25/2026 (d)		875		882

(ICE LIBOR USD 3 Month + 1.31%), 2.87%, 9/13/2030 (d)		720		749

National Australia Bank Ltd. (Australia)

3.38%, 1/14/2026		800		870

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 (b) (d)		1,025		1,120

NatWest Markets plc (United Kingdom) 3.63%, 9/29/2022 (b)		1,025		1,075

Nordea Bank Abp (Finland) 4.25%, 9/21/2022 (b)		945		1,009

Royal Bank of Canada (Canada)

3.70%, 10/5/2023		1,000		1,074

4.65%, 1/27/2026		337		390

Royal Bank of Scotland Group plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (d)		480		517

(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (d)		290		338

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.10%), 3.75%, 11/1/2029 (d)		900		936

(ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (d)		640		730

Santander UK Group Holdings plc (United Kingdom)

3.13%, 1/8/2021		452		458

3.57%, 1/10/2023		200		206


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


Banks — continued

Societe Generale SA (France)

3.88%, 3/28/2024 (b)		815		874

3.00%, 1/22/2030 (b)		2,008		2,040

Standard Chartered plc (United Kingdom)

5.20%, 1/26/2024 (b)		700		767

(ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (b) (d)		400		420

(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (b) (d)		570		581

(ICE LIBOR USD 3 Month + 1.91%), 4.30%, 5/21/2030 (b) (d)		550		616

(USD ICE Swap Rate 5 Year + 1.97%), 4.87%, 3/15/2033 (b) (d)		200		223

Sumitomo Mitsui Financial Group, Inc. (Japan)

2.78%, 10/18/2022		542		559

3.10%, 1/17/2023		689		719

4.44%, 4/2/2024 (b)		500		543

2.63%, 7/14/2026		872		901

3.04%, 7/16/2029		1,315		1,400

Truist Bank 3.30%, 5/15/2026		400		432

Truist Financial Corp.

2.90%, 3/3/2021		253		256

4.00%, 5/1/2025		265		293

US Bancorp 7.50%, 6/1/2026		1,277		1,680

Wells Fargo & Co.

3.50%, 3/8/2022		850		883

3.07%, 1/24/2023		500		514

4.48%, 1/16/2024		702		769

3.75%, 1/24/2024		675		726

3.30%, 9/9/2024		1,000		1,069

3.00%, 4/22/2026		993		1,052

4.10%, 6/3/2026		637		703

(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (d)		1,395		1,488

4.65%, 11/4/2044		1,180		1,436

4.40%, 6/14/2046		300		354

4.75%, 12/7/2046		325		408

Westpac Banking Corp. (Australia)

2.85%, 5/13/2026		690		728

4.42%, 7/24/2039 (e)		580		678


				93,087


Beverages — 0.6%

Anheuser-Busch Cos. LLC (Belgium)

4.70%, 2/1/2036		3,945		4,699

4.90%, 2/1/2046		2,235		2,762


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

Beverages — continued

Anheuser-Busch InBev Finance, Inc. (Belgium) 4.63%, 2/1/2044		70		84

Anheuser-Busch InBev Worldwide, Inc. (Belgium)

4.75%, 1/23/2029		441		521

4.44%, 10/6/2048		780		910

Coca-Cola Femsa SAB de CV (Mexico) 2.75%, 1/22/2030		790		832

Constellation Brands, Inc.

4.40%, 11/15/2025		325		367

5.25%, 11/15/2048		220		288

Diageo Investment Corp. (United Kingdom) 8.00%, 9/15/2022		255		294

Keurig Dr Pepper, Inc.

3.13%, 12/15/2023		500		526

4.42%, 5/25/2025		149		167

3.43%, 6/15/2027		250		267

4.99%, 5/25/2038		215		259


				11,976


Biotechnology — 0.3%

AbbVie, Inc.

3.20%, 11/21/2029 (b)		1,832		1,932

4.05%, 11/21/2039 (b)		1,809		1,998

4.40%, 11/6/2042		790		910

4.45%, 5/14/2046		190		219

Baxalta, Inc.

3.60%, 6/23/2022		149		155

5.25%, 6/23/2045		50		70


				5,284


Building Products — 0.0% (c)

Masco Corp. 6.50%, 8/15/2032		600		789


Capital Markets — 2.2%

Bank of New York Mellon Corp. (The) 2.80%, 5/4/2026		254		270

Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b)		429		525

Brookfield Finance, Inc. (Canada)

3.90%, 1/25/2028		337		373

4.85%, 3/29/2029		411		487

4.70%, 9/20/2047		427		528

Credit Suisse AG (Switzerland) 3.63%, 9/9/2024		402		432

Credit Suisse Group AG (Switzerland)

3.57%, 1/9/2023 (b)		729		754

(SOFR + 1.56%), 2.59%, 9/11/2025 (b) (d)		250		255

4.28%, 1/9/2028 (b)		1,162		1,291


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


Capital Markets — continued

Deutsche Bank AG (Germany)

4.25%, 10/14/2021		1,000		1,032

3.30%, 11/16/2022		1,000		1,026

FMR LLC 6.45%, 11/15/2039 (b)		500		765

Goldman Sachs Group, Inc. (The)

5.38%, 3/15/2020		1,786		1,788

(ICE LIBOR USD 3 Month + 0.82%), 2.88%, 10/31/2022 (d)		505		515

(ICE LIBOR USD 3 Month + 0.99%), 2.90%, 7/24/2023 (d)		493		506

3.50%, 1/23/2025		557		596

3.75%, 5/22/2025		1,984		2,147

4.25%, 10/21/2025		1,415		1,546

3.50%, 11/16/2026		469		504

3.85%, 1/26/2027		830		912

(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (d)		2,093		2,288

6.75%, 10/1/2037		685		982

4.80%, 7/8/2044		685		876

Intercontinental Exchange, Inc. 4.00%, 10/15/2023		884		948

Invesco Finance plc

4.00%, 1/30/2024		657		719

3.75%, 1/15/2026		390		434

Jefferies Group LLC 6.45%, 6/8/2027		749		903

Macquarie Bank Ltd. (Australia) 4.00%, 7/29/2025 (b)		1,000		1,099

Macquarie Group Ltd. (Australia)

6.25%, 1/14/2021 (b)		1,650		1,715

(ICE LIBOR USD 3 Month + 1.37%), 3.76%, 11/28/2028 (b) (d)		700		769

(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (b) (d)		700		841

Morgan Stanley

5.50%, 7/24/2020		475		482

5.50%, 7/28/2021		559		589

3.75%, 2/25/2023		3,429		3,649

(ICE LIBOR USD 3 Month + 0.85%), 3.74%, 4/24/2024 (d)		1,765		1,875

4.00%, 7/23/2025		2,873		3,190

3.88%, 1/27/2026		946		1,046

(ICE LIBOR USD 3 Month + 1.43%), 4.46%, 4/22/2039 (d)		1,265		1,541

4.30%, 1/27/2045		485		596


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

Capital Markets — continued

Nomura Holdings, Inc. (Japan) 2.65%, 1/16/2025		1,094		1,124

S&P Global, Inc. 3.25%, 12/1/2049		960		1,062

State Street Corp. 3.10%, 5/15/2023		369		387

UBS Group AG (Switzerland)

3.49%, 5/23/2023 (b)		269		280

(ICE LIBOR USD 3 Month + 0.95%), 2.86%, 8/15/2023 (b) (d)		200		205

4.13%, 9/24/2025 (b)		300		334

(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (b) (d)		965		1,023


				45,209


Chemicals — 0.2%

Albemarle Corp. 5.45%, 12/1/2044		150		190

DuPont de Nemours, Inc. 5.32%, 11/15/2038		215		261

International Flavors & Fragrances, Inc.

4.45%, 9/26/2028		300		344

5.00%, 9/26/2048		365		430

Nutrien Ltd. (Canada)

4.20%, 4/1/2029		175		199

4.13%, 3/15/2035		455		506

5.00%, 4/1/2049		230		286

Sherwin-Williams Co. (The) 3.13%, 6/1/2024		381		405

Union Carbide Corp. 7.75%, 10/1/2096		850		1,294


				3,915


Construction Materials — 0.1%

CRH America, Inc. (Ireland)

3.88%, 5/18/2025 (b)		417		460

5.13%, 5/18/2045 (b)		893		1,148

Martin Marietta Materials, Inc. 3.45%, 6/1/2027		770		828


				2,436


Consumer Finance — 0.4%

AerCap Ireland Capital DAC (Ireland)

3.30%, 1/23/2023		390		403

3.50%, 1/15/2025		600		626

Avolon Holdings Funding Ltd. (Ireland) 4.38%, 5/1/2026 (b)		820		873

Capital One Financial Corp.

3.20%, 2/5/2025		1,069		1,131

4.20%, 10/29/2025		250		271

General Motors Financial Co., Inc.

3.45%, 4/10/2022		1,091		1,119

3.70%, 5/9/2023		1,230		1,278


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


Consumer Finance — continued

3.95%, 4/13/2024		1,400		1,477

3.50%, 11/7/2024		640		664

4.35%, 4/9/2025		540		578

4.30%, 7/13/2025		550		583


				9,003


Containers & Packaging — 0.1%

Packaging Corp. of America 4.05%, 12/15/2049		845		945

WRKCo, Inc.

3.75%, 3/15/2025		400		433

3.90%, 6/1/2028		170		187


				1,565


Diversified Consumer Services — 0.1%

Pepperdine University Series 2020, 3.30%, 12/1/2059		600		692

President & Fellows of Harvard College 3.30%, 7/15/2056		643		774

University of Southern California Series A, 3.23%, 10/1/2120		570		639


				2,105


Diversified Financial Services — 0.6%

CK Hutchison International Ltd. (United Kingdom) 3.63%, 4/11/2029 (b)		1,215		1,359

GE Capital International Funding Co. Unlimited Co.

2.34%, 11/15/2020		930		933

4.42%, 11/15/2035		3,583		4,091

GTP Acquisition Partners I LLC

2.35%, 6/15/2020 (b)		1,236		1,241

3.48%, 6/16/2025 (b)		1,436		1,533

Hutchison Whampoa International 12 II Ltd. (United Kingdom) 3.25%, 11/8/2022 (b)		539		561

Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan)

2.65%, 9/19/2022 (b)		606		618

National Rural Utilities Cooperative Finance Corp. 2.95%, 2/7/2024		306		323

ORIX Corp. (Japan) 2.90%, 7/18/2022		553		569

Siemens Financieringsmaatschappij NV (Germany)

2.90%, 5/27/2022 (b)		634		657

3.13%, 3/16/2024 (b)		750		798

4.40%, 5/27/2045 (b)		513		645


				13,328


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

Diversified Telecommunication Services — 0.8%

AT&T, Inc.

3.95%, 1/15/2025		1,126		1,226

3.60%, 7/15/2025		500		538

4.30%, 2/15/2030		826		946

6.00%, 8/15/2040		2,000		2,680

5.38%, 10/15/2041		313		389

Deutsche Telekom AG (Germany) 3.63%, 1/21/2050 (b)		685		725

Deutsche Telekom International Finance BV (Germany)

3.60%, 1/19/2027 (b)		175		191

4.88%, 3/6/2042 (b)		232		298

Qwest Corp. 6.75%, 12/1/2021		741		784

Telefonica Emisiones SA (Spain)

5.13%, 4/27/2020		526		528

5.46%, 2/16/2021		316		327

Verizon Communications, Inc.

2.63%, 8/15/2026		306		322

4.33%, 9/21/2028		962		1,129

4.40%, 11/1/2034		1,895		2,301

4.27%, 1/15/2036		1,445		1,730

5.25%, 3/16/2037		457		607

4.86%, 8/21/2046		396		527

4.67%, 3/15/2055		400		531


				15,779


Electric Utilities — 1.6%

Alabama Power Co. 6.13%, 5/15/2038		239		343

Arizona Public Service Co. 5.05%, 9/1/2041		200		264

Baltimore Gas & Electric Co. 3.50%, 8/15/2046		376		412

China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (b)		1,234		1,338

Comision Federal de Electricidad (Mexico) 4.88%, 5/26/2021 (b)		831		857

Duke Energy Carolinas LLC 4.25%, 12/15/2041		129		158

Duke Energy Corp. 3.40%, 6/15/2029		1,098		1,206

Duke Energy Progress LLC

4.10%, 5/15/2042		273		323

4.10%, 3/15/2043		125		147

Duquesne Light Holdings, Inc. 3.62%, 8/1/2027 (b)		750		792

Edison International

3.55%, 11/15/2024		1,591		1,688

5.75%, 6/15/2027		400		473

4.13%, 3/15/2028		285		311


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


Electric Utilities — continued

Emera US Finance LP (Canada) 4.75%, 6/15/2046		700		822

Enel Finance International NV (Italy)

4.63%, 9/14/2025 (b)		265		298

3.63%, 5/25/2027 (b)		740		796

Entergy Arkansas LLC 3.50%, 4/1/2026		175		193

Entergy Corp. 2.95%, 9/1/2026		336		354

Entergy Louisiana LLC 3.05%, 6/1/2031		629		690

Evergy Metro, Inc. 5.30%, 10/1/2041		1,400		1,927

Evergy, Inc. 2.90%, 9/15/2029		985		1,016

FirstEnergy Corp.

2.65%, 3/1/2030		1,095		1,118

Series C, 4.85%, 7/15/2047		289		363

Series C, 3.40%, 3/1/2050		1,040		1,049

FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b)		240		301

Fortis, Inc. (Canada) 3.06%, 10/4/2026		500		530

Hydro-Quebec (Canada)

Series HY, 8.40%, 1/15/2022		1,000		1,131

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

ITC Holdings Corp. 2.70%, 11/15/2022		900		928

Jersey Central Power & Light Co. 4.30%, 1/15/2026 (b)		560		630

John Sevier Combined Cycle Generation LLC 4.63%, 1/15/2042		736		947

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		359

Nevada Power Co.

Series N, 6.65%, 4/1/2036		100		149

5.45%, 5/15/2041		305		420

Niagara Mohawk Power Corp. 3.51%, 10/1/2024 (b)		493		531

Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029		110		143

Pennsylvania Electric Co. 3.25%, 3/15/2028 (b)		150		161

Pepco Holdings LLC 7.45%, 8/15/2032		316		433

Potomac Electric Power Co. 6.50%, 11/15/2037		1,085		1,617

PPL Capital Funding, Inc. 3.40%, 6/1/2023		200		210

Progress Energy, Inc.

3.15%, 4/1/2022		673		691

7.00%, 10/30/2031		300		437

Public Service Co. of Colorado 3.55%, 6/15/2046		214		235


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

Electric Utilities — continued

Public Service Co. of Oklahoma Series G, 6.63%, 11/15/2037		2,490		3,724

Public Service Electric & Gas Co. 5.38%, 11/1/2039		317		440

Southern California Edison Co.

Series B, 3.65%, 3/1/2028		400		447

Series 08-A, 5.95%, 2/1/2038		200		284

4.05%, 3/15/2042		552		631

Southwestern Public Service Co. 4.50%, 8/15/2041		200		256

Toledo Edison Co. (The) 6.15%, 5/15/2037		300		438


				33,691


Electrical Equipment — 0.0% (c)

Eaton Corp.

7.63%, 4/1/2024		300		354

4.00%, 11/2/2032		170		206


				560


Electronic Equipment, Instruments & Components — 0.1%

Arrow Electronics, Inc.

4.50%, 3/1/2023		190		201

3.25%, 9/8/2024		219		228

3.88%, 1/12/2028		442		466

Corning, Inc. 3.90%, 11/15/2049		1,043		1,101


				1,996


Energy Equipment & Services — 0.1%

Baker Hughes a GE Co. LLC 5.13%, 9/15/2040		300		360

Halliburton Co. 4.75%, 8/1/2043		540		583

Schlumberger Holdings Corp.

4.00%, 12/21/2025 (b)		13		15

3.90%, 5/17/2028 (b)		1,126		1,213


				2,171


Entertainment — 0.1%

NBCUniversal Media LLC 5.95%, 4/1/2041		800		1,165

Walt Disney Co. (The)

8.88%, 4/26/2023		430		523

6.20%, 12/15/2034		100		148


				1,836


Equity Real Estate Investment Trusts (REITs) — 1.0%

Alexandria Real Estate Equities, Inc.

3.80%, 4/15/2026		135		149

4.00%, 2/1/2050		653		789


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


Equity Real Estate Investment Trusts (REITs) — continued

American Campus Communities Operating Partnership LP 3.63%, 11/15/2027		500		555

American Tower Corp.

5.00%, 2/15/2024		974		1,092

3.38%, 10/15/2026		312		336

2.90%, 1/15/2030		350		363

3.70%, 10/15/2049		935		1,000

American Tower Trust #1 3.07%, 3/15/2023 (b)		750		774

Boston Properties LP

3.20%, 1/15/2025		532		568

3.65%, 2/1/2026		483		528

Brixmor Operating Partnership LP 3.85%, 2/1/2025		400		433

Crown Castle International Corp. 4.00%, 3/1/2027		264		292

Digital Realty Trust LP 3.70%, 8/15/2027		252		277

Duke Realty LP 3.25%, 6/30/2026		239		258

Healthcare Trust of America Holdings LP 3.10%, 2/15/2030		1,604		1,677

Healthpeak Properties, Inc.

4.20%, 3/1/2024		230		251

3.88%, 8/15/2024		794		864

3.40%, 2/1/2025		265		285

3.50%, 7/15/2029		772		849

Life Storage LP 4.00%, 6/15/2029		859		960

National Retail Properties, Inc.

4.00%, 11/15/2025		783		869

4.30%, 10/15/2028		620		719

Office Properties Income Trust 4.00%, 7/15/2022		784		813

Realty Income Corp. 4.65%, 3/15/2047		556		751

Regency Centers LP 2.95%, 9/15/2029		745		790

Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b)		420		449

SITE Centers Corp. 4.70%, 6/1/2027		330		371

UDR, Inc.

2.95%, 9/1/2026		382		407

3.00%, 8/15/2031		305		319

Ventas Realty LP

3.50%, 2/1/2025		242		259

4.13%, 1/15/2026		406		451

3.85%, 4/1/2027		554		609

Welltower, Inc.

2.70%, 2/15/2027		414		430

3.10%, 1/15/2030		670		715


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

Equity Real Estate Investment Trusts (REITs) — continued

6.50%, 3/15/2041		350		519

WP Carey, Inc. 4.25%, 10/1/2026		350		394


				21,165


Food & Staples Retailing — 0.1%

Alimentation Couche-Tard, Inc. (Canada) 3.80%, 1/25/2050 (b)		810		803

CVS Pass-Through Trust Series 2013, 4.70%, 1/10/2036 (b)		654		745


				1,548


Food Products — 0.2%

Campbell Soup Co. 4.80%, 3/15/2048		335		409

Cargill, Inc.

3.30%, 3/1/2022 (b)		600		620

3.25%, 3/1/2023 (b)		115		121

Conagra Brands, Inc. 5.30%, 11/1/2038		220		267

General Mills, Inc.

4.00%, 4/17/2025		490		542

4.15%, 2/15/2043		450		510

Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025		153		172

Tyson Foods, Inc.

4.88%, 8/15/2034		300		372

5.15%, 8/15/2044		210		270


				3,283


Gas Utilities — 0.3%

Atmos Energy Corp.

4.15%, 1/15/2043		828		970

4.13%, 10/15/2044		125		149

Boston Gas Co. 4.49%, 2/15/2042 (b)		308		383

Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (b)		440		543

CenterPoint Energy Resources Corp. 4.50%, 1/15/2021		335		340

Dominion Energy Gas Holdings LLC

2.80%, 11/15/2020		382		384

Series C, 3.90%, 11/15/2049		807		877

Korea Gas Corp. (South Korea) 1.88%, 7/18/2021 (b)		653		657

Southern Natural Gas Co. LLC

8.00%, 3/1/2032		351		517

4.80%, 3/15/2047 (b)		367		443


				5,263


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


Health Care Equipment & Supplies — 0.2%

Abbott Laboratories 4.90%, 11/30/2046		1,185		1,645

Becton Dickinson and Co. 4.67%, 6/6/2047		600		760

Boston Scientific Corp. 3.75%, 3/1/2026		530		583

Covidien International Finance SA 2.95%, 6/15/2023		399		416

DH Europe Finance II SARL 3.25%, 11/15/2039		1,000		1,081


				4,485


Health Care Providers & Services — 0.6%

Aetna, Inc. 6.75%, 12/15/2037		440		627

Anthem, Inc.

4.63%, 5/15/2042		500		579

4.65%, 1/15/2043		535		627

4.65%, 8/15/2044		100		117

Cigna Corp. 4.50%, 2/25/2026 (b)		300		339

CVS Health Corp.

4.30%, 3/25/2028		779		872

3.25%, 8/15/2029		895		939

5.05%, 3/25/2048		2,382		2,931

HCA, Inc.

5.25%, 6/15/2026		850		972

5.13%, 6/15/2039		725		844

Mayo Clinic Series 2016, 4.13%, 11/15/2052		225		293

Memorial Health Services 3.45%, 11/1/2049		1,340		1,515

Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055		200		268

Quest Diagnostics, Inc. 3.45%, 6/1/2026		150		164

Texas Health Resources 4.33%, 11/15/2055		300		396

UnitedHealth Group, Inc.

4.63%, 7/15/2035		400		499

3.50%, 8/15/2039		815		895


				12,877


Hotels, Restaurants & Leisure — 0.0% (c)

McDonald’s Corp. 4.70%, 12/9/2035		700		881


Household Products — 0.0% (c)

Reckitt Benckiser Treasury Services plc (United Kingdom) 2.38%, 6/24/2022 (b)		700		714


Independent Power and Renewable Electricity Producers — 0.1%

Exelon Generation Co. LLC 5.75%, 10/1/2041		235		279

NRG Energy, Inc. 4.45%, 6/15/2029 (b)		615		664

Tri-State Generation & Transmission Association, Inc. 4.25%, 6/1/2046		417		492


				1,435


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

Industrial Conglomerates — 0.1%

General Electric Co.

5.30%, 2/11/2021		191		196

2.70%, 10/9/2022		107		109

3.10%, 1/9/2023		573		595

5.55%, 1/5/2026		1,114		1,299

5.88%, 1/14/2038		95		122

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


				2,515


Insurance — 1.2%

AIA Group Ltd. (Hong Kong) 3.60%, 4/9/2029 (b)		445		494

AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b)		520		760

American International Group, Inc. 3.88%, 1/15/2035		605		690

Assurant, Inc. 4.20%, 9/27/2023		660		710

Athene Global Funding

2.75%, 4/20/2020 (b)		1,055		1,056

2.95%, 11/12/2026 (b)		2,800		2,949

Berkshire Hathaway Finance Corp. 4.40%, 5/15/2042		1,000		1,248

CNA Financial Corp. 3.95%, 5/15/2024		463		502

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		559

Guardian Life Insurance Co. of America (The)

4.85%, 1/24/2077 (b)		208		283

Harborwalk Funding Trust (ICE LIBOR USD 3 Month + 3.19%), 5.08%, 2/15/2069 (b) (d)		900		1,145

Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043		400		490

Jackson National Life Global Funding 3.05%, 4/29/2026 (b)		675		728

Liberty Mutual Group, Inc.

4.57%, 2/1/2029 (b)		408		480

3.95%, 10/15/2050 (b)		900		992

Liberty Mutual Insurance Co. 8.50%, 5/15/2025 (b)		100		129

Lincoln National Corp.

4.20%, 3/15/2022		598		631

3.05%, 1/15/2030		650		685

Markel Corp. 3.50%, 11/1/2027		200		218

Massachusetts Mutual Life Insurance Co. 3.73%, 10/15/2070 (b)		523		561

MassMutual Global Funding II 2.50%, 10/17/2022 (b)		626		646


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


Insurance — continued

MetLife, Inc. 4.88%, 11/13/2043		600		802

Metropolitan Life Global Funding I 3.88%, 4/11/2022 (b)		1,277		1,346

OneBeacon US Holdings, Inc. 4.60%, 11/9/2022		500		534

Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (b) (d)		266		298

Progressive Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.54%), 5.38%, 3/15/2023 (d) (f) (g)		360		371

Prudential Financial, Inc. 3.91%, 12/7/2047		300		340

Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b)		1,750		2,283

Reliance Standard Life Global Funding II

3.85%, 9/19/2023 (b)		390		421

2.75%, 1/21/2027 (b)		710		741

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		679

Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (b)		400		493


				24,264


IT Services — 0.3%

DXC Technology Co. 4.25%, 4/15/2024		478		512

Fiserv, Inc.

3.20%, 7/1/2026		395		422

4.40%, 7/1/2049		375		445

Global Payments, Inc. 4.15%, 8/15/2049		795		914

International Business Machines Corp. 3.30%, 5/15/2026		1,530		1,672

Western Union Co. (The) 3.60%, 3/15/2022		1,100		1,145


				5,110


Life Sciences Tools & Services — 0.0% (c)

Thermo Fisher Scientific, Inc.

3.00%, 4/15/2023		369		385

4.15%, 2/1/2024		343		374


				759


Machinery — 0.1%

nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028		450		495

Otis Worldwide Corp. 2.57%, 2/15/2030 (b)		1,430		1,469

Parker-Hannifin Corp. 4.45%, 11/21/2044		592		728

Xylem, Inc. 3.25%, 11/1/2026		197		214


				2,906


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

Media — 0.7%

Charter Communications Operating LLC

6.38%, 10/23/2035		528		696

4.80%, 3/1/2050		1,475		1,588

Comcast Corp.

3.95%, 10/15/2025		696		779

3.15%, 3/1/2026		740		798

3.55%, 5/1/2028		443		493

4.20%, 8/15/2034		555		670

4.60%, 10/15/2038		845		1,064

3.25%, 11/1/2039		715		773

3.45%, 2/1/2050		918		1,013

4.95%, 10/15/2058		620		847

Cox Communications, Inc. 4.60%, 8/15/2047 (b)		275		322

Discovery Communications LLC 6.35%, 6/1/2040		569		756

Grupo Televisa SAB (Mexico)

4.63%, 1/30/2026		221		249

6.13%, 1/31/2046		200		269

Time Warner Cable LLC

6.55%, 5/1/2037		400		521

5.50%, 9/1/2041		359		420

Time Warner Entertainment Co. LP 8.38%, 7/15/2033		700		1,018

ViacomCBS, Inc.

4.00%, 1/15/2026		792		868

4.85%, 7/1/2042		140		159

4.38%, 3/15/2043		464		499


				13,802


Metals & Mining — 0.1%

Anglo American Capital plc (South Africa) 4.00%, 9/11/2027 (b)		500		547

Barrick Gold Corp. (Canada) 6.45%, 10/15/2035		295		421

Steel Dynamics, Inc. 3.45%, 4/15/2030		909		954


				1,922


Multiline Retail — 0.0% (c)

Dollar General Corp. 4.13%, 5/1/2028		235		270


Multi-Utilities — 0.4%

CMS Energy Corp.

3.88%, 3/1/2024		400		434

3.00%, 5/15/2026		475		504

Consolidated Edison Co. of New York, Inc. 5.70%, 6/15/2040		596		836


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



Multi-Utilities — continued

Delmarva Power & Light Co. 4.00%, 6/1/2042		235		272

Dominion Energy, Inc.

Series B, 2.75%, 1/15/2022		331		338

Series F, 5.25%, 8/1/2033		920		1,157

NiSource, Inc.

3.85%, 2/15/2023		370		389

5.80%, 2/1/2042		1,256		1,658

San Diego Gas & Electric Co.

6.00%, 6/1/2026		275		337

3.95%, 11/15/2041		379		422

Sempra Energy 4.05%, 12/1/2023		1,013		1,098

Southern Co. Gas Capital Corp.

3.50%, 9/15/2021		563		576

3.25%, 6/15/2026		254		275


				8,296


Oil, Gas & Consumable Fuels — 2.0%

Apache Corp.

3.25%, 4/15/2022		56		57

4.75%, 4/15/2043		556		526

APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (b)		732		813

Boardwalk Pipelines LP 4.80%, 5/3/2029		410		436

BP Capital Markets plc (United Kingdom) 3.51%, 3/17/2025		451		490

Buckeye Partners LP 5.85%, 11/15/2043		770		708

Cameron LNG LLC 3.70%, 1/15/2039 (b)		961		1,054

Canadian Natural Resources Ltd. (Canada) 6.45%, 6/30/2033		350		469

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		250

4.13%, 1/16/2025		533		556

Enable Midstream Partners LP

4.95%, 5/15/2028		325		324

4.15%, 9/15/2029		594		562

Enbridge, Inc. (Canada)

3.70%, 7/15/2027		215		233

4.50%, 6/10/2044		350		405

(ICE LIBOR USD 3 Month + 3.64%), 6.25%, 3/1/2078 (d)		400		420

Energy Transfer Operating LP

4.75%, 1/15/2026		321		354

6.25%, 4/15/2049		800		922


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

Oil, Gas & Consumable Fuels — continued

Eni SpA (Italy) 5.70%, 10/1/2040 (b)		925		1,192

Enterprise Products Operating LLC

3.90%, 2/15/2024		475		511

3.70%, 2/15/2026		506		551

4.20%, 1/31/2050		530		563

3.70%, 1/31/2051		770		767

3.95%, 1/31/2060		490		480

EQM Midstream Partners LP 4.00%, 8/1/2024		700		612

Exxon Mobil Corp. 3.00%, 8/16/2039		895		936

Hess Corp. 6.00%, 1/15/2040		510		571

Kinder Morgan, Inc. 4.30%, 3/1/2028		1,090		1,216

Magellan Midstream Partners LP

3.20%, 3/15/2025		353		371

5.15%, 10/15/2043		600		735

Marathon Petroleum Corp. 3.63%, 9/15/2024		200		214

MPLX LP

5.25%, 1/15/2025 (b)		268		282

4.13%, 3/1/2027		259		278

4.50%, 4/15/2038		338		342

5.20%, 3/1/2047		323		340

4.70%, 4/15/2048		65		68

5.50%, 2/15/2049		585		657

Noble Energy, Inc. 6.00%, 3/1/2041		999		1,141

Occidental Petroleum Corp.

6.95%, 7/1/2024		200		235

3.50%, 8/15/2029		1,210		1,221

7.88%, 9/15/2031		700		916

4.30%, 8/15/2039		670		643

ONEOK Partners LP

3.38%, 10/1/2022		151		156

5.00%, 9/15/2023		334		367

6.65%, 10/1/2036		350		453

ONEOK, Inc.

3.40%, 9/1/2029		615		636

5.20%, 7/15/2048		850		966

Ovintiv, Inc. 7.38%, 11/1/2031		760		923

Petroleos Mexicanos (Mexico)

6.88%, 8/4/2026		250		272

5.35%, 2/12/2028		282		275

6.50%, 1/23/2029		350		360

6.84%, 1/23/2030 (b)		402		420

6.63%, 6/15/2035		250		250

6.75%, 9/21/2047		313		300

6.35%, 2/12/2048		869		804


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


Oil, Gas & Consumable Fuels — continued

7.69%, 1/23/2050 (b)		768		802

Phillips 66 Partners LP 3.15%, 12/15/2029		985		988

Plains All American Pipeline LP 4.70%, 6/15/2044		610		558

Spectra Energy Partners LP 5.95%, 9/25/2043		452		573

Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038		1,195		1,744

Sunoco Logistics Partners Operations LP

3.90%, 7/15/2026		244		258

6.10%, 2/15/2042		400		452

5.30%, 4/1/2044		170		178

TC PipeLines LP 3.90%, 5/25/2027		391		417

Texas Eastern Transmission LP

2.80%, 10/15/2022 (b)		554		566

3.50%, 1/15/2028 (b)		90		95

Total Capital International SA (France) 3.46%, 7/12/2049		815		892

TransCanada PipeLines Ltd. (Canada) 4.88%, 1/15/2026		394		447

Valero Energy Corp. 7.50%, 4/15/2032		175		243

Williams Cos., Inc. (The)

3.90%, 1/15/2025		512		550

4.85%, 3/1/2048		409		431


				40,652


Pharmaceuticals — 0.6%

Allergan Finance LLC 4.63%, 10/1/2042		480		542

Allergan Funding SCS

3.45%, 3/15/2022		937		971

3.85%, 6/15/2024		443		480

Allergan, Inc.

3.38%, 9/15/2020		453		458

2.80%, 3/15/2023		525		541

AstraZeneca plc (United Kingdom)

6.45%, 9/15/2037		300		444

4.00%, 9/18/2042		240		286

Bristol-Myers Squibb Co.

3.20%, 6/15/2026 (b)		810		884

4.13%, 6/15/2039 (b)		545		663

5.70%, 10/15/2040 (b)		633		884

5.00%, 8/15/2045 (b)		975		1,329

Mylan NV 3.95%, 6/15/2026		300		326

Pfizer, Inc. 3.90%, 3/15/2039		950		1,127

Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026		1,713		1,837


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

Pharmaceuticals — continued

Takeda Pharmaceutical Co. Ltd. (Japan) 5.00%, 11/26/2028		895		1,090


				11,862


Road & Rail — 0.3%

Burlington Northern Santa Fe LLC

5.75%, 5/1/2040		425		601

4.38%, 9/1/2042		375		459

5.15%, 9/1/2043		769		1,036

3.55%, 2/15/2050		653		737

CSX Corp.

5.50%, 4/15/2041		150		201

4.75%, 5/30/2042		191		240

4.75%, 11/15/2048		600		777

3.35%, 9/15/2049		95		100

JB Hunt Transport Services, Inc. 3.88%, 3/1/2026		515		572

Norfolk Southern Corp. 4.05%, 8/15/2052		600		709

Penske Truck Leasing Co. LP 4.13%, 8/1/2023 (b)		1,131		1,216

Ryder System, Inc. 2.88%, 9/1/2020		517		519


				7,167


Semiconductors & Semiconductor Equipment — 0.2%

Analog Devices, Inc. 4.50%, 12/5/2036		300		338

Broadcom Corp. 3.63%, 1/15/2024		1,747		1,830

Broadcom, Inc. 4.75%, 4/15/2029 (b)		1,575		1,752


				3,920


Software — 0.3%

Microsoft Corp.

3.50%, 2/12/2035		291		339

4.20%, 11/3/2035		615		775

4.10%, 2/6/2037		800		992

4.00%, 2/12/2055		660		836

3.95%, 8/8/2056		324		413

Oracle Corp.

4.30%, 7/8/2034		82		101

3.80%, 11/15/2037		500		576

4.38%, 5/15/2055		900		1,148


				5,180


Specialty Retail — 0.2%

Home Depot, Inc. (The) 3.13%, 12/15/2049		1,630		1,731

Lowe’s Cos., Inc.

3.65%, 4/5/2029		418		463


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


Specialty Retail — continued

4.65%, 4/15/2042		739		908

4.55%, 4/5/2049		403		494

O’Reilly Automotive, Inc. 3.60%, 9/1/2027		432		481


				4,077


Technology Hardware, Storage & Peripherals — 0.4%

Apple, Inc.

2.45%, 8/4/2026		815		854

3.20%, 5/11/2027		686		751

3.00%, 6/20/2027		1,125		1,218

3.45%, 2/9/2045		1,130		1,279

3.85%, 8/4/2046		569		679

3.75%, 11/13/2047		150		179

2.95%, 9/11/2049		1,094		1,149

Dell International LLC 6.02%, 6/15/2026 (b)		1,410		1,651


				7,760


Thrifts & Mortgage Finance — 0.1%

BPCE SA (France)

4.63%, 7/11/2024 (b)		800		872

3.38%, 12/2/2026		400		432


				1,304


Tobacco — 0.0% (c)

BAT Capital Corp. (United Kingdom) 4.54%, 8/15/2047		265		274

Reynolds American, Inc. (United Kingdom) 7.00%, 8/4/2041		100		127


				401


Trading Companies & Distributors — 0.3%

Air Lease Corp.

3.75%, 6/1/2026		985		1,057

3.25%, 10/1/2029		2,080		2,111

Aviation Capital Group LLC

3.88%, 5/1/2023 (b)		490		515

3.50%, 11/1/2027 (b)		700		726

BOC Aviation Ltd. (Singapore)

2.75%, 9/18/2022 (b)		450		459

3.50%, 10/10/2024 (b)		310		331

International Lease Finance Corp. 5.88%, 8/15/2022		506		551


				5,750


Water Utilities — 0.0% (c)

American Water Capital Corp. 3.45%, 6/1/2029		795		877


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

Wireless Telecommunication Services — 0.2%

America Movil SAB de CV (Mexico)

3.63%, 4/22/2029		880		976

4.38%, 4/22/2049		441		547

Rogers Communications, Inc. (Canada) 4.35%, 5/1/2049		560		668

Vodafone Group plc (United Kingdom)

5.25%, 5/30/2048		496		626

4.88%, 6/19/2049		1,105		1,326


				4,143


Total Corporate Bonds (Cost $414,094)				458,365

Mortgage-Backed Securities — 17.3%

FHLMC

Pool # 846812, ARM, 4.32%, 4/1/2030 (h)		7		8

Pool # 781087, ARM, 3.98%, 12/1/2033 (h)		186		197

Pool # 1B1665, ARM, 4.69%, 4/1/2034 (h)		137		144

Pool # 847356, ARM, 4.19%, 12/1/2034 (h)		97		102

Pool # 782979, ARM, 3.88%, 1/1/2035 (h)		158		168

Pool # 1Q0025, ARM, 3.93%, 2/1/2036 (h)		56		59

Pool # 848431, ARM, 4.28%, 2/1/2036 (h)		108		114

Pool # 1L1286, ARM, 4.75%, 5/1/2036 (h)		33		35

Pool # 848365, ARM, 4.51%, 7/1/2036 (h)		93		99

Pool # 1G2539, ARM, 3.85%, 10/1/2036 (h)		12		12

Pool # 1A1096, ARM, 3.85%, 10/1/2036 (h)		126		131

Pool # 1J1348, ARM, 4.21%, 10/1/2036 (h)		72		76

Pool # 1G2671, ARM, 3.65%, 11/1/2036 (h)		115		121

Pool # 782760, ARM, 4.35%, 11/1/2036 (h)		149		159

Pool # 1J1634, ARM, 4.09%, 12/1/2036 (h)		85		89

Pool # 1J0282, ARM, 3.88%, 2/1/2037 (h)		44		46

Pool # 1Q0739, ARM, 3.89%, 3/1/2037 (h)		165		173

Pool # 848699, ARM, 4.32%, 7/1/2040 (h)		279		296

FHLMC Gold Pools, 20 Year Pool # C91403, 3.50%, 3/1/2032		267		282

FHLMC Gold Pools, 30 Year

Pool # C68485, 7.00%, 7/1/2032		20		23

Pool # G01448, 7.00%, 8/1/2032		53		62

Pool # A13625, 5.50%, 10/1/2033		242		278

Pool # A16107, 6.00%, 12/1/2033		75		83

Pool # A17537, 6.00%, 1/1/2034		99		115

Pool # A61572, 5.00%, 9/1/2034		570		641

Pool # A28796, 6.50%, 11/1/2034		103		121

Pool # G03369, 6.50%, 1/1/2035		246		278

Pool # A46987, 5.50%, 7/1/2035		526		592

Pool # G01919, 4.00%, 9/1/2035		348		368


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


Pool # C02641, 7.00%, 10/1/2036		84		98

Pool # C02660, 6.50%, 11/1/2036		189		219

Pool # A93383, 5.00%, 8/1/2040		486		547

Pool # A93511, 5.00%, 8/1/2040		529		595

Pool # G06493, 4.50%, 5/1/2041		1,897		2,092

FHLMC Gold Pools, Other

Pool # P20570, 7.00%, 7/1/2029		44		48

Pool # G20027, 10.00%, 10/1/2030		15		16

Pool # U50105, 4.00%, 1/1/2032		619		658

Pool # U80254, 3.00%, 3/1/2033		498		518

Pool # P20409, 5.50%, 10/1/2033		91		99

Pool # P50201, 5.50%, 1/1/2034		57		60

Pool # U90975, 4.00%, 6/1/2042		2,190		2,361

Pool # U90673, 4.00%, 1/1/2043		527		569

Pool # U99134, 4.00%, 1/1/2046		8,581		9,278

Pool # U69030, 4.50%, 1/1/2046		3,657		4,017

FNMA

Pool # 470623, ARM, 2.46%, 3/1/2022 (h)		842		844

Pool # 54844, ARM, 2.72%, 9/1/2027 (h)		13		13

Pool # 303532, ARM, 4.07%, 3/1/2029 (h)		9		9

Pool # 555258, ARM, 3.29%, 1/1/2033 (h)		403		411

Pool # 722421, ARM, 3.29%, 7/1/2033 (h)		42		42

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

Pool # 686040, ARM, 4.63%, 7/1/2033 (h)		136		144

Pool # 746299, ARM, 4.06%, 9/1/2033 (h)		117		123

Pool # 749923, ARM, 3.90%, 11/1/2033 (h)		11		11

Pool # 766610, ARM, 3.71%, 1/1/2034 (h)		81		85

Pool # 920467, ARM, 4.75%, 2/1/2034 (h)		83		85

Pool # 770377, ARM, 4.38%, 4/1/2034 (h)		89		93

Pool # 751531, ARM, 4.71%, 5/1/2034 (h)		105		110

Pool # 782306, ARM, 3.80%, 7/1/2034 (h)		25		25

Pool # 790235, ARM, 3.75%, 8/1/2034 (h)		112		117

Pool # 735332, ARM, 4.38%, 8/1/2034 (h)		196		207

Pool # 791961, ARM, 3.19%, 9/1/2034 (h)		31		31

Pool # 725902, ARM, 3.90%, 9/1/2034 (h)		14		14

Pool # 803594, ARM, 3.56%, 10/1/2034 (h)		152		159

Pool # 803599, ARM, 3.81%, 10/1/2034 (h)		199		206

Pool # 896463, ARM, 4.57%, 10/1/2034 (h)		101		108

Pool # 806776, ARM, 3.56%, 11/1/2034 (h)		148		152

Pool # 806778, ARM, 3.78%, 11/1/2034 (h)		410		430

Pool # 810896, ARM, 3.49%, 1/1/2035 (h)		339		352

Pool # 802692, ARM, 3.62%, 1/1/2035 (h)		259		271

Pool # 816597, ARM, 3.54%, 2/1/2035 (h)		18		18

Pool # 735539, ARM, 4.04%, 4/1/2035 (h)		521		552

Pool # 745862, ARM, 4.57%, 4/1/2035 (h)		88		91


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

Pool # 821378, ARM, 4.14%, 5/1/2035 (h)		87		89

Pool # 823660, ARM, 4.52%, 5/1/2035 (h)		67		70

Pool # 745766, ARM, 3.78%, 6/1/2035 (h)		226		236

Pool # 843026, ARM, 3.55%, 9/1/2035 (h)		425		440

Pool # 832801, ARM, 3.73%, 9/1/2035 (h)		61		64

Pool # 849251, ARM, 4.03%, 1/1/2036 (h)		96		100

Pool # 872622, ARM, 4.42%, 6/1/2036 (h)		26		27

Pool # 895141, ARM, 3.44%, 7/1/2036 (h)		135		140

Pool # 900197, ARM, 4.27%, 10/1/2036 (h)		80		86

Pool # 966946, ARM, 3.79%, 1/1/2038 (h)		34		36

FNMA UMBS, 15 Year

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

Pool # 889634, 6.00%, 2/1/2023		226		235

Pool # 995381, 6.00%, 1/1/2024		54		56

Pool # 995425, 6.00%, 1/1/2024		126		131

Pool # AD0133, 5.00%, 8/1/2024		50		52

FNMA UMBS, 20 Year

Pool # 254305, 6.50%, 5/1/2022		12		14

Pool # 555791, 6.50%, 12/1/2022		35		39

Pool # 255217, 4.50%, 4/1/2024		22		23

Pool # 888656, 6.50%, 4/1/2025		47		53

Pool # MA1138, 3.50%, 8/1/2032		607		641

FNMA UMBS, 30 Year

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

Pool # 399269, 7.00%, 4/1/2026		27		28

Pool # 689977, 8.00%, 3/1/2027		36		40

Pool # 695533, 8.00%, 6/1/2027		14		15

Pool # 756024, 8.00%, 9/1/2028		59		67

Pool # 755973, 8.00%, 11/1/2028		117		137

Pool # 455759, 6.00%, 12/1/2028		15		17

Pool # 252211, 6.00%, 1/1/2029		19		22

Pool # 459097, 7.00%, 1/1/2029		20		22

Pool # 889020, 6.50%, 11/1/2029		307		343

Pool # 598559, 6.50%, 8/1/2031		30		35

Pool # 622542, 5.50%, 9/1/2031		246		275

Pool # 788150, 6.00%, 3/1/2032		32		36

Pool # 649734, 7.00%, 6/1/2032		31		34

Pool # 675555, 6.00%, 12/1/2032		82		93

Pool # AL0045, 6.00%, 12/1/2032		313		362

Pool # 674349, 6.00%, 3/1/2033		15		17

Pool # 688625, 6.00%, 3/1/2033		21		24

Pool # 688655, 6.00%, 3/1/2033		24		28

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

Pool # 702901, 6.00%, 5/1/2033		103		120

Pool # 723852, 5.00%, 7/1/2033		128		144


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


Pool # 729296, 5.00%, 7/1/2033		268		300

Pool # 729379, 6.00%, 8/1/2033		24		26

Pool # 737825, 6.00%, 9/1/2033		32		36

Pool # 750977, 4.50%, 11/1/2033		88		96

Pool # 725017, 5.50%, 12/1/2033		417		478

Pool # 751341, 5.50%, 3/1/2034		43		48

Pool # 888568, 5.00%, 12/1/2034		10		11

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

Pool # AD0755, 7.00%, 6/1/2035		2,932		3,453

Pool # 820347, 5.00%, 9/1/2035		81		93

Pool # 833657, 7.50%, 8/1/2036		40		45

Pool # 986648, 6.00%, 9/1/2037		143		168

Pool # 888892, 7.50%, 11/1/2037		44		53

Pool # 257510, 7.00%, 12/1/2038		124		152

Pool # AD0753, 7.00%, 1/1/2039		101		123

Pool # AT5891, 3.00%, 6/1/2043		2,952		3,133

Pool # AL7527, 4.50%, 9/1/2043		1,491		1,644

Pool # BM3500, 4.00%, 9/1/2047		4,472		4,839

Pool # BJ1778, 4.50%, 10/1/2047		1,677		1,806

Pool # BN9180, 4.00%, 6/1/2049		1,628		1,729

Pool # BK8753, 4.50%, 6/1/2049		4,540		4,934

Pool # BO1219, 4.50%, 6/1/2049		4,950		5,297

Pool # BO7077, 3.00%, 9/1/2049		3,696		3,827

FNMA, 30 Year

Pool # 535183, 8.00%, 6/1/2028		18		20

Pool # 252409, 6.50%, 3/1/2029		54		61

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

Pool # 752786, 6.00%, 9/1/2033		62		70

Pool # 931717, 6.50%, 8/1/2039		283		327

FNMA, Other

Pool # AE0136, 4.30%, 4/1/2020 (h)		86		86

Pool # FN0005, 3.37%, 11/1/2020 (h)		392		397

Pool # 466836, 3.87%, 1/1/2021		1,443		1,455

Pool # FN0003, 4.31%, 1/1/2021 (h)		680		697

Pool # 467344, 4.48%, 2/1/2021		2,597		2,635

Pool # 467755, 4.25%, 4/1/2021		2,380		2,427

Pool # 467944, 4.25%, 4/1/2021		2,000		2,038

Pool # 468102, 4.34%, 6/1/2021		5,000		5,126

Pool # AL0602, 4.23%, 7/1/2021 (h)		788		816

Pool # 468159, 4.26%, 7/1/2021		1,895		1,946

Pool # AM1771, 2.12%, 9/1/2021		2,500		2,521

Pool # 470407, 3.16%, 2/1/2022		2,433		2,503

Pool # 470622, 2.75%, 3/1/2022		518		533

Pool # 471177, 2.94%, 5/1/2022		1,281		1,320

Pool # 471254, 2.98%, 7/1/2022		2,384		2,461


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

Pool # 471284, 2.98%, 7/1/2022		1,907		1,973

Pool # AM3789, 3.02%, 7/1/2023		2,227		2,341

Pool # AM7245, 2.95%, 8/1/2023		4,401		4,611

Pool # AM4066, 3.59%, 8/1/2023		2,500		2,685

Pool # AM4628, 3.69%, 11/1/2023		1,475		1,592

Pool # AM4668, 3.76%, 11/1/2023		1,937		2,093

Pool # AM4716, 3.38%, 12/1/2023		1,930		2,063

Pool # AM7231, 2.92%, 12/1/2024		3,989		4,260

Pool # AM7589, 2.95%, 12/1/2024		1,541		1,645

Pool # AM7290, 2.97%, 12/1/2024		3,456		3,698

Pool # AM7576, 3.04%, 12/1/2024		3,990		4,283

Pool # AM7124, 3.11%, 12/1/2024		2,493		2,684

Pool # 470300, 3.64%, 1/1/2025		898		986

Pool # AM3833, 3.25%, 7/1/2025		3,567		3,861

Pool # AM4991, 3.97%, 12/1/2025		1,712		1,911

Pool # AL6805, 3.78%, 1/1/2026 (h)		3,472		3,859

Pool # 468645, 4.54%, 7/1/2026		2,591		2,988

Pool # AM6392, 3.29%, 8/1/2026		3,967		4,357

Pool # AM6448, 3.25%, 9/1/2026		9,760		10,694

Pool # AM7223, 3.11%, 12/1/2026		3,474		3,795

Pool # AM7118, 3.14%, 12/1/2026		2,772		3,029

Pool # AM7485, 3.24%, 12/1/2026		4,235		4,668

Pool # AM7390, 3.26%, 12/1/2026		3,785		4,154

Pool # AM7265, 3.30%, 12/1/2026		3,866		4,254

Pool # AM7515, 3.34%, 2/1/2027		3,000		3,304

Pool # AM8432, 2.79%, 5/1/2027		9,000		9,692

Pool # AM8803, 2.78%, 6/1/2027		4,903		5,266

Pool # AM8987, 2.79%, 6/1/2027		1,830		1,971

Pool # AM9003, 2.96%, 6/1/2027		2,839		3,081

Pool # AN9656, 3.57%, 7/1/2028		4,700		5,308

Pool # BL1040, 3.81%, 12/1/2028		3,000		3,480

Pool # BL4364, 2.24%, 11/1/2029		5,456		5,716

Pool # BL4333, 2.52%, 11/1/2029		6,200		6,614

Pool # AM7785, 3.17%, 2/1/2030		2,899		3,247

Pool # AM7516, 3.55%, 2/1/2030		2,000		2,294

Pool # AM8427, 3.04%, 4/1/2030		8,725		9,713

Pool # AM8544, 3.08%, 4/1/2030		7,746		8,648

Pool # AM8889, 2.92%, 5/1/2030		8,000		8,832

Pool # AM8804, 3.10%, 5/1/2030		3,683		4,119

Pool # AM8807, 3.10%, 5/1/2030		4,758		5,317

Pool # AM9020, 2.97%, 6/1/2030		3,886		4,332

Pool # AM8967, 3.08%, 6/1/2030		6,086		6,807

Pool # AM9320, 3.30%, 7/1/2030		4,022		4,587

Pool # AM9219, 3.35%, 9/1/2030		1,847		2,098

Pool # BL4315, 2.39%, 9/1/2031		4,550		4,810


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


Pool # AP9632, 4.00%, 10/1/2032		535			569

Pool # AP9762, 4.00%, 10/1/2032		664			711

Pool # AQ7084, 3.50%, 12/1/2032		691			732

Pool # AT2703, 3.50%, 5/1/2033		1,578			1,671

Pool # AT2954, 3.50%, 5/1/2033		1,004			1,063

Pool # AT4180, 3.50%, 5/1/2033		1,051			1,112

Pool # AT4939, 3.50%, 5/1/2033		907			960

Pool # 754922, 5.50%, 9/1/2033		85			96

Pool # 762520, 4.00%, 11/1/2033		473			504

Pool # AM8922, 3.03%, 6/1/2035		2,787			3,080

Pool # AM9188, 3.12%, 6/1/2035		7,000			7,933

Pool # 849215, 6.50%, 1/1/2036		20			21

Pool # 872740, 6.50%, 6/1/2036		81			93

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

Pool # 888796, 6.00%, 9/1/2037		67			72

Pool # AO7225, 4.00%, 7/1/2042		673			726

Pool # AO9352, 4.00%, 7/1/2042		795			857

Pool # MA1125, 4.00%, 7/1/2042		1,098			1,183

Pool # AR1397, 3.00%, 1/1/2043		1,566			1,636

Pool # MA1711, 4.50%, 12/1/2043		3,173			3,497

Pool # MA1828, 4.50%, 3/1/2044		2,445			2,694

FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 3.00%, 4/25/2049 (i)		15,000			15,424

GNMA I, 30 Year

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

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

Pool # 782507, 9.50%, 10/15/2024		7			7

Pool # 554108, 6.50%, 3/15/2028		44			48

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		10			11

Pool # 486631, 6.50%, 10/15/2028		5			6

Pool # 591882, 6.50%, 7/15/2032		15			16

Pool # 607645, 6.50%, 2/15/2033		35			40

Pool # 607724, 7.00%, 2/15/2033		36			41

Pool # 604209, 6.50%, 4/15/2033		38			43

Pool # 781614, 7.00%, 6/15/2033		69			84

Pool # BM2141, 5.00%, 7/15/2049		1,704			1,917

GNMA II, 30 Year

Pool # 2006, 8.50%, 5/20/2025		10			11

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

Pool # 2234, 8.00%, 6/20/2026		4			5

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

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

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


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

Pool # 2499, 8.00%, 10/20/2027		6		7

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		5		6

Pool # 2646, 7.50%, 9/20/2028		14		16

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

Pool # 3427, 4.50%, 8/20/2033		105		111

Pool # 4245, 6.00%, 9/20/2038		796		915

Pool # AK8806, 4.25%, 3/20/2045		1,487		1,620

Pool # BM2118, 4.50%, 6/20/2049		1,584		1,683

Pool # BO0535, 4.00%, 7/20/2049		3,073		3,221

Pool # BO8227, 5.00%, 7/20/2049		2,043		2,260

Pool # BO8228, 5.00%, 7/20/2049		1,878		2,071

Pool # BO8229, 5.00%, 7/20/2049		3,651		4,025

Pool # BM9734, 4.00%, 10/20/2049		4,873		5,153

GNMA II, Other

Pool # AC0979, 4.38%, 4/20/2063 (h)		921		934

Pool # AC0973, 4.36%, 5/20/2063 (h)		1,063		1,074


Total Mortgage-Backed Securities (Cost $337,590)				356,652

Collateralized Mortgage Obligations — 13.6%

ACC 1/15/2021 ‡		2,154		2,154

Acre 6.71%, 12/15/2020		3,785		3,785

Alternative Loan Trust

Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034		5,377		5,541

Series 2005-J1, Class 1A4, IF, IO, 3.47%, 2/25/2035 ‡ (h)		284		7

Series 2005-1CB, Class 1A6, IF, IO, 5.47%, 3/25/2035 ‡ (h)		688		106

Series 2005-22T1, Class A2, IF, IO, 3.44%, 6/25/2035 ‡ (h)		3,987		625

Series 2005-20CB, Class 3A8, IF, IO, 3.12%, 7/25/2035 ‡ (h)		1,801		239

Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035		1,774		1,788

Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035		74		52

Series 2005-37T1, Class A2, IF, IO, 3.42%, 9/25/2035 ‡ (h)		2,996		454

Series 2005-54CB, Class 1A2, IF, IO, 3.22%, 11/25/2035 ‡ (h)		3,418		512

Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035		1,358		1,297

Series 2005-57CB, Class 3A2, IF, IO, 3.47%, 12/25/2035 ‡ (h)		776		96


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


Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035		569		568

Series 2006-26CB, Class A9, 6.50%, 9/25/2036		1,070		857

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		495		501

Series 2006-4, Class 1A4, 6.00%, 5/25/2046		291		285

Banc of America Funding Trust

Series 2004-1, PO, 3/25/2034 ‡		138		115

Series 2004-2, Class 30PO, PO, 9/20/2034 ‡		92		81

Series 2004-C, Class 1A1, 4.38%, 12/20/2034 (h)		68		70

Series 2005-E, Class 4A1, 4.44%, 3/20/2035 (h)		56		57

Series 2005-6, Class 2A7, 5.50%, 10/25/2035		205		201

Series 2005-7, Class 30PO, PO, 11/25/2035 ‡		165		146

Series 2005-8, Class 30PO, PO, 1/25/2036 ‡		92		72

Series 2006-A, Class 3A2, 3.90%, 2/20/2036 (h)		196		191

Banc of America Mortgage Trust Series 2004-A, Class 2A2, 3.88%, 2/25/2034 (h)		52		53

BCAP LLC Trust Series 2009-RR5, Class 8A1, 5.50%, 11/26/2034 (b) (h)		58		58

Bear Stearns ARM Trust

Series 2003-7, Class 3A, 4.31%, 10/25/2033 (h)		61		63

Series 2004-1, Class 12A1, 4.23%, 4/25/2034 (h)		289		298

Series 2004-2, Class 14A, 4.15%, 5/25/2034 (h)		41		42

Series 2006-1, Class A1, 3.84%, 2/25/2036 (h)		792		814

CHL Mortgage Pass-Through Trust

Series 2004-8, Class 2A1, 4.50%, 6/25/2019		2		3

Series 2004-HYB1, Class 2A, 3.59%, 5/20/2034 (h)		43		44

Series 2004-HYB3, Class 2A, 3.85%, 6/20/2034 (h)		241		246

Series 2004-7, Class 2A1, 4.54%, 6/25/2034 (h)		139		145

Series 2004-HYB6, Class A3, 3.93%, 11/20/2034 (h)		193		200

Series 2005-16, Class A23, 5.50%, 9/25/2035		392		362


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-22, Class 2A1, 3.57%, 11/25/2035 (h)		1,026		944

Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust

Series 2005-5, Class APO, PO, 8/25/2035 ‡		35		31

Series 2005-8, Class APO, PO, 11/25/2035 ‡		77		69

Citigroup Global Markets Mortgage Securities VII, Inc.

Series 2003-UP2, Class PO1, PO, 6/25/2033 ‡		1		1

Series 2003-HYB1, Class A, 4.24%, 9/25/2033 (h)		42		43

Citigroup Mortgage Loan Trust Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (h)		439		468

Citigroup Mortgage Loan Trust, Inc.

Series 2003-1, Class PO3, PO, 9/25/2033 ‡		28		27

Series 2003-UP3, Class A3, 7.00%, 9/25/2033		12		12

Series 2003-1, Class 2A6, PO, 10/25/2033 ‡		25		25

Series 2003-1, Class PO2, PO, 10/25/2033 ‡		23		20

Series 2003-1, Class 2A5, 5.25%, 10/25/2033		48		49

Series 2004-UST1, Class A6, 4.58%, 8/25/2034 (h)		30		30

Series 2005-1, Class 2A1A, 2.73%, 2/25/2035 (h)		183		159

Series 2005-2, Class 2A11, 5.50%, 5/25/2035		201		207

Series 2005-5, Class 1A2, 3.97%, 8/25/2035 (h)		239		194

Conix Mortgage Asset Trust Series 2013-1, Class A, 12/25/2047 ‡ (k)		1,079		17

Credit Suisse First Boston Mortgage Securities Corp.

Series 2003-1, Class DB1, 6.73%, 2/25/2033 (h)		267		276

Series 2003-21, Class 1A4, 5.25%, 9/25/2033		79		81

Series 2003-25, Class 1P, PO, 10/25/2033 ‡		195		189

CSFB Mortgage-Backed Pass-Through Certificates

Series 2005-4, Class 3A18, 5.50%, 6/25/2035		1,206		1,260

Series 2005-4, Class 3A23, 5.50%, 6/25/2035		2,544		2,576

CSMA SFR 4/25/2023 ‡		3,068		3,068

CSMA SFR Holdings II 7/25/2023 ‡		2,975		2,972


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


FHLMC — GNMA Series 8, Class ZA, 7.00%, 3/25/2023		31			33

FHLMC, REMIC

Series 2965, Class GD, 4.50%, 4/15/2020		1			1

Series 1807, Class G, 9.00%, 10/15/2020		—	(j)		—	(j)

Series 1065, Class J, 9.00%, 4/15/2021		—	(j)		—	(j)

Series 1084, Class F, 2.61%, 5/15/2021 (h)		—	(j)		—	(j)

Series 1079, Class S, HB, IF, 28.36%, 5/15/2021 (h)		—	(j)		—	(j)

Series 1084, Class S, HB, IF, 37.76%, 5/15/2021 (h)		—	(j)		—	(j)

Series 1116, Class I, 5.50%, 8/15/2021		—	(j)		—	(j)

Series 1144, Class KB, 8.50%, 9/15/2021		2			2

Series 1196, Class B, HB, IF, 1,104.54%, 1/15/2022 (h)		—	(j)		—	(j)

Series 1250, Class J, 7.00%, 5/15/2022		1			1

Series 1343, Class LB, 7.50%, 8/15/2022		4			4

Series 1343, Class LA, 8.00%, 8/15/2022		3			3

Series 1370, Class JA, 2.81%, 9/15/2022 (h)		6			6

Series 2512, Class PG, 5.50%, 10/15/2022		68			70

Series 1455, Class WB, IF, 3.84%, 12/15/2022 (h)		7			7

Series 2535, Class BK, 5.50%, 12/15/2022		35			36

Series 1470, Class F, 2.04%, 2/15/2023 (h)		1			1

Series 2568, Class KG, 5.50%, 2/15/2023		96			100

Series 1466, Class PZ, 7.50%, 2/15/2023		29			31

Series 1498, Class I, 2.81%, 4/15/2023 (h)		38			38

Series 1502, Class PX, 7.00%, 4/15/2023		58			62

Series 1798, Class F, 5.00%, 5/15/2023		47			48

Series 1505, Class Q, 7.00%, 5/15/2023		7			7

Series 1518, Class G, IF, 7.32%, 5/15/2023 (h)		15			16

Series 1541, Class O, 1.18%, 7/15/2023 (h)		15			15

Series 2638, Class DS, IF, 6.94%, 7/15/2023 (h)		11			12

Series 1541, Class M, HB, IF, 23.41%, 7/15/2023 (h)		5			6

Series 1570, Class F, 2.54%, 8/15/2023 (h)		1			2

Series 1608, Class L, 6.50%, 9/15/2023		149			160

Series 1573, Class PZ, 7.00%, 9/15/2023		44			47

Series 2571, Class SK, HB, IF, 27.35%, 9/15/2023 (h)		20			28

Series 1591, Class PV, 6.25%, 10/15/2023		29			31

Series 1602, Class SA, IF, 17.30%, 10/15/2023 (h)		18			22

Series 2710, Class HB, 5.50%, 11/15/2023		258			268

Series 1642, Class PJ, 6.00%, 11/15/2023		71			75


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2716, Class UN, 4.50%, 12/15/2023		175		181

Series 1638, Class H, 6.50%, 12/15/2023		100		107

Series 2283, Class K, 6.50%, 12/15/2023		44		47

Series 1700, Class GA, PO, 2/15/2024		12		12

Series 1865, Class D, PO, 2/15/2024		39		38

Series 1760, Class ZD, 1.25%, 2/15/2024 (h)		127		125

Series 1671, Class QC, IF, 10.00%, 2/15/2024 (h)		14		16

Series 1686, Class SH, IF, 15.47%, 2/15/2024 (h)		3		4

Series 1709, Class FA, 0.90%, 3/15/2024 (h)		2		2

Series 1699, Class FC, 2.28%, 3/15/2024 (h)		4		4

Series 1695, Class EB, 7.00%, 3/15/2024		22		24

Series 1706, Class K, 7.00%, 3/15/2024		66		71

Series 2033, Class SN, HB, IF, 26.78%, 3/15/2024 (h)		11		2

Series 2306, Class K, PO, 5/15/2024		12		11

Series 2306, Class SE, IF, IO, 8.85%, 5/15/2024 (h)		27		4

Series 1745, Class D, 7.50%, 8/15/2024		15		16

Series 3720, Class A, 4.50%, 9/15/2025		129		136

Series 3131, Class BK, 5.50%, 3/15/2026		451		481

Series 1829, Class ZB, 6.50%, 3/15/2026		11		12

Series 1863, Class Z, 6.50%, 7/15/2026		14		15

Series 1890, Class H, 7.50%, 9/15/2026		15		17

Series 1899, Class ZE, 8.00%, 9/15/2026		43		50

Series 3229, Class HE, 5.00%, 10/15/2026		427		457

Series 1963, Class Z, 7.50%, 1/15/2027		39		44

Series 1935, Class FL, 2.36%, 2/15/2027 (h)		3		3

Series 1981, Class Z, 6.00%, 5/15/2027		59		64

Series 1970, Class PG, 7.25%, 7/15/2027		5		5

Series 1987, Class PE, 7.50%, 9/15/2027		21		25

Series 2019, Class Z, 6.50%, 12/15/2027		48		54

Series 2038, Class PN, IO, 7.00%, 3/15/2028		45		7

Series 2040, Class PE, 7.50%, 3/15/2028		96		111

Series 4251, Class KW, 2.50%, 4/15/2028		3,684		3,854

Series 2043, Class CJ, 6.50%, 4/15/2028		13		15

Series 2054, Class PV, 7.50%, 5/15/2028		65		75

Series 2075, Class PM, 6.25%, 8/15/2028		143		159

Series 2075, Class PH, 6.50%, 8/15/2028		127		144

Series 2086, Class GB, 6.00%, 9/15/2028		38		43

Series 2089, Class PJ, IO, 7.00%, 10/15/2028		60		6

Series 2095, Class PE, 6.00%, 11/15/2028		172		193

Series 2125, Class JZ, 6.00%, 2/15/2029		58		64

Series 2136, Class PG, 6.00%, 3/15/2029		68		76


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


Series 2132, Class SB, HB, IF, 23.38%, 3/15/2029 (h)		12		19

Series 2141, IO, 7.00%, 4/15/2029		20		2

Series 2169, Class TB, 7.00%, 6/15/2029		205		235

Series 2163, Class PC, IO, 7.50%, 6/15/2029		22		2

Series 2172, Class QC, 7.00%, 7/15/2029		136		159

Series 2176, Class OJ, 7.00%, 8/15/2029		99		115

Series 2201, Class C, 8.00%, 11/15/2029		52		60

Series 2209, Class TC, 8.00%, 1/15/2030		53		63

Series 2210, Class Z, 8.00%, 1/15/2030		106		127

Series 2224, Class CB, 8.00%, 3/15/2030		24		29

Series 2230, Class Z, 8.00%, 4/15/2030		60		72

Series 2234, Class PZ, 7.50%, 5/15/2030		47		55

Series 2247, Class Z, 7.50%, 8/15/2030		47		55

Series 2256, Class MC, 7.25%, 9/15/2030		59		71

Series 2259, Class ZM, 7.00%, 10/15/2030		87		102

Series 2262, Class Z, 7.50%, 10/15/2030		14		17

Series 2271, Class PC, 7.25%, 12/15/2030		103		122

Series 2296, Class PD, 7.00%, 3/15/2031		57		67

Series 2313, Class LA, 6.50%, 5/15/2031		48		54

Series 2325, Class PM, 7.00%, 6/15/2031		71		84

Series 2359, Class ZB, 8.50%, 6/15/2031		166		202

Series 2344, Class ZD, 6.50%, 8/15/2031		565		652

Series 2344, Class ZJ, 6.50%, 8/15/2031		52		58

Series 2345, Class NE, 6.50%, 8/15/2031		38		45

Series 2351, Class PZ, 6.50%, 8/15/2031		46		51

Series 2353, Class AZ, 6.00%, 9/15/2031		313		347

Series 2367, Class ME, 6.50%, 10/15/2031		93		103

Series 2396, Class FM, 2.11%, 12/15/2031 (h)		186		185

Series 2399, Class OH, 6.50%, 1/15/2032		123		143

Series 2399, Class TH, 6.50%, 1/15/2032		141		165

Series 2464, Class SI, IF, IO, 6.34%, 2/15/2032 (h)		270		47

Series 2410, Class OE, 6.38%, 2/15/2032		50		55

Series 2410, Class NG, 6.50%, 2/15/2032		133		156

Series 2420, Class XK, 6.50%, 2/15/2032		194		227

Series 2410, Class QX, IF, IO, 6.99%, 2/15/2032 (h)		62		15

Series 2412, Class SP, IF, 12.78%, 2/15/2032 (h)		131		172

Series 2410, Class QS, IF, 15.19%, 2/15/2032 (h)		105		161

Series 2444, Class ES, IF, IO, 6.29%, 3/15/2032 (h)		109		21

Series 2450, Class SW, IF, IO, 6.34%, 3/15/2032 (h)		87		16


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2430, Class WF, 6.50%, 3/15/2032		285		337

Series 2423, Class MC, 7.00%, 3/15/2032		151		178

Series 2423, Class MT, 7.00%, 3/15/2032		129		154

Series 2435, Class CJ, 6.50%, 4/15/2032		202		236

Series 2434, Class TC, 7.00%, 4/15/2032		143		169

Series 2436, Class MC, 7.00%, 4/15/2032		107		123

Series 2455, Class GK, 6.50%, 5/15/2032		308		362

Series 2450, Class GZ, 7.00%, 5/15/2032		84		100

Series 2462, Class JG, 6.50%, 6/15/2032		136		160

Series 2466, Class PH, 6.50%, 6/15/2032		211		246

Series 2474, Class NR, 6.50%, 7/15/2032		134		152

Series 2484, Class LZ, 6.50%, 7/15/2032		149		178

Series 2500, Class MC, 6.00%, 9/15/2032		150		174

Series 2835, Class QO, PO, 12/15/2032		22		20

Series 2543, Class YX, 6.00%, 12/15/2032		283		322

Series 2544, Class HC, 6.00%, 12/15/2032		257		295

Series 2552, Class ME, 6.00%, 1/15/2033		310		362

Series 2567, Class QD, 6.00%, 2/15/2033		302		354

Series 2575, Class ME, 6.00%, 2/15/2033		734		849

Series 2596, Class QG, 6.00%, 3/15/2033		202		225

Series 2586, Class WI, IO, 6.50%, 3/15/2033		94		19

Series 2692, Class SC, IF, 9.97%, 7/15/2033 (h)		54		70

Series 4240, Class B, 3.00%, 8/15/2033		2,501		2,704

Series 3920, Class LP, 5.00%, 1/15/2034		798		914

Series 2744, Class PE, 5.50%, 2/15/2034		21		23

Series 3611, PO, 7/15/2034		52		49

Series 2990, Class UZ, 5.75%, 6/15/2035		1,831		2,104

Series 3004, Class EK, 5.50%, 7/15/2035		1,233		1,554

Series 3014, Class OD, PO, 8/15/2035		49		44

Series 3085, Class WF, 2.46%, 8/15/2035 (h)		138		140

Series 3047, Class OD, 5.50%, 10/15/2035		944		1,059

Series 3074, Class BH, 5.00%, 11/15/2035		365		396

Series 3064, Class MC, 5.50%, 11/15/2035		3,095		3,790

Series 3102, Class FB, 1.96%, 1/15/2036 (h)		167		167

Series 3102, Class HS, IF, 18.49%, 1/15/2036 (h)		46		69

Series 3117, Class EO, PO, 2/15/2036		325		299

Series 3117, Class OK, PO, 2/15/2036		190		175

Series 3134, PO, 3/15/2036		48		46

Series 3152, Class MO, PO, 3/15/2036		245		227

Series 3122, Class ZB, 6.00%, 3/15/2036		25		41

Series 3138, PO, 4/15/2036		220		201

Series 3607, Class BO, PO, 4/15/2036		108		100

Series 3219, Class DI, IO, 6.00%, 4/15/2036		173		37


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


Series 3819, Class ZQ, 6.00%, 4/15/2036		1,031		1,218

Series 3149, Class SO, PO, 5/15/2036		29		26

Series 3233, Class OP, PO, 5/15/2036		73		68

Series 3171, Class MO, PO, 6/15/2036		43		40

Series 3179, Class OA, PO, 7/15/2036		211		196

Series 3194, Class SA, IF, IO, 5.44%, 7/15/2036 (h)		41		9

Series 3211, Class SO, PO, 9/15/2036		211		197

Series 3218, Class AO, PO, 9/15/2036		103		87

Series 3232, Class ST, IF, IO, 5.04%, 10/15/2036 (h)		232		35

Series 3256, PO, 12/15/2036		137		125

Series 3261, Class OA, PO, 1/15/2037		172		157

Series 3260, Class CS, IF, IO, 4.48%, 1/15/2037 (h)		277		51

Series 3274, Class JO, PO, 2/15/2037		45		43

Series 3275, Class FL, 2.10%, 2/15/2037 (h)		49		49

Series 3290, Class SB, IF, IO, 4.79%, 3/15/2037 (h)		333		61

Series 3318, Class AO, PO, 5/15/2037		13		12

Series 3607, PO, 5/15/2037		217		198

Series 3315, Class HZ, 6.00%, 5/15/2037		245		271

Series 3326, Class JO, PO, 6/15/2037		14		13

Series 3331, PO, 6/15/2037		154		143

Series 3607, Class OP, PO, 7/15/2037		457		408

Series 4048, Class FJ, 2.18%, 7/15/2037 (h)		797		795

Series 3385, Class SN, IF, IO, 4.34%, 11/15/2037 (h)		51		6

Series 3387, Class SA, IF, IO, 4.76%, 11/15/2037 (h)		216		40

Series 3422, Class AI, IO, 0.25%, 1/15/2038 (l)		1,323		11

Series 3404, Class SC, IF, IO, 4.34%, 1/15/2038 (h)		366		76

Series 3424, Class PI, IF, IO, 5.14%, 4/15/2038 (h)		273		42

Series 3481, Class SJ, IF, IO, 4.19%, 8/15/2038 (h)		427		79

Series 3511, Class SA, IF, IO, 4.34%, 2/15/2039 (h)		283		55

Series 3549, Class FA, 2.86%, 7/15/2039 (h)		38		39

Series 3997, Class PF, 2.11%, 11/15/2039 (h)		94		94

Series 3621, Class BO, PO, 1/15/2040		154		143

Series 3747, Class PY, 4.00%, 10/15/2040		1,000		1,182

Series 3925, Class FL, 2.11%, 1/15/2041 (h)		453		454


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 3852, Class QN, IF, 5.50%, 5/15/2041 (h)		225			246

Series 3852, Class TP, IF, 5.50%, 5/15/2041 (h)		749			839

Series 3957, Class B, 4.00%, 11/15/2041		309			339

Series 3966, Class NA, 4.00%, 12/15/2041		547			610

Series 4217, Class KY, 3.00%, 6/15/2043		2,000			2,218

Series 4374, Class NC, 3.75%, 2/15/2046 (l)		607			613

Series 4822, Class ZB, 4.00%, 7/15/2048		3,716			4,177

FHLMC, STRIPS

Series 243, Class 16, IO, 4.50%, 11/15/2020		1			—	(j)

Series 243, Class 17, IO, 4.50%, 12/15/2020		1			—	(j)

Series 134, Class B, IO, 9.00%, 4/1/2022		—	(j)		—	(j)

Series 233, Class 11, IO, 5.00%, 9/15/2035		375			73

Series 233, Class 13, IO, 5.00%, 9/15/2035		538			104

Series 299, Class 300, 3.00%, 1/15/2043		3,975			4,187

Series 310, PO, 9/15/2043		1,354			1,232

Series 323, Class 300, 3.00%, 1/15/2044		2,575			2,737

FHLMC, Structured Pass-Through Certificates, Whole Loan

Series T-41, Class 3A, 5.39%, 7/25/2032 (h)		291			331

Series T-76, Class 2A, 2.27%, 10/25/2037 (h)		865			957

Series T-51, Class 2A, 7.50%, 8/25/2042 (h)		188			249

Series T-54, Class 2A, 6.50%, 2/25/2043		1,082			1,312

Series T-54, Class 3A, 7.00%, 2/25/2043		304			373

Series T-58, Class APO, PO, 9/25/2043		103			89

Series T-59, Class 1AP, PO, 10/25/2043		245			204

First Horizon Alternative Mortgage Securities Trust

Series 2004-AA4, Class A1, 3.91%, 10/25/2034 (h)		231			232

Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035		580			470

Series 2007-FA4, Class 1A2, IF, IO, 4.02%, 8/25/2037 ‡ (h)		1,197			309

FNMA Trust, Whole Loan

Series 2004-W1, Class 2A2, 7.00%, 12/25/2033		101			119

Series 2004-W2, Class 2A2, 7.00%, 2/25/2044		221			258

Series 2004-W15, Class 2AF, 1.88%, 8/25/2044 (h)		314			313

Series 2005-W3, Class 2AF, 1.85%, 3/25/2045 (h)		867			864

Series 2006-W2, Class 1AF1, 1.85%, 2/25/2046 (h)		286			286


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


FNMA, Grantor Trust, Whole Loan

Series 2002-T19, Class A2, 7.00%, 7/25/2042		555			664

Series 2004-T3, Class 1A3, 7.00%, 2/25/2044		322			383

FNMA, REMIC

Series 1990-60, Class K, 5.50%, 6/25/2020		—	(j)		—	(j)

Series 1990-63, Class H, 9.50%, 6/25/2020		—	(j)		—	(j)

Series 1990-93, Class G, 5.50%, 8/25/2020		—	(j)		—	(j)

Series 1990-102, Class J, 6.50%, 8/25/2020		—	(j)		—	(j)

Series 1990-94, Class H, HB, 505.00%, 8/25/2020		—	(j)		—	(j)

Series 1990-95, Class J, HB, 1,118.04%, 8/25/2020		—	(j)		—	(j)

Series 1990-134, Class SC, IF, 19.16%, 11/25/2020 (h)		—	(j)		—	(j)

Series 1990-140, Class K, HB, 652.15%, 12/25/2020		—	(j)		—	(j)

Series 1991-24, Class Z, 5.00%, 3/25/2021		—	(j)		—	(j)

Series 2001-4, Class PC, 7.00%, 3/25/2021		5			6

Series 2001-48, Class Z, 6.50%, 9/25/2021		92			94

Series G-28, Class S, IF, 13.47%, 9/25/2021 (h)		—	(j)		—	(j)

Series G-35, Class M, 8.75%, 10/25/2021		—	(j)		—	(j)

Series G-51, Class SA, HB, IF, 25.79%, 12/25/2021 (h)		—	(j)		—	(j)

Series 2002-1, Class HC, 6.50%, 2/25/2022		10			10

Series 2007-15, Class NO, PO, 3/25/2022		21			20

Series 1992-101, Class J, 7.50%, 6/25/2022		—	(j)		—	(j)

Series G92-42, Class Z, 7.00%, 7/25/2022		1			1

Series G92-35, Class E, 7.50%, 7/25/2022		14			14

Series G92-44, Class ZQ, 8.00%, 7/25/2022		1			1

Series G92-35, Class G, HB, 1,184.78%, 7/25/2022		—	(j)		—	(j)

Series 1992-136, Class PK, 6.00%, 8/25/2022		6			6

Series 1996-59, Class J, 6.50%, 8/25/2022		4			4

Series G92-52, Class FD, 1.68%, 9/25/2022 (h)		2			2

Series 1992-143, Class MA, 5.50%, 9/25/2022		3			3

Series G92-54, Class ZQ, 7.50%, 9/25/2022		9			9

Series 1992-163, Class M, 7.75%, 9/25/2022		10			11

Series G92-62, Class B, PO, 10/25/2022		4			4

Series G92-59, Class F, 1.74%, 10/25/2022 (h)		2			2

Series G92-61, Class Z, 7.00%, 10/25/2022		5			5


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 1992-188, Class PZ, 7.50%, 10/25/2022		27			29

Series G93-1, Class KA, 7.90%, 1/25/2023		20			22

Series G93-5, Class Z, 6.50%, 2/25/2023		6			6

Series 1997-61, Class ZC, 7.00%, 2/25/2023		102			107

Series 1993-27, Class SA, IF, 15.50%, 2/25/2023 (h)		4			4

Series G93-14, Class J, 6.50%, 3/25/2023		7			8

Series 1993-25, Class J, 7.50%, 3/25/2023		16			17

Series 1993-21, Class KA, 7.70%, 3/25/2023		10			11

Series 1998-4, Class C, PO, 4/25/2023		3			3

Series 2008-24, Class DY, 5.00%, 4/25/2023		—	(j)		—	(j)

Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (h)		16			17

Series 1993-62, Class SA, IF, 18.12%, 4/25/2023 (h)		6			7

Series 1998-43, Class SA, IF, IO, 18.43%, 4/25/2023 (h)		21			5

Series 2003-39, Class LW, 5.50%, 5/25/2023		193			200

Series 2003-41, Class PE, 5.50%, 5/25/2023		86			89

Series 2008-47, Class SI, IF, IO, 4.87%, 6/25/2023 (h)		45			1

Series G93-27, Class FD, 2.51%, 8/25/2023 (h)		13			13

Series 1999-38, Class SK, IF, IO, 6.42%, 8/25/2023 (h)		4			—	(j)

Series 2002-83, Class CS, 6.88%, 8/25/2023		120			127

Series 1996-14, Class SE, IF, IO, 9.00%, 8/25/2023 (h)		61			7

Series 1993-205, Class H, PO, 9/25/2023		10			9

Series G93-37, Class H, PO, 9/25/2023		3			3

Series 2008-76, Class GF, 2.28%, 9/25/2023 (h)		—	(j)		—	(j)

Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (h)		8			8

Series 1993-165, Class SD, IF, 12.66%, 9/25/2023 (h)		4			4

Series 1993-179, Class SC, IF, 10.50%, 10/25/2023 (h)		4			4

Series 1999-52, Class NS, IF, 18.83%, 10/25/2023 (h)		10			12

Series 1993-179, Class SB, HB, IF, 25.22%, 10/25/2023 (h)		5			6

Series 1995-19, Class Z, 6.50%, 11/25/2023		69			73

Series 1993-230, Class FA, 2.26%, 12/25/2023 (h)		6			6

Series 1993-247, Class FE, 2.63%, 12/25/2023 (h)		14			14


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


Series 1993-225, Class UB, 6.50%, 12/25/2023		18		19

Series 1993-247, Class SU, IF, 11.91%, 12/25/2023 (h)		6		7

Series 2002-1, Class UD, IF, 18.81%, 12/25/2023 (h)		14		18

Series 2009-9, IO, 5.00%, 2/25/2024		5		—	(j)

Series 2009-18, IO, 5.00%, 3/25/2024		3		—	(j)

Series 1994-37, Class L, 6.50%, 3/25/2024		52		55

Series 1994-40, Class Z, 6.50%, 3/25/2024		331		357

Series 2004-53, Class NC, 5.50%, 7/25/2024		58		61

Series 1995-2, Class Z, 8.50%, 1/25/2025		15		16

Series G95-1, Class C, 8.80%, 1/25/2025		10		12

Series 1997-20, IO, 1.84%, 3/25/2027 (h)		31		1

Series 1997-27, Class J, 7.50%, 4/18/2027		7		8

Series 1997-29, Class J, 7.50%, 4/20/2027		15		18

Series 1997-39, Class PD, 7.50%, 5/20/2027		107		123

Series 1997-42, Class ZC, 6.50%, 7/18/2027		8		9

Series 1997-81, Class PI, IO, 7.00%, 12/18/2027		27		3

Series 1998-36, Class ZB, 6.00%, 7/18/2028		38		42

Series 1998-66, Class SB, IF, IO, 6.52%, 12/25/2028 (h)		32		2

Series 1999-18, Class Z, 5.50%, 4/18/2029		71		76

Series 1999-17, Class C, 6.35%, 4/25/2029		28		31

Series 1999-62, Class PB, 7.50%, 12/18/2029		45		51

Series 2000-2, Class ZE, 7.50%, 2/25/2030		144		168

Series 2013-103, Class VG, 3.00%, 3/25/2030		3,500		3,623

Series 2000-20, Class SA, IF, IO, 7.47%, 7/25/2030 (h)		77		10

Series 2000-52, IO, 8.50%, 1/25/2031		12		3

Series 2001-7, Class PF, 7.00%, 3/25/2031		30		36

Series 2011-31, Class DB, 3.50%, 4/25/2031		2,135		2,294

Series 2001-33, Class ID, IO, 6.00%, 7/25/2031		105		18

Series 2001-30, Class PM, 7.00%, 7/25/2031		100		120

Series 2001-36, Class DE, 7.00%, 8/25/2031		102		120

Series 2001-49, Class Z, 6.50%, 9/25/2031		27		31

Series 2001-44, Class MY, 7.00%, 9/25/2031		245		292

Series 2001-44, Class PD, 7.00%, 9/25/2031		36		43

Series 2001-44, Class PU, 7.00%, 9/25/2031		28		33

Series 2001-52, Class KB, 6.50%, 10/25/2031		34		39

Series 2003-52, Class SX, IF, 18.07%, 10/25/2031 (h)		56		89


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2001-61, Class Z, 7.00%, 11/25/2031		338		403

Series 2001-72, Class SX, IF, 13.68%, 12/25/2031 (h)		9		13

Series 2002-1, Class SA, IF, 19.90%, 2/25/2032 (h)		16		24

Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (h)		320		12

Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (h)		4		5

Series 2002-21, Class LO, PO, 4/25/2032		10		10

Series 2002-21, Class PE, 6.50%, 4/25/2032		92		107

Series 2002-28, Class PK, 6.50%, 5/25/2032		238		277

Series 2012-66, Class CB, 3.00%, 6/25/2032		3,000		3,259

Series 2002-37, Class Z, 6.50%, 6/25/2032		64		73

Series 2006-130, Class GI, IO, 6.50%, 7/25/2032		263		47

Series 2002-48, Class GH, 6.50%, 8/25/2032		350		399

Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (h)		41		49

Series 2004-59, Class BG, PO, 12/25/2032		124		115

Series 2002-77, Class S, IF, 11.50%, 12/25/2032 (h)		55		70

Series 2003-22, Class UD, 4.00%, 4/25/2033		1,118		1,230

Series 2003-35, Class UC, 3.75%, 5/25/2033		12		13

Series 2003-42, Class GB, 4.00%, 5/25/2033		80		88

Series 2003-34, Class AX, 6.00%, 5/25/2033		217		254

Series 2003-34, Class ED, 6.00%, 5/25/2033		988		1,150

Series 2003-39, IO, 6.00%, 5/25/2033 (h)		44		8

Series 2003-33, Class IA, IO, 6.50%, 5/25/2033		348		79

Series 2007-97, Class KI, IO, 7.00%, 5/25/2033		632		75

Series 2004-4, Class QI, IF, IO, 5.47%, 6/25/2033 (h)		286		15

Series 2003-47, Class PE, 5.75%, 6/25/2033		163		185

Series 2004-4, Class QM, IF, 10.95%, 6/25/2033 (h)		27		30

Series 2003-64, Class SX, IF, 9.61%, 7/25/2033 (h)		46		57

Series 2004-36, Class SN, IF, 10.95%, 7/25/2033 (h)		3		3

Series 2003-132, Class OA, PO, 8/25/2033		26		25

Series 2003-71, Class DS, IF, 5.26%, 8/25/2033 (h)		346		396

Series 2003-72, Class IE, IO, 5.50%, 8/25/2033		358		67

Series 2003-74, Class SH, IF, 7.24%, 8/25/2033 (h)		61		75


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


Series 2003-91, Class SD, IF, 9.79%, 9/25/2033 (h)		73		90

Series 2013-101, Class AE, 3.00%, 10/25/2033		3,349		3,611

Series 2013-101, Class E, 3.00%, 10/25/2033		3,000		3,227

Series 2013-108, Class GU, 3.00%, 10/25/2033		4,000		4,304

Series 2003-116, Class SB, IF, IO, 5.97%, 11/25/2033 (h)		492		97

Series 2006-44, Class P, PO, 12/25/2033		839		778

Series 2003-130, Class SX, IF, 9.03%, 1/25/2034 (h)		13		15

Series 2004-25, Class SA, IF, 15.05%, 4/25/2034 (h)		241		345

Series 2004-46, Class SK, IF, 12.03%, 5/25/2034 (h)		443		592

Series 2004-36, Class SA, IF, 15.05%, 5/25/2034 (h)		479		715

Series 2004-46, Class QB, IF, 17.49%, 5/25/2034 (h)		167		254

Series 2004-51, Class SY, IF, 10.99%, 7/25/2034 (h)		87		109

Series 2004-79, Class SP, IF, 15.33%, 11/25/2034 (h)		40		42

Series 2005-74, Class CS, IF, 15.55%, 5/25/2035 (h)		167		212

Series 2005-68, Class UC, 5.00%, 6/25/2035		10		10

Series 2005-68, Class BC, 5.25%, 6/25/2035		8		8

Series 2005-56, Class S, IF, IO, 5.08%, 7/25/2035 (h)		514		119

Series 2005-66, Class SG, IF, 13.31%, 7/25/2035 (h)		133		192

Series 2005-68, Class PG, 5.50%, 8/25/2035		442		499

Series 2005-84, Class XM, 5.75%, 10/25/2035		1,304		1,476

Series 2005-110, Class GL, 5.50%, 12/25/2035		3,378		3,909

Series 2006-46, Class UC, 5.50%, 12/25/2035		431		464

Series 2005-109, Class PC, 6.00%, 12/25/2035		462		515

Series 2006-15, Class OT, PO, 1/25/2036		6		6

Series 2006-39, Class WC, 5.50%, 1/25/2036		418		453

Series 2006-16, Class OA, PO, 3/25/2036		171		159

Series 2006-22, Class AO, PO, 4/25/2036		264		245

Series 2006-23, Class KO, PO, 4/25/2036		51		47

Series 2006-44, Class GO, PO, 6/25/2036		352		325


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2006-53, Class US, IF, IO, 4.95%, 6/25/2036 (h)		541		99

Series 2006-56, PO, 7/25/2036		280		258

Series 2006-58, PO, 7/25/2036		152		141

Series 2006-58, Class AP, PO, 7/25/2036		324		297

Series 2006-65, Class QO, PO, 7/25/2036		242		225

Series 2006-56, Class FC, 1.92%, 7/25/2036 (h)		505		502

Series 2006-58, Class FL, 2.09%, 7/25/2036 (h)		38		38

Series 2006-60, Class DZ, 6.50%, 7/25/2036		4,851		6,005

Series 2006-72, Class TO, PO, 8/25/2036		49		45

Series 2006-79, Class DO, PO, 8/25/2036		194		186

Series 2007-7, Class SG, IF, IO, 4.87%, 8/25/2036 (h)		785		263

Series 2006-77, Class PC, 6.50%, 8/25/2036		689		792

Series 2006-90, Class AO, PO, 9/25/2036		142		133

Series 2008-42, Class AO, PO, 9/25/2036		72		66

Series 2009-19, Class IP, IO, 5.50%, 10/25/2036		962		222

Series 2006-109, PO, 11/25/2036		68		62

Series 2006-110, PO, 11/25/2036		449		414

Series 2006-111, Class EO, PO, 11/25/2036		47		44

Series 2006-124, Class HB, 3.83%, 11/25/2036 (h)		659		686

Series 2006-119, PO, 12/25/2036		49		46

Series 2006-118, Class A2, 1.72%, 12/25/2036 (h)		247		245

Series 2009-70, Class CO, PO, 1/25/2037		367		338

Series 2006-128, Class BP, 5.50%, 1/25/2037		159		173

Series 2007-77, Class FG, 2.13%, 3/25/2037 (h)		68		69

Series 2007-16, Class FC, 2.38%, 3/25/2037 (h)		91		94

Series 2007-14, Class ES, IF, IO, 4.81%, 3/25/2037 (h)		663		121

Series 2007-48, PO, 5/25/2037		108		103

Series 2007-54, Class FA, 2.03%, 6/25/2037 (h)		240		239

Series 2007-60, Class AX, IF, IO, 5.52%, 7/25/2037 (h)		1,828		479

Series 2012-14, Class FB, 2.08%, 8/25/2037 (h)		125		125

Series 2007-81, Class GE, 6.00%, 8/25/2037		213		242

Series 2007-88, Class VI, IF, IO, 4.91%, 9/25/2037 (h)		1,221		260


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


Series 2007-91, Class ES, IF, IO, 4.83%, 10/25/2037 (h)		917		184

Series 2007-106, Class A7, 6.18%, 10/25/2037 (h)		145		165

Series 2007-116, Class HI, IO, 1.77%, 1/25/2038 (h)		549		24

Series 2008-1, Class BI, IF, IO, 4.28%, 2/25/2038 (h)		309		56

Series 2008-16, Class IS, IF, IO, 4.57%, 3/25/2038 (h)		102		12

Series 2008-10, Class XI, IF, IO, 4.60%, 3/25/2038 (h)		277		51

Series 2008-27, Class SN, IF, IO, 5.27%, 4/25/2038 (h)		142		26

Series 2008-44, PO, 5/25/2038		8		7

Series 2008-53, Class CI, IF, IO, 5.57%, 7/25/2038 (h)		225		37

Series 2008-80, Class SA, IF, IO, 4.22%, 9/25/2038 (h)		507		85

Series 2008-81, Class SB, IF, IO, 4.22%, 9/25/2038 (h)		474		41

Series 2010-148, Class MA, 4.00%, 2/25/2039		89		90

Series 2009-6, Class GS, IF, IO, 4.92%, 2/25/2039 (h)		504		101

Series 2009-62, Class HJ, 6.00%, 5/25/2039		147		158

Series 2009-60, Class HT, 6.00%, 8/25/2039		394		463

Series 2009-103, Class MB, 4.36%, 12/25/2039 (h)		210		220

Series 2009-99, Class SC, IF, IO, 4.55%, 12/25/2039 (h)		110		15

Series 2010-49, Class SC, IF, 9.41%, 3/25/2040 (h)		441		557

Series 2010-64, Class DM, 5.00%, 6/25/2040		198		219

Series 2010-71, Class HJ, 5.50%, 7/25/2040		339		396

Series 2010-147, Class SA, IF, IO, 4.90%, 1/25/2041 (h)		1,242		280

Series 2011-30, Class LS, IO, 2.17%, 4/25/2041 (h)		564		34

Series 2011-75, Class FA, 2.18%, 8/25/2041 (h)		197		199

Series 2011-118, Class MT, 7.00%, 11/25/2041		445		541

Series 2011-130, Class CA, 6.00%, 12/25/2041		830		998

Series 2013-81, Class TA, 3.00%, 2/25/2043		2,000		2,102

Series 2013-92, PO, 9/25/2043		1,217		1,090

Series 2013-90, Class PM, 3.50%, 9/25/2043		1,694		1,956


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2013-101, Class DO, PO, 10/25/2043		1,882			1,712

Series 2013-128, PO, 12/25/2043		2,379			2,186

Series 2011-2, Class WA, 5.86%, 2/25/2051 (h)		281			317

FNMA, REMIC Trust Series 2007-42, Class AO, PO, 5/25/2037		35			33

FNMA, REMIC Trust, Whole Loan

Series 2007-W7, Class 1A4, HB, IF, 29.21%, 7/25/2037 (h)		12			22

Series 2003-W4, Class 2A, 5.78%, 10/25/2042 (h)		48			55

Series 2003-W1, Class 1A1, 5.27%, 12/25/2042 (h)		441			494

Series 2003-W1, Class 2A, 5.79%, 12/25/2042 (h)		181			201

Series 2009-W1, Class A, 6.00%, 12/25/2049		617			724

FNMA, REMIC, Whole Loan Series 2007-101, Class A2, 1.73%, 6/27/2036 (h)		327			322

FNMA, STRIPS

Series 368, Class 3, IO, 4.50%, 11/25/2020		—	(j)		—	(j)

Series 218, Class 2, IO, 7.50%, 4/25/2023		2			—	(j)

Series 265, Class 2, 9.00%, 3/25/2024		3			3

Series 329, Class 1, PO, 1/25/2033		43			40

Series 345, Class 6, IO, 5.00%, 12/25/2033 (h)		62			9

Series 351, Class 7, IO, 5.00%, 4/25/2034 (h)		206			28

Series 355, Class 11, IO, 6.00%, 7/25/2034		175			35

Series 365, Class 8, IO, 5.50%, 5/25/2036		268			57

Series 374, Class 5, IO, 5.50%, 8/25/2036		140			26

Series 393, Class 6, IO, 5.50%, 4/25/2037		53			9

Series 383, Class 32, IO, 6.00%, 1/25/2038		66			16

Series 383, Class 33, IO, 6.00%, 1/25/2038		173			35

GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.88%, 6/19/2035 (h)		798			804

GNMA

Series 1999-4, Class ZB, 6.00%, 2/20/2029		301			301

Series 2001-35, Class SA, IF, IO, 6.59%, 8/16/2031 (h)		89			—	(j)

Series 2002-52, Class GH, 6.50%, 7/20/2032		417			417

Series 2002-75, Class PB, 6.00%, 11/20/2032		831			875

Series 2003-58, Class BE, 6.50%, 1/20/2033		599			678

Series 2003-11, Class SK, IF, IO, 6.04%, 2/16/2033 (h)		215			3

Series 2003-12, Class SP, IF, IO, 6.05%, 2/20/2033 (h)		134			22


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


Series 2003-24, PO, 3/16/2033		26		25

Series 2003-40, Class TJ, 6.50%, 3/20/2033		712		804

Series 2003-46, Class TC, 6.50%, 3/20/2033		336		374

Series 2003-46, Class MG, 6.50%, 5/20/2033		446		506

Series 2003-52, Class AP, PO, 6/16/2033		128		119

Series 2003-90, PO, 10/20/2033		36		34

Series 2003-112, Class SA, IF, IO, 4.89%, 12/16/2033 (h)		457		61

Series 2004-28, Class S, IF, 15.10%, 4/16/2034 (h)		203		303

Series 2004-73, Class AE, IF, 11.43%, 8/17/2034 (h)		33		36

Series 2004-90, Class SI, IF, IO, 4.45%, 10/20/2034 (h)		645		88

Series 2005-68, Class DP, IF, 12.44%, 6/17/2035 (h)		74		93

Series 2010-14, Class CO, PO, 8/20/2035		226		209

Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (h)		1,034		190

Series 2005-68, Class KI, IF, IO, 4.65%, 9/20/2035 (h)		1,457		327

Series 2005-91, Class PI, IO, 6.00%, 12/20/2035		207		35

Series 2006-16, Class OP, PO, 3/20/2036		94		88

Series 2006-38, Class SW, IF, IO, 4.85%, 6/20/2036 (h)		169		11

Series 2006-38, Class ZK, 6.50%, 8/20/2036		1,121		1,275

Series 2006-59, Class SD, IF, IO, 5.05%, 10/20/2036 (h)		321		61

Series 2006-65, Class SA, IF, IO, 5.15%, 11/20/2036 (h)		491		68

Series 2011-22, Class WA, 5.88%, 2/20/2037 (h)		452		528

Series 2007-57, PO, 3/20/2037		178		169

Series 2007-17, Class JO, PO, 4/16/2037		88		78

Series 2007-17, Class JI, IF, IO, 5.15%, 4/16/2037 (h)		816		157

Series 2007-19, Class SD, IF, IO, 4.55%, 4/20/2037 (h)		462		48

Series 2007-28, Class BO, PO, 5/20/2037		98		90

Series 2007-26, Class SC, IF, IO, 4.55%, 5/20/2037 (h)		399		50

Series 2007-27, Class SA, IF, IO, 4.55%, 5/20/2037 (h)		379		47

Series 2007-36, Class SE, IF, IO, 4.81%, 6/16/2037 (h)		230		31

Series 2007-47, Class PH, 6.00%, 7/16/2037		2,500		2,943


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2007-40, Class SB, IF, IO, 5.10%, 7/20/2037 (h)		808		135

Series 2007-42, Class SB, IF, IO, 5.10%, 7/20/2037 (h)		485		82

Series 2007-50, Class AI, IF, IO, 5.13%, 8/20/2037 (h)		296		52

Series 2007-53, Class SW, IF, 15.26%, 9/20/2037 (h)		42		56

Series 2008-32, Class PI, IO, 5.50%, 10/16/2037		138		11

Series 2009-79, Class OK, PO, 11/16/2037		147		138

Series 2007-73, Class MI, IF, IO, 4.35%, 11/20/2037 (h)		266		32

Series 2007-76, Class SA, IF, IO, 4.88%, 11/20/2037 (h)		519		66

Series 2007-72, Class US, IF, IO, 4.90%, 11/20/2037 (h)		256		42

Series 2007-79, Class SY, IF, IO, 4.90%, 12/20/2037 (h)		246		33

Series 2008-2, Class NS, IF, IO, 4.88%, 1/16/2038 (h)		520		85

Series 2008-2, Class MS, IF, IO, 5.50%, 1/16/2038 (h)		156		30

Series 2008-10, Class S, IF, IO, 4.18%, 2/20/2038 (h)		288		36

Series 2008-36, Class SH, IF, IO, 4.65%, 4/20/2038 (h)		406		6

Series 2008-40, Class SA, IF, IO, 4.74%, 5/16/2038 (h)		2,467		424

Series 2008-55, Class SA, IF, IO, 4.55%, 6/20/2038 (h)		221		38

Series 2008-71, Class SC, IF, IO, 4.35%, 8/20/2038 (h)		107		14

Series 2009-25, Class SE, IF, IO, 5.95%, 9/20/2038 (h)		191		28

Series 2008-93, Class AS, IF, IO, 4.05%, 12/20/2038 (h)		275		34

Series 2009-65, Class IQ, IO, 6.00%, 12/20/2038		130		8

Series 2009-6, Class SA, IF, IO, 4.44%, 2/16/2039 (h)		309		39

Series 2009-12, Class IE, IO, 5.50%, 3/20/2039		647		116

Series 2009-14, Class KI, IO, 6.50%, 3/20/2039		268		50

Series 2009-14, Class NI, IO, 6.50%, 3/20/2039		260		64

Series 2009-22, Class SA, IF, IO, 4.62%, 4/20/2039 (h)		604		70


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


Series 2009-33, Class CI, IO, 5.50%, 5/20/2039		140		21

Series 2009-33, Class TI, IO, 6.00%, 5/20/2039		149		32

Series 2009-43, Class SA, IF, IO, 4.30%, 6/20/2039 (h)		262		35

Series 2009-72, Class SM, IF, IO, 4.59%, 8/16/2039 (h)		600		121

Series 2010-31, Class NO, PO, 3/20/2040		1,184		1,116

Series 2013-75, Class WA, 5.15%, 6/20/2040 (h)		1,230		1,401

Series 2010-130, Class CP, 7.00%, 10/16/2040		171		206

Series 2010-157, Class OP, PO, 12/20/2040		1,273		1,178

Series 2011-75, Class SM, IF, IO, 4.95%, 5/20/2041 (h)		827		153

Series 2014-188, Class W, 4.60%, 10/20/2041 (h)		598		670

Series 2012-141, Class WC, 3.70%, 1/20/2042 (h)		366		405

Series 2013-54, Class WA, 4.79%, 11/20/2042 (h)		1,838		2,085

Series 2013-91, Class WA, 4.48%, 4/20/2043 (h)		815		894

Series 2013-116, Class JY, 4.00%, 8/16/2043		1,300		1,560

Series 2018-160, Class PA, 3.50%, 7/20/2046		5,534		5,739

Series 2012-H24, Class FG, 2.16%, 4/20/2060 (h)		25		25

Series 2013-H03, Class FA, 2.03%, 8/20/2060 (h)		3		3

Series 2012-H21, Class CF, 2.43%, 5/20/2061 (h)		44		44

Series 2013-H05, Class FB, 2.13%, 2/20/2062 (h)		210		209

Series 2012-H15, Class FA, 2.18%, 5/20/2062 (h)		3		3

Series 2012-H26, Class MA, 2.28%, 7/20/2062 (h)		27		27

Series 2012-H28, Class FA, 2.31%, 9/20/2062 (h)		66		66

Series 2012-H29, Class FA, 2.25%, 10/20/2062 (h)		1,006		1,007

Series 2012-H31, Class FD, 2.07%, 12/20/2062 (h)		1,104		1,101

Series 2013-H01, Class FA, 1.65%, 1/20/2063		675		675


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2013-H04, Class BA, 1.65%, 2/20/2063		349		349

Series 2013-H08, Class FC, 2.18%, 2/20/2063 (h)		1,023		1,023

Series 2013-H07, Class HA, 2.14%, 3/20/2063 (h)		1,087		1,086

Series 2013-H09, Class HA, 1.65%, 4/20/2063		635		633

Series 2013-H18, Class JA, 2.33%, 8/20/2063 (h)		2,039		2,045

Series 2014-H01, Class FD, 2.38%, 1/20/2064 (h)		1,269		1,275

Series 2014-H09, Class TA, 2.33%, 4/20/2064 (h)		1,284		1,289

Series 2015-H15, Class FD, 2.17%, 6/20/2065 (h)		1,571		1,569

Series 2015-H15, Class FJ, 2.17%, 6/20/2065 (h)		3,450		3,447

Series 2015-H16, Class FG, 2.17%, 7/20/2065 (h)		2,348		2,346

Series 2015-H23, Class FB, 2.25%, 9/20/2065 (h)		2,368		2,373

Series 2015-H32, Class FH, 2.39%, 12/20/2065 (h)		1,796		1,809

Series 2017-H08, Class XI, IO, 2.09%, 3/20/2067 (h)		8,288		951

GSMPS Mortgage Loan Trust

Series 2001-2, Class A, 7.50%, 6/19/2032 (b) (h)		472		474

Series 2005-RP3, Class 1AF, 1.98%, 9/25/2035 (b) (h)		745		657

Series 2005-RP3, Class 1AS, IO, 2.80%, 9/25/2035 ‡ (b) (h)		563		77

Series 2006-RP2, Class 1AS2, IF, IO, 4.42%, 4/25/2036 ‡ (b) (h)		2,321		402

GSR Mortgage Loan Trust

Series 2004-6F, Class 3A4, 6.50%, 5/25/2034		193		209

Series 2004-8F, Class 2A3, 6.00%, 9/25/2034		102		104

Series 2004-13F, Class 3A3, 6.00%, 11/25/2034		322		333

Series 2005-4F, Class AP, PO, 5/25/2035 ‡		6		6

Series 2005-7F, Class 3A9, 6.00%, 9/25/2035		601		640

Series 2006-1F, Class 2A4, 6.00%, 2/25/2036		1,132		920

Headlands Residential LLC Series 2019-RPL1, 3.97%, 6/25/2024 (b) (l)		4,600		4,672


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


Impac CMB Trust

Series 2004-7, Class 1A1, 2.37%, 11/25/2034 (h)		825			841

Series 2005-4, Class 2A1, 2.23%, 5/25/2035 (h)		114			112

Impac Secured Assets Trust

Series 2006-1, Class 2A1, 1.98%, 5/25/2036 (h)		221			216

Series 2006-2, Class 2A1, 1.98%, 8/25/2036 (h)		85			85

JP Morgan Mortgage Trust

Series 2006-A2, Class 5A3, 4.11%, 11/25/2033 (h)		343			356

Series 2006-A3, Class 6A1, 4.12%, 8/25/2034 (h)		75			76

Series 2006-A2, Class 4A1, 4.68%, 8/25/2034 (h)		268			279

Lehman Mortgage Trust

Series 2006-2, Class 1A1, 5.83%, 4/25/2036 (h)		263			234

Series 2008-2, Class 1A6, 6.00%, 3/25/2038		591			382

MASTR Adjustable Rate Mortgages Trust

Series 2004-13, Class 2A1, 4.58%, 4/21/2034 (h)		157			161

Series 2004-4, Class 2A1, 4.36%, 5/25/2034 (h)		33			32

Series 2004-13, Class 3A7, 4.69%, 11/21/2034 (h)		358			368

Series 2004-15, Class 3A1, 4.32%, 12/25/2034 (h)		180			178

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			2

Series 2004-4, Class 10A1, 5.00%, 5/25/2024		275			281

Series 2003-3, Class 1A1, 6.50%, 5/25/2033		111			116

Series 2003-9, Class 8A1, 6.00%, 1/25/2034		280			289

Series 2004-3, Class 2A1, 6.25%, 4/25/2034		213			220

Series 2004-6, Class 30PO, PO, 7/25/2034 ‡		161			143

Series 2004-6, Class 7A1, 6.00%, 7/25/2034		278			289

Series 2004-7, Class 30PO, PO, 8/25/2034 ‡		98			85

MASTR Asset Securitization Trust

Series 2004-6, Class 15PO, PO, 7/25/2019 ‡		—	(j)		—	(j)

Series 2004-8, PO, 8/25/2019 ‡		1			—	(j)

Series 2004-8, Class 1A1, 4.75%, 8/25/2019		—	(j)		—

Series 2003-12, Class 30PO, PO, 12/25/2033 ‡		20			19


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2004-1, Class 30PO, PO, 2/25/2034 ‡		14			12

MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 1.98%, 5/25/2035 (b) (h)		1,501			1,033

MASTR Resecuritization Trust Series 2005-PO, Class 3PO, PO, 5/28/2035 ‡ (b)		113			96

Merrill Lynch Mortgage Investors Trust

Series 2003-E, Class A1, 2.25%, 10/25/2028 (h)		87			88

Series 2003-F, Class A1, 2.27%, 10/25/2028 (h)		877			883

Series 2004-A, Class A1, 2.09%, 4/25/2029 (h)		140			138

Series 2004-1, Class 2A1, 3.65%, 12/25/2034 (h)		202			205

NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (h)		255			259

Nomura Asset Acceptance Corp. Alternative Loan Trust

Series 2003-A1, Class A5, 7.00%, 4/25/2033		34			36

Series 2003-A1, Class A1, 5.50%, 5/25/2033		39			41

Series 2003-A1, Class A2, 6.00%, 5/25/2033		84			87

P — stla, 7.25% 10/11/2022 ‡		2,600			2,600

Pretium Mortgage Credit Partners I LLC Series 2020-CFL1, Class A1, 3.10%, 2/27/2060 (b) (l)		3,479			3,507

Provident Funding Mortgage Loan Trust Series 2005-1, Class 2A1, 4.28%, 5/25/2035 (h)		5			5

RALI Trust

Series 2002-QS16, Class A3, IF, 13.22%, 10/25/2017 (h)		—	(j)		—	(j)

Series 2003-QS9, Class A3, IF, IO, 5.92%, 5/25/2018 ‡ (h)		4			—	(j)

Series 2003-QS12, Class A5, IO, 5.00%, 6/25/2018 ‡		—	(j)		—

Series 2003-QS12, Class A2A, IF, IO, 5.97%, 6/25/2018 ‡ (h)		—	(j)		—	(j)

Series 2003-QS14, Class A1, 5.00%, 7/25/2018		7			7

Series 2004-QA6, Class NB2, 4.04%, 12/26/2034 (h)		699			616

RBSSP Resecuritization Trust Series 2009-12, Class 1A1, 5.45%, 11/25/2033 (b) (h)		136			137

Residential Asset Securitization Trust

Series 2003-A14, Class A1, 4.75%, 2/25/2019		—	(j)		—	(j)


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


Series 2005-A2, Class A4, IF, IO, 3.42%, 3/25/2035 ‡ (h)		1,279			119

Series 2006-A4, Class 2A5, 6.00%, 5/25/2036		296			292

RFMSI Trust

Series 2004-S9, Class 2A1, 4.75%, 12/25/2019		—	(j)		—	(j)

Series 2005-SA4, Class 1A1, 4.02%, 9/25/2035 (h)		173			160

RMIP, 5.60% 8/25/2021 ‡		2,171			2,171

SART

4.75%, 7/15/2024		3,499			3,569

4.76%, 6/15/2025		3,582			3,653

Seasoned Credit Risk Transfer Trust

Series 2019-1, Class MT, 3.50%, 7/25/2058		4,271			4,651

Series 2019-3, Class MB, 3.50%, 10/25/2058 ‡		1,725			1,956

Structured Asset Mortgage Investments II Trust Series 2004-AR5, Class 1A1, 2.31%, 10/19/2034 (h)		281			284

Thornburg Mortgage Securities Trust

Series 2003-4, Class A1, 2.27%, 9/25/2043 (h)		135			138

Series 2004-4, Class 3A, 3.55%, 12/25/2044 (h)		340			348

Toorak Mortgage Corp. Ltd. Series 2019-2, Class A1, 3.72%, 9/25/2022 (l)		2,795			2,814

Vendee Mortgage Trust

Series 1994-1, Class 1, 5.27%, 2/15/2024 (h)		132			139

Series 1994-1, Class 2ZB, 6.50%, 2/15/2024		171			185

Series 1996-1, Class 1Z, 6.75%, 2/15/2026		239			269

Series 1996-2, Class 1Z, 6.75%, 6/15/2026		185			208

Series 1997-1, Class 2Z, 7.50%, 2/15/2027		363			412

Series 1998-1, Class 2E, 7.00%, 3/15/2028		426			490

Series 1999-1, Class 2Z, 6.50%, 1/15/2029		848			976

Series 2003-2, Class Z, 5.00%, 5/15/2033		3,689			4,162

vMobo, Inc. 7.50%, 5/31/2024		3,100			3,100

WaMu Mortgage Pass-Through Certificates Series 2004-RS2, Class A4, 5.00%, 11/25/2033		689			707

WaMu Mortgage Pass-Through Certificates Trust

Series 2003-AR8, Class A, 4.41%, 8/25/2033 (h)		46			47

Series 2003-AR9, Class 1A6, 4.33%, 9/25/2033 (h)		801			821

Series 2003-AR9, Class 2A, 4.40%, 9/25/2033 (h)		105			107


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2003-S9, Class P, PO, 10/25/2033 ‡		20		19

Series 2003-S9, Class A8, 5.25%, 10/25/2033		379		387

Series 2004-AR3, Class A1, 4.47%, 6/25/2034 (h)		61		62

Series 2004-AR3, Class A2, 4.47%, 6/25/2034 (h)		51		52

Series 2006-AR10, Class 2P, 3.83%, 9/25/2036 ‡ (h)		63		53

Series 2006-AR12, Class 2P, 3.33%, 10/25/2036 ‡ (h)		81		81

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust

Series 2005-2, Class 2A3, IF, IO, 3.37%, 4/25/2035 ‡ (h)		1,090		167

Series 2005-2, Class 1A4, IF, IO, 3.42%, 4/25/2035 ‡ (h)		3,577		476

Series 2005-3, Class CX, IO, 5.50%, 5/25/2035 ‡		970		191

Series 2005-4, Class CB7, 5.50%, 6/25/2035		1,162		1,162

Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 ‡		978		200

Series 2005-6, Class 2A4, 5.50%, 8/25/2035		220		218

Series 2005-6, Class 2A9, 5.50%, 8/25/2035		1,405		1,396

Wells Fargo Mortgage-Backed Securities Trust Series 2007-7, Class A7, 6.00%, 6/25/2037		251		253


Total Collateralized Mortgage Obligations (Cost $256,611)				279,345

Asset-Backed Securities — 12.4%

Academic Loan Funding Trust Series 2013-1A, Class A, 2.43%, 12/26/2044 (b) (h)		924		913

ACC Trust Series 2019-2, Class A, 2.82%, 2/21/2023 (b)		2,304		2,319

Air Canada Pass-Through Trust (Canada)

Series 2013-1, Class A, 4.13%, 5/15/2025 (b)		600		653

Series 2015-2, Class AA, 3.75%, 12/15/2027 (b)		224		250

Series 2017-1, Class AA, 3.30%, 1/15/2030 (b)		453		490

Series 2017-1, Class A, 3.55%, 1/15/2030 (b)		642		682

American Airlines Pass-Through Trust

Series 2011-1, Class A, 5.25%, 1/31/2021		100		103

Series 2013-2, Class A, 4.95%, 1/15/2023		325		341

Series 2016-2, Class A, 3.65%, 6/15/2028		242		261

Series 2016-3, Class AA, 3.00%, 10/15/2028		357		379

Series 2017-1, Class AA, 3.65%, 2/15/2029		482		530


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


American Homes 4 Rent

Series 2015-SFR1, Class A, 3.47%, 4/17/2052 ‡ (b)		3,875		4,112

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)		3,639		3,910

Series 2014-SFR2, Class D, 5.15%, 10/17/2036 ‡ (b)		2,000		2,178

Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (b)		850		942

Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (b)		2,723		2,903

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		2,665

B2R Mortgage Trust Series 2015-2, Class A, 3.34%, 11/15/2048 (b)		602		604

British Airways Pass-Through Trust (United Kingdom)

Series 2018-1, Class AA, 3.80%, 9/20/2031 (b)		583		647

Series 2018-1, Class A, 4.13%, 9/20/2031 (b)		933		1,039

Series 2019-1, Class AA, 3.30%, 12/15/2032 (b)		695		756

Business Jet Securities LLC

Series 2018-1, Class A, 4.34%, 2/15/2033 (b)		1,442		1,471

Series 2018-2, Class B, 5.44%, 6/15/2033 (b)		2,057		2,117

Series 2019-1, Class A, 4.21%, 7/15/2034 (b)		1,757		1,808

Series 2019-1, Class B, 5.19%, 7/15/2034 ‡ (b)		3,562		3,675

BXG Receivables Note Trust Series 2012-A, Class A, 2.66%, 12/2/2027 (b)		115		115

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 ‡		4,904		4,894

Carvana Auto Receivables Trust

Series 2019-4A, Class A3, 2.30%, 9/15/2023 (b)		1,202		1,213

Series 2019-2A, Class C, 3.00%, 6/17/2024 (b)		4,675		4,781


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

Series 2019-3A, Class C, 2.71%, 10/15/2024 (b)		5,240		5,335

Chase Funding Trust Series 2003-6, Class 1A7, 5.02%, 11/25/2034 ‡ (l)		472		497

Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039		800		1,190

Citigroup Mortgage Loan Trust, Inc. Series 2003-HE3, Class A, 2.39%, 12/25/2033 (h)		3		3

Colony American Finance Ltd. (Cayman Islands) Series 2016-1, Class A, 2.54%, 6/15/2048 (b)		429		430

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		324		342

Continental Credit Card Series 2017-1A, Class A, 4.29%, 1/15/2024 (b)		359		363

CoreVest American Finance Trust Series 2019-2, Class D, 4.22%, 6/15/2052 ‡ (b)		2,000		2,158

CPS Auto Receivables Trust

Series 2014-D, Class C, 4.35%, 11/16/2020 (b)		1		1

Series 2015-A, Class C, 4.00%, 2/16/2021 (b)		36		36

Series 2015-B, Class C, 4.20%, 5/17/2021 (b)		1,137		1,143

Series 2015-C, Class D, 4.63%, 8/16/2021 (b)		890		897

Series 2016-C, Class C, 3.27%, 6/15/2022 (b)		164		164

CPS Auto Trust Series 2018-C, Class D, 4.40%, 6/17/2024 (b)		2,964		3,093

Credit Acceptance Auto Loan Trust

Series 2017-1A, Class B, 3.04%, 12/15/2025 (b)		394		394

Series 2017-1A, Class C, 3.48%, 2/17/2026 (b)		574		577

Series 2017-2A, Class C, 3.35%, 6/15/2026 (b)		604		611

Series 2018-1A, Class A, 3.01%, 2/16/2027 (b)		1,543		1,552

Series 2018-3A, Class B, 3.89%, 10/15/2027 (b)		2,097		2,179

CVS Pass-Through Trust 5.93%, 1/10/2034 (b)		856		1,019

CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 2.53%, 10/25/2034 (h)		78		76

Delta Air Lines Pass-Through Trust

Series 2012-1, Class A, 4.75%, 5/7/2020		164		165

Series 2015-1, Class AA, 3.63%, 7/30/2027		266		294


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


Diamond Resorts Owner Trust Series 2019-1A, Class A, 2.89%, 2/20/2032 (b)		4,879		4,996

Drive Auto Receivables Trust

Series 2017-1, Class D, 3.84%, 3/15/2023		2,665		2,698

Series 2017-3, Class D, 3.53%, 12/15/2023 (b)		4,800		4,853

Series 2016-CA, Class D, 4.18%, 3/15/2024 (b)		2,618		2,660

Series 2018-2, Class C, 3.63%, 8/15/2024		1,304		1,313

Series 2019-4, Class C, 2.51%, 11/17/2025		1,960		1,994

DT Auto Owner Trust Series 2016-4A, Class D, 3.77%, 10/17/2022 (b)		725		729

Engs Commercial Finance Trust Series 2016-1A, Class A2, 2.63%, 2/22/2022 (b)		54		54

Exeter Automobile Receivables Trust

Series 2018-4A, Class B, 3.64%, 11/15/2022 (b)		1,125		1,131

Series 2019-4A, Class C, 2.44%, 9/16/2024 (b)		2,170		2,201

Series 2019-3A, Class D, 3.11%, 8/15/2025 (b)		3,540		3,632

First Investors Auto Owner Trust Series 2015-2A, Class D, 4.22%, 12/15/2021 (b)		358		360

Flagship Credit Auto Trust

Series 2015-3, Class C, 4.65%, 3/15/2022 (b)		619		625

Series 2016-2, Class C, 6.22%, 9/15/2022 (b)		3,000		3,078

Series 2018-2, Class A, 2.97%, 10/17/2022 (b)		894		898

FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027		4,855		5,256

Foundation Finance Trust Series 2019-1A, Class A, 3.86%, 11/15/2034 (b)		1,301		1,340

FREED ABS Trust

Series 2018-2, Class A, 3.99%, 10/20/2025 (b)		1,049		1,059

Series 2019-2, Class A, 2.62%, 11/18/2026 (b)		1,736		1,748

GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (h)		77		67

GLS Auto Receivables Trust Series 2016-1A, Class C, 6.90%, 10/15/2021 (b)		451		457

GMAT Trust Series 2013-1A, Class A, 6.97%, 11/25/2043 ‡ (b) (l)		4		4

Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b)		315		315


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

Goodgreen Series 2019-2A, Class A, 2.76%, 10/15/2054 (b)		2,485		2,550

Goodgreen Trust Series 2017-1A, Class A, 3.74%, 10/15/2052 (b)		566		601

HERO (Cayman Islands) Series 2018-1ASI, Class A, 4.00%, 9/20/2047 (b)		1,299		1,297

HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 (b)		1,847		1,943

HERO Funding Trust (Cayman Islands)

Series 2016-3A, Class A1, 3.08%, 9/20/2042 (b)		821		847

Series 2017-1A, Class A2, 4.46%, 9/20/2047 (b)		1,798		1,933

Hilton Grand Vacations Trust Series 2017-AA, Class A, 2.66%, 12/26/2028 (b)		200		203

Home Equity Mortgage Loan Asset-Backed Trust Series 2006-A, Class A3, 1.83%, 3/25/2036 ‡ (h)		48		48

Kabbage Funding LLC

Series 2019-1, Class A, 3.83%, 3/15/2024 (b)		6,044		6,164

Series 2019-1, Class B, 4.07%, 3/15/2024 ‡ (b)		3,070		3,112

KGS-Alpha SBA COOF Trust

Series 2012-2, Class A, IO, 0.76%, 8/25/2038 ‡ (b) (h)		3,228		66

Series 2013-2, Class A, IO, 2.13%, 3/25/2039 ‡ (b) (h)		3,151		135

Series 2015-2, Class A, IO, 4.16%, 7/25/2041 ‡ (b) (h)		1,021		114

Lendingpoint Asset Securitization Trust Series 2019-2, Class A, 3.07%, 11/10/2025 (b)		3,377		3,387

Lendmark Funding Trust Series 2019-1A, Class B, 3.40%, 12/20/2027 ‡ (b)		3,319		3,429

LV Tower 52 Issuer

Series 2013-1, Class A, 5.75%, 7/15/2019 ‡ (b)		3,908		3,922

Series 2013-1, Class M, 7.75%, 7/15/2019 ‡ (b)		1,422		1,427

Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 ‡ (b)		656		740

MVW LLC Series 2019-2A, Class B, 2.44%, 10/20/2038 ‡ (b)		4,347		4,424

NCUA Guaranteed Notes Trust Series 2010-A1, Class A, 2.02%, 12/7/2020 (h)		220		220

New Century Home Equity Loan Trust Series 2003-5, Class AI6, 5.06%, 11/25/2033 ‡ (l)		385		399


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


OnDeck Asset Securitization Trust LLC Series 2018-1A, Class A, 3.50%, 4/18/2022 (b)		1,801		1,807

OneMain Direct Auto Receivables Trust Series 2018-1A, Class B, 3.71%, 4/14/2025 (b)		1,863		1,927

OneMain Financial Issuance Trust

Series 2016-1A, Class A, 3.66%, 2/20/2029 (b)		145		145

Series 2016-1A, Class C, 6.00%, 2/20/2029 (b)		1,800		1,834

Oportun Funding VI LLC Series 2017-A, Class A, 3.23%, 6/8/2023 (b)		1,455		1,457

Oportun Funding X LLC Series 2018-C, Class A, 4.10%, 10/8/2024 (b)		5,756		5,968

Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025 (b)		3,010		3,077

Pretium Mortgage Credit Partners I LLC Series 2018-NPL4, Class A1, 4.83%, 9/25/2058 ‡ (b) (l)		1,231		1,243

Progress Residential Trust

Series 2015-SFR3, Class A, 3.07%, 11/12/2032 ‡ (b)		5,187		5,191

Series 2015-SFR3, Class D, 4.67%, 11/12/2032 ‡ (b)		295		295

Series 2015-SFR3, Class E, 5.66%, 11/12/2032 (b)		1,200		1,201

Series 2019-SFR4, Class D, 3.14%, 10/17/2036 ‡ (b)		5,000		5,090

Prosper Marketplace Issuance Trust Series 2019-3A, Class A, 3.19%, 7/15/2025 (b)		860		866

Regional Management Issuance Trust Series 2018-1, Class A, 3.83%, 7/15/2027 (b)		1,705		1,720

Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 ‡ (l)		287		118

Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052 (b)		723		763

Santander Drive Auto Receivables Trust Series 2015-5, Class E, 4.67%, 2/15/2023 (b)		4,200		4,204

Santander Retail Auto Lease Trust Series 2020-A, Class A4, 1.76%, 3/20/2024 (b)		3,955		3,937

Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 3.28%, 1/25/2036 ‡ (l)		205		190


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

Sierra Timeshare Receivables Funding LLC Series 2019-2A, Class C, 3.12%, 5/20/2036 ‡ (b)		2,756		2,795

SoFi Consumer Loan Program LLC Series 2016-2, Class A, 3.09%, 10/27/2025 (b)		155		155

Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030		357		383

Springleaf Funding Trust Series 2016-AA, Class B, 3.80%, 11/15/2029 (b)		2,040		2,049

Spruce ABS Trust Series 2016-E1, Class A, 4.32%, 6/15/2028 (b)		430		440

Synchrony Card Funding LLC

Series 2019-A1, Class A, 2.95%, 3/15/2025		4,681		4,846

Series 2019-A2, Class A, 2.34%, 6/15/2025		5,000		5,125

Synchrony Card Issuance Trust Series 2018-A1, Class A, 3.38%, 9/15/2024		2,600		2,683

Tricolor Auto Securitization Trust Series 2018-2A, Class A, 3.96%, 10/15/2021 (b)		1,039		1,040

Tricon American Homes Trust Series 2016-SFR1, Class A, 2.59%, 11/17/2033 ‡ (b)		1,765		1,780

United Airlines Pass-Through Trust

Series 2018-1, Class B, 4.60%, 3/1/2026		198		209

Series 2016-1, Class A, 3.45%, 7/7/2028		907		975

Series 2018-1, Class AA, 3.50%, 3/1/2030		1,020		1,108

Series 2018-1, Class A, 3.70%, 3/1/2030		692		742

Series 2019-1, Class AA, 4.15%, 8/25/2031		995		1,126

Series 2019-1, Class A, 4.55%, 8/25/2031		889		1,021

Series 2019-2, Class AA, 2.70%, 5/1/2032		1,314		1,406

Upstart Securitization Trust Series 2020-1, Class A, 2.32%, 4/22/2030 (b)		5,270		5,299

Vericrest Opportunity Loan Trust

Series 2019-NPL8, Class A1A, 3.28%, 11/25/2049 ‡ (b) (l)		3,006		3,023

Series 2020-NPL2, Class A1A, 2.98%, 2/25/2050 ‡ (b) (l)		3,230		3,250

Verizon Owner Trust Series 2018-A, Class A1A, 3.23%, 4/20/2023		2,405		2,458

VOLT LXXXIII LLC Series 2019-NPL9, Class A1A, 3.33%, 11/26/2049 ‡ (b) (l)		3,302		3,324

VOLT LXXXV LLC Series 2020-NPL1, Class A1A, 3.23%, 1/25/2050 ‡ (b) (l)		2,716		2,728

VOLT LXXXVII LLC Series 2020-NPL3, Class A1A, 2.98%, 2/25/2050 (b) (l)		3,164		3,178

Westgate Resorts LLC Series 2017-1A, Class A, 3.05%, 12/20/2030 (b)		646		652

Westlake Automobile Receivables Trust

Series 2017-1A, Class C, 2.70%, 10/17/2022 (b)		32		32


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


Series 2017-1A, Class D, 3.46%, 10/17/2022 (b)		947		952

Series 2019-2A, Class D, 3.20%, 11/15/2024 (b)		2,500		2,565

World Financial Network Credit Card Master Trust Series 2019-A, Class A, 3.14%, 12/15/2025		2,245		2,326

World Omni Auto Receivables Trust

Series 2018-B, Class A3, 2.87%, 7/17/2023		6,900		6,987


Total Asset-Backed Securities (Cost $250,189)				256,236

Commercial Mortgage-Backed Securities — 3.9%

BAMLL Commercial Mortgage Securities Trust

Series 2012-PARK, Class A, 2.96%, 12/10/2030 (b)		560		582

Series 2014-520M, Class C, 4.21%, 8/15/2046 ‡ (b) (h)		1,300		1,471

BAMLL Re-REMIC Trust

Series 2016-FR16, Class A, 0.93%, 5/27/2021 (b) (h)		2,600		2,559

Series 2014-FRR5, Class A714, PO, 1/27/2047 (b)		1,950		1,910

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		4,729

Bear Stearns Commercial Mortgage Securities Trust Series 2005-PWR8, Class X1, IO, 0.62%, 6/11/2041 ‡ (b) (h)		181		—	(j)

CD Commercial Mortgage Trust Series 2007-CD4, Class XC, IO, 1.30%, 12/11/2049 ‡ (b) (h)		63		3

COBALT CMBS Commercial Mortgage Trust

Series 2006-C1, IO, 0.89%, 8/15/2048 ‡ (h)		492		7

Commercial Mortgage Trust

Series 2013-300P, Class A1, 4.35%, 8/10/2030 (b)		3,500		3,781

Series 2013-SFS, Class A2, 2.99%, 4/12/2035 (b) (h)		1,060		1,101

Series 2006-GG7, Class AM, 5.72%, 7/10/2038 (h)		46		47

Series 2012-CR2, Class XA, IO, 1.63%, 8/15/2045 ‡ (h)		2,352		77

FHLMC, Multi-Family Structured Pass-Through Certificates

Series KJ02, Class A2, 2.60%, 9/25/2020		23		23

Series KJ09, Class A2, 2.84%, 9/25/2022		1,988		2,052

Series KS01, Class A2, 2.52%, 1/25/2023		963		985

Series KPLB, Class A, 2.77%, 5/25/2025		353		376


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

Series K052, Class A2, 3.15%, 11/25/2025		3,560		3,874

Series K065, Class A2, 3.24%, 4/25/2027		2,467		2,727

Series K065, Class AM, 3.33%, 5/25/2027		1,322		1,464

Series K070, Class A2, 3.30%, 11/25/2027 (h)		1,748		1,944

FNMA ACES

Series 2010-M3, Class A3, 4.33%, 3/25/2020 (h)		58		58

Series 2014-M3, Class A2, 3.48%, 1/25/2024 (h)		1,930		2,072

Series 2017-M3, Class A2, 2.48%, 12/25/2026 (h)		1,181		1,257

Series 2015-M10, Class A2, 3.09%, 4/25/2027 (h)		8,555		9,318

Series 2017-M8, Class A2, 3.06%, 5/25/2027 (h)		3,815		4,174

Series 2018-M8, Class A2, 3.33%, 6/25/2028 (h)		2,580		2,905

Series 2018-M10, Class A2, 3.38%, 7/25/2028 (h)		3,335		3,760

Series 2017-M5, Class A2, 3.17%, 4/25/2029 (h)		3,376		3,774

Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (b)		998		1,148

LB-UBS Commercial Mortgage Trust Series 2006-C7, Class XW, IO, 0.83%, 11/15/2038 ‡ (b) (h)		2,166		—	(j)

ML-CFC Commercial Mortgage Trust

Series 2006-4, Class XC, IO, 0.74%, 12/12/2049 ‡ (b) (h)		404		—	(j)

Morgan Stanley Capital I Trust Series 2006-IQ12, Class X1, IO, 0.58%, 12/15/2043 ‡ (b) (h)		441		—	(j)

Series 2007-HQ11, Class X, IO, 0.22%, 2/12/2044 ‡ (b) (h)		479		—	(j)

MRCD Mortgage Trust

Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b)		2,050		2,137

Series 2019-PARK, Class D, 2.72%, 12/15/2036 ‡ (b)		2,685		2,691

RBS Commercial Funding, Inc. Trust Series 2013-SMV, Class A, 3.26%, 3/11/2031 (b)		664		690

UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b)		2,236		2,317

UBS-Barclays Commercial Mortgage Trust

Series 2013-C6, Class A4, 3.24%, 4/10/2046		857		897

Series 2012-C2, Class XA, IO, 1.31%, 5/10/2063 ‡ (b) (h)		7,015		181


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


VNDO Mortgage Trust

Series 2013-PENN, Class A, 3.81%, 12/13/2029 (b)		5,000		5,051

Series 2012-6AVE, Class A, 3.00%, 11/15/2030 (b)		1,398		1,450

Wells Fargo Commercial Mortgage Trust Series 2013-120B, Class A, 2.71%, 3/18/2028 (b) (h)		2,500		2,497

WFRBS Commercial Mortgage Trust

Series 2011-C3, Class A4, 4.38%, 3/15/2044 (b)		1,645		1,678

Series 2013-C11, Class D, 4.26%, 3/15/2045 ‡ (b) (h)		400		416

Series 2012-C6, Class A4, 3.44%, 4/15/2045		792		811


Total Commercial Mortgage-Backed Securities (Cost $74,661)				79,477

U.S. Government Agency Securities — 0.8%

Resolution Funding Corp. STRIPS

DN, 3.09%, 1/15/2026 (a)		388		358

DN, 2.86%, 10/15/2027 (a)		510		455

Tennessee Valley Authority

5.88%, 4/1/2036		6,839		10,565

4.63%, 9/15/2060		304		487

Tennessee Valley Authority STRIPS

DN, 3.70%, 11/1/2025 (a)		5,000		4,624

DN, 4.86%, 6/15/2035 (a)		800		579


Total U.S. Government Agency Securities (Cost $14,572)				17,068

Municipal Bonds — 0.6% (m)

California — 0.0% (c)

General Obligation — 0.0% (c)

State of California, Various Purpose GO, 7.30%, 10/1/2039		350		567


Transportation — 0.0% (c)

City of Los Angeles, Department of Airports Series 2009C, Rev., 6.58%, 5/15/2039		440		622


Total California				1,189


New York — 0.3%

Special Tax — 0.0% (c)

New York State Dormitory Authority, State Personal Income Tax, General Purpose Series D, Rev., 5.60%, 3/15/2040		360		496


Transportation — 0.3%

Port Authority of New York and New Jersey, Consolidated

Series 164, Rev., 5.65%, 11/1/2040		1,825		2,718


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

Transportation — continued

Series 165, Rev., 5.65%, 11/1/2040		440		656

Series 174, Rev., 4.46%, 10/1/2062		2,060		2,815


				6,189


Total New York				6,685


Ohio — 0.3%

Education — 0.2%

Ohio State University, General Receipts

Series 2016A, Rev., 4.05%, 12/1/2056		325		436

Series A, Rev., 4.80%, 6/1/2111		1,563		2,411

Rev., 5.59%, 12/1/2114		200		311


				3,158


Utility — 0.1%

American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev., 7.50%, 2/15/2050		1,315		2,263


Total Ohio				5,421


Total Municipal Bonds (Cost $9,162)				13,295

Foreign Government Securities — 0.5%

Province of Quebec (Canada) 7.36%, 3/6/2026 (l)		377		501

Republic of Colombia (Colombia)

4.00%, 2/26/2024		922		982

4.50%, 1/28/2026		581		642

7.38%, 9/18/2037		200		296

5.63%, 2/26/2044		200		259

5.00%, 6/15/2045		515		624

Republic of Panama (Panama) 4.50%, 4/16/2050		325		405

Republic of Peru (Peru) 5.63%, 11/18/2050		88		136

Republic of South Africa (South Africa) 5.88%, 9/16/2025		640		707

United Mexican States (Mexico)

3.60%, 1/30/2025		788		842

4.13%, 1/21/2026		316		347

3.75%, 1/11/2028		1,216		1,302

4.60%, 1/23/2046		2,113		2,397


Total Foreign Government Securities (Cost $8,533)				9,440


INVESTMENTS	SHARES (000)		VALUE ($000)
Short-Term Investments — 2.9%

Investment Companies — 2.9%

JPMorgan Prime Money Market Fund Class Institutional Shares, 1.62% (n) (o) (Cost $58,434)		58,417		58,446


Investment of Cash Collateral From Securities Loaned — 0.0% (c)

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.51% (n) (o) (Cost $619)		619		619


Total Short-Term Investments (Cost $59,053)				59,065

Total Investments — 100.3% (Cost $1,913,758)				2,066,389
Liabilities in Excess of Other Assets — (0.3)%				(6,675	)

NET ASSETS — 100.0%				2,059,714

Percentages indicated are based on net assets.


ABS		Asset-backed securities
ACES		Alternative Credit Enhancement Securities
ARM		Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 29, 2020.
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 or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of February 29, 2020. 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
Re-REMIC		Combined Real Estate Mortgage Investment Conduit
Rev.		Revenue
SOFR		Secured Overnight Financing Rate
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.
TBA		To Be Announced; Security is subject to delayed delivery
UMBS		Uniform Mortgage-Backed Securities
USD		United States Dollar

(a)		The rate shown is the effective yield as of February 29, 2020.
(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 February 29, 2020.
(e)		The security or a portion of this security is on loan at February 29, 2020. The total value of securities on loan at February 29, 2020 is approximately $608,000.
(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 February 29, 2020.


(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 February 29, 2020.
(i)		All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(j)		Amount rounds to less than one thousand.
(k)		Defaulted security.
(l)		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 February 29, 2020.
(m)		The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(n)		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.
(o)		The rate shown is the current yield as of February 29, 2020.
‡		Value determined using significant unobservable inputs.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
U.S. Treasury Obligations — 28.2%

U.S. Treasury Bonds

6.00%, 2/15/2026		516		666

6.13%, 8/15/2029		500		725

U.S. Treasury Notes

2.75%, 9/30/2020		3,000		3,026

1.88%, 1/31/2022		700		713

1.88%, 4/30/2022		1,000		1,021

2.25%, 1/31/2024		1,500		1,577

2.25%, 11/15/2024		250		265

2.88%, 5/31/2025		299		328

2.00%, 8/15/2025		2,500		2,637

2.25%, 11/15/2025		2,000		2,140

2.25%, 11/15/2027		2,000		2,175

2.88%, 8/15/2028		2,000		2,287

3.13%, 11/15/2028		2,000		2,335

2.63%, 2/15/2029		3,200		3,611

U.S. Treasury STRIPS Bonds

4.10%, 11/15/2021 (a)		1,525		1,500

2.86%, 2/15/2022 (a)		2,400		2,355

2.89%, 11/15/2022 (a)		1,300		1,268

2.80%, 5/15/2023 (a)		685		664

2.23%, 8/15/2023 (a)		3,890		3,765

2.53%, 11/15/2023 (a)		744		718

2.24%, 2/15/2024 (a)		4,406		4,239

2.26%, 5/15/2024 (a)		200		192

2.99%, 5/15/2025 (a)		200		190

2.40%, 5/15/2026 (a)		200		187

3.61%, 8/15/2026 (a)		47		44

3.75%, 11/15/2026 (a)		300		279

2.97%, 2/15/2027 (a)		100		93

4.03%, 8/15/2027 (a)		100		92

4.06%, 11/15/2027 (a)		140		128

3.13%, 2/15/2028 (a)		53		48

2.56%, 5/15/2028 (a)		10		9

3.33%, 8/15/2028 (a)		200		181


Total U.S. Treasury Obligations (Cost $37,628)				39,458

Corporate Bonds — 27.2%

Aerospace & Defense — 0.6%

Airbus Finance BV (France) 2.70%, 4/17/2023 (b)		43		45

General Dynamics Corp. 3.50%, 5/15/2025		100		110

L3Harris Technologies, Inc. 3.85%, 12/15/2026 (b)		70		77

Lockheed Martin Corp. 3.10%, 1/15/2023		174		182

Northrop Grumman Corp. 2.93%, 1/15/2025		150		159


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


Aerospace & Defense — continued

United Technologies Corp.

3.95%, 8/16/2025		150		168

4.13%, 11/16/2028		100		117


				858


Automobiles — 0.6%

Daimler Finance North America LLC (Germany) 2.20%, 5/5/2020 (b)		150		150

General Motors Co. 4.20%, 10/1/2027		500		522

Hyundai Capital America 2.85%, 11/1/2022 (b)		200		205


				877


Banks — 5.3%

Bank of America Corp.

3.30%, 1/11/2023		90		94

(ICE LIBOR USD 3 Month + 1.16%), 3.12%, 1/20/2023 (c)		60		62

(ICE LIBOR USD 3 Month + 1.02%), 2.88%, 4/24/2023 (c)		100		103

(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (c)		42		44

Series L, 3.95%, 4/21/2025		154		168

(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c)		610		659

Bank of Montreal (Canada) 2.35%, 9/11/2022		200		204

Bank of Nova Scotia (The) (Canada) 2.00%, 11/15/2022		150		152

Barclays plc (United Kingdom) 3.68%, 1/10/2023		317		327

Canadian Imperial Bank of Commerce (Canada) 3.10%, 4/2/2024		150		158

Citibank NA 2.13%, 10/20/2020		350		352

Citigroup, Inc.

4.40%, 6/10/2025		115		128

4.45%, 9/29/2027		150		169

(SOFR + 1.15%), 2.67%, 1/29/2031 (c)		350		359

Citizens Financial Group, Inc. 4.30%, 12/3/2025		50		56

Commonwealth Bank of Australia (Australia) 4.50%, 12/9/2025 (b)		201		226

Cooperatieve Rabobank UA (Netherlands) 3.88%, 2/8/2022		118		124

Discover Bank 3.35%, 2/6/2023		250		262

Fifth Third Bancorp 2.38%, 1/28/2025		64		66

HSBC Holdings plc (United Kingdom)

(ICE LIBOR USD 3 Month + 0.92%), 3.03%, 11/22/2023 (c)		200		206

(ICE LIBOR USD 3 Month + 1.14%), 2.63%, 11/7/2025 (c)		200		205


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

Banks — continued

Huntington National Bank (The) 2.88%, 8/20/2020		250		251

Lloyds Banking Group plc (United Kingdom) 3.75%, 1/11/2027		250		271

Mitsubishi UFJ Financial Group, Inc. (Japan) 3.85%, 3/1/2026		225		250

PNC Financial Services Group, Inc. (The)

4.38%, 8/11/2020		133		135

Regions Financial Corp. 2.75%, 8/14/2022		107		110

Royal Bank of Canada (Canada) 2.25%, 11/1/2024		100		102

Standard Chartered plc (United Kingdom) 5.20%, 1/26/2024 (b)		200		219

Swedbank AB (Sweden) 2.20%, 3/4/2020 (b)		300		300

Toronto-Dominion Bank (The) (Canada) 2.50%, 12/14/2020		200		201

Truist Bank 2.25%, 6/1/2020		250		250

US Bancorp

Series V, 2.38%, 7/22/2026		133		139

Series X, 3.15%, 4/27/2027		68		75

Wells Fargo & Co.

2.63%, 7/22/2022		250		256

3.00%, 2/19/2025		99		104

4.10%, 6/3/2026		21		23

4.30%, 7/22/2027		30		34

(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (c)		250		272

Westpac Banking Corp. (Australia) 2.50%, 6/28/2022		300		309


				7,425


Beverages — 0.4%

Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.75%, 1/23/2029		265		313

Diageo Capital plc (United Kingdom) 4.83%, 7/15/2020		70		71

Keurig Dr Pepper, Inc.

4.42%, 5/25/2025		75		84

4.60%, 5/25/2028		50		58


				526


Biotechnology — 0.2%

AbbVie, Inc. 4.25%, 11/14/2028		100		114

Baxalta, Inc. 3.60%, 6/23/2022		23		24

Biogen, Inc. 3.63%, 9/15/2022		30		32

Gilead Sciences, Inc.

3.70%, 4/1/2024		36		39


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


Biotechnology — continued

3.50%, 2/1/2025		25		27

3.65%, 3/1/2026		57		63


				299


Building Products — 0.0% (d)

Johnson Controls International plc 3.75%, 12/1/2021		3		3


Capital Markets — 2.2%

Bank of New York Mellon Corp. (The) 3.25%, 9/11/2024		150		161

Brookfield Finance, Inc. (Canada) 4.85%, 3/29/2029		47		56

Charles Schwab Corp. (The)

3.23%, 9/1/2022		40		42

3.20%, 1/25/2028		200		218

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		278

(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c)		249		273

Intercontinental Exchange, Inc. 4.00%, 10/15/2023		88		94

Invesco Finance plc

4.00%, 1/30/2024		71		78

3.75%, 1/15/2026		125		139

Jefferies Group LLC 6.88%, 4/15/2021		50		53

Macquarie Bank Ltd. (Australia) 4.00%, 7/29/2025 (b)		100		110

Macquarie Group Ltd. (Australia) 6.25%, 1/14/2021 (b)		40		42

Morgan Stanley

5.75%, 1/25/2021		100		104

5.50%, 7/28/2021		100		105

3.70%, 10/23/2024		83		90

(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (c)		500		547

Nomura Holdings, Inc. (Japan) 6.70%, 3/4/2020		84		84

Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (c)		17		18

State Street Corp. 3.10%, 5/15/2023		36		38

TD Ameritrade Holding Corp. 2.95%, 4/1/2022		34		35

UBS AG (Switzerland) 2.45%, 12/1/2020 (b)		200		201


				3,086


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

Chemicals — 0.4%

Ecolab, Inc.

3.25%, 1/14/2023		88		92

3.25%, 12/1/2027		43		48

International Flavors & Fragrances, Inc. 4.45%, 9/26/2028		9		10

Mosaic Co. (The) 3.25%, 11/15/2022		21		22

Nutrien Ltd. (Canada) 3.38%, 3/15/2025		45		48

Sherwin-Williams Co. (The)

3.30%, 2/1/2025		110		115

3.45%, 6/1/2027		51		56

Union Carbide Corp. 7.50%, 6/1/2025		100		124


				515


Commercial Services & Supplies — 0.2%

Republic Services, Inc. 3.38%, 11/15/2027		200		221


Communications Equipment — 0.0% (d)

Cisco Systems, Inc. 2.95%, 2/28/2026		44		47


Construction Materials — 0.2%

Martin Marietta Materials, Inc.

3.45%, 6/1/2027		78		84

3.50%, 12/15/2027		160		175


				259


Consumer Finance — 1.0%

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 (b)		150		161

3.95%, 7/1/2024 (b)		20		21

Capital One Financial Corp. 3.20%, 2/5/2025		235		248

Caterpillar Financial Services Corp.

1.85%, 9/4/2020		200		200

2.85%, 6/1/2022		58		60

John Deere Capital Corp.

3.15%, 10/15/2021		33		34

2.70%, 1/6/2023		89		93

2.65%, 6/24/2024		100		105

Toyota Motor Credit Corp. 2.00%, 10/7/2024		150		154


				1,378


Containers & Packaging — 0.1%

Packaging Corp. of America 3.00%, 12/15/2029		100		105

WRKCo, Inc. 3.00%, 9/15/2024		80		84


				189


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


Diversified Financial Services — 1.3%

AIG Global Funding 2.15%, 7/2/2020 (b)		150		150

GE Capital International Funding Co. Unlimited Co. 2.34%, 11/15/2020		349		350

GTP Acquisition Partners I LLC 2.35%, 6/15/2020 (b)		174		175

National Rural Utilities Cooperative Finance Corp. 2.30%, 9/15/2022		200		205

ORIX Corp. (Japan) 2.90%, 7/18/2022		81		83

Private Export Funding Corp.

Series EE, 2.80%, 5/15/2022		500		518

Series KK, 3.55%, 1/15/2024		200		219

Shell International Finance BV (Netherlands) 3.25%, 5/11/2025		100		108


				1,808


Diversified Telecommunication Services — 0.9%

AT&T, Inc.

3.60%, 7/15/2025		150		161

7.88%, 2/15/2030		350		485

Qwest Corp. 6.75%, 12/1/2021		148		157

Telefonica Emisiones SA (Spain) 5.13%, 4/27/2020		31		31

Verizon Communications, Inc.

4.33%, 9/21/2028		160		188

4.50%, 8/10/2033		208		255


				1,277


Electric Utilities — 1.8%

Baltimore Gas & Electric Co. 2.80%, 8/15/2022		43		44

Commonwealth Edison Co. Series 122, 2.95%, 8/15/2027		200		215

DTE Electric Co. 2.65%, 6/15/2022		20		20

Duke Energy Corp. 3.75%, 4/15/2024		300		322

Duke Energy Indiana LLC 3.75%, 7/15/2020		60		60

Duke Energy Progress LLC 2.80%, 5/15/2022		40		41

Edison International 4.13%, 3/15/2028		150		164

Enel Finance International NV (Italy) 3.63%, 5/25/2027 (b)		200		215

Entergy Mississippi LLC 2.85%, 6/1/2028		186		197

Evergy Metro, Inc. 3.15%, 3/15/2023		47		49

Jersey Central Power & Light Co. 4.30%, 1/15/2026 (b)		200		225

NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027		89		97

Niagara Mohawk Power Corp. 3.51%, 10/1/2024 (b)		28		30

Pennsylvania Electric Co. 3.25%, 3/15/2028 (b)		132		142


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

Electric Utilities — continued

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		17		17

Southern Co. (The) 3.25%, 7/1/2026		317		341

Virginia Electric & Power Co.

Series C, 2.75%, 3/15/2023		191		197

3.45%, 2/15/2024		21		23


				2,526


Electrical Equipment — 0.1%

ABB Finance USA, Inc. (Switzerland) 2.88%, 5/8/2022		41		42

Eaton Corp. 3.10%, 9/15/2027		140		153


				195


Electronic Equipment, Instruments & Components — 0.1%

Arrow Electronics, Inc.

4.50%, 3/1/2023		16		17

3.88%, 1/12/2028		100		105


				122


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		117

Schlumberger Investment SA 3.30%, 9/14/2021 (b)		47		49


				319


Entertainment — 0.0% (d)

Walt Disney Co. (The) 7.70%, 10/30/2025		50		66


Equity Real Estate Investment Trusts (REITs) — 1.2%

American Tower Corp.

3.50%, 1/31/2023		80		84

5.00%, 2/15/2024		38		43

Boston Properties LP 3.20%, 1/15/2025		152		162

Brixmor Operating Partnership LP 3.85%, 2/1/2025		50		54

ERP Operating LP 4.63%, 12/15/2021		255		268

Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b)		52		56

Healthcare Trust of America Holdings LP

3.10%, 2/15/2030		68		71

Healthpeak Properties, Inc.

4.20%, 3/1/2024		17		18

3.88%, 8/15/2024		205		223

3.40%, 2/1/2025		38		41


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


Equity Real Estate Investment Trusts (REITs) — continued

Realty Income Corp.

3.88%, 7/15/2024		50		55

3.65%, 1/15/2028		150		168

Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b)		150		160

SITE Centers Corp. 3.63%, 2/1/2025		12		13

Ventas Realty LP

3.75%, 5/1/2024		44		47

3.50%, 2/1/2025		27		29

4.13%, 1/15/2026		62		69

Welltower, Inc. 4.50%, 1/15/2024		100		110


				1,671


Food & Staples Retailing — 0.1%

Alimentation Couche-Tard, Inc. (Canada) 2.95%, 1/25/2030 (b)		23		24

Kroger Co. (The) 4.00%, 2/1/2024		90		97


				121


Food Products — 0.6%

Campbell Soup Co. 3.95%, 3/15/2025		50		54

Cargill, Inc. 3.30%, 3/1/2022 (b)		100		103

General Mills, Inc. 4.20%, 4/17/2028		200		231

Kellogg Co. 3.40%, 11/15/2027		95		103

Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025		92		104

Smithfield Foods, Inc. 5.20%, 4/1/2029 (b)		7		8

Tyson Foods, Inc. 3.95%, 8/15/2024		73		80

Unilever Capital Corp. (United Kingdom) 3.38%, 3/22/2025		100		109


				792


Gas Utilities — 0.0% (d)

Atmos Energy Corp. 2.63%, 9/15/2029		42		44


Health Care Equipment & Supplies — 0.1%

Boston Scientific Corp. 3.75%, 3/1/2026		50		55

Zimmer Biomet Holdings, Inc.

3.70%, 3/19/2023		19		20

3.55%, 4/1/2025		50		54


				129


Health Care Providers & Services — 1.0%

Aetna, Inc. 2.80%, 6/15/2023		200		206

Anthem, Inc.

3.13%, 5/15/2022		115		119

3.50%, 8/15/2024		106		113


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

Health Care Providers & Services — continued

Cigna Corp.

3.05%, 11/30/2022 (b)		200		206

3.50%, 6/15/2024 (b)		72		77

CVS Health Corp. 4.10%, 3/25/2025		180		197

HCA, Inc. 4.13%, 6/15/2029		150		165

Laboratory Corp. of America Holdings 3.20%, 2/1/2022		214		220

UnitedHealth Group, Inc. 3.38%, 11/15/2021		112		115


				1,418


Hotels, Restaurants & Leisure — 0.1%

Starbucks Corp. 3.80%, 8/15/2025		150		165


Household Durables — 0.1%

DR Horton, Inc. 2.55%, 12/1/2020		150		151


Household Products — 0.0% (d)

Kimberly-Clark Corp. 2.40%, 3/1/2022		20		20

Procter & Gamble — ESOP Series A, 9.36%, 1/1/2021		12		13


				33


Independent Power and Renewable Electricity Producers — 0.1%

Exelon Generation Co. LLC

3.40%, 3/15/2022		80		83

4.25%, 6/15/2022		37		39


				122


Industrial Conglomerates — 0.0% (d)

Ingersoll-Rand Global Holding Co. Ltd. 4.25%, 6/15/2023		34		37

Roper Technologies, Inc. 3.80%, 12/15/2026		15		17


				54


Insurance — 1.4%

Allstate Corp. (The) 3.15%, 6/15/2023		61		65

American International Group, Inc. 3.75%, 7/10/2025		161		176

Aon plc 3.88%, 12/15/2025		143		159

Assurant, Inc. 4.20%, 9/27/2023		90		97

Athene Global Funding 2.95%, 11/12/2026 (b)		150		158

Chubb INA Holdings, Inc. 2.88%, 11/3/2022		130		135

CNA Financial Corp.

3.95%, 5/15/2024		52		56

4.50%, 3/1/2026		38		43

Guardian Life Global Funding 2.50%, 5/8/2022 (b)		125		128

Lincoln National Corp. 4.20%, 3/15/2022		35		37


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


Insurance — continued

Manulife Financial Corp. (Canada) 4.15%, 3/4/2026		44		50

Marsh & McLennan Cos., Inc. 3.30%, 3/14/2023		50		52

Metropolitan Life Global Funding I 3.45%, 12/18/2026 (b)		250		276

Principal Financial Group, Inc. 3.10%, 11/15/2026		150		161

Protective Life Global Funding 2.62%, 8/22/2022 (b)		200		206

Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b)		150		196


				1,995


IT Services — 0.1%

International Business Machines Corp. 3.50%, 5/15/2029		100		112

Western Union Co. (The) 3.60%, 3/15/2022		20		21


				133


Life Sciences Tools & Services — 0.1%

Thermo Fisher Scientific, Inc.

4.15%, 2/1/2024		34		37

3.20%, 8/15/2027		100		108


				145


Machinery — 0.3%

Caterpillar, Inc. 2.60%, 6/26/2022		31		32

Illinois Tool Works, Inc. 3.50%, 3/1/2024		175		190

Otis Worldwide Corp. 2.57%, 2/15/2030 (b)		44		45

Stanley Black & Decker, Inc. 3.40%, 3/1/2026		110		120


				387


Media — 0.7%

Charter Communications Operating LLC 4.91%, 7/23/2025		160		179

Comcast Corp.

3.00%, 2/1/2024		117		123

3.38%, 2/15/2025		77		83

3.38%, 8/15/2025		80		87

3.95%, 10/15/2025		14		16

3.15%, 3/1/2026		16		17

Cox Communications, Inc. 3.50%, 8/15/2027 (b)		154		166

Discovery Communications LLC 4.38%, 6/15/2021		78		81

Fox Corp. 4.71%, 1/25/2029 (b)		35		41

ViacomCBS, Inc. 4.00%, 1/15/2026		208		228


				1,021


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

Metals & Mining — 0.1%

Glencore Funding LLC (Switzerland) 4.88%, 3/12/2029 (b)		60		68

Nucor Corp. 4.00%, 8/1/2023		27		29

Steel Dynamics, Inc. 3.45%, 4/15/2030		21		22


				119


Multiline Retail — 0.1%

Dollar General Corp. 4.13%, 5/1/2028		150		172


Multi-Utilities — 0.6%

Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028		155		175

DTE Energy Co. Series B, 3.30%, 6/15/2022		79		82

NiSource, Inc. 3.85%, 2/15/2023		200		210

Public Service Enterprise Group, Inc. 2.88%, 6/15/2024		100		105

Sempra Energy 4.05%, 12/1/2023		48		52

Southern Co. Gas Capital Corp. 3.50%, 9/15/2021		94		96

WEC Energy Group, Inc. 3.55%, 6/15/2025		87		95


				815


Oil, Gas & Consumable Fuels — 2.2%

Apache Corp. 3.25%, 4/15/2022		18		18

APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (b)		100		111

BP Capital Markets plc (United Kingdom)

3.81%, 2/10/2024		166		180

3.51%, 3/17/2025		60		65

Cameron LNG LLC 2.90%, 7/15/2031 (b)		84		88

Canadian Natural Resources Ltd. (Canada) 3.90%, 2/1/2025		25		27

Cenovus Energy, Inc. (Canada) 3.00%, 8/15/2022		21		22

Chevron Corp. 2.36%, 12/5/2022		40		41

CNOOC Nexen Finance 2014 ULC (China) 4.25%, 4/30/2024		200		219

Ecopetrol SA (Colombia) 4.13%, 1/16/2025		58		60

Energy Transfer Operating LP

3.60%, 2/1/2023		28		29

4.90%, 2/1/2024		61		66

4.05%, 3/15/2025		91		98

Eni SpA (Italy) 4.15%, 10/1/2020 (b)		200		203

Enterprise Products Operating LLC

2.80%, 2/15/2021		200		202

3.90%, 2/15/2024		49		53

3.75%, 2/15/2025		37		40


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


Oil, Gas & Consumable Fuels — continued

Gulf South Pipeline Co. LP 4.00%, 6/15/2022		50		52

Marathon Petroleum Corp. 3.63%, 9/15/2024		67		72

MPLX LP

3.38%, 3/15/2023		32		34

4.25%, 12/1/2027 (b)		27		29

Newfield Exploration Co. 5.38%, 1/1/2026		100		106

Noble Energy, Inc. 3.85%, 1/15/2028		100		104

Occidental Petroleum Corp. 3.50%, 6/15/2025		30		31

ONEOK Partners LP

3.38%, 10/1/2022		12		12

5.00%, 9/15/2023		28		31

ONEOK, Inc. 3.40%, 9/1/2029		150		155

Petroleos Mexicanos (Mexico)

6.88%, 8/4/2026		51		56

5.35%, 2/12/2028		42		41

6.84%, 1/23/2030 (b)		70		73

Plains All American Pipeline LP 3.60%, 11/1/2024		100		104

Sinopec Group Overseas Development Ltd. (China) 4.38%, 10/17/2023 (b)		200		217

Spectra Energy Partners LP 3.50%, 3/15/2025		63		67

TC PipeLines LP 3.90%, 5/25/2027		42		45

TransCanada PipeLines Ltd. (Canada) 3.75%, 10/16/2023		172		183

Williams Cos., Inc. (The) 3.90%, 1/15/2025		86		92


				3,026


Pharmaceuticals — 0.3%

Allergan Funding SCS 3.45%, 3/15/2022		69		71

Bristol-Myers Squibb Co.

3.25%, 8/15/2022 (b)		98		102

3.40%, 7/26/2029 (b)		71		80

Eli Lilly & Co. 3.38%, 3/15/2029		70		79

Merck & Co., Inc. 3.40%, 3/7/2029		100		112


				444


Real Estate Management & Development — 0.1%

Ontario Teachers’ Cadillac Fairview Properties Trust (Canada) 3.13%, 3/20/2022 (b)		200		207


Road & Rail — 0.6%

Canadian Pacific Railway Co. (Canada) 4.50%, 1/15/2022		55		58

CSX Corp. 3.25%, 6/1/2027		162		174

ERAC USA Finance LLC

5.25%, 10/1/2020 (b)		48		49

4.50%, 8/16/2021 (b)		27		28


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

Road & Rail — continued

JB Hunt Transport Services, Inc. 3.88%, 3/1/2026		60		67

Norfolk Southern Corp. 2.55%, 11/1/2029		150		156

Penske Truck Leasing Co. LP 4.13%, 8/1/2023 (b)		200		215

Ryder System, Inc.

2.50%, 5/11/2020		28		28

2.88%, 9/1/2020		86		86


				861


Semiconductors & Semiconductor Equipment — 0.3%

Analog Devices, Inc. 2.95%, 1/12/2021		70		71

Broadcom, Inc. 4.75%, 4/15/2029 (b)		50		56

Intel Corp. 3.70%, 7/29/2025		116		128

QUALCOMM, Inc. 3.25%, 5/20/2027		94		101


				356


Software — 0.2%

Oracle Corp. 2.95%, 11/15/2024		200		212


Specialty Retail — 0.3%

Advance Auto Parts, Inc. 4.50%, 12/1/2023		30		33

Lowe’s Cos., Inc. 3.65%, 4/5/2029		200		222

O’Reilly Automotive, Inc.

3.55%, 3/15/2026		100		109

3.60%, 9/1/2027		62		69


				433


Technology Hardware, Storage & Peripherals — 0.2%

Apple, Inc. 2.75%, 1/13/2025		200		212


Tobacco — 0.3%

BAT Capital Corp. (United Kingdom) 3.22%, 8/15/2024		200		210

Philip Morris International, Inc. 3.38%, 8/11/2025		150		163


				373


Trading Companies & Distributors — 0.2%

Air Lease Corp. 3.63%, 12/1/2027		100		106

Aviation Capital Group LLC 3.88%, 5/1/2023 (b)		100		105


				211


Water Utilities — 0.1%

American Water Capital Corp. 3.85%, 3/1/2024		150		163


Wireless Telecommunication Services — 0.1%

Rogers Communications, Inc. (Canada)

4.10%, 10/1/2023		160		173


Total Corporate Bonds (Cost $35,822)				38,154


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — 16.1%

Alternative Loan Trust

Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034		722			744

Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035		112			106

Banc of America Funding Trust

Series 2004-1, PO, 3/25/2034 ‡		13			11

CHL Mortgage Pass-Through Trust

Series 2004-HYB3, Class 2A, 3.85%, 6/20/2034 (e)		10			10

Series 2004-5, Class 1A4, 5.50%, 6/25/2034		24			24

Series 2005-22, Class 2A1, 3.57%, 11/25/2035 (e)		100			92

Citigroup Global Markets Mortgage Securities VII, Inc.

Series 2003-UP2, Class PO1, PO, 6/25/2033 ‡		—	(f)		—	(f)

Series 2003-HYB1, Class A, 4.24%, 9/25/2033 (e)		10			10

Citigroup Mortgage Loan Trust, Inc. Series 2003-UP3, Class A3, 7.00%, 9/25/2033		3			3

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-3, Class 1A1, 4.29%, 6/25/2020 (e)		16			16

FHLMC — GNMA Series 24, Class ZE, 6.25%, 11/25/2023		10			11

FHLMC, REMIC

Series 2347, Class VP, 6.50%, 3/15/2020		—	(f)		—	(f)

Series 2999, Class ND, 4.50%, 7/15/2020		1			1

Series 1807, Class G, 9.00%, 10/15/2020		—	(f)		—	(f)

Series 1084, Class F, 2.61%, 5/15/2021 (e)		—	(f)		—	(f)

Series 1079, Class S, HB, IF, 28.36%, 5/15/2021 (e)		—	(f)		—	(f)

Series 1084, Class S, HB, IF, 37.76%, 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		—	(f)		—	(f)

Series 1343, Class LA, 8.00%, 8/15/2022		3			3

Series 2512, Class PG, 5.50%, 10/15/2022		36			38

Series 2535, Class BK, 5.50%, 12/15/2022		6			7

Series 1470, Class F, 2.04%, 2/15/2023 (e)		—	(f)		—	(f)

Series 2568, Class KG, 5.50%, 2/15/2023		57			59

Series 1466, Class PZ, 7.50%, 2/15/2023		10			11

Series 1491, Class I, 7.50%, 4/15/2023		4			5


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 1798, Class F, 5.00%, 5/15/2023		5			5

Series 1518, Class G, IF, 7.32%, 5/15/2023 (e)		4			5

Series 1541, Class O, 1.18%, 7/15/2023 (e)		4			4

Series 1608, Class L, 6.50%, 9/15/2023		15			16

Series 1602, Class SA, IF, 17.30%, 10/15/2023 (e)		2			2

Series 2283, Class K, 6.50%, 12/15/2023		6			6

Series 1700, Class GA, PO, 2/15/2024		1			1

Series 1671, Class L, 7.00%, 2/15/2024		4			4

Series 1706, Class K, 7.00%, 3/15/2024		26			28

Series 2033, Class SN, HB, IF, 26.78%, 3/15/2024 (e)		2			—	(f)

Series 1720, Class PL, 7.50%, 4/15/2024		77			82

Series 2306, Class K, PO, 5/15/2024		3			3

Series 2306, Class SE, IF, IO, 8.85%, 5/15/2024 (e)		8			1

Series 1745, Class D, 7.50%, 8/15/2024		5			6

Series 1927, Class PH, 7.50%, 1/15/2027		40			46

Series 1981, Class Z, 6.00%, 5/15/2027		15			17

Series 1987, Class PE, 7.50%, 9/15/2027		5			6

Series 2038, Class PN, IO, 7.00%, 3/15/2028		6			1

Series 2040, Class PE, 7.50%, 3/15/2028		34			39

Series 2063, Class PG, 6.50%, 6/15/2028		37			41

Series 2064, Class TE, 7.00%, 6/15/2028		4			5

Series 2075, Class PM, 6.25%, 8/15/2028		24			27

Series 2075, Class PH, 6.50%, 8/15/2028		25			28

Series 2089, Class PJ, IO, 7.00%, 10/15/2028		8			1

Series 2125, Class JZ, 6.00%, 2/15/2029		16			17

Series 2169, Class TB, 7.00%, 6/15/2029		69			79

Series 2163, Class PC, IO, 7.50%, 6/15/2029		4			—	(f)

Series 2172, Class QC, 7.00%, 7/15/2029		29			34

Series 2196, Class TL, 7.50%, 11/15/2029		—	(f)		—	(f)

Series 2201, Class C, 8.00%, 11/15/2029		11			13

Series 2210, Class Z, 8.00%, 1/15/2030		35			43

Series 2224, Class CB, 8.00%, 3/15/2030		11			13

Series 2256, Class MC, 7.25%, 9/15/2030		18			22

Series 2259, Class ZM, 7.00%, 10/15/2030		19			22

Series 2271, Class PC, 7.25%, 12/15/2030		17			20

Series 2296, Class PD, 7.00%, 3/15/2031		9			11

Series 2333, Class HC, 6.00%, 7/15/2031		23			27

Series 2344, Class ZD, 6.50%, 8/15/2031		172			198

Series 2344, Class ZJ, 6.50%, 8/15/2031		23			26

Series 2345, Class NE, 6.50%, 8/15/2031		12			14

Series 2351, Class PZ, 6.50%, 8/15/2031		18			20

Series 2410, Class OE, 6.38%, 2/15/2032		19			20


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


Series 2410, Class NG, 6.50%, 2/15/2032		12		14

Series 2410, Class QX, IF, IO, 6.99%, 2/15/2032 (e)		10		2

Series 2412, Class SP, IF, 12.78%, 2/15/2032 (e)		39		51

Series 2444, Class ES, IF, IO, 6.29%, 3/15/2032 (e)		24		5

Series 2450, Class SW, IF, IO, 6.34%, 3/15/2032 (e)		10		2

Series 2423, Class MC, 7.00%, 3/15/2032		11		13

Series 2423, Class MT, 7.00%, 3/15/2032		21		25

Series 2435, Class CJ, 6.50%, 4/15/2032		87		102

Series 2441, Class GF, 6.50%, 4/15/2032		24		28

Series 2455, Class GK, 6.50%, 5/15/2032		32		37

Series 2450, Class GZ, 7.00%, 5/15/2032		33		40

Series 2466, Class DH, 6.50%, 6/15/2032		42		47

Series 2474, Class NR, 6.50%, 7/15/2032		29		33

Series 2484, Class LZ, 6.50%, 7/15/2032		44		53

Series 2500, Class MC, 6.00%, 9/15/2032		40		47

Series 2543, Class YX, 6.00%, 12/15/2032		92		104

Series 2575, Class ME, 6.00%, 2/15/2033		158		182

Series 2586, Class WI, IO, 6.50%, 3/15/2033		13		3

Series 2990, Class SL, IF, 18.41%, 6/15/2034 (e)		24		31

Series 3611, PO, 7/15/2034		21		19

Series 2990, Class UZ, 5.75%, 6/15/2035		528		607

Series 3117, Class EO, PO, 2/15/2036		52		48

Series 3117, Class OK, PO, 2/15/2036		6		5

Series 3122, Class OH, PO, 3/15/2036		47		43

Series 3152, Class MO, PO, 3/15/2036		123		114

Series 3607, Class AO, PO, 4/15/2036		31		28

Series 3137, Class XP, 6.00%, 4/15/2036		74		88

Series 3819, Class ZQ, 6.00%, 4/15/2036		206		244

Series 3149, Class SO, PO, 5/15/2036		6		5

Series 3171, Class MO, PO, 6/15/2036		33		31

Series 3179, Class OA, PO, 7/15/2036		19		18

Series 3202, Class HI, IF, IO, 4.99%, 8/15/2036 (e)		161		29

Series 3232, Class ST, IF, IO, 5.04%, 10/15/2036 (e)		29		4

Series 3417, Class EO, PO, 11/15/2036		297		286

Series 3316, Class JO, PO, 5/15/2037		5		4

Series 3607, Class OP, PO, 7/15/2037		146		131

Series 3481, Class SJ, IF, IO, 4.19%, 8/15/2038 (e)		85		16

Series 3680, Class MA, 4.50%, 7/15/2039		167		178

Series 4219, Class JA, 3.50%, 8/15/2039		286		295


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 3997, Class PF, 2.11%, 11/15/2039 (e)		28			28

Series 4096, Class HA, 2.00%, 12/15/2041		247			252

Series 4374, Class NC, 3.75%, 2/15/2046 (g)		130			131

FHLMC, STRIPS

Series 243, Class 16, IO, 4.50%, 11/15/2020		—	(f)		—	(f)

Series 262, Class 35, 3.50%, 7/15/2042		438			476

FHLMC, Structured Pass-Through Certificates, Whole Loan

Series T-41, Class 3A, 5.39%, 7/25/2032 (e)		23			26

Series T-76, Class 2A, 2.27%, 10/25/2037 (e)		108			120

Series T-51, Class 2A, 7.50%, 8/25/2042 (e)		20			27

Series T-54, Class 2A, 6.50%, 2/25/2043		201			243

Series T-54, Class 3A, 7.00%, 2/25/2043		65			80

Series T-56, Class A5, 5.23%, 5/25/2043		501			576

Series T-58, Class APO, PO, 9/25/2043		14			12

FNMA Trust, Whole Loan

Series 2004-W2, Class 2A2, 7.00%, 2/25/2044		26			31

Series 2005-W3, Class 2AF, 1.85%, 3/25/2045 (e)		90			89

FNMA, REMIC

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		—	(f)		—	(f)

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 1990-134, Class SC, IF, 19.16%, 11/25/2020 (e)		—	(f)		—	(f)

Series 1990-140, Class K, HB, 652.15%, 12/25/2020		—	(f)		—	(f)

Series 2001-4, Class PC, 7.00%, 3/25/2021		2			2

Series 1991-42, Class S, IF, 14.83%, 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		—	(f)		—	(f)

Series 2001-48, Class Z, 6.50%, 9/25/2021		13			13

Series G-35, Class M, 8.75%, 10/25/2021		—	(f)		—	(f)

Series 2002-1, Class HC, 6.50%, 2/25/2022		5			5

Series 1992-107, Class SB, HB, IF, 25.17%, 6/25/2022 (e)		5			6

Series G92-42, Class Z, 7.00%, 7/25/2022		—	(f)		—	(f)

Series G92-35, Class E, 7.50%, 7/25/2022		4			4


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


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		2			2

Series G93-5, Class Z, 6.50%, 2/25/2023		2			2

Series 1993-37, Class PX, 7.00%, 3/25/2023		27			28

Series 1993-25, Class J, 7.50%, 3/25/2023		4			4

Series 1998-4, Class C, PO, 4/25/2023		1			1

Series 1998-43, Class EA, PO, 4/25/2023		41			40

Series 1993-54, Class Z, 7.00%, 4/25/2023		8			9

Series 1993-62, Class SA, IF, 18.12%, 4/25/2023 (e)		2			2

Series 1993-122, Class M, 6.50%, 7/25/2023		2			2

Series 1996-14, Class SE, IF, IO, 9.00%, 8/25/2023 (e)		18			2

Series 1993-178, Class PK, 6.50%, 9/25/2023		4			5

Series 1993-165, Class SD, IF, 12.66%, 9/25/2023 (e)		1			1

Series 1993-183, Class KA, 6.50%, 10/25/2023		63			67

Series 1993-189, Class PL, 6.50%, 10/25/2023		24			26

Series 1994-9, Class E, PO, 11/25/2023		—	(f)		—	(f)

Series 1993-247, Class SA, HB, IF, 26.42%, 12/25/2023 (e)		6			8

Series G95-1, Class C, 8.80%, 1/25/2025		3			3

Series 2005-121, Class DX, 5.50%, 1/25/2026		172			184

Series 1997-20, IO, 1.84%, 3/25/2027 (e)		5			—	(f)

Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (e)		6			—	(f)

Series 1997-27, Class J, 7.50%, 4/18/2027		7			8

Series 1997-29, Class J, 7.50%, 4/20/2027		9			10

Series 1997-39, Class PD, 7.50%, 5/20/2027		21			24

Series 2012-47, Class HF, 2.03%, 5/25/2027 (e)		88			88

Series 1997-81, Class PI, IO, 7.00%, 12/18/2027		5			1

Series 1998-36, Class ZB, 6.00%, 7/18/2028		4			4

Series 2000-2, Class ZE, 7.50%, 2/25/2030		39			45

Series 2001-33, Class ID, IO, 6.00%, 7/25/2031		26			5

Series 2001-36, Class DE, 7.00%, 8/25/2031		34			40

Series 2001-49, Class Z, 6.50%, 9/25/2031		6			7

Series 2001-44, Class PD, 7.00%, 9/25/2031		7			9


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2003-52, Class SX, IF, 18.07%, 10/25/2031 (e)		9		14

Series 2004-74, Class SW, IF, 12.18%, 11/25/2031 (e)		23		32

Series 2001-81, Class LO, PO, 1/25/2032		5		4

Series 2002-1, Class SA, IF, 19.90%, 2/25/2032 (e)		3		5

Series 2002-21, Class PE, 6.50%, 4/25/2032		18		21

Series 2002-28, Class PK, 6.50%, 5/25/2032		18		21

Series 2002-37, Class Z, 6.50%, 6/25/2032		23		26

Series 2004-61, Class SH, IF, 17.48%, 11/25/2032 (e)		26		40

Series 2003-22, Class UD, 4.00%, 4/25/2033		81		90

Series 2003-34, Class GE, 6.00%, 5/25/2033		175		199

Series 2003-39, IO, 6.00%, 5/25/2033 (e)		5		1

Series 2003-47, Class PE, 5.75%, 6/25/2033		80		90

Series 2003-64, Class SX, IF, 9.61%, 7/25/2033 (e)		10		12

Series 2003-71, Class DS, IF, 5.26%, 8/25/2033 (e)		78		89

Series 2005-56, Class TP, IF, 13.27%, 8/25/2033 (e)		49		59

Series 2003-91, Class SD, IF, 9.79%, 9/25/2033 (e)		6		8

Series 2003-116, Class SB, IF, IO, 5.97%, 11/25/2033 (e)		66		13

Series 2006-44, Class P, PO, 12/25/2033		24		22

Series 2003-130, Class SX, IF, 9.03%, 1/25/2034 (e)		3		3

Series 2004-25, Class SA, IF, 15.05%, 4/25/2034 (e)		32		46

Series 2004-46, Class SK, IF, 12.03%, 5/25/2034 (e)		22		30

Series 2004-36, Class SA, IF, 15.05%, 5/25/2034 (e)		47		70

Series 2004-50, Class VZ, 5.50%, 7/25/2034		289		328

Series 2005-74, Class CS, IF, 15.55%, 5/25/2035 (e)		28		35

Series 2005-45, Class DC, IF, 18.35%, 6/25/2035 (e)		47		69

Series 2005-56, Class S, IF, IO, 5.08%, 7/25/2035 (e)		34		8

Series 2005-68, Class PG, 5.50%, 8/25/2035		174		196

Series 2005-73, Class PS, IF, 12.63%, 8/25/2035 (e)		85		114

Series 2005-106, Class US, IF, 18.60%, 11/25/2035 (e)		56		82

Series 2006-27, Class OH, PO, 4/25/2036		46		43


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


Series 2006-65, Class QO, PO, 7/25/2036		24		22

Series 2006-56, Class FC, 1.92%, 7/25/2036 (e)		152		151

Series 2006-79, Class DO, PO, 8/25/2036		28		26

Series 2006-77, Class PC, 6.50%, 8/25/2036		52		60

Series 2006-110, PO, 11/25/2036		44		41

Series 2006-124, Class HB, 3.83%, 11/25/2036 (e)		66		69

Series 2007-14, Class ES, IF, IO, 4.81%, 3/25/2037 (e)		33		6

Series 2007-81, Class GE, 6.00%, 8/25/2037		76		86

Series 2007-79, Class SB, IF, 18.05%, 8/25/2037 (e)		30		51

Series 2007-88, Class VI, IF, IO, 4.91%, 9/25/2037 (e)		81		17

Series 2007-91, Class ES, IF, IO, 4.83%, 10/25/2037 (e)		229		46

Series 2007-106, Class A7, 6.18%, 10/25/2037 (e)		29		33

Series 2007-116, Class HI, IO, 1.77%, 1/25/2038 (e)		40		2

Series 2008-16, Class IS, IF, IO, 4.57%, 3/25/2038 (e)		10		1

Series 2008-10, Class XI, IF, IO, 4.60%, 3/25/2038 (e)		20		4

Series 2008-28, Class QS, IF, 15.82%, 4/25/2038 (e)		24		35

Series 2008-46, Class HI, IO, 1.89%, 6/25/2038 (e)		36		2

Series 2013-25, Class DC, 2.50%, 6/25/2039		309		317

Series 2009-69, PO, 9/25/2039		42		38

Series 2009-103, Class MB, 4.36%, 12/25/2039 (e)		52		55

Series 2010-71, Class HJ, 5.50%, 7/25/2040		136		159

Series 2011-118, Class MT, 7.00%, 11/25/2041		148		180

Series 2011-118, Class NT, 7.00%, 11/25/2041		136		162

Series 2013-101, Class DO, PO, 10/25/2043		250		228

Series 2013-128, PO, 12/25/2043		238		219

Series 2019-65, Class PA, 2.50%, 5/25/2048		344		353

FNMA, REMIC Trust Series 2006-72, Class GO, PO, 8/25/2036		35		33

FNMA, REMIC Trust, Whole Loan

Series 2007-W7, Class 1A4, HB, IF, 29.21%, 7/25/2037 (e)		7		13

Series 2003-W4, Class 2A, 5.78%, 10/25/2042 (e)		14		16


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2003-W1, Class 1A1, 5.27%, 12/25/2042 (e)		75			84

FNMA, STRIPS

Series 218, Class 2, IO, 7.50%, 4/25/2023		—	(f)		—	(f)

Series 300, Class 1, PO, 9/25/2024		17			16

Series 329, Class 1, PO, 1/25/2033		4			4

GNMA

Series 2010-14, Class AO, PO, 12/20/2032		11			10

Series 2003-24, PO, 3/16/2033		7			7

Series 2003-40, Class TJ, 6.50%, 3/20/2033		164			185

Series 2003-52, Class AP, PO, 6/16/2033		42			39

Series 2004-28, Class S, IF, 15.10%, 4/16/2034 (e)		12			18

Series 2004-73, Class AE, IF, 11.43%, 8/17/2034 (e)		9			10

Series 2004-71, Class SB, HB, IF, 21.38%, 9/20/2034 (e)		21			34

Series 2004-90, Class SI, IF, IO, 4.45%, 10/20/2034 (e)		125			17

Series 2005-68, Class DP, IF, 12.44%, 6/17/2035 (e)		25			31

Series 2005-68, Class KI, IF, IO, 4.65%, 9/20/2035 (e)		228			51

Series 2006-38, Class ZK, 6.50%, 8/20/2036		374			425

Series 2006-59, Class SD, IF, IO, 5.05%, 10/20/2036 (e)		25			5

Series 2007-17, Class JI, IF, IO, 5.15%, 4/16/2037 (e)		94			18

Series 2007-27, Class SA, IF, IO, 4.55%, 5/20/2037 (e)		114			14

Series 2007-45, Class QA, IF, IO, 4.99%, 7/20/2037 (e)		100			13

Series 2007-40, Class SB, IF, IO, 5.10%, 7/20/2037 (e)		162			27

Series 2007-50, Class AI, IF, IO, 5.13%, 8/20/2037 (e)		85			15

Series 2007-53, Class ES, IF, IO, 4.90%, 9/20/2037 (e)		27			4

Series 2007-53, Class SW, IF, 15.26%, 9/20/2037 (e)		21			28

Series 2009-79, Class OK, PO, 11/16/2037		83			78

Series 2007-76, Class SA, IF, IO, 4.88%, 11/20/2037 (e)		52			7

Series 2007-72, Class US, IF, IO, 4.90%, 11/20/2037 (e)		51			8

Series 2009-106, Class ST, IF, IO, 4.35%, 2/20/2038 (e)		175			26

Series 2008-33, Class XS, IF, IO, 6.04%, 4/16/2038 (e)		34			6


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


Series 2008-40, Class SA, IF, IO, 4.74%, 5/16/2038 (e)		103		18

Series 2008-55, Class SA, IF, IO, 4.55%, 6/20/2038 (e)		63		11

Series 2008-50, Class KB, 6.00%, 6/20/2038		127		149

Series 2008-93, Class AS, IF, IO, 4.05%, 12/20/2038 (e)		69		8

Series 2009-6, Class SA, IF, IO, 4.44%, 2/16/2039 (e)		21		3

Series 2009-31, Class TS, IF, IO, 4.65%, 3/20/2039 (e)		72		5

Series 2009-14, Class NI, IO, 6.50%, 3/20/2039		31		8

Series 2009-22, Class SA, IF, IO, 4.62%, 4/20/2039 (e)		90		10

Series 2009-92, Class ZC, 5.00%, 10/20/2039		532		616

Series 2011-137, Class WA, 5.56%, 7/20/2040 (e)		218		256

Series 2010-105, Class B, 5.00%, 8/20/2040		713		815

Series 2010-130, Class CP, 7.00%, 10/16/2040		57		69

Series 2013-91, Class WA, 4.48%, 4/20/2043 (e)		407		447

Series 2012-H24, Class FA, 2.18%, 3/20/2060 (e)		5		5

Series 2013-H03, Class FA, 2.03%, 8/20/2060 (e)		1		1

Series 2012-H21, Class DF, 2.38%, 5/20/2061 (e)		6		6

Series 2012-H26, Class MA, 2.28%, 7/20/2062 (e)		7		7

Series 2012-H29, Class FA, 2.25%, 10/20/2062 (e)		453		453

Series 2014-H15, Class FA, 2.23%, 7/20/2064 (e)		618		619

Series 2014-H17, Class FC, 2.23%, 7/20/2064 (e)		560		561

Series 2015-H15, Class FJ, 2.17%, 6/20/2065 (e)		575		575

Series 2015-H18, Class FA, 2.18%, 6/20/2065 (e)		445		444

Series 2015-H20, Class FA, 2.20%, 8/20/2065 (e)		532		532

Series 2015-H26, Class FG, 2.25%, 10/20/2065 (e)		620		621

GSR Mortgage Loan Trust Series 2006-1F, Class 1A3, 5.50%, 2/25/2036		60		77

Impac Secured Assets CMN Owner Trust

Series 2002-2, Class APO, PO, 4/25/2033 ‡		1		1


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

JP Morgan Mortgage Trust

Series 2003-A1, Class 1A1, 3.64%, 10/25/2033 (e)		170			175

Series 2006-A2, Class 5A3, 4.11%, 11/25/2033 (e)		44			46

Series 2006-A2, Class 4A1, 4.68%, 8/25/2034 (e)		13			14

MASTR Adjustable Rate Mortgages Trust

Series 2004-13, Class 2A1, 4.58%, 4/21/2034 (e)		40			41

Series 2004-3, Class 4A2, 3.72%, 4/25/2034 (e)		9			9

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		14			14

Series 2004-4, Class 10A1, 5.00%, 5/25/2024		117			119

Series 2003-9, Class 8A1, 6.00%, 1/25/2034		80			82

Series 2004-7, Class 30PO, PO, 8/25/2034 ‡		8			7

MASTR Asset Securitization Trust Series 2004-8, PO, 8/25/2019 ‡		—	(f)		—	(f)

MASTR Resecuritization Trust Series 2005-PO, Class 3PO, PO, 5/28/2035 ‡ (b)		8			7

Merrill Lynch Mortgage Investors Trust

Series 2003-E, Class A1, 2.25%, 10/25/2028 (e)		94			95

Series 2004-A, Class A1, 2.09%, 4/25/2029 (e)		28			28

NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (e)		34			35

NCUA Guaranteed Notes Trust Series 2010-R3, Class 3A, 2.40%, 12/8/2020		8			8

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			7

Series 2003-A1, Class A2, 6.00%, 5/25/2033		17			18

RALI Trust

Series 2002-QS16, Class A3, IF, 13.22%, 10/25/2017 (e)		—	(f)		—	(f)

Series 2003-QS9, Class A3, IF, IO, 5.92%, 5/25/2018 ‡ (e)		1			—	(f)

Series 2004-QS3, Class CB, 5.00%, 3/25/2019		—	(f)		1


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


Reperforming Loan REMIC Trust Series 2005-R1, Class 2APO, PO, 3/25/2035 ‡ (b)		45			34

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		546			594

Series 2019-3, Class M55D, 4.00%, 10/25/2058		103			112

Series 2019-4, Class M55D, 4.00%, 2/25/2059		357			387

Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028		423			451

Vendee Mortgage Trust

Series 1993-1, Class ZB, 7.25%, 2/15/2023		95			101

Series 1994-1, Class 1, 5.27%, 2/15/2024 (e)		65			69

Series 1996-1, Class 1Z, 6.75%, 2/15/2026		119			134

Series 1996-2, Class 1Z, 6.75%, 6/15/2026		39			44

Series 1997-1, Class 2Z, 7.50%, 2/15/2027		174			197

Series 1998-1, Class 2E, 7.00%, 3/15/2028		42			48

WaMu Mortgage Pass-Through Certificates Trust

Series 2003-AR5, Class A7, 4.63%, 6/25/2033 (e)		37			37

Series 2004-AR3, Class A2, 4.47%, 6/25/2034 (e)		20			21

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class CB7, 5.50%, 6/25/2035		109			109

Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2003-MS7, Class P, PO, 3/25/2033 ‡		—	(f)		—	(f)


Total Collateralized Mortgage Obligations (Cost $21,195)					22,612

Mortgage-Backed Securities — 11.5%

FHLMC

Pool # 785618, ARM, 4.50%, 7/1/2026 (e)		8			8

Pool # 611141, ARM, 4.15%, 1/1/2027 (e)		9			9

Pool # 1B2656, ARM, 3.66%, 12/1/2034 (e)		37			39

Pool # 1G2557, ARM, 4.88%, 6/1/2036 (e)		68			72

Pool # 1A1085, ARM, 3.79%, 8/1/2036 (e)		70			73

Pool # 1Q0105, ARM, 4.34%, 9/1/2036 (e)		25			26

Pool # 1B7242, ARM, 4.51%, 9/1/2036 (e)		50			53

Pool # 1Q0737, ARM, 4.05%, 11/1/2036 (e)		25			26

Pool # 1N1511, ARM, 3.67%, 1/1/2037 (e)		35			37

Pool # 1J1543, ARM, 5.48%, 2/1/2037 (e)		12			13


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

Pool # 1Q0739, ARM, 3.89%, 3/1/2037 (e)		33			35

Pool # 1Q0722, ARM, 4.59%, 4/1/2038 (e)		28			30

FHLMC Gold Pools, 15 Year Pool # G12825, 6.50%, 3/1/2022		3			3

FHLMC Gold Pools, 20 Year Pool # C90985, 6.50%, 8/1/2026		8			8

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		2			3

Pool # G00981, 8.50%, 7/1/2028		5			6

Pool # A17537, 6.00%, 1/1/2034		25			30

Pool # G02682, 7.00%, 2/1/2037		20			23

Pool # Q58054, 4.50%, 11/1/2046		312			344

FHLMC Gold Pools, Other

Pool # G20027, 10.00%, 10/1/2030		7			8

Pool # U80336, 3.50%, 5/1/2033		375			395

Pool # U90690, 3.50%, 6/1/2042		224			238

Pool # U90975, 4.00%, 6/1/2042		203			219

Pool # U91427, 3.50%, 5/1/2043		571			608

FNMA

Pool # 54844, ARM, 2.72%, 9/1/2027 (e)		2			3

Pool # 303532, ARM, 4.07%, 3/1/2029 (e)		2			2

Pool # 745446, ARM, 4.06%, 4/1/2033 (e)		32			34

Pool # 746299, ARM, 4.06%, 9/1/2033 (e)		47			49

Pool # 743546, ARM, 3.49%, 11/1/2033 (e)		39			41

Pool # 735332, ARM, 4.38%, 8/1/2034 (e)		48			51

Pool # 790964, ARM, 3.84%, 9/1/2034 (e)		28			30

Pool # 896463, ARM, 4.57%, 10/1/2034 (e)		51			54

Pool # 810896, ARM, 3.49%, 1/1/2035 (e)		36			38

Pool # 816361, ARM, 3.50%, 1/1/2035 (e)		96			101

Pool # 816594, ARM, 3.42%, 2/1/2035 (e)		25			26

Pool # 816597, ARM, 3.54%, 2/1/2035 (e)		12			12

Pool # 745862, ARM, 4.57%, 4/1/2035 (e)		29			30

Pool # 843026, ARM, 3.55%, 9/1/2035 (e)		53			55

Pool # 832801, ARM, 3.73%, 9/1/2035 (e)		61			64

Pool # 920340, ARM, 4.50%, 2/1/2036 (e)		40			42

Pool # 886558, ARM, 4.11%, 8/1/2036 (e)		12			13

Pool # 893424, ARM, 3.84%, 9/1/2036 (e)		39			41

Pool # 913984, ARM, 3.36%, 2/1/2037 (e)		15			16

Pool # 915645, ARM, 3.93%, 2/1/2037 (e)		43			45

Pool # 887094, ARM, 4.66%, 7/1/2046 (e)		51			54

FNMA UMBS, 15 Year

Pool # 735911, 6.50%, 8/1/2020		—	(f)		—	(f)

Pool # 745406, 6.00%, 3/1/2021		5			5


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


Pool # 995381, 6.00%, 1/1/2024		19			20

FNMA UMBS, 20 Year Pool # 254305, 6.50%, 5/1/2022		12			13

FNMA UMBS, 30 Year

Pool # 70825, 8.00%, 3/1/2021		—	(f)		—	(f)

Pool # 189190, 7.50%, 11/1/2022		1			1

Pool # 250066, 8.00%, 5/1/2024		—	(f)		—	(f)

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		6			7

Pool # 313687, 7.00%, 9/1/2027		1			2

Pool # 755973, 8.00%, 11/1/2028		10			12

Pool # 598559, 6.50%, 8/1/2031		13			15

Pool # 995409, 8.00%, 11/1/2032		125			150

Pool # 675555, 6.00%, 12/1/2032		26			29

Pool # 674349, 6.00%, 3/1/2033		12			13

Pool # 702901, 6.00%, 5/1/2033		41			47

Pool # 721535, 5.00%, 7/1/2033		66			76

Pool # 723852, 5.00%, 7/1/2033		24			27

Pool # 729296, 5.00%, 7/1/2033		45			51

Pool # 713700, 4.50%, 8/1/2033		26			28

Pool # 737825, 6.00%, 9/1/2033		9			10

Pool # 725027, 5.00%, 11/1/2033		42			48

Pool # 725017, 5.50%, 12/1/2033		42			48

Pool # AA0922, 6.00%, 9/1/2036		58			67

Pool # 986648, 6.00%, 9/1/2037		29			34

Pool # AD9151, 5.00%, 8/1/2040		171			193

Pool # BM3375, 4.00%, 1/1/2048		322			350

Pool # BK8753, 4.50%, 6/1/2049		483			525

FNMA, 30 Year

Pool # 252409, 6.50%, 3/1/2029		10			11

Pool # 752786, 6.00%, 9/1/2033		10			12

FNMA, Other

Pool # AL0569, 4.26%, 6/1/2021 (e)		211			218

Pool # AM8317, 2.96%, 3/1/2025		184			196

Pool # AN2309, 2.21%, 7/1/2026		467			487

Pool # AM6381, 3.29%, 8/1/2026		1,000			1,099

Pool # AM7485, 3.24%, 12/1/2026		1,000			1,102

Pool # AM7515, 3.34%, 2/1/2027		500			551

Pool # BL1211, 4.01%, 2/1/2027		199			227

Pool # AM8529, 3.03%, 4/1/2027		1,000			1,091

Pool # AM8432, 2.79%, 5/1/2027		1,000			1,077

Pool # BL1040, 3.81%, 12/1/2028		150			174

Pool # BL0907, 3.88%, 12/1/2028		300			347


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

Pool # AM6892, 3.76%, 9/1/2029		230			266

Pool # BM4162, 3.20%, 10/1/2029 (e)		297			326

Pool # BL4333, 2.52%, 11/1/2029		400			427

Pool # 109707, 3.80%, 9/1/2033		238			271

Pool # 888408, 6.00%, 3/1/2037		29			34

Pool # 257172, 5.50%, 4/1/2038		9			10

Pool # MA1125, 4.00%, 7/1/2042		366			394

FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 3.00%, 4/25/2049 (h)		500			514

GNMA I, 30 Year

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

Pool # 352108, 7.00%, 8/15/2023		—	(f)		—	(f)

Pool # 363030, 7.00%, 9/15/2023		17			18

Pool # 352022, 7.00%, 11/15/2023		1			1

Pool # 366706, 6.50%, 1/15/2024		6			7

Pool # 371281, 7.00%, 2/15/2024		5			5

Pool # 782507, 9.50%, 10/15/2024		1			2

Pool # 780029, 9.00%, 11/15/2024		—	(f)		—	(f)

Pool # 780965, 9.50%, 12/15/2025		1			1

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		35			39

Pool # 486537, 7.50%, 9/15/2028		3			3

Pool # 466406, 6.00%, 11/15/2028		22			24

Pool # 607645, 6.50%, 2/15/2033		10			11

Pool # 781614, 7.00%, 6/15/2033		17			20

Pool # 782615, 7.00%, 6/15/2035		49			58

Pool # 782025, 6.50%, 12/15/2035		60			71

Pool # 681638, 6.00%, 12/15/2038		68			75

GNMA II, 30 Year

Pool # 1974, 8.50%, 3/20/2025		—	(f)		1

Pool # 1989, 8.50%, 4/20/2025		3			3

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		13			14

Pool # 2606, 8.00%, 6/20/2028		1			1


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


Pool # 2633, 8.00%, 8/20/2028		—	(f)		—	(f)

Pool # 2646, 7.50%, 9/20/2028		3			3

Pool # 4245, 6.00%, 9/20/2038		72			83

Pool # BA7567, 4.50%, 5/20/2048		299			318

Pool # BI0416, 4.50%, 11/20/2048		346			369

Pool # BM9692, 4.50%, 7/20/2049		198			214

Pool # BQ3224, 4.50%, 9/20/2049		496			542

GNMA II, Other

Pool # AD0860, 3.50%, 11/20/2033		400			419


Total Mortgage-Backed Securities (Cost $15,087)					16,043

Asset-Backed Securities — 9.5%

ACC Trust Series 2019-2, Class A, 2.82%, 2/21/2023 (b)		123			124

Ally Auto Receivables Trust

Series 2018-2, Class A3, 2.92%, 11/15/2022		216			219

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		94			99

Series 2016-3, Class AA, 3.00%, 10/15/2028		71			76

American Credit Acceptance Receivables Trust

Series 2018-3, Class B, 3.49%, 6/13/2022 (b)		20			20

Series 2019-1, Class A, 3.06%, 7/12/2022 (b)		28			28

Series 2019-4, Class B, 2.43%, 10/12/2023 (b)		135			137

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		30			30

Series 2018-1, Class A3, 3.07%, 12/19/2022		98			99

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			254

Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (b)		100			102

B2R Mortgage Trust Series 2015-2, Class A, 3.34%, 11/15/2048 (b)		50			50

BA Credit Card Trust Series 2019-A1, Class A1, 1.74%, 1/15/2025		230			233

British Airways Pass-Through Trust (United Kingdom) Series 2018-1, Class AA, 3.80%, 9/20/2031 (b)		62			69


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

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		226

Series 2020-1, Class A3, 1.89%, 12/16/2024		87		88

Carvana Auto Receivables Trust Series 2019-2A, Class A3, 2.58%, 3/15/2023 (b)		350		353

Continental Airlines Pass-Through Trust Series 1999-2, Class A-1, 7.26%, 3/15/2020		2		2

CoreVest American Finance Trust Series 2019-3, Class A, 2.71%, 10/15/2052 (b)		100		103

CPS Auto Receivables Trust

Series 2015-B, Class C, 4.20%, 5/17/2021 (b)		191		192

Series 2015-C, Class D, 4.63%, 8/16/2021 (b)		200		202

Series 2019-D, Class A, 2.17%, 12/15/2022 (b)		81		81

Series 2020-A, Class A, 2.09%, 5/15/2023 (b)		96		96

CPS Auto Trust Series 2018-C, Class A, 2.87%, 9/15/2021 (b)		2		2

Credit Acceptance Auto Loan Trust

Series 2018-2A, Class A, 3.47%, 5/17/2027 (b)		250		254

Series 2019-3A, Class A, 2.38%, 11/15/2028 (b)		250		254

Series 2020-1A, Class A, 2.01%, 2/15/2029 (b)		250		253

CVS Pass-Through Trust 5.93%, 1/10/2034 (b)		43		51

Drive Auto Receivables Trust

Series 2019-1, Class A3, 3.18%, 10/17/2022		127		127

Series 2018-4, Class B, 3.36%, 10/17/2022		37		37

Series 2019-4, Class A3, 2.16%, 5/15/2023		50		51

Series 2020-1, Class A3, 2.02%, 11/15/2023		42		42

Series 2018-2, Class C, 3.63%, 8/15/2024		74		75

DT Auto Owner Trust Series 2019-1A, Class A, 3.08%, 9/15/2022 (b)		32		32

Exeter Automobile Receivables Trust

Series 2016-1A, Class C, 5.52%, 10/15/2021 (b)		16		16

Series 2019-4A, Class A, 2.18%, 1/17/2023 (b)		182		183

Series 2020-1A, Class A, 2.05%, 6/15/2023 (b)		84		84

Federal Express Corp. Pass-Through Trust Series 1998, 6.72%, 1/15/2022		113		119


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


First Investors Auto Owner Trust

Series 2015-2A, Class D, 4.22%, 12/15/2021 (b)		96		97

Series 2018-1A, Class A2, 3.22%, 1/17/2023 (b)		68		68

Series 2019-1A, Class A, 2.89%, 3/15/2024 (b)		58		58

Flagship Credit Auto Trust

Series 2015-3, Class C, 4.65%, 3/15/2022 (b)		93		94

Series 2016-1, Class C, 6.22%, 6/15/2022 (b)		400		409

Series 2018-2, Class A, 2.97%, 10/17/2022 (b)		53		53

Series 2018-3, Class A, 3.07%, 2/15/2023 (b)		39		39

Series 2019-4, Class C, 2.77%, 12/15/2025 (b)		105		108

Ford Credit Auto Lease Trust

Series 2018-B, Class A4, 3.30%, 2/15/2022		88		89

Series 2019-A, Class A3, 2.90%, 5/15/2022		115		116

Series 2020-A, Class A3, 1.85%, 3/15/2023		55		56

FREED ABS Trust Series 2020-FP1, Class A, 2.52%, 3/18/2027 (b)		100		100

GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (e)		18		16

GM Financial Automobile Leasing Trust

Series 2018-2, Class A3, 3.06%, 6/21/2021		74		75

Series 2018-3, Class A3, 3.18%, 6/21/2021		94		95

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		135

GMAT Trust Series 2013-1A, Class A, 6.97%, 11/25/2043 ‡ (b) (g)		1		1

Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b)		28		28

Honda Auto Receivables Owner Trust

Series 2017-3, Class A3, 1.79%, 9/20/2021		25		25

Series 2018-2, Class A3, 3.01%, 5/18/2022		128		129

Series 2019-4, Class A3, 1.83%, 1/18/2024		180		183

Hyundai Auto Lease Securitization Trust

Series 2018-B, Class A4, 3.20%, 6/15/2022 (b)		127		129

Series 2019-A, Class A3, 2.98%, 7/15/2022 (b)		340		345


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

Hyundai Auto Receivables Trust

Series 2017-B, Class A3, 1.77%, 1/18/2022		95		95

Series 2018-A, Class A3, 2.79%, 7/15/2022		78		79

Kabbage Funding LLC Series 2019-1, Class A, 3.83%, 3/15/2024 (b)		150		153

LV Tower 52 Issuer Series 2013-1, Class A, 5.75%, 7/15/2019 ‡ (b)		869		872

Mercedes-Benz Auto Lease Trust

Series 2019-A, Class A3, 3.10%, 11/15/2021		40		40

Series 2019-B, Class A3, 2.00%, 10/17/2022		50		50

Series 2020-A, Class A3, 1.84%, 12/15/2022		68		69

OneMain Direct Auto Receivables Trust Series 2018-1A, Class A, 3.43%, 12/16/2024 (b)		164		167

Oportun Funding VIII LLC Series 2018-A, Class A, 3.61%, 3/8/2024 (b)		491		497

Progress Residential Trust

Series 2015-SFR3, Class A, 3.07%, 11/12/2032 ‡ (b)		779		779

Series 2015-SFR3, Class D, 4.67%, 11/12/2032 ‡ (b)		200		201

Santander Drive Auto Receivables Trust

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 (b)		225		229

Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 3.28%, 1/25/2036 ‡ (g)		28		26

Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030		41		44

Synchrony Card Issuance Trust Series 2018-A1, Class A, 3.38%, 9/15/2024		260		268

Tesla Auto Lease Trust Series 2019-A, Class A3, 2.16%, 10/20/2022 (b)		168		170

Toyota Auto Receivables Owner Trust

Series 2020-A, Class A2, 1.67%, 11/15/2022		220		221

Series 2020-A, Class A3, 1.66%, 5/15/2024		180		182

United Airlines Pass-Through Trust Series 2016-2, Class AA, 2.88%, 10/7/2028		107		113

US Auto Funding LLC Series 2019-1A, Class B, 3.99%, 12/15/2022 (b)		100		102

Vericrest Opportunity Loan Trust Series 2020-NPL2, Class A1A, 2.98%, 2/25/2050 ‡ (b) (g)		100		101

Verizon Owner Trust Series 2018-A, Class A1A, 3.23%, 4/20/2023		100		102

VOLT LXXXVII LLC Series 2020-NPL3, Class A1A, 2.98%, 2/25/2050 (b) (g)		149		150


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


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 2020-A, Class A3, 1.70%, 1/17/2023		130		131

Series 2017-B, Class A3, 1.95%, 2/15/2023		74		75

World Omni Automobile Lease Securitization Trust

Series 2018-B, Class A3, 3.19%, 12/15/2021		93		94

Series 2019-A, Class A3, 2.94%, 5/16/2022		125		128


Total Asset-Backed Securities (Cost $13,162)				13,342

Commercial Mortgage-Backed Securities — 5.6%

20 Times Square Trust Series 2018-20TS, Class A, 3.10%, 5/15/2035 (b) (e)		145		152

CD Commercial Mortgage Trust Series 2007-CD4, Class XC, IO, 1.30%, 12/11/2049 ‡ (b) (e)		10		—	(f)

Commercial Mortgage Trust Series 2015-CR25, Class A4, 3.76%, 8/10/2048		281		311

FHLMC, Multi-Family Structured Pass-Through Certificates

Series KF12, Class A, 2.36%, 9/25/2022 (e)		87		87

Series KSMC, Class A2, 2.62%, 1/25/2023		500		517

Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (e)		500		545

Series KLU2, Class A7, 2.23%, 9/25/2025 (e)		350		360

Series K737, Class AM, 2.10%, 10/25/2026		305		314

Series K069, Class A2, 3.19%, 9/25/2027 (e)		500		552

Series K081, Class A1, 3.88%, 2/25/2028		116		129

Series K083, Class A2, 4.05%, 9/25/2028 (e)		297		351

Series K088, Class A2, 3.69%, 1/25/2029		480		555

FNMA ACES

Series 2010-M3, Class A3, 4.33%, 3/25/2020 (e)		9		9

Series 2015-M17, Class FA, 2.69%, 11/25/2022 (e)		150		151

Series 2014-M2, Class A2, 3.51%, 12/25/2023 (e)		505		537

Series 2014-M13, Class A2, 3.02%, 8/25/2024 (e)		636		675

Series 2015-M7, Class A2, 2.59%, 12/25/2024		808		844

Series 2018-M2, Class A2, 2.90%, 1/25/2028 (e)		500		546

Series 2018-M13, Class A1, 3.70%, 3/25/2030 (e)		223		254

MRCD Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b)		200		209

UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b)		116		120

UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class A4, 3.53%, 5/10/2063		104		108


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

VNDO Mortgage Trust Series 2013-PENN, Class A, 3.81%, 12/13/2029 (b)		500		505


Total Commercial Mortgage-Backed Securities (Cost $7,338)				7,831

U.S. Government Agency Securities — 0.3%

Resolution Funding Corp. STRIPS

1.80%, 7/15/2020 (a)		250		249

DN, 3.10%, 1/15/2026 (a)		60		55

DN, 2.86%, 10/15/2027 (a)		80		72


Total U.S. Government Agency Securities (Cost $365)				376

Foreign Government Securities — 0.2%

United Mexican States (Mexico) 3.63%, 3/15/2022 (Cost $248)		244		254


INVESTMENTS	SHARES (000)		VALUE ($000)
Short-Term Investments — 1.7%

Investment Companies — 1.7%

JPMorgan Prime Money Market Fund Class Institutional Shares, 1.62% (i) (j) (Cost $2,363)		2,363		2,364

Total Investments — 100.3% (Cost $133,208)				140,434
Liabilities in Excess of Other Assets — (0.3)%				(432	)

NET ASSETS — 100.0%				140,002

Percentages indicated are based on net assets.


ACES		Alternative Credit Enhancement Securities
ARM		Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 29, 2020.
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 or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of February 29, 2020. 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
SOFR		Secured Overnight Financing Rate
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.
TBA		To Be Announced; Security is subject to delayed delivery
UMBS		Uniform Mortgage-Backed Securities
USD		United States Dollar

(a)		The rate shown is the effective yield as of February 29, 2020.
(b)		Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(c)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020.
(d)		Amount rounds to less than 0.1% of net assets.
(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 February 29, 2020.
(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 February 29, 2020.
(h)		All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(i)		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.
(j)		The rate shown is the current yield as of February 29, 2020.
‡		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, accordingly, 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued 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 the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for 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 (“Underlying Funds”) are valued at each Underlying Fund’s net asset value (“NAV”) per share as of the report date.

See the tables on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Funds at February 29, 2020.

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 February 29, 2020, 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.

There were no significant transfers into or out of level 3 for the year ended February 29, 2020 for Core Bond Trust.

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

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 February 29, 2020, 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 — The Funds purchased when-issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of

securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until settlement date.

The Funds had TBA purchase commitments, when-issued securities, forward commitments or delayed delivery securities outstanding as of February 29, 2020, 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 February 29, 2020 are detailed in the SOIs.

D. Securities Lending —The Funds are 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 the Class IM Shares of the JPMorgan U.S. Government 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.

The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of February 29, 2020 (amounts in thousands).

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 0.15% to 0.06%. For the year ended February 29, 2020, 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).

Intermediate Bond Trust did not have any securities out on loan at February 29, 2020.

E. 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. Amounts in the tables below are in thousands.

F. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.

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

H. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of February 29, 2020, 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 Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

I. Distributions to Shareholders — Distributions from net investment income, 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.

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

J. Recent Accounting Pronouncement — 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.

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, the Administrator receives a fee accrued daily and paid monthly at a rate of 0.10% of the Funds’ average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

C. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.

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 year ended February 29, 2020, and are in place until at least until June 30, 2020.

For the year ended February 29, 2020, 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 year ended February 29, 2020 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 year ended February 29, 2020, 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 year ended February 29, 2020, 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 February 29, 2020 were as follows (amounts in thousands):

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to callable bonds.

The tax character of distributions paid during the year ended February 29, 2020 was as follows (amounts in thousands):

The tax character of distributions paid during the year ended February 28, 2019 was as follows (amounts in thousands):

As of February 29, 2020, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

As of February 29, 2020, the following Fund had the following net capital loss carryforwards (amounts in thousands):

During the year ended February 29, 2020, the following Funds utilized capital loss carryforwards as follows (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 year ended February 29, 2020.

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 2, 2020.

The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended February 29, 2020.

The 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 London InterBank Offered Rate (“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 year ended February 29, 2020.

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. However, based on experience, the Funds expect the risk of loss to be remote.

As of February 29, 2020, Intermediate Bond Trust had four individual shareholder and/or non-affiliated omnibus accounts, which represented 66.1% of the Fund’s outstanding shares. Significant shareholder transactions by these accounts may impact the Fund’s 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. The ability of the issuers of debt to meet their obligations may be affected by 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.

LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of the Funds’ portfolios. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of the Funds and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.

The Funds are subject to infectious disease epidemics/pandemics risk. Recently, the worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.

To the Board of Trustees of JPMorgan Institutional Trust and Shareholders of JPMorgan Core Bond Trust and JPMorgan Intermediate Bond Trust

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Core Bond Trust and JPMorgan Intermediate Bond Trust (constituting JPMorgan Institutional Trust, hereafter collectively referred to as the “Funds”) as of February 29, 2020, the related statements of operations for the year ended February 29, 2020, the statements of changes in net assets for each of the two years in the period ended February 29, 2020, including the related notes, and the financial highlights for each of the five years in the period ended February 29, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 29, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 29, 2020 and each of the financial highlights for each of the five years in the period ended February 29, 2020 in conformity with accounting principles generally accepted in the United States of America.

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included physical inspection of securities owned as of February 29, 2020 and held by the custodian and confirmation of securities owned as of February 29, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.

The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.

The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.

As a shareholder of the Funds, you incur ongoing costs, including investment advisory fees, administration fees, and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Funds at the beginning of the reporting period, September 1, 2019, and continued to hold your shares at the end of the reporting period, February 29, 2020.

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 titled “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.

Each of the Funds has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a Fund could not meet requests to redeem shares issued by a Fund without significant dilution of remaining investors’ interest in the Funds. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquidity Investment Minimum (“HLIM”) established for a Fund and any material changes to the Program.

The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). On February 11, 2020, the Board of Trustees reviewed the Program Administrator’s initial written report (the “Report”) concerning the operation of the Program for the period from December 1, 2018 through December 31, 2019 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.

The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for this limit; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by extended non-U.S. market closures.

Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.

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.

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

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

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

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

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

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

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

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

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

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

(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional

services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.

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

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

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

The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended February 29, 2020 and 2019, respectively.

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

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

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

Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the

“Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.

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

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

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

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

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

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

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

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

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

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

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

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).

(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.

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*		12.32%
Bloomberg Barclays U.S. Aggregate Index		11.68%

Net Assets as of 2/29/2020 (In Thousands)	$	2,059,714
Duration as of 2/29/2020		6.1 years


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2020

	INCEPTION DATE OF FUND		1 YEAR			5 YEAR			10 YEAR
		February 7, 2005		12.32	%		4.16	%		4.67	%


REPORTING PERIOD RETURN:
Fund*		8.79%
Bloomberg Barclays Intermediate U.S. Government/Credit Index		8.81%

Net Assets as of 2/29/2020 (In Thousands)	$	140,002
Duration as of 2/29/2020		3.8 years


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2020

	INCEPTION DATE OF FUND		1 YEAR			5 YEAR			10 YEAR
		February 7, 2005		8.79	%		3.37	%		3.80	%



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			58

Financial Highlights			62

Notes to Financial Statements			66

Report of Independent Registered Public Accounting Firm			77

Trustees			78

Officers			81

Schedule of Shareholder Expenses			82

Liquidity Risk Management Program			83

Tax Letter			84



	JPMorgan Core Bond Trust			JPMorgan Intermediate Bond Trust
ASSETS:
Investments in non-affiliates, at value	$	2,007,324		$	138,070
Investments in affiliates, at value		58,446			2,364
Investment of cash collateral received from securities loaned, at value (See Note 2.D.)		619			—
Cash		951			—
Receivables:
Investment securities sold		79			3
Interest from non-affiliates		8,492			565
Dividends from affiliates		87			4
Securities lending income (See Note 2.D.)		—	(a)		—
Due from adviser		—			4

Total Assets		2,075,998			141,010


LIABILITIES:
Payables:
Due to custodian		—			1
Investment securities purchased		—			437
Investment securities purchased — delayed delivery securities		15,353			512
Collateral received on securities loaned (See Note 2.D.)		619			—
Accrued liabilities:
Investment advisory fees		196			—
Custodian and accounting fees		42			22
Other		74			36

Total Liabilities		16,284			1,008

Net Assets	$	2,059,714		$	140,002


NET ASSETS:
Paid-in-Capital	$	1,897,950		$	133,722
Total distributable earnings (loss)		161,764			6,280

Total Net Assets	$	2,059,714		$	140,002


Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):		190,720			13,755
Net asset value, offering and redemption price per share (b)	$	10.80		$	10.18


Cost of investments in non-affiliates	$	1,854,705		$	130,845
Cost of investments in affiliates		58,434			2,363
Investment securities on loan, at value (See Note 2.D.)		608			—
Cost of investment of cash collateral (See Note 2.D.)		619			—



	JPMorgan Core Bond Trust			JPMorgan Intermediate Bond Trust
INVESTMENT INCOME:
Interest income from non-affiliates	$	65,845		$	4,399
Interest income from affiliates		1			—	(a)
Dividend income from affiliates		1,632			54
Income from securities lending (net) (See Note 2.D.)		—	(a)		—	(a)

Total investment income		67,478			4,453


EXPENSES:
Investment advisory fees		5,715			397
Administration fees		1,996			139
Custodian and accounting fees		192			99
Interest expense to affiliates		1			—	(a)
Professional fees		112			68
Trustees’ and Chief Compliance Officer’s fees		33			26
Printing and mailing costs		12			6
Transfer agency fees		14			1
Other		50			6

Total expenses		8,125			742

Less fees waived		(5,281	)		(532	)
Less expense reimbursements		—			(7	)

Net expenses		2,844			203

Net investment income (loss)		64,634			4,250


REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		22,241			482
Investments in affiliates		(3	)		—	(a)

Net realized gain (loss)		22,238			482

Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		140,626			6,943
Investments in affiliates		8			1

Change in net unrealized appreciation/depreciation		140,634			6,944

Net realized/unrealized gains (losses)		162,872			7,426

Change in net assets resulting from operations	$	227,506		$	11,676


	JPMorgan Core Bond Trust						JPMorgan Intermediate Bond Trust
	Year Ended February 29, 2020			Year Ended February 28, 2019			Year Ended February 29, 2020			Year Ended February 28, 2019
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	64,634		$	70,939		$	4,250		$	4,812
Net realized gain (loss)		22,238			(4,119	)		482			(471	)
Change in net unrealized appreciation/depreciation		140,634			(5,086	)		6,944			486

Change in net assets resulting from operations		227,506			61,734			11,676			4,827


DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders		(72,316	)		(76,166	)		(4,272	)		(4,810	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		284,071			125,604			6,805			—
Distributions reinvested		67,887			71,471			3,357			3,894
Cost of shares redeemed		(323,722	)		(525,157	)		(20,737	)		(22,784	)

Change in net assets resulting from capital transactions		28,236			(328,082	)		(10,575	)		(18,890	)


NET ASSETS:
Change in net assets		183,426			(342,514	)		(3,171	)		(18,873	)
Beginning of period		1,876,288			2,218,802			143,173			162,046

End of period	$	2,059,714		$	1,876,288		$	140,002		$	143,173


SHARE TRANSACTIONS:
Issued		27,289			12,593			688			—
Reinvested		6,512			7,202			338			406
Redeemed		(31,187	)		(52,973	)		(2,110	)		(2,386	)

Change in Shares		2,614			(33,178	)		(1,084	)		(1,980	)


	Per share operating performance
			Investment operations							Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)		Net realized and unrealized gains (losses) on investments			Total from investment operations		Net investment income			Net realized gain			Total distributions
JPMorgan Core Bond Trust
Year Ended February 29, 2020	$	9.97	$	0.34	$	0.87		$	1.21	$	(0.34	)	$	(0.04	)	$	(0.38	)
Year Ended February 28, 2019		10.03		0.34		(0.03	)		0.31		(0.34	)		(0.03	)		(0.37	)
Year Ended February 28, 2018		10.33		0.35		(0.18	)		0.17		(0.35	)		(0.12	)		(0.47	)
Year Ended February 28, 2017		10.58		0.33		(0.14	)		0.19		(0.34	)		(0.10	)		(0.44	)
Year Ended February 29, 2016		10.69		0.32		(0.07	)		0.25		(0.33	)		(0.03	)		(0.36	)


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

$	10.80		12.32	%	$	2,059,714		0.14	%		3.25	%		0.41	%		32	%
	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


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Asset-Backed Securities	$	—	$	183,825	$	72,411	$	256,236
Collateralized Mortgage Obligations		—		259,132		20,213		279,345
Commercial Mortgage-Backed Securities		—		74,631		4,846		79,477
Corporate Bonds		—		458,365		—		458,365
Foreign Government Securities		—		9,440		—		9,440
Mortgage-Backed Securities		—		356,652		—		356,652
Municipal Bonds		—		13,295		—		13,295
U.S. Government Agency Securities		—		17,068		—		17,068
U.S. Treasury Obligations		—		537,446		—		537,446
Short-Term Investments
Investment Companies		58,446		—		—		58,446
Investment of cash collateral from securities loaned		619		—		—		619

Total Short-Term Investments		59,065		—		—		59,065

Total Investments in Securities	$	59,065	$	1,909,854	$	97,470	$	2,066,389


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 February 29, 2020
Investments in Securities:
Asset-Backed Securities	$	68,402	$	3		$	1,369		$	(105	)	$	39,049		$	(37,669	)	$	1,362	$	—	$	72,411
Collateralized Mortgage Obligations		7,549		—	(a)		836			(783	)		22,148			(9,537	)		—		—		20,213
Commercial Mortgage-Backed Securities		1,973		—			384			(154	)		2,757			(114	)		—		—		4,846
Corporate Bonds — Capital Markets		53		—			—	(a)		—	(a)		—			(53	)		—		—		—

Total	$	77,977	$	3		$	2,589		$	(1,042	)	$	63,954		$	(47,373	)	$	1,362	$	—	$	97,470


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 February 29, 2020
Investments in Securities:
Asset-Backed Securities	$	3,073	$	—	(a)	$	12		$	—	(a)	$	100		$	(1,189	)	$	—	$	—	$	1,996
Collateralized Mortgage Obligations		107		—			7			—	(a)		2			(56	)		—		—		60
Commercial Mortgage-Backed Securities		1		—			—	(a)		(1	)		—	(a)		—	(a)		—		—		—	(a)
Corporate Bonds — Capital Markets		4		—	(a)		—	(a)		—	(a)		—	(a)		(4	)		—		—		—

Total	$	3,185	$	—	(a)	$	19		$	(1	)	$	102		$	(1,249	)	$	—	$	—	$	2,056


	Fair Value at February 29, 2020		Valuation Technique(s)	Unobservable Input	Range (Weighted Average) (a)
	$	61,852	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 35.00% (9.28%)
				Constant Default Rate		0.00% - 20.00% (0.04%)
				Yield (Discount Rate of Cash Flows)		1.89% - 6.92% (2.79%)

Asset-Backed Securities		61,852

		7,017	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 100.00% (34.18%)
				Constant Default Rate		0.00% - 4.92% (1.64%)
				Yield (Discount Rate of Cash Flows)		0.37% - 58.91% (8.18%)

Collateralized Mortgage Obligations		7,017

		4,839	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 100.00% (3.60%)
				Yield (Discount Rate of Cash Flows)		-3.92% - 6.64% (2.66%)

Commercial Mortgage-Backed Securities		4,839

Total	$	73,709


	Investment Securities on Loan, at value, Presented on the Statements of Assets and Liabilities		Cash Collateral Posted by Borrower*			Net Amount Due to Counterparty (not less than zero)
Core Bond Trust	$	608	$	(608	)	$	—



FEBRUARY 29, 2020	JPMORGAN INSTITUTIONAL TRUST FUNDS	1



2	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 29, 2020



FEBRUARY 29, 2020	JPMORGAN INSTITUTIONAL TRUST FUNDS	3



4	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 29, 2020


For the year ended February 29, 2020
Security Description	Value at February 28, 2019		Purchases at Cost		Proceeds from Sales		Net Realized Gain (Loss)			Change in Unrealized Appreciation/ (Depreciation)		Value at February 29, 2020		Shares at February 29, 2020		Dividend Income			Capital Gain Distributions
JPMorgan Prime Money Market Fund Class Institutional Shares, 1.62% (a) (b)	$	38,750	$	583,811	$	564,120	$	(3	)	$	8	$	58,446		58,417	$	1,632		$	—
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.51% (a) (b)		—		4,817		4,198		—			—		619		619		3	*		—

Total	$	38,750	$	588,628	$	568,318	$	(3	)	$	8	$	59,065			$	1,635		$	—


	Paid-in-Capital		Accumulated undistributed (distributions in excess of) net investment income			Accumulated net realized gains (losses)
Core Bond Trust	$	797	$	(787	)	$	(10	)
Intermediate Bond Trust		95		(94	)		(1	)


	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	$	3,139	$	1,990	$	5,129	$	—
Intermediate Bond Trust		388		139		527		7


	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Purchases of U.S. Government		Sales of U.S. Government
Core Bond Trust	$	430,367	$	442,131	$	178,588	$	171,152
Intermediate Bond Trust		16,987		32,144		14,425		11,343


	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Core Bond Trust	$	1,914,815	$	155,151	$	3,577	$	151,574
Intermediate Bond Trust		133,289		7,190		45		7,145


	Ordinary Income*		Net Long-Term Capital Gains		Total Distributions Paid
Core Bond Trust	$	64,686	$	7,630	$	72,316
Intermediate Bond Trust		4,272		—		4,272


	Current Distributable Ordinary Income		Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover)			Unrealized Appreciation (Depreciation)
Core Bond Trust	$	1,775	$	9,286		$	150,779
Intermediate Bond Trust		25		(760	)		7,050


	Capital Loss Carryforward Character
	Short-Term		Long-Term
Intermediate Bond Trust	$	760	$	—


	Capital Loss Utilized
	Short-Term		Long-Term
Core Bond Trust	$	638	$	—
Intermediate Bond Trust		320		37


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

John F. Finn (1947); Chairman since 2020; Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present).	127	Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).

Stephen P. Fisher (1959); Trustee of Trust since 2018.	Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies).	127	Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present).

Kathleen M. Gallagher (1958); Trustee of Trust since 2018.	Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016).	127	Non-Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, Fiduciary Solutions, State Street Global Advisors (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016).

Dennis P. Harrington* (1950); Trustee of Trust since 2017.	Retired; Partner, Deloitte LLP (accounting firm) (serving in various roles 1984-2012).	127	None

Frankie D. Hughes (1952); Trustee of Trust since 2008.	President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).	127	None


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

Brian S. Shlissel (1964), President and Principal Executive Officer (2016)		Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (from 2014 to present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (from 1999 to 2014).

Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018)*		Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016.

Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary since 2010)*		Executive Director and Assistant General Counsel, JPMorgan Chase since February 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014.

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

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

Jessica K. Ditullio (1962), Assistant Secretary (2005)**		Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990.

Anthony Geron (1971), Assistant Secretary (2018)*		Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015.

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

Keri E. Riemer (1976), Assistant Secretary (2019)*		Executive Director and Assistant General Counsel, JPMorgan Chase since February 2019; Counsel, Seward & Kissel LLP (law firm) (2016-2019); Associate, Seward & Kissel LLP (2011-2016).

Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)*		Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016.

Michael M. D’Ambrosio (1969), Assistant Treasurer (2012)		Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014.

Aleksandr Fleytekh (1972), Assistant Treasurer (2019)*		Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2012.

Shannon Gaines (1977), Assistant Treasurer (2018)**		Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since January 2014.

Jeffrey D. House (1972), Assistant Treasurer (2017)**		Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006.

Lauren A. Paino (1973), Assistant Treasurer (2014)*		Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013.

Joseph Parascondola (1963), Assistant Treasurer (2011)*		Executive Director, J.P. Morgan Investment Management, Inc. since February 2020, formerly Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) from August 2006 to January 2020.

Gillian I. Sands (1969), Assistant Treasurer (2012)*		Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012.


	Beginning Account Value September 1, 2019		Ending Account Value February 29, 2020		Expenses Paid During the Period*		Annualized Expense Ratio
JPMorgan Core Bond Trust
Actual	$	1,000.00	$	1,033.80	$	0.71		0.14	%
Hypothetical		1,000.00		1,024.17		0.70		0.14

JPMorgan Intermediate Bond Trust
Actual		1,000.00		1,028.10		0.76		0.15
Hypothetical		1,000.00		1,024.12		0.75		0.15


	Long-Term Capital Gain Distribution
JPMorgan Core Bond Trust	$	7,630


	Income from U.S. Treasury Obligations
JPMorgan Core Bond Trust		17.5	%
JPMorgan Intermediate Bond Trust		17.1


		^© JPMorgan Chase & Co., 2020. All rights reserved. February 2020.		AN-INSTT-220



By:		/s/ Brian S. Shlissel
		Brian S. Shlissel
		President and Principal Executive Officer
		May 6, 2020



By:		/s/ Timothy J. Clemens
		Timothy J. Clemens
		Treasurer and Principal Financial Officer
		May 6, 2020