JPMorgan Mutual Fund Group / MA

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on current market conditions 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.

Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing.

Dear Shareholder:

For many investors, the main concern appears to be whether the market volatility witnessed this summer will continue into the winter.

As we enter the last quarter of 2011, concerns about softening economic data and the deteriorating debt situation in Europe continue to persist. Although we are encouraged that corporate earnings and industrial production have continued to grow, the markets suggest that investors still lack confidence in both the U.S. and Europe’s ability to address their respective economic and debt issues.

“For many investors, the main concern appears to be whether the market volatility witnessed this summer will continue into the winter.”

Investors flee stocks as global growth concerns mount

Concerns about the U.S. debt ceiling crisis, the credit downgrade of U.S.-issued debt, softer economic data and contagion from the European debt crisis triggered heightened volatility and a significant market downturn. In early August, all three major U.S. stock indices experienced their worst one-day performance since December 1, 2008, while the S&P 500 Index posted its worst weekly decline since March 2009 and fell 5.4% in the month of August. As of the end of the six-month reporting period ended August 31, 2011, the S&P 500 Index was at a level of 1,219, a decrease of 7.2% from six months earlier.

U.S. Treasuries rally as growth concerns fuel equity sell-off

Despite historically low yields and a credit downgrade, investors continued to invest in U.S. Treasury securities, as concerns about global economic growth and the Euro zone’s debt

problems fueled a heavy rotation out of stocks and into U.S. Treasury securities. At one point, 10-year U.S. Treasury yields dipped below 2.2%, its lowest level since 1950. The yield on the 10-year U.S. Treasury declined from 3.4% to 2.2% as of the end of the six-month reporting period ended August 31, 2011, while the yield on the 2-year Treasury dipped from 0.7% to 0.2%. Meanwhile, the yield on the 30-year U.S. Treasury bond also fell from 4.5% to 3.6% as of the end of the same period.

The European debt crisis — how deep?

The seemingly interminable European sovereign debt crisis continues to impact global markets. Both European governments and the European Central Bank (ECB) have made attempts to calm financial markets with low-interest loans to Greece and limited ECB purchases of sovereign debt. However, many investors remain skeptical about the rescue attempts and concerns about the crisis persist and will likely continue to contribute to market volatility.

As always, we encourage investors to be mindful of the impact of continued market uncertainty and unexpected risks on the economy by taking a balanced and diversified approach to investing.

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

Sincerely yours,

LOGO

George C.W. Gatch

CEO, Investment Management Americas

J.P. Morgan Asset Management

Uncertainty surrounding global economic growth began to dampen investors’ appetite for risk in April 2011. This negative mood among investors worsened as the market seemed to lack confidence in the ability of European governments to combat the region’s debt crisis, stoking fear about economic contagion. Concerns about the credit downgrade of U.S.-issued debt exacerbated this negative sentiment among investors.

Despite the credit downgrade, investors still sought safety in U.S. Treasury securities, helping trigger a sharp decline in interest rates for 2-, 5-, 10-, 15- and 30-year U.S. Treasury securities. Prices for these securities were higher and yields declined.

Given investors’ declining appetite for risk, agency mortgage-backed securities outperformed non-agency mortgage-backed securities during the reporting period, credit spreads widened (generally, bond prices decrease when credit spreads widen), and fixed income securities with higher-rated credit quality outperformed. Accordingly, the high yield fixed income securities (also known as “junk bonds”) market underperformed and was among the weakest performing asset classes in the U.S. taxable fixed income segment of the market.

INVESTMENT OBJECTIVE**

The JPMorgan Core Bond Fund (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?

During the six months ended August 31, 2011, the Fund’s relative underperformance versus the Barclays Capital U.S. Aggregate Index (the “Benchmark”) was caused, in part, by its duration. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration. The Fund’s duration was slightly shorter than the Benchmark and detracted from its relative performance as interest rates declined during the reporting period. In addition, the Fund’s exposure to non-agency collateralized mortgage obligations (“CMOs”), which underperformed agency CMOs, hurt the Fund’s relative performance versus the Benchmark.

The Fund’s underweight of U.S. Treasury securities also detracted from relative performance. However, the Fund’s positioning on the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time) contributed to relative performance. The Fund was overweight the intermediate part of the yield curve (5-10 years), which performed well during the reporting period. The Fund’s security selection among agency collateralized mortgage obligations also contributed to the Fund’s 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. As of the end of the reporting period, the Fund was underweight U.S. Treasuries and overweight mortgage-backed securities. The Fund was overweight the intermediate part of the yield curve (5-10 years) and underweight the front (1-5 years) and long (20-30 years) segments of the yield curve.


PORTFOLIO COMPOSITION***
Collateralized Mortgage Obligations	35.3	%
U.S. Treasury Obligations	26.0
Corporate Bonds	14.8
Mortgage Pass-Through Securities	13.1
Asset-Backed Securities	4.0
Commercial Mortgage-Backed Securities	2.5
U.S. Government Agency Securities	1.5
Others (each less than 1.0%)	0.6
Short-Term Investment	2.2

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

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

***

Percentages indicated are based upon total investments as of August 31, 2011. The Fund’s composition is subject to change.

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns shown for Class R2, Class R5 and Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R2, Class R5, Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Core Bond Fund, the Barclays Capital U.S. Aggregate Index and the Lipper Intermediate U.S. Government Funds Index from August 31, 2001 to August 31, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Aggregate Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. Aggregate Index is a broad-based benchmark that measures the investment grade,

U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) passthroughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS). The Lipper Intermediate U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.

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 Core Plus Bond Fund (the “Fund”) seeks a high level of current income by investing primarily in a diversified portfolio of high-, medium- and low-grade debt securities.

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

During the six months ended August 31, 2011, the Fund invested a percentage of its assets in high yield bonds (also known as “junk bonds”) and distressed debt securities, finishing the reporting period with approximately 22% of its assets allocated to these securities. High yield bonds and distressed debt securities were hurt by concerns about slowing economic growth and detracted from the Fund’s relative performance versus the Barclays Capital U.S. Aggregate Index (the “Benchmark”).

The Fund’s relative underperformance versus the Benchmark was also hurt by its duration. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration. The Fund’s duration was slightly shorter than the Benchmark and detracted from its relative performance as interest rates declined during the reporting period.

HOW WAS THE FUND POSITIONED?

The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. As of the end of the reporting period, the Fund was underweight U.S. Treasuries. The Fund was overweight the intermediate part of the yield curve (5-10 years) and underweight the front (1-5 years) and long (20-30 years) segments of the yield curve. The Fund also invested in emerging markets debt, high yield bonds and distressed debt fixed income securities during the reporting period.


PORTFOLIO COMPOSITION***
Corporate Bonds	38.0	%
Collateralized Mortgage Obligations	22.3
U.S. Treasury Obligations	18.6
Mortgage Pass-Through Securities	5.2
Commercial Mortgage-Backed Securities	4.2
Loan Participations & Assignments	2.6
Asset-Backed Securities	2.5
Foreign Government Securities	1.9
U.S. Government Agency Securities	1.1
Others (each less than 1.0%)	1.8
Short-Term Investment	1.8

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

***

Percentages indicated are based upon total investments as of August 31, 2011. The Fund’s composition is subject to change.

Returns shown for Class R2, Class R6 and Institutional Class Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R2, Class R6, Institutional Class, and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Core Plus Bond Fund, the Barclays Capital U.S. Aggregate Index and the Lipper Intermediate Investment Grade Debt Funds Index from August 31, 2001 to August 31, 2011. The performance of the

Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Aggregate Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate Investment Grade Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. Aggregate Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) passthroughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS). The Lipper Intermediate Investment Grade Debt Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

INVESTMENT OBJECTIVE**

The JPMorgan Government Bond Fund (the “Fund”) seeks a high level of current income with liquidity and safety of principal.

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

The Fund’s assets were invested in securities issued or guaranteed by the U.S. government and its agencies, including agency collateralized mortgage obligations and U.S. Treasury securities. U.S. Treasury securities rallied during the reporting period as their yields fell significantly (generally, bond prices increase when their yields decline). While the Fund was underweight U.S. Treasuries relative to the Barclays Capital U.S. Government Bond Index, the longer duration of its zero coupon agency and U.S. Treasury securities caused it to outperform. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers aimed to keep the duration of the Fund around five years and focused on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities.


PORTFOLIO COMPOSITION***
Collateralized Mortgage Obligations	42.2	%
U.S. Treasury Obligations	22.0
U.S. Government Agency Securities	20.5
Mortgage Pass-Through Securities	7.3
Foreign Government Security	0.5
Short-Term Investment	7.5

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

***

Percentages indicated are based upon total investments as of August 31, 2011. The Fund’s composition is subject to change.

Returns shown for Class R2 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R2 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Government Bond Fund, the Barclays Capital U.S. Government Bond Index and the Lipper General U.S. Government Funds Index from August 31, 2001 to August 31, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Government Bond Index does not include expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper General U.S. Government Funds Index includes expenses associated

with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. Government Bond Index is an unmanaged index composed of securities issued by the U.S. Government. The Lipper General U.S. Government Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.

INVESTMENT OBJECTIVE**

The JPMorgan High Yield Fund (the “Fund”) seeks a high level of current income by investing primarily in a diversified portfolio of debt securities that are rated below investment grade or unrated. Capital appreciation is a secondary objective.

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

Concerns about slowing economic growth and investors’ declining appetite for risk negatively impacted the high yield securities (also known as “junk bonds”) and loan assignments (“Loans”) markets during the six months ended August 31, 2011. The Fund underperformed the Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index (the “Benchmark”).

Relative to the Benchmark, the Fund was overweight the Not Rated (“NR”) segment of the market, some of which represents loans, bonds and equity of companies going through financial restructuring or having just emerged from restructuring. Given investors’ risk aversion during the reporting period, these investments underperformed and detracted from relative performance.

The Fund’s security selection in the consumer cyclical and utility sectors detracted from relative performance. The Fund’s security selection in the energy and banking sectors contributed to relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund took specifically targeted credit risk when the Fund’s portfolio managers’ analysis indicated a favorable risk/reward opportunity.

As of the end of the reporting period, the Fund was underweight the Ba-rated securities, overweight B-, Baa-, and NR securities, and market weight in the Caa- and Ca-D-rated securities. The Fund continued to migrate up in quality versus the Benchmark, but finished the reporting period with a level of credit volatility that closely matched the Benchmark.

As of the end of the reporting period, the Fund’s allocation to Loans was approximately 15%. The Fund’s portfolio managers believed that the greatest risk in the high yield securities market was deteriorating credit fundamentals of issuers and believed that Loans may offer attractive downside protection from this risk due to their seniority over subordinated debt. In addition, the Fund’s portfolio managers believed that Loans may offer the potential for upside return in a rising interest rate environment.


PORTFOLIO COMPOSITION***
Corporate Bonds	80.2	%
Loan Participations & Assignments	14.4
Others (each less than 1.0%)	1.7
Short-Term Investments	3.7

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

***

Percentages indicated are based upon total investments as of August 31, 2011. The Fund’s composition is subject to change.

Effective September 14, 2009, some of the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund was managed using the current strategies.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan High Yield Fund, the Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index and the Lipper High Current Yield Funds Index from August 31, 2001 to August 31, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities

included in the benchmark. The performance of the Lipper High Current Yield Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index is an unmanaged index comprised of fixed rate, non-investment grade debt securities that are dollar denominated and non-convertible. The index limits the maximum exposure to any one issuer to 2%. The Lipper High Current Yield Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.

INVESTMENT OBJECTIVE**

The JPMorgan Mortgage-Backed Securities Fund (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of debt securities backed by pools of residential and/or commercial mortgages.

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

The Fund invested in both agency collateralized mortgage obligations (“CMOs”) and non-agency CMOs, while the Barclays Capital U.S. MBS Index (the “Benchmark”) consisted almost entirely of agency securities. Non-agency CMOs underperformed agency CMOs and hurt the Fund’s relative performance versus the Benchmark. However, the Fund’s security selection among mortgage pass-through and agency CMOs was positive and contributed to relative performance.

In addition, the Fund’s duration was slightly shorter than the Benchmark and detracted from relative performance as interest rates declined during the reporting period. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration.

The Fund invested a small percentage of its assets in U.S. Treasury securities, mostly on the intermediate part of the yield curve (5-10 year portion). The yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time. These investments contributed to relative performance as yields for

U.S. Treasuries declined during the reporting period and their prices increased. Bond prices are inversely related to changes in yield (bond prices generally increase when yields decline and decline when yields increase).

HOW WAS THE FUND POSITIONED?


PORTFOLIO COMPOSITION***
Collateralized Mortgage Obligations	61.7	%
Mortgage Pass-Through Securities	26.3
Asset-Backed Securities	2.2
U.S. Treasury Obligations	2.0
Commercial Mortgage-Backed Securities	1.5
U.S. Government Agency Securities	0.4
Short-Term Investment	5.9

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

***

Percentages indicated are based upon total investments as of August 31, 2011. The Fund’s composition is subject to change.

Returns shown for Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Mortgage-Backed Securities Fund, the Barclays Capital U.S. MBS Index and the Lipper U.S. Mortgage Funds Index from August 31, 2001 to August 31, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. MBS Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the

Lipper U.S. Mortgage Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. MBS Index covers the mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The index includes fixed-rate and hybrid adjustable rate mortgage (ARM) pass-through securities. The Lipper U.S. Mortgage Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

INVESTMENT OBJECTIVE**

The JPMorgan Short Duration Bond Fund (the “Fund”) seeks current income consistent with preservation of capital through investments in high- and medium-grade fixed income securities.

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

The Fund’s outperformance versus the Barclays Capital 1–3 Year U.S. Government/Credit Bond Index (the “Benchmark”) was driven by its security selection among mortgage-backed securities and corporate holdings.

The Fund’s investments in agency collateralized mortgage obligations and mortgage pass-through securities were particularly strong contributors to relative performance, as these two assets classes performed well and were not represented in the Benchmark. The Fund’s security selection in the corporate sector relative to the Benchmark was also strong during the reporting period. The Fund’s positioning on the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time) also contributed to relative performance. The Fund was overweight the 3-5-year segment of the yield curve, which performed well during the reporting period, and underweight the 2-year portion of the yield curve. Meanwhile, the Fund’s overweight to asset-backed securities detracted from relative performance during the reporting period.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct,

in their view, a portfolio of undervalued fixed income securities. The Fund invested in U.S. Treasury securities, agency securities, non-agency and agency mortgage-backed securities, asset-backed securities, commercial mortgage-backed securities and credit securities (corporate and non-corporate securities, such as foreign agency and sovereign debt).


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	28.7	%
U.S. Government Agency Securities	23.3
Corporate Bonds	16.1
Collateralized Mortgage Obligations	10.6
Asset-Backed Securities	8.3
Mortgage Pass-Through Securities	8.3
Commercial Mortgage-Backed Securities	3.6
Others (each less than 1.0%)	1.1

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

***

Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of August 31, 2011. The Fund’s composition is subject to change.

Returns shown for Class C and Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class C, Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Short Duration Bond Fund, the Barclays Capital 1–3 Year U.S. Government/Credit Bond Index and the Lipper Short U.S. Government Funds Index from August 31, 2001 to August 31, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–3 Year U.S. Government/Credit Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Short U.S.

Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital 1–3 Year U.S. Government/ Credit Bond Index is an unmanaged index of investment grade government and corporate bonds with maturities of one to three years. The Lipper Short U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Because Class B Shares automatically convert to Class A Shares after 6 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.

INVESTMENT OBJECTIVE**

The JPMorgan Short Term Bond Fund II (the “Fund”) seeks a high level of income, consistent with preservation of capital.

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

The Fund’s underperformance versus the Barclays Capital 1–3 Year U.S. Government Bond Index (the “Benchmark”) was due, in part, to the Fund’s overweight of asset-backed and commercial mortgage backed securities, as well as the Fund’s underweight of U.S. Treasury securities, which performed strongly during the reporting period.

The Fund’s positioning on the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time) contributed to relative performance. The Fund was overweight the 3-5-year segment of the yield curve, which performed well during the reporting period, and underweight the 2-year portion of the yield curve. The Fund’s exposure to mortgage-backed securities and credit securities (corporate and non-corporate securities, such as foreign agency and sovereign debt), which are not held in the Benchmark, and security selection among agency securities contributed to the Fund’s relative performance.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. The Fund invested in U.S. Treasury securities, agency securities, non-agency and agency mortgage-backed securities, asset-backed securities, commercial mortgage-backed securities and credit securities.


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	29.6	%
U.S. Government Agency Securities	28.6
Corporate Bonds	27.9
Asset-Backed Securities	7.2
Collateralized Mortgage Obligations	4.7
Mortgage Pass-Through Securities	1.1
Others (each less than 1.0%)	0.9

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

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

***

Percentages indicated are based upon total investments as of August 31, 2011. The Fund’s composition is subject to change.

The graph illustrates comparative performance for $1,000,000 invested in the Select Class Shares of the JPMorgan Short Term Bond Fund II, the Barclays Capital 1–3 Year U.S. Government Bond Index and the Lipper Short U.S. Government Funds Index from August 31, 2001 to August 31, 2011. The performance of the Fund assumes reinvestments of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–3 Year U.S. Government Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Short U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the

expenses charged by the Fund. The Barclays Capital 1–3 Year U.S. Government Bond Index is an unmanaged index composed of securities in the U.S. Government Bond Index with maturities of one to three years. The Lipper Short U.S. Government Funds Index is an index based on total returns of certain groups of mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

INVESTMENT OBJECTIVE**

The JPMorgan Treasury & Agency Fund (the “Fund”) seeks a high level of current income by investing in U.S. Treasury and other U.S. agency obligations with a primary, but not exclusive, focus on issues that produce income exempt from state income taxes.

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

The Fund’s underperformance versus the Barclays Capital 1-5 Year U.S. Treasury Index (“Benchmark”) was driven, in part, by its underweight of U.S. Treasury securities, which performed strongly during the reporting period. The Benchmark holds only U.S. Treasury securities.

In addition, the Fund’s shorter duration hurt its relative performance versus the Benchmark, as interest rates declined during the reporting period. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration.

The Fund allocated a portion of its assets to agency securities, which performed well and contributed to the Fund’s absolute return during the reporting period.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. The Fund invested in U.S. Treasury securities as well as U.S. agency securities, which are not held in the Benchmark.


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	77.6	%
U.S. Government Agency Securities	21.6
Short-Term Investment	0.8

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

***

Percentages indicated are based upon total investments as of August 31, 2011. The Fund’s composition is subject to change.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Treasury & Agency Fund, the Barclays Capital 1–5 Year U.S. Treasury Index, the Barclays Capital 1–3 Year U.S. Treasury Index and the Lipper Short U.S. Treasury Funds Average from August 31, 2001 to August 31, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–5 Year U.S. Treasury Index and the Barclays Capital 1–3 Year U.S. Treasury Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Short U.S. Treasury Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital 1–5 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury issued securities with maturities

of one to five years. The Barclays Capital 1–3 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury securities with maturities of one to three years. The Lipper Short U.S. Treasury Funds Average is an index based on total returns of certain groups of mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Because Class B Shares automatically convert to Class A Shares after 6 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — 4.0%
		AH Mortgage Advance Trust,
	15,100	Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e)		15,100
	13,583	Series SART-1, Class A1, 2.630%, 05/10/42 (e)		13,600
	49,850	Series SART-1, Class A2, 3.370%, 05/10/43 (e)		49,900
		Ally Auto Receivables Trust,
	2,280	Series 2009-A, Class A3, 2.330%, 06/17/13 (e)		2,298
	5,131	Series 2010-1, Class A3, 1.450%, 05/15/14		5,160
	10,410	Series 2010-3, Class A3, 1.110%, 10/15/14		10,482
	5,804	Series 2010-3, Class A4, 1.550%, 08/17/15		5,911
	5,977	Series 2010-4, Class A3, 0.910%, 11/17/14		6,001
	8,933	Series 2011-1, Class A2, 0.810%, 10/15/13		8,943
	4,100	Series 2011-1, Class A3, 1.380%, 01/15/15		4,145
		AmeriCredit Automobile Receivables Trust,
	2,457	Series 2008-AF, Class A4, 6.960%, 10/14/14		2,565
	1,963	Series 2009-1, Class A3, 3.040%, 10/15/13		1,981
	2,023	Series 2010-1, Class A3, 1.660%, 03/17/14		2,029
	8,000	Series 2010-3, Class A3, 1.140%, 04/08/15		8,033
	12,328	Series 2010-4, Class A2, 0.960%, 05/08/14		12,334
	3,375	Series 2010-4, Class A3, 1.270%, 04/08/15		3,402
	7,942	Series 2011-1, Class A2, 0.840%, 06/09/14		7,943
	3,400	Series 2011-1, Class A3, 1.390%, 09/08/15		3,420
	14,281	Series 2011-3, Class A2, 0.840%, 11/10/14		14,268
	576	Ameriquest Mortgage Securities, Inc., Series 2003-13, Class AF6, SUB, 5.094%, 01/25/34		575
	7,092	Arch Bay Asset-Backed Securities, Series 2010-2, Class A, VAR, 4.125%, 04/25/57 (e)		7,056
	13,022	Asset-Backed Funding Certificates, Series 2005-AQ1, Class A4, SUB, 5.010%, 06/25/35		12,039
		Bank of America Auto Trust,
	4,942	Series 2009-1A, Class A3, 2.670%, 07/15/13 (e)		4,968
	3,235	Series 2009-1A, Class A4, 3.520%, 06/15/16 (e)		3,317
	4,366	Series 2009-2A, Class A3, 2.130%, 09/15/13 (e)		4,387
	3,163	Series 2009-3A, Class A3, 1.670%, 12/15/13 (e)		3,178
	4,132	Series 2010-1A, Class A3, 1.390%, 03/15/14 (e)		4,150
	4,255	Series 2010-1A, Class A4, 2.180%, 02/15/17 (e)		4,363


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	310	Series 2010-2, Class A2, 0.910%, 10/15/12		310
	5,110	Series 2010-2, Class A3, 1.310%, 07/15/14		5,135
	7,795	Series 2010-2, Class A4, 1.940%, 06/15/17		7,981
	1,492	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.588%, 04/25/36		1,063
		CarMax Auto Owner Trust,
	4,629	Series 2010-1, Class A3, 1.560%, 07/15/14		4,650
	11,080	Series 2011-1, Class A3, 1.290%, 09/15/15		11,200
	11,120	Series 2011-1, Class A4, 2.160%, 09/15/16		11,487
		Chase Funding Mortgage Loan Asset-Backed Certificates,
	3,497	Series 2003-4, Class 1A5, SUB, 5.416%, 05/25/33		3,360
	4,250	Series 2003-6, Class 1A5, SUB, 5.350%, 11/25/34		3,658
	12,852	Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34		12,118
		Chrysler Financial Auto Securitization Trust,
	1,822	Series 2009-A, Class A3, 2.820%, 01/15/16		1,840
	16,500	Series 2010-A, Class A3, 0.910%, 08/08/13		16,538
	5,400	Series 2010-A, Class B, 1.650%, 11/08/13		5,423
		Citibank Credit Card Issuance Trust,
	8,282	Series 2002-C2, Class C2, 6.950%, 02/18/14		8,523
	950	Series 2007-A3, Class A3, 6.150%, 06/15/39		1,204
		CitiFinancial Auto Issuance Trust,
	1,059	Series 2009-1, Class A2, 1.830%, 11/15/12 (e)		1,059
	5,350	Series 2009-1, Class A3, 2.590%, 10/15/13 (e)		5,403
	2,334	Citifinancial Mortgage Securities, Inc., Series 2003-3, Class AF4, SUB, 5.348%, 08/25/33		2,244
		Citigroup Mortgage Loan Trust, Inc.,
	1,651	Series 2003-HE3, Class A, VAR, 0.598%, 12/25/33		1,429
	17,846	Series 2011-5, Class 1A1, VAR, 0.384%, 02/25/46 (e) (f) (i)		16,329
		CNH Equipment Trust,
	1,956	Series 2008-B, Class A4A, 5.600%, 11/17/14		1,981
	13	Series 2009-A, Class A3, 5.280%, 11/15/12		13
	837	Series 2009-C, Class A3, 1.850%, 12/16/13		838
	5,753	Series 2010-A, Class A3, 1.540%, 07/15/14		5,775
	16,000	Series 2010-C, Class A3, 1.170%, 05/15/15		16,055
	5,888	Series 2011-A, Class A3, 1.200%, 05/16/16		5,924
	4,801	Series 2011-A, Class A4, 2.040%, 10/17/16		4,891


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — Continued
		Countrywide Asset-Backed Certificates,
	816	Series 2003-5, Class MF1, VAR, 5.413%, 01/25/34		501
	11	Series 2004-1, Class 3A, VAR, 0.778%, 04/25/34		8
	1,290	Series 2004-1, Class M1, VAR, 0.968%, 03/25/34		961
	949	Series 2004-1, Class M2, VAR, 1.043%, 03/25/34		836
	1,065	Series 2004-6, Class M1, VAR, 0.818%, 10/25/34		597
	548	Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.528%, 11/25/35		506
	993	Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36		583
	2,400	Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15		2,614
	1,400	First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.318%, 12/25/36		1,271
	10,200	Ford Credit Auto Lease Trust, Series 2011-A, Class A2, 0.740%, 09/15/13		10,198
		Ford Credit Auto Owner Trust,
	2,868	Series 2009-B, Class A3, 2.790%, 08/15/13		2,891
	5,000	Series 2009-B, Class A4, 4.500%, 07/15/14		5,236
	3,420	Series 2009-D, Class A3, 2.170%, 10/15/13		3,447
	6,200	Series 2011-B, Class A2, 0.680%, 01/15/14		6,225
	10,000	Freedom Trust, Series 2011-1, Class A13, VAR, 1.064%, 11/30/37 (e) (f) (i)		9,450
	16,000	GE Capital Credit Card Master Note Trust, Series 2009-2, Class A, 3.690%, 07/15/15		16,416
	1,053	GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		955
	220	GSAA Trust, Series 2006-3, Class A1, VAR, 0.298%, 03/25/36		105
		Harley-Davidson Motorcycle Trust,
	3,266	Series 2009-3, Class A3, 1.740%, 09/15/13		3,278
	4,144	Series 2010-1, Class A2, 0.830%, 11/15/13		4,144
	5,904	Series 2010-1, Class A3, 1.160%, 02/15/15		5,936
		Honda Auto Receivables Owner Trust,
	1,737	Series 2009-2, Class A3, 2.790%, 01/15/13		1,746
	3,500	Series 2009-2, Class A4, 4.430%, 07/15/15		3,610
	1,397	Series 2009-3, Class A3, 2.310%, 05/15/13		1,407
	4,200	Series 2009-3, Class A4, 3.300%, 09/15/15		4,315
	5,200	Series 2011-1, Class A4, 1.800%, 04/17/17		5,330


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		HSBC Home Equity Loan Trust,
	3,024	Series 2005-2, Class A1, VAR, 0.483%, 01/20/35		2,669
	2,464	Series 2005-2, Class M2, VAR, 0.703%, 01/20/35		2,157
	5,189	Series 2006-1, Class A1, VAR, 0.373%, 01/20/36		4,851
	2,280	Series 2006-2, Class A1, VAR, 0.363%, 03/20/36		2,135
	8,216	Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36		8,262
	986	Series 2007-1, Class AS, VAR, 0.413%, 03/20/36		830
	12,319	Series 2007-3, Class APT, VAR, 1.413%, 11/20/36		10,989
		Hyundai Auto Receivables Trust,
	1,644	Series 2009-A, Class A3, 2.030%, 08/15/13		1,654
	4,590	Series 2010-B, Class A3, 0.970%, 04/15/15		4,612
	6,300	Series 2010-B, Class A4, 1.630%, 03/15/17		6,408
	5,675	Series 2011-A, Class A3, 1.160%, 04/15/15		5,724
	4,680	Series 2011-A, Class A4, 1.780%, 12/15/15		4,801
	3,880	Series 2011-B, Class A3, 1.040%, 09/15/15		3,907
	5,798	Series 2011-B, Class A4, 1.650%, 02/15/17		5,855
	1,489	Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.418%, 03/25/36		861
		John Deere Owner Trust,
	595	Series 2009-A, Class A3, 2.590%, 10/15/13		597
	2,563	Series 2009-B, Class A3, 1.570%, 10/15/13		2,572
	5,015	Series 2011-A, Class A3, 1.290%, 01/15/16		5,067
	3,915	Series 2011-A, Class A4, 1.960%, 04/16/18		4,028
	11,447	LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) (f) (i)		11,436
	15,618	Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.568%, 07/25/34 (e)		14,911
		Long Beach Mortgage Loan Trust,
	5,600	Series 2004-1, Class M1, VAR, 0.968%, 02/25/34		4,258
	1,500	Series 2004-3, Class M1, VAR, 0.788%, 07/25/34		1,088
	1,355	Series 2006-8, Class 2A2, VAR, 0.308%, 09/25/36		442
	1,807	Series 2006-WL2, Class 2A3, VAR, 0.418%, 01/25/36		1,379
	4,776	MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14		4,901


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — Continued
		Mercedes-Benz Auto Receivables Trust,
	2,165	Series 2009-1, Class A3, 1.670%, 01/15/14		2,180
	6,000	Series 2010-1, Class A3, 1.420%, 08/15/14		6,038
	3,273	Series 2011-1, Class A3, 0.850%, 03/16/15		3,284
	6,912	Mid-State Trust, Series 2010-1, Class A, 3.500%, 12/15/45 (e)		7,003
	1,851	Morgan Stanley ABS Capital I, Series 2004-WMC3, Class M1, VAR, 0.968%, 01/25/35		1,816
	45,000	Nationstar Mortgage Advance Receivable Trust, Series 2009-ADV1, Class A1, VAR, 3.218%, 12/26/22 (e)		45,031
	11,920	NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.556%, 12/07/20		11,930
	4,000	New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.241%, 11/25/33		3,807
	6,377	Newcastle Investment Trust, Series 2011-MH1, Class A, 2.450%, 12/10/33 (e)		6,449
		Nissan Auto Receivables Owner Trust,
	7,420	Series 2010-A, Class A3, 0.870%, 07/15/14		7,425
	4,740	Series 2010-A, Class A4, 1.310%, 09/15/16		4,789
	266	Option One Mortgage Loan Trust, Series 2003-1, Class A2, VAR, 1.058%, 02/25/33		209
		PennyMac Loan Trust,
	1,853	Series 2010-NPL1, Class A, VAR, 4.250%, 05/25/50 (e)		1,853
	14,000	Series 2010-NPL1, Class M1, VAR, 5.000%, 05/25/50 (e)		13,790
		Real Estate Asset Trust,
	12,137	Series 2011-2A, Class A1, 5.750%, 05/25/49 (e) (f) (i)		12,137
	10,205	Series 2011-3A, Class A1, 5.440%, 06/25/31 (e)		10,205
	100	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37		44
	10,000	Residential Asset Mortgage Products, Inc., Series 2005-EFC5, Class A3, VAR, 0.558%, 10/25/35		8,178
		Residential Asset Securities Corp.,
	74	Series 2002-KS4, Class AIIB, VAR, 0.718%, 07/25/32		43
	97	Series 2003-KS5, Class AIIB, VAR, 0.798%, 07/25/33		61
	116	Series 2003-KS9, Class A2B, VAR, 0.858%, 11/25/33		54
	2,500	Series 2005-KS9, Class A3, VAR, 0.588%, 10/25/35		2,352


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	19,974	Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i)		19,926
	1,741	Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.950%, 04/25/32 (e)		1,468
		Santander Drive Auto Receivables Trust,
	8,055	Series 2010-3, Class A2, 0.930%, 06/17/13		8,059
	6,100	Series 2010-3, Class A3, 1.200%, 06/16/14		6,106
	1,200	Series 2010-A, Class A3, 1.830%, 11/17/14 (e)		1,212
	4,595	Series 2010-A, Class A4, 2.390%, 06/15/17 (e)		4,707
	4,318	Series 2011-S2A, Class B, 2.060%, 06/15/17 (e)		4,315
	5,441	Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33		5,442
	5,000	Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.488%, 06/25/35		4,574
		Structured Asset Securities Corp.,
	2,748	Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32		2,786
	1,151	Series 2002-AL1, Class A2, 3.450%, 02/25/32		1,048
	4,442	Series 2004-6XS, Class A5A, SUB, 5.530%, 03/25/34		4,239
	3,554	Series 2004-6XS, Class A5B, SUB, 5.550%, 03/25/34		3,393
		Toyota Auto Receivables Owner Trust,
	12,510	Series 2010-C, Class A3, 0.770%, 04/15/14		12,523
	11,810	Series 2011-A, Class A3, 0.980%, 10/15/14		11,876
	4,585	Series 2011-A, Class A4, 1.560%, 05/15/15		4,672
	331	Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 01/02/24		361
		USAA Auto Owner Trust,
	4,364	Series 2009-2, Class A3, 1.540%, 02/18/14		4,385
	3,080	Series 2009-2, Class A4, 2.530%, 07/15/15		3,165
		Westlake Automobile Receivables Trust,
	2,966	Series 2011-1A, Class A2, 1.080%, 07/15/13 (e)		2,965
	4,154	Series 2011-1A, Class A3, 1.490%, 06/16/14 (e)		4,158
		World Omni Auto Receivables Trust,
	426	Series 2009-A, Class A3, 3.330%, 05/15/13		428
	7,045	Series 2010-A, Class A4, 2.210%, 05/15/15		7,192

		Total Asset-Backed Securities (Cost $853,707)		854,617


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — 35.5%
			Agency CMO — 23.5%
			Federal Home Loan Bank,
	10,776		4.720%, 09/20/12		11,172
	1,208		Series 2000-0606, Class Y, 5.270%, 12/28/12		1,264
	23,068		Series 2000-1067, Class 1, 5.300%, 06/15/12		23,495
	11,919		Series TQ-2015, Class A, 5.065%, 10/20/15		13,067
			Federal Home Loan Mortgage Corp. — Government National Mortgage Association,
	552		Series 8, Class ZA, 7.000%, 03/25/23		622
	334		Series 24, Class ZE, 6.250%, 11/25/23		379
	2,427		Series 29, Class L, 7.500%, 04/25/24		2,526
			Federal Home Loan Mortgage Corp. REMICS,
	77		Series 11, Class D, 9.500%, 07/15/19		83
	25		Series 22, Class C, 9.500%, 04/15/20		27
	39		Series 23, Class F, 9.600%, 04/15/20		44
	1		Series 41, Class I, HB, 84.000%, 05/15/20		2
	16		Series 46, Class B, 7.800%, 09/15/20		19
	8		Series 47, Class F, 10.000%, 06/15/20		9
	—	(h)	Series 85, Class C, 8.600%, 01/15/21		—	(h)
	28		Series 99, Class Z, 9.500%, 01/15/21		31
	81		Series 114, Class H, 6.950%, 01/15/21		91
	—	(h)	Series 204, Class E, HB, IF, 1,838.732%, 05/15/23		16
	—	(h)	Series 1045, Class G, HB, 1,066.209%, 02/15/21		1
	15		Series 1065, Class J, 9.000%, 04/15/21		18
	9		Series 1079, Class S, HB, IF, 33.150%, 05/15/21		17
	22		Series 1084, Class F, VAR, 1.200%, 05/15/21		22
	16		Series 1084, Class S, HB, IF, 44.100%, 05/15/21		28
	23		Series 1116, Class I, 5.500%, 08/15/21		26
	73		Series 1144, Class KB, 8.500%, 09/15/21		85
	—	(h)	Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21		3
	1		Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22		27
	55		Series 1206, Class IA, 7.000%, 03/15/22		62
	71		Series 1250, Class J, 7.000%, 05/15/22		83
	172		Series 1343, Class LA, 8.000%, 08/15/22		205
	69		Series 1343, Class LB, 7.500%, 08/15/22		82
	113		Series 1370, Class JA, VAR, 1.400%, 09/15/22		113
	112		Series 1455, Class WB, IF, 4.550%, 12/15/22		116


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,053	Series 1466, Class PZ, 7.500%, 02/15/23		1,214
	16	Series 1470, Class F, VAR, 2.338%, 02/15/23		17
	188	Series 1491, Class I, 7.500%, 04/15/23		224
	609	Series 1498, Class I, VAR, 1.400%, 04/15/23		609
	796	Series 1502, Class PX, 7.000%, 04/15/23		912
	106	Series 1505, Class Q, 7.000%, 05/15/23		121
	444	Series 1518, Class G, IF, 8.854%, 05/15/23		524
	81	Series 1541, Class M, HB, IF, 22.220%, 07/15/23		126
	387	Series 1541, Class O, VAR, 1.920%, 07/15/23		397
	22	Series 1570, Class F, VAR, 2.838%, 08/15/23		23
	821	Series 1573, Class PZ, 7.000%, 09/15/23		939
	485	Series 1591, Class PV, 6.250%, 10/15/23		515
	26	Series 1595, Class D, 7.000%, 10/15/13		27
	80	Series 1596, Class D, 6.500%, 10/15/13		83
	51	Series 1602, Class SA, HB, IF, 21.937%, 10/15/23		79
	18	Series 1607, Class SA, IF, 19.910%, 10/15/13		21
	2,736	Series 1608, Class L, 6.500%, 09/15/23		3,119
	1,003	Series 1609, Class LG, IF, 16.792%, 11/15/23		1,214
	969	Series 1642, Class PJ, 6.000%, 11/15/23		1,011
	419	Series 1658, Class GZ, 7.000%, 01/15/24		481
	16	Series 1671, Class L, 7.000%, 02/15/24		20
	21	Series 1671, Class QC, IF, 10.000%, 02/15/24		22
	24	Series 1686, Class SH, IF, 18.675%, 02/15/24		39
	343	Series 1695, Class EB, 7.000%, 03/15/24		394
	65	Series 1699, Class FC, VAR, 0.850%, 03/15/24		65
	429	Series 1700, Class GA, PO, 02/15/24		371
	1,799	Series 1706, Class K, 7.000%, 03/15/24		2,094
	32	Series 1709, Class FA, VAR, 2.120%, 03/15/24		33
	1,185	Series 1720, Class PL, 7.500%, 04/15/24		1,377
	1,322	Series 1737, Class L, 6.000%, 06/15/24		1,452
	163	Series 1745, Class D, 7.500%, 08/15/24		195
	1,002	Series 1798, Class F, 5.000%, 05/15/23		1,099
	21	Series 1807, Class G, 9.000%, 10/15/20		23
	218	Series 1829, Class ZB, 6.500%, 03/15/26		244
	19	Series 1844, Class E, 6.500%, 10/15/13		20


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,422	Series 1863, Class Z, 6.500%, 07/15/26		1,622
	58	Series 1865, Class D, PO, 02/15/24		39
	144	Series 1890, Class H, 7.500%, 09/15/26		170
	386	Series 1899, Class ZE, 8.000%, 09/15/26		456
	906	Series 1927, Class PH, 7.500%, 01/15/27		1,058
	858	Series 1927, Class ZA, 6.500%, 01/15/27		857
	22	Series 1935, Class FL, VAR, 0.950%, 02/15/27		23
	311	Series 1963, Class Z, 7.500%, 01/15/27		363
	46	Series 1970, Class PG, 7.250%, 07/15/27		54
	877	Series 1981, Class Z, 6.000%, 05/15/27		964
	562	Series 1983, Class Z, 6.500%, 12/15/23		646
	336	Series 1987, Class PE, 7.500%, 09/15/27		394
	522	Series 2019, Class Z, 6.500%, 12/15/27		606
	129	Series 2025, Class PE, 6.300%, 01/15/13		128
	1,959	Series 2033, Class J, 5.600%, 06/15/23		2,156
	226	Series 2033, Class SN, HB, IF, 25.422%, 03/15/24		156
	601	Series 2038, Class PN, IO, 7.000%, 03/15/28		130
	1,667	Series 2040, Class PE, 7.500%, 03/15/28		2,004
	679	Series 2054, Class PV, 7.500%, 05/15/28		699
	123	Series 2055, Class OE, 6.500%, 05/15/13		123
	220	Series 2056, Class TD, 6.500%, 05/15/18		242
	987	Series 2063, Class PG, 6.500%, 06/15/28		1,142
	175	Series 2064, Class TE, 7.000%, 06/15/28		208
	616	Series 2070, Class C, 6.000%, 07/15/28		693
	2,016	Series 2075, Class PH, 6.500%, 08/15/28		2,332
	2,157	Series 2075, Class PM, 6.250%, 08/15/28		2,280
	532	Series 2086, Class GB, 6.000%, 09/15/28		557
	735	Series 2089, Class PJ, IO, 7.000%, 10/15/28		163
	2,165	Series 2095, Class PE, 6.000%, 11/15/28		2,453
	428	Series 2102, Class TC, 6.000%, 12/15/13		446
	233	Series 2102, Class TU, 6.000%, 12/15/13		243
	3,083	Series 2106, Class ZD, 6.000%, 12/15/28		3,384
	5,821	Series 2110, Class PG, 6.000%, 01/15/29		6,389
	972	Series 2115, Class PE, 6.000%, 01/15/14		999
	1,176	Series 2125, Class JZ, 6.000%, 02/15/29		1,251
	2,710	Series 2126, Class CB, 6.250%, 02/15/29		2,907
	141	Series 2132, Class SB, HB, IF, 29.734%, 03/15/29		244
	100	Series 2134, Class PI, IO, 6.500%, 03/15/19		16
	28	Series 2135, Class UK, IO, 6.500%, 03/15/14		2
	78	Series 2141, Class IO, IO, 7.000%, 04/15/29		17
	258	Series 2163, Class PC, IO, 7.500%, 06/15/29		61
	4,046	Series 2169, Class TB, 7.000%, 06/15/29		4,721


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,476	Series 2172, Class QC, 7.000%, 07/15/29		1,725
	905	Series 2176, Class OJ, 7.000%, 08/15/29		1,080
	5	Series 2196, Class TL, 7.500%, 11/15/29		5
	768	Series 2201, Class C, 8.000%, 11/15/29		910
	2,030	Series 2208, Class PG, 7.000%, 01/15/30		2,418
	385	Series 2209, Class TC, 8.000%, 01/15/30		458
	1,228	Series 2210, Class Z, 8.000%, 01/15/30		1,485
	361	Series 2224, Class CB, 8.000%, 03/15/30		431
	408	Series 2230, Class Z, 8.000%, 04/15/30		486
	334	Series 2234, Class PZ, 7.500%, 05/15/30		394
	286	Series 2247, Class Z, 7.500%, 08/15/30		338
	769	Series 2256, Class MC, 7.250%, 09/15/30		917
	1,319	Series 2259, Class ZM, 7.000%, 10/15/30		1,544
	28	Series 2261, Class ZY, 7.500%, 10/15/30		33
	96	Series 2262, Class Z, 7.500%, 10/15/30		114
	1,243	Series 2271, Class PC, 7.250%, 12/15/30		1,484
	2,186	Series 2283, Class K, 6.500%, 12/15/23		2,360
	662	Series 2296, Class PD, 7.000%, 03/15/31		775
	2,629	Series 2301, Class PA, 6.000%, 10/15/13		2,698
	252	Series 2306, Class K, PO, 05/15/24		233
	602	Series 2306, Class SE, IF, IO, 7.630%, 05/15/24		115
	450	Series 2313, Class LA, 6.500%, 05/15/31		489
	929	Series 2325, Class PM, 7.000%, 06/15/31		1,044
	1,719	Series 2332, Class ZH, 7.000%, 07/15/31		1,875
	277	Series 2333, Class HC, 6.000%, 07/15/31		277
	1,852	Series 2344, Class QG, 6.000%, 08/15/16		1,990
	9,673	Series 2344, Class ZD, 6.500%, 08/15/31		10,776
	1,059	Series 2344, Class ZJ, 6.500%, 08/15/31		1,185
	848	Series 2345, Class NE, 6.500%, 08/15/31		899
	936	Series 2345, Class PQ, 6.500%, 08/15/16		988
	362	Series 2347, Class VP, 6.500%, 03/15/20		370
	1,124	Series 2351, Class PZ, 6.500%, 08/15/31		1,213
	2,448	Series 2353, Class TD, 6.000%, 09/15/16		2,599
	783	Series 2355, Class BP, 6.000%, 09/15/16		840
	253	Series 2359, Class PM, 6.000%, 09/15/16		268
	2,140	Series 2359, Class ZB, 8.500%, 06/15/31		2,542
	1,294	Series 2360, Class PG, 6.000%, 09/15/16		1,396
	219	Series 2363, Class PF, 6.000%, 09/15/16		236
	666	Series 2366, Class MD, 6.000%, 10/15/16		717
	799	Series 2367, Class ME, 6.500%, 10/15/31		887
	977	Series 2388, Class FB, VAR, 0.807%, 01/15/29		980
	1,957	Series 2391, Class QR, 5.500%, 12/15/16		2,101
	567	Series 2394, Class MC, 6.000%, 12/15/16		611


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,000	Series 2399, Class OH, 6.500%, 01/15/32		1,119
	1,684	Series 2399, Class TH, 6.500%, 01/15/32		1,879
	1,816	Series 2410, Class NG, 6.500%, 02/15/32		2,055
	997	Series 2410, Class OE, 6.375%, 02/15/32		1,114
	2,263	Series 2410, Class QS, IF, 18.961%, 02/15/32		2,672
	635	Series 2410, Class QX, IF, IO, 8.443%, 02/15/32		148
	2,321	Series 2412, Class SP, IF, 15.686%, 02/15/32		2,957
	4,497	Series 2418, Class FO, VAR, 1.107%, 02/15/32		4,545
	2,045	Series 2420, Class XK, 6.500%, 02/15/32		2,278
	1,173	Series 2423, Class MC, 7.000%, 03/15/32		1,322
	1,544	Series 2423, Class MT, 7.000%, 03/15/32		1,739
	1,840	Series 2423, Class TB, 6.500%, 03/15/32		2,052
	530	Series 2425, Class OB, 6.000%, 03/15/17		574
	2,552	Series 2430, Class WF, 6.500%, 03/15/32		2,950
	3,099	Series 2434, Class TC, 7.000%, 04/15/32		3,558
	6,368	Series 2434, Class ZA, 6.500%, 04/15/32		7,365
	1,797	Series 2435, Class CJ, 6.500%, 04/15/32		2,125
	875	Series 2435, Class VH, 6.000%, 07/15/19		879
	1,249	Series 2436, Class MC, 7.000%, 04/15/32		1,419
	664	Series 2441, Class GF, 6.500%, 04/15/32		768
	1,450	Series 2444, Class ES, IF, IO, 7.743%, 03/15/32		291
	1,177	Series 2450, Class GZ, 7.000%, 05/15/32		1,375
	946	Series 2450, Class SW, IF, IO, 7.793%, 03/15/32		189
	2,415	Series 2455, Class GK, 6.500%, 05/15/32		2,771
	398	Series 2458, Class QE, 5.500%, 06/15/17		426
	1,831	Series 2458, Class ZM, 6.500%, 06/15/32		2,078
	1,838	Series 2463, Class CE, 6.000%, 06/15/17		1,979
	1,618	Series 2466, Class DH, 6.500%, 06/15/32		1,832
	2,159	Series 2466, Class PG, 6.500%, 04/15/32		2,283
	1,400	Series 2466, Class PH, 6.500%, 06/15/32		1,647
	1,986	Series 2474, Class NR, 6.500%, 07/15/32		2,271
	5,140	Series 2475, Class S, IF, IO, 7.793%, 02/15/32		859
	3,106	Series 2484, Class LZ, 6.500%, 07/15/32		3,603
	264	Series 2488, Class WS, IF, 16.264%, 08/15/17		307
	5,166	Series 2500, Class MC, 6.000%, 09/15/32		5,725
	689	Series 2508, Class AQ, 5.500%, 10/15/17		747
	4,073	Series 2512, Class PG, 5.500%, 10/15/22		4,512
	142	Series 2513, Class YO, PO, 02/15/32		141


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,406	Series 2515, Class DE, 4.000%, 03/15/32		1,453
	1,245	Series 2515, Class MG, 4.000%, 09/15/17		1,295
	794	Series 2518, Class PX, 5.500%, 09/15/13		821
	8	Series 2519, Class BT, 8.500%, 09/15/31		8
	1,594	Series 2535, Class BK, 5.500%, 12/15/22		1,764
	3,385	Series 2537, Class TE, 5.500%, 12/15/17		3,650
	1,595	Series 2543, Class LX, 5.000%, 12/15/17		1,722
	5,462	Series 2543, Class YX, 6.000%, 12/15/32		6,222
	3,276	Series 2544, Class HC, 6.000%, 12/15/32		3,669
	3,565	Series 2549, Class ZG, 5.000%, 01/15/18		3,814
	3,763	Series 2552, Class ME, 6.000%, 01/15/33		4,231
	1,904	Series 2567, Class QD, 6.000%, 02/15/33		2,177
	15,000	Series 2568, Class KG, 5.500%, 02/15/23		16,653
	1,922	Series 2571, Class FY, VAR, 0.957%, 12/15/32		1,935
	335	Series 2571, Class SK, HB, IF, 33.606%, 09/15/23		616
	1,133	Series 2571, Class SY, IF, 18.103%, 12/15/32		1,454
	2,196	Series 2574, Class HP, 5.000%, 02/15/18		2,373
	8,791	Series 2575, Class ME, 6.000%, 02/15/33		10,043
	1,416	Series 2586, Class HD, 5.500%, 03/15/23		1,538
	1,477	Series 2586, Class WI, IO, 6.500%, 03/15/33		279
	1,705	Series 2594, Class VQ, 6.000%, 08/15/20		1,730
	1,420	Series 2595, Class HC, 5.500%, 04/15/23		1,681
	2,051	Series 2596, Class QG, 6.000%, 03/15/33		2,307
	1,154	Series 2597, Class AD, 6.500%, 03/15/32		1,200
	410	Series 2597, Class DS, IF, IO, 7.343%, 02/15/33		23
	539	Series 2599, Class DS, IF, IO, 6.793%, 02/15/33		26
	2,168	Series 2610, Class DS, IF, IO, 6.893%, 03/15/33		67
	1,320	Series 2611, Class SH, IF, IO, 7.443%, 10/15/21		24
	1,494	Series 2611, Class UH, 4.500%, 05/15/18		1,577
	3,631	Series 2617, Class GR, 4.500%, 05/15/18		3,876
	138	Series 2619, Class HR, 3.500%, 11/15/31		142
	269	Series 2619, Class IM, IO, 5.000%, 10/15/21		3
	4,947	Series 2626, Class NS, IF, IO, 6.343%, 06/15/23		362
	184	Series 2628, Class WA, 4.000%, 07/15/28		185
	1,767	Series 2629, Class BY, IO, 4.500%, 03/15/18		128
	1,238	Series 2630, Class S, IF, IO, 6.943%, 01/15/17		22
	7,882	Series 2631, Class LC, 4.500%, 06/15/18		8,406


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	6,546	Series 2631, Class SA, IF, 14.470%, 06/15/33		7,889
	12,288	Series 2636, Class Z, 4.500%, 06/15/18		13,102
	1,541	Series 2637, Class SA, IF, IO, 5.893%, 06/15/18		177
	920	Series 2638, Class DS, IF, 8.393%, 07/15/23		997
	142	Series 2638, Class SA, IF, IO, 6.893%, 11/15/16		1
	1,230	Series 2640, Class UG, IO, 5.000%, 01/15/32		93
	5,110	Series 2640, Class UP, IO, 5.000%, 01/15/32		361
	17	Series 2640, Class UR, IO, 4.500%, 08/15/17		—	(h)
	798	Series 2640, Class VE, 3.250%, 07/15/22		824
	738	Series 2642, Class SL, IF, 6.706%, 07/15/33		753
	469	Series 2646, Class SH, IF, 13.529%, 07/15/33		499
	1,629	Series 2649, Class QE, 4.500%, 08/15/17		1,647
	719	Series 2650, Class PO, PO, 12/15/32		681
	3,366	Series 2650, Class SO, PO, 12/15/32		3,195
	12,389	Series 2651, Class VZ, 4.500%, 07/15/18		13,204
	3,927	Series 2655, Class EO, PO, 02/15/33		3,697
	1,359	Series 2658, Class PE, 4.500%, 11/15/16		1,379
	730	Series 2667, Class SW, IF, 6.598%, 01/15/18		759
	156	Series 2668, Class S, IF, 11.586%, 09/15/33		157
	679	Series 2668, Class SB, IF, 7.016%, 10/15/15		682
	2,068	Series 2671, Class S, IF, 14.378%, 09/15/33		2,487
	3,598	Series 2672, Class ME, 5.000%, 11/15/22		3,931
	295	Series 2672, Class SJ, IF, 6.971%, 09/15/16		299
	11,345	Series 2675, Class CK, 4.000%, 09/15/18		12,034
	394	Series 2676, Class TS, IF, 15.824%, 01/15/32		404
	8,000	Series 2677, Class LE, 4.500%, 09/15/18		8,798
	2,805	Series 2682, Class YS, IF, 8.718%, 10/15/33		2,829
	18,000	Series 2684, Class PO, PO, 01/15/33		16,623
	66	Series 2684, Class SN, HB, IF, 27.214%, 10/15/33		73
	1,192	Series 2684, Class TO, PO, 10/15/33		1,131
	208	Series 2686, Class GB, 5.000%, 05/15/20		208
	753	Series 2686, Class NS, IF, IO, 7.393%, 10/15/21		26
	12,300	Series 2690, Class SJ, IF, 8.839%, 10/15/33		12,634
	898	Series 2691, Class ND, 5.000%, 10/15/28		902
	807	Series 2691, Class SE, IF, 9.248%, 12/15/28		820
	950	Series 2691, Class SM, IF, 8.839%, 10/15/33		961
	1,297	Series 2691, Class WS, IF, 8.689%, 10/15/33		1,310
	2,326	Series 2692, Class SC, IF, 12.872%, 07/15/33		2,629


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	461	Series 2694, Class SQ, IF, 8.718%, 10/15/33		461
	1,142	Series 2695, Class DE, 4.000%, 01/15/17		1,163
	2,142	Series 2695, Class OB, PO, 10/15/33		1,823
	465	Series 2696, Class CO, PO, 10/15/18		427
	237	Series 2697, Class LE, 4.500%, 11/15/20		239
	1,691	Series 2698, Class SV, IF, 8.689%, 11/15/33		1,701
	4,294	Series 2700, Class S, IF, 8.689%, 11/15/33		4,349
	1,791	Series 2702, Class PC, 5.000%, 01/15/23		1,938
	1,209	Series 2705, Class SC, IF, 8.689%, 11/15/33		1,222
	1,938	Series 2705, Class SD, IF, 8.734%, 11/15/33		1,999
	7,400	Series 2707, Class QE, 4.500%, 11/15/18		8,164
	5,000	Series 2709, Class PG, 5.000%, 11/15/23		5,669
	2,000	Series 2710, Class HB, 5.500%, 11/15/23		2,291
	2,240	Series 2715, Class OG, 5.000%, 01/15/23		2,456
	4,480	Series 2716, Class UN, 4.500%, 12/15/23		4,876
	1,985	Series 2720, Class PC, 5.000%, 12/15/23		2,182
	3,233	Series 2725, Class OP, PO, 10/15/33		3,030
	15,954	Series 2727, Class BS, IF, 8.764%, 01/15/34		16,185
	10,505	Series 2733, Class SB, IF, 7.824%, 10/15/33		11,839
	1,503	Series 2743, Class HD, 4.500%, 08/15/17		1,549
	5,000	Series 2743, Class HE, 4.500%, 02/15/19		5,512
	236	Series 2744, Class FE, VAR, 02/15/34		236
	129	Series 2744, Class PD, 5.500%, 08/15/33		130
	2,535	Series 2744, Class PE, 5.500%, 02/15/34		2,763
	5,319	Series 2744, Class TU, 5.500%, 05/15/32		5,676
	2,752	Series 2748, Class KO, PO, 10/15/23		2,613
	10	Series 2754, Class JG, 4.500%, 03/15/33		10
	1,155	Series 2755, Class PA, PO, 02/15/29		1,116
	1,901	Series 2755, Class SA, IF, 13.786%, 05/15/30		2,146
	3,857	Series 2758, Class AO, PO, 03/15/19		3,731
	49	Series 2762, Class LO, PO, 03/15/34		49
	20	Series 2766, Class SX, IF, 15.935%, 03/15/34		20
	2,370	Series 2770, Class TW, 4.500%, 03/15/19		2,626
	298	Series 2771, Class FG, VAR, 0.000%, 03/15/34		292
	1,221	Series 2776, Class SK, IF, 8.764%, 04/15/34		1,224
	5,717	Series 2777, Class KO, PO, 02/15/33		5,458
	1,649	Series 2778, Class US, IF, IO, 6.993%, 06/15/33		50
	410	Series 2780, Class JG, 4.500%, 04/15/19		433
	1,000	Series 2780, Class SY, IF, 16.044%, 11/15/33		1,184
	5,672	Series 2802, Class OH, 6.000%, 05/15/34		6,600


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	722	Series 2809, Class UB, 4.000%, 09/15/17		734
	2,000	Series 2809, Class UC, 4.000%, 06/15/19		2,141
	749	Series 2812, Class AB, 4.500%, 10/15/18		774
	4,031	Series 2812, Class NO, PO, 10/15/33		3,067
	6,150	Series 2827, Class QE, 5.500%, 03/15/33		6,519
	51	Series 2827, Class SQ, IF, 7.500%, 01/15/19		51
	2,860	Series 2835, Class BO, PO, 12/15/28		2,693
	540	Series 2835, Class QO, PO, 12/15/32		486
	535	Series 2840, Class JO, PO, 06/15/23		503
	660	Series 2863, Class JA, 4.500%, 09/15/19		699
	1,837	Series 2864, Class GB, 4.000%, 09/15/19		1,947
	326	Series 2865, Class GO, PO, 10/15/33		318
	496	Series 2897, Class EO, PO, 10/15/31		493
	1,060	Series 2903, Class UZ, 5.500%, 07/15/31		1,080
	2,789	Series 2903, Class Z, 5.000%, 12/15/24		3,087
	7,872	Series 2921, Class MD, 5.000%, 06/15/33		8,245
	9,821	Series 2922, Class JN, 4.500%, 02/15/20		10,598
	200	Series 2925, Class MW, VAR, 01/15/35		199
	1,984	Series 2929, Class MS, HB, IF, 27.248%, 02/15/35		3,279
	13,621	Series 2934, Class EC, PO, 02/15/20		13,124
	763	Series 2934, Class EN, PO, 02/15/18		725
	4,057	Series 2934, Class HI, IO, 5.000%, 02/15/20		454
	2,920	Series 2934, Class KI, IO, 5.000%, 02/15/20		343
	1,514	Series 2945, Class SA, IF, 11.921%, 03/15/20		1,764
	2,319	Series 2965, Class GD, 4.500%, 04/15/20		2,568
	1,324	Series 2967, Class S, HB, IF, 32.685%, 04/15/25		2,030
	10,244	Series 2968, Class EH, 6.000%, 04/15/35		12,182
	5,000	Series 2968, Class MD, 5.500%, 12/15/33		5,540
	3,760	Series 2981, Class FA, VAR, 0.607%, 05/15/35		3,741
	3,519	Series 2988, Class AF, VAR, 0.507%, 06/15/35		3,488
	1,364	Series 2988, Class GS, IF, 16.107%, 06/15/35		1,476
	177	Series 2988, Class SD, IF, 15.982%, 03/15/35		187
	735	Series 2989, Class PO, PO, 06/15/23		692
	1,772	Series 2990, Class GO, PO, 02/15/35		1,522
	4,991	Series 2990, Class LK, VAR, 0.577%, 10/15/34		4,979
	4,020	Series 2990, Class SL, HB, IF, 23.734%, 06/15/34		5,796


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,622	Series 2990, Class WP, IF, 16.493%, 06/15/35		1,853
	4,459	Series 2991, Class EG, 5.500%, 11/15/34		4,687
	5,000	Series 2992, Class LB, 5.000%, 06/15/20		5,712
	10,280	Series 2995, Class FK, VAR, 0.457%, 05/15/34		10,235
	798	Series 2996, Class SL, IF, 15.245%, 06/15/35		821
	6,000	Series 2999, Class NC, 4.500%, 12/15/18		6,251
	4,500	Series 2999, Class ND, 4.500%, 07/15/20		4,963
	496	Series 3007, Class AI, IO, 5.500%, 07/15/24		47
	317	Series 3014, Class OD, PO, 08/15/35		275
	724	Series 3022, Class SX, IF, 16.357%, 08/15/25		861
	1,836	Series 3029, Class SO, PO, 09/15/35		1,655
	167	Series 3034, Class FB, VAR, 09/15/35		161
	4,468	Series 3042, Class PF, VAR, 0.457%, 08/15/35		4,442
	62	Series 3044, Class GU, VAR, 10/15/35		61
	147	Series 3044, Class VO, PO, 10/15/35		140
	2,014	Series 3047, Class OB, 5.500%, 12/15/33		2,115
	19,896	Series 3049, Class XF, VAR, 0.557%, 05/15/33		19,822
	1,666	Series 3051, Class DP, HB, IF, 27.116%, 10/15/25		2,501
	160	Series 3058, Class YO, PO, 10/15/35		151
	1,340	Series 3064, Class OB, 5.500%, 07/15/29		1,378
	1,613	Series 3064, Class SG, IF, 19.309%, 11/15/35		2,239
	6,150	Series 3065, Class DF, VAR, 0.587%, 04/15/35		6,138
	872	Series 3068, Class AO, PO, 01/15/35		835
	4,133	Series 3077, Class TO, PO, 04/15/35		3,838
	6,912	Series 3085, Class WF, VAR, 1.007%, 08/15/35		6,971
	716	Series 3100, Class MA, VAR, 2.781%, 12/15/35		709
	7,682	Series 3101, Class UZ, 6.000%, 01/15/36		8,972
	7,186	Series 3102, Class FB, VAR, 0.507%, 01/15/36		7,164
	780	Series 3102, Class HS, HB, IF, 23.807%, 01/15/36		1,125
	8,431	Series 3117, Class AO, PO, 02/15/36		7,776
	1,722	Series 3117, Class EO, PO, 02/15/36		1,592
	1,666	Series 3117, Class OK, PO, 02/15/36		1,488
	5,155	Series 3122, Class OH, PO, 03/15/36		4,737
	4,819	Series 3122, Class OP, PO, 03/15/36		4,486


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	127	Series 3122, Class ZB, 6.000%, 03/15/36		134
	676	Series 3134, Class PO, PO, 03/15/36		618
	4,821	Series 3137, Class XP, 6.000%, 04/15/36		5,418
	3,717	Series 3138, Class PO, PO, 04/15/36		3,321
	9,660	Series 3147, Class PO, PO, 04/15/36		8,819
	603	Series 3149, Class SO, PO, 05/15/36		508
	2,182	Series 3151, Class PO, PO, 05/15/36		2,040
	4,401	Series 3153, Class EO, PO, 05/15/36		4,024
	1,900	Series 3162, Class OB, 6.000%, 11/15/30		1,946
	2,400	Series 3164, Class MG, 6.000%, 06/15/36		2,727
	6,968	Series 3171, Class MO, PO, 06/15/36		6,331
	1,194	Series 3174, Class PX, 5.000%, 06/15/17		1,313
	3,168	Series 3179, Class OA, PO, 07/15/36		2,821
	3,823	Series 3181, Class AZ, 6.500%, 07/15/36		4,565
	7,532	Series 3184, Class OA, PO, 02/15/33		7,202
	130	Series 3186, Class MT, IF, 4.607%, 07/15/36		131
	7,300	Series 3189, Class PC, 6.000%, 08/15/35		8,180
	2,947	Series 3194, Class SA, IF, IO, 6.893%, 07/15/36		439
	7,030	Series 3195, Class PD, 6.500%, 07/15/36		7,926
	13,250	Series 3200, Class AY, 5.500%, 08/15/36		14,719
	30,067	Series 3202, Class HI, IF, IO, 6.443%, 08/15/36		4,794
	1,441	Series 3213, Class OA, PO, 09/15/36		1,329
	1,120	Series 3218, Class AO, PO, 09/15/36		1,021
	7,000	Series 3218, Class BE, 6.000%, 09/15/35		7,924
	10,359	Series 3219, Class DI, IO, 6.000%, 04/15/36		1,764
	3,142	Series 3225, Class EO, PO, 10/15/36		2,854
	4,268	Series 3232, Class ST, IF, IO, 6.493%, 10/15/36		625
	1,244	Series 3233, Class OP, PO, 05/15/36		1,136
	525	Series 3253, Class A, 5.000%, 08/15/20		548
	19,333	Series 3253, Class PO, PO, 12/15/21		18,902
	1,308	Series 3256, Class PO, PO, 12/15/36		1,177
	2,537	Series 3260, Class CS, IF, IO, 5.933%, 01/15/37		350
	1,231	Series 3261, Class OA, PO, 01/15/37		1,079
	223	Series 3263, Class TP, VAR, 08/15/35		223
	9,000	Series 3266, Class D, 5.000%, 01/15/22		10,049
	8,200	Series 3274, Class B, 6.000%, 02/15/37		9,223
	1,870	Series 3274, Class JO, PO, 02/15/37		1,663
	5,160	Series 3275, Class FL, VAR, 0.647%, 02/15/37		5,135
	5,500	Series 3284, Class CB, 5.000%, 03/15/22		6,308
	2,728	Series 3286, Class PO, PO, 03/15/37		2,420


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	4,701	Series 3290, Class SB, IF, IO, 6.243%, 03/15/37		730
	3,000	Series 3302, Class UT, 6.000%, 04/15/37		3,426
	3,982	Series 3305, Class MG, IF, 2.427%, 07/15/34		4,020
	6,448	Series 3315, Class HZ, 6.000%, 05/15/37		7,579
	300	Series 3318, Class AO, PO, 05/15/37		269
	5,000	Series 3329, Class JD, 6.000%, 06/15/36		5,716
	3,330	Series 3329, Class WK, 6.000%, 12/15/31		3,441
	2,310	Series 3331, Class PO, PO, 06/15/37		1,969
	2,723	Series 3334, Class MC, 5.000%, 04/15/33		2,785
	8,212	Series 3344, Class FT, VAR, 0.557%, 07/15/34		8,185
	3,776	Series 3344, Class SL, IF, IO, 6.393%, 07/15/37		595
	1,664	Series 3365, Class PO, PO, 09/15/37		1,418
	3,165	Series 3369, Class VA, 6.000%, 07/15/18		3,380
	1,390	Series 3371, Class FA, VAR, 0.807%, 09/15/37		1,395
	2,210	Series 3373, Class TO, PO, 04/15/37		2,010
	16,125	Series 3383, Class SA, IF, IO, 6.243%, 11/15/37		2,277
	20,977	Series 3387, Class SA, IF, IO, 6.213%, 11/15/37		3,020
	2,672	Series 3389, Class DQ, 5.750%, 10/15/35		2,896
	5,107	Series 3393, Class JO, PO, 09/15/32		4,327
	5,426	Series 3398, Class PO, PO, 01/15/36		5,052
	4,000	Series 3402, Class NC, 5.000%, 12/15/22		4,527
	21,640	Series 3404, Class SC, IF, IO, 5.793%, 01/15/38		2,662
	1,201	Series 3422, Class SE, IF, 16.932%, 02/15/38		1,398
	10,675	Series 3424, Class PI, IF, IO, 6.593%, 04/15/38		1,849
	12,449	Series 3430, Class AI, IO, 1.417%, 09/15/12		121
	534	Series 3443, Class SY, IF, 9.000%, 03/15/37		557
	14,500	Series 3453, Class B, 5.500%, 05/15/38		15,961
	7,356	Series 3455, Class SE, IF, IO, 5.993%, 06/15/38		949
	2,478	Series 3461, Class LZ, 6.000%, 06/15/38		2,834
	7,252	Series 3461, Class Z, 6.000%, 06/15/38		8,620
	13,071	Series 3481, Class SJ, IF, IO, 5.643%, 08/15/38		1,620
	7,500	Series 3493, Class LA, 4.000%, 10/15/23		8,148
	6,500	Series 3501, Class CB, 5.500%, 01/15/39		7,155
	11,681	Series 3505, Class SA, IF, IO, 5.793%, 01/15/39		1,320
	2,981	Series 3510, Class OD, PO, 02/15/37		2,686


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	11,310	Series 3511, Class SA, IF, IO, 5.793%, 02/15/39		1,285
	2,251	Series 3515, Class PI, IO, 5.500%, 07/15/37		275
	3,036	Series 3523, Class SD, IF, 19.093%, 06/15/36		3,959
	68	Series 3531, Class MZ, 4.500%, 05/15/39		68
	16,814	Series 3531, Class SA, IF, IO, 6.093%, 05/15/39		1,996
	11,062	Series 3531, Class SM, IF, IO, 5.893%, 05/15/39		1,522
	3,915	Series 3546, Class A, VAR, 5.929%, 02/15/39		4,229
	12,684	Series 3549, Class FA, VAR, 1.407%, 07/15/39		12,722
	5,748	Series 3564, Class JA, 4.000%, 01/15/18		6,067
	5,750	Series 3607, Class AO, PO, 04/15/36		5,012
	10,538	Series 3607, Class BO, PO, 04/15/36		9,185
	5,224	Series 3607, Class EO, PO, 02/15/33		4,919
	7,374	Series 3607, Class OP, PO, 07/15/37		6,398
	5,176	Series 3607, Class TO, PO, 10/15/39		4,467
	16,923	Series 3608, Class SC, IF, IO, 6.043%, 12/15/39		2,163
	11,671	Series 3611, Class PO, PO, 07/15/34		10,484
	7,979	Series 3621, Class BO, PO, 01/15/40		7,085
	4,600	Series 3632, Class BS, IF, 16.809%, 02/15/40		6,328
	2,810	Series 3645, Class KZ, 5.500%, 08/15/36		3,209
	6,800	Series 3654, Class DC, 5.000%, 04/15/30		7,684
	4,039	Series 3654, Class VB, 5.500%, 10/15/27		4,526
	3,857	Series 3659, Class VE, 5.000%, 03/15/26		4,268
	12,068	Series 3666, Class VA, 5.500%, 12/15/22		13,463
	24,909	Series 3680, Class MA, 4.500%, 07/15/39		27,215
	18,718	Series 3687, Class MA, 4.500%, 02/15/37		20,306
	9,260	Series 3688, Class CU, VAR, 6.808%, 11/15/21		10,639
	31,135	Series 3688, Class GT, VAR, 7.157%, 11/15/46		36,056
	86,111	Series 3704, Class CT, 7.000%, 12/15/36		99,736
	38,658	Series 3704, Class DT, 7.500%, 11/15/36		45,305
	36,207	Series 3704, Class ET, 7.500%, 12/15/36		42,454
	22,501	Series 3740, Class SB, IF, IO, 5.793%, 10/15/40		4,464
	23,142	Series 3740, Class SC, IF, IO, 5.793%, 10/15/40		4,092
	52,868	Series 3747, Class HI, IO, 4.500%, 07/15/37		7,781
	30,456	Series 3756, Class IP, IO, 4.000%, 08/15/35		4,174
	40,441	Series 3759, Class HI, IO, 4.000%, 08/15/37		7,116


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	33,588	Series 3760, Class GI, IO, 4.000%, 10/15/37		6,118
	24,048	Series 3760, Class NI, IO, 4.000%, 10/15/37		4,094
	19,198	Series 3779, Class IH, IO, 4.000%, 11/15/34		2,857
	9,266	Series 3798, Class BF, VAR, 0.507%, 06/15/24		9,242
	12,650	Series 3800, Class AI, IO, 4.000%, 11/15/29		1,938
	79,051	Series 3802, Class LS, IF, IO, 4.597%, 01/15/40		6,176
	30,758	Series 3819, Class ZQ, 6.000%, 04/15/36		35,728
	10,108	Series 3895, Class WA, VAR, 5.695%, 10/15/38		11,347
	14,173	Series R006, Class ZA, 6.000%, 04/15/36		16,464
	19,169	Series R007, Class ZA, 6.000%, 05/15/36		22,364
		Federal Home Loan Mortgage Corp. STRIPS,
	6	Series 134, Class B, IO, 9.000%, 04/01/22		2
	4,589	Series 197, Class PO, PO, 04/01/28		4,332
	12,504	Series 233, Class 11, IO, 5.000%, 09/15/35		1,820
	10,168	Series 233, Class 12, IO, 5.000%, 09/15/35		1,465
	19,748	Series 233, Class 13, IO, 5.000%, 09/15/35		2,853
	60,270	Series 239, Class S30, IF, IO, 7.493%, 08/15/36		8,802
	5,911	Series 243, Class 16, IO, 4.500%, 11/15/20		562
	3,739	Series 243, Class 17, IO, 4.500%, 12/15/20		368
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	1,278	Series T-41, Class 3A, VAR, 7.010%, 07/25/32		1,473
	5,428	Series T-42, Class A5, 7.500%, 02/25/42		6,552
	3,793	Series T-48, Class 1A, VAR, 6.318%, 07/25/33		4,452
	829	Series T-51, Class 2A, VAR, 7.500%, 08/25/42		980
	5,085	Series T-54, Class 2A, 6.500%, 02/25/43		5,746
	1,746	Series T-54, Class 3A, 7.000%, 02/25/43		2,027
	12,497	Series T-56, Class A5, 5.231%, 05/25/43		13,591
	1,434	Series T-57, Class 1A3, 7.500%, 07/25/43		1,664
	538	Series T-57, Class 1AP, PO, 07/25/43		446
	6,978	Series T-58, Class 4A, 7.500%, 09/25/43		8,275
	649	Series T-58, Class APO, PO, 09/25/43		541
	6,731	Series T-59, Class 1A2, 7.000%, 10/25/43		7,812
	741	Series T-59, Class 1AP, PO, 10/25/43		559
	34,137	Series T-76, Class 2A, VAR, 4.787%, 10/25/37		35,159
		Federal National Mortgage Association,
	21,500	Series 2010-M1, Class A2, 4.450%, 09/25/19		23,988


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	6,910		Series 2010-M7, Class A2, 3.655%, 11/25/20		7,290
	10,000		Series 2011-M1, Class A3, 3.763%, 06/25/21		10,570
	8,664		Series 2011-M2, Class A2, 3.645%, 07/25/21		8,794
	58,500		Series 2011-M2, Class A3, 3.764%, 07/25/21		59,377
	32,200		Series 2011-M4, Class A2, 3.726%, 06/25/21		32,644
			Federal National Mortgage Association Grantor Trust,
	2,509		Series 1999-T2, Class A1, VAR, 7.500%, 01/19/39		2,880
	2,940		Series 2001-T10, Class A2, 7.500%, 12/25/41		3,225
	2,806		Series 2001-T3, Class A1, 7.500%, 11/25/40		3,234
	3,171		Series 2002-T16, Class A2, 7.000%, 07/25/42		3,696
	955		Series 2004-T1, Class 1A2, 6.500%, 01/25/44		1,075
	6,915		Series 2004-T2, Class 1A4, 7.500%, 11/25/43		8,088
	3,845		Series 2004-T2, Class 2A, VAR, 3.945%, 07/25/43		4,092
	9,832		Series 2004-T3, Class 1A2, 6.500%, 02/25/44		11,346
	3,844		Series 2004-T3, Class 1A3, 7.000%, 02/25/44		4,507
	1,027		Series 2004-T3, Class PT1, VAR, 9.270%, 01/25/44		1,204
			Federal National Mortgage Association REMICS,
	20		Series 1988-7, Class Z, 9.250%, 04/25/18		22
	82		Series 1989-70, Class G, 8.000%, 10/25/19		97
	40		Series 1989-78, Class H, 9.400%, 11/25/19		47
	34		Series 1989-83, Class H, 8.500%, 11/25/19		42
	35		Series 1989-89, Class H, 9.000%, 11/25/19		41
	21		Series 1990-1, Class D, 8.800%, 01/25/20		24
	9		Series 1990-7, Class B, 8.500%, 01/25/20		11
	12		Series 1990-60, Class K, 5.500%, 06/25/20		13
	18		Series 1990-63, Class H, 9.500%, 06/25/20		21
	13		Series 1990-93, Class G, 5.500%, 08/25/20		14
	—	(h)	Series 1990-94, Class H, HB, 505.000%, 08/25/20		2
	—	(h)	Series 1990-95, Class J, HB, 1,118.040%, 08/25/20		5
	96		Series 1990-102, Class J, 6.500%, 08/25/20		106


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — Continued
	78		Series 1990-120, Class H, 9.000%, 10/25/20		90
	10		Series 1990-134, Class SC, HB, IF, 21.225%, 11/25/20		14
	1		Series 1990-140, Class K, HB, 652.145%, 12/25/20		8
	—	(h)	Series 1991-7, Class K, HB, 908.500%, 02/25/21		1
	23		Series 1991-24, Class Z, 5.000%, 03/25/21		25
	24		Series 1991-42, Class S, IF, 17.238%, 05/25/21		32
	3		Series 1992-101, Class J, 7.500%, 06/25/22		4
	646		Series 1992-117, Class MA, 8.000%, 07/25/22		751
	104		Series 1992-136, Class PK, 6.000%, 08/25/22		116
	123		Series 1992-143, Class MA, 5.500%, 09/25/22		136
	751		Series 1992-150, Class M, 8.000%, 09/25/22		927
	253		Series 1992-163, Class M, 7.750%, 09/25/22		293
	370		Series 1992-188, Class PZ, 7.500%, 10/25/22		425
	178		Series 1993-21, Class KA, 7.700%, 03/25/23		206
	444		Series 1993-25, Class J, 7.500%, 03/25/23		512
	70		Series 1993-27, Class SA, IF, 15.500%, 02/25/23		90
	1,095		Series 1993-37, Class PX, 7.000%, 03/25/23		1,246
	382		Series 1993-54, Class Z, 7.000%, 04/25/23		435
	4,261		Series 1993-56, Class PZ, 7.000%, 05/25/23		4,872
	184		Series 1993-62, Class SA, IF, 17.411%, 04/25/23		245
	2,306		Series 1993-99, Class Z, 7.000%, 07/25/23		2,652
	104		Series 1993-122, Class M, 6.500%, 07/25/23		118
	2,094		Series 1993-136, Class ZB, VAR, 6.792%, 07/25/23		2,388
	3,325		Series 1993-141, Class Z, 7.000%, 08/25/23		3,824
	96		Series 1993-165, Class SD, IF, 12.018%, 09/25/23		117
	120		Series 1993-165, Class SK, IF, 12.500%, 09/25/23		148
	65		Series 1993-167, Class GA, 7.000%, 09/25/23		65
	173		Series 1993-178, Class PK, 6.500%, 09/25/23		196


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	79	Series 1993-179, Class SB, HB, IF, 23.896%, 10/25/23		122
	53	Series 1993-179, Class SC, IF, 10.500%, 10/25/23		60
	3,236	Series 1993-183, Class KA, 6.500%, 10/25/23		3,678
	1,305	Series 1993-189, Class PL, 6.500%, 10/25/23		1,483
	227	Series 1993-199, Class FA, VAR, 0.800%, 10/25/23		228
	152	Series 1993-205, Class H, PO, 09/25/23		130
	142	Series 1993-220, Class SG, IF, 15.500%, 11/25/13		159
	98	Series 1993-225, Class SG, HB, IF, 26.464%, 12/25/13		120
	234	Series 1993-225, Class UB, 6.500%, 12/25/23		259
	67	Series 1993-230, Class FA, VAR, 0.850%, 12/25/23		68
	227	Series 1993-247, Class FE, VAR, 1.250%, 12/25/23		230
	277	Series 1993-247, Class SA, HB, IF, 25.085%, 12/25/23		436
	105	Series 1993-247, Class SU, IF, 11.612%, 12/25/23		136
	842	Series 1993-250, Class Z, 7.000%, 12/25/23		903
	1,159	Series 1993-257, Class C, PO, 06/25/23		1,125
	17	Series 1994-9, Class E, PO, 11/25/23		15
	914	Series 1994-37, Class L, 6.500%, 03/25/24		1,068
	4,368	Series 1994-40, Class Z, 6.500%, 03/25/24		4,963
	5,986	Series 1994-62, Class PK, 7.000%, 04/25/24		6,962
	3,085	Series 1994-63, Class PK, 7.000%, 04/25/24		3,665
	134	Series 1995-2, Class Z, 8.500%, 01/25/25		157
	373	Series 1995-19, Class Z, 6.500%, 11/25/23		445
	1,651	Series 1996-14, Class SE, IF, IO, 7.780%, 08/25/23		312
	64	Series 1996-27, Class FC, VAR, 0.750%, 03/25/17		65
	1,330	Series 1996-48, Class Z, 7.000%, 11/25/26		1,530
	167	Series 1996-59, Class J, 6.500%, 08/25/22		187
	172	Series 1996-59, Class K, 6.500%, 07/25/23		177
	359	Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27		14
	1,255	Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		53
	255	Series 1997-27, Class J, 7.500%, 04/18/27		284
	279	Series 1997-29, Class J, 7.500%, 04/20/27		315


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	930	Series 1997-32, Class PG, 6.500%, 04/25/27		1,090
	1,109	Series 1997-39, Class PD, 7.500%, 05/20/27		1,262
	227	Series 1997-42, Class EN, 7.250%, 07/18/27		238
	96	Series 1997-42, Class ZC, 6.500%, 07/18/27		110
	1,499	Series 1997-61, Class ZC, 7.000%, 02/25/23		1,690
	416	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		92
	60	Series 1998-4, Class C, PO, 04/25/23		56
	1,030	Series 1998-36, Class ZB, 6.000%, 07/18/28		1,165
	316	Series 1998-43, Class SA, IF, IO, 17.097%, 04/25/23		137
	510	Series 1998-66, Class SB, IF, IO, 7.932%, 12/25/28		124
	293	Series 1999-17, Class C, 6.350%, 04/25/29		337
	1,899	Series 1999-18, Class Z, 5.500%, 04/18/29		2,126
	501	Series 1999-38, Class SK, IF, IO, 7.832%, 08/25/23		80
	147	Series 1999-52, Class NS, HB, IF, 22.769%, 10/25/23		228
	386	Series 1999-62, Class PB, 7.500%, 12/18/29		452
	2,129	Series 2000-2, Class ZE, 7.500%, 02/25/30		2,493
	611	Series 2000-20, Class SA, IF, IO, 8.882%, 07/25/30		158
	95	Series 2000-52, Class IO, IO, 8.500%, 01/25/31		19
	779	Series 2001-4, Class PC, 7.000%, 03/25/21		856
	366	Series 2001-5, Class OW, 6.000%, 03/25/16		380
	323	Series 2001-7, Class PF, 7.000%, 03/25/31		378
	983	Series 2001-7, Class PR, 6.000%, 03/25/16		1,025
	971	Series 2001-10, Class PR, 6.000%, 04/25/16		1,011
	921	Series 2001-30, Class PM, 7.000%, 07/25/31		1,079
	2,266	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		504
	1,590	Series 2001-36, Class DE, 7.000%, 08/25/31		1,864
	2,008	Series 2001-44, Class MY, 7.000%, 09/25/31		2,350
	599	Series 2001-44, Class PD, 7.000%, 09/25/31		702
	425	Series 2001-44, Class PU, 7.000%, 09/25/31		498
	4,921	Series 2001-48, Class Z, 6.500%, 09/25/21		5,547
	575	Series 2001-49, Class Z, 6.500%, 09/25/31		666
	258	Series 2001-52, Class KB, 6.500%, 10/25/31		298


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	749	Series 2001-52, Class XN, 6.500%, 11/25/15		807
	4,499	Series 2001-60, Class PX, 6.000%, 11/25/31		5,105
	1,228	Series 2001-60, Class QS, HB, IF, 23.736%, 09/25/31		1,955
	3,097	Series 2001-61, Class Z, 7.000%, 11/25/31		3,629
	900	Series 2001-71, Class MB, 6.000%, 12/25/16		970
	1,531	Series 2001-71, Class QE, 6.000%, 12/25/16		1,646
	207	Series 2001-72, Class SX, IF, 16.957%, 12/25/31		248
	4,941	Series 2001-74, Class MB, 6.000%, 12/25/16		5,323
	286	Series 2001-80, Class PE, 6.000%, 07/25/29		289
	164	Series 2001-81, Class LO, PO, 01/25/32		153
	1,517	Series 2002-1, Class G, 7.000%, 07/25/23		1,736
	788	Series 2002-1, Class HC, 6.500%, 02/25/22		849
	544	Series 2002-1, Class SA, HB, IF, 24.478%, 02/25/32		862
	227	Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23		353
	1,310	Series 2002-2, Class UC, 6.000%, 02/25/17		1,414
	3,471	Series 2002-3, Class OG, 6.000%, 02/25/17		3,732
	2,840	Series 2002-5, Class PK, 6.000%, 02/25/22		3,291
	604	Series 2002-7, Class OG, 6.000%, 03/25/17		649
	1,992	Series 2002-7, Class TG, 6.000%, 03/25/17		2,138
	662	Series 2002-11, Class QG, 5.500%, 03/25/17		709
	2,877	Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32		133
	48	Series 2002-13, Class ST, IF, 10.000%, 03/25/32		52
	9,714	Series 2002-15, Class ZA, 6.000%, 04/25/32		10,963
	3,202	Series 2002-16, Class PG, 6.000%, 04/25/17		3,493
	4,036	Series 2002-18, Class PC, 5.500%, 04/25/17		4,208
	596	Series 2002-19, Class PE, 6.000%, 04/25/17		641
	127	Series 2002-21, Class LO, PO, 04/25/32		116
	1,712	Series 2002-21, Class PE, 6.500%, 04/25/32		1,950
	2,293	Series 2002-24, Class AJ, 6.000%, 04/25/17		2,509
	3,202	Series 2002-28, Class PK, 6.500%, 05/25/32		3,704
	1,249	Series 2002-31, Class S, IF, 18.796%, 05/25/17		1,556
	1,524	Series 2002-37, Class Z, 6.500%, 06/25/32		1,767
	7,130	Series 2002-38, Class QE, 6.000%, 06/25/17		7,660
	926	Series 2002-42, Class C, 6.000%, 07/25/17		1,005


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	3,879	Series 2002-48, Class GH, 6.500%, 08/25/32		4,415
	5,000	Series 2002-54, Class PG, 6.000%, 09/25/22		5,636
	479	Series 2002-55, Class QE, 5.500%, 09/25/17		525
	6,659	Series 2002-56, Class UC, 5.500%, 09/25/17		7,191
	2,576	Series 2002-57, Class AE, 5.500%, 09/25/17		2,777
	637	Series 2002-63, Class KC, 5.000%, 10/25/17		687
	757	Series 2002-71, Class AP, 5.000%, 11/25/32		838
	5,733	Series 2002-71, Class KM, 5.000%, 11/25/17		6,183
	882	Series 2002-77, Class S, IF, 14.083%, 12/25/32		1,061
	15,825	Series 2002-78, Class Z, 5.500%, 12/25/32		17,610
	6,967	Series 2002-81, Class JO, PO, 04/25/32		6,718
	1,817	Series 2002-83, Class CS, 6.881%, 08/25/23		2,075
	1,743	Series 2002-84, Class VB, 5.500%, 04/25/15		1,860
	1,353	Series 2002-90, Class A1, 6.500%, 06/25/42		1,570
	174	Series 2002-91, Class UH, IO, 5.500%, 06/25/22		7
	6,216	Series 2002-94, Class BK, 5.500%, 01/25/18		6,710
	1,257	Series 2003-9, Class NZ, 6.500%, 02/25/33		1,447
	1,484	Series 2003-14, Class TI, IO, 5.000%, 03/25/33		271
	5,000	Series 2003-17, Class EQ, 5.500%, 03/25/23		5,798
	4,550	Series 2003-22, Class UD, 4.000%, 04/25/33		4,834
	8,000	Series 2003-23, Class EQ, 5.500%, 04/25/23		9,239
	4,629	Series 2003-23, Class PG, 5.500%, 01/25/32		4,799
	535	Series 2003-27, Class DW, 4.500%, 04/25/17		546
	1,400	Series 2003-32, Class KC, 5.000%, 05/25/18		1,528
	5,692	Series 2003-33, Class IA, IO, 6.500%, 05/25/33		1,234
	2,614	Series 2003-34, Class AX, 6.000%, 05/25/33		2,944
	2,256	Series 2003-34, Class ED, 6.000%, 05/25/33		2,681
	640	Series 2003-34, Class GB, 6.000%, 03/25/33		735
	1,199	Series 2003-34, Class GE, 6.000%, 05/25/33		1,430
	811	Series 2003-35, Class EA, PO, 05/25/33		715
	671	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		121


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,960	Series 2003-39, Class LW, 5.500%, 05/25/23		2,249
	2,800	Series 2003-41, Class PE, 5.500%, 05/25/23		3,178
	1,090	Series 2003-42, Class GB, 4.000%, 05/25/33		1,163
	804	Series 2003-45, Class AI, IO, 5.500%, 05/25/33		48
	2,715	Series 2003-47, Class PE, 5.750%, 06/25/33		3,075
	1,160	Series 2003-52, Class SX, HB, IF, 22.295%, 10/25/31		1,743
	4,200	Series 2003-56, Class AZ, 5.500%, 08/25/31		4,352
	20	Series 2003-60, Class NJ, 5.000%, 07/25/21		20
	2,323	Series 2003-64, Class SX, IF, 13.279%, 07/25/33		2,560
	5,000	Series 2003-67, Class TJ, 4.750%, 07/25/18		5,505
	99	Series 2003-67, Class VQ, 7.000%, 01/25/19		101
	142	Series 2003-68, Class QP, 3.000%, 07/25/22		145
	3,728	Series 2003-71, Class DS, IF, 7.216%, 08/25/33		3,773
	16,169	Series 2003-72, Class IE, IO, 5.500%, 08/25/33		2,778
	5,000	Series 2003-73, Class HC, 5.500%, 08/25/33		5,569
	2,705	Series 2003-73, Class HF, VAR, 0.668%, 01/25/31		2,705
	434	Series 2003-74, Class SH, IF, 9.777%, 08/25/33		444
	2,261	Series 2003-76, Class SH, IF, 13.763%, 09/25/31		2,632
	6,132	Series 2003-80, Class SY, IF, IO, 7.432%, 06/25/23		724
	7,000	Series 2003-81, Class HC, 4.750%, 09/25/18		7,541
	1,580	Series 2003-81, Class LC, 4.500%, 09/25/18		1,711
	1,929	Series 2003-82, Class VB, 5.500%, 08/25/33		2,138
	8,404	Series 2003-83, Class PG, 5.000%, 06/25/23		9,122
	1,279	Series 2003-91, Class SD, IF, 12.136%, 09/25/33		1,490
	589	Series 2003-92, Class GA, 4.500%, 09/25/18		604
	169	Series 2003-92, Class SH, IF, 9.234%, 09/25/18		176
	18,529	Series 2003-105, Class AZ, 5.500%, 10/25/33		22,054


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,758	Series 2003-106, Class US, IF, 8.747%, 11/25/23		1,791
	6,274	Series 2003-116, Class SB, IF, IO, 7.382%, 11/25/33		1,330
	6,167	Series 2003-117, Class JB, 3.500%, 06/25/33		6,501
	2,240	Series 2003-122, Class TE, 5.000%, 12/25/22		2,449
	853	Series 2003-128, Class KE, 4.500%, 01/25/14		881
	3,300	Series 2003-128, Class NG, 4.000%, 01/25/19		3,531
	2,166	Series 2003-130, Class CS, IF, 13.663%, 12/25/33		2,625
	1,094	Series 2003-130, Class SX, IF, 11.192%, 01/25/34		1,237
	1,102	Series 2003-131, Class SK, IF, 15.763%, 01/25/34		1,385
	563	Series 2003-132, Class OA, PO, 08/25/33		515
	5,895	Series 2004-3, Class BE, 4.000%, 02/25/19		6,311
	4,155	Series 2004-4, Class QI, IF, IO, 6.882%, 06/25/33		809
	3,090	Series 2004-4, Class QM, IF, 13.763%, 06/25/33		3,817
	2,739	Series 2004-10, Class SC, HB, IF, 27.726%, 02/25/34		3,981
	2,071	Series 2004-14, Class SD, IF, 8.747%, 03/25/34		2,101
	4,433	Series 2004-17, Class H, 5.500%, 04/25/34		4,903
	1,000	Series 2004-21, Class AE, 4.000%, 04/25/19		1,072
	1,878	Series 2004-21, Class CO, PO, 04/25/34		1,635
	438	Series 2004-22, Class A, 4.000%, 04/25/19		449
	3,275	Series 2004-25, Class PC, 5.500%, 01/25/34		3,675
	4,271	Series 2004-25, Class SA, IF, 18.924%, 04/25/34		5,888
	8,100	Series 2004-27, Class HB, 4.000%, 05/25/19		8,728
	6,766	Series 2004-28, Class PF, VAR, 0.618%, 03/25/34		6,759
	10,524	Series 2004-36, Class FA, VAR, 0.618%, 05/25/34		10,515
	2,157	Series 2004-36, Class PC, 5.500%, 02/25/34		2,424
	4,500	Series 2004-36, Class SA, IF, 18.924%, 05/25/34		6,239
	1,663	Series 2004-36, Class SN, IF, 13.763%, 07/25/33		2,086
	7,376	Series 2004-46, Class EP, PO, 03/25/34		6,690


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	3,278	Series 2004-46, Class HS, IF, IO, 5.782%, 05/25/30		146
	1,082	Series 2004-46, Class QB, HB, IF, 23.126%, 05/25/34		1,613
	953	Series 2004-46, Class SK, IF, 15.899%, 05/25/34		1,220
	1,108	Series 2004-51, Class SY, IF, 13.803%, 07/25/34		1,353
	1,273	Series 2004-53, Class NC, 5.500%, 07/25/24		1,363
	1,074	Series 2004-59, Class BG, PO, 12/25/32		968
	1,050	Series 2004-61, Class CO, PO, 10/25/31		1,027
	281	Series 2004-61, Class SH, HB, IF, 23.115%, 11/25/32		429
	845	Series 2004-61, Class SK, IF, 8.500%, 11/25/32		927
	5,000	Series 2004-65, Class EY, 5.500%, 08/25/24		5,721
	12,000	Series 2004-72, Class CB, 4.000%, 09/25/19		12,902
	1,043	Series 2004-74, Class SW, IF, 15.080%, 11/25/31		1,381
	2,251	Series 2004-76, Class CL, 4.000%, 10/25/19		2,389
	4,021	Series 2004-79, Class S, IF, 19.199%, 08/25/32		5,341
	1,341	Series 2004-79, Class SP, IF, 19.199%, 11/25/34		1,850
	2,000	Series 2004-81, Class AC, 4.000%, 11/25/19		2,119
	9,600	Series 2004-81, Class JG, 5.000%, 11/25/24		10,862
	877	Series 2004-89, Class EA, IF, 12.823%, 01/25/34		995
	1,530	Series 2004-92, Class BX, 5.500%, 09/25/34		1,676
	124	Series 2004-92, Class JO, PO, 12/25/34		118
	2,120	Series 2004-101, Class HD, 5.000%, 01/25/20		2,379
	1,084	Series 2005-14, Class BA, 4.500%, 04/25/19		1,122
	5,600	Series 2005-16, Class LE, 5.500%, 07/25/33		6,211
	4,600	Series 2005-25, Class PF, VAR, 0.568%, 04/25/35		4,576
	523	Series 2005-27, Class TH, 5.500%, 07/25/31		538
	1,011	Series 2005-42, Class PS, IF, 16.454%, 05/25/35		1,198
	1,012	Series 2005-45, Class BG, 4.500%, 06/25/25		1,033
	349	Series 2005-52, Class PA, 6.500%, 06/25/35		381
	4,348	Series 2005-56, Class S, IF, IO, 6.492%, 07/25/35		733


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	2,096	Series 2005-56, Class TP, IF, 17.495%, 08/25/33		2,674
	1,474	Series 2005-57, Class CD, HB, IF, 24.306%, 01/25/35		2,086
	437	Series 2005-57, Class DC, HB, IF, 21.065%, 12/25/34		558
	6,843	Series 2005-57, Class EG, VAR, 0.518%, 03/25/35		6,825
	1,000	Series 2005-59, Class SU, HB, IF, 24.408%, 06/25/35		1,404
	1,204	Series 2005-66, Class SG, IF, 16.829%, 07/25/35		1,417
	8,500	Series 2005-67, Class EY, 5.500%, 08/25/25		9,514
	1,500	Series 2005-68, Class BC, 5.250%, 06/25/35		1,653
	6,072	Series 2005-68, Class PG, 5.500%, 08/25/35		6,840
	2,500	Series 2005-68, Class UC, 5.000%, 06/25/35		2,739
	6,496	Series 2005-72, Class SB, IF, 16.329%, 08/25/35		7,598
	1,848	Series 2005-73, Class PS, IF, 16.154%, 08/25/35		2,188
	9,538	Series 2005-73, Class ZB, 5.500%, 08/25/35		10,863
	1,578	Series 2005-74, Class CP, HB, IF, 23.949%, 05/25/35		2,355
	6,877	Series 2005-74, Class CS, IF, 19.419%, 05/25/35		9,602
	4,728	Series 2005-74, Class SK, IF, 19.529%, 05/25/35		6,618
	1,029	Series 2005-75, Class SV, HB, IF, 23.326%, 09/25/35		1,519
	7,478	Series 2005-84, Class XM, 5.750%, 10/25/35		8,326
	152	Series 2005-86, Class GB, 5.000%, 10/25/35		154
	1,084	Series 2005-88, Class QO, PO, 11/25/33		1,075
	2,482	Series 2005-90, Class ES, IF, 16.329%, 10/25/35		2,940
	1,476	Series 2005-90, Class PO, PO, 09/25/35		1,399
	5,724	Series 2005-93, Class MF, VAR, 0.468%, 08/25/34		5,693
	12,676	Series 2005-106, Class US, HB, IF, 23.766%, 11/25/35		19,084
	4,388	Series 2005-109, Class PB, 6.000%, 01/25/34		4,562
	1,000	Series 2005-109, Class PC, 6.000%, 12/25/35		1,156
	12,487	Series 2005-110, Class GJ, 5.500%, 11/25/30		13,050


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	17,500	Series 2005-110, Class GK, 5.500%, 08/25/34		19,575
	5,659	Series 2005-110, Class GL, 5.500%, 12/25/35		6,538
	2,360	Series 2005-110, Class MJ, 5.500%, 01/25/33		2,452
	2,840	Series 2005-110, Class MN, 5.500%, 06/25/35		3,222
	1,288	Series 2005-116, Class PB, 6.000%, 04/25/34		1,392
	16,912	Series 2005-118, Class ME, 6.000%, 01/25/32		17,136
	22,000	Series 2005-118, Class PN, 6.000%, 01/25/32		23,558
	6,601	Series 2005-123, Class FG, VAR, 0.668%, 07/25/34		6,557
	4,000	Series 2006-7, Class TC, 6.000%, 09/25/33		4,258
	6,762	Series 2006-8, Class JZ, 5.500%, 03/25/36		7,830
	1,250	Series 2006-11, Class PS, HB, IF, 23.766%, 03/25/36		1,797
	6,762	Series 2006-12, Class BZ, 5.500%, 03/25/36		7,746
	2,153	Series 2006-15, Class OT, PO, 01/25/36		2,037
	4,297	Series 2006-16, Class FC, VAR, 0.518%, 03/25/36		4,285
	6,762	Series 2006-16, Class HZ, 5.500%, 03/25/36		7,663
	1,036	Series 2006-16, Class OA, PO, 03/25/36		956
	2,402	Series 2006-22, Class AO, PO, 04/25/36		2,173
	3,587	Series 2006-23, Class FK, VAR, 0.468%, 04/25/36		3,565
	1,865	Series 2006-23, Class KO, PO, 04/25/36		1,755
	4,923	Series 2006-27, Class OH, PO, 04/25/36		4,605
	1,079	Series 2006-33, Class LS, HB, IF, 29.167%, 05/25/36		1,518
	17,000	Series 2006-35, Class GD, 6.000%, 12/25/34		19,056
	2,000	Series 2006-39, Class WC, 5.500%, 01/25/36		2,247
	2,182	Series 2006-42, Class CF, VAR, 0.668%, 06/25/36		2,182
	3,897	Series 2006-43, Class DO, PO, 06/25/36		3,516
	69	Series 2006-43, Class G, 6.500%, 09/25/33		70
	1,405	Series 2006-43, Class PO, PO, 06/25/36		1,292
	3,431	Series 2006-43, Class VB, 6.500%, 10/25/17		3,643
	13,196	Series 2006-44, Class FP, VAR, 0.618%, 06/25/36		13,169
	2,400	Series 2006-44, Class GO, PO, 06/25/36		2,189


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	7,757	Series 2006-44, Class P, PO, 12/25/33		7,033
	3,316	Series 2006-46, Class FW, VAR, 0.618%, 06/25/36		3,310
	531	Series 2006-46, Class SW, HB, IF, 23.398%, 06/25/36		743
	2,000	Series 2006-46, Class UC, 5.500%, 12/25/35		2,248
	9,019	Series 2006-50, Class JO, PO, 06/25/36		8,061
	12,852	Series 2006-50, Class PS, PO, 06/25/36		11,571
	12,377	Series 2006-53, Class US, IF, IO, 6.362%, 06/25/36		1,839
	18,805	Series 2006-56, Class FC, VAR, 0.508%, 07/25/36		18,760
	6,972	Series 2006-56, Class PF, VAR, 0.568%, 07/25/36		6,952
	921	Series 2006-58, Class AP, PO, 07/25/36		855
	2,488	Series 2006-58, Class FL, VAR, 0.678%, 07/25/36		2,489
	8,825	Series 2006-58, Class IG, IF, IO, 6.302%, 07/25/36		1,311
	1,506	Series 2006-58, Class PO, PO, 07/25/36		1,359
	225	Series 2006-59, Class CO, PO, 08/25/35		219
	4,322	Series 2006-59, Class QO, PO, 01/25/33		4,056
	1,130	Series 2006-60, Class AK, HB, IF, 27.926%, 07/25/36		1,808
	6,393	Series 2006-60, Class DO, PO, 04/25/35		5,908
	1,178	Series 2006-62, Class PS, HB, IF, 38.590%, 07/25/36		2,009
	9,785	Series 2006-63, Class ZH, 6.500%, 07/25/36		11,620
	2,819	Series 2006-65, Class QO, PO, 07/25/36		2,571
	2,497	Series 2006-66, Class NV, 6.500%, 02/25/24		2,618
	15,589	Series 2006-71, Class ZL, 6.000%, 07/25/36		18,264
	5,079	Series 2006-72, Class GO, PO, 08/25/36		4,578
	1,421	Series 2006-72, Class TO, PO, 08/25/36		1,317
	371	Series 2006-75, Class CM, 6.500%, 12/25/33		374
	10,500	Series 2006-77, Class PC, 6.500%, 08/25/36		12,309
	2,781	Series 2006-78, Class BZ, 6.500%, 08/25/36		3,260
	9,280	Series 2006-79, Class DF, VAR, 0.568%, 08/25/36		9,261
	2,077	Series 2006-79, Class DO, PO, 08/25/36		1,894
	1,852	Series 2006-79, Class OP, PO, 08/25/36		1,590
	1,383	Series 2006-85, Class MZ, 6.500%, 09/25/36		1,638
	2,106	Series 2006-86, Class OB, PO, 09/25/36		1,927
	1,978	Series 2006-90, Class AO, PO, 09/25/36		1,832


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,122	Series 2006-94, Class GK, HB, IF, 32.158%, 10/25/26		1,691
	1,916	Series 2006-95, Class SG, HB, IF, 25.326%, 10/25/36		2,823
	4,700	Series 2006-102, Class MD, 6.000%, 01/25/35		5,238
	559	Series 2006-109, Class PO, PO, 11/25/36		505
	6,203	Series 2006-110, Class PO, PO, 11/25/36		5,691
	2,100	Series 2006-111, Class EO, PO, 11/25/36		1,882
	3,105	Series 2006-113, Class PO, PO, 07/25/36		2,961
	508	Series 2006-115, Class ES, HB, IF, 25.686%, 12/25/36		790
	1,802	Series 2006-115, Class OK, PO, 12/25/36		1,563
	16,523	Series 2006-117, Class GS, IF, IO, 6.432%, 12/25/36		2,492
	4,841	Series 2006-118, Class A1, VAR, 0.278%, 12/25/36		4,781
	15,680	Series 2006-118, Class A2, VAR, 0.278%, 12/25/36		15,495
	2,213	Series 2006-119, Class PO, PO, 12/25/36		2,014
	1,300	Series 2006-128, Class BP, 5.500%, 01/25/37		1,476
	1,380	Series 2006-128, Class PO, PO, 01/25/37		1,234
	6,452	Series 2006-130, Class GI, IO, 6.500%, 07/25/32		1,129
	724	Series 2007-1, Class SD, HB, IF, 37.690%, 02/25/37		1,135
	277	Series 2007-2, Class FA, VAR, 0.418%, 02/25/37		276
	2,085	Series 2007-2, Class HF, VAR, 0.568%, 08/25/36		2,078
	6,881	Series 2007-7, Class SG, IF, IO, 6.282%, 08/25/36		982
	7,415	Series 2007-10, Class FD, VAR, 0.468%, 02/25/37		7,357
	25,569	Series 2007-14, Class ES, IF, IO, 6.222%, 03/25/37		3,740
	2,465	Series 2007-14, Class OP, PO, 03/25/37		2,246
	5,047	Series 2007-14, Class QD, 5.500%, 11/25/35		5,641
	1,923	Series 2007-15, Class NO, PO, 03/25/22		1,802
	14,429	Series 2007-16, Class FC, VAR, 0.968%, 03/25/37		14,373
	2,618	Series 2007-18, Class MZ, 6.000%, 03/25/37		3,099
	1,824	Series 2007-22, Class SC, IF, IO, 5.862%, 03/25/37		257


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,750	Series 2007-24, Class GW, 5.500%, 03/25/29		1,940
	4,071	Series 2007-29, Class SG, HB, IF, 21.938%, 04/25/37		5,806
	14,345	Series 2007-35, Class SI, IF, IO, 5.882%, 04/25/37		1,852
	2,139	Series 2007-42, Class AO, PO, 05/25/37		2,026
	11,000	Series 2007-42, Class B, 6.000%, 05/25/37		12,936
	5,363	Series 2007-43, Class FL, VAR, 0.518%, 05/25/37		5,332
	1,500	Series 2007-47, Class PC, 5.000%, 07/25/33		1,554
	22,769	Series 2007-53, Class SH, IF, IO, 5.882%, 06/25/37		2,916
	30,687	Series 2007-54, Class FA, VAR, 0.618%, 06/25/37		30,640
	4,450	Series 2007-54, Class WI, IF, IO, 5.882%, 06/25/37		639
	38,634	Series 2007-60, Class AX, IF, IO, 6.932%, 07/25/37		7,073
	3,134	Series 2007-62, Class SE, IF, 15.954%, 07/25/37		3,565
	4,665	Series 2007-64, Class FB, VAR, 0.588%, 07/25/37		4,660
	33,816	Series 2007-65, Class KI, IF, IO, 6.402%, 07/25/37		4,885
	546	Series 2007-65, Class PA, 6.000%, 03/25/31		553
	6,187	Series 2007-67, Class PO, PO, 07/25/37		5,657
	3,771	Series 2007-70, Class Z, 5.500%, 07/25/37		4,358
	40,120	Series 2007-72, Class EK, IF, IO, 6.182%, 07/25/37		5,846
	1,515	Series 2007-75, Class EO, PO, 01/25/36		1,433
	5,630	Series 2007-76, Class AZ, 5.500%, 08/25/37		6,445
	3,831	Series 2007-76, Class ZG, 6.000%, 08/25/37		4,488
	7,130	Series 2007-77, Class FG, VAR, 0.718%, 03/25/37		7,144
	2,000	Series 2007-78, Class CB, 6.000%, 08/25/37		2,281
	4,601	Series 2007-78, Class PE, 6.000%, 08/25/37		5,358
	2,000	Series 2007-79, Class PC, 5.000%, 01/25/32		2,109
	4,176	Series 2007-79, Class SB, HB, IF, 23.216%, 08/25/37		5,874
	4,000	Series 2007-81, Class GE, 6.000%, 08/25/37		4,706
	4,464	Series 2007-84, Class PG, 6.000%, 12/25/36		5,084
	1,562	Series 2007-85, Class SL, IF, 15.604%, 09/25/37		1,792
	9,643	Series 2007-88, Class VI, IF, IO, 6.322%, 09/25/37		1,612


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	9,878	Series 2007-91, Class ES, IF, IO, 6.242%, 10/25/37		1,723
	2,886	Series 2007-92, Class YA, 6.500%, 06/25/37		3,289
	4,810	Series 2007-92, Class YS, IF, IO, 5.562%, 06/25/37		619
	3,604	Series 2007-97, Class FC, VAR, 0.718%, 07/25/37		3,610
	7,176	Series 2007-97, Class KI, IO, 7.000%, 05/25/33		1,467
	1,049	Series 2007-97, Class MS, IF, 14.266%, 12/25/31		1,089
	2,328	Series 2007-98, Class FB, VAR, 0.668%, 06/25/37		2,225
	3,419	Series 2007-98, Class VA, 6.000%, 11/25/17		3,663
	18,680	Series 2007-100, Class SM, IF, IO, 6.232%, 10/25/37		2,991
	66,777	Series 2007-101, Class A2, VAR, 0.468%, 06/27/36		66,610
	5,410	Series 2007-106, Class A7, VAR, 5.969%, 10/25/37		5,779
	9,588	Series 2007-108, Class AN, VAR, 8.622%, 11/25/37		11,779
	2,377	Series 2007-108, Class SA, IF, IO, 6.142%, 12/25/37		346
	24,400	Series 2007-109, Class AI, IF, IO, 6.182%, 12/25/37		3,306
	6,180	Series 2007-112, Class MJ, 6.500%, 12/25/37		7,383
	12,344	Series 2007-112, Class SA, IF, IO, 6.232%, 12/25/37		1,793
	44,000	Series 2007-114, Class A6, VAR, 0.418%, 10/27/37		43,727
	20,932	Series 2007-116, Class HI, IO, VAR, 6.413%, 01/25/38		1,550
	437	Series 2007-118, Class IO, IO, 6.000%, 06/25/36		72
	23,038	Series 2008-1, Class BI, IF, IO, 5.692%, 02/25/38		3,126
	23,772	Series 2008-4, Class SD, IF, IO, 5.782%, 02/25/38		2,971
	5,566	Series 2008-10, Class XI, IF, IO, 6.012%, 03/25/38		797
	10,400	Series 2008-16, Class IS, IF, IO, 5.982%, 03/25/38		1,359
	2,220	Series 2008-18, Class SP, IF, 13.563%, 03/25/38		2,642
	8,767	Series 2008-20, Class SA, IF, IO, 6.772%, 03/25/38		1,580


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	17,129	Series 2008-24, Class PF, VAR, 0.868%, 02/25/38		17,226
	7,692	Series 2008-27, Class SN, IF, IO, 6.682%, 04/25/38		1,383
	2,530	Series 2008-28, Class QS, HB, IF, 20.045%, 04/25/38		3,338
	12,573	Series 2008-32, Class SA, IF, IO, 6.632%, 04/25/38		2,145
	18,267	Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12		46
	33,063	Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16		367
	2,000	Series 2008-42, Class AO, PO, 09/25/36		1,833
	457	Series 2008-44, Class PO, PO, 05/25/38		393
	9,169	Series 2008-46, Class HI, IO, VAR, 6.658%, 06/25/38		628
	5,114	Series 2008-47, Class SI, IF, IO, 6.282%, 06/25/23		619
	2,649	Series 2008-53, Class CA, 5.000%, 07/25/23		2,960
	5,474	Series 2008-53, Class CI, IF, IO, 6.982%, 07/25/38		889
	25,024	Series 2008-55, Class S, IF, IO, 7.382%, 07/25/28		4,066
	5,203	Series 2008-56, Class AC, 5.000%, 07/25/38		5,688
	635	Series 2008-59, Class IG, IO, 5.500%, 11/25/34		33
	1,500	Series 2008-60, Class JC, 5.000%, 07/25/38		1,670
	2,778	Series 2008-61, Class BH, 4.500%, 07/25/23		3,076
	3,778	Series 2008-61, Class CB, 5.000%, 07/25/23		4,313
	209	Series 2008-66, Class GD, 6.000%, 06/25/30		217
	7,346	Series 2008-76, Class GF, VAR, 0.868%, 09/25/23		7,410
	18,202	Series 2008-80, Class SA, IF, IO, 5.632%, 09/25/38		2,331
	8,992	Series 2008-81, Class SB, IF, IO, 5.632%, 09/25/38		1,257
	1,330	Series 2009-4, Class BD, 4.500%, 02/25/39		1,407
	11,866	Series 2009-6, Class GS, IF, IO, 6.332%, 02/25/39		1,839
	7,228	Series 2009-9, Class IO, IO, 5.000%, 02/25/24		796
	9,053	Series 2009-15, Class MI, IO, 5.000%, 03/25/24		909
	14,543	Series 2009-17, Class QS, IF, IO, 6.432%, 03/25/39		2,103


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	3,494	Series 2009-18, Class IO, IO, 5.000%, 03/25/24		366
	994	Series 2009-47, Class MT, 7.000%, 07/25/39		1,122
	8,377	Series 2009-52, Class PI, IO, 5.000%, 07/25/39		1,215
	10,000	Series 2009-59, Class HB, 5.000%, 08/25/39		11,193
	924	Series 2009-63, Class P, 5.000%, 03/25/37		995
	8,586	Series 2009-69, Class WA, VAR, 6.024%, 09/25/39		9,633
	6,534	Series 2009-70, Class CO, PO, 01/25/37		5,913
	15,463	Series 2009-84, Class WS, IF, IO, 5.682%, 10/25/39		1,983
	30,089	Series 2009-86, Class IP, IO, 5.500%, 10/25/39		5,109
	33,166	Series 2009-86, Class OT, PO, 10/25/37		28,831
	29,809	Series 2009-86, Class UI, IO, 4.000%, 10/25/14		2,079
	14,896	Series 2009-99, Class SC, IF, IO, 5.962%, 12/25/39		1,947
	9,275	Series 2009-99, Class WA, VAR, 6.303%, 12/25/39		10,678
	15,853	Series 2009-103, Class MB, 4.000%, 12/25/39		16,884
	20,310	Series 2009-112, Class ST, IF, IO, 6.032%, 01/25/40		2,344
	3,317	Series 2009-113, Class AO, PO, 01/25/40		3,009
	3,044	Series 2010-1, Class WA, VAR, 6.153%, 02/25/40		3,462
	8,939	Series 2010-14, Class FJ, VAR, 0.818%, 03/25/40		8,959
	7,882	Series 2010-16, Class WA, VAR, 6.442%, 03/25/40		9,088
	6,952	Series 2010-16, Class WB, VAR, 6.215%, 03/25/40		7,934
	18,504	Series 2010-35, Class SB, IF, IO, 6.202%, 04/25/40		2,243
	3,000	Series 2010-35, Class SJ, IF, 16.939%, 04/25/40		4,157
	1,786	Series 2010-39, Class OT, PO, 10/25/35		1,628
	7,039	Series 2010-40, Class FJ, VAR, 0.818%, 04/25/40		7,063
	15,832	Series 2010-42, Class S, IF, IO, 6.182%, 05/25/40		1,936
	2,134	Series 2010-45, Class BD, 4.500%, 11/25/38		2,329


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — Continued
	2,716		Series 2010-47, Class AV, 5.000%, 05/25/21		3,008
	17,043		Series 2010-49, Class SC, IF, 12.223%, 03/25/40		19,849
	9,760		Series 2010-58, Class MB, 5.500%, 06/25/40		11,262
	59,320		Series 2010-64, Class DM, 5.000%, 06/25/40		64,206
	2,000		Series 2010-102, Class PN, 5.000%, 09/25/40		2,245
	12,313		Series 2010-103, Class SB, IF, IO, 5.882%, 11/25/49		1,725
	66,730		Series 2010-111, Class AE, 5.500%, 04/25/38		71,042
	19,500		Series 2010-111, Class AM, 5.500%, 10/25/40		21,738
	37,873		Series 2010-125, Class SA, IF, IO, 4.222%, 11/25/40		3,594
	46,201		Series 2010-133, Class A, 5.500%, 05/25/38		49,441
	21,444		Series 2010-148, Class MA, 4.000%, 02/25/39		23,023
	16,520		Series 2011-2, Class WA, VAR, 5.728%, 02/25/51		18,192
	7,210		Series 2011-17, Class EF, VAR, 0.518%, 07/25/25		7,191
	2,847		Series 2011-22, Class MA, 6.500%, 04/25/38		3,206
	105,645		Series 2011-30, Class LS, IO, VAR, 4.835%, 04/25/41		8,304
	10,138		Series 2011-47, Class ZA, 5.500%, 07/25/38		11,546
	4,772		Series 2011-58, Class WA, VAR, 5.419%, 07/25/51		5,279
	13,919		Series 2011-75, Class FA, VAR, 0.768%, 08/25/41		13,928
	17		Series G-14, Class L, 8.500%, 06/25/21		20
	1		Series G-17, Class S, HB, VAR, 1,055.166%, 06/25/21		26
	84		Series G-18, Class Z, 8.750%, 06/25/21		98
	21		Series G-22, Class G, 6.000%, 12/25/16		23
	75		Series G-28, Class S, IF, 14.850%, 09/25/21		102
	131		Series G-35, Class M, 8.750%, 10/25/21		150
	25		Series G-51, Class SA, HB, IF, 23.729%, 12/25/21		38
	1		Series G92-15, Class Z, 7.000%, 01/25/22		1
	—	(h)	Series G92-27, Class SQ, HB, IF, 1,737.650%, 05/25/22		54
	574		Series G92-35, Class E, 7.500%, 07/25/22		645


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	—	(h)	Series G92-35, Class G, HB, 1,184.775%, 07/25/22		6
	53		Series G92-42, Class Z, 7.000%, 07/25/22		59
	1,678		Series G92-44, Class ZQ, 8.000%, 07/25/22		1,913
	755		Series G92-45, Class Z, 6.000%, 08/25/22		814
	52		Series G92-52, Class FD, VAR, 0.271%, 09/25/22		51
	709		Series G92-54, Class ZQ, 7.500%, 09/25/22		801
	53		Series G92-59, Class F, VAR, 2.038%, 10/25/22		55
	106		Series G92-61, Class Z, 7.000%, 10/25/22		128
	76		Series G92-62, Class B, PO, 10/25/22		64
	362		Series G93-1, Class KA, 7.900%, 01/25/23		416
	141		Series G93-5, Class Z, 6.500%, 02/25/23		158
	105		Series G93-14, Class J, 6.500%, 03/25/23		117
	248		Series G93-17, Class SI, IF, 6.000%, 04/25/23		258
	234		Series G93-27, Class FD, VAR, 1.130%, 08/25/23		237
	58		Series G93-37, Class H, PO, 09/25/23		49
	165		Series G95-1, Class C, 8.800%, 01/25/25		192
			Federal National Mortgage Association STRIPS,
	6		Series 23, Class 2, IO, 10.000%, 09/01/17		1
	4		Series 50, Class 2, IO, 10.500%, 03/01/19		1
	54		Series 218, Class 2, IO, 7.500%, 04/01/23		10
	32		Series 265, Class 2, 9.000%, 03/01/24		38
	911		Series 329, Class 1, PO, 01/01/33		814
	2,943		Series 339, Class 18, IO, 4.500%, 07/01/18		262
	4,100		Series 339, Class 21, IO, 4.500%, 07/01/18		345
	2,096		Series 339, Class 28, IO, 5.500%, 07/01/18		218
	1,398		Series 345, Class 6, IO, VAR, 5.000%, 12/01/33		171
	5,007		Series 365, Class 8, IO, 5.500%, 05/01/36		886
	585		Series 368, Class 3, IO, 4.500%, 11/01/20		51
	3,453		Series 374, Class 5, IO, 5.500%, 08/01/36		596
	4,473		Series 383, Class 33, IO, 6.000%, 01/01/38		711
	1,153		Series 393, Class 6, IO, 5.500%, 04/25/37		140
			Federal National Mortgage Association Whole Loan,
	2,766		Series 2003-W1, Class 1A1, VAR, 6.333%, 12/25/42		3,290
	660		Series 2003-W1, Class 2A, VAR, 7.181%, 12/25/42		783
	2,370		Series 2003-W2, Class 1A1, 6.500%, 07/25/42		2,727
	1,444		Series 2003-W2, Class 2A9, 5.900%, 07/25/42		1,620


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	584	Series 2003-W4, Class 2A, VAR, 6.500%, 10/25/42		652
	4,595	Series 2003-W6, Class 3A, 6.500%, 09/25/42		5,355
	5,327	Series 2003-W8, Class 2A, 7.000%, 10/25/42		6,154
	1,121	Series 2003-W8, Class 3F1, VAR, 0.618%, 05/25/42		1,114
	7,151	Series 2004-W1, Class 2A2, 7.000%, 12/25/33		8,352
	6,800	Series 2004-W10, Class A6, 5.750%, 08/25/34		7,500
	2,297	Series 2004-W11, Class 1A1, 6.000%, 05/25/44		2,577
	7,123	Series 2004-W15, Class 2AF, VAR, 0.468%, 08/25/44		7,082
	2,438	Series 2004-W2, Class 2A2, 7.000%, 02/25/44		2,824
	2,276	Series 2004-W8, Class 3A, 7.500%, 06/25/44		2,656
	4,333	Series 2005-W1, Class 1A2, 6.500%, 10/25/44		5,079
	53,198	Series 2005-W3, Class 2AF, VAR, 0.438%, 03/25/45		52,945
	3,246	Series 2005-W4, Class 1A1, 6.000%, 08/25/35		3,642
	25,686	Series 2006-W2, Class 1AF1, VAR, 0.438%, 02/25/36		25,562
	5,975	Series 2006-W2, Class 2A, VAR, 2.917%, 11/25/35		6,176
	5,982	Series 2006-W3, Class 2A, 6.000%, 09/25/46		6,680
	54,514	Series 2007-W1, Class 1AF1, VAR, 0.478%, 11/25/46		54,333
	894	Series 2007-W10, Class 2A, VAR, 6.214%, 08/25/47		1,004
	4,306	Series 2007-W3, Class 1A3, 6.750%, 04/25/37		4,751
	2,680	Series 2007-W5, Class PO, PO, 06/25/37		2,344
	3,046	Series 2007-W7, Class 1A4, HB, IF, 37.870%, 07/25/37		5,281
	32,498	Series 2009-W1, Class A, 6.000%, 12/25/49		36,458
		Government National Mortgage Association,
	1,512	Series 1994-3, Class PQ, 7.488%, 07/16/24		1,809
	1,442	Series 1994-4, Class KQ, 7.988%, 07/16/24		1,669
	5,252	Series 1994-7, Class PQ, 6.500%, 10/16/24		6,091
	326	Series 1995-3, Class DQ, 8.050%, 06/16/25		378
	81	Series 1995-7, Class CQ, 7.500%, 09/16/25		92


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,233	Series 1996-16, Class E, 7.500%, 08/16/26		1,415
	936	Series 1997-8, Class PN, 7.500%, 05/16/27		1,070
	209	Series 1997-11, Class D, 7.500%, 07/20/27		241
	614	Series 1998-26, Class K, 7.500%, 09/17/25		712
	4,575	Series 1999-4, Class ZB, 6.000%, 02/20/29		5,115
	4,269	Series 1999-10, Class ZC, 6.500%, 04/20/29		4,929
	604	Series 1999-30, Class S, IF, IO, 8.392%, 08/16/29		124
	31	Series 1999-33, Class SM, IF, 9.200%, 09/16/29		35
	490	Series 1999-40, Class ZW, 7.500%, 11/20/29		541
	913	Series 1999-41, Class Z, 8.000%, 11/16/29		1,067
	408	Series 1999-44, Class PC, 7.500%, 12/20/29		472
	4,765	Series 1999-44, Class ZC, 8.500%, 12/16/29		5,929
	742	Series 1999-44, Class ZG, 8.000%, 12/20/29		866
	963	Series 2000-6, Class Z, 7.500%, 02/20/30		1,089
	370	Series 2000-9, Class Z, 8.000%, 06/20/30		433
	4,754	Series 2000-9, Class ZJ, 8.500%, 02/16/30		5,881
	547	Series 2000-12, Class ST, HB, IF, 38.559%, 02/16/30		1,111
	1,296	Series 2000-14, Class PD, 7.000%, 02/16/30		1,493
	360	Series 2000-16, Class ZN, 7.500%, 02/16/30		387
	4,325	Series 2000-21, Class Z, 9.000%, 03/16/30		5,430
	747	Series 2000-26, Class TZ, 8.500%, 09/20/30		869
	198	Series 2000-26, Class Z, 7.750%, 09/20/30		230
	37	Series 2000-30, Class ST, IF, 11.050%, 12/16/22		40
	602	Series 2000-31, Class Z, 9.000%, 10/20/30		707
	343	Series 2000-35, Class ZA, 9.000%, 11/20/30		382
	52	Series 2000-36, Class IK, IO, 9.000%, 11/16/30		17
	1,193	Series 2000-37, Class B, 8.000%, 12/20/30		1,400
	208	Series 2000-38, Class AH, 7.150%, 12/20/30		252
	343	Series 2001-4, Class SJ, IF, IO, 7.940%, 01/19/30		99
	267	Series 2001-6, Class SD, IF, IO, 8.342%, 03/16/31		93
	1,099	Series 2001-7, Class PK, 6.500%, 03/20/31		1,195
	1,617	Series 2001-8, Class Z, 6.500%, 03/20/31		1,869
	2,363	Series 2001-22, Class PS, HB, IF, 20.461%, 03/17/31		3,350
	59	Series 2001-32, Class WA, IF, 19.592%, 07/20/31		87


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	465	Series 2001-35, Class SA, IF, IO, 8.042%, 08/16/31		128
	355	Series 2001-36, Class S, IF, IO, 7.842%, 08/16/31		95
	4,500	Series 2001-53, Class PB, 6.500%, 11/20/31		5,423
	3,064	Series 2001-64, Class MQ, 6.500%, 12/20/31		3,260
	445	Series 2002-3, Class SP, IF, IO, 7.182%, 01/16/32		114
	855	Series 2002-7, Class PG, 6.500%, 01/20/32		1,015
	1,912	Series 2002-24, Class AG, IF, IO, 7.742%, 04/16/32		461
	171	Series 2002-24, Class SB, IF, 11.613%, 04/16/32		208
	263	Series 2002-31, Class S, IF, IO, 8.492%, 01/16/31		74
	4,480	Series 2002-31, Class SE, IF, IO, 7.292%, 04/16/30		951
	2,072	Series 2002-40, Class UK, 6.500%, 06/20/32		2,410
	71	Series 2002-41, Class SV, IF, 9.000%, 06/16/32		78
	8,285	Series 2002-45, Class QE, 6.500%, 06/20/32		9,730
	2,496	Series 2002-47, Class PG, 6.500%, 07/16/32		2,915
	930	Series 2002-47, Class PY, 6.000%, 07/20/32		1,048
	4,162	Series 2002-47, Class ZA, 6.500%, 07/20/32		4,759
	165	Series 2002-51, Class SG, HB, IF, 31.577%, 04/20/31		313
	2,781	Series 2002-52, Class GH, 6.500%, 07/20/32		3,199
	1,208	Series 2002-54, Class GB, 6.500%, 08/20/32		1,389
	2,120	Series 2002-69, Class PO, PO, 02/20/32		2,004
	326	Series 2002-70, Class AV, 6.000%, 03/20/12		327
	2,232	Series 2002-70, Class PS, IF, IO, 7.487%, 08/20/32		276
	1,411	Series 2002-75, Class PB, 6.000%, 11/20/32		1,707
	955	Series 2003-4, Class NI, IO, 5.500%, 01/20/32		49
	1,005	Series 2003-4, Class NY, 5.500%, 12/20/13		1,056
	719	Series 2003-8, Class PO, PO, 01/16/32		686
	2,243	Series 2003-11, Class SK, IF, IO, 7.492%, 02/16/33		516
	932	Series 2003-12, Class SP, IF, IO, 7.487%, 02/20/33		215
	367	Series 2003-24, Class PO, PO, 03/16/33		296


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	5,529	Series 2003-25, Class PZ, 5.500%, 04/20/33		6,355
	672	Series 2003-34, Class TO, PO, 02/16/32		642
	1,787	Series 2003-40, Class TC, 7.500%, 03/20/33		1,877
	3,156	Series 2003-40, Class TJ, 6.500%, 03/20/33		3,800
	1,120	Series 2003-46, Class MG, 6.500%, 05/20/33		1,348
	2,072	Series 2003-46, Class TC, 6.500%, 03/20/33		2,424
	1,559	Series 2003-52, Class AP, PO, 06/16/33		1,228
	3,196	Series 2003-58, Class BE, 6.500%, 01/20/33		3,718
	442	Series 2003-60, Class NS, IF, 16.042%, 07/16/33		468
	5,621	Series 2003-75, Class ZX, 6.000%, 09/16/33		6,474
	1,466	Series 2003-76, Class LS, IF, IO, 6.987%, 09/20/31		105
	252	Series 2003-90, Class PO, PO, 10/20/33		213
	3,514	Series 2003-97, Class SA, IF, IO, 6.342%, 11/16/33		746
	3,221	Series 2003-112, Class SA, IF, IO, 6.342%, 12/16/33		611
	20,000	Series 2003-112, Class TS, IF, IO, 6.737%, 10/20/32		3,439
	905	Series 2003-114, Class SH, IF, 14.321%, 11/17/32		1,117
	9,808	Series 2004-11, Class SW, IF, IO, 5.287%, 02/20/34		1,229
	4,730	Series 2004-15, Class SA, IF, 19.077%, 12/20/32		5,968
	347	Series 2004-27, Class VJ, 6.000%, 02/20/15		349
	1,149	Series 2004-28, Class S, IF, 19.090%, 04/16/34		1,609
	3,430	Series 2004-34, Class JO, PO, 02/20/34		3,210
	3,541	Series 2004-46, Class PO, PO, 06/20/34		3,015
	5,527	Series 2004-49, Class Z, 6.000%, 06/20/34		6,625
	1,788	Series 2004-68, Class PO, PO, 05/20/31		1,690
	1,912	Series 2004-71, Class SB, HB, IF, 28.418%, 09/20/34		2,713
	1,912	Series 2004-71, Class ST, IF, 7.000%, 09/20/34		1,874
	1,687	Series 2004-73, Class AE, IF, 14.425%, 08/17/34		2,088
	9,630	Series 2004-73, Class JL, IF, IO, 6.342%, 09/16/34		1,767
	1,225	Series 2004-83, Class AP, IF, 13.806%, 10/16/34		1,457
	774	Series 2004-85, Class PO, PO, 01/17/33		720
	1,136	Series 2004-87, Class SB, IF, 7.431%, 03/17/33		1,230


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,073	Series 2004-89, Class LS, HB, IF, 23.619%, 10/16/34		1,747
	21,393	Series 2004-90, Class SI, IF, IO, 5.887%, 10/20/34		3,074
	9,546	Series 2004-96, Class SC, IF, IO, 5.867%, 11/20/34		1,427
	10,500	Series 2005-3, Class SB, IF, IO, 5.887%, 01/20/35		1,482
	15,543	Series 2005-3, Class SK, IF, IO, 6.537%, 01/20/35		2,719
	1,358	Series 2005-6, Class GS, IF, 13.074%, 12/20/32		1,613
	4,461	Series 2005-7, Class JM, IF, 16.262%, 05/18/34		5,183
	16,150	Series 2005-17, Class SL, IF, IO, 6.487%, 07/20/34		2,853
	2,250	Series 2005-35, Class FL, VAR, 0.563%, 03/20/32		2,235
	1,710	Series 2005-44, Class SP, IF, 11.774%, 10/20/34		1,983
	1,783	Series 2005-56, Class IC, IO, 5.500%, 07/20/35		352
	266	Series 2005-65, Class SA, HB, IF, 21.925%, 08/20/35		342
	584	Series 2005-66, Class SP, HB, IF, 20.139%, 08/16/35		801
	7,387	Series 2005-68, Class DP, IF, 15.932%, 06/17/35		8,808
	34,818	Series 2005-68, Class KI, IF, IO, 6.087%, 09/20/35		5,920
	6,626	Series 2005-69, Class SY, IF, IO, 6.537%, 11/20/33		1,170
	2,767	Series 2005-72, Class AZ, 5.500%, 09/20/35		3,249
	1,576	Series 2005-82, Class PO, PO, 10/20/35		1,321
	3,159	Series 2005-91, Class PI, IO, 6.000%, 12/20/35		596
	1,077	Series 2005-93, Class JO, PO, 03/20/31		1,041
	3,008	Series 2006-16, Class OP, PO, 03/20/36		2,500
	3,552	Series 2006-20, Class QA, 5.750%, 02/20/36		3,929
	5,561	Series 2006-33, Class Z, 6.500%, 07/20/36		6,891
	754	Series 2006-34, Class PO, PO, 07/20/36		627
	912	Series 2006-38, Class SW, IF, IO, 6.287%, 06/20/36		118
	5,808	Series 2006-38, Class ZK, 6.500%, 08/20/36		7,042
	10,665	Series 2006-40, Class VB, 6.000%, 11/20/26		11,103
	1,962	Series 2006-57, Class PZ, 5.565%, 10/20/36		2,278


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	5,339	Series 2006-59, Class SD, IF, IO, 6.487%, 10/20/36		830
	11,039	Series 2006-65, Class SA, IF, IO, 6.587%, 11/20/36		1,702
	8,178	Series 2007-9, Class CI, IF, IO, 5.987%, 03/20/37		1,187
	13,819	Series 2007-9, Class DI, IF, IO, 6.297%, 03/20/37		2,065
	17,482	Series 2007-17, Class AF, VAR, 0.408%, 04/16/37		17,377
	12,200	Series 2007-17, Class JI, IF, IO, 6.602%, 04/16/37		2,092
	4,733	Series 2007-17, Class JO, PO, 04/16/37		3,923
	6,070	Series 2007-19, Class SD, IF, IO, 5.987%, 04/20/37		863
	3,815	Series 2007-25, Class FN, VAR, 0.508%, 05/16/37		3,790
	14,611	Series 2007-26, Class SC, IF, IO, 5.987%, 05/20/37		2,318
	31,989	Series 2007-26, Class SW, IF, IO, 5.987%, 05/20/37		5,053
	10,226	Series 2007-27, Class SD, IF, IO, 5.987%, 05/20/37		1,768
	1,111	Series 2007-28, Class BO, PO, 05/20/37		924
	12,585	Series 2007-35, Class PO, PO, 06/16/37		10,192
	927	Series 2007-35, Class TO, PO, 04/20/35		890
	1,903	Series 2007-36, Class HO, PO, 06/16/37		1,595
	8,157	Series 2007-36, Class SE, IF, IO, 6.262%, 06/16/37		1,202
	11,028	Series 2007-36, Class SJ, IF, IO, 6.037%, 06/20/37		1,661
	8,350	Series 2007-40, Class SD, IF, IO, 6.537%, 07/20/37		1,272
	14,673	Series 2007-40, Class SN, IF, IO, 6.467%, 07/20/37		2,091
	20,267	Series 2007-42, Class SC, IF, IO, 6.537%, 07/20/37		3,070
	12,682	Series 2007-45, Class QA, IF, IO, 6.427%, 07/20/37		1,828
	2,721	Series 2007-49, Class NO, PO, 12/20/35		2,566
	4,376	Series 2007-50, Class AI, IF, IO, 6.562%, 08/20/37		706
	7,821	Series 2007-53, Class ES, IF, IO, 6.337%, 09/20/37		1,045
	3,078	Series 2007-53, Class SW, IF, 19.566%, 09/20/37		4,056
	12,084	Series 2007-57, Class PO, PO, 03/20/37		10,103


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	11,377	Series 2007-57, Class QA, IF, IO, 6.287%, 10/20/37		1,624
	11,722	Series 2007-67, Class SI, IF, IO, 6.297%, 11/20/37		1,690
	6,000	Series 2007-70, Class TA, 5.750%, 08/20/36		6,388
	9,104	Series 2007-71, Class SB, IF, IO, 6.487%, 07/20/36		1,044
	10,000	Series 2007-72, Class US, IF, IO, 6.337%, 11/20/37		1,323
	11,042	Series 2007-73, Class MI, IF, IO, 5.787%, 11/20/37		1,419
	6,851	Series 2007-74, Class SL, IF, IO, 6.332%, 11/16/37		1,152
	21,499	Series 2007-76, Class SB, IF, IO, 6.287%, 11/20/37		3,093
	16,060	Series 2007-79, Class SY, IF, IO, 6.337%, 12/20/37		2,126
	12,346	Series 2007-82, Class SA, IF, IO, 6.317%, 12/20/37		1,697
	1,165	Series 2008-7, Class SK, IF, 19.311%, 11/20/37		1,501
	1,635	Series 2008-7, Class SP, IF, 12.974%, 10/20/37		1,916
	3,402	Series 2008-17, Class IO, IO, 5.500%, 02/20/38		635
	3,209	Series 2008-20, Class PO, PO, 09/20/37		2,753
	1,562	Series 2008-23, Class IO, IO, 6.000%, 02/20/37		180
	7,242	Series 2008-25, Class SB, IF, IO, 6.687%, 03/20/38		1,125
	3,585	Series 2008-29, Class PO, PO, 02/17/33		3,122
	16,993	Series 2008-32, Class PI, IO, 5.500%, 10/16/37		2,497
	5,090	Series 2008-33, Class XS, IF, IO, 7.492%, 04/16/38		852
	6,000	Series 2008-36, Class AY, 5.000%, 04/16/23		6,966
	13,620	Series 2008-36, Class SH, IF, IO, 6.087%, 04/20/38		1,906
	28,421	Series 2008-40, Class SA, IF, IO, 6.192%, 05/16/38		5,739
	11,814	Series 2008-41, Class SA, IF, IO, 6.127%, 05/20/38		1,703
	1,436	Series 2008-43, Class NA, 5.500%, 11/20/37		1,538
	3,500	Series 2008-50, Class KB, 6.000%, 06/20/38		4,090
	4,260	Series 2008-55, Class SA, IF, IO, 5.987%, 06/20/38		624


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	17,453	Series 2008-60, Class CS, IF, IO, 5.937%, 07/20/38		2,274
	3,075	Series 2008-60, Class PO, PO, 01/20/38		2,751
	1,639	Series 2008-64, Class ED, 6.500%, 04/20/28		1,812
	10,000	Series 2008-65, Class ME, 5.750%, 09/20/37		11,141
	10,798	Series 2008-69, Class QD, 5.750%, 07/20/38		12,118
	6,805	Series 2008-71, Class SC, IF, IO, 5.787%, 08/20/38		908
	17,391	Series 2008-76, Class US, IF, IO, 5.687%, 09/20/38		2,295
	8,206	Series 2008-79, Class CS, IF, 6.587%, 06/20/35		8,678
	32,637	Series 2008-81, Class S, IF, IO, 5.987%, 09/20/38		5,241
	14,954	Series 2008-93, Class AS, IF, IO, 5.487%, 12/20/38		1,895
	32,337	Series 2008-95, Class DS, IF, IO, 7.087%, 12/20/38		5,649
	9,472	Series 2008-96, Class SL, IF, IO, 5.787%, 12/20/38		1,190
	10,544	Series 2009-6, Class SA, IF, IO, 5.892%, 02/16/39		1,320
	10,145	Series 2009-6, Class SH, IF, IO, 5.827%, 02/20/39		1,334
	16,037	Series 2009-10, Class SA, IF, IO, 5.737%, 02/20/39		2,124
	5,885	Series 2009-10, Class SL, IF, IO, 6.292%, 03/16/34		728
	11,966	Series 2009-11, Class SC, IF, IO, 5.942%, 02/16/39		1,575
	4,361	Series 2009-14, Class KI, IO, 6.500%, 03/20/39		763
	8,920	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		1,638
	28,453	Series 2009-22, Class SA, IF, IO, 6.057%, 04/20/39		3,864
	15,473	Series 2009-24, Class DS, IF, IO, 6.087%, 03/20/39		1,939
	7,645	Series 2009-25, Class SE, IF, IO, 7.387%, 09/20/38		1,345
	15,791	Series 2009-31, Class ST, IF, IO, 6.137%, 03/20/39		2,062
	19,007	Series 2009-31, Class TS, IF, IO, 6.087%, 03/20/39		2,553
	4,721	Series 2009-33, Class CI, IO, 5.500%, 05/20/39		848


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	4,738	Series 2009-33, Class TI, IO, 6.000%, 05/20/39		881
	12,270	Series 2009-35, Class SN, IF, IO, 6.192%, 12/16/38		1,532
	24,207	Series 2009-42, Class SC, IF, IO, 5.867%, 06/20/39		3,158
	16,832	Series 2009-43, Class SA, IF, IO, 5.737%, 06/20/39		2,208
	10,764	Series 2009-44, Class MV, 6.000%, 04/20/20		12,140
	3,868	Series 2009-44, Class VA, 5.500%, 05/16/20		4,271
	34,743	Series 2009-64, Class SN, IF, IO, 5.892%, 07/16/39		4,356
	6,057	Series 2009-65, Class IQ, IO, 6.000%, 12/20/38		1,023
	21,725	Series 2009-72, Class SM, IF, IO, 6.042%, 08/16/39		2,850
	3,070	Series 2009-75, Class MN, 5.500%, 09/20/39		3,615
	15,842	Series 2009-79, Class OK, PO, 11/16/37		13,413
	32,083	Series 2009-81, Class SB, IF, IO, 5.877%, 09/20/39		4,207
	14,856	Series 2009-83, Class TS, IF, IO, 5.887%, 08/20/39		1,920
	4,552	Series 2009-89, Class VA, 5.000%, 07/20/20		5,103
	54,687	Series 2009-102, Class SM, IF, IO, 6.192%, 06/16/39		6,870
	3,741	Series 2009-104, Class AB, 7.000%, 08/16/39		4,484
	21,481	Series 2009-106, Class AS, IF, IO, 6.192%, 11/16/39		2,741
	80,221	Series 2009-106, Class ST, IF, IO, 5.787%, 02/20/38		11,604
	6,179	Series 2009-121, Class VA, 5.500%, 11/20/20		7,070
	7,351	Series 2010-14, Class AO, PO, 12/20/32		6,478
	2,804	Series 2010-14, Class AO, PO, 11/20/35		2,381
	4,500	Series 2010-14, Class CO, PO, 08/20/35		3,220
	1,146	Series 2010-14, Class EO, PO, 06/16/33		1,082
	36,635	Series 2010-14, Class QP, 6.000%, 12/20/39		40,014
	5,296	Series 2010-41, Class WA, VAR, 5.853%, 10/20/33		5,943
	3,400	Series 2010-103, Class WA, VAR, 5.767%, 08/20/34		3,843


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	4,267	Series 2010-129, Class AW, VAR, 6.151%, 04/20/37		4,851
	30,773	Series 2010-130, Class CP, 7.000%, 10/16/40		36,400
	21,890	Series 2010-157, Class OP, PO, 12/20/40		17,247
	1,895	Series 2011-22, Class WA, 5.947%, 02/20/37		2,157
	5,627	Series 2011-43, Class ZQ, 5.500%, 01/16/33		6,621
	33,135	Series 2011-75, Class SM, IF, IO, 6.387%, 05/20/41		5,053
	7,866	Series 2011-97, Class WA, VAR, 6.069%, 11/20/38		8,918
		NCUA Guaranteed Notes,
	72,161	Series 2010-C1, Class APT, 2.650%, 10/29/20		74,878
	32,060	Series 2010-R3, Class 1A, VAR, 0.761%, 12/08/20		32,310
	9,595	Series 2010-R3, Class 3A, 2.400%, 12/08/20		9,883
		Vendee Mortgage Trust,
	12,050	Series 1993-1, Class ZB, 7.250%, 02/15/23		14,008
	2,378	Series 1994-1, Class 1, VAR, 5.629%, 02/15/24		2,629
	8,524	Series 1994-1, Class 2ZB, 6.500%, 02/15/24		9,658
	3,407	Series 1996-1, Class 1Z, 6.750%, 02/15/26		4,007
	1,610	Series 1996-2, Class 1Z, 6.750%, 06/15/26		1,893
	4,755	Series 1997-1, Class 2Z, 7.500%, 02/15/27		5,630
	3,255	Series 1998-1, Class 2E, 7.000%, 03/15/28		3,819

				5,041,243

		Non-Agency CMO — 12.0%
	6,426	AAM ACE Resecuritization Trust, Series 2011-1, Class A20, VAR, 0.478%, 02/02/37 (e)		6,073
	62	ABN Amro Mortgage Corp., Series 2003-9, Class A2, 4.500%, 08/25/18		62
		AH Mortgage Advance Trust,
	23,366	Series SART-2, Class A1, 3.270%, 09/15/43 (e)		23,362
	7,000	Series SART-2, Class B1, 6.900%, 09/15/43 (e)		7,000
		American General Mortgage Loan Trust,
	3,758	Series 2006-1, Class A5, VAR, 5.736%, 12/25/35 (e)		3,869
	24,489	Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e)		24,588
	16,389	Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e)		16,548


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	33,300	Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		33,781
	11,515	Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e)		11,807
	8,500	American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.100%, 09/25/35		3,304
		ASG Resecuritization Trust,
	7,313	Series 2009-1, Class A60, VAR, 5.218%, 06/26/37 (e)		7,386
	19,373	Series 2009-2, Class A55, VAR, 5.367%, 05/24/36 (e)		19,193
	5,300	Series 2009-2, Class G60, VAR, 5.345%, 05/24/36 (e)		5,024
	38,400	Series 2009-3, Class A65, VAR, 5.235%, 03/26/37 (e)		38,096
	22,169	Series 2009-4, Class A60, 6.000%, 06/28/37 (e)		22,502
	4,582	Series 2009-5, Class A50, VAR, 5.568%, 02/28/37 (e)		4,662
	9,426	Series 2010-1, Class A85, VAR, 0.621%, 02/27/36 (e)		9,049
	16,037	Series 2010-2, Class A60, VAR, 4.964%, 01/28/37 (e)		16,157
	16,082	Series 2010-3, Class 2A22, VAR, 0.395%, 10/28/36 (e)		15,599
	9,423	Series 2010-4, Class 1A22, VAR, 0.351%, 07/28/36 (e) (f) (i)		9,164
	4,533	Series 2010-4, Class 2A20, VAR, 0.344%, 11/28/36 (e)		4,408
	6,665	Series 2011-1, Class 1A85, 4.000%, 09/28/20 (e)		6,650
	9,596	Series 2011-1, Class 2A35, 6.000%, 09/28/36 (e)		10,124
	9,647	Series 2011-1, Class 3A50, VAR, 2.555%, 11/28/35 (e) (f) (i)		9,261
	2,399	Series 2011-2, Class A48S, HB, IF, 23.364%, 02/28/36 (e)		3,286
		Banc of America Alternative Loan Trust,
	396	Series 2003-1, Class APO, PO, 02/25/33		252
	4,644	Series 2003-7, Class 1CB1, 5.500%, 09/25/33		4,780
	6,933	Series 2003-7, Class 2A4, 5.000%, 09/25/18		7,074
	7,911	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		8,132
	8,898	Series 2003-11, Class 1A1, 6.000%, 01/25/34		8,914


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	7,189	Series 2003-11, Class 2A1, 6.000%, 01/25/34		7,219
	956	Series 2003-11, Class PO, PO, 01/25/34		784
	2,566	Series 2004-1, Class 1A1, 6.000%, 02/25/34		2,696
	2,486	Series 2004-1, Class 5A1, 5.500%, 02/25/19		2,510
	509	Series 2004-6, Class 15PO, PO, 07/25/19		394
	1,142	Series 2004-6, Class 3A2, 6.000%, 07/25/34		1,155
	3,820	Series 2004-8, Class 3A1, 5.500%, 09/25/19		3,812
	1,373	Series 2005-5, Class 1CB1, 5.500%, 06/25/35		1,218
	4,229	Series 2005-9, Class CBIO, IO, 5.500%, 10/25/35		764
	2,745	Banc of America Commercial Mortgage, Inc., Series 2004-J, Class 3A1, VAR, 5.089%, 11/25/34		2,291
		Banc of America Funding Corp.,
	1,326	Series 2004-1, Class PO, PO, 03/25/34		1,061
	1,766	Series 2004-2, Class 1CB1, 5.750%, 09/20/34		1,815
	2,862	Series 2004-3, Class 1A7, 5.500%, 10/25/34		2,872
	3,910	Series 2004-C, Class 1A1, VAR, 5.033%, 12/20/34		3,713
	1,964	Series 2005-6, Class 2A7, 5.500%, 10/25/35		1,901
	1,782	Series 2005-7, Class 30PO, PO, 11/25/35		1,401
	804	Series 2005-8, Class 30PO, PO, 01/25/36		644
	3,468	Series 2005-E, Class 4A1, VAR, 2.772%, 03/20/35		3,118
	2,142	Series 2006-1, Class XPO, PO, 01/25/36		1,665
	18,291	Series 2010-R11A, Class 1A6, VAR, 5.421%, 08/26/35 (e)		18,734
	4,053	Series 2010-R4, Class 5A1, VAR, 0.369%, 07/26/36 (e)		3,921
	14,857	Series 2010-R5, Class 5A6, VAR, 0.519%, 05/26/37 (e)		14,399
	1,089	Series 2010-R7, Class A1, VAR, 0.399%, 06/25/46 (e) (f) (i)		1,071
		Banc of America Mortgage Securities, Inc.,
	10,000	Series 2003-3, Class 1A7, 5.500%, 05/25/33		10,259
	3,710	Series 2003-3, Class 2A1, VAR, 0.768%, 05/25/18		3,532


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	1,173	Series 2003-5, Class 3A1, 7.500%, 02/25/31		1,225
	1,763	Series 2003-6, Class 2A1, VAR, 0.668%, 08/25/18		1,685
	238	Series 2003-7, Class A2, 4.750%, 09/25/18		246
	709	Series 2003-8, Class APO, PO, 11/25/33		590
	1,415	Series 2003-C, Class 3A1, VAR, 2.872%, 04/25/33		1,358
	4,486	Series 2003-E, Class 2A2, VAR, 2.883%, 06/25/33		4,082
	453	Series 2004-1, Class APO, PO, 02/25/34		386
	4,871	Series 2004-3, Class 15IO, IO, VAR, 0.236%, 04/25/19		24
	16,500	Series 2004-3, Class 1A26, 5.500%, 04/25/34		16,882
	279	Series 2004-4, Class APO, PO, 05/25/34		235
	3,870	Series 2004-5, Class 2A2, 5.500%, 06/25/34		3,868
	1,930	Series 2004-5, Class 4A1, 4.750%, 06/25/19		1,986
	811	Series 2004-6, Class 2A7, 5.500%, 07/25/34		841
	1,471	Series 2004-6, Class APO, PO, 07/25/34		1,217
	102	Series 2004-8, Class 5PO, PO, 05/25/32		90
	579	Series 2004-8, Class XPO, PO, 10/25/34		490
	2,283	Series 2004-9, Class 3A1, 6.500%, 09/25/32		2,403
	218	Series 2004-9, Class 3PO, PO, 09/25/32		190
	5,314	Series 2005-1, Class 2A1, 5.000%, 02/25/20		5,315
		BCAP LLC Trust,
	15,290	Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e)		15,309
	2,519	Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e)		2,522
	17,932	Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e)		18,224
	6,912	Series 2009-RR14, Class 3A2, VAR, 2.720%, 08/26/35 (e)		6,428
	2,625	Series 2009-RR14, Class 4A1, VAR, 2.757%, 03/26/36 (e)		2,617
	11,020	Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)		11,199
	2,940	Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e)		2,947
	3,589	Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e) (f) (i)		3,585


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	4,377	Series 2010-RR4, Class 2A1, VAR, 0.969%, 06/26/37 (e)		4,070
	4,241	Series 2010-RR5, Class 1A4, VAR, 5.000%, 11/26/37 (e)		4,154
	12,601	Series 2010-RR5, Class 2A5, VAR, 5.198%, 04/26/37 (e)		12,522
	7,652	Series 2010-RR6, Class 22A3, VAR, 5.191%, 06/26/36 (e)		7,652
	4,229	Series 2010-RR6, Class 5A1, VAR, 5.500%, 11/26/37 (e)		4,103
	8,595	Series 2010-RR7, Class 15A1, VAR, 1.019%, 01/26/36 (e)		8,015
	12,193	Series 2010-RR7, Class 16A1, VAR, 0.952%, 02/26/47 (e)		11,265
	17,506	Series 2010-RR7, Class 1A5, VAR, 5.011%, 04/26/35 (e)		17,176
	35,027	Series 2010-RR7, Class 2A1, VAR, 5.127%, 07/26/45 (e)		33,114
	8,058	Series 2010-RR8, Class 3A3, VAR, 5.083%, 05/26/35 (e)		7,966
	10,000	Series 2010-RR8, Class 3A4, VAR, 5.083%, 05/26/35 (e)		9,020
	8,456	Series 2011-RR2, Class 3A3, VAR, 2.931%, 11/21/35 (e)		8,456
	17,563	Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i)		16,773
	23,275	Series 2011-RR5, Class 14A3, VAR, 2.846%, 07/26/36 (e) (f) (i)		22,286
	26,995	Series 2011-RR5-I, Class 11A3, VAR, 0.369%, 05/28/36 (e)		25,105
		Bear Stearns Adjustable Rate Mortgage Trust,
	4,346	Series 2003-2, Class A5, VAR, 2.602%, 01/25/33 (e)		4,060
	487	Series 2003-7, Class 3A, VAR, 2.654%, 10/25/33		453
	6,417	Series 2004-2, Class 14A, VAR, 5.020%, 05/25/34		6,380
	15,830	Series 2005-5, Class A1, VAR, 2.220%, 08/25/35		14,693
	11,236	Series 2006-1, Class A1, VAR, 2.520%, 02/25/36		9,586
	6,947	Bear Stearns Alt-A Trust, Series 2005-2, Class 1A1, VAR, 0.718%, 03/25/35		5,460
		Cendant Mortgage Corp.,
	1,205	Series 2003-8, Class 1P, PO, 10/25/33		990
	371	Series 2004-1, Class P, PO, 02/25/34		298
		Chase Mortgage Finance Corp.,
	3,817	Series 2003-S10, Class A1, 4.750%, 11/25/18		3,932


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	1,223	Series 2003-S2, Class A1, 5.000%, 03/25/18		1,243
	740	Series 2003-S6, Class A1, 5.000%, 06/25/18		755
	2,302	Series 2003-S9, Class AP, PO, 10/25/18		2,164
	6,404	Series 2007-A1, Class 2A1, VAR, 2.753%, 02/25/37		6,122
	1,005	Series 2007-A1, Class 7A1, VAR, 2.758%, 02/25/37		943
	3,230	Series 2007-A1, Class 9A1, VAR, 2.790%, 02/25/37		3,116
	2,482	Series 2007-A2, Class 1A1, VAR, 2.775%, 07/25/37		2,174
	3,723	Series 2007-A2, Class 2A1, VAR, 2.955%, 07/25/37		3,511
		Citicorp Mortgage Securities, Inc.,
	161	Series 1993-14, Class A3, VAR, 1.418%, 11/25/23		154
	1,037	Series 2003-6, Class 1A2, 4.500%, 05/25/33		1,045
	3,117	Series 2004-1, Class 3A1, 4.750%, 01/25/34		3,147
	8,220	Series 2004-4, Class A4, 5.500%, 06/25/34		8,580
	915	Series 2004-5, Class 2A5, 4.500%, 08/25/34		945
	1,615	Series 2006-1, Class 2A1, 5.000%, 02/25/21		1,600
	5,000	Series 2006-4, Class 1A2, 6.000%, 08/25/36		4,736
		Citigroup Mortgage Loan Trust, Inc.,
	4,383	Series 2003-1, Class 2A5, 5.250%, 10/25/33		4,447
	599	Series 2003-1, Class 2A6, PO, 10/25/33		484
	574	Series 2003-1, Class PO2, PO, 10/25/33		471
	444	Series 2003-1, Class PO3, PO, 09/25/33		368
	41	Series 2003-1, Class WPO1, PO, 06/25/16		40
	508	Series 2003-UP3, Class A3, 7.000%, 09/25/33		520
	2,242	Series 2003-UST1, Class A1, 5.500%, 12/25/18		2,346
	468	Series 2003-UST1, Class PO1, PO, 12/25/18		434
	329	Series 2003-UST1, Class PO3, PO, 12/25/18		307
	2,427	Series 2004-UST1, Class A6, VAR, 5.093%, 08/25/34		2,422
	614	Series 2005-1, Class 2A1A, VAR, 2.724%, 04/25/35		379
	4,735	Series 2005-2, Class 2A11, 5.500%, 05/25/35		4,616


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	1,766	Series 2005-5, Class 1A2, VAR, 2.701%, 08/25/35		975
	24,849	Series 2008-AR4, Class 1A1A, VAR, 5.240%, 11/25/38 (e)		24,513
	4,811	Series 2009-5, Class 8A1, 6.000%, 06/25/36 (e)		5,027
	15,023	Series 2009-10, Class 1A1, VAR, 2.589%, 09/25/33 (e)		14,854
	11,841	Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e)		12,292
	13,000	Series 2009-11, Class 3A1, VAR, 5.750%, 05/25/37 (e)		13,357
	6,403	Series 2010-7, Class 10A1, VAR, 2.729%, 02/25/35 (e)		6,364
	2,397	Series 2010-7, Class 4A1, VAR, 1.188%, 09/25/37 (e)		2,382
	6,456	Series 2010-10, Class 2A1, VAR, 2.655%, 02/25/36 (e)		6,375
	6,820	Series 2011-3, Class 1A1, VAR, 0.298%, 02/25/47 (e)		6,667
		Countrywide Alternative Loan Trust,
	2,223	Series 2002-8, Class A4, 6.500%, 07/25/32		2,339
	389	Series 2002-12, Class PO, PO, 11/25/32		251
	3,541	Series 2002-18, Class M, 6.000%, 02/25/33		3,371
	583	Series 2003-6T2, Class A6, 5.500%, 06/25/33		548
	10,969	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		10,447
	2,630	Series 2004-14T2, Class A5, 5.500%, 08/25/34		2,592
	7,637	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		7,815
	1,102	Series 2005-5R, Class A1, 5.250%, 12/25/18		1,121
	9,568	Series 2005-1CB, Class 1A6, IF, IO, 6.882%, 03/25/35		1,244
	19,382	Series 2005-20CB, Class 3A8, IF, IO, 4.532%, 07/25/35		2,229
	21,198	Series 2005-22T1, Class A2, IF, IO, 4.852%, 06/25/35		2,504
	263	Series 2005-26CB, Class A10, IF, 12.654%, 07/25/35		268
	7,730	Series 2005-28CB, Class 1A4, 5.500%, 08/25/35		6,048
	134	Series 2005-28CB, Class 1A5, 5.500%, 08/25/35		130
	304	Series 2005-28CB, Class 3A5, 6.000%, 08/25/35		270


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	67,691	Series 2005-37T1, Class A2, IF, IO, 4.832%, 09/25/35		9,124
	9,300	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		7,688
	39,159	Series 2005-54CB, Class 1A2, IF, IO, 4.632%, 11/25/35		5,629
	160	Series 2005-54CB, Class 1A7, 5.500%, 11/25/35		149
	3,512	Series 2005-64CB, Class 1A9, 5.500%, 12/25/35		2,756
	15,211	Series 2005-J1, Class 1A4, IF, IO, 4.882%, 02/25/35		1,587
	1,500	Series 2007-21CB, Class 2A6, 6.000%, 09/25/37 (f) (i)		171
		Countrywide Home Loan Mortgage Pass-Through Trust,
	430	Series 2002-18, Class PO, PO, 11/25/32		357
	2,152	Series 2002-22, Class A20, 6.250%, 10/25/32		2,234
	4,335	Series 2003-26, Class 1A6, 3.500%, 08/25/33		4,165
	1,633	Series 2003-29, Class A1, 5.500%, 08/25/33		1,679
	2,592	Series 2003-34, Class A6, 5.250%, 09/25/33		2,612
	8,944	Series 2003-39, Class A6, 5.000%, 10/25/33		8,791
	1,110	Series 2003-44, Class A9, PO, 10/25/33		997
	9,004	Series 2003-J13, Class 1A7, 5.250%, 01/25/34		9,351
	238	Series 2003-J13, Class PO, PO, 01/25/34		201
	1,853	Series 2003-J7, Class 4A3, IF, 9.491%, 08/25/18		1,843
	1,396	Series 2004-3, Class A4, 5.750%, 04/25/34		1,437
	7,961	Series 2004-5, Class 1A4, 5.500%, 06/25/34		8,236
	382	Series 2004-7, Class 2A1, VAR, 2.276%, 06/25/34		326
	7,520	Series 2004-8, Class 2A1, 4.500%, 06/25/19		7,656
	694	Series 2004-HYB1, Class 2A, VAR, 2.855%, 05/20/34		571
	2,807	Series 2004-HYB3, Class 2A, VAR, 2.554%, 06/20/34		2,147
	1,791	Series 2004-HYB6, Class A3, VAR, 3.007%, 11/20/34		1,455
	779	Series 2004-J6, Class 2A1, 4.750%, 07/25/14		788


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	661	Series 2004-J8, Class 1A2, 4.750%, 11/25/19		674
	1,091	Series 2005-14, Class A2, 5.500%, 07/25/35		1,106
	1,000	Series 2005-16, Class A23, 5.500%, 09/25/35		928
	6,745	Series 2005-22, Class 2A1, VAR, 3.063%, 11/25/35		4,258
	324	Series 2005-R1, Class 2APO, PO, 03/25/35 (e)		261
		Credit Suisse Mortgage Capital Certificates,
	11,092	Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e)		10,981
	6,928	Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e)		6,950
	7,500	Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e)		6,825
	8,437	Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e)		8,542
	7,124	Series 2010-1R, Class 5A1, VAR, 5.000%, 01/27/36 (e)		7,420
	17,726	Series 2010-11R, Class A1, VAR, 1.221%, 06/28/47 (e)		17,449
	7,813	Series 2010-12R, Class 14A1, VAR, 2.749%, 09/26/46 (e)		7,813
	6,406	Series 2010-12R, Class 5A1, VAR, 3.000%, 04/26/37 (e)		6,453
	5,658	Series 2010-15R, Class 7A1, VAR, 5.271%, 10/26/37 (e)		5,704
	3,010	Series 2010-15R, Class 7A2, VAR, 5.271%, 10/26/37 (e)		2,732
	7,590	Series 2010-17R, Class 1A1, VAR, 2.539%, 06/26/36 (e)		7,170
	10,048	Series 2010-17R, Class 5A1, VAR, 2.876%, 07/26/36 (e)		9,658
	40,534	Series 2011-1R, Class A1, VAR, 1.221%, 02/27/47 (e)		40,477
	8,775	Series 2011-6R, Class 3A1, VAR, 2.876%, 07/28/36 (e)		8,160
	50,680	Series 2011-7R, Class A1, VAR, 1.471%, 08/28/47 (e)		50,648
	59,942	Series 2011-9R, Class A1, VAR, 2.218%, 03/27/46 (e)		59,946
		CS First Boston Mortgage Securities Corp.,
	70	Series 1997-2, Class A, 7.500%, 06/25/20 (e)		73
	2,008	Series 2003-1, Class DB1, 6.564%, 02/25/33		1,767


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	5,680	Series 2003-21, Class 1A4, 5.250%, 09/25/33		5,784
	3,235	Series 2003-23, Class 1P, PO, 10/25/33		2,680
	2,671	Series 2003-23, Class 2A5, 5.000%, 10/25/18		2,743
	589	Series 2003-25, Class 2A1, 4.500%, 10/25/18		597
	6,754	Series 2003-27, Class 5A3, 5.250%, 11/25/33		7,024
	2,957	Series 2003-27, Class 5A4, 5.250%, 11/25/33		3,059
	1,493	Series 2003-AR15, Class 3A1, VAR, 2.684%, 06/25/33		1,401
	4,028	Series 2004-4, Class 2A4, 5.500%, 09/25/34		4,251
	3,710	Series 2004-5, Class 3A1, 5.250%, 08/25/19		3,786
	152	Series 2004-5, Class 5P, PO, 08/25/19		142
	5,836	Series 2004-8, Class 1A4, 5.500%, 12/25/34		6,213
	2,743	Series 2004-8, Class 3A5, 5.500%, 12/25/34		2,821
	1,386	Series 2005-4, Class 3A24, IF, 18.319%, 06/25/35		1,439
	1,015	Series 2005-9, Class AP, PO, 10/25/35		606
	7,544	Series 2005-9, Class DX, IO, 5.500%, 10/25/35		1,055
	487	Series 2005-10, Class AP, PO, 11/25/35		375
		Deutsche ALT-A Securities, Inc. Alternate Loan Trust,
	2,646	Series 2005-1, Class 2A1, VAR, 5.714%, 02/25/20		2,696
	3,632	Series 2005-3, Class 1A1, VAR, 5.297%, 06/25/20		3,395
		Deutsche Mortgage Securities, Inc.,
	249	Series 2004-1, Class 2APO, PO, 10/25/18		231
	6,083	Series 2009-RS2, Class 4A1, VAR, 0.317%, 04/26/37 (e)		5,749
	5,920	Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e)		5,868
	11,830	Series 2010-RS2, Class A1, VAR, 1.437%, 06/28/47 (e)		11,815
		First Boston Mortgage Securities Corp. 1987 STRIPS,
	47	Series C, Class IO, IO, 10.965%, 04/25/17		7
	26	Series C, Class PO, PO, 04/25/17		25


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		First Horizon Alternative Mortgage Securities,
	3,459	Series 2005-FA8, Class 1A19, 5.500%, 11/25/35		2,389
	25,115	Series 2007-FA4, Class 1A2, IF, IO, 5.432%, 08/25/37		3,391
		First Horizon Asset Securities, Inc.,
	268	Series 2003-7, Class 2A1, 4.500%, 09/25/18		276
	3,202	Series 2003-8, Class 2A1, 4.500%, 09/25/18		3,227
	3,243	Series 2003-9, Class 1A6, 5.500%, 11/25/33		3,305
	2,412	Series 2004-AR2, Class 2A1, VAR, 2.761%, 05/25/34		2,168
	1,550	Series 2004-AR7, Class 2A1, VAR, 2.741%, 02/25/35		1,456
	798	Series 2004-AR7, Class 2A2, VAR, 2.741%, 02/25/35		700
	6,311	Series 2005-AR1, Class 2A2, VAR, 2.750%, 04/25/35		5,703
		GMAC Mortgage Corp. Loan Trust,
	13,418	Series 2003-AR1, Class A4, VAR, 3.303%, 10/19/33		12,756
	8,273	Series 2003-AR2, Class 2A4, VAR, 3.217%, 12/19/33		7,559
	1,178	Series 2003-J7, Class A10, 5.500%, 11/25/33		1,233
	13,304	Series 2003-J7, Class A7, 5.000%, 11/25/33		13,717
	721	Series 2003-J8, Class A, 5.250%, 12/25/33		738
	7,012	Series 2004-J5, Class A7, 6.500%, 01/25/35		7,382
	3,962	Series 2004-J6, Class 1A1, 5.000%, 01/25/20		4,060
	1,424	Series 2005-AR3, Class 3A3, VAR, 3.088%, 06/19/35		1,326
	5,000	Series 2005-AR3, Class 3A4, VAR, 3.088%, 06/19/35		3,973
	1,780	Series 2010-1, Class A, 4.250%, 07/25/40 (e)		1,785
		GSMPS Mortgage Loan Trust,
	1,335	Series 2004-4, Class 1AF, VAR, 0.618%, 06/25/34 (e)		1,084
	2,469	Series 2005-RP2, Class 1AF, VAR, 0.568%, 03/25/35 (e)		2,035
		GSR Mortgage Loan Trust,
	1,638	Series 2003-3F, Class 4A3, 5.750%, 04/25/33		1,651
	835	Series 2003-6F, Class A2, VAR, 0.618%, 09/25/32		800


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	996	Series 2004-9, Class 5A5, VAR, 2.275%, 08/25/34		989
	9,317	Series 2004-6F, Class 2A4, 5.500%, 05/25/34		9,689
	3,218	Series 2004-6F, Class 3A4, 6.500%, 05/25/34		3,433
	329	Series 2004-10F, Class 2A1, 5.000%, 08/25/19		334
	1,003	Series 2004-13F, Class 3A3, 6.000%, 11/25/34		980
	155	Series 2004-15F, Class AP, PO, 12/25/34		131
	2,297	Series 2005-5F, Class 2A3, 5.500%, 06/25/35		2,301
	7,508	Series 2005-5F, Class 8A3, VAR, 0.718%, 06/25/35		7,295
	9,460	Series 2005-7F, Class 3A9, 6.000%, 09/25/35		9,145
	503	Series 2005-AR6, Class 3A1, VAR, 2.722%, 09/25/35		426
	4,000	Series 2006-1F, Class 1A3, 5.500%, 02/25/36		3,559
	11,678	Series 2006-1F, Class 2A4, 6.000%, 02/25/36		9,417
	13,000	Series 2007-1F, Class 2A4, 5.500%, 01/25/37		12,185
	4,652	Impac CMB Trust, Series 2005-4, Class 2A1, VAR, 0.518%, 05/25/35		3,972
		Impac Secured Assets CMN Owner Trust,
	2,349	Series 2003-2, Class A1, 5.500%, 08/25/33		2,447
	101	Series 2004-3, Class 1A4, VAR, 1.018%, 11/25/34		91
	11,797	Series 2006-1, Class 2A1, VAR, 0.568%, 05/25/36		10,374
	26,175	Series 2006-2, Class 2A1, VAR, 0.568%, 08/25/36		22,855
	31,539	Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.213%, 08/25/35		158
		JP Morgan Mortgage Trust,
	1,781	Series 2004-A3, Class 4A1, VAR, 2.749%, 07/25/34		1,728
	3,728	Series 2004-A4, Class 1A1, VAR, 2.759%, 09/25/34		3,607
	2,851	Series 2004-S1, Class 1A7, 5.000%, 09/25/34		2,936
	7,550	Series 2005-A1, Class 3A4, VAR, 5.016%, 02/25/35		6,965
	2,828	Series 2005-A1, Class 5A1, VAR, 4.477%, 02/25/35		2,794


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	43,371	Series 2006-A2, Class 4A1, VAR, 2.749%, 08/25/34		41,022
	23,861	Series 2006-A2, Class 5A3, VAR, 2.903%, 11/25/33		23,108
	5,885	Series 2006-A3, Class 6A1, VAR, 2.808%, 08/25/34		5,116
	3,968	Series 2007-A1, Class 5A1, VAR, 2.907%, 07/25/35		3,503
	1,587	Series 2007-A1, Class 5A2, VAR, 2.907%, 07/25/35		1,433
		JP Morgan Reremic,
	7,815	Series 2009-6, Class 4A1, VAR, 5.958%, 09/26/36 (e)		8,108
	8,059	Series 2010-4, Class 7A1, VAR, 4.285%, 08/26/35 (e)		7,724
		Lehman Mortgage Trust,
	2,527	Series 2006-2, Class 1A1, VAR, 6.482%, 04/25/36		2,412
	2,025	Series 2007-6, Class 1A8, 6.000%, 07/25/37		1,560
	10,000	Series 2008-2, Class 1A6, 6.000%, 03/25/38		7,497
		LVII Resecuritization Trust,
	18,541	Series 2009-2, Class A4, VAR, 3.000%, 09/27/37 (e)		18,135
	16,500	Series 2009-2, Class A5, VAR, 3.000%, 09/27/37 (e)		16,490
		MASTR Adjustable Rate Mortgages Trust,
	1,543	Series 2004-3, Class 4A2, VAR, 2.286%, 04/25/34		1,348
	3,640	Series 2004-13, Class 2A1, VAR, 2.770%, 04/21/34		3,416
	11,817	Series 2004-13, Class 3A6, VAR, 2.729%, 11/21/34		11,631
	766	Series 2004-15, Class 3A1, VAR, 3.241%, 12/25/34		572
		MASTR Alternative Loans Trust,
	4,804	Series 2003-9, Class 2A1, 6.000%, 12/25/33		4,809
	820	Series 2003-9, Class 8A1, 6.000%, 01/25/34		821
	1,995	Series 2004-3, Class 2A1, 6.250%, 04/25/34		2,020
	5,854	Series 2004-3, Class 3A1, 6.000%, 04/25/34		5,981
	1,181	Series 2004-6, Class 30PO, PO, 07/25/34		1,013
	638	Series 2004-6, Class 7A1, 6.000%, 07/25/34		633


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	1,024	Series 2004-7, Class 30PO, PO, 08/25/34		631
	3,040	Series 2004-8, Class 6A1, 5.500%, 09/25/19		3,088
	1,114	Series 2004-10, Class 1A1, 4.500%, 09/25/19		1,134
	3,642	Series 2005-6, Class 3A1, 5.500%, 11/25/20		3,426
		MASTR Asset Securitization Trust,
	811	Series 2003-2, Class 1A1, 5.000%, 03/25/18		835
	461	Series 2003-2, Class 2A1, 4.500%, 03/25/18		468
	1,467	Series 2003-2, Class 2A10, 4.500%, 03/25/18		1,490
	461	Series 2003-8, Class 1A1, 5.500%, 09/25/33		483
	922	Series 2003-9, Class 15PO, PO, 10/25/18		858
	811	Series 2003-9, Class 2A7, 5.500%, 10/25/33		841
	528	Series 2003-11, Class 3A1, 4.500%, 12/25/18		536
	581	Series 2003-12, Class 30PO, PO, 12/25/33		469
	1,485	Series 2003-12, Class 6A1, 5.000%, 12/25/33		1,511
	371	Series 2004-1, Class 30PO, PO, 02/25/34		297
	5,162	Series 2004-4, Class 1A6, 5.250%, 12/26/33		5,356
	201	Series 2004-4, Class 3A1, 4.500%, 04/25/19		205
	551	Series 2004-6, Class 15PO, PO, 05/25/19		505
	1,982	Series 2004-8, Class 1A1, 4.750%, 08/25/19		2,037
	401	Series 2004-8, Class PO, PO, 08/25/19		373
	1,327	Series 2004-9, Class 5A1, 5.250%, 09/25/19		1,368
	148	Series 2004-10, Class 5A1, VAR, 0.618%, 11/25/34		147
	4,363	Series 2004-P7, Class A6, 5.500%, 12/27/33 (e)		4,619
	2,300	Series 2006-2, Class 1A30, 6.000%, 06/25/36		2,057
		MASTR Reperforming Loan Trust,
	20,217	Series 2005-2, Class 1A1F, VAR, 0.568%, 05/25/35 (e)		16,124
	2,394	Series 2006-2, Class 1A1, VAR, 5.352%, 05/25/36 (e)		2,139
	6,323	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		4,300


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
			Non-Agency CMO — Continued
	394		Medallion Trust, (Australia), Series 2004-1G, Class A1, VAR, 0.442%, 05/25/35		375
			Mellon Residential Funding Corp.,
	9,344		Series 2000-TBC2, Class A1, VAR, 0.687%, 06/15/30		8,655
	2,097		Series 2000-TBC3, Class A1, VAR, 0.647%, 12/15/30		1,843
	5,724		Merrill Lynch Mortgage Backed Securities Trust, Series 2007-3, Class 1A3, VAR, 1.457%, 06/25/37		4,899
			Merrill Lynch Mortgage Investors, Inc.,
	2,534		Series 2003-A5, Class 2A6, VAR, 2.400%, 08/25/33		2,295
	4,109		Series 2004-A4, Class A2, VAR, 2.608%, 08/25/34		3,840
	7,571		Series 2005-A2, Class A1, VAR, 2.622%, 02/25/35		6,352
	115		Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20		129
			MLCC Mortgage Investors, Inc.,
	3,022		Series 2003-E, Class A1, VAR, 0.838%, 10/25/28		2,638
	4,472		Series 2004-1, Class 2A1, VAR, 2.138%, 12/25/34		4,208
	4,776		Series 2004-C, Class A2, VAR, 0.996%, 07/25/29		4,269
			Morgan Stanley Mortgage Loan Trust,
	9,698		Series 2004-3, Class 4A, VAR, 5.651%, 04/25/34		9,809
	2,981		Series 2004-9, Class 4A, VAR, 5.427%, 11/25/19		3,061
	—	(h)	Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 5,254.000%, 04/20/21		22
	2,433		MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.538%, 02/25/35		1,876
			Nomura Asset Acceptance Corp.,
	1,124		Series 2003-A1, Class A1, 5.500%, 05/25/33		1,159
	388		Series 2003-A1, Class A2, 6.000%, 05/25/33		405
	149		Series 2003-A1, Class A5, 7.000%, 04/25/33		155
	62		Series 2003-A1, Class A7, 5.000%, 04/25/18		63
	1,410		Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		1,421
			Paine Webber CMO Trust,
	6		Series H, Class 4, 8.750%, 04/01/18		6


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	26	Series P, Class 4, 8.500%, 08/01/19		30
	4,358	Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.000%, 02/25/34		4,588
		RBSSP Resecuritization Trust,
	7,574	Series 2009-1, Class 1A1, 6.500%, 02/26/36 (e)		7,830
	3,501	Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e)		3,678
	5,129	Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e)		5,162
	6,995	Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e)		7,152
	5,861	Series 2009-11, Class 1A1, 5.528%, 06/26/34 (e)		5,865
	6,789	Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e)		6,970
	19,450	Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e)		20,473
	6,775	Series 2009-12, Class 3A1, VAR, 0.458%, 12/25/35 (e)		6,419
	3,781	Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e)		3,828
	2,114	Series 2010-2, Class 2A1, 4.500%, 11/26/22 (e)		2,149
	6,367	Series 2010-4, Class 12A1, 4.500%, 03/26/21 (e)		6,350
	4,572	Series 2010-4, Class 2A1, SUB, 5.749%, 11/26/35 (e)		4,653
	10,812	Series 2010-9, Class 1A1, VAR, 0.403%, 07/26/37 (e) (f) (i)		9,351
	9,984	Series 2010-9, Class 3A1, VAR, 5.000%, 10/26/34 (e)		10,034
	26,500	Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e)		26,268
	3,774	Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e)		3,779
		Residential Accredit Loans, Inc.,
	1,702	Series 2001-QS19, Class A2, 6.000%, 12/25/16		1,735
	734	Series 2002-QS16, Class A3, IF, 16.166%, 10/25/17		815
	3,109	Series 2002-QS8, Class A5, 6.250%, 06/25/17		3,177
	3,120	Series 2003-QR19, Class CB4, 5.750%, 10/25/33		3,059
	1,779	Series 2003-QR24, Class A5, 4.000%, 07/25/33		1,780
	770	Series 2003-QS1, Class A6, 4.250%, 01/25/33		772


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	2,152	Series 2003-QS12, Class A2A, IF, IO, 7.382%, 06/25/18		299
	655	Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18		67
	5,076	Series 2003-QS14, Class A1, 5.000%, 07/25/18		5,162
	7,756	Series 2003-QS15, Class A7, 5.500%, 08/25/33		7,791
	1,600	Series 2003-QS18, Class A1, 5.000%, 09/25/18		1,648
	12,360	Series 2003-QS19, Class A1, 5.750%, 10/25/33		12,781
	1,435	Series 2003-QS3, Class A2, IF, 16.020%, 02/25/18		1,657
	1,414	Series 2003-QS3, Class A8, IF, IO, 7.382%, 02/25/18		154
	4,049	Series 2003-QS9, Class A3, IF, IO, 7.332%, 05/25/18		580
	11,352	Series 2004-QS7, Class A4, 5.500%, 05/25/34		9,939
	629	Series 2004-QS8, Class A2, 5.000%, 06/25/34		632
	3,000	Series 2005-QA6, Class A32, VAR, 5.576%, 05/25/35		1,618
	527	Series 2007-QS1, Class 1A1, 6.000%, 01/25/37		330
		Residential Asset Securitization Trust,
	1,574	Series 2003-A13, Class A3, 5.500%, 01/25/34		1,572
	160	Series 2003-A14, Class A1, 4.750%, 02/25/19		162
	3,181	Series 2003-A8, Class A5, 4.250%, 10/25/18		3,254
	21,217	Series 2005-A2, Class A4, IF, IO, 4.832%, 03/25/35		2,692
	2,651	Series 2006-A4, Class 2A5, 6.000%, 05/25/36		1,664
		Residential Funding Mortgage Securities I,
	1,680	Series 2003-S13, Class A3, 5.500%, 06/25/33		1,711
	587	Series 2003-S14, Class A4, PO, 07/25/18		549
	1,768	Series 2003-S16, Class A3, 5.000%, 09/25/18		1,825
	2,511	Series 2003-S20, Class 2A1, 4.750%, 12/25/18		2,567
	313	Series 2004-S6, Class 2A6, PO, 06/25/34		259
	1,843	Series 2005-S1, Class 2A1, 4.750%, 02/25/20		1,889


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	2,121	Series 2005-SA4, Class 1A1, VAR, 3.003%, 09/25/35		1,435
	111	Residential Funding Securities LLC, Series 2003-RM2, Class AP-3, PO, 05/25/33		92
		Salomon Brothers Mortgage Securities VII, Inc.,
	7,552	Series 2003-HYB1, Class A, VAR, 3.189%, 09/25/33		7,045
	303	Series 2003-UP2, Class PO1, PO, 12/25/18		241
		Sequoia Mortgage Trust,
	3,094	Series 2004-8, Class A1, VAR, 0.563%, 09/20/34		2,638
	4,838	Series 2004-8, Class A2, VAR, 0.833%, 09/20/34		4,089
	1,435	Series 2004-10, Class A1A, VAR, 0.523%, 11/20/34		1,251
	5,753	Series 2004-12, Class A3, VAR, 0.715%, 01/20/35		4,490
	20,092	Springleaf Mortgage Loan Trust, Series 2011-1A, Class A1, VAR, 4.050%, 08/25/35 (e)		20,076
		Station Place Securitization Trust,
	73,000	Series 2010-1, Class A, VAR, 1.213%, 12/20/42 (e)		73,000
	5,250	Series 2010-1, Class M1, VAR, 1.963%, 12/20/42 (e)		5,250
	4,200	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.931%, 06/25/34		3,959
	3,745	Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1, VAR, 0.542%, 10/19/34		3,091
		Structured Asset Securities Corp.,
	1,133	Series 2002-17, Class B1, VAR, 6.095%, 09/25/32		1,117
	121	Series 2002-10H, Class 1AP, PO, 05/25/32		90
	857	Series 2003-8, Class 1A2, 5.000%, 04/25/18		877
	5,938	Series 2003-16, Class A3, VAR, 0.718%, 06/25/33		5,647
	369	Series 2003-21, Class 1A3, 5.500%, 07/25/33		373
	5,069	Series 2003-29, Class 1A1, 4.750%, 09/25/18		5,194
	1,271	Series 2003-30, Class 1A1, 5.500%, 10/25/33		1,318
	1,711	Series 2003-30, Class 3A2, VAR, 0.718%, 10/25/33		1,662
	1,091	Series 2003-32, Class 1A1, VAR, 5.218%, 11/25/33		1,143


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	1,406	Series 2003-31A, Class B1, VAR, 2.567%, 10/25/33		534
	8,140	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		8,236
	1,940	Series 2003-34A, Class 3A3, VAR, 2.558%, 11/25/33		1,801
	8,597	Series 2003-37A, Class 2A, VAR, 5.013%, 12/25/33		8,529
	2,291	Series 2004-20, Class 1A3, 5.250%, 11/25/34		2,306
	17,246	Series 2004-5H, Class A4, 5.540%, 12/25/33		16,801
	5,710	Series 2004-4XS, Class 1A5, SUB, 5.490%, 02/25/34		5,787
	2,946	Series 2005-6, Class 4A1, 5.000%, 05/25/35		2,897
	1,953	Series 2005-RF3, Class 1A, VAR, 0.568%, 06/25/35 (e)		1,552
	3,604	Thornburg Mortgage Securities Trust, Series 2003-4, Class A1, VAR, 0.538%, 09/25/43		3,253
		Vericrest Opportunity Loan Transferee,
	17,302	Series 2011-NL1A, Class A1, 5.926%, 12/26/50 (e) (f) (i)		17,312
	18,000	Series 2011-NL1A, Class A2, 9.077%, 12/26/50 (e) (f) (i)		18,000
		WaMu Mortgage Pass-Through Certificates,
	4,207	Series 2003-AR7, Class A7, VAR, 2.446%, 08/25/33		3,967
	21,833	Series 2003-AR9, Class 1A6, VAR, 2.589%, 09/25/33		20,656
	4,173	Series 2003-AR9, Class 2A, VAR, 2.608%, 09/25/33		3,975
	5,240	Series 2003-S1, Class A5, 5.500%, 04/25/33		5,408
	908	Series 2003-S10, Class A2, 5.000%, 10/25/18		945
	282	Series 2003-S10, Class A6, PO, 10/25/18		278
	5,797	Series 2003-S11, Class 2A5, IF, 16.449%, 11/25/33		6,080
	2,205	Series 2003-S13, Class 23A1, VAR, 0.768%, 12/25/18		2,131
	1,773	Series 2003-S4, Class 2A10, IF, 16.862%, 06/25/33		1,849
	3,127	Series 2003-S8, Class A4, 4.500%, 09/25/18		3,176
	1,946	Series 2003-S8, Class A5, 4.500%, 09/25/18		1,981
	1,437	Series 2003-S8, Class A6, 4.500%, 09/25/18		1,466
	21,194	Series 2003-S9, Class A8, 5.250%, 10/25/33		21,971
	651	Series 2003-S9, Class P, PO, 10/25/33		532


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	5,609	Series 2004-AR3, Class A1, VAR, 2.577%, 06/25/34		5,530
	7,208	Series 2004-AR3, Class A2, VAR, 2.577%, 06/25/34		7,107
	2,868	Series 2004-CB2, Class 5A, 5.000%, 07/25/19		2,996
	3,141	Series 2004-CB2, Class 7A, 5.500%, 08/25/19		3,288
	1,442	Series 2004-RS2, Class A4, 5.000%, 11/25/33		1,443
	1,045	Series 2004-S1, Class 1A3, VAR, 0.618%, 03/25/34		1,015
	10,122	Series 2004-S2, Class 2A4, 5.500%, 06/25/34		10,114
	5,194	Series 2004-S3, Class 1A5, 5.000%, 07/25/34		5,370
	565	Series 2006-AR10, Class 2P, VAR, 09/25/36		297
	2,000	Series 2006-AR8, Class 1A2, VAR, 2.561%, 08/25/46		1,194
		Washington Mutual Alternative Mortgage Pass-Through Certificates,
	6,136	Series 2005-1, Class 1A1, 5.500%, 03/25/35		5,371
	435	Series 2005-1, Class CP, PO, 03/25/35		264
	24,232	Series 2005-2, Class 1A4, IF, IO, 4.832%, 04/25/35		2,931
	6,783	Series 2005-2, Class 2A3, IF, IO, 4.782%, 04/25/35		719
	7,510	Series 2005-4, Class CB7, 5.500%, 06/25/35		6,200
	8,012	Series 2005-4, Class CX, IO, 5.500%, 06/25/35		1,226
	2,000	Series 2005-6, Class 2A4, 5.500%, 08/25/35		1,614
	812	Series 2006-1, Class 3A2, 5.750%, 02/25/36		655
		Washington Mutual MSC Mortgage Pass-Through Certificates,
	898	Series 2003-MS5, Class 1A4, VAR, 0.718%, 03/25/18		877
	105	Series 2003-MS7, Class P, PO, 03/25/33		94
		Wells Fargo Alternative Loan Trust,
	426	Series 2003-1, Class APO, PO, 09/25/33		280
	1,202	Series 2007-PA3, Class 1A2, 5.750%, 07/25/37		818
		Wells Fargo Mortgage-Backed Securities Trust,
	861	Series 2003-8, Class A9, 4.500%, 08/25/18		888
	1,421	Series 2003-11, Class 1A4, 4.750%, 10/25/18		1,420


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	667	Series 2003-11, Class 1APO, PO, 10/25/18		585
	2,397	Series 2003-13, Class A7, 4.500%, 11/25/18		2,431
	11,877	Series 2003-15, Class 1A1, 4.750%, 12/25/18		12,260
	279	Series 2003-15, Class APO, PO, 12/25/18		258
	803	Series 2003-16, Class 2A1, 4.500%, 12/25/18		820
	985	Series 2003-J, Class 2A5, VAR, 4.417%, 10/25/33		986
	14,211	Series 2003-K, Class 1A1, VAR, 4.443%, 11/25/33		13,595
	544	Series 2003-K, Class 1A2, VAR, 4.443%, 11/25/33		532
	1,893	Series 2003-L, Class 2A1, VAR, 4.531%, 11/25/33		1,808
	2,237	Series 2004-4, Class A9, 5.500%, 05/25/34		2,300
	999	Series 2004-7, Class 2A1, 4.500%, 07/25/19		1,021
	1,172	Series 2004-7, Class 2A2, 5.000%, 07/25/19		1,211
	1,416	Series 2004-8, Class APO, PO, 08/25/19		1,308
	4,424	Series 2004-B, Class A1, VAR, 4.903%, 02/25/34		4,376
	3,018	Series 2004-BB, Class A4, VAR, 2.742%, 01/25/35		2,881
	566	Series 2004-E, Class A8, VAR, 4.889%, 05/25/34		563
	7,950	Series 2004-EE, Class 2A1, VAR, 2.749%, 12/25/34		7,572
	5,408	Series 2004-EE, Class 2A2, VAR, 2.749%, 12/25/34		5,213
	7,994	Series 2004-EE, Class 3A1, VAR, 2.848%, 12/25/34		7,674
	2,610	Series 2004-EE, Class 3A2, VAR, 2.848%, 12/25/34		2,537
	9,883	Series 2004-I, Class 1A1, VAR, 2.832%, 07/25/34		9,205
	9,158	Series 2004-P, Class 2A1, VAR, 2.682%, 09/25/34		8,515
	5,387	Series 2004-V, Class 1A1, VAR, 2.747%, 10/25/34		5,085
	6,909	Series 2004-V, Class 1A2, VAR, 2.747%, 10/25/34		6,575
	5,932	Series 2005-1, Class 2A1, 5.000%, 01/25/20		6,163
	5,033	Series 2005-13, Class A1, 5.000%, 11/25/20		5,184


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	3,126	Series 2005-14, Class 1A1, 5.500%, 12/25/35		3,246
	1,082	Series 2005-14, Class 2APO, PO, 12/25/35		846
	6,966	Series 2005-AR8, Class 2A1, VAR, 2.759%, 06/25/35		6,455
	1,550	Series 2007-7, Class A7, 6.000%, 06/25/37		1,482
	11,000	Series 2007-9, Class 1A8, 5.500%, 07/25/37		10,587
	8,961	Series 2007-11, Class A14, 6.000%, 08/25/37		8,193

				2,586,340

		Total Collateralized Mortgage Obligations (Cost $7,223,552)		7,627,583

	Commercial Mortgage-Backed Securities — 2.5%
		Banc of America Commercial Mortgage, Inc.,
	5,000	Series 2005-1, Class AJ, VAR, 5.353%, 11/10/42		4,566
	5,000	Series 2005-3, Class A4, 4.668%, 07/10/43		5,336
	10,625	Series 2005-3, Class AM, 4.727%, 07/10/43		10,242
	2,500	Series 2005-5, Class A4, VAR, 5.115%, 10/10/45		2,713
	642,617	Series 2005-5, Class XC, IO, VAR, 0.091%, 10/10/45 (e)		2,380
	8,517	Series 2005-6, Class ASB, VAR, 5.368%, 09/10/47		8,906
	2,855	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		3,088
	7,000	Series 2006-3, Class A4, VAR, 5.889%, 07/10/44		7,588
	11,500	Series 2006-4, Class A4, 5.634%, 07/10/46		12,425
	2,500	Series 2006-5, Class A4, 5.414%, 09/10/47		2,634
	262,481	Series 2006-5, Class XC, IO, VAR, 0.324%, 09/10/47 (e)		4,062
	9,500	Banc of America Large Loan, Inc., Series 2009-UB1, Class A4A, VAR, 5.691%, 06/24/50 (e)		10,365
		Bear Stearns Commercial Mortgage Securities,
	9,145	Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41		9,842
	3,195	Series 2005-PWR9, Class AAB, 4.804%, 09/11/42		3,312
	8,560	Series 2006-PW11, Class A4, VAR, 5.620%, 03/11/39		9,394
	345	Series 2006-PW14, Class A1, 5.044%, 12/11/38		345
	279,063	Series 2006-PW14, Class X1, IO, VAR, 0.255%, 12/11/38 (e)		4,790


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Commercial Mortgage-Backed Securities — Continued
	2,700	Series 2006-T24, Class A4, 5.537%, 10/12/41		2,981
	787,297	Series 2007-T26, Class X1, IO, VAR, 0.117%, 01/12/45 (e)		4,145
		Citigroup Commercial Mortgage Trust,
	7,200	Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43		6,874
	296	Series 2006-C4, Class A1, VAR, 5.922%, 03/15/49		295
		Citigroup/Deutsche Bank Commercial Mortgage Trust,
	186,391	Series 2006-CD3, Class XS, IO, VAR, 0.186%, 10/15/48 (e)		2,573
	302,540	Series 2007-CD4, Class XC, IO, VAR, 0.167%, 12/11/49 (e)		2,555
	4,700	Commercial Mortgage Asset Trust, Series 1999-C1, Class D, VAR, 7.350%, 01/17/32		4,895
	6,300	Commercial Mortgage Pass-Through Certificates, Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43		6,799
		Credit Suisse Mortgage Capital Certificates,
	2,150	Series 2006-C2, Class A3, VAR, 5.850%, 03/15/39		2,279
	287,196	Series 2007-C2, Class AX, IO, VAR, 0.272%, 01/15/49 (e)		1,857
	1,700	CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AM, 4.730%, 07/15/37		1,707
	266,559	CW Capital Cobalt Ltd., Series 2006-C1, Class IO, IO, VAR, 0.916%, 08/15/48		6,558
	15,767	Defeased Loan Trust, Series 2010-1, Class A, 2.360%, 01/13/14 (e)		16,410
	36,327	FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e)		37,784
	11,500	GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48		10,298
		GMAC Commercial Mortgage Securities, Inc.,
	217	Series 2003-C1, Class A1, 3.337%, 05/10/36		218
	14,000	Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		14,895
	3,500	Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42		3,214
		GS Mortgage Securities Corp. II,
	11,100	Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38		11,831
	7,300	Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38		7,794


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	167,789	Series 2006-GG8, Class X, IO, VAR, 0.856%, 11/10/39 (e)		3,899
	5,500	Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e)		5,260
		JP Morgan Chase Commercial Mortgage Securities Corp.,
	8,300	Series 2004-CB8, Class A4, 4.404%, 01/12/39		8,695
	6,000	Series 2004-CB9, Class A4, VAR, 5.789%, 06/12/41		6,496
	5,150	Series 2005-CB11, Class AJ, VAR, 5.457%, 08/12/37		4,644
	655,516	Series 2005-CB11, Class X1, IO, VAR, 0.100%, 08/12/37 (e)		3,039
	687,827	Series 2005-LDP5, Class X1, IO, VAR, 0.099%, 12/15/44 (e)		2,262
	461,206	Series 2006-CB15, Class X1, IO, VAR, 0.115%, 06/12/43		3,186
	2,195	Series 2006-CB16, Class A4, 5.552%, 05/12/45		2,418
	1,600	Series 2006-LDP8, Class A4, 5.399%, 05/15/45		1,740
	6,000	Series 2006-LDP9, Class A3SF, VAR, 0.362%, 05/15/47		5,378
		LB-UBS Commercial Mortgage Trust,
	11,528	Series 2004-C2, Class A4, 4.367%, 03/15/36		12,079
	5,000	Series 2006-C1, Class A4, 5.156%, 02/15/31		5,403
	1,470	Series 2006-C4, Class A4, VAR, 6.067%, 06/15/38		1,621
	212,880	Series 2007-C2, Class XW, IO, VAR, 0.750%, 02/15/40		4,447
		Merrill Lynch Mortgage Trust,
	2,500	Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44		2,721
	3,325	Series 2005-LC1, Class AJ, VAR, 5.505%, 01/12/44		2,985
	5,221	Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43		5,414
	2,200	Series 2006-C1, Class A4, 5.863%, 05/12/39		2,431
		Merrill Lynch/Countrywide Commercial Mortgage Trust,
	4,950	Series 2006-1, Class A4, VAR, 5.608%, 02/12/39		5,420
	517,360	Series 2006-4, Class XC, IO, VAR, 0.346%, 12/12/49 (e)		6,595
		Morgan Stanley Capital I,
	3,700	Series 2004-HQ4, Class A7, 4.970%, 04/14/40		3,927
	270,962	Series 2006-IQ12, Class X1, IO, VAR, 0.203%, 12/15/43 (e)		3,548


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Commercial Mortgage-Backed Securities — Continued
	499,853	Series 2007-HQ11, Class X, IO, VAR, 0.404%, 02/12/44 (e)		4,178
	128,214	Series 2007-HQ13, Class X1, IO, VAR, 0.617%, 12/15/44 (e)		2,478
	397,855	Series 2007-IQ13, Class X, IO, VAR, 0.603%, 03/15/44 (e)		6,107
	22	Morgan Stanley Dean Witter Capital I, Series 2002-TOP7, Class A2, 5.980%, 01/15/39		22
		Morgan Stanley Reremic Trust,
	9,370	Series 2009-IO, Class A1, 3.000%, 07/17/56 (e)		9,417
	23,300	Series 2009-IO, Class A2, 5.000%, 07/17/56 (e)		23,999
	26,000	Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		27,217
	39,964	Series 2011-IO, Class A, 2.500%, 03/23/51 (e)		39,764
	1,770	Multi Security Asset Trust, Series 2005-RR4A, Class A3, 5.000%, 11/28/35 (e)		1,770
	6,060	RBSCF Trust, Series 2010-RR3, Class MS4A, VAR, 4.970%, 04/14/40 (e)		6,375
	27,950	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.969%, 08/15/39		30,329
		Wachovia Bank Commercial Mortgage Trust,
	6,628	Series 2003-C9, Class A4, VAR, 5.012%, 12/15/35		7,017
	10,719	Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41		11,440
	5,758	Series 2004-C15, Class A2, 4.039%, 10/15/41		5,752
	1,037,810	Series 2006-C24, Class XC, IO, VAR, 0.080%, 03/15/45 (e)		4,619
	10,265	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.375%, 03/15/44 (e)		10,074

		Total Commercial Mortgage-Backed Securities (Cost $524,318)		542,116

	Corporate Bonds — 14.9%
		Consumer Discretionary — 1.1%
		Auto Components — 0.0% (g)
	3,335	Johnson Controls, Inc., 4.250%, 03/01/21		3,475

		Automobiles — 0.0% (g)
		Daimler Finance North America LLC,
	3,600	7.300%, 01/15/12		3,684
	1,500	8.500%, 01/18/31		2,060

				5,744


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Broadcasting & Cable TV — 0.1%
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	5,600	4.600%, 02/15/21		5,862
	12,465	6.000%, 08/15/40		13,132

				18,994

		Hotels, Restaurants & Leisure — 0.0% (g)
	2,025	McDonald’s Corp., 4.300%, 03/01/13		2,135

		Household Durables — 0.0% (g)
	3,000	Newell Rubbermaid, Inc., 4.700%, 08/15/20		3,095

		Media — 0.8%
		CBS Corp.,
	750	5.500%, 05/15/33		707
	1,426	5.750%, 04/15/20		1,593
	6,025	7.875%, 07/30/30		7,510
	1,500	8.875%, 05/15/19		1,938
		Comcast Cable Communications Holdings, Inc.,
	6,417	8.375%, 03/15/13		7,127
	5,250	9.455%, 11/15/22		7,699
		Comcast Cable Communications LLC,
	2,200	7.125%, 06/15/13		2,437
	1,000	8.875%, 05/01/17		1,305
		Comcast Cable Holdings LLC,
	7,039	9.800%, 02/01/12		7,287
	1,800	10.125%, 04/15/22		2,585
		Comcast Corp.,
	1,300	5.900%, 03/15/16		1,507
	3,000	6.450%, 03/15/37		3,334
	1,000	6.500%, 01/15/17		1,187
	4,600	6.500%, 11/15/35		5,169
		Cox Communications, Inc.,
	2,600	5.450%, 12/15/14		2,899
	1,300	8.375%, 03/01/39 (e)		1,775
	2,650	Cox Enterprises, Inc., 7.375%, 07/15/27 (e)		3,215
	4,322	DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.000%, 03/01/21		4,646
	6,674	Discovery Communications LLC, 4.375%, 06/15/21		6,918
	3,365	Historic TW, Inc., 9.150%, 02/01/23		4,686
		NBC Universal Media LLC,
	4,000	4.375%, 04/01/21		4,105
	5,102	5.950%, 04/01/41		5,364
		News America, Inc.,
	2,500	6.200%, 12/15/34		2,626
	3,000	6.650%, 11/15/37		3,246


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Media — Continued
	1,500	6.900%, 08/15/39		1,699
	1,965	7.250%, 05/18/18		2,290
	4,400	7.300%, 04/30/28		4,955
	3,000	7.625%, 11/30/28		3,465
	1,100	8.000%, 10/17/16		1,330
	1,050	8.875%, 04/26/23		1,392
		TCI Communications, Inc.,
	1,337	7.125%, 02/15/28		1,607
	426	8.750%, 08/01/15		520
		Thomson Reuters Corp., (Canada),
	2,150	4.700%, 10/15/19		2,416
	1,125	5.950%, 07/15/13		1,222
		Time Warner Cable, Inc.,
	1,700	5.850%, 05/01/17		1,917
	4,600	5.875%, 11/15/40		4,813
	2,595	6.550%, 05/01/37		2,870
	4,550	6.750%, 07/01/18		5,358
	2,000	6.750%, 06/15/39		2,245
	2,450	7.300%, 07/01/38		2,900
	1,590	8.250%, 02/14/14		1,834
	2,150	8.250%, 04/01/19		2,722
	1,785	8.750%, 02/14/19		2,310
		Time Warner Entertainment Co. LP,
	2,020	8.375%, 03/15/23		2,632
	6,500	8.375%, 07/15/33		8,363
	2,165	10.150%, 05/01/12		2,296
		Time Warner, Inc.,
	5,670	4.750%, 03/29/21		6,089
	3,125	6.200%, 03/15/40		3,361
	4,139	6.250%, 03/29/41		4,594
	3,825	7.625%, 04/15/31		4,702
	1,255	7.700%, 05/01/32		1,553

				172,320

		Multiline Retail — 0.1%
	1,000	Kohl’s Corp., 6.250%, 12/15/17		1,194
		Target Corp.,
	2,100	6.000%, 01/15/18		2,541
	1,900	7.000%, 01/15/38		2,445

				6,180

		Specialty Retail — 0.1%
	1,559	Gap, Inc. (The), 5.950%, 04/12/21		1,480
	4,600	Home Depot, Inc., 5.400%, 03/01/16		5,225
	3,500	Lowe’s Cos., Inc., 7.110%, 05/15/37		4,370


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Specialty Retail — Continued
	1,775	Staples, Inc., 9.750%, 01/15/14		2,081

				13,156

		Total Consumer Discretionary		225,099

		Consumer Staples — 0.6%
		Beverages — 0.2%
		Anheuser-Busch Cos., Inc.,
	1,000	5.500%, 01/15/18		1,166
	1,100	5.750%, 04/01/36		1,241
		Anheuser-Busch InBev Worldwide, Inc.,
	3,615	1.500%, 07/14/14		3,664
	7,050	7.750%, 01/15/19		9,279
		Coca-Cola Co. (The),
	1,550	3.625%, 03/15/14		1,666
	1,550	4.875%, 03/15/19		1,790
	1,650	Coca-Cola Refreshments USA, Inc., 8.500%, 02/01/12		1,703
	2,780	Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20		3,102
		Diageo Finance B.V., (Netherlands),
	2,150	5.300%, 10/28/15		2,458
	3,600	5.500%, 04/01/13		3,867
	3,975	FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e)		4,401
		PepsiCo, Inc.,
	935	0.800%, 08/25/14		934
	2,503	3.000%, 08/25/21		2,509
	231	7.900%, 11/01/18		306
		SABMiller plc, (United Kingdom),
	1,900	5.500%, 08/15/13 (e)		2,051
	4,600	5.700%, 01/15/14 (e)		5,033
	850	6.500%, 07/01/16 (e)		1,007

				46,177

		Food & Staples Retailing — 0.1%
		CVS Caremark Corp.,
	6,794	5.750%, 05/15/41		7,088
	2,000	6.125%, 09/15/39		2,192
		Kroger Co. (The),
	924	5.400%, 07/15/40		948
	2,000	6.150%, 01/15/20		2,388
	2,225	7.500%, 01/15/14		2,543
		Wal-Mart Stores, Inc.,
	1,820	4.550%, 05/01/13		1,941
	1,200	5.250%, 09/01/35		1,294
	1,050	6.200%, 04/15/38		1,265
	700	7.550%, 02/15/30		958

				20,617


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Food Products — 0.3%
		Bunge Ltd. Finance Corp.,
	2,125	5.875%, 05/15/13		2,239
	7,760	8.500%, 06/15/19		9,900
	605	Bunge N.A. Finance LP, 5.900%, 04/01/17		665
		Cargill, Inc.,
	2,724	4.307%, 05/14/21 (e)		2,910
	1,550	6.000%, 11/27/17 (e)		1,845
	2,850	7.350%, 03/06/19 (e)		3,607
	1,270	General Mills, Inc., 6.000%, 02/15/12		1,300
		Kellogg Co.,
	1,500	4.250%, 03/06/13		1,576
	2,600	5.125%, 12/03/12		2,739
		Kraft Foods, Inc.,
	5,888	5.375%, 02/10/20		6,688
	4,250	6.125%, 02/01/18		5,029
	2,000	6.125%, 08/23/18		2,378
	8,705	6.500%, 08/11/17		10,521
	1,000	6.750%, 02/19/14		1,130
	1,600	6.875%, 02/01/38		1,906
	2,700	6.875%, 01/26/39		3,260
	1,200	7.000%, 08/11/37		1,460

				59,153

		Household Products — 0.0% (g)
	500	Kimberly-Clark Corp., 7.500%, 11/01/18		650
	2,192	Procter & Gamble — ESOP, 9.360%, 01/01/21		2,953
	1,000	Procter & Gamble Co. (The), 5.500%, 02/01/34		1,144

				4,747

		Total Consumer Staples		130,694

		Energy — 0.8%
		Energy Equipment & Services — 0.1%
		Halliburton Co.,
	750	6.150%, 09/15/19		916
	5,050	7.450%, 09/15/39		6,696
	6,750	Transocean, Inc., (Cayman Islands), 6.500%, 11/15/20		7,664

				15,276

		Oil, Gas & Consumable Fuels — 0.7%
	2,655	Alberta Energy Co. Ltd., (Canada), 7.375%, 11/01/31		3,157
		Anadarko Petroleum Corp.,
	405	5.750%, 06/15/14		448
	8,500	7.625%, 03/15/14		9,724
	1,100	8.700%, 03/15/19		1,418


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Oil, Gas & Consumable Fuels — Continued
	2,500	Apache Corp., 6.900%, 09/15/18		3,168
		BP Capital Markets plc, (United Kingdom),
	1,380	3.125%, 03/10/12		1,398
	5,500	3.875%, 03/10/15		5,863
	6,200	4.742%, 03/11/21		6,792
	9,100	5.250%, 11/07/13		9,845
		Canadian Natural Resources Ltd., (Canada),
	400	5.900%, 02/01/18		473
	2,000	6.750%, 02/01/39		2,360
	400	7.200%, 01/15/32		487
	5,100	Chevron Corp., 4.950%, 03/03/19		5,960
	1,040	Conoco Funding Co., (Canada), 7.250%, 10/15/31		1,366
		ConocoPhillips,
	1,500	5.200%, 05/15/18		1,736
	2,000	5.750%, 02/01/19		2,385
	1,450	6.000%, 01/15/20		1,780
	1,450	6.500%, 02/01/39		1,830
	900	Devon Financing Corp. ULC, (Canada), 6.875%, 09/30/11		905
	2,750	Encana Corp., (Canada), 6.500%, 05/15/19		3,282
	5,400	ENI S.p.A., (Italy), 5.700%, 10/01/40 (e)		5,307
		EOG Resources, Inc.,
	5,300	4.100%, 02/01/21		5,610
	1,800	6.875%, 10/01/18		2,232
	1,155	Husky Energy, Inc., (Canada), 6.150%, 06/15/19		1,326
	1,230	Kerr-McGee Corp., 6.950%, 07/01/24		1,446
		Marathon Oil Corp.,
	2,819	5.900%, 03/15/18		3,302
	2,800	6.000%, 10/01/17		3,246
	2,430	Occidental Petroleum Corp., 1.750%, 02/15/17		2,417
	1,150	PC Financial Partnership, 5.000%, 11/15/14		1,262
		Petro-Canada, (Canada),
	2,549	6.050%, 05/15/18		2,955
	3,200	6.800%, 05/15/38		3,757
	2,045	Pioneer Natural Resources Co., 5.875%, 07/15/16		2,139
		Shell International Finance B.V., (Netherlands),
	2,330	1.875%, 03/25/13		2,378
	994	3.100%, 06/28/15		1,056
	2,330	4.000%, 03/21/14		2,513
	3,000	4.300%, 09/22/19		3,318
	8,580	4.375%, 03/25/20		9,369


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
	6,000	6.375%, 12/15/38		7,675
	2,950	Statoil ASA, (Norway), 3.125%, 08/17/17		3,140
		Suncor Energy, Inc., (Canada),
	1,900	6.100%, 06/01/18		2,204
	900	6.850%, 06/01/39		1,054
	5,355	Talisman Energy, Inc., (Canada), 7.750%, 06/01/19		6,732
		Tosco Corp.,
	300	7.800%, 01/01/27		398
	3,500	8.125%, 02/15/30		4,795
		Total Capital S.A., (France),
	10,000	2.300%, 03/15/16		10,343
	2,218	4.125%, 01/28/21		2,380
	2,800	XTO Energy, Inc., 5.750%, 12/15/13		3,125

				159,856

		Total Energy		175,132

		Financials — 8.4%
		Capital Markets — 1.8%
		Bank of New York Mellon Corp. (The),
	8,000	2.950%, 06/18/15		8,316
	2,500	3.100%, 01/15/15		2,638
	3,750	4.600%, 01/15/20		4,101
	1,000	5.125%, 08/27/13		1,078
		BlackRock, Inc.,
	3,245	3.500%, 12/10/14		3,470
	9,294	5.000%, 12/10/19		10,251
	10,200	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		10,775
	1,600	Charles Schwab Corp. (The), 4.950%, 06/01/14		1,756
		Credit Suisse USA, Inc.,
	1,200	4.875%, 01/15/15		1,283
	1,803	5.125%, 01/15/14		1,923
	15,099	6.125%, 11/15/11		15,248
	2,500	FMR LLC, 6.450%, 11/15/39 (e)		2,626
	2,095	Goldman Sachs Capital I, 6.345%, 02/15/34		1,938
	1,000	Goldman Sachs Group LP, 8.000%, 03/01/13 (e)		1,064
		Goldman Sachs Group, Inc. (The),
	6,465	3.625%, 02/07/16		6,471
	4,020	3.700%, 08/01/15		4,063
	2,694	4.750%, 07/15/13		2,804
	12,876	5.250%, 10/15/13		13,424
	3,927	5.250%, 07/27/21		3,981


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Capital Markets — Continued
	7,151	5.375%, 03/15/20		7,266
	12,900	5.950%, 01/18/18		13,726
	18,425	6.000%, 06/15/20		19,665
	650	6.150%, 04/01/18		695
	7,470	6.250%, 09/01/17		8,067
	1,600	6.750%, 10/01/37		1,519
	27,505	7.500%, 02/15/19		31,421
		Jefferies Group, Inc.,
	3,075	3.875%, 11/09/15		3,125
	2,750	5.125%, 04/13/18		2,741
	5,600	6.450%, 06/08/27		5,603
	7,100	8.500%, 07/15/19		8,570
		Lehman Brothers Holdings, Inc.,
	151	3.950%, 11/10/09 (d)		38
	3,480	4.800%, 03/13/14 (d)		866
	800	5.750%, 05/17/13 (d)		199
	3,000	6.000%, 07/19/12 (d)		746
	3,962	6.625%, 01/18/12 (d)		986
	450	6.750%, 12/28/17 (d)		—	(h)
	219	7.875%, 11/01/09 (d)		54
		Macquarie Group Ltd., (Australia),
	10,015	6.250%, 01/14/21 (e)		9,725
	6,992	7.300%, 08/01/14 (e)		7,746
		Merrill Lynch & Co., Inc.,
	700	5.000%, 01/15/15		703
	3,723	5.450%, 07/15/14		3,835
	1,000	5.700%, 05/02/17		979
	6,929	6.150%, 04/25/13		7,207
	21,186	6.400%, 08/28/17		21,710
	6,348	6.875%, 04/25/18		6,588
		Morgan Stanley,
	6,626	4.000%, 07/24/15		6,594
	4,263	4.200%, 11/20/14		4,273
	2,711	4.750%, 04/01/14		2,749
	9,078	5.300%, 03/01/13		9,393
	5,200	5.450%, 01/09/17		5,332
	7,503	5.500%, 07/24/20		7,338
	3,245	5.500%, 07/28/21		3,240
	14,220	5.625%, 09/23/19		14,454
	1,300	5.750%, 08/31/12		1,347
	5,800	6.000%, 05/13/14		6,090
	3,294	6.000%, 04/28/15		3,448
	1,070	6.250%, 08/28/17		1,132
	4,425	6.625%, 04/01/18		4,741
	7,000	7.300%, 05/13/19		7,818


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Capital Markets — Continued
		Nomura Holdings, Inc., (Japan),
	10,600	4.125%, 01/19/16		10,865
	2,828	5.000%, 03/04/15		2,980
	6,114	6.700%, 03/04/20		6,907
	887	Northern Trust Corp., 5.500%, 08/15/13		962
	1,250	State Street Corp., 4.300%, 05/30/14		1,351
		UBS AG, (Switzerland),
	2,927	2.250%, 08/12/13		2,957
	13,050	3.875%, 01/15/15		13,538
	2,000	4.875%, 08/04/20		2,006
	3,755	5.750%, 04/25/18		4,002
	1,025	5.875%, 12/20/17		1,096

				385,603

		Commercial Banks — 2.6%
	2,930	ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e)		2,963
		Australia & New Zealand Banking Group Ltd., (Australia),
	6,200	3.250%, 03/01/16 (e)		6,391
	2,867	4.875%, 01/12/21 (e)		3,061
		Bank of Nova Scotia, (Canada),
	8,206	1.650%, 10/29/15 (e)		8,310
	3,630	2.375%, 12/17/13		3,737
	3,441	3.400%, 01/22/15		3,655
	4,367	Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e)		4,644
		Barclays Bank plc, (United Kingdom),
	9,400	2.500%, 01/23/13		9,413
	8,375	2.500%, 09/21/15 (e)		8,487
	3,858	3.900%, 04/07/15		3,864
	1,100	5.000%, 09/22/16		1,134
	4,500	5.125%, 01/08/20		4,532
	9,300	5.200%, 07/10/14		9,784
	3,700	6.050%, 12/04/17 (e)		3,663
	500	6.750%, 05/22/19		549
		BB&T Corp.,
	5,008	2.050%, 04/28/14		5,071
	10,800	3.850%, 07/27/12		11,092
	6,250	3.950%, 04/29/16		6,664
	2,750	4.900%, 06/30/17		2,943
	2,350	5.700%, 04/30/14		2,589
	1,650	6.850%, 04/30/19		1,973
		Branch Banking & Trust Co.,
	598	4.875%, 01/15/13		616
	4,650	5.625%, 09/15/16		5,277
	1,500	Cadets Trust, 4.800%, 07/15/13 (e) (f) (i)		1,585


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Commercial Banks — Continued
	37,250	Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e)		39,044
	1,250	Comerica Bank, 5.200%, 08/22/17		1,377
	1,960	Comerica, Inc., 3.000%, 09/16/15		2,005
	2,340	Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., (Netherlands), 2.125%, 10/13/15		2,366
		Credit Suisse, (Switzerland),
	2,700	3.450%, 07/02/12		2,756
	3,290	4.375%, 08/05/20		3,231
	6,300	5.300%, 08/13/19		6,594
	4,000	5.400%, 01/14/20		3,984
	4,995	5.500%, 05/01/14		5,386
	5,150	6.000%, 02/15/18		5,428
		Deutsche Bank AG, (Germany),
	7,800	3.250%, 01/11/16		7,831
	3,520	3.875%, 08/18/14		3,658
	14,418	DnB NOR Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e)		14,746
	1,450	Fifth Third Bancorp, 5.450%, 01/15/17		1,572
		HSBC Bank plc, (United Kingdom),
	10,761	1.625%, 07/07/14 (e)		10,891
	9,146	3.100%, 05/24/16 (e)		9,298
	4,624	3.500%, 06/28/15 (e)		4,740
	5,961	4.125%, 08/12/20 (e)		5,973
	10,000	4.750%, 01/19/21 (e)		10,367
	6,805	HSBC Bank USA N.A., 4.625%, 04/01/14		7,033
	4,669	HSBC Holdings plc, (United Kingdom), 5.100%, 04/05/21		5,009
	3,150	KeyBank N.A., 5.500%, 09/17/12		3,267
	3,750	KeyCorp, 6.500%, 05/14/13		4,031
		Manufacturers & Traders Trust Co.,
	4,500	6.625%, 12/04/17		5,293
	6,250	VAR, 1.746%, 04/01/13		6,243
		National Australia Bank Ltd., (Australia),
	18,650	2.500%, 01/08/13 (e)		18,912
	7,800	2.750%, 09/28/15 (e)		7,943
	7,000	3.000%, 07/27/16 (e)		7,085
	3,455	3.750%, 03/02/15 (e)		3,624
	8,677	National Bank of Canada, (Canada), 1.650%, 01/30/14 (e)		8,854
	4,000	National City Bank, 5.800%, 06/07/17		4,398
		Nordea Bank AB, (Sweden),
	5,000	1.750%, 10/04/13 (e)		4,955
	6,198	4.875%, 05/13/21 (e)		5,657
	2,000	PNC Bank N.A., 6.875%, 04/01/18		2,297


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Commercial Banks — Continued
		PNC Funding Corp.,
	1,015	3.000%, 05/19/14		1,060
	4,534	4.375%, 08/11/20		4,800
	5,700	5.125%, 02/08/20		6,296
	1,200	5.250%, 11/15/15		1,313
	1,230	5.625%, 02/01/17		1,370
	4,100	6.700%, 06/10/19		4,902
		Rabobank Nederland N.V., (Netherlands),
	12,700	3.200%, 03/11/15 (e)		13,349
	6,900	4.500%, 01/11/21		7,400
	3,500	5.800%, 09/30/10 (e)		3,610
	4,000	Royal Bank of Canada, (Canada), 2.300%, 07/20/16		4,057
	2,450	SouthTrust Bank, 7.690%, 05/15/25		2,870
		SunTrust Banks, Inc.,
	4,015	5.250%, 11/05/12		4,190
	1,000	6.000%, 09/11/17		1,092
	505	7.250%, 03/15/18		597
	6,699	Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16		6,771
		Toronto-Dominion Bank (The), (Canada),
	9,045	2.200%, 07/29/15 (e)		9,352
	5,384	2.500%, 07/14/16		5,540
		U.S. Bancorp,
	4,680	2.450%, 07/27/15		4,804
	4,299	2.875%, 11/20/14		4,474
	3,558	4.125%, 05/24/21		3,764
	1,400	7.500%, 06/01/26		1,827
	690	U.S. Bank N.A., 6.300%, 02/04/14		770
		Wachovia Bank N.A.,
	4,700	5.000%, 08/15/15		5,069
	15,190	6.000%, 11/15/17		17,104
	2,700	6.600%, 01/15/38		3,080
	4,430	VAR, 0.577%, 03/15/16		4,100
		Wachovia Corp.,
	2,130	4.875%, 02/15/14		2,248
	8,400	5.500%, 05/01/13		8,980
	3,050	5.750%, 06/15/17		3,457
	13,275	5.750%, 02/01/18		15,187
		Wells Fargo & Co.,
	16,700	3.676%, 06/15/16		17,654
	8,500	4.600%, 04/01/21		9,169
	9,185	5.625%, 12/11/17		10,533
		Wells Fargo Bank N.A.,
	4,870	4.750%, 02/09/15		5,166
	2,000	5.750%, 05/16/16		2,200


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Commercial Banks — Continued
		Westpac Banking Corp., (Australia),
	4,800	4.200%, 02/27/15		5,098
	10,711	4.875%, 11/19/19		11,268

				562,366

		Consumer Finance — 0.5%
	4,900	American Express Centurion Bank, 6.000%, 09/13/17		5,645
	2,750	American Express Co., 7.000%, 03/19/18		3,274
		American Express Credit Corp.,
	9,100	5.875%, 05/02/13		9,721
	5,650	7.300%, 08/20/13		6,240
	1,479	American General Finance Corp., 5.375%, 10/01/12		1,442
		American Honda Finance Corp.,
	2,060	2.375%, 03/18/13 (e)		2,100
	1,335	7.625%, 10/01/18 (e)		1,712
	13,599	Capital One Bank USA N.A., 8.800%, 07/15/19		16,792
		Capital One Financial Corp.,
	2,502	4.750%, 07/15/21		2,518
	1,175	5.700%, 09/15/11		1,177
	3,105	6.250%, 11/15/13		3,366
	8,300	6.750%, 09/15/17		9,486
	2,970	7.375%, 05/23/14		3,342
		HSBC Finance Corp.,
	311	4.750%, 07/15/13		324
	6,500	5.000%, 06/30/15		6,871
	1,600	5.250%, 01/15/14		1,702
	200	5.500%, 01/19/16		216
	2,251	6.375%, 10/15/11		2,264
	1,078	6.375%, 11/27/12		1,131
	308	7.350%, 11/27/32		307
	1,700	VAR, 0.499%, 01/15/14		1,647
		John Deere Capital Corp.,
	450	4.500%, 04/03/13		477
	4,750	5.250%, 10/01/12		4,989
	2,437	SLM Corp., 5.375%, 01/15/13		2,462
	5,538	Toyota Motor Credit Corp., 3.200%, 06/17/15		5,849
	2,002	Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e)		2,022

				97,076


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Diversified Financial Services — 2.0%
	10,250	Associates Corp. of North America, 6.950%, 11/01/18		11,194
	18,700	BA Covered Bond Issuer, 5.500%, 06/14/12 (e)		19,276
		Bank of America Corp.,
	2,385	3.625%, 03/17/16		2,328
	5,500	4.900%, 05/01/13		5,632
	2,715	5.000%, 05/13/21		2,658
	6,500	5.625%, 10/14/16		6,621
	11,580	5.625%, 07/01/20		11,728
	7,980	5.650%, 05/01/18		8,143
	4,635	5.750%, 12/01/17		4,818
	5,000	6.500%, 08/01/16		5,366
	3,000	7.375%, 05/15/14		3,283
	3,500	7.625%, 06/01/19		3,954
	7,420	Bank of America N.A., 5.300%, 03/15/17		7,263
		BHP Billiton Finance USA Ltd., (Australia),
	1,600	5.400%, 03/29/17		1,861
	1,150	5.500%, 04/01/14		1,281
	2,750	6.500%, 04/01/19		3,387
	6,049	Caisse Centrale Desjardins du Quebec, (Canada), 2.550%, 03/24/16 (e)		6,331
		Caterpillar Financial Services Corp.,
	1,900	4.900%, 08/15/13		2,044
	1,000	5.450%, 04/15/18		1,171
	900	5.500%, 03/15/16		1,050
	4,800	6.200%, 09/30/13		5,284
	3,500	7.050%, 10/01/18		4,469
	600	7.150%, 02/15/19		769
		Citigroup, Inc.,
	11,602	4.587%, 12/15/15		12,050
	1,500	4.700%, 05/29/15		1,535
	5,400	4.750%, 05/19/15		5,632
	5,286	5.000%, 09/15/14		5,428
	4,470	5.375%, 08/09/20		4,745
	2,400	5.500%, 04/11/13		2,500
	1,000	5.500%, 02/15/17		1,019
	1,575	6.000%, 12/13/13		1,670
	13,500	6.000%, 08/15/17		14,638
	7,525	6.010%, 01/15/15		8,081
	5,350	6.125%, 11/21/17		5,860
	3,675	6.375%, 08/12/14		4,008
	700	6.875%, 03/05/38		744
	2,850	8.125%, 07/15/39		3,432
	13,075	8.500%, 05/22/19		15,981


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Diversified Financial Services — Continued
		CME Group, Inc.,
	7,200	5.400%, 08/01/13		7,741
	700	5.750%, 02/15/14		775
	1,225	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		1,439
		ERAC USA Finance LLC,
	2,728	2.250%, 01/10/14 (e)		2,773
	3,874	4.500%, 08/16/21 (e)		3,945
		FUEL Trust,
	12,102	3.984%, 06/15/16 (e)		12,067
	3,346	4.207%, 04/15/16 (e)		3,365
		General Electric Capital Corp.,
	4,131	2.250%, 11/09/15		4,155
	14,400	4.375%, 09/16/20		14,674
	3,050	4.625%, 01/07/21		3,144
	16,000	5.250%, 10/19/12		16,754
	1,787	5.300%, 02/11/21		1,903
	1,500	5.400%, 02/15/17		1,659
	2,000	5.500%, 06/04/14		2,199
	10,250	5.500%, 01/08/20		11,308
	7,400	5.625%, 09/15/17		8,221
	29,075	5.625%, 05/01/18		32,221
	24,103	5.875%, 02/15/12		24,665
	1,900	5.875%, 01/14/38		1,936
	4,700	5.900%, 05/13/14		5,214
	24,792	6.000%, 06/15/12		25,814
	5,300	6.000%, 08/07/19		5,963
	7,841	6.750%, 03/15/32		8,816
	900	6.875%, 01/10/39		1,036
	2,625	VAR, 0.366%, 04/10/12		2,625
	3,500	VAR, 0.456%, 02/15/17		3,135
	10,530	GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e)		10,741
		National Rural Utilities Cooperative Finance Corp.,
	530	2.625%, 09/16/12		541
	3,550	4.750%, 03/01/14		3,881
	2,155	10.375%, 11/01/18		3,082
	2,400	Textron Financial Corp., 5.400%, 04/28/13		2,509

				435,535

		Insurance — 1.1%
		ACE INA Holdings, Inc.,
	3,636	2.600%, 11/23/15		3,695
	2,000	5.600%, 05/15/15		2,205


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Insurance — Continued
		Aflac, Inc.,
	2,118	6.450%, 08/15/40		2,071
	1,500	8.500%, 05/15/19		1,862
	1,150	AIG SunAmerica Global Financing X, 6.900%, 03/15/32 (e)		1,226
	5,000	Allstate Life Global Funding Trusts, 5.375%, 04/30/13		5,340
		American International Group, Inc.,
	3,284	4.250%, 05/15/13		3,324
	2,800	5.450%, 05/18/17		2,852
	1,425	5.600%, 10/18/16		1,476
		AON Corp.,
	2,483	3.125%, 05/27/16		2,486
	2,012	3.500%, 09/30/15		2,088
	1,668	6.250%, 09/30/40		1,843
	5,641	ASIF Global Financing XIX, 4.900%, 01/17/13 (e)		5,810
		Berkshire Hathaway Finance Corp.,
	3,000	2.450%, 12/15/15		3,089
	3,500	4.000%, 04/15/12		3,576
	3,800	4.600%, 05/15/13		4,004
	750	5.000%, 08/15/13		805
	11,700	5.400%, 05/15/18		13,375
	1,300	5.750%, 01/15/40		1,401
	5,859	Berkshire Hathaway, Inc., 3.750%, 08/15/21		5,996
	1,130	Chubb Corp., 5.750%, 05/15/18		1,322
		CNA Financial Corp.,
	6,800	5.850%, 12/15/14		7,284
	5,063	5.875%, 08/15/20		5,283
		Jackson National Life Global Funding,
	3,400	5.375%, 05/08/13 (e)		3,615
	4,115	6.125%, 05/30/12 (e)		4,268
	2,980	Liberty Mutual Group, Inc., 5.750%, 03/15/14 (e)		3,139
	1,625	Lincoln National Corp., 4.850%, 06/24/21		1,579
		MassMutual Global Funding II,
	2,714	2.300%, 09/28/15 (e)		2,745
	1,628	2.875%, 04/21/14 (e)		1,692
	5,150	3.625%, 07/16/12 (e)		5,270
	7,358	MetLife Institutional Funding II, VAR, 1.146%, 04/04/14 (e)		7,363
	815	MetLife, Inc., 6.817%, 08/15/18		964
		Metropolitan Life Global Funding I,
	2,500	2.000%, 01/10/14 (e)		2,527
	9,335	2.500%, 01/11/13 (e)		9,473
	8,000	2.875%, 09/17/12 (e)		8,122


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Insurance — Continued
	3,235	3.125%, 01/11/16 (e)		3,363
	13,300	3.650%, 06/14/18 (e)		13,615
	3,000	5.125%, 04/10/13 (e)		3,169
	2,497	5.200%, 09/18/13 (e)		2,693
	1,000	Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e)		1,062
		Nationwide Financial Services,
	1,130	5.900%, 07/01/12		1,162
	1,661	6.250%, 11/15/11		1,672
		Nationwide Mutual Insurance Co.,
	1,000	6.600%, 04/15/34		931
	5,990	9.375%, 08/15/39 (e)		7,078
		New York Life Global Funding,
	3,000	3.000%, 05/04/15 (e)		3,151
	5,910	4.650%, 05/09/13 (e)		6,280
	5,914	5.375%, 09/15/13 (e)		6,407
		Pacific Life Global Funding,
	4,000	5.000%, 05/15/17 (e)		4,306
	2,500	5.150%, 04/15/13 (e)		2,637
	1,600	Pacific Life Insurance Co., 9.250%, 06/15/39 (e)		2,118
	6,400	Pricoa Global Funding I, 5.450%, 06/11/14 (e)		7,042
		Principal Life Global Funding I,
	1,600	5.050%, 03/15/15 (e)		1,748
	11,236	6.250%, 02/15/12 (e)		11,505
		Principal Life Income Funding Trusts,
	5,900	5.100%, 04/15/14		6,420
	2,215	5.300%, 12/14/12		2,332
	2,900	5.300%, 04/24/13		3,096
	11,540	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		14,543
	1,070	Travelers Cos., Inc. (The), 5.800%, 05/15/18		1,232
	3,200	Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e)		3,535
	890	Travelers Property Casualty Corp., 5.000%, 03/15/13		941

				245,208

		Real Estate Investment Trusts (REITs) — 0.2%
		CommonWealth REIT,
	7,010	5.875%, 09/15/20		7,276
	3,890	6.650%, 01/15/18		4,385
	6,185	HCP, Inc., 5.375%, 02/01/21		6,301
		Simon Property Group LP,
	450	4.200%, 02/01/15		480


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Real Estate Investment Trusts (REITs) — Continued
	2,400	4.375%, 03/01/21		2,401
	1,775	5.625%, 08/15/14		1,981
	1,100	5.650%, 02/01/20		1,210
	2,120	6.100%, 05/01/16		2,408
	3,675	6.125%, 05/30/18		4,139
	1,645	6.750%, 05/15/14		1,868
	10,077	WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e)		11,426

				43,875

		Thrifts & Mortgage Finance — 0.2%
	8,600	Countrywide Financial Corp., 6.250%, 05/15/16		8,685
	24,170	Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e)		24,434

				33,119

		Total Financials		1,802,782

		Health Care — 0.2%
		Biotechnology — 0.1%
		Amgen, Inc.,
	1,188	4.500%, 03/15/20		1,301
	4,500	4.950%, 10/01/41		4,484
	2,348	5.650%, 06/15/42		2,569
	1,975	5.700%, 02/01/19		2,327
	3,541	5.750%, 03/15/40		3,929

				14,610

		Health Care Equipment & Supplies — 0.0% (g)
		Baxter International, Inc.,
	1,150	4.000%, 03/01/14		1,237
	500	4.625%, 03/15/15		554
	700	Becton Dickinson and Co., 5.000%, 05/15/19		801

				2,592

		Health Care Providers & Services — 0.0% (g)
	2,158	Medco Health Solutions, Inc., 2.750%, 09/15/15		2,208
		WellPoint, Inc.,
	492	5.875%, 06/15/17		572
	340	7.000%, 02/15/19		422

				3,202

		Pharmaceuticals — 0.1%
	350	Abbott Laboratories, 6.150%, 11/30/37		431
	3,200	AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14		3,610
	1,095	Eli Lilly & Co., 3.550%, 03/06/12		1,112


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Pharmaceuticals — Continued
		GlaxoSmithKline Capital, Inc.,
	1,000	4.375%, 04/15/14		1,093
	3,100	5.650%, 05/15/18		3,715
	2,100	6.375%, 05/15/38		2,612
	1,040	Merck & Co., Inc., 6.000%, 09/15/17		1,271
	790	Wyeth, 6.450%, 02/01/24		1,011

				14,855

		Total Health Care		35,259

		Industrials — 0.7%
		Aerospace & Defense — 0.1%
		Boeing Co. (The),
	250	3.500%, 02/15/15		269
	500	4.875%, 02/15/20		564
	1,500	Honeywell International, Inc., 5.300%, 03/01/18		1,763
		Lockheed Martin Corp.,
	1,000	4.250%, 11/15/19		1,092
	3,993	5.720%, 06/01/40		4,368
		United Technologies Corp.,
	5	6.100%, 05/15/12		5
	8,400	6.125%, 02/01/19		10,427

				18,488

		Airlines — 0.1%
	1,679	American Airlines, 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21		1,561
	567	Continental Airlines, 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20		591
	4,120	Continental Airlines, 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22		4,181
	4,485	Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		4,356
	1,522	Delta Air Lines, 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19		1,484

				12,173

		Building Products — 0.0% (g)
	800	Masco Corp., 5.850%, 03/15/17		796

		Commercial Services & Supplies — 0.1%
	2,850	Allied Waste North America, Inc., 6.875%, 06/01/17		3,071
		Pitney Bowes, Inc.,
	4,300	4.875%, 08/15/14		4,669
	7,170	5.000%, 03/15/15		7,758
	1,700	5.600%, 03/15/18		1,878


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Commercial Services & Supplies — Continued
		Waste Management, Inc.,
	1,885	4.750%, 06/30/20		2,040
	1,365	7.375%, 03/11/19		1,735
	800	7.750%, 05/15/32		1,039

				22,190

		Industrial Conglomerates — 0.0% (g)
		Koninklijke Philips Electronics N.V., (Netherlands),
	1,666	5.750%, 03/11/18		1,922
	550	7.200%, 06/01/26		687
	1,350	Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)		1,581
	2,650	Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19		3,485
	3,100	Tyco International Ltd./Tyco International Finance S.A., (Switzerland), 7.000%, 12/15/19		3,781

				11,456

		Machinery — 0.1%
	3,748	Danaher Corp., 3.900%, 06/23/21		3,988
		Eaton Corp.,
	2,650	5.600%, 05/15/18		3,119
	2,000	7.625%, 04/01/24		2,687
	775	Ingersoll-Rand Co., (Bermuda), 6.391%, 11/15/27		929
	350	PACCAR, Inc., 6.375%, 02/15/12		358
	775	Parker Hannifin Corp., 5.500%, 05/15/18		919

				12,000

		Road & Rail — 0.3%
		Burlington Northern Santa Fe LLC,
	2,080	3.450%, 09/15/21		2,076
	1,418	3.600%, 09/01/20		1,421
	5,250	5.400%, 06/01/41		5,487
	3,660	5.650%, 05/01/17		4,264
	1,675	5.750%, 03/15/18		1,960
	2,000	5.750%, 05/01/40		2,194
	600	6.700%, 08/01/28		728
	1,300	7.000%, 02/01/14		1,483
	1,300	7.290%, 06/01/36		1,721
		CSX Corp.,
	1,986	4.250%, 06/01/21		2,079
	3,900	5.500%, 04/15/41		4,062
	1,700	6.250%, 04/01/15		1,975
	850	6.300%, 03/15/12		874


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Road & Rail — Continued
	700	7.375%, 02/01/19		883
	4,000	7.900%, 05/01/17		5,042
	400	ERAC USA Finance LLC, 6.375%, 10/15/17 (e)		474
	2,579	Federal Express Corp. 1998 Pass Through Trust, 6.720%, 01/15/22		2,975
		Norfolk Southern Corp.,
	299	5.590%, 05/17/25		342
	871	5.640%, 05/17/29		983
	1,500	6.000%, 03/15/99		1,638
	3,143	6.000%, 05/23/11		3,382
	326	7.250%, 02/15/31		433
	135	7.700%, 05/15/17		171
	34	7.800%, 05/15/27		46
	2,690	Ryder System, Inc., 3.600%, 03/01/16		2,791
		Union Pacific Corp.,
	4,388	4.163%, 07/15/22 (e)		4,656
	175	4.875%, 01/15/15		194
	1,484	5.650%, 05/01/17		1,728
	1,000	5.780%, 07/15/40		1,098
		United Parcel Service of America, Inc.,
	2,350	8.375%, 04/01/20		3,273
	600	SUB, 8.375%, 04/01/30		855

				61,288

		Total Industrials		138,391

		Information Technology — 0.6%
		Communications Equipment — 0.1%
		Cisco Systems, Inc.,
	1,500	5.500%, 02/22/16		1,737
	4,660	5.500%, 01/15/40		5,083
	4,990	5.900%, 02/15/39		5,654

				12,474

		Computers & Peripherals — 0.2%
		Dell, Inc.,
	6,526	3.100%, 04/01/16		6,822
	2,200	4.625%, 04/01/21		2,323
	570	5.650%, 04/15/18		650
	1,900	7.100%, 04/15/28		2,295
		Hewlett-Packard Co.,
	650	2.950%, 08/15/12		661
	7,667	4.300%, 06/01/21		7,964
	1,000	4.500%, 03/01/13		1,049
	1,900	4.750%, 06/02/14		2,069
	2,525	5.400%, 03/01/17		2,870
	4,400	6.125%, 03/01/14		4,853


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Computers & Peripherals — Continued
		International Business Machines Corp.,
	5,151	1.950%, 07/22/16		5,227
	3,950	5.700%, 09/14/17		4,737
	660	6.220%, 08/01/27		810
	4,500	7.625%, 10/15/18		5,952
	450	8.000%, 10/15/38		666

				48,948

		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	855	3.375%, 11/01/15		884
	4,635	6.000%, 04/01/20		5,015
	5,270	6.875%, 07/01/13		5,678
	3,600	7.500%, 01/15/27		4,139

				15,716

		IT Services — 0.0% (g)
		HP Enterprise Services LLC,
	2,950	6.000%, 08/01/13		3,207
	2,420	7.450%, 10/15/29		3,235

				6,442

		Office Electronics — 0.0% (g)
		Xerox Corp.,
	1,770	4.500%, 05/15/21		1,830
	3,450	5.625%, 12/15/19		3,867
	3,200	6.750%, 02/01/17		3,750
	310	8.250%, 05/15/14		359

				9,806

		Semiconductors & Semiconductor Equipment — 0.1%
	8,285	National Semiconductor Corp., 6.600%, 06/15/17		10,124
	5,000	Texas Instruments, Inc., 1.375%, 05/15/14		5,070

				15,194

		Software — 0.1%
	1,796	Intuit, Inc., 5.750%, 03/15/17		2,067
		Microsoft Corp.,
	7,590	1.625%, 09/25/15		7,738
	1,214	4.500%, 10/01/40		1,233
		Oracle Corp.,
	5,300	5.000%, 07/08/19		6,095
	2,320	5.250%, 01/15/16		2,667
	3,400	5.750%, 04/15/18		4,072
	1,950	6.500%, 04/15/38		2,427

				26,299

		Total Information Technology		134,879


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Materials — 0.3%
		Chemicals — 0.3%
	850	Air Products & Chemicals, Inc., 4.150%, 02/01/13		890
		Dow Chemical Co. (The),
	4,831	4.250%, 11/15/20		4,934
	650	6.000%, 10/01/12		685
	1,345	7.375%, 11/01/29		1,682
	6,770	7.600%, 05/15/14		7,803
	2,044	8.550%, 05/15/19		2,656
		El du Pont de Nemours & Co.,
	3,706	1.950%, 01/15/16		3,775
	125	4.125%, 03/06/13		131
	500	4.875%, 04/30/14		551
	2,150	4.900%, 01/15/41		2,210
	1,500	5.600%, 12/15/36		1,681
	5,000	6.000%, 07/15/18		6,037
	3,750	Monsanto Co., 7.375%, 08/15/12		3,979
		Potash Corp. of Saskatchewan, Inc., (Canada),
	1,450	4.875%, 03/01/13		1,535
	3,800	6.500%, 05/15/19		4,652
		PPG Industries, Inc.,
	1,144	5.500%, 11/15/40		1,259
	2,150	5.750%, 03/15/13		2,299
	1,800	6.650%, 03/15/18		2,211
	2,100	9.000%, 05/01/21		2,913
		Praxair, Inc.,
	850	4.375%, 03/31/14		923
	1,900	4.625%, 03/30/15		2,110
	480	5.200%, 03/15/17		560
	1,295	5.250%, 11/15/14		1,463
		Union Carbide Corp.,
	6,050	7.500%, 06/01/25		7,033
	1,800	7.750%, 10/01/96		1,985

				65,957

		Construction Materials — 0.0% (g)
	1,666	CRH America, Inc., 6.000%, 09/30/16		1,842

		Metals & Mining — 0.0% (g)
		Rio Tinto Finance USA Ltd., (Australia),
	1,280	3.500%, 11/02/20		1,273
	1,585	8.950%, 05/01/14		1,901

				3,174

		Total Materials		70,973


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Telecommunication Services — 1.0%
		Diversified Telecommunication Services — 0.9%
	270	AT&T Corp., 8.000%, 11/15/31		365
		AT&T, Inc.,
	7,000	4.450%, 05/15/21		7,512
	8,300	4.950%, 01/15/13		8,718
	1,120	5.100%, 09/15/14		1,238
	10,603	5.350%, 09/01/40		10,803
	2,925	5.500%, 02/01/18		3,365
	1,300	5.600%, 05/15/18		1,502
	2,295	5.625%, 06/15/16		2,621
	7,200	6.300%, 01/15/38		8,058
	500	6.800%, 05/15/36		588
		BellSouth Corp.,
	4,550	5.200%, 09/15/14		5,037
	1,000	6.550%, 06/15/34		1,129
	3,840	6.875%, 10/15/31		4,543
		BellSouth Telecommunications, Inc.,
	1,541	6.300%, 12/15/15		1,655
	1,200	7.000%, 10/01/25		1,445
	2,300	7.000%, 12/01/95		2,585
		British Telecommunications plc, (United Kingdom),
	5,000	5.150%, 01/15/13		5,272
	2,800	5.950%, 01/15/18		3,162
	300	9.875%, 12/15/30		438
	4,500	Centel Capital Corp., 9.000%, 10/15/19		5,178
		CenturyLink, Inc.,
	9,400	6.450%, 06/15/21		9,153
	6,000	Series P, 7.600%, 09/15/39		5,532
		Deutsche Telekom International Finance B.V., (Netherlands),
	4,200	4.875%, 07/08/14		4,566
	785	5.250%, 07/22/13		839
	2,025	6.000%, 07/08/19		2,412
	5,800	8.750%, 06/15/30		7,844
	1,000	France Telecom S.A., (France), 8.500%, 03/01/31		1,331
		GTE Corp.,
	17,200	6.840%, 04/15/18		20,652
	1,000	8.750%, 11/01/21		1,401
		Telecom Italia Capital S.A., (Luxembourg),
	4,360	4.950%, 09/30/14		4,297
	2,300	5.250%, 11/15/13		2,303
	2,650	6.175%, 06/18/14		2,674
	2,125	6.999%, 06/04/18		2,191


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Diversified Telecommunication Services — Continued
		Telefonica Emisiones S.A.U., (Spain),
	2,258	5.462%, 02/16/21		2,184
	4,000	5.855%, 02/04/13		4,131
	1,500	5.877%, 07/15/19		1,505
	3,250	6.221%, 07/03/17		3,357
	2,400	6.421%, 06/20/16		2,522
		Verizon Communications, Inc.,
	2,175	5.500%, 02/15/18		2,523
	250	5.550%, 02/15/16		284
	1,443	5.850%, 09/15/35		1,602
	4,400	7.350%, 04/01/39		5,643
	1,500	8.750%, 11/01/18		2,032
	6,498	Verizon Florida LLC, 6.125%, 01/15/13		6,924
	8,025	Verizon Global Funding Corp., 7.750%, 12/01/30		10,584
		Verizon Maryland, Inc.,
	2,363	6.125%, 03/01/12		2,424
	3,100	7.150%, 05/01/23		3,280
	900	Verizon New England, Inc., 4.750%, 10/01/13		956
	880	Verizon New York, Inc., 7.375%, 04/01/32		1,037
	5,232	Verizon Pennsylvania, Inc., 8.350%, 12/15/30		6,823
	2,788	Verizon Virginia, Inc., 4.625%, 03/15/13		2,930

				201,150

		Wireless Telecommunication Services — 0.1%
	4,274	America Movil S.A.B. de C.V., (Mexico), 2.375%, 09/08/16		4,239
	1,500	Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14		1,650
	2,780	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		2,849
		Vodafone Group plc, (United Kingdom),
	5,125	5.000%, 09/15/15		5,748
	753	5.450%, 06/10/19		880

				15,366

		Total Telecommunication Services		216,516

		Utilities — 1.2%
		Electric Utilities — 0.9%
	2,123	Alabama Power Co., 6.125%, 05/15/38		2,628
	2,250	Appalachian Power Co., 6.700%, 08/15/37		2,665
		Arizona Public Service Co.,
	1,110	4.650%, 05/15/15		1,206
	3,385	5.050%, 09/01/41		3,296


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Electric Utilities — continued
		Carolina Power & Light Co.,
	2,177	5.125%, 09/15/13		2,359
	2,000	5.300%, 01/15/19		2,357
		CenterPoint Energy Houston Electric LLC,
	3,100	5.750%, 01/15/14		3,430
	3,725	7.000%, 03/01/14		4,253
	3,450	Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17		4,400
	1,550	Columbus Southern Power Co., 6.050%, 05/01/18		1,848
	5,342	Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e)		5,489
	925	Connecticut Light & Power Co. (The), 5.650%, 05/01/18		1,098
	3,078	Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40		3,548
		Duke Energy Carolinas LLC,
	1,991	4.300%, 06/15/20		2,178
	1,400	5.100%, 04/15/18		1,635
	1,795	5.625%, 11/30/12		1,901
	1,816	6.250%, 01/15/12		1,852
		Duke Energy Corp.,
	2,966	3.550%, 09/15/21		2,932
	1,875	3.950%, 09/15/14		2,012
		Duke Energy Indiana, Inc.,
	2,260	3.750%, 07/15/20		2,378
	3,100	6.350%, 08/15/38		3,837
		Enel Finance International N.V., (Luxembourg),
	6,030	5.125%, 10/07/19 (e)		6,032
	1,000	6.000%, 10/07/39 (e)		864
		Exelon Generation Co. LLC,
	6,000	4.000%, 10/01/20		5,968
	1,857	5.750%, 10/01/41		1,891
		Florida Power & Light Co.,
	500	5.950%, 10/01/33		603
	1,000	5.950%, 02/01/38		1,227
		Florida Power Corp.,
	500	4.800%, 03/01/13		529
	1,125	5.650%, 06/15/18		1,339
	700	6.400%, 06/15/38		871
		Georgia Power Co.,
	400	5.950%, 02/01/39		472
	1,100	6.000%, 11/01/13		1,214
	1,507	Great Plains Energy, Inc., 4.850%, 06/01/21		1,588
	1,085	Indiana Michigan Power Co., 7.000%, 03/15/19		1,357


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Electric Utilities — Continued
	300	Jersey Central Power & Light Co., 7.350%, 02/01/19		382
	192	Kiowa Power Partners LLC, 4.811%, 12/30/13 (e)		194
	700	MidAmerican Energy Co., 5.300%, 03/15/18		812
		Nevada Power Co.,
	367	5.375%, 09/15/40		404
	950	6.500%, 08/01/18		1,145
	1,825	7.125%, 03/15/19		2,291
		NextEra Energy Capital Holdings, Inc.,
	900	5.350%, 06/15/13		960
	1,200	6.000%, 03/01/19		1,390
	1,600	7.875%, 12/15/15		1,918
	1,625	Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)		1,819
	2,560	Nisource Finance Corp., 6.150%, 03/01/13		2,727
	2,500	Northern States Power Co., 6.250%, 06/01/36		3,160
	2,400	Ohio Power Co., 5.750%, 09/01/13		2,609
		Oncor Electric Delivery Co. LLC,
	820	5.950%, 09/01/13		894
	6,150	6.800%, 09/01/18		7,453
		Pacific Gas & Electric Co.,
	1,980	5.625%, 11/30/17		2,322
	750	8.250%, 10/15/18		999
		PacifiCorp,
	250	5.500%, 01/15/19		296
	2,850	5.650%, 07/15/18		3,369
	125	6.900%, 11/15/11		127
	900	Peco Energy Co., 5.350%, 03/01/18		1,060
	900	Pennsylvania Electric Co., 6.050%, 09/01/17		1,031
	1,320	Potomac Electric Power Co., 6.500%, 11/15/37		1,706
		Progress Energy, Inc.,
	3,778	4.400%, 01/15/21		4,019
	730	6.050%, 03/15/14		813
	1,480	7.750%, 03/01/31		1,956
		PSEG Power LLC,
	2,411	5.125%, 04/15/20		2,631
	2,190	5.500%, 12/01/15		2,447
	1,255	8.625%, 04/15/31		1,699
		Public Service Co. of Colorado,
	1,160	3.200%, 11/15/20		1,181
	275	5.800%, 08/01/18		334
		Public Service Co. of Oklahoma,
	1,964	4.400%, 02/01/21		2,093


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Electric Utilities — Continued
	3,350	6.625%, 11/15/37		4,043
		Public Service Electric & Gas Co.,
	825	5.300%, 05/01/18		967
	1,138	5.375%, 11/01/39		1,282
	5,300	6.330%, 11/01/13		5,877
		Southern California Edison Co.,
	988	3.875%, 06/01/21		1,059
	1,200	4.150%, 09/15/14		1,306
	1,400	5.500%, 08/15/18		1,654
	1,650	5.750%, 03/15/14		1,838
	645	5.950%, 02/01/38		786
	2,450	6.050%, 03/15/39		3,035
		Southern Co.,
	2,973	1.950%, 09/01/16		2,970
	580	4.150%, 05/15/14		621
	3,400	Southwestern Public Service Co., 8.750%, 12/01/18		4,592
		Spectra Energy Capital LLC,
	2,900	5.500%, 03/01/14		3,159
	350	5.668%, 08/15/14		389
	3,645	6.250%, 02/15/13		3,879
	1,000	7.500%, 09/15/38		1,281
	3,850	8.000%, 10/01/19		4,863
		Virginia Electric and Power Co.,
	2,550	5.100%, 11/30/12		2,684
	4,600	5.400%, 04/30/18		5,391
	800	5.950%, 09/15/17		966

				190,140

		Gas Utilities — 0.1%
		AGL Capital Corp.,
	1,700	4.450%, 04/15/13		1,772
	4,728	5.875%, 03/15/41		5,465
	1,530	ANR Pipeline Co., 9.625%, 11/01/21		2,217
		Atmos Energy Corp.,
	320	5.125%, 01/15/13		338
	690	8.500%, 03/15/19		931
		CenterPoint Energy Resources Corp.,
	1,000	4.500%, 01/15/21 (e)		1,061
	530	6.125%, 11/01/17		626
	1,037	Southern California Gas Co., 4.800%, 10/01/12		1,083
		TransCanada PipeLines Ltd., (Canada),
	1,515	4.000%, 06/15/13		1,599
	1,500	6.200%, 10/15/37		1,780
	1,900	6.500%, 08/15/18		2,313


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Gas Utilities — Continued
	2,650	7.125%, 01/15/19		3,367
	2,100	7.250%, 08/15/38		2,741

				25,293

		Multi-Utilities — 0.2%
	3,780	CenterPoint Energy, Inc., 6.500%, 05/01/18		4,492
		Dominion Resources, Inc.,
	2,052	4.900%, 08/01/41		2,029
	590	6.000%, 11/30/17		701
	1,879	6.250%, 06/30/12		1,959
	1,200	7.000%, 06/15/38		1,547
	1,600	8.875%, 01/15/19		2,120
	4,650	KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12		5,043
	1,625	MidAmerican Energy Holdings Co., 5.750%, 04/01/18		1,893
	1,550	PG&E Corp., 5.750%, 04/01/14		1,711
		Sempra Energy,
	1,500	6.000%, 10/15/39		1,719
	2,300	6.150%, 06/15/18		2,684
	900	6.500%, 06/01/16		1,071
	2,760	8.900%, 11/15/13		3,173
	4,900	9.800%, 02/15/19		6,899
		Wisconsin Electric Power Co.,
	1,400	6.000%, 04/01/14		1,584
	1,295	6.250%, 12/01/15		1,550
	601	Xcel Energy, Inc., 4.700%, 05/15/20		663

				40,838

		Water Utilities — 0.0% (g)
		American Water Capital Corp.,
	2,025	6.085%, 10/15/17		2,396
	3,740	6.593%, 10/15/37		4,378

				6,774

		Total Utilities		263,045

		Total Corporate Bonds (Cost $3,029,772)		3,192,770

	Foreign Government Securities — 0.3%
		Israel Government AID Bond, (Israel),
	27,000	Zero Coupon, 08/15/17		24,409
	3,040	Province of Manitoba, (Canada), 2.125%, 04/22/13		3,127
		Province of Ontario, (Canada),
	5,500	2.700%, 06/16/15		5,822
	12,250	2.950%, 02/05/15		13,045
	560	Province of Quebec, (Canada), SUB, 7.365%, 03/06/26		783


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Foreign Government Securities — Continued
		United Mexican States, (Mexico),
	5,706	5.750%, 10/12/10		5,621
	2,035	5.875%, 01/15/14		2,228
	3,398	6.375%, 01/16/13		3,627
	850	6.625%, 03/03/15		983
	4,881	7.500%, 04/08/33		6,565
	2,925	8.300%, 08/15/31		4,219

		Total Foreign Government Securities (Cost $64,946)		70,429

	Mortgage Pass-Through Securities — 13.2%
		Federal Home Loan Mortgage Corp.,
	1,715	ARM, 2.107%, 07/01/36		1,805
	95	ARM, 2.210%, 07/01/19		99
	755	ARM, 2.289%, 08/01/36		790
	212	ARM, 2.308%, 01/01/27		222
	63	ARM, 2.375%, 07/01/26		63
	89	ARM, 2.430%, 04/01/30		94
	990	ARM, 2.480%, 12/01/33		1,038
	5,574	ARM, 2.495%, 05/01/36		5,949
	1,915	ARM, 2.496%, 07/01/36		2,005
	1,881	ARM, 2.500%, 01/01/35		1,980
	4,956	ARM, 2.509%, 05/01/33		5,213
	1,809	ARM, 2.510%, 04/01/34		1,902
	933	ARM, 2.529%, 08/01/35		984
	1,151	ARM, 2.565%, 02/01/36		1,209
	2,547	ARM, 2.574%, 12/01/35		2,687
	1,543	ARM, 2.617%, 07/01/37		1,637
	3,469	ARM, 2.624%, 09/01/34		3,644
	214	ARM, 2.628%, 09/01/32		223
	5,666	ARM, 2.758%, 09/01/36		6,018
	5,882	ARM, 2.790%, 03/01/36		6,253
	707	ARM, 2.803%, 01/01/37		747
	1,602	ARM, 3.066%, 05/01/36		1,691
	6,082	ARM, 3.308%, 03/01/36		6,492
	3,604	ARM, 3.501%, 09/01/36		3,812
	966	ARM, 3.883%, 11/01/36		1,003
	9,762	ARM, 4.294%, 12/01/36		10,306
	11,279	ARM, 4.541%, 08/01/36		11,872
	2,394	ARM, 4.613%, 08/01/36		2,521
	8,271	ARM, 4.918%, 02/01/36		8,831
	14,706	ARM, 4.994%, 01/01/35		15,773
	7,146	ARM, 5.012%, 05/01/37		7,597
	5,286	ARM, 5.061%, 07/01/36		5,672
	2,899	ARM, 5.114%, 11/01/36		3,061
	10,130	ARM, 5.126%, 03/01/37		10,718
	3,187	ARM, 5.295%, 05/01/38		3,385


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	5,991	ARM, 5.535%, 05/01/36		6,417
	3,870	ARM, 5.612%, 04/01/38		4,117
	3,060	ARM, 5.626%, 10/01/36		3,190
	1,476	ARM, 5.655%, 04/01/37		1,577
	5,339	ARM, 5.673%, 06/01/37		5,776
	4,528	ARM, 5.729%, 02/01/37		4,817
	3,846	ARM, 5.739%, 05/01/37		4,094
	2,533	ARM, 5.748%, 05/01/37		2,709
	3,094	ARM, 5.754%, 06/01/36		3,318
	3,688	ARM, 5.785%, 01/01/37		3,909
	4,303	ARM, 5.794%, 11/01/36		4,575
	3,022	ARM, 5.823%, 10/01/36		3,156
	280	ARM, 5.865%, 02/01/37		298
	3,580	ARM, 5.876%, 04/01/37		3,810
	983	ARM, 5.882%, 05/01/37		1,046
	1,638	ARM, 5.927%, 04/01/37		1,770
	2,099	ARM, 5.929%, 03/01/37		2,234
	7,136	ARM, 5.948%, 10/01/36		7,464
	748	ARM, 6.011%, 02/01/37		795
	15,144	ARM, 6.013%, 11/01/36		16,336
	12,745	ARM, 6.014%, 06/01/36		13,742
	8,963	ARM, 6.037%, 12/01/36		9,584
	8,633	ARM, 6.058%, 12/01/36		9,186
	1,629	ARM, 6.073%, 05/01/37		1,737
	1,196	ARM, 6.090%, 03/01/37		1,262
	568	ARM, 6.114%, 12/01/36		597
	839	ARM, 6.227%, 10/01/36		864
	3,761	ARM, 6.293%, 05/01/37		3,989
	6,796	ARM, 6.296%, 02/01/37		7,152
	1,201	ARM, 6.398%, 02/01/37		1,298
	2,448	ARM, 6.429%, 10/01/36		2,547
	1,059	ARM, 6.454%, 12/01/36		1,145
	1,197	ARM, 6.463%, 11/01/37		1,288
	2,608	ARM, 6.464%, 10/01/36		2,721
	4,188	ARM, 6.534%, 10/01/36		4,359
	4,085	ARM, 6.666%, 11/01/36		4,420
		Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	3,190	4.000%, 06/01/18 - 05/01/19		3,372
	3,135	4.500%, 08/01/18 - 10/01/18		3,340
	14,710	5.000%, 10/01/17 - 12/01/18		15,834
	65,951	5.500%, 06/01/17 - 02/01/24		71,842
	32,961	6.000%, 04/01/17 - 03/01/22		35,624
	5,370	6.500%, 07/01/16 - 03/01/22		5,805
	56	7.000%, 09/01/12 - 04/01/17		61
	32	7.500%, 10/01/14 - 11/01/15		33


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
	12	8.500%, 11/01/15		14
		Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	5,732	5.500%, 01/01/23 - 11/01/23		6,305
	422	6.000%, 12/01/22		469
	2,920	6.500%, 12/01/13 - 01/01/28		3,274
		Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	5,178	4.000%, 10/01/33		5,417
	79,820	4.500%, 05/01/41		84,390
	107,347	5.000%, 01/01/34 - 08/01/40		115,828
	11,128	5.500%, 10/01/33 - 12/01/36		12,215
	3,865	6.000%, 10/01/29 - 12/01/36		4,330
	20,496	6.500%, 08/01/29 - 03/01/38		23,395
	5,098	7.000%, 04/01/22 - 02/01/37		5,856
	11,979	7.500%, 08/01/25 - 09/01/38		13,825
	49	8.000%, 07/01/20 - 11/01/24		57
	135	8.500%, 07/01/28		162
		Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA,
	17,281	7.500%, 01/01/32 - 12/01/36		20,198
	9,923	10.000%, 10/01/30		11,924
		Federal Home Loan Mortgage Corp. Gold Pools, Other,
	14,452	5.500%, 04/01/18		15,337
	2,383	6.000%, 11/01/36		2,627
	40,667	6.500%, 12/01/35 - 06/01/37		45,426
	1,166	7.000%, 07/01/29 - 08/01/47		1,328
	2,039	10.000%, 03/17/26		2,388
		Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	27	12.000%, 08/01/15 - 07/01/19		30
		Federal National Mortgage Association,
	800	ARM, 1.583%, 08/01/34		815
	1,581	ARM, 1.811%, 09/01/33		1,631
	667	ARM, 1.921%, 02/01/35		697
	66	ARM, 1.970%, 03/01/19		67
	9,939	ARM, 1.981%, 01/01/35		10,439
	1,543	ARM, 2.113%, 05/01/35		1,613
	325	ARM, 2.135%, 08/01/35		338
	5,479	ARM, 2.251%, 01/01/36		5,680
	204	ARM, 2.264%, 07/01/34		215
	1,636	ARM, 2.273%, 08/01/36		1,719
	1,401	ARM, 2.310%, 03/01/35		1,471
	864	ARM, 2.331%, 04/01/34		908
	2,264	ARM, 2.335%, 07/01/35		2,383
	1,127	ARM, 2.345%, 08/01/33		1,185


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	704	ARM, 2.364%, 08/01/34		726
	945	ARM, 2.432%, 09/01/35		999
	325	ARM, 2.434%, 01/01/34		341
	1,294	ARM, 2.452%, 11/01/33		1,357
	234	ARM, 2.470%, 05/01/35		248
	2,245	ARM, 2.484%, 01/01/36		2,359
	1,444	ARM, 2.487%, 06/01/36		1,525
	4,708	ARM, 2.499%, 08/01/36		4,915
	2,152	ARM, 2.520%, 07/01/36		2,266
	894	ARM, 2.522%, 10/01/34		940
	192	ARM, 2.526%, 09/01/34		203
	2,140	ARM, 2.545%, 06/01/34		2,251
	6,845	ARM, 2.569%, 06/01/36		7,251
	1,386	ARM, 2.599%, 05/01/36		1,470
	2,220	ARM, 2.683%, 06/01/36		2,355
	627	ARM, 2.721%, 09/01/33		663
	13	ARM, 2.755%, 01/01/19		13
	10	ARM, 2.797%, 08/01/19		10
	2,268	ARM, 2.827%, 04/01/35		2,389
	14	ARM, 2.848%, 06/01/26		14
	687	ARM, 2.916%, 02/01/36		723
	19,584	ARM, 2.959%, 03/01/36		20,610
	149	ARM, 3.000%, 01/01/36		157
	1,489	ARM, 3.110%, 10/01/34		1,568
	270	ARM, 3.190%, 09/01/27		274
	7,442	ARM, 3.719%, 11/01/37		7,738
	253	ARM, 3.934%, 03/01/29		261
	564	ARM, 4.313%, 11/01/34		596
	860	ARM, 4.369%, 11/01/34		910
	5,931	ARM, 4.633%, 09/01/36		6,359
	479	ARM, 5.003%, 01/01/34		516
	10,745	ARM, 5.091%, 07/01/37		11,421
	631	ARM, 5.110%, 01/01/35		668
	1,303	ARM, 5.116%, 09/01/36		1,368
	4,250	ARM, 5.228%, 01/01/38		4,560
	3,097	ARM, 5.374%, 10/01/35		3,301
	2,268	ARM, 5.376%, 11/01/37		2,411
	3,542	ARM, 5.486%, 10/01/36		3,775
	1,417	ARM, 5.498%, 01/01/37		1,507
	2,794	ARM, 5.516%, 07/01/37		2,980
	2,302	ARM, 5.528%, 12/01/36		2,437
	1,804	ARM, 5.579%, 08/01/36		1,942
	21,345	ARM, 5.629%, 01/01/23		23,200
	2,612	ARM, 5.632%, 10/01/36		2,791
	6,476	ARM, 5.662%, 10/01/36		6,820
	13,391	ARM, 5.666%, 12/01/37		14,319


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
	2,775	ARM, 5.684%, 11/01/36		2,919
	8,003	ARM, 5.723%, 08/01/37		8,513
	5,132	ARM, 5.734%, 04/01/37		5,463
	8,736	ARM, 5.767%, 12/01/36		9,284
	2,584	ARM, 5.781%, 02/01/37		2,749
	336	ARM, 5.799%, 07/01/37		357
	2,219	ARM, 5.848%, 09/01/36		2,318
	1,976	ARM, 5.874%, 11/01/36		2,088
	2,832	ARM, 5.904%, 09/01/37		3,056
	2,429	ARM, 5.959%, 09/01/37		2,658
	1,129	ARM, 5.960%, 09/01/37		1,206
	2,839	ARM, 5.992%, 09/01/37		3,040
	2,259	ARM, 6.071%, 07/01/37		2,410
	8,457	ARM, 6.108%, 09/01/36		9,202
	1,522	ARM, 6.135%, 09/01/36		1,590
	5,247	ARM, 6.240%, 08/01/36		5,760
	1,271	ARM, 6.301%, 09/01/37		1,371
	3,117	ARM, 6.314%, 02/01/37		3,278
	2,232	ARM, 6.520%, 01/01/37		2,386
		Federal National Mortgage Association, 15 Year, Single Family,
	679	3.500%, 04/01/19		726
	9,840	4.000%, 07/01/18 - 12/01/20		10,484
	36,058	4.500%, 05/01/18 - 12/01/19		38,768
	40,120	5.000%, 12/01/16 - 08/01/24		43,458
	36,302	5.500%, 02/01/18 - 07/01/20		39,559
	80,716	6.000%, 06/01/16 - 07/01/24		87,745
	9,726	6.500%, 05/01/13 - 02/01/24		10,680
	1,159	7.000%, 03/01/17 - 11/01/17		1,257
	73	7.500%, 10/01/12 - 03/01/17		78
	35	8.000%, 11/01/12 - 11/01/15		36
		Federal National Mortgage Association, 20 Year, Single Family,
	1,478	5.000%, 10/01/25		1,612
	4,861	5.500%, 07/01/25		5,374
	48,459	6.000%, 02/01/14 - 09/01/29		53,733
	9,054	6.500%, 05/01/22 - 08/01/26		10,116
		Federal National Mortgage Association, 30 Year, FHA/VA,
	288	6.000%, 09/01/33		323
	503	6.500%, 03/01/29		579
	80	7.000%, 02/01/33		93
	116	8.000%, 06/01/28		136
	109	8.500%, 08/01/27 - 02/01/30		128
	138	9.000%, 05/01/18 - 12/01/30		159
	39	9.500%, 12/01/18		45


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Federal National Mortgage Association, 30 Year, Single Family,
	1,573	4.000%, 12/01/33		1,648
	7,190	4.130%, 07/01/20		7,753
	3,627	4.500%, 11/01/33 - 09/01/34		3,861
	75,456	5.000%, 06/01/33 - 08/01/40		81,709
	86,642	5.500%, 11/01/32 - 12/01/39		95,406
	54,379	6.000%, 12/01/28 - 04/01/38		60,656
	133,118	6.500%, 11/01/29 - 10/01/38		151,206
	64,966	7.000%, 04/01/17 - 01/01/39		74,984
	37,517	7.500%, 11/01/22 - 04/01/39		43,774
	1,816	8.000%, 03/01/21 - 01/01/38		2,125
	47	8.500%, 07/01/24 - 06/01/25		55
	6	9.000%, 04/01/26		6
	43	9.500%, 07/01/28		51
	20	10.000%, 02/01/24		23
	31	12.500%, 01/01/16		32
		Federal National Mortgage Association, Other,
	644	VAR, 2.500%, 08/01/34		677
	5,973	VAR, 6.070%, 11/01/18		6,532
	4,827	2.573%, 10/01/17		4,892
	4,000	2.779%, 10/01/17		4,092
	14,816	2.970%, 11/01/18		15,156
	8,000	3.290%, 10/01/20		8,175
	6,000	3.337%, 11/01/20		6,104
	7,880	3.379%, 11/01/20		8,017
	6,500	3.461%, 11/01/20		6,663
	8,000	3.472%, 10/01/20		8,214
	10,000	3.492%, 01/01/18		10,516
	2,655	3.503%, 08/01/17		2,799
	9,878	3.544%, 09/01/20		10,193
	15,150	3.590%, 10/01/20		15,785
	8,500	3.596%, 12/01/20		8,779
	1,978	3.600%, 09/01/20		2,062
	20,325	3.616%, 09/01/20 - 10/01/20		21,057
	29,578	3.621%, 09/01/20		30,672
	6,500	3.637%, 01/01/18		6,897
	10,000	3.638%, 12/01/20		10,288
	14,866	3.658%, 01/01/18 - 10/01/20		15,667
	19,987	3.730%, 06/01/18		21,543
	3,000	3.751%, 01/01/18		3,192
	7,000	3.761%, 06/01/18		7,457
	5,967	3.800%, 03/01/18		6,412
	3,643	3.802%, 09/01/20		3,819
	3,959	3.823%, 12/01/20		4,149
	19,211	3.864%, 07/01/20 - 08/01/20		20,233


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
	12,088	3.895%, 01/01/21		12,714
	10,000	3.926%, 08/01/20		10,504
	15,000	3.930%, 07/01/20		15,986
	10,000	3.960%, 08/01/20		10,672
	10,000	3.980%, 11/01/16		10,659
	9,989	3.988%, 07/01/21		10,527
	11,400	3.999%, 01/01/21		12,068
	1,134	4.000%, 04/01/20		1,189
	21,449	4.019%, 08/01/20 - 07/01/21		22,737
	4,000	4.061%, 01/01/21		4,250
	15,000	4.081%, 07/01/20		15,963
	6,495	4.102%, 06/01/21		6,892
	5,593	4.123%, 07/01/21		5,949
	9,667	4.195%, 07/01/21		10,327
	32,000	4.201%, 07/01/20		34,299
	7,050	4.236%, 06/01/21		7,550
	10,000	4.250%, 04/01/21		10,764
	8,500	4.267%, 11/01/19		9,163
	17,900	4.298%, 03/01/21		19,279
	5,500	4.329%, 06/01/21		5,926
	15,000	4.350%, 04/01/20		16,402
	20,790	4.381%, 11/01/19 - 06/01/21		22,488
	7,600	4.391%, 04/01/21		8,180
	19,581	4.424%, 01/01/20		21,342
	7,933	4.443%, 08/01/20 - 04/01/21		8,597
	12,478	4.474%, 02/01/21 - 04/01/21		13,811
	18,000	4.484%, 06/01/21		19,464
	2,930	4.500%, 03/01/20		3,205
	23,465	4.514%, 04/01/20		25,720
	11,831	4.515%, 02/01/20		12,976
	7,600	4.536%, 05/01/21		8,293
	3,432	4.540%, 01/01/20		3,794
	64,300	4.546%, 02/01/20		70,560
	4,369	4.598%, 01/01/21		4,791
	9,000	4.629%, 06/01/21		9,822
	23,682	4.681%, 12/01/19		26,202
	12,929	4.794%, 01/01/21		14,325
	711	5.000%, 12/01/32		766
	9,000	5.414%, 05/01/17		10,166
	16,265	5.500%, 03/01/17 - 06/01/39		17,590
	22,540	6.000%, 02/01/36 - 11/01/48		24,756
	7,492	6.500%, 04/01/36 - 05/01/37		8,259
	6,161	7.000%, 02/01/36 - 01/01/38		7,041
	430	7.500%, 10/01/37		496
	2,164	8.000%, 11/01/37		2,497
	204	10.890%, 04/15/19		233


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Government National Mortgage Association II, 30 Year, Single Family,
	24,282	6.000%, 03/20/28 - 08/20/39		27,327
	3,279	6.500%, 07/20/29		3,769
	1,993	7.000%, 08/20/38		2,321
	201	7.500%, 02/20/28 - 09/20/28		235
	389	8.000%, 12/20/25 - 10/20/28		460
	180	8.500%, 03/20/25 - 05/20/25		216
		Government National Mortgage Association, 15 Year, Single Family,
	176	6.000%, 10/15/17		193
	213	6.500%, 06/15/17 - 12/15/17		235
	3	7.500%, 02/15/12 - 03/15/12		3
	373	8.000%, 01/15/16		401
		Government National Mortgage Association, 30 Year, Single Family,
	12,220	5.500%, 04/15/33 - 09/15/34		13,713
	455	6.000%, 11/15/28		517
	8,310	6.500%, 01/15/24 - 12/15/35		9,527
	13,461	7.000%, 08/15/23 - 04/15/37		15,479
	3,253	7.500%, 11/15/22 - 10/15/37		3,799
	93	8.000%, 05/15/22 - 08/15/28		109
	35	8.500%, 03/15/17 - 11/15/17		39
	68	9.000%, 08/15/16 - 11/15/24		78
	4,057	9.500%, 01/15/17 - 12/15/25		4,849
	31	12.000%, 11/15/19		35

		Total Mortgage Pass-Through Securities (Cost $2,725,849)		2,830,536

	Municipal Bonds — 0.2%
		Illinois — 0.0% (g)
	5,450	State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33		4,742

		New York — 0.1%
	2,500	New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, Rev., 5.600%, 03/15/40		2,886
	12,225	Port Authority of New York & New Jersey, Taxable Construction 164, Construction 164, Rev., 5.647%, 11/01/40		13,431

				16,317

		Ohio — 0.1%
	13,075	American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50		15,821

		Total Municipal Bonds (Cost $33,004)		36,880


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Supranational — 0.1%
		Corp. Andina de Fomento, (Supranational),
	9,103	3.750%, 01/15/16		9,285
	720	5.200%, 05/21/13		763

		Total Supranational (Cost $9,898)		10,048

	U.S. Government Agency Securities — 1.5%
		Federal Farm Credit Bank,
	5,000	1.875%, 12/07/12		5,100
	10,000	5.125%, 11/15/18		12,013
		Federal Home Loan Mortgage Corp.,
	38,500	4.125%, 12/21/12		40,410
	4,000	5.125%, 11/17/17		4,808
	25,500	5.500%, 08/23/17		31,127
	1,260	5.750%, 01/15/12		1,287
		Federal National Mortgage Association,
	26,500	Zero Coupon, 06/01/17		23,950
	45,000	Zero Coupon, 07/05/14		43,910
	26,700	5.000%, 05/11/17		31,762
	33,400	5.375%, 06/12/17		40,395
	2,735	6.125%, 03/15/12		2,821
	11,500	Federal National Mortgage Association Interest Strip, 11/15/21		8,369
		Financing Corp. Fico,
	16,800	Zero Coupon, 04/05/19		14,298
	13,200	Zero Coupon, 09/26/19		10,984
		Government Trust Certificate,
	4,488	Zero Coupon, 10/01/15		4,202
	5,741	Zero Coupon, 04/01/16		5,289
	13,319	Zero Coupon, 04/01/19		10,849
	10,000	Residual Funding Corp., Principal Strip, Zero Coupon, 07/15/20		8,043
		Tennessee Valley Authority,
	2,935	4.625%, 09/15/60		3,178
	1,195	5.250%, 09/15/39		1,404
	9,500	5.500%, 07/18/17		11,500
		Tennessee Valley Authority STRIP,
	7,506	01/15/19		6,296
	12,000	05/01/19		9,944

		Total U.S. Government Agency Securities (Cost $313,073)		331,939

	U.S. Treasury Obligations — 26.2%
		U.S. Treasury Bonds,
	20,300	4.500%, 02/15/36		23,865
	2,000	4.500%, 08/15/39		2,336
	650	5.250%, 11/15/28		840


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	4,500	5.375%, 02/15/31		5,935
	12,350	5.500%, 08/15/28		16,379
	4,300	6.000%, 02/15/26		5,911
	2,050	6.125%, 11/15/27		2,884
	1,000	6.125%, 08/15/29		1,419
	1,000	6.250%, 08/15/23		1,383
	7,650	6.250%, 05/15/30		11,041
	4,750	6.375%, 08/15/27		6,833
	7,550	6.500%, 11/15/26		10,910
	5,100	6.625%, 02/15/27		7,469
	7,800	6.750%, 08/15/26		11,490
	14,620	7.125%, 02/15/23		21,469
	19,490	7.250%, 08/15/22 (m)		28,705
	102,392	7.500%, 11/15/16 (m)		136,301
	8,717	7.875%, 02/15/21 (m)		13,074
	8,000	8.000%, 11/15/21		12,236
	137,482	8.125%, 08/15/19		203,388
	16,650	8.125%, 05/15/21		25,452
	48,180	8.500%, 02/15/20		73,486
	25,150	8.750%, 05/15/20		38,996
	73,089	8.750%, 08/15/20		113,928
	236,750	8.875%, 08/15/17 (m)		341,678
	4,594	9.875%, 11/15/15 (m)		6,351
		U.S. Treasury Bonds STRIPS,
	4,750	11/15/13		4,727
	58,755	02/15/14 (m)		58,367
	25,507	05/15/14 (m)		25,309
	55,062	08/15/14 (m)		54,398
	33,961	11/15/14		33,460
	40,209	02/15/15 (m)		39,442
	9,895	05/15/15		9,670
	15,750	08/15/15		15,368
	4,941	08/15/15		4,810
	7,010	11/15/15		6,807
	38,361	11/15/15		37,158
	94,812	02/15/16 (m)		91,259
	32,950	05/15/16		31,542
	44,427	08/15/16		42,224
	46,981	11/15/16		44,353
	118,866	02/15/17		111,331
	40,461	08/15/17		37,365
	90,980	11/15/17		83,276
	33,450	02/15/18		30,362
	15,500	05/15/18		13,961
	41,786	08/15/18		37,260


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	U.S. Treasury Obligations — Continued
	11,897	02/15/19		10,418
	105,365	05/15/19		91,370
	182,720	08/15/19		156,655
	11,000	02/15/20		9,224
	4,550	05/15/20		3,786
	398,096	05/15/20		328,967
	163,400	08/15/20		133,458
	17,050	11/15/20		13,781
	42,800	08/15/21		33,411
	55,600	11/15/21		42,892
	17,208	02/15/22		13,105
	1,200	02/15/24		830
	7,000	05/15/24		4,782
	12,925	08/15/24		8,715
	20,400	11/15/24		13,590
	5,800	02/15/25		3,817
	2,700	05/15/25		1,755
	16,000	08/15/25		10,287
	22,300	05/15/26		13,813
	25,050	11/15/26		15,158
	10,800	02/15/27		6,472
	20,725	05/15/27		12,262
	31,300	08/15/27		18,307
	24,650	11/15/27		14,226
	9,300	05/15/28		5,241
	19,300	11/15/28		10,610
	20,115	02/15/29		10,921
	3,200	05/15/29		1,717
	13,420	11/15/29		7,036
	102,900	02/15/30		53,264
	41,000	05/15/30		20,996
	33,550	08/15/30		16,983
	20,000	11/15/30		10,013
	12,875	05/15/31		6,292
	14,125	08/15/31		6,828
	12,400	11/15/31		5,922
	9,425	02/15/32		4,446
	9,200	11/15/32		4,185
	21,750	05/15/33		9,669
	21,875	08/15/33		9,601
	32,500	11/15/33		14,082
	18,675	02/15/34		8,000
	9,550	05/15/34		4,040
	10,500	02/15/35		4,276
	10,109	U.S. Treasury Inflation Indexed Bond, 3.625%, 04/15/28 (m)		20,233


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		U.S. Treasury Inflation Indexed Notes,
	1,000	2.000%, 04/15/12		1,129
	12,000	2.000%, 01/15/14		15,691
	2,000	2.000%, 07/15/14		2,600
		U.S. Treasury Notes,
	40,000	0.750%, 11/30/11		40,070
	40,000	1.125%, 12/15/11		40,125
	10,000	1.250%, 02/15/14		10,246
	8,050	1.375%, 09/15/12		8,152
	20,060	1.375%, 10/15/12		20,336
	15,990	1.375%, 11/15/12		16,224
	2,700	1.375%, 02/15/13		2,747
	15,000	1.750%, 04/15/13		15,380
	20,500	1.750%, 03/31/14		21,283
	12,000	1.875%, 02/28/14		12,485
	25,000	2.000%, 04/30/16		26,338
	35,980	2.125%, 12/31/15		38,136
	5,475	2.250%, 11/30/17		5,772
	26,600	2.375%, 10/31/14		28,269
	6,000	2.375%, 02/28/15		6,397
	10,000	2.500%, 06/30/17		10,713
	92,900	2.625%, 07/31/14		99,113
	239,500	2.625%, 12/31/14		256,938
	19,000	2.625%, 02/29/16		20,550
	36,325	2.625%, 04/30/16		39,291
	26,000	2.625%, 01/31/18		27,986
	218,675	2.750%, 05/31/17		237,536
	34,140	2.750%, 12/31/17		37,031
	30,610	2.875%, 03/31/18		33,410
	169,500	3.125%, 10/31/16		187,562
	20,000	3.125%, 01/31/17		22,144
	143,855	3.125%, 04/30/17		159,319
	242,792	3.125%, 05/15/19		268,134
	241,700	3.250%, 12/31/16		268,966
	76,500	3.250%, 03/31/17		85,250
	5,000	3.375%, 11/15/19		5,595
	5,000	3.500%, 02/15/18		5,657
	63,800	4.250%, 11/15/17		75,065
	20,000	4.500%, 11/30/11		20,220
	55,060	4.500%, 05/15/17		65,233
	9,500	4.625%, 02/15/17		11,278
	136,865	4.750%, 08/15/17		164,612
		U.S. Treasury STRIPS,
	399	08/15/12		398
	2,914	11/15/12		2,910
	29,374	08/15/13		29,240


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	U.S. Treasury Obligations — Continued
	1,000	02/15/21		799
	7,869	02/15/23		5,712
	7,300	02/15/26		4,577
	46,650	02/15/28		26,601
	5,900	08/15/28		3,285
	2,800	08/15/29		1,486
	12,100	02/15/31		5,990
	1,700	08/15/32		783
	2,100	11/15/34		866
	1,700	08/15/35		675
	1,175	05/15/36		449

		Total U.S. Treasury Obligations (Cost $5,100,721)		5,628,398


SHARES		SECURITY DESCRIPTION	VALUE($)

	Short-Term Investment — 2.2%
		Investment Company — 2.2%
	483,599	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.060% (b) (l) (Cost $483,599)		483,599

		Total Investments — 100.6% (Cost $20,362,439)		21,608,915
		Liabilities in Excess of Other Assets — (0.6)%		(137,260	)

		NET ASSETS — 100.0%	$	21,471,655

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Asset-Backed Securities — 2.5%
	1,230	Accredited Mortgage Loan Trust, Series 2006-1, Class A3, VAR, 0.398%, 04/25/36		1,008
		AH Mortgage Advance Trust,
	1,280	Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e)		1,280
	4,583	Series SART-1, Class A2, 3.370%, 05/10/43 (e)		4,588
		Ally Auto Receivables Trust,
	1,341	Series 2010-1, Class A3, 1.450%, 05/15/14		1,349
	565	Series 2010-3, Class A4, 1.550%, 08/17/15		575
	355	Series 2011-1, Class A3, 1.380%, 01/15/15		359
		AmeriCredit Automobile Receivables Trust,
	1,390	Series 2008-AF, Class A4, 6.960%, 10/14/14		1,451
	249	Series 2010-1, Class A3, 1.660%, 03/17/14		250
		Ameriquest Mortgage Securities, Inc.,
	1,249	Series 2003-5, Class A6, SUB, 4.541%, 04/25/33		1,121
	563	Series 2003-13, Class AF6, SUB, 5.094%, 01/25/34		562
	24	BankBoston Home Equity Loan Trust, Series 1998-1, Class A6, 6.350%, 02/25/13		21
		Bear Stearns Asset-Backed Securities Trust,
	852	Series 2003-SD2, Class 2A, VAR, 3.069%, 06/25/43		765
	1,306	Series 2006-SD1, Class A, VAR, 0.588%, 04/25/36		930
		Centex Home Equity,
	506	Series 2001-B, Class A6, 6.360%, 07/25/32		501
	435	Series 2002-C, Class AF4, SUB, 4.480%, 06/25/31		401
	135	Series 2003-B, Class AF4, SUB, 3.735%, 02/25/32		117
	1,040	Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		985
		Chase Funding Mortgage Loan Asset-Backed Certificates,
	515	Series 2003-5, Class 1A4, 4.396%, 02/25/30		507
	650	Series 2003-6, Class 1A4, 4.499%, 11/25/34		642
	1,372	Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39		1,739
	966	Citifinancial Mortgage Securities, Inc., Series 2003-3, Class AF4, SUB, 5.348%, 08/25/33		929
	1,383	CNH Equipment Trust, Series 2010-A, Class A3, 1.540%, 07/15/14		1,388
		Countrywide Asset-Backed Certificates,
	8	Series 2004-1, Class 3A, VAR, 0.778%, 04/25/34		6


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


	590	Series 2004-1, Class M1, VAR, 0.968%, 03/25/34		440
	430	Series 2004-1, Class M2, VAR, 1.043%, 03/25/34		378
	1,539	Series 2004-6, Class M1, VAR, 0.818%, 10/25/34		862
	230	Series 2004-13, Class MV8, VAR, 1.918%, 01/25/35 (f) (i)		12
	323	Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36		189
	99	CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32		93
	635	Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15		692
	1,941	Distressed Asset Portfolio I, LLC, 3.500%, 12/31/15 (f) (i)		2,165
	1,587	Equity One ABS, Inc., Series 2003-2, Class M1, VAR, 5.050%, 09/25/33		1,306
		Federal National Mortgage Association Whole Loan,
	68	Series 1995-W4, Class A6, VAR, 7.500%, 07/25/25		71
	126	Series 1995-W5, Class A5, VAR, 7.080%, 12/25/25		126
	1,425	First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF9, Class A3, VAR, 0.498%, 10/25/35		1,338
	1,358	GE Mortgage Services LLC, Series 1999-HE1, Class A6, VAR, 6.700%, 04/25/29		1,397
		HSBC Home Equity Loan Trust,
	224	Series 2005-2, Class A1, VAR, 0.483%, 01/20/35		198
	896	Series 2005-2, Class M1, VAR, 0.673%, 01/20/35		788
	896	Series 2005-2, Class M2, VAR, 0.703%, 01/20/35		784
	328	Series 2006-1, Class A1, VAR, 0.373%, 01/20/36		306
	782	Series 2006-2, Class A1, VAR, 0.363%, 03/20/36		732
	171	Series 2006-3, Class A2F, SUB, 5.660%, 03/20/36		171
	1,075	Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36		1,097
	228	Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36		230
	1,455	Series 2007-2, Class A3F, SUB, 5.810%, 07/20/36		1,438


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Asset-Backed Securities — Continued
	1,006	Series 2007-3, Class APT, VAR, 1.413%, 11/20/36		897
	1,301	Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.568%, 07/25/34 (e)		1,243
		Long Beach Mortgage Loan Trust,
	166	Series 2004-1, Class M3, VAR, 1.268%, 02/25/34		125
	3	Series 2004-2, Class B, VAR, 3.718%, 06/25/34 (e) (f) (i)		2
	51	Series 2004-5, Class M6, VAR, 2.718%, 09/25/34 (f) (i)		10
	1,029	Morgan Stanley ABS Capital I, Series 2003-SD1, Class M1, VAR, 2.468%, 03/25/33		602
		New Century Home Equity Loan Trust,
	1,000	Series 2003-5, Class AI6, SUB, 5.241%, 11/25/33		952
	610	Series 2005-1, Class M1, VAR, 0.668%, 03/25/35		400
	2,400	Park Place Securities, Inc., Series 2004-WCW1, Class M2, VAR, 0.898%, 09/25/34		2,127
	2,100	Residential Asset Securities Corp., Series 2005-EMX3, Class M1, VAR, 0.648%, 09/25/35		1,829
	616	Residential Funding Mortgage Securities II, Inc., Series 2003-HI2, Class A6, SUB, 4.760%, 07/25/28		600
	1,220	Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.950%, 04/25/32 (e)		1,029
	717	Santander Drive Auto Receivables Trust, Series 2011-S2A, Class B, 2.060%, 06/15/17 (e)		717
	86	Soundview Home Equity Loan Trust, Series 2007-OPT1, Class 2A1, VAR, 0.298%, 06/25/37		74
		Structured Asset Investment Loan Trust,
	2,500	Series 2003-BC10, Class A4, VAR, 1.218%, 10/25/33		1,979
	1,500	Series 2005-5, Class A9, VAR, 0.488%, 06/25/35		1,372
	39	Structured Asset Securities Corp., Series 2007-OSI, Class A2, VAR, 0.308%, 06/25/37		32
	207	Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 01/02/24		226
	1,500	Unipac IX LLC, 13.000%, 04/11/13 (f) (i)		1,482
	295	USAA Auto Owner Trust, Series 2009-2, Class A4, 2.530%, 07/15/15		303

		Total Asset-Backed Securities (Cost $53,606)		52,288


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Collateralized Mortgage Obligations — 22.1%
		Agency CMO — 13.8%
	604	Federal Home Loan Bank, Series 2000-0606, Class Y, 5.270%, 12/28/12		632
		Federal Home Loan Mortgage Corp. - Government National Mortgage Association,
	198	Series 23, Class KZ, 6.500%, 11/25/23		227
	1,405	Series 24, Class J, 6.250%, 11/25/23		1,502
	251	Series 31, Class Z, 8.000%, 04/25/24		288
		Federal Home Loan Mortgage Corp. REMICS,
	27	Series 11, Class D, 9.500%, 07/15/19		29
	18	Series 38, Class D, 9.500%, 05/15/20		21
	9	Series 81, Class A, 8.125%, 11/15/20		10
	21	Series 84, Class F, 9.200%, 10/15/20		24
	11	Series 109, Class I, 9.100%, 01/15/21		12
	3	Series 198, Class Z, 8.500%, 09/15/22		4
	136	Series 1316, Class Z, 8.000%, 06/15/22		158
	49	Series 1343, Class LB, 7.500%, 08/15/22		58
	2	Series 1351, Class TF, HB, 1,010.000%, 08/15/22		35
	98	Series 1456, Class Z, 7.500%, 01/15/23		114
	721	Series 1543, Class VN, 7.000%, 07/15/23		825
	11	Series 1556, Class H, 6.500%, 08/15/13		12
	420	Series 1577, Class PV, 6.500%, 09/15/23		453
	39	Series 1595, Class D, 7.000%, 10/15/13		41
	1,144	Series 1611, Class Z, 6.500%, 11/15/23		1,301
	1,169	Series 1628, Class LZ, 6.500%, 12/15/23		1,324
	560	Series 1630, Class PK, 6.000%, 11/15/23		629
	1,000	Series 1671, Class I, 7.000%, 02/15/24		1,178
	16	Series 1671, Class QC, 10.000%, 02/15/24		17
	100	Series 1695, Class G, HB, IF, 25.422%, 03/15/24		148
	63	Series 1710, Class GB, HB, 38.302%, 04/15/24		133
	257	Series 1911, Class SD, IO, 10.169%, 07/15/23		71
	128	Series 2022, Class PE, 6.500%, 01/15/28		148
	989	Series 2033, Class K, 6.050%, 08/15/23		1,014
	783	Series 2036, Class PG, 6.500%, 01/15/28		903
	211	Series 2055, Class OE, 6.500%, 05/15/13		211
	124	Series 2089, Class PJ, IO, 7.000%, 10/15/28		27
	2,751	Series 2091, Class PG, 6.000%, 11/15/28		2,987
	188	Series 2148, Class ZA, 6.000%, 04/15/29		203
	350	Series 2201, Class C, 8.000%, 11/15/29		414
	90	Series 2261, Class ZY, 7.500%, 10/15/30		107
	954	Series 2293, Class ZA, 6.000%, 03/15/31		1,078
	96	Series 2297, Class NB, 6.000%, 03/15/16		100
	155	Series 2310, Class Z, 6.000%, 04/15/31		167
	60	Series 2313, Class LA, 6.500%, 05/15/31		66


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	512	Series 2325, Class JO, PO, 06/15/31		473
	1,392	Series 2330, Class PE, 6.500%, 06/15/31		1,489
	384	Series 2344, Class QG, 6.000%, 08/15/16		412
	466	Series 2345, Class PQ, 6.500%, 08/15/16		492
	345	Series 2368, Class TG, 6.000%, 10/15/16		369
	742	Series 2394, Class MC, 6.000%, 12/15/16		799
	268	Series 2399, Class PG, 6.000%, 01/15/17		289
	300	Series 2410, Class QB, 6.250%, 02/15/32		351
	760	Series 2430, Class WF, 6.500%, 03/15/32		878
	812	Series 2466, Class DH, 6.500%, 06/15/32		919
	2,256	Series 2530, Class SK, IO, 7.893%, 06/15/29		541
	266	Series 2534, Class SI, HB, IF, 20.521%, 02/15/32		370
	2,000	Series 2543, Class YX, 6.000%, 12/15/32		2,278
	1,924	Series 2545, Class SQ, IO, 7.393%, 05/15/17		79
	817	Series 2557, Class HL, 5.300%, 01/15/33		910
	1,711	Series 2586, Class IO, IO, 6.500%, 03/15/33		359
	1,300	Series 2587, Class XS, IO, 7.443%, 09/15/17		71
	490	Series 2594, Class IV, IO, 7.000%, 03/15/32		113
	117	Series 2602, Class BX, 3.500%, 12/15/22		121
	1,517	Series 2610, Class UI, IO, 6.500%, 05/15/33		258
	1,515	Series 2613, Class H, 4.500%, 05/15/18		1,652
	1,894	Series 2617, Class GR, 4.500%, 05/15/18		2,021
	787	Series 2630, Class S, IO, 6.943%, 01/15/17		14
	3,708	Series 2636, Class Z, 4.500%, 06/15/18		3,954
	2,809	Series 2641, Class SK, IO, 6.943%, 01/15/18		232
	141	Series 2643, Class SA, HB, IF, 44.153%, 03/15/32		284
	168	Series 2650, Class PO, PO, 12/15/32		159
	168	Series 2650, Class SO, PO, 12/15/32		160
	528	Series 2656, Class AC, 6.000%, 08/15/33		598
	1,375	Series 2656, Class PE, 4.500%, 07/15/18		1,515
	907	Series 2658, Class A, 4.500%, 08/15/18		965
	141	Series 2668, Class SB, 7.016%, 10/15/15		142
	239	Series 2686, Class GB, 5.000%, 05/15/20		240
	689	Series 2695, Class OB, PO, 10/15/33		586
	880	Series 2701, Class ST, IO, 6.793%, 08/15/21		34
	1,331	Series 2707, Class KA, 4.500%, 11/15/18		1,448
	557	Series 2707, Class KJ, 5.000%, 11/15/18		599
	5,000	Series 2708, Class N, 4.000%, 11/15/18		5,302
	122	Series 2717, Class BA, 6.000%, 11/15/30		124
	705	Series 2733, Class SB, 7.824%, 10/15/33		795
	1,050	Series 2736, Class PD, 5.000%, 03/15/32		1,108
	230	Series 2755, Class SA, 13.786%, 05/15/30		259
	1,157	Series 2756, Class NA, 5.000%, 02/15/24		1,284


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Agency CMO — Continued
	2,000	Series 2764, Class OE, 4.500%, 03/15/19		2,209
	322	Series 2764, Class S, 13.232%, 07/15/33		364
	198	Series 2776, Class SK, 8.764%, 04/15/34		198
	750	Series 2779, Class SM, IO, 6.943%, 10/15/18		51
	63	Series 2827, Class SQ, 7.500%, 01/15/19		63
	1,000	Series 2845, Class QH, 5.000%, 08/15/34		1,105
	1,540	Series 2864, Class NB, 5.500%, 07/15/33		1,733
	3,617	Series 2864, Class NS, IO, 6.893%, 09/15/34		380
	1,219	Series 2888, Class IN, IO, 5.000%, 10/15/18		51
	1,502	Series 2912, Class EH, 5.500%, 01/15/35		1,734
	60	Series 2915, Class SY, 15.731%, 01/15/35		61
	273	Series 2931, Class GA, 5.000%, 11/15/28		276
	123	Series 2980, Class QB, 6.500%, 05/15/35		142
	1,680	Series 2989, Class TG, 5.000%, 06/15/25		1,863
	301	Series 2990, Class SL, HB, IF, 23.734%, 06/15/34		435
	3,685	Series 2994, Class SC, IO, 5.393%, 02/15/33		388
	681	Series 2995, Class FT, VAR, 0.457%, 05/15/29		678
	361	Series 3005, Class PV, 12.403%, 10/15/33		417
	1,287	Series 3028, Class ME, 5.000%, 02/15/34		1,422
	494	Series 3031, Class BN, HB, IF, 21.066%, 08/15/35		644
	982	Series 3059, Class B, 5.000%, 02/15/35		1,089
	1,000	Series 3064, Class OG, 5.500%, 06/15/34		1,110
	145	Series 3068, Class AO, PO, 01/15/35		139
	2,476	Series 3080, Class TZ, 5.500%, 02/15/33		2,572
	861	Series 3117, Class EO, PO, 02/15/36		796
	416	Series 3134, Class PO, PO, 03/15/36		380
	489	Series 3138, Class PO, PO, 04/15/36		437
	1,505	Series 3151, Class PD, 6.000%, 11/15/34		1,639
	1,161	Series 3152, Class MO, PO, 03/15/36		1,033
	1,595	Series 3184, Class YO, PO, 03/15/36		1,209
	1,800	Series 3189, Class PC, 6.000%, 08/15/35		2,017
	4,847	Series 3201, Class IN, IO, 6.043%, 08/15/36		738
	5,638	Series 3202, Class HI, IO, 6.443%, 08/15/36		899
	785	Series 3219, Class OD, 6.000%, 06/15/33		851
	1,581	Series 3219, Class PD, 6.000%, 11/15/35		1,798
	2,000	Series 3274, Class B, 6.000%, 02/15/37		2,249
	974	Series 3292, Class DO, PO, 03/15/37		885
	4,755	Series 3305, Class IW, IO, 6.243%, 04/15/37		685
	279	Series 3306, Class TB, 2.957%, 04/15/37		286
	246	Series 3306, Class TC, 2.417%, 04/15/37		249
	577	Series 3331, Class PO, PO, 06/15/37		492
	1,455	Series 3336, Class GD, 5.000%, 04/15/36		1,537


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,021	Series 3383, Class OP, PO, 11/15/37		943
	1,999	Series 3523, Class CI, IO, VAR, 2.461%, 02/15/12		15
	2,212	Series 3531, Class SM, IO, 5.893%, 05/15/39		304
	426	Series 3542, Class TN, 6.000%, 07/15/36		414
	534	Series 3546, Class A, VAR, 5.929%, 02/15/39		577
	1,267	Series 3572, Class JS, IO, 6.593%, 09/15/39		207
	1,086	Series 3605, Class NC, 5.500%, 06/15/37		1,257
	2,950	Series 3609, Class SA, IO, 6.133%, 12/15/39		696
	1,136	Series 3610, Class CA, 4.500%, 12/15/39		1,240
	780	Series 3611, Class PO, PO, 07/15/34		701
	1,778	Series 3620, Class TV, 5.500%, 12/15/20		1,911
	1,169	Series 3653, Class HJ, 5.000%, 04/15/40		1,288
	970	Series 3688, Class GT, VAR, 7.157%, 11/15/46		1,123
	2,822	Series 3747, Class HI, IO, 4.500%, 07/15/37		415
	1,307	Series 3819, Class ZQ, 6.000%, 04/15/36		1,518
	654	Federal Home Loan Mortgage Corp. STRIPS, Series 186, Class PO, PO, 08/01/27		557
	905	Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-76, Class 2A, VAR, 4.787%, 10/25/37		932
		Federal National Mortgage Association - ACES,
	2,270	Series 2011-M2, Class A2, 3.645%, 07/25/21		2,304
	1,680	Series 2011-M4, Class A2, 3.726%, 06/25/21		1,703
		Federal National Mortgage Association Grantor Trust,
	50,931	Series 2001-T12, Class IO, IO, VAR, 0.539%, 08/25/41		819
	1,250	Series 2002-T19, Class A1, 6.500%, 07/25/42		1,396
	2,079	Series 2002-T4, Class A4, 9.500%, 12/25/41		2,503
	97,840	Series 2002-T4, Class IO, IO, VAR, 0.439%, 12/25/41		—	(h)
	1,019	Series 2004-T1, Class 1A1, 6.000%, 01/25/44		1,146
	677	Series 2004-T2, Class 1A3, 7.000%, 11/25/43		772
	785	Series 2004-T2, Class 1A4, 7.500%, 11/25/43		918
	11,282	Series 2004-T3, Class 1IO4, IO, VAR, 0.597%, 02/25/44		180
		Federal National Mortgage Association Interest STRIPS,
	4,220	Series 203, Class 2, IO, 8.000%, 02/01/23		880
	707	Series 266, Class 2, IO, 7.500%, 08/01/24		135
	1,250	Series 348, Class 30, IO, 5.500%, 12/01/18		153
	1,199	Series 348, Class 31, IO, VAR, 5.500%, 12/01/18		140
	984	Series 356, Class 42, IO, 5.500%, 12/01/19		121
	2,309	Series 380, Class S36, IO, 7.682%, 07/25/37		366


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Agency CMO — Continued
	1,287	Series 383, Class 68, IO, 6.500%, 09/01/37		249
	2,002	Series 383, Class 69, IO, VAR, 6.500%, 10/01/37		325
	580	Series 383, Class 86, IO, VAR, 7.000%, 09/01/37		91
		Federal National Mortgage Association REMICS,
	14	Series 1988-13, Class C, 9.300%, 05/25/18		16
	130	Series 1989-72, Class E, 9.350%, 10/25/19		151
	5	Series 1989-98, Class H, 11.500%, 12/25/19		6
	8	Series 1990-1, Class D, 8.800%, 01/25/20		9
	10	Series 1990-110, Class H, 8.750%, 09/25/20		11
	8	Series 1990-117, Class E, 8.950%, 10/25/20		9
	79	Series 1991-141, Class PZ, 8.000%, 10/25/21		90
	40	Series 1992-31, Class M, 7.750%, 03/25/22		47
	44	Series 1992-79, Class Z, 9.000%, 06/25/22		51
	31	Series 1992-101, Class J, 7.500%, 06/25/22		33
	400	Series 1992-188, Class PZ, 7.500%, 10/25/22		460
	455	Series 1992-200, Class SK, HB, IF, 22.086%, 11/25/22		686
	34	Series 1993-23, Class PZ, 7.500%, 03/25/23		39
	269	Series 1993-56, Class PZ, 7.000%, 05/25/23		308
	146	Series 1993-60, Class Z, 7.000%, 05/25/23		166
	312	Series 1993-79, Class PL, 7.000%, 06/25/23		357
	499	Series 1993-141, Class Z, 7.000%, 08/25/23		574
	244	Series 1993-149, Class M, 7.000%, 08/25/23		280
	899	Series 1993-160, Class ZA, 6.500%, 09/25/23		1,017
	87	Series 1993-165, Class SA, 19.240%, 09/25/23		118
	9	Series 1993-205, Class H, PO, 09/25/23		8
	81	Series 1993-247, Class SM, HB, IF, 24.927%, 12/25/23		128
	88	Series 1993-255, Class E, 7.100%, 12/25/23		101
	92	Series 1993-257, Class C, PO, 06/25/23		89
	149	Series 1994-1, Class L, 6.500%, 01/25/14		156
	2,212	Series 1994-23, Class PX, 6.000%, 08/25/23		2,341
	124	Series 1994-65, Class PK, PO, 04/25/24		115
	417	Series 1995-4, Class Z, 7.500%, 10/25/22		497
	649	Series 1995-19, Class Z, 6.500%, 11/25/23		775
	44	Series 1996-59, Class K, 6.500%, 07/25/23		45
	132	Series 1997-11, Class E, 7.000%, 03/18/27		153
	494	Series 1997-20, Class D, 7.000%, 03/17/27		565
	59	Series 1997-27, Class J, 7.500%, 04/18/27		66
	1,414	Series 1997-37, Class SM, IO, 7.750%, 12/25/22		277
	500	Series 1997-42, Class EG, 8.000%, 07/18/27		609
	788	Series 1997-63, Class ZA, 6.500%, 09/18/27		901


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	730	Series 1998-66, Class FB, VAR, 0.568%, 12/25/28		730
	1,326	Series 1999-47, Class JZ, 8.000%, 09/18/29		1,601
	403	Series 2000-8, Class Z, 7.500%, 02/20/30		466
	581	Series 2001-4, Class PC, 7.000%, 03/25/21		639
	146	Series 2001-5, Class OW, 6.000%, 03/25/16		151
	907	Series 2001-14, Class Z, 6.000%, 05/25/31		1,025
	1,069	Series 2001-16, Class Z, 6.000%, 05/25/31		1,211
	759	Series 2001-36, Class ST, IO, 8.282%, 11/25/30		171
	2,687	Series 2001-72, Class SB, IO, 7.282%, 12/25/31		556
	514	Series 2002-11, Class QG, 5.500%, 03/25/17		550
	202	Series 2002-19, Class SC, 13.807%, 03/17/32		265
	475	Series 2002-55, Class QE, 5.500%, 09/25/17		521
	531	Series 2002-63, Class KC, 5.000%, 10/25/17		572
	224	Series 2002-73, Class AN, 5.000%, 11/25/17		241
	95	Series 2003-8, Class QD, 5.000%, 09/25/16		95
	1,700	Series 2003-14, Class EH, IO, 7.382%, 03/25/18		209
	1,100	Series 2003-17, Class EQ, 5.500%, 03/25/23		1,275
	1,000	Series 2003-18, Class GT, 5.000%, 03/25/18		1,104
	1,978	Series 2003-30, Class IP, IO, 5.750%, 08/25/32		139
	2,000	Series 2003-47, Class PE, 5.750%, 06/25/33		2,265
	10	Series 2003-60, Class DA, 4.250%, 06/25/21		10
	1,195	Series 2003-64, Class KS, 9.401%, 07/25/18		1,331
	310	Series 2003-64, Class SX, 13.279%, 07/25/33		342
	900	Series 2003-73, Class GA, 3.500%, 05/25/31		927
	1,894	Series 2003-83, Class PG, 5.000%, 06/25/23		2,056
	62	Series 2003-91, Class SD, 12.136%, 09/25/33		72
	1,000	Series 2003-92, Class VH, 5.000%, 02/25/19		1,110
	2,000	Series 2003-106, Class WE, 4.500%, 11/25/22		2,149
	2,471	Series 2003-109, Class TS, IO, 6.882%, 08/25/22		178
	344	Series 2003-128, Class KE, 4.500%, 01/25/14		355
	9,247	Series 2003-128, Class NG, 4.000%, 01/25/19		9,896
	1,000	Series 2004-8, Class GD, 4.500%, 10/25/32		1,085
	1,000	Series 2004-21, Class AE, 4.000%, 04/25/19		1,072
	98	Series 2004-22, Class A, 4.000%, 04/25/19		100
	909	Series 2004-53, Class NC, 5.500%, 07/25/24		974
	608	Series 2004-72, Class F, VAR, 0.718%, 09/25/34		610
	305	Series 2004-87, Class JI, IO, 5.000%, 11/25/30		8


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Agency CMO — Continued
	1,000	Series 2004-101, Class PD, 5.000%, 06/25/30		1,039
	171	Series 2005-42, Class PS, 16.454%, 05/25/35		203
	950	Series 2005-51, Class MO, PO, 06/25/35		715
	3,465	Series 2005-53, Class CS, IO, 6.482%, 06/25/35		861
	2,275	Series 2005-59, Class PC, 5.500%, 03/25/31		2,374
	525	Series 2005-65, Class KO, PO, 08/25/35		487
	6,800	Series 2005-68, Class BC, 5.250%, 06/25/35		7,496
	5,683	Series 2005-72, Class WS, IO, 6.532%, 08/25/35		732
	1,246	Series 2005-84, Class XM, 5.750%, 10/25/35		1,388
	403	Series 2005-90, Class ES, 16.329%, 10/25/35		478
	1,094	Series 2005-97, Class B, 5.500%, 11/25/35		1,219
	424	Series 2005-106, Class US, HB, IF, 23.766%, 11/25/35		638
	515	Series 2005-116, Class PB, 6.000%, 04/25/34		557
	2,514	Series 2006-20, Class IB, IO, 6.372%, 04/25/36		373
	667	Series 2006-22, Class AO, PO, 04/25/36		604
	697	Series 2006-27, Class OH, PO, 04/25/36		652
	877	Series 2006-46, Class LI, IO, 6.000%, 02/25/34		39
	1,194	Series 2006-59, Class QO, PO, 01/25/33		1,120
	987	Series 2006-61, Class AP, 6.000%, 08/25/35		1,083
	2,500	Series 2006-77, Class PC, 6.500%, 08/25/36		2,931
	1,680	Series 2006-110, Class PO, PO, 11/25/36		1,541
	394	Series 2006-114, Class DS, VAR, 12/25/36		371
	1,860	Series 2006-114, Class HD, 5.500%, 10/25/35		2,087
	113	Series 2006-115, Class OM, PO, 12/25/36		109
	627	Series 2006-128, Class PO, PO, 01/25/37		561
	881	Series 2007-10, Class Z, 6.000%, 02/25/37		1,013
	2,189	Series 2007-22, Class SC, IO, 5.862%, 03/25/37		309
	1,990	Series 2007-47, Class PC, 5.000%, 07/25/33		2,061
	816	Series 2007-68, Class IA, IO, 6.500%, 06/25/37		144
	1,600	Series 2007-79, Class PC, 5.000%, 01/25/32		1,687
	1,071	Series 2007-100, Class ND, 5.750%, 10/25/35		1,163
	492	Series 2007-100, Class SM, IO, 6.232%, 10/25/37		79
	1,165	Series 2008-24, Class VB, 5.000%, 09/25/25		1,286
	6,081	Series 2008-62, Class SM, IO, 5.982%, 07/25/38		905
	852	Series 2008-68, Class VK, 5.500%, 03/25/27		954


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,075	Series 2008-68, Class VN, 5.500%, 03/25/27		1,190
	17,396	Series 2008-91, Class SI, IO, 5.782%, 03/25/38		2,027
	1,266	Series 2008-95, Class AI, IO, 5.000%, 12/25/23		122
	1,225	Series 2009-17, Class AI, IO, 5.000%, 03/25/24		125
	3,012	Series 2009-23, Class MI, IO, 4.500%, 04/25/24		267
	1,528	Series 2009-29, Class LA, VAR, 4.453%, 05/25/39		1,543
	3,284	Series 2009-52, Class PI, IO, 5.000%, 07/25/39		476
	1,541	Series 2009-108, Class VN, 5.000%, 09/25/39		1,699
	7,830	Series 2009-112, Class ST, IO, 6.032%, 01/25/40		904
	5,147	Series 2009-112, Class SW, IO, 6.032%, 01/25/40		594
	1,381	Series 2010-10, Class NT, 5.000%, 02/25/40		1,549
	1,785	Series 2010-19, Class VA, 5.000%, 02/25/21		1,964
	10,664	Series 2010-35, Class SB, IO, 6.202%, 04/25/40		1,293
	2,718	Series 2010-43, Class CI, IO, 4.500%, 02/25/25		246
	219	Series 2010-45, Class PO, PO, 05/25/40		211
	1,497	Series 2010-49, Class SC, 12.223%, 03/25/40		1,744
	1,004	Series 2010-64, Class DM, 5.000%, 06/25/40		1,087
	1,559	Series 2010-111, Class AE, 5.500%, 04/25/38		1,660
	1,879	Series 2011-22, Class MA, 6.500%, 04/25/38		2,116
	32	Series G-29, Class O, 8.500%, 09/25/21		37
	1	Series G92-15, Class Z, 7.000%, 01/25/22		1
	20	Series G92-30, Class Z, 7.000%, 06/25/22		22
	41	Series G92-62, Class B, PO, 10/25/22		34
		Federal National Mortgage Association Whole Loan,
	949	Series 2001-W3, Class A, VAR, 7.000%, 09/25/41		1,132
	13,147	Series 2002-W10, Class IO, IO, VAR, 0.975%, 08/25/42		250
	19,140	Series 2002-W7, Class IO1, IO, VAR, 0.930%, 06/25/29		407
	39	Series 2003-W3, Class 2A5, 5.356%, 06/25/42		43
	414	Series 2003-W4, Class 2A, 6.500%, 10/25/42		462
	535	Series 2003-W6, Class 1A41, 5.398%, 10/25/42		593


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Agency CMO — Continued
	37,910	Series 2004-W11, Class 1IO1, IO, VAR, 0.353%, 05/25/44		379
	1,223	Series 2004-W2, Class 1A, 6.000%, 02/25/44		1,372
	219	Series 2004-W2, Class 1A3F, VAR, 0.568%, 02/25/44		217
	328	Series 2004-W2, Class 2A2, 7.000%, 02/25/44		380
	1,088	Series 2004-W6, Class 3A4, 6.500%, 07/25/34		1,215
	765	Series 2004-W8, Class 3A, 7.500%, 06/25/44		893
	1,250	Series 2004-W9, Class 1A3, 6.050%, 02/25/44		1,390
	1,398	Series 2005-W4, Class 1A1, 6.000%, 08/25/35		1,568
		Government National Mortgage Association,
	175	Series 1997-7, Class ZA, 9.000%, 05/16/27		205
	204	Series 1997-8, Class PN, 7.500%, 05/16/27		233
	2,678	Series 1999-15, Class S, IO, 7.992%, 05/16/29		613
	44	Series 1999-43, Class TA, 9.350%, 11/16/29		48
	498	Series 1999-44, Class ZG, 8.000%, 12/20/29		581
	308	Series 2000-9, Class Z, 8.000%, 06/20/30		360
	232	Series 2000-26, Class Z, 7.750%, 09/20/30		270
	2,762	Series 2002-4, Class TD, 7.000%, 01/20/32		3,359
	1,915	Series 2002-13, Class QA, IO, 7.842%, 02/16/32		437
	1,091	Series 2002-45, Class QE, 6.500%, 06/20/32		1,282
	61	Series 2002-47, Class HM, 6.000%, 07/16/32		69
	6,618	Series 2002-68, Class SC, IO, 5.492%, 10/16/32		1,148
	1,880	Series 2002-84, Class PH, 6.000%, 11/16/32		2,189
	703	Series 2003-4, Class TI, IO, 5.500%, 05/16/31		20
	1,174	Series 2003-18, Class PG, 5.500%, 03/20/33		1,357
	303	Series 2003-52, Class SB, 11.185%, 06/16/33		354
	890	Series 2003-79, Class PV, 5.500%, 10/20/23		999
	5,516	Series 2003-101, Class SK, IO, 6.352%, 10/17/33		1,110
	240	Series 2004-2, Class SA, 19.843%, 01/16/34		388
	7,799	Series 2004-59, Class SG, IO, 6.287%, 07/20/34		1,237
	57	Series 2004-73, Class AE, 14.425%, 08/17/34		71
	3,711	Series 2004-86, Class SP, IO, 5.887%, 09/20/34		504
	2,567	Series 2004-90, Class SI, IO, 5.887%, 10/20/34		369
	4,734	Series 2004-105, Class SN, IO, 5.887%, 12/20/34		722


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	7,004	Series 2005-3, Class SD, IO, 5.887%, 01/20/31		475
	5,600	Series 2005-48, Class CS, IO, 6.087%, 04/20/33		518
	479	Series 2005-56, Class IC, IO, 5.500%, 07/20/35		95
	8,496	Series 2006-23, Class S, IO, 6.287%, 01/20/36		1,156
	6,346	Series 2006-26, Class S, IO, 6.287%, 06/20/36		1,074
	723	Series 2006-59, Class PC, 5.500%, 04/20/35		792
	7,890	Series 2007-7, Class EI, IO, 5.987%, 02/20/37		1,202
	3,503	Series 2007-9, Class CI, IO, 5.987%, 03/20/37		508
	6,206	Series 2007-16, Class KU, IO, 6.437%, 04/20/37		908
	441	Series 2007-17, Class JO, PO, 04/16/37		366
	1,000	Series 2007-22, Class PK, 5.500%, 04/20/37		1,164
	7,306	Series 2007-24, Class SA, IO, 6.297%, 05/20/37		1,151
	2,290	Series 2007-26, Class SC, IO, 5.987%, 05/20/37		363
	1,641	Series 2007-67, Class SI, IO, 6.297%, 11/20/37		237
	498	Series 2008-29, Class PO, PO, 02/17/33		434
	226	Series 2008-34, Class OC, PO, 06/20/37		135
	2,003	Series 2008-40, Class PS, IO, 6.292%, 05/16/38		317
	3,760	Series 2008-40, Class SA, IO, 6.192%, 05/16/38		759
	517	Series 2008-43, Class NA, 5.500%, 11/20/37		553
	10,703	Series 2008-50, Class SA, IO, 6.017%, 06/20/38		1,565
	1,980	Series 2009-12, Class IE, IO, 5.500%, 03/20/39		716
	6,769	Series 2009-16, Class SJ, IO, 6.587%, 05/20/37		1,048
	3,796	Series 2009-72, Class SM, IO, 6.042%, 08/16/39		498
	293	Series 2009-75, Class IY, IO, 5.500%, 06/20/39		124
	5,614	Series 2009-77, Class CS, IO, 6.792%, 06/16/38		883
	1,155	Series 2009-79, Class OK, PO, 11/16/37		978
	2,388	Series 2009-83, Class TS, IO, 5.887%, 08/20/39		309
	3,957	Series 2009-106, Class XL, IO, 6.537%, 06/20/37		602


PRINCIPAL AMOUNT			SECURITY DESCRIPTION	VALUE


			Agency CMO — Continued
	5,704		Series 2010-4, Class SB, IO, 6.292%, 08/16/39		757
	803		Series 2010-14, Class DO, PO, 03/20/36		737
	992		Series 2010-14, Class QP, 6.000%, 12/20/39		1,084
	1,497		Series 2010-31, Class SK, IO, 5.887%, 11/20/34		207
	1,500		Series 2010-107, Class AY, 5.000%, 10/20/36		1,660
	1,600		Series 2010-157, Class OP, PO, 12/20/40		1,261
			NCUA Guaranteed Notes,
	3,854		Series 2010-C1, Class APT, 2.650%, 10/29/20		3,999
	448		Series 2010-R3, Class 3A, 2.400%, 12/08/20		461
			Vendee Mortgage Trust,
	1,161		Series 1996-2, Class 1Z, 6.750%, 06/15/26		1,365
	3,022		Series 1998-1, Class 2E, 7.000%, 03/15/28		3,545
	424		Series 1999-1, Class 2Z, 6.500%, 01/15/29		500

					287,537

			Non-Agency CMO — 8.3%
			ABN Amro Mortgage Corp.,
	656		Series 2003-7, Class A3, 4.500%, 07/25/18		657
	1,235		Series 2003-9, Class A1, 4.500%, 08/25/18		1,253
			Adjustable Rate Mortgage Trust,
	—	(h)	Series 2005-4, Class 7A2, VAR, 0.448%, 08/25/35		—	(h)
	294		Series 2005-5, Class 6A21, VAR, 0.448%, 09/25/35		225
			American General Mortgage Loan Trust,
	1,503		Series 2006-1, Class A5, VAR, 5.736%, 12/25/35 (e)		1,548
	2,540		Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e)		2,550
	3,000		Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		3,043
	4,943		American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.100%, 09/25/35		1,921
	244		ASG Resecuritization Trust, Series 2009-2, Class A55, VAR, 5.367%, 05/24/36 (e)		242
			Banc of America Alternative Loan Trust,
	650		Series 2003-11, Class 2A1, 6.000%, 01/25/34		652
	659		Series 2004-6, Class 4A1, 5.000%, 07/25/19		667
			Banc of America Funding Corp.,
	1,500		Series 2005-5, Class 3A5, 5.500%, 08/25/35		1,243
	461		Series 2005-7, Class 30PO, PO, 11/25/35		362
	1,962		Series 2005-E, Class 4A1, VAR, 2.772%, 03/20/35		1,764


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		Banc of America Mortgage Securities, Inc.,
	2,030	Series 2003-3, Class 1A7, 5.500%, 05/25/33		2,083
	833	Series 2003-4, Class 1B1, 5.500%, 06/25/33		773
	426	Series 2003-7, Class A2, 4.750%, 09/25/18		439
	389	Series 2004-2, Class 2A4, 5.500%, 03/25/34		364
	3,055	Series 2004-3, Class 2A1, 5.500%, 04/25/34		3,112
	1,181	Series 2004-5, Class 3A3, 5.000%, 06/25/19		1,217
	496	Series 2004-5, Class 4A1, 4.750%, 06/25/19		510
	677	Series 2004-7, Class 2A2, 5.750%, 08/25/34		691
	253	Series 2004-8, Class XPO, PO, 10/25/34		214
	8	Series 2004-11, Class 15PO, PO, 01/25/20		8
	918	Series 2004-F, Class 1A1, VAR, 2.748%, 07/25/34		824
	197	Series 2005-1, Class 15PO, PO, 02/25/20		178
	504	Series 2005-1, Class 1A17, 5.500%, 02/25/35		494
	1,303	Series 2005-1, Class 2A1, 5.000%, 02/25/20		1,303
	180	Series 2005-10, Class 15PO, PO, 11/25/20		163
	291	Series 2005-11, Class 15PO, PO, 12/25/20		265
	71	Series 2007-1, Class 1A7, 5.750%, 03/25/37		71
		BCAP LLC Trust,
	444	Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)		452
	1,352	Series 2010-RR10, Class 3A5, VAR, 4.500%, 11/26/35 (e)		1,355
	1,524	Series 2010-RR7, Class 16A1, VAR, 0.952%, 02/26/47 (e)		1,408
	1,418	Series 2010-RR8, Class 3A3, VAR, 5.083%, 05/26/35 (e)		1,402
	1,930	Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i)		1,843
	325	Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 2.654%, 10/25/33		302
	8	Bear Stearns Mortgage Securities, Inc., Series 1997-6, Class 1A, VAR, 7.177%, 03/25/31		9
	269	Cendant Mortgage Corp., Series 2003-8, Class 1A8, 5.250%, 10/25/33		271
		Chase Mortgage Finance Corp.,
	473	Series 2003-S10, Class A1, 4.750%, 11/25/18		487
	658	Series 2003-S13, Class A2, 5.000%, 11/25/33		683
	1,118	Series 2004-S1, Class M, VAR, 5.093%, 02/25/19		990
		Citicorp Mortgage Securities, Inc.,
	678	Series 2004-1, Class 3A1, 4.750%, 01/25/34		684
	1,007	Series 2004-4, Class A4, 5.500%, 06/25/34		1,051


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Non-Agency CMO — Continued
	718	Series 2006-1, Class 2A1, 5.000%, 02/25/21		711
		Citigroup Mortgage Loan Trust, Inc.,
	92	Series 2003-UST1, Class PO3, PO, 12/25/18		85
	224	Series 2004-HYB4, Class AA, VAR, 0.548%, 12/25/34		177
	694	Series 2004-UST1, Class A3, VAR, 2.397%, 08/25/34		666
	167	Community Program Loan Trust, Series 1987-A, Class A4, 4.500%, 10/01/18		168
		Countrywide Alternative Loan Trust,
	391	Series 2003-J3, Class 2A1, 6.250%, 12/25/33		410
	1,529	Series 2004-16CB, Class 2A2, 5.000%, 08/25/19		1,551
	382	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		391
	1,469	Series 2004-22CB, Class 1A1, 6.000%, 10/25/34		1,446
	1,368	Series 2004-J13, Class 1A4, SUB, 5.030%, 02/25/35		1,381
	493	Series 2005-5R, Class A1, 5.250%, 12/25/18		502
	800	Series 2005-23CB, Class A2, 5.500%, 07/25/35		619
	5,500	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		4,547
	1,966	Series 2005-86CB, Class A11, 5.500%, 02/25/36		1,395
	261	Series 2005-J6, Class 2A1, 5.500%, 07/25/25		246
	95	Series 2005-J7, Class 1A9, 5.500%, 07/25/35		36
	499	Series 2006-26CB, Class A9, 6.500%, 09/25/36		327
		Countrywide Home Loan Mortgage Pass-Through Trust,
	279	Series 2002-22, Class A20, 6.250%, 10/25/32		289
	998	Series 2003-40, Class A3, 4.500%, 10/25/18		1,020
	1,090	Series 2003-50, Class A1, 5.000%, 11/25/18		1,121
	188	Series 2003-J7, Class 2A13, 5.000%, 08/25/33		179
	1,129	Series 2004-3, Class A25, 5.750%, 04/25/34		1,073
	2,463	Series 2004-4, Class A13, 5.250%, 05/25/34		2,528
	1,306	Series 2004-5, Class 2A9, 5.250%, 05/25/34		1,339
	2,013	Series 2004-8, Class 2A1, 4.500%, 06/25/19		2,049
	1,365	Series 2004-J1, Class 2A1, 4.750%, 01/25/19		1,396
	416	Series 2005-13, Class A2, 5.500%, 06/25/35		410
	1,320	Series 2005-22, Class 2A1, VAR, 3.063%, 11/25/35		833


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		Credit Suisse Mortgage Capital Certificates,
	770	Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e)		763
	1,500	Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e)		1,365
	997	Series 2010-20R, Class 2A3, VAR, 3.500%, 06/27/37 (e)		817
	1,856	Series 2011-7R, Class A1, VAR, 1.471%, 08/28/47 (e)		1,855
		CS First Boston Mortgage Securities Corp.,
	346	Series 2003-29, Class 8A1, 6.000%, 11/25/18		355
	3,227	Series 2004-4, Class 5A4, IO, 7.332%, 08/25/34		427
	1,000	Series 2005-1, Class 1A16, 5.500%, 02/25/35		800
	567	Series 2005-7, Class 5A1, 4.750%, 08/25/20		572
	462	Series 2005-10, Class 10A4, 6.000%, 11/25/35		258
	881	Series 2005-10, Class 6A13, 5.500%, 11/25/35		662
	219	Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4APO, PO, 06/25/35		127
	880	DLJ Mortgage Acceptance Corp., Series 1993-19, Class A7, 6.750%, 01/25/24		891
	718	First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1, VAR, 2.208%, 09/25/34		612
		First Horizon Asset Securities, Inc.,
	255	Series 2003-8, Class 1A43, PO, 10/25/33		158
	1,211	Series 2004-AR6, Class 2A1, VAR, 2.758%, 12/25/34		1,084
	200	Series 2004-AR7, Class 2A1, VAR, 2.741%, 02/25/35		188
		GMAC Mortgage Corp. Loan Trust,
	2,114	Series 2003-J10, Class A1, 4.750%, 01/25/19		2,180
	588	Series 2004-J5, Class A7, 6.500%, 01/25/35		620
	325	Series 2005-AR3, Class 3A4, VAR, 3.088%, 06/19/35		258
		GSR Mortgage Loan Trust,
	574	Series 2003-7F, Class 1A4, 5.250%, 06/25/33		566
	1,697	Series 2004-6F, Class 2A4, 5.500%, 05/25/34		1,765
	898	Series 2004-6F, Class 3A4, 6.500%, 05/25/34		958
	742	Series 2004-8F, Class 2A3, 6.000%, 09/25/34		784
	3,384	Series 2005-2F, Class 1A5, 5.500%, 03/25/35		3,428
	776	Series 2005-5F, Class 8A1, VAR, 0.718%, 06/25/35		754


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Non-Agency CMO — Continued
	1,000	Series 2007-2F, Class 2A7, 5.750%, 02/25/37		916
		Impac CMB Trust,
	1,628	Series 2004-10, Class 3A1, VAR, 0.918%, 03/25/35		1,221
	987	Series 2004-10, Class 3A2, VAR, 1.018%, 03/25/35		555
	28	Impac Secured Assets CMN Owner Trust, Series 2003-2, Class A1, 5.500%, 08/25/33		30
		JP Morgan Mortgage Trust,
	2,247	Series 2004-S1, Class 3A1, 5.500%, 09/25/34		2,324
	1,345	Series 2004-S2, Class 4A5, 6.000%, 11/25/34		1,327
	1,309	Series 2004-S2, Class 5A1, 5.500%, 12/25/19		1,322
	1,793	Series 2006-A2, Class 4A1, VAR, 2.749%, 08/25/34		1,696
	1,298	Series 2006-A2, Class 5A3, VAR, 2.903%, 11/25/33		1,257
	397	Series 2007-A1, Class 5A2, VAR, 2.907%, 07/25/35		358
	972	JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 4.285%, 08/26/35 (e)		932
		MASTR Adjustable Rate Mortgages Trust,
	448	Series 2004-13, Class 2A1, VAR, 2.770%, 04/21/34		420
	310	Series 2004-13, Class 3A6, VAR, 2.729%, 11/21/34		305
		MASTR Alternative Loans Trust,
	650	Series 2003-7, Class 4A3, 8.000%, 11/25/18		690
	329	Series 2003-8, Class 3A1, 5.500%, 12/25/33		334
	882	Series 2003-9, Class 5A1, 4.500%, 12/25/18		904
	1,268	Series 2004-6, Class 6A1, 6.500%, 07/25/34		1,340
	196	Series 2004-7, Class 30PO, PO, 08/25/34		121
	97	Series 2004-7, Class 3A1, 6.500%, 08/25/34		99
	912	Series 2004-8, Class 6A1, 5.500%, 09/25/19		926
	1,562	Series 2004-10, Class 1A1, 4.500%, 09/25/19		1,589
	412	Series 2004-11, Class 8A3, 5.500%, 11/25/19		415
	72	Series 2005-1, Class 5A1, 5.500%, 01/25/20		74
		MASTR Asset Securitization Trust,
	86	Series 2003-6, Class 8A1, 5.500%, 07/25/33		88
	561	Series 2003-10, Class 3A1, 5.500%, 11/25/33		584
	209	Series 2003-11, Class 10A1, 5.000%, 12/25/18		213
	352	Series 2003-11, Class 3A1, 4.500%, 12/25/18		358
	130	Series 2004-6, Class 15PO, PO, 05/25/19		119


PRINCIPAL AMOUNT			SECURITY DESCRIPTION	VALUE

	Collateralized Mortgage Obligations — Continued
			Non-Agency CMO — Continued
	884		Series 2004-6, Class 3A1, 5.250%, 07/25/19		906
	432		Series 2004-6, Class 4A1, 5.000%, 07/25/19		445
	203		Series 2004-8, Class PO, PO, 08/25/19		189
	331		Series 2004-10, Class 1A1, 4.500%, 10/25/19		344
	1,818		Series 2004-P7, Class A6, 5.500%, 12/27/33 (e)		1,925
	308		MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		210
	—	(h)	Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A2, VAR, 0.498%, 08/25/35		—(h)
			MLCC Mortgage Investors, Inc.,
	1,090		Series 2004-C, Class A2, VAR, 0.996%, 07/25/29		975
	842		Series 2004-D, Class A3, VAR, 2.109%, 08/25/29		766
			Morgan Stanley Mortgage Loan Trust,
	1,552		Series 2004-3, Class 4A, VAR, 5.651%, 04/25/34		1,570
	542		Series 2004-7AR, Class 2A6, VAR, 2.477%, 09/25/34		473
	430		MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.538%, 02/25/35		332
			Nomura Asset Acceptance Corp.,
	348		Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		351
	1,216		Series 2005-AR1, Class 1A1, VAR, 2.662%, 02/25/35		933
			Paine Webber CMO Trust,
	9		Series H, Class 4, 8.750%, 04/01/18		10
	9		Series L, Class 4, 8.950%, 07/01/18		10
	2,554		PHH Mortgage Capital LLC, Series 2008-CIM2, Class 5A1, 6.000%, 07/25/38		2,618
	792		Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.000%, 02/25/34		834
			Residential Accredit Loans, Inc.,
	890		Series 2003-QS14, Class A1, 5.000%, 07/25/18		906
	1,456		Series 2003-QS19, Class NB2, 5.750%, 10/25/33		1,369
	394		Series 2004-QS8, Class A2, 5.000%, 06/25/34		395
	4,000		Series 2005-QS5, Class A4, 5.750%, 04/25/35		2,900
	419		Residential Asset Securitization Trust, Series 2006-A6, Class 2A13, 6.000%, 07/25/36		293


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Non-Agency CMO — Continued
		Residential Funding Mortgage Securities I,
	774	Series 2004-S4, Class 2A7, 4.500%, 04/25/19		781
	530	Series 2005-SA4, Class 1A1, VAR, 3.003%, 09/25/35		359
	4,181	Series 2006-S1, Class 1A8, 5.750%, 01/25/36		3,746
	286	Residential Funding Securities LLC, Series 2003-RM2, Class AII, 5.000%, 05/25/18		293
	97	SACO I, Inc. (Bear Stearns), Series 1997-2, Class 1A5, 7.000%, 08/25/36 (e)		100
	1,645	Sequoia Mortgage Trust, Series 2004-8, Class A2, VAR, 0.833%, 09/20/34		1,390
		Structured Adjustable Rate Mortgage Loan Trust,
	654	Series 2004-14, Class 1A, VAR, 2.690%, 10/25/34		547
	606	Series 2005-5, Class A1, VAR, 0.448%, 05/25/35		519
	282	Series 2005-5, Class A2, VAR, 0.448%, 05/25/35		242
		Structured Asset Securities Corp.,
	88	Series 2003-21, Class 1A3, 5.500%, 07/25/33		89
	4,559	Series 2003-26A, Class 3A5, VAR, 2.466%, 09/25/33		3,894
	935	Series 2003-31A, Class B1, VAR, 2.567%, 10/25/33		355
	729	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		738
	700	Series 2003-37A, Class 2A, VAR, 5.013%, 12/25/33		694
	544	Series 2004-7, Class 2A1, VAR, 5.421%, 05/25/24		564
	1,433	Series 2005-5, Class 2A1, 5.500%, 04/25/35		1,401
	1,331	Vericrest Opportunity Loan Transferee, Series 2011-NL1A, Class A1, 5.926%, 12/26/50 (e) (f) (i)		1,332
		WaMu Mortgage Pass-Through Certificates,
	377	Series 2002-S4, Class A4, 6.500%, 10/19/29		392
	382	Series 2002-S8, Class 2A7, 5.250%, 01/25/18		392
	910	Series 2003-AR8, Class A, VAR, 2.476%, 08/25/33		858
	648	Series 2003-AR9, Class 1A6, VAR, 2.589%, 09/25/33		613
	180	Series 2003-S4, Class 3A, 5.500%, 06/25/33		188
	280	Series 2004-AR3, Class A1, VAR, 2.577%, 06/25/34		276
	2,590	Series 2004-AR3, Class A2, VAR, 2.577%, 06/25/34		2,554


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	660	Series 2004-CB2, Class 7A, 5.500%, 08/25/19		691
	645	Series 2004-CB3, Class 4A, 6.000%, 10/25/19		667
	1,823	Series 2004-S2, Class 2A4, 5.500%, 06/25/34		1,822
	193	Series 2005-AR2, Class 2A21, VAR, 0.548%, 01/25/45		144
	1,784	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB7, 5.500%, 06/25/35		1,472
	1,897	Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2004-RA1, Class 2A, 7.000%, 03/25/34		1,960
		Wells Fargo Mortgage-Backed Securities Trust,
	436	Series 2003-8, Class A9, 4.500%, 08/25/18		449
	141	Series 2003-10, Class A1, 4.500%, 09/25/18		145
	211	Series 2003-11, Class 1A4, 4.750%, 10/25/18		211
	588	Series 2003-12, Class A2, 4.500%, 11/25/18		604
	1,177	Series 2003-15, Class 1A1, 4.750%, 12/25/18		1,215
	391	Series 2003-17, Class 2A9, PO, 01/25/34		262
	369	Series 2003-18, Class A1, 5.500%, 12/25/33		383
	748	Series 2003-F, Class A1, VAR, 4.841%, 06/25/33		731
	224	Series 2003-J, Class 2A5, VAR, 4.417%, 10/25/33		224
	769	Series 2003-M, Class A1, VAR, 4.691%, 12/25/33		771
	529	Series 2004-B, Class A1, VAR, 4.903%, 02/25/34		524
	320	Series 2004-DD, Class 2A8, VAR, 2.740%, 01/25/35		209
	435	Series 2004-EE, Class 3A1, VAR, 2.848%, 12/25/34		418
	600	Series 2004-EE, Class 3A2, VAR, 2.848%, 12/25/34		583
	1,319	Series 2004-K, Class 1A2, VAR, 2.722%, 07/25/34		1,316
	129	Series 2004-Q, Class 1A3, VAR, 2.918%, 09/25/34		121
	467	Series 2004-Q, Class 2A2, VAR, 2.849%, 09/25/34		373
	516	Series 2004-U, Class A1, VAR, 2.798%, 10/25/34		485
	514	Series 2005-1, Class 1A1, 4.750%, 01/25/20		529
	1,075	Series 2005-1, Class B1, VAR, 4.921%, 01/25/20		1,016
	2,175	Series 2005-9, Class 2A10, 5.250%, 10/25/35		1,886


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Non-Agency CMO — Continued
	776	Series 2005-13, Class A1, 5.000%, 11/25/20		800
	148	Series 2005-AR13, Class A1, VAR, 5.250%, 05/25/35		141
	840	Series 2006-5, Class 1A2, 5.250%, 04/25/36		844

				171,499

		Total Collateralized Mortgage Obligations (Cost $437,816)		459,036

	Commercial Mortgage-Backed Securities — 4.1%
		Banc of America Large Loan, Inc.,
	500	Series 2009-UB1, Class A4A, VAR, 5.691%, 06/24/50 (e)		546
	1,212	Series 2010-HLTN, Class HLTN, VAR, 1.957%, 11/15/15 (e)		1,080
		Banc of America Merrill Lynch Commercial Mortgage, Inc.,
	1,730	Series 2005-1, Class AJ, VAR, 5.353%, 11/10/42		1,580
	1,050	Series 2005-3, Class A4, 4.668%, 07/10/43		1,121
	2,435	Series 2005-3, Class AM, 4.727%, 07/10/43		2,347
	1,050	Series 2005-5, Class A4, VAR, 5.115%, 10/10/45		1,139
	1,756	Series 2005-6, Class ASB, VAR, 5.368%, 09/10/47		1,836
	485	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		525
	3,010	Series 2006-3, Class A4, VAR, 5.889%, 07/10/44		3,263
	1,005	Series 2006-4, Class A4, 5.634%, 07/10/46		1,086
	2,056	Series 2006-5, Class A4, 5.414%, 09/10/47		2,166
		Bear Stearns Commercial Mortgage Securities,
	1,655	Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41		1,781
	406	Series 2004-T14, Class A3, 4.800%, 01/12/41		412
	640	Series 2005-PWR7, Class A3, VAR, 5.116%, 02/11/41		692
	2,570	Series 2006-PW11, Class A4, VAR, 5.620%, 03/11/39		2,820
	75	Series 2006-PW12, Class A4, VAR, 5.903%, 09/11/38		83
	250	Series 2006-T24, Class A4, 5.537%, 10/12/41		276
	1,973	Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43		1,884
		Citigroup/Deutsche Bank Commercial Mortgage Trust,
	1,500	Series 2005-CD1, Class AM, VAR, 5.399%, 07/15/44		1,531


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Commercial Mortgage-Backed Securities — Continued
	108,054	Series 2007-CD4, Class XC, IO, VAR, 0.167%, 12/11/49 (e)		912
		Credit Suisse Mortgage Capital Certificates,
	1,500	Series 2006-C2, Class A3, VAR, 5.850%, 03/15/39		1,590
	152,746	Series 2007-C2, Class AX, IO, VAR, 0.272%, 01/15/49 (e)		987
	2,321	CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AM, 4.730%, 07/15/37		2,331
	2,180	CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48		2,322
	2,505	GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48		2,243
		GMAC Commercial Mortgage Securities, Inc.,
	72	Series 2003-C1, Class A1, 3.337%, 05/10/36		73
	550	Series 2005-C1, Class AM, 4.754%, 05/10/43		546
	645	Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		686
	2,330	Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42		2,140
		GS Mortgage Securities Corp. II,
	2,150	Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38		2,292
	465	Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38		496
	793	Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e)		758
		JP Morgan Chase Commercial Mortgage Securities Corp.,
	2,500	Series 2005-CB11, Class AJ, VAR, 5.457%, 08/12/37		2,254
	210,245	Series 2005-CB11, Class X1, IO, VAR, 0.100%, 08/12/37 (e)		975
	2,000	Series 2005-CB13, Class A4, VAR, 5.455%, 01/12/43		2,146
	200	Series 2005-LDP2, Class AM, 4.780%, 07/15/42		200
	296,791	Series 2005-LDP5, Class X1, IO, VAR, 0.099%, 12/15/44 (e)		976
	1,000	Series 2006-CB14, Class A4, VAR, 5.481%, 12/12/44		1,078
	92,241	Series 2006-CB15, Class X1, IO, VAR, 0.115%, 06/12/43		637
	2,060	Series 2006-CB16, Class A4, 5.552%, 05/12/45		2,269
	285	Series 2006-CB17, Class A4, 5.429%, 12/12/43		302


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


	620	Series 2006-LDP6, Class A4, VAR, 5.475%, 04/15/43		678
	160	Series 2006-LDP7, Class A4, VAR, 6.074%, 04/15/45		176
		LB-UBS Commercial Mortgage Trust,
	1,212	Series 2004-C2, Class A4, 4.367%, 03/15/36		1,270
	405	Series 2006-C1, Class A4, 5.156%, 02/15/31		438
	1,060	Series 2006-C4, Class A4, VAR, 6.067%, 06/15/38		1,169
	560	Series 2006-C6, Class A4, 5.372%, 09/15/39		606
		Merrill Lynch Mortgage Trust,
	602	Series 2005-CKI1, Class A6, VAR, 5.392%, 11/12/37		662
	1,425	Series 2005-CKI1, Class AM, VAR, 5.392%, 11/12/37		1,385
	1,750	Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44		1,905
	1,750	Series 2005-LC1, Class AJ, VAR, 5.505%, 01/12/44		1,571
	2,000	Series 2005-LC1, Class AM, VAR, 5.446%, 01/12/44		1,965
	1,755	Series 2006-C1, Class A4, VAR, 5.863%, 05/12/39		1,939
		Merrill Lynch/Countrywide Commercial Mortgage Trust,
	1,725	Series 2006-1, Class A4, VAR, 5.608%, 02/12/39		1,889
	250	Series 2006-4, Class A3, VAR, 5.172%, 12/12/49		266
		Morgan Stanley Capital I,
	645	Series 2006-T21, Class A4, VAR, 5.162%, 10/12/52		699
	1,575	Series 2006-T23, Class AM, VAR, 5.997%, 08/12/41		1,615
	105,498	Series 2007-HQ11, Class X, IO, VAR, 0.404%, 02/12/44 (e)		882
	785	Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.920%, 03/12/35		813
	3,000	Morgan Stanley Reremic Trust, Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		3,140
	1,290	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.969%, 08/15/39		1,400
		Wachovia Bank Commercial Mortgage Trust,
	932	Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41		995
	1,122	Series 2004-C15, Class A2, 4.039%, 10/15/41		1,121


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Commercial Mortgage-Backed Securities — Continued
	193	Series 2005-C16, Class AJ, VAR, 4.896%, 10/15/41		185
	170	Series 2005-C17, Class A4, VAR, 5.083%, 03/15/42		182
	1,500	Series 2005-C21, Class AM, VAR, 5.381%, 10/15/44		1,477
	250	Series 2006-C25, Class A4, VAR, 5.923%, 05/15/43		276
	2,500	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.375%, 03/15/44 (e)		2,454

		Total Commercial Mortgage-Backed Securities (Cost $83,300)		85,539

	Convertible Bond — 0.0% (g)
		Materials — 0.0% (g)
		Construction Materials — 0.0% (g)
	665	U.S. Concrete, Inc., 9.500%, 08/31/15 (e) (Cost $665)		638

	Corporate Bonds — 37.8%
		Consumer Discretionary — 5.0%
		Auto Components — 0.0% (g)
	890	Johnson Controls, Inc., 5.700%, 03/01/41		953

		Automobiles — 0.2%
		Daimler Finance North America LLC,
	2,000	7.300%, 01/15/12		2,046
	320	8.500%, 01/18/31		440
		Ford Motor Co.,
	220	7.450%, 07/16/31		241
	400	9.215%, 09/15/21		458
		Motors Liquidation Co.,
	120	5.250%, 03/06/32		49
	385	6.250%, 07/15/33		158
	21	7.250%, 04/15/41		9
	1	7.250%, 07/15/41		—	(h)
	42	7.250%, 02/15/52		17
	55	7.375%, 05/15/48		23
	1	7.375%, 10/01/51		—	(h)
	2,500	7.700%, 04/15/16 (d)		19
	250	Navistar International Corp., 8.250%, 11/01/21		258

				3,718

		Broadcasting & Cable TV — 0.7%
	2,004	Adelphia Communications Corp., 9.375%, 11/15/09 (d)		1
	80	Cablevision Systems Corp., 8.000%, 04/15/20		84


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Broadcasting & Cable TV — Continued
	350	CCH II LLC/CCH II Capital Corp., 13.500%, 11/30/16		404
		CCO Holdings LLC/CCO Holdings Capital Corp.,
	2,000	6.500%, 04/30/21		1,955
	1,075	7.000%, 01/15/19		1,081
	425	7.000%, 01/15/19 (e)		426
	1,125	7.250%, 10/30/17		1,160
	125	7.875%, 04/30/18		130
	330	8.125%, 04/30/20		349
	1,280	Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.625%, 11/15/17 (e)		1,331
		DirecTV Holdings LLC/DirecTV Financing Co., Inc.,
	530	5.000%, 03/01/21		570
	580	6.000%, 08/15/40		611
		DISH DBS Corp.,
	1,060	6.750%, 06/01/21 (e)		1,068
	230	7.125%, 02/01/16		234
	975	7.875%, 09/01/19		1,036
	380	Insight Communications Co., Inc., 9.375%, 07/15/18 (e)		434
	872	Mediacom LLC/Mediacom Capital Corp., 9.125%, 08/15/19		881
	1,750	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, (Germany), 8.125%, 12/01/17 (e)		1,785
	1,000	Virgin Media Finance plc, (United Kingdom), 8.375%, 10/15/19		1,078

				14,618

		Diversified Consumer Services — 0.3%
	750	Knowledge Learning Corp., 7.750%, 02/01/15 (e)		720
	500	Mac-Gray Corp., 7.625%, 08/15/15		504
		Service Corp. International,
	495	7.000%, 06/15/17		517
	700	7.000%, 05/15/19		716
	2,073	7.625%, 10/01/18		2,218
		Stewart Enterprises, Inc.,
	165	3.125%, 07/15/14		164
	615	6.500%, 04/15/19		598

				5,437

		Gaming — 0.9%
	2,502	Chukchansi Economic Development Authority, 8.000%, 11/15/13 (e)		1,826
	2,639	CityCenter Holdings LLC/CityCenter Finance Corp., PIK, 11.500%, 01/15/17 (e)		2,533


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Gaming — Continued
	250	Mashantucket Western Pequot Tribe, 5.912%, 09/01/21 (d) (e)		120
	32	MCE Finance Ltd., (Cayman Islands), 10.250%, 05/15/18		35
		MGM Resorts International,
	1,000	6.875%, 04/01/16		850
	1,700	9.000%, 03/15/20		1,815
	3,675	10.000%, 11/01/16 (e)		3,712
	825	11.375%, 03/01/18		893
	900	Peninsula Gaming LLC, 8.375%, 08/15/15		914
	870	Pinnacle Entertainment, Inc., 8.625%, 08/01/17		907
	500	Seminole Hard Rock Entertainment, Inc., VAR, 2.747%, 03/15/14 (e)		450
	700	Seminole Indian Tribe of Florida, 7.750%, 10/01/17 (e)		711
	525	Seneca Gaming Corp., 8.250%, 12/01/18 (e)		516
	2,000	Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e)		1,315
	1,675	Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 7.875%, 05/01/20		1,796
	350	Yonkers Racing Corp., 11.375%, 07/15/16 (e)		366

				18,759

		Hotels, Restaurants & Leisure — 0.3%
	900	Landry’s Holdings, Inc., 11.500%, 06/01/14 (e)		884
	225	Landry’s Restaurants, Inc., 11.625%, 12/01/15		237
	500	Real Mex Restaurants, Inc., 14.000%, 01/01/13		403
		Royal Caribbean Cruises Ltd., (Liberia),
	7	6.875%, 12/01/13		7
	1,608	11.875%, 07/15/15		1,882
	1,750	Speedway Motorsports, Inc., 6.750%, 02/01/19		1,662
	910	Vail Resorts, Inc., 6.500%, 05/01/19 (e)		910

				5,985

		Household Durables — 0.4%
	175	American Standard Americas, 10.750%, 01/15/16 (e)		142
		D.R. Horton, Inc.,
	1,225	5.625%, 01/15/16		1,216
	435	6.500%, 04/15/16		438
	2,500	K Hovnanian Enterprises, Inc., 10.625%, 10/15/16		2,231


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Household Durables — Continued
		KB Home,
	1,000	5.750%, 02/01/14		948
	615	5.875%, 01/15/15		530
	1,575	Lennar Corp., 6.950%, 06/01/18		1,431
	420	Newell Rubbermaid, Inc., 4.700%, 08/15/20		433
		Standard Pacific Corp.,
	1,050	8.375%, 05/15/18		922
	165	10.750%, 09/15/16		163

				8,454

		Leisure Equipment & Products — 0.0% (g)
	122	FGI Holding Co., Inc., PIK, 13.000%, 10/01/15		120

		Media — 1.3%
	125	Bresnan Broadband Holdings LLC, 8.000%, 12/15/18 (e)		126
		CBS Corp.,
	200	7.875%, 07/30/30		249
	160	8.875%, 05/15/19		207
	1,500	Clear Channel Communications, Inc., 9.000%, 03/01/21		1,208
		Clear Channel Worldwide Holdings, Inc.,
	360	9.250%, 12/15/17		382
	650	9.250%, 12/15/17		695
	240	Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22		352
	1,500	Comcast Cable Holdings LLC, 9.800%, 02/01/12		1,553
		Comcast Corp.,
	850	5.900%, 03/15/16		985
	240	6.300%, 11/15/17		286
		CSC Holdings LLC,
	900	7.625%, 07/15/18		945
	139	7.875%, 02/15/18		147
		Gannett Co., Inc.,
	270	6.375%, 09/01/15 (e)		270
	750	7.125%, 09/01/18 (e)		715
	500	8.750%, 11/15/14		536
	245	9.375%, 11/15/17		263
	1,000	Historic TW, Inc., 9.150%, 02/01/23		1,393
		Intelsat Jackson Holdings S.A., (Luxembourg),
	300	7.250%, 04/01/19 (e)		289
	700	7.250%, 10/15/20 (e)		672
	500	7.500%, 04/01/21 (e)		484
	475	8.500%, 11/01/19		493
	750	Lamar Media Corp., 6.625%, 08/15/15		744


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Media — Continued
	475	NAI Entertainment Holdings LLC, 8.250%, 12/15/17 (e)		480
	810	NBCUniversal Media LLC, 5.950%, 04/01/41		852
		News America, Inc.,
	600	6.750%, 01/09/38		652
	800	7.750%, 01/20/24		987
	200	7.850%, 03/01/39		236
	147	8.875%, 04/26/23		195
	900	Nielsen Finance LLC/Nielsen Finance Co., 7.750%, 10/15/18 (e)		929
	1,200	RadioShack Corp., 6.750%, 05/15/19 (e)		1,122
	865	Sinclair Television Group, Inc., 9.250%, 11/01/17 (e)		921
		Thomson Reuters Corp., (Canada),
	280	4.700%, 10/15/19		315
	410	5.950%, 07/15/13		445
	200	6.500%, 07/15/18		244
	335	Time Warner Cable, Inc., 7.300%, 07/01/38		397
		Time Warner Entertainment Co. LP,
	415	8.375%, 03/15/23		541
	1,445	8.375%, 07/15/33		1,859
	750	10.150%, 05/01/12		795
	600	Univision Communications, Inc., 6.875%, 05/15/19 (e)		555
	850	Valassis Communications, Inc., 6.625%, 02/01/21		805
	50	Viacom, Inc., 6.875%, 04/30/36		59
	500	Walt Disney Co. (The), 5.875%, 12/15/17		610
		WMG Acquisition Corp.,
	1,303	9.500%, 06/15/16		1,329
	600	11.500%, 10/01/18 (e)		546

				27,868

		Multiline Retail — 0.3%
	2,050	HSN, Inc., 11.250%, 08/01/16		2,255
		QVC, Inc.,
	75	7.125%, 04/15/17 (e)		78
	75	7.375%, 10/15/20 (e)		81
	2,050	7.500%, 10/01/19 (e)		2,209
	2,020	Sears Holdings Corp., 6.625%, 10/15/18 (e)		1,676
	310	Target Corp., 7.000%, 01/15/38		399

				6,698

		Specialty Retail — 0.6%
	3,170	ACE Hardware Corp., 9.125%, 06/01/16 (e)		3,329
	1,600	Ltd. Brands, Inc., 8.500%, 06/15/19		1,802
	951	Lowe’s Cos., Inc., 7.110%, 05/15/37		1,188


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Specialty Retail — Continued
	1,950	NBC Acquisition Corp., 11.000%, 03/15/13 (d)		39
		Nebraska Book Co., Inc.,
	1,039	8.625%, 03/15/12 (d)		634
	102	10.000%, 12/01/11		96
	600	Rent-A-Center, Inc., 6.625%, 11/15/20		576
	200	Staples, Inc., 9.750%, 01/15/14		234
	1,000	Toys R Us - Delaware, Inc., 7.375%, 09/01/16 (e)		970
	1,750	Toys R Us Property Co. II LLC, 8.500%, 12/01/17		1,785

				10,653

		Total Consumer Discretionary		103,263

		Consumer Staples — 1.8%
		Beverages — 0.5%
		Anheuser-Busch Cos., Inc.,
	325	5.500%, 01/15/18		379
	550	5.750%, 04/01/36		620
	280	7.550%, 10/01/30		380
		Anheuser-Busch InBev Worldwide, Inc.,
	160	6.875%, 11/15/19		205
	275	7.750%, 01/15/19		362
	528	Coca-Cola Refreshments USA, Inc., 8.500%, 02/01/12		545
		Constellation Brands, Inc.,
	330	7.250%, 09/01/16		351
	1,000	7.250%, 05/15/17		1,060
		Diageo Finance B.V., (Netherlands),
	575	5.300%, 10/28/15		658
	325	5.500%, 04/01/13		349
	1,000	Diageo Investment Corp., 7.450%, 04/15/35		1,325
		PepsiCo, Inc.,
	572	3.000%, 08/25/21		573
	800	3.750%, 03/01/14		858
	70	7.900%, 11/01/18		93
	150	Pernod-Ricard S.A., (France), 5.750%, 04/07/21 (e)		159
	1,235	SABMiller plc, (United Kingdom), 5.500%, 08/15/13 (e)		1,333

				9,250

		Food & Staples Retailing — 0.8%
		CVS Caremark Corp.,
	225	5.750%, 06/01/17		259
	555	6.125%, 09/15/39		608
	1,610	Ingles Markets, Inc., 8.875%, 05/15/17		1,675


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Food & Staples Retailing — Continued
		Kroger Co. (The),
	215	6.400%, 08/15/17		257
	712	7.500%, 04/01/31		906
	300	7.700%, 06/01/29		383
		Rite Aid Corp.,
	64	7.500%, 03/01/17		62
	1,500	8.000%, 08/15/20		1,575
	6,000	9.500%, 06/15/17		5,250
	2,000	SUPERVALU, Inc., 8.000%, 05/01/16		1,960
		Wal-Mart Stores, Inc.,
	1,500	3.625%, 07/08/20		1,560
	160	5.250%, 09/01/35		173
	1,000	6.200%, 04/15/38		1,205
	260	7.550%, 02/15/30		356

				16,229

		Food Products — 0.3%
		Bunge Ltd. Finance Corp.,
	370	5.875%, 05/15/13		390
	655	8.500%, 06/15/19		836
	148	Bunge N.A. Finance LP, 5.900%, 04/01/17		163
		Cargill, Inc.,
	200	6.000%, 11/27/17 (e)		238
	1,000	7.350%, 03/06/19 (e)		1,266
	135	ConAgra Foods, Inc., 7.000%, 04/15/19		158
	165	Eurofresh, Inc., 15.000%, 11/18/16 (f) (i)		145
	641	JBS USA LLC/JBS USA Finance, Inc., 11.625%, 05/01/14		711
		Kraft Foods, Inc.,
	810	6.125%, 02/01/18		958
	335	6.500%, 08/11/17		405
	575	6.875%, 02/01/38		685
	409	Smithfield Foods, Inc., 7.750%, 05/15/13		427

				6,382

		Household Products — 0.2%
	1,000	Kimberly-Clark Corp., 6.125%, 08/01/17		1,210
	783	Procter & Gamble - ESOP, 9.360%, 01/01/21		1,055
	1,750	Scotts Miracle-Gro Co. (The), 6.625%, 12/15/20 (e)		1,730
	567	Spectrum Brands Holdings, Inc., PIK, 12.000%, 08/28/19		614

				4,609

		Tobacco — 0.0% (g)
	250	Alliance One International, Inc., 10.000%, 07/15/16		226

		Total Consumer Staples		36,696


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Energy — 3.5%
		Energy Equipment & Services — 0.5%
	720	Baker Hughes, Inc., 5.125%, 09/15/40		765
	860	Cie Generale de Geophysique - Veritas, (France), 6.500%, 06/01/21 (e)		808
	70	Diamond Offshore Drilling, Inc., 5.875%, 05/01/19		82
	470	Exterran Holdings, Inc., 7.250%, 12/01/18 (e)		456
		Halliburton Co.,
	500	7.450%, 09/15/39		663
	700	8.750%, 02/15/21		986
	445	Key Energy Services, Inc., 6.750%, 03/01/21		436
	850	Oil States International, Inc., 6.500%, 06/01/19 (e)		850
	550	PHI, Inc., 8.625%, 10/15/18		549
		Precision Drilling Corp., (Canada),
	210	6.500%, 12/15/21 (e)		210
	360	6.625%, 11/15/20		364
	700	Seadrill Ltd., (Bermuda), 6.500%, 10/05/15		658
	1,600	Sevan Marine ASA, (Norway), VAR, 3.417%, 05/14/13 (e)		1,120
	2,110	Transocean, Inc., (Cayman Islands), 6.500%, 11/15/20		2,396
	280	Trinidad Drilling Ltd., (Canada), 7.875%, 01/15/19 (e)		286

				10,629

		Oil, Gas & Consumable Fuels — 3.0%
	175	Alberta Energy Co., Ltd., (Canada), 7.375%, 11/01/31		208
		Alpha Natural Resources, Inc.,
	475	6.000%, 06/01/19		464
	475	6.250%, 06/01/21		465
		AmeriGas Partners LP/AmeriGas Finance Corp.,
	1,315	6.250%, 08/20/19		1,279
	1,360	6.500%, 05/20/21		1,333
	278	Anadarko Holding Co., 7.150%, 05/15/28		314
		Anadarko Petroleum Corp.,
	350	6.950%, 06/15/19		415
	125	7.625%, 03/15/14		143
	100	7.950%, 06/15/39		126
	225	8.700%, 03/15/19		290
	775	Apache Corp., 6.900%, 09/15/18		982
		Arch Coal, Inc.,
	1,250	7.000%, 06/15/19 (e)		1,231
	190	7.250%, 10/01/20		187
	500	7.250%, 06/15/21 (e)		493


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
	1,500	Bill Barrett Corp., 9.875%, 07/15/16		1,646
		BP Capital Markets plc, (United Kingdom),
	1,835	3.875%, 03/10/15		1,956
	515	4.750%, 03/10/19		569
	325	5.250%, 11/07/13		351
	330	Canadian Natural Resources Ltd., (Canada), 6.250%, 03/15/38		384
		Chesapeake Energy Corp.,
	550	6.125%, 02/15/21		558
	520	6.500%, 08/15/17		542
	285	6.875%, 08/15/18		298
	250	9.500%, 02/15/15		283
	450	Citgo Petroleum Corp., 11.500%, 07/01/17 (e)		495
		Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp.,
	450	8.250%, 12/15/17		464
	500	8.500%, 12/15/19		511
		Comstock Resources, Inc.,
	400	7.750%, 04/01/19		400
	1,000	8.375%, 10/15/17		1,030
		Concho Resources, Inc.,
	545	6.500%, 01/15/22		548
	1,425	7.000%, 01/15/21		1,460
		ConocoPhillips,
	275	5.750%, 02/01/19		328
	750	6.500%, 02/01/39		947
	410	7.000%, 03/30/29		519
	425	Conoco Funding Co., (Canada), 7.250%, 10/15/31		558
	300	ConocoPhillips Holding Co., 6.950%, 04/15/29		383
		Consol Energy, Inc.,
	200	6.375%, 03/01/21 (e)		198
	300	8.000%, 04/01/17		319
	1,250	8.250%, 04/01/20		1,344
	160	Continental Resources, Inc., 7.125%, 04/01/21		165
	454	Denbury Resources, Inc., 8.250%, 02/15/20		478
	270	Devon Financing Corp. ULC, (Canada), 7.875%, 09/30/31		364
		El Paso Corp.,
	1,900	6.875%, 06/15/14		2,116
	150	7.000%, 06/15/17		167
	150	El Paso Pipeline Partners Operating Co. LLC, 6.500%, 04/01/20		170
		Encana Corp., (Canada),
	150	6.500%, 05/15/19		179
	215	6.625%, 08/15/37		238


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Oil, Gas & Consumable Fuels — Continued
	1,210	ENI S.p.A., (Italy), 5.700%, 10/01/40 (e)		1,189
		EOG Resources, Inc.,
	1,700	4.100%, 02/01/21		1,799
	200	6.875%, 10/01/18		248
	300	Ferrellgas LP/Ferrellgas Finance Corp., 6.500%, 05/01/21		269
	500	Forest Oil Corp., 7.250%, 06/15/19		495
		Frontier Oil Corp.,
	175	6.875%, 11/15/18		180
	1,000	8.500%, 09/15/16		1,055
		Hilcorp Energy I LP/Hilcorp Finance Co.,
	220	7.625%, 04/15/21 (e)		222
	1,370	8.000%, 02/15/20 (e)		1,425
		Holly Energy Partners LP/Holly Energy Finance Corp.,
	675	6.250%, 03/01/15		662
	150	8.250%, 03/15/18		155
	650	HollyFrontier Corp., 9.875%, 06/15/17		712
		Inergy LP/Inergy Finance Corp.,
	240	6.875%, 08/01/21 (e)		230
	550	7.000%, 10/01/18		535
		KazMunayGas National Co., (Kazakhstan),
	745	6.375%, 04/09/21 (e)		778
	200	Reg. S., 6.375%, 04/09/21		208
	260	Reg. S., 7.000%, 05/05/20		281
	220	Reg. S., 8.375%, 07/02/13		237
	410	Marathon Oil Corp., 6.000%, 10/01/17		475
	415	MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.750%, 11/01/20		425
		Newfield Exploration Co.,
	750	6.875%, 02/01/20		776
	890	7.125%, 05/15/18		926
		Pemex Project Funding Master Trust,
	258	5.750%, 03/01/18		286
	40	6.625%, 06/15/35		44
	57	6.625%, 06/15/35		63
	210	Penn Virginia Corp., 7.250%, 04/15/19		201
		Pertamina Persero PT, (Indonesia),
	200	5.250%, 05/23/21 (e)		208
	200	6.500%, 05/27/41 (e)		212
		Petro-Canada, (Canada),
	400	6.800%, 05/15/38		469
	335	7.875%, 06/15/26		429
	610	Petrohawk Energy Corp., 6.250%, 06/01/19 (e)		709
		Petroleos de Venezuela S.A., (Venezuela),
	245	4.900%, 10/28/14		181


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
	393	8.500%, 11/02/17 (e)		281
	55	Petroleos Mexicanos, (Mexico), 5.500%, 01/21/21 (e)		60
	125	Petronas Capital Ltd., (Malaysia), Reg. S., 5.250%, 08/12/19		140
		Pioneer Natural Resources Co.,
	150	6.650%, 03/15/17		162
	1,075	7.500%, 01/15/20		1,204
	115	Plains All American Pipelines LP, 6.500%, 05/01/18		132
		Plains Exploration & Production Co.,
	165	6.625%, 05/01/21		166
	150	7.625%, 04/01/20		156
	1,315	QEP Resources, Inc., 6.875%, 03/01/21		1,381
		Range Resources Corp.,
	375	5.750%, 06/01/21		377
	45	6.750%, 08/01/20		47
	25	7.250%, 05/01/18		27
	770	Regency Energy Partners LP/Regency Energy Finance Corp., 6.500%, 07/15/21		772
		Shell International Finance B.V., (Netherlands),
	1,030	1.875%, 03/25/13		1,051
	679	3.100%, 06/28/15		722
	500	4.300%, 09/22/19		553
	1,790	SM Energy Co., 6.625%, 02/15/19 (e)		1,790
	375	Southern Star Central Corp., 6.750%, 03/01/16		367
	435	Statoil ASA, (Norway), 7.150%, 11/15/25		556
	815	Suncor Energy, Inc., (Canada), 6.850%, 06/01/39		955
	1,000	Swift Energy Co., 7.125%, 06/01/17		990
	120	Talisman Energy, Inc., (Canada), 7.750%, 06/01/19		151
		Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
	400	6.875%, 02/01/21 (e)		396
	295	7.875%, 10/15/18		310
	640	Tosco Corp., 8.125%, 02/15/30		877
	1,900	Total Capital S.A., (France), 2.300%, 03/15/16		1,965
	165	Unit Corp., 6.625%, 05/15/21		162
		Western Refining, Inc.,
	1,282	11.250%, 06/15/17 (e)		1,404
	250	VAR, 10.750%, 06/15/14 (e)		264
	750	Whiting Petroleum Corp., 6.500%, 10/01/18		750

				62,150

		Total Energy		72,779


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Financials — 12.4%
		Capital Markets — 1.9%
		Bank of New York Mellon Corp. (The),
	525	2.950%, 06/18/15		546
	440	4.300%, 05/15/14		476
	530	4.600%, 01/15/20		579
	978	BlackRock, Inc., 5.000%, 12/10/19		1,079
	1,000	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		1,056
	750	Charles Schwab Corp. (The), 4.950%, 06/01/14		823
	1,690	Credit Suisse USA, Inc., 6.125%, 11/15/11		1,707
	1,000	FMR LLC, 4.750%, 03/01/13 (e)		1,043
		Goldman Sachs Group, Inc. (The),
	920	3.625%, 02/07/16		921
	326	3.700%, 08/01/15		329
	2,780	5.250%, 10/15/13		2,898
	1,191	5.250%, 07/27/21		1,208
	819	5.375%, 03/15/20		832
	450	5.750%, 10/01/16		492
	2,100	5.950%, 01/18/18		2,235
	127	6.000%, 06/15/20		135
	115	6.250%, 09/01/17		124
	965	6.750%, 10/01/37		916
	180	7.500%, 02/15/19		206
		Jefferies Group, Inc.,
	950	6.250%, 01/15/36		924
	140	6.450%, 06/08/27		140
	880	8.500%, 07/15/19		1,062
		Lehman Brothers Holdings, Inc.,
	235	3.600%, 03/13/09 (d)		58
	1,000	5.750%, 05/17/13 (d)		249
	950	6.500%, 07/19/17 (d)		1
	750	6.875%, 07/17/37 (d)		—	(h)
	295	8.500%, 08/01/15 (d)		75
		Macquarie Group Ltd., (Australia),
	639	6.250%, 01/14/21 (e)		621
	2,125	7.300%, 08/01/14 (e)		2,354
		Merrill Lynch & Co., Inc.,
	900	5.700%, 05/02/17		881
	500	6.400%, 08/28/17		512
	1,710	6.875%, 04/25/18		1,775
		Morgan Stanley,
	198	4.000%, 07/24/15		197
	505	4.200%, 11/20/14		506
	1,690	5.300%, 03/01/13		1,749


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Capital Markets — Continued
	243	5.500%, 07/24/20		238
	919	5.500%, 07/28/21		917
	810	5.625%, 01/09/12		821
	310	5.625%, 09/23/19		315
	150	6.000%, 05/13/14		158
	1,315	6.000%, 04/28/15		1,376
	320	6.250%, 08/28/17		339
	1,250	6.625%, 04/01/18		1,339
		Nomura Holdings, Inc., (Japan),
	500	5.000%, 03/04/15		527
	757	6.700%, 03/04/20		855
	740	Northern Trust Co. (The), 5.850%, 11/09/17		864
	113	Northern Trust Corp., 5.500%, 08/15/13		123
	200	State Street Corp., 4.300%, 05/30/14		216
		UBS AG, (Switzerland),
	305	2.250%, 08/12/13		308
	650	3.875%, 01/15/15		675
	900	5.750%, 04/25/18		959
	450	5.875%, 12/20/17		481

				39,220

		Commercial Banks — 3.7%
	705	ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e)		713
	190	Banco del Estado de Chile, (Chile), Reg. S., 4.125%, 10/07/20		191
		Bank of America Corp.,
	735	3.125%, 06/15/12		751
	500	5.625%, 07/01/20		507
	695	5.650%, 05/01/18		709
	1,500	6.975%, 03/07/37		1,425
	1,005	7.375%, 05/15/14		1,100
	500	7.800%, 09/15/16		543
	2,000	VAR, 8.000%, 01/30/18 (x)		1,891
		Bank of Nova Scotia, (Canada),
	1,082	1.650%, 10/29/15 (e)		1,096
	614	3.400%, 01/22/15		652
	679	Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e)		722
		Barclays Bank plc, (United Kingdom),
	1,615	2.500%, 01/23/13		1,617
	1,280	5.125%, 01/08/20		1,289
	980	6.050%, 12/04/17 (e)		970
	305	6.750%, 05/22/19		335
	125	VAR, 5.926%, 12/15/16 (e) (x)		103
	575	VAR, 7.434%, 12/15/17 (e) (x)		517


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Commercial Banks — Continued
		BB&T Corp.,
	500	3.850%, 07/27/12		514
	1,250	3.950%, 04/29/16		1,333
	500	4.900%, 06/30/17		535
	150	6.850%, 04/30/19		179
	1,750	Branch Banking & Trust Co., 4.875%, 01/15/13		1,801
	2,250	Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e)		2,358
	1,225	Capital One Capital V, 10.250%, 08/15/39		1,272
	500	Capital One Capital VI, 8.875%, 05/15/40		507
		Capital One Financial Corp.,
	500	6.250%, 11/15/13		542
	485	6.750%, 09/15/17		554
	690	7.375%, 05/23/14		777
	1,045	Comerica Bank, 5.200%, 08/22/17		1,151
	185	Comerica, Inc., 3.000%, 09/16/15		189
		Cooperative Centrale Raiffeisen-Boerenleenbank B.A., (Netherlands),
	2,150	3.200%, 03/11/15 (e)		2,260
	1,045	4.500%, 01/11/21		1,121
	400	Countrywide Capital III, 8.050%, 06/15/27		400
	2,660	Credit Suisse, (Switzerland), 5.500%, 05/01/14		2,868
		Deutsche Bank AG, (Germany),
	1,475	2.375%, 01/11/13		1,475
	375	3.875%, 08/18/14		390
	250	Deutsche Bank Trust Corp., 7.250%, 10/15/11		252
		DnB NOR Boligkreditt,
	674	(Norway), 2.100%, 10/14/15 (e)		689
	500	Fifth Third Bancorp, 5.450%, 01/15/17		542
	395	HSBC Bank, 6.000%, 08/09/17		426
		HSBC Bank plc, (United Kingdom),
	728	1.625%, 07/07/14 (e)		737
	927	4.125%, 08/12/20 (e)		929
	650	4.750%, 01/19/21 (e)		674
	700	KeyBank N.A., 5.700%, 08/15/12		727
	725	KeyCorp, 6.500%, 05/14/13		779
	1,250	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		1,470
		National Australia Bank Ltd., (Australia),
	3,010	2.500%, 01/08/13 (e)		3,052
	255	3.750%, 03/02/15 (e)		268
	1,420	National Bank of Canada, (Canada), 1.650%, 01/30/14 (e)		1,449
	1,500	National City Bank, 4.625%, 05/01/13		1,574


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Commercial Banks — Continued
	500	NB Capital Trust II, 7.830%, 12/15/26		490
	886	Nordea Bank AB, (Sweden), 4.875%, 05/13/21 (e)		809
		PNC Funding Corp.,
	1,115	3.000%, 05/19/14		1,165
	1,057	4.375%, 08/11/20		1,119
	625	5.250%, 11/15/15		684
	625	5.625%, 02/01/17		696
	1,200	Royal Bank of Canada, (Canada), 2.300%, 07/20/16		1,217
		RSHB Capital S.A. for OJSC Russian Agricultural Bank, (Luxembourg),
	195	Reg. S., 7.175%, 05/16/13		206
	300	Reg. S., 9.000%, 06/11/14		335
	225	Standard Chartered plc, (United Kingdom), 5.500%, 11/18/14 (e)		245
	2,500	SunTrust Banks, Inc., 6.000%, 02/15/26		2,619
	2,500	Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e)		2,585
	2,000	U.S. Bancorp, 7.500%, 06/01/26		2,610
	500	UnionBanCal Corp., 5.250%, 12/16/13		539
		Wachovia Bank N.A.,
	2,110	5.600%, 03/15/16		2,320
	750	6.000%, 11/15/17		844
	750	6.600%, 01/15/38		856
	1,995	Wachovia Capital Trust III, VAR, 5.570%, 10/03/11 (x)		1,746
		Wachovia Corp.,
	760	5.500%, 05/01/13		813
	1,555	5.750%, 02/01/18		1,779
	515	SUB, 7.574%, 08/01/26		618
		Wells Fargo & Co.,
	1,025	3.676%, 06/15/16		1,084
	1,665	5.625%, 12/11/17		1,909
		Westpac Banking Corp., (Australia),
	670	4.200%, 02/27/15		712
	942	4.875%, 11/19/19		991

				77,916

		Consumer Finance — 0.9%
		Ally Financial, Inc.,
	1,500	6.250%, 12/01/17		1,443
	2,025	8.000%, 11/01/31		1,979
	475	American Express Co., 7.250%, 05/20/14		542
		American Express Credit Corp.,
	2,225	5.875%, 05/02/13		2,377


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Consumer Finance — Continued
	1,100	7.300%, 08/20/13		1,215
		American Honda Finance Corp.,
	375	2.375%, 03/18/13 (e)		382
	810	4.625%, 04/02/13 (e)		853
	835	7.625%, 10/01/18 (e)		1,071
		Ford Motor Credit Co. LLC,
	325	5.750%, 02/01/21		324
	125	6.625%, 08/15/17		131
	3,000	8.125%, 01/15/20		3,353
		HSBC Finance Corp.,
	1,000	5.000%, 06/30/15		1,057
	500	6.375%, 11/27/12		525
	400	7.350%, 11/27/32		399
		John Deere Capital Corp.,
	230	5.250%, 10/01/12		242
	515	5.350%, 04/03/18		603
		Springleaf Finance Corp.,
	350	VAR, 0.497%, 12/15/11		341
	1,750	6.900%, 12/15/17		1,479
	670	Toyota Motor Credit Corp., 3.200%, 06/17/15		708
	662	Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e)		669

				19,693

		Diversified Financial Services — 2.7%
	2,465	ACE Cash Express, Inc., 11.000%, 02/01/19 (e)		2,323
	1,000	BA Covered Bond Issuer, 5.500%, 06/14/12 (e)		1,031
		Block Financial LLC,
	500	5.125%, 10/30/14		517
	500	7.875%, 01/15/13		524
	3,000	Capmark Financial Group, Inc., 3.158%, 05/10/10 (d)		1,643
	852	Cardtronics, Inc., 8.250%, 09/01/18		895
		Caterpillar Financial Services Corp.,
	800	1.550%, 12/20/13		811
	850	5.450%, 04/15/18		995
		CIT Group, Inc.,
	155	6.625%, 04/01/18 (e)		155
	3,600	7.000%, 05/02/17 (e)		3,555
		Citigroup, Inc.,
	1,117	4.587%, 12/15/15		1,160
	291	5.375%, 08/09/20		309
	1,550	5.500%, 02/15/17		1,579
	510	6.000%, 12/13/13		540


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Diversified Financial Services — Continued
	1,350	6.000%, 08/15/17		1,464
	865	6.010%, 01/15/15		929
	260	6.375%, 08/12/14		284
	645	6.875%, 06/01/25		722
	1,115	7.000%, 12/01/25		1,241
	1,260	8.500%, 05/22/19		1,540
		CME Group, Inc.,
	1,500	5.400%, 08/01/13		1,613
	200	5.750%, 02/15/14		221
	1,000	CNG Holdings, Inc., 13.750%, 08/15/15 (e)		1,065
		Deluxe Corp.,
	1,000	7.000%, 03/15/19 (e)		988
	1,075	7.375%, 06/01/15		1,083
		FUEL Trust,
	505	3.984%, 06/15/16 (e)		504
	639	4.207%, 04/15/16 (e)		642
		General Electric Capital Corp.,
	294	5.300%, 02/11/21		313
	1,115	5.625%, 05/01/18		1,236
	5,760	5.875%, 02/15/12		5,894
	3,370	5.875%, 01/14/38		3,434
	130	5.900%, 05/13/14		144
	1,000	6.000%, 06/15/12		1,041
	1,100	6.750%, 03/15/32		1,237
	145	6.875%, 01/10/39		167
	2,205	GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e)		2,249
	1,400	ILFC E-Capital Trust I, VAR, 5.740%, 12/21/65 (e)		1,012
	600	ILFC E-Capital Trust II, VAR, 6.250%, 12/21/65 (e)		468
		International Lease Finance Corp.,
	845	8.250%, 12/15/20		860
	320	8.625%, 09/15/15		326
	1,820	8.750%, 03/15/17		1,870
	600	8.875%, 09/01/17		614
		National Rural Utilities Cooperative Finance Corp.,
	385	4.750%, 03/01/14		421
	334	7.250%, 03/01/12		345
	170	10.375%, 11/01/18		243
	2,450	SquareTwo Financial Corp., 11.625%, 04/01/17		2,413
	505	Textron Financial Corp., 5.400%, 04/28/13		528
	180	Ukreximbank Via Biz Finance plc, (United Kingdom), Reg. S., 8.375%, 04/27/15		180


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Diversified Financial Services — Continued
	1,510	UPCB Finance III Ltd., (Cayman Islands), 6.625%, 07/01/20 (e)		1,487
	100	Xstrata Finance Canada Ltd., (Canada), 6.900%, 11/15/37 (e)		102

				54,917

		FDIC Guaranteed Securities (~) — 0.1%
	735	Citigroup, Inc., 2.875%, 12/09/11		740
	750	Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12		768

				1,508

		Insurance — 2.0%
	1,310	ACE INA Holdings, Inc., 5.600%, 05/15/15		1,444
	558	Aflac, Inc., 6.450%, 08/15/40		546
	190	Allstate Corp. (The), 7.450%, 05/16/19		231
	1,132	Allstate Life Global Funding Trusts, 5.375%, 04/30/13		1,209
		American International Group, Inc.,
	435	5.600%, 10/18/16		450
	2,785	VAR, 8.175%, 05/15/58		2,765
		AON Corp.,
	191	3.500%, 09/30/15		198
	240	6.250%, 09/30/40		265
		Berkshire Hathaway Finance Corp.,
	1,000	5.400%, 05/15/18		1,143
	500	5.750%, 01/15/40		539
	975	Catlin Insurance Co., Ltd., (Bermuda), VAR, 7.249%, 01/19/17 (e) (x)		873
	315	Chubb Corp., 5.750%, 05/15/18		368
	642	CNA Financial Corp., 5.875%, 08/15/20		670
	2,725	Hartford Financial Services Group, Inc., VAR, 8.125%, 06/15/38		2,752
	2,000	HUB International Holdings, Inc., 10.250%, 06/15/15 (e)		1,895
	1,950	Jackson National Life Global Funding, 5.375%, 05/08/13 (e)		2,074
		Liberty Mutual Group, Inc.,
	2,025	7.800%, 03/15/37 (e)		1,903
	1,700	VAR, 10.750%, 06/15/58 (e)		2,091
		MassMutual Global Funding II,
	382	2.300%, 09/28/15 (e)		386
	600	3.625%, 07/16/12 (e)		614
	160	MetLife, Inc., 6.750%, 06/01/16		188
		Metropolitan Life Global Funding I,
	400	3.650%, 06/14/18 (e)		409
	190	5.125%, 04/10/13 (e)		201


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Insurance — Continued
	875	5.200%, 09/18/13 (e)		944
	315	Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e)		334
		Nationwide Mutual Insurance Co.,
	1,465	7.875%, 04/01/33 (e)		1,536
	1,720	9.375%, 08/15/39 (e)		2,032
		New York Life Global Funding,
	250	3.000%, 05/04/15 (e)		263
	1,680	4.650%, 05/09/13 (e)		1,785
		Pacific Life Global Funding,
	400	5.000%, 05/15/17 (e)		431
	770	5.150%, 04/15/13 (e)		812
	1,000	Pacific Life Insurance Co., 9.250%, 06/15/39 (e)		1,323
	800	Pricoa Global Funding I, 5.450%, 06/11/14 (e)		880
	175	Principal Financial Group, Inc., 8.875%, 05/15/19		231
	300	Principal Life Global Funding I, 5.250%, 01/15/13 (e)		317
		Principal Life Income Funding Trusts,
	1,165	5.300%, 12/14/12		1,227
	1,025	5.300%, 04/24/13		1,094
	205	Prudential Financial, Inc., 7.375%, 06/15/19		245
	405	Travelers Cos., Inc. (The), 5.800%, 05/15/18		466
	2,550	Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e)		2,817
	700	Travelers Property Casualty Corp., 7.750%, 04/15/26		927
	200	XL Group plc, (Ireland), VAR, 6.500%, 04/15/17 (x)		177

				41,055

		Real Estate Investment Trusts (REITs) — 0.9%
	405	CB Richard Ellis Services, Inc., 6.625%, 10/15/20		396
	1,015	CNL Lifestyle Properties, Inc., 7.250%, 04/15/19		878
		CommonWealth REIT,
	1,865	5.875%, 09/15/20		1,936
	375	6.250%, 08/15/16		410
	300	6.650%, 01/15/18		338
	820	Developers Diversified Realty Corp., 7.875%, 09/01/20		912
	500	DuPont Fabros Technology LP, 8.500%, 12/15/17		528
	2,300	First Industrial LP, 6.420%, 06/01/14		2,394
	500	HCP, Inc., 5.375%, 02/01/21		509


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Real Estate Investment Trusts (REITs) — Continued
		Host Hotels & Resorts LP,
	2,350	6.000%, 11/01/20		2,285
	750	6.875%, 11/01/14		766
	3,000	Rouse Co. LP (The), 5.375%, 11/26/13		2,989
		Simon Property Group LP,
	340	5.625%, 08/15/14		380
	492	5.650%, 02/01/20		541
	915	6.100%, 05/01/16		1,039
	675	6.125%, 05/30/18		760
	310	6.750%, 05/15/14		352
	1,341	WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e)		1,520

				18,933

		Real Estate Management & Development — 0.0% (g)
	335	Kennedy-Wilson, Inc., 8.750%, 04/01/19 (e)		320

		Thrifts & Mortgage Finance — 0.2%
	525	Countrywide Financial Corp., 6.250%, 05/15/16		530
	3,065	Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e)		3,099

				3,629

		Total Financials		257,191

		Health Care — 2.0%
		Biotechnology — 0.1%
		Amgen, Inc.,
	289	5.650%, 06/15/42		316
	150	5.700%, 02/01/19		177
	618	5.750%, 03/15/40		686
	300	6.375%, 06/01/37		360
	130	6.900%, 06/01/38		167
	1,250	Bio-Rad Laboratories, Inc., 8.000%, 09/15/16		1,366

				3,072

		Health Care Equipment & Supplies — 0.2%
		Baxter International, Inc.,
	250	4.000%, 03/01/14		269
	550	4.625%, 03/15/15		610
		Becton Dickinson and Co.,
	100	5.000%, 05/15/19		114
	400	6.000%, 05/15/39		486
	2,200	Teleflex, Inc., 6.875%, 06/01/19		2,183

				3,662

		Health Care Providers & Services — 0.9%
	115	Capella Healthcare, Inc., 9.250%, 07/01/17 (e)		112


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Health Care Providers & Services — Continued
	400	CHS/Community Health Systems, Inc., 8.875%, 07/15/15		406
		DaVita, Inc.,
	600	6.375%, 11/01/18		589
	600	6.625%, 11/01/20		588
		Fresenius Medical Care U.S. Finance, Inc.,
	500	5.750%, 02/15/21 (e)		480
	1,000	6.875%, 07/15/17		1,042
		HCA, Inc.,
	1,260	6.500%, 02/15/20		1,274
	750	7.250%, 09/15/20		771
	200	8.500%, 04/15/19		218
	2,028	Health Management Associates, Inc., 6.125%, 04/15/16		1,977
	800	LifePoint Hospitals, Inc., 6.625%, 10/01/20		780
	305	Medco Health Solutions, Inc., 2.750%, 09/15/15		312
	1,555	Omega Healthcare Investors, Inc., 6.750%, 10/15/22		1,493
		Omnicare, Inc.,
	30	6.875%, 12/15/15		31
	3,600	7.750%, 06/01/20		3,672
		Roche Holdings, Inc.,
	635	5.000%, 03/01/14 (e)		698
	1,220	6.000%, 03/01/19 (e)		1,471
	1,395	Tenet Healthcare Corp., 8.875%, 07/01/19		1,479
	250	Ventas Realty LP/Ventas Capital Corp., 6.500%, 06/01/16		258
	1,550	WellPoint, Inc., 6.800%, 08/01/12		1,631

				19,282

		Pharmaceuticals — 0.8%
	400	Abbott Laboratories, 6.150%, 11/30/37		492
	504	AstraZeneca plc, (United Kingdom), 5.400%, 09/15/12		529
	910	Elan Finance plc/Elan Finance Corp., (Ireland), 8.750%, 10/15/16		942
		Endo Pharmaceuticals Holdings, Inc.,
	450	7.000%, 07/15/19 (e)		456
	600	7.250%, 01/15/22 (e)		612
	200	Giant Funding Corp., 8.250%, 02/01/18 (e)		200
	920	GlaxoSmithKline Capital, Inc., 6.375%, 05/15/38		1,144
	1,000	Merck & Co., Inc., 6.550%, 09/15/37		1,295
		Mylan, Inc.,
	1,125	7.625%, 07/15/17 (e)		1,201
	899	7.875%, 07/15/20 (e)		962


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Pharmaceuticals — Continued
		Novartis Capital Corp.,
	435	4.125%, 02/10/14		470
	335	4.400%, 04/24/20		371
	250	Pfizer, Inc., 6.200%, 03/15/19		307
		Valeant Pharmaceuticals International,
	1,500	6.500%, 07/15/16 (e)		1,425
	250	6.750%, 10/01/17 (e)		233
	900	6.875%, 12/01/18 (e)		828
	1,145	7.000%, 10/01/20 (e)		1,036
		Wyeth,
	2,350	5.500%, 02/01/14		2,603
	555	5.500%, 02/15/16		640

				15,746

		Total Health Care		41,762

		Industrials — 3.7%
		Aerospace & Defense — 0.6%
	400	Alliant Techsystems, Inc., 6.875%, 09/15/20		399
		BAE Systems Holdings, Inc.,
	850	5.200%, 08/15/15 (e)		936
	145	6.375%, 06/01/19 (e)		170
	725	BE Aerospace, Inc., 6.875%, 10/01/20		743
	1,772	Colt Defense LLC/Colt Finance Corp., 8.750%, 11/15/17		1,143
		Esterline Technologies Corp.,
	1,000	6.625%, 03/01/17		1,015
	250	7.000%, 08/01/20		261
	167	Hexcel Corp., 6.750%, 02/01/15		170
		Huntington Ingalls Industries, Inc.,
	515	6.875%, 03/15/18 (e)		484
	780	7.125%, 03/15/21 (e)		733
	250	ITT Corp., 6.125%, 05/01/19		311
	910	Kratos Defense & Security Solutions, Inc., 10.000%, 06/01/17		935
	952	Lockheed Martin Corp., 5.720%, 06/01/40		1,042
	1,900	McDonnell Douglas Corp., 9.750%, 04/01/12		1,993
	750	Moog, Inc., 6.250%, 01/15/15		752
	643	Spirit Aerosystems, Inc., 6.750%, 12/15/20		641
		Triumph Group, Inc.,
	232	8.000%, 11/15/17		240
	575	8.625%, 07/15/18		612
	735	United Technologies Corp., 6.125%, 02/01/19		912

				13,492

		Air Freight & Logistics — 0.1%
	1,000	Federal Express Corp., 9.650%, 06/15/12		1,066


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Airlines — 0.4%
	235	American Airlines Pass Through Trust 2009-1A, 10.375%, 07/02/19		256
	2,202	Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18		2,180
	681	Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19		708
	364	Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21		376
	1,138	Continental Airlines 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e)		1,059
		Delta Air Lines, Inc.,
	72	8.021%, 08/10/22		72
	70	8.954%, 08/10/14		71
	44	9.500%, 09/15/14 (e)		45
	417	9.750%, 12/17/16		428
	610	10.000%, 12/05/14 (d) (e) (f) (i)		152
	1,214	Northwest Airlines, Inc., 7.027%, 11/01/19		1,214
	1,331	UAL 2007-1 Pass-Through Trust, 7.336%, 07/02/19		1,198
	227	UAL 2009-1 Pass-Through Trust, 10.400%, 11/01/16		249

				8,008

		Building Products — 0.3%
		Building Materials Corp. of America,
	2,235	6.750%, 05/01/21 (e)		2,140
	750	6.875%, 08/15/18 (e)		735
	700	7.000%, 02/15/20 (e)		700
		Masco Corp.,
	1,000	6.125%, 10/03/16		980
	2,500	7.125%, 03/15/20		2,446

				7,001

		Commercial Services & Supplies — 0.5%
	875	Aircastle Ltd., (Bermuda), 9.750%, 08/01/18		921
	990	Clean Harbors, Inc., 7.625%, 08/15/16		1,047
		Corrections Corp. of America,
	572	6.250%, 03/15/13		573
	1,050	6.750%, 01/31/14		1,058
		FTI Consulting, Inc.,
	290	6.750%, 10/01/20		286
	1,750	7.750%, 10/01/16		1,781
	271	Garda World Security Corp., (Canada), 9.750%, 03/15/17 (e)		278
	818	Geo Group, Inc. (The), 7.750%, 10/15/17		859
	1,673	Pitney Bowes, Inc., 5.250%, 01/15/37		1,752


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Commercial Services & Supplies — Continued
		Power Sector Assets & Liabilities Management Corp., (Philippines),
	130	7.250%, 05/27/19 (e)		157
	100	7.390%, 12/02/24 (e)		122
		Quebecor World Capital Corp., (Canada),
	1,145	6.125%, 11/15/13 (d)		25
	1,160	6.500%, 08/01/27 (d)		25
	265	9.750%, 01/15/15 (d)		6
		R.R. Donnelley & Sons Co.,
	300	7.250%, 05/15/18		274
	1,500	7.625%, 06/15/20		1,388

				10,552

		Construction & Engineering — 0.3%
	1,450	Dycom Investments, Inc., 7.125%, 01/15/21		1,435
	1,150	New Enterprise Stone & Lime Co., 11.000%, 09/01/18 (e)		1,018
	158	RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/14		158
	2,475	Tutor Perini Corp., 7.625%, 11/01/18		2,178
		United Rentals North America, Inc.,
	650	9.250%, 12/15/19		678
	100	10.875%, 06/15/16		109

				5,576

		Electrical Equipment — 0.0% (g)
		Belden, Inc.,
	500	7.000%, 03/15/17		500
	250	9.250%, 06/15/19		265
	185	International Wire Group Holdings, Inc., 9.750%, 04/15/15 (e)		189

				954

		Industrial Conglomerates — 0.2%
	459	Danaher Corp., 3.900%, 06/23/21		488
	215	Koninklijke Philips Electronics N.V., (Netherlands), 7.200%, 06/01/26		269
		Siemens Financieringsmaatschappij N.V., (Netherlands),
	1,830	5.750%, 10/17/16 (e)		2,143
	300	6.125%, 08/17/26 (e)		355

				3,255

		Machinery — 0.4%
	310	Altra Holdings, Inc., 8.125%, 12/01/16		320
	500	Boart Longyear Management Pty Ltd., (Australia), 7.000%, 04/01/21 (e)		496
	3,000	Briggs & Stratton Corp., 6.875%, 12/15/20		3,008


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Machinery — Continued
	640	Caterpillar, Inc., 5.200%, 05/27/41		687
	550	Eaton Corp., 5.600%, 05/15/18		647
	740	Griffon Corp., 7.125%, 04/01/18		699
	210	Ingersoll-Rand Co., (Bermuda), 7.200%, 06/01/25		244
	110	PACCAR, Inc., 6.375%, 02/15/12		113
	440	Parker Hannifin Corp., 6.250%, 05/15/38		544
		SPX Corp.,
	1,500	6.875%, 09/01/17		1,564
	250	7.625%, 12/15/14		269
	320	Titan International, Inc., 7.875%, 10/01/17		336

				8,927

		Marine — 0.3%
	1,700	Bluewater Holding B.V., (Netherlands), VAR, 3.250%, 07/17/14 (e)		1,275
	3,290	CMA CGM S.A., (France), 8.500%, 04/15/17 (e)		1,497
	832	General Maritime Corp., 12.000%, 11/15/17		437
	174	Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc., 8.625%, 11/01/17 (e)		145
	1,250	Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17		1,156
	750	Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14		733

				5,243

		Road & Rail — 0.6%
	1,300	Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 9.625%, 03/15/18		1,329
	634	Burlington Northern and Santa Fe Railway Co. 2000 Pass-Through Trust, 7.908%, 01/15/20		743
		Burlington Northern Santa Fe LLC,
	220	5.650%, 05/01/17		256
	1,150	6.700%, 08/01/28		1,395
	927	Canadian National Railway Co., (Canada), 6.375%, 11/15/37		1,143
		Canadian Pacific Railway Co., (Canada),
	165	7.250%, 05/15/19		207
	280	9.450%, 08/01/21		408
	1,075	CSX Corp., 7.375%, 02/01/19		1,356
		Erac USA Finance LLC,
	250	6.375%, 10/15/17 (e)		296
	800	6.700%, 06/01/34 (e)		893
		Kansas City Southern de Mexico S.A. de C.V., (Mexico),
	170	6.125%, 06/15/21 (e)		170


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Road & Rail — Continued
	375	6.625%, 12/15/20 (e)		390
	595	Norfolk Southern Corp., 6.000%, 05/23/11		640
	1,683	RailAmerica, Inc., 9.250%, 07/01/17		1,818
	576	Ryder System, Inc., 3.600%, 03/01/16		598
	341	Union Pacific Corp., 4.163%, 07/15/22 (e)		362
	235	United Parcel Service of America, Inc., SUB, 8.375%, 04/01/30		335

				12,339

		Transportation Services — 0.0% (g)
	750	Wabtec Corp., 6.875%, 07/31/13		799

		Total Industrials		77,212

		Information Technology — 1.5%
		Communications Equipment — 0.1%
	540	Brightstar Corp., 9.500%, 12/01/16 (e)		556
		Cisco Systems, Inc.,
	500	5.500%, 01/15/40		545
	375	5.900%, 02/15/39		425
		EH Holding Corp.,
	500	6.500%, 06/15/19 (e)		500
	150	7.625%, 06/15/21 (e)		149
	135	Nokia OYJ, (Finland), 5.375%, 05/15/19		135

				2,310

		Computers & Peripherals — 0.5%
		Dell, Inc.,
	981	3.100%, 04/01/16		1,025
	1,000	7.100%, 04/15/28		1,208
		Hewlett-Packard Co.,
	80	2.950%, 08/15/12		81
	1,113	4.300%, 06/01/21		1,156
	500	5.400%, 03/01/17		568
	250	5.500%, 03/01/18		286
		International Business Machines Corp.,
	744	1.950%, 07/22/16		755
	770	5.875%, 11/29/32		917
	650	7.000%, 10/30/25		873
		Seagate HDD Cayman, (Cayman Islands),
	230	6.875%, 05/01/20		220
	2,000	7.750%, 12/15/18 (e)		1,985
	1,000	Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16		1,015

				10,089


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	250	6.000%, 04/01/20		271
	769	6.875%, 07/01/13		828
	100	7.500%, 01/15/27		115
	50	Intcomex, Inc., 13.250%, 12/15/14		49
	750	Sanmina-SCI Corp., VAR, 2.997%, 06/15/14 (e)		724

				1,987

		Internet Software & Services — 0.1%
	500	eAccess Ltd., (Japan), 8.250%, 04/01/18 (e)		482
		Equinix, Inc.,
	480	7.000%, 07/15/21		487
	225	8.125%, 03/01/18		239

				1,208

		IT Services — 0.2%
	106	Fidelity National Information Services, Inc., 7.625%, 07/15/17		110
		First Data Corp.,
	600	8.875%, 08/15/20 (e)		594
	670	12.625%, 01/15/21 (e)		633
	900	HP Enterprise Services LLC, 6.000%, 08/01/13		979
	875	iGate Corp., 9.000%, 05/01/16 (e)		827
	3,860	Sitel LLC/Sitel Finance Corp., 11.500%, 04/01/18		3,281

				6,424

		Semiconductors & Semiconductor Equipment — 0.3%
		Advanced Micro Devices, Inc.,
	500	7.750%, 08/01/20		508
	415	8.125%, 12/15/17		426
	1,280	Amkor Technology, Inc., 7.375%, 05/01/18		1,290
	310	MEMC Electronic Materials, Inc., 7.750%, 04/01/19 (e)		272
		National Semiconductor Corp.,
	575	3.950%, 04/15/15		624
	475	6.600%, 06/15/17		580
	326	NXP B.V./NXP Funding LLC, (Netherlands), VAR, 2.999%, 10/15/13		316
	150	STATS ChipPAC Ltd., (Singapore), 7.500%, 08/12/15 (e)		158
	1,400	Texas Instruments, Inc., 2.375%, 05/16/16		1,445

				5,619


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Software — 0.2%
	275	Audatex North America, Inc., 6.750%, 06/15/18 (e)		270
	115	Intuit, Inc., 5.750%, 03/15/17		132
	595	Microsoft Corp., 4.500%, 10/01/40		604
		Oracle Corp.,
	1,000	5.250%, 01/15/16		1,150
	241	5.375%, 07/15/40 (e)		265
	1,030	6.500%, 04/15/38		1,282

				3,703

		Total Information Technology		31,340

		Materials — 3.1%
		Chemicals — 0.7%
	275	Celanese US Holdings LLC, 6.625%, 10/15/18		292
		CF Industries, Inc.,
	300	6.875%, 05/01/18		340
	340	7.125%, 05/01/20		389
	885	Chemtura Corp., 7.875%, 09/01/18		909
	242	Dow Chemical Co. (The), 4.250%, 11/15/20		247
		EI du Pont de Nemours & Co.,
	721	1.950%, 01/15/16		735
	410	3.250%, 01/15/15		437
	1,175	4.900%, 01/15/41		1,208
	130	5.000%, 07/15/13		140
		Lyondell Chemical Co.,
	505	8.000%, 11/01/17 (e)		559
	1,537	11.000%, 05/01/18		1,716
	525	Monsanto Co., 7.375%, 08/15/12		557
	775	PolyOne Corp., 7.375%, 09/15/20		798
	450	Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13		476
	200	PPG Industries, Inc., 9.000%, 05/01/21		277
		Praxair, Inc.,
	1,535	4.625%, 03/30/15		1,705
	375	5.200%, 03/15/17		438
	650	5.250%, 11/15/14		734
	200	Rhodia S.A., (France), 6.875%, 09/15/20 (e)		234
	1,305	Union Carbide Corp., 7.750%, 10/01/96		1,440

				13,631

		Construction Materials — 0.1%
	75	Hanson Ltd., (United Kingdom), 6.125%, 08/15/16		77
		Vulcan Materials Co.,
	455	6.500%, 12/01/16		445


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Construction Materials — Continued
	410	7.500%, 06/15/21		404

				926

		Containers & Packaging — 0.5%
	900	Ardagh Packaging Finance plc, (Ireland), 7.375%, 10/15/17 (e)		887
		Ball Corp.,
	1,465	5.750%, 05/15/21		1,454
	1,500	6.750%, 09/15/20		1,575
	125	7.125%, 09/01/16		134
	125	7.375%, 09/01/19		136
	642	Constar International, Inc., 11.000%, 02/15/12 (f) (i)		642
	725	Crown Americas LLC/Crown Americas Capital Corp III, 6.250%, 02/01/21 (e)		729
	675	Owens-Brockway Glass Container, Inc., 7.375%, 05/15/16		705
		Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC,
	1,000	6.875%, 02/15/21 (e)		930
	1,975	7.125%, 04/15/19 (e)		1,871
	700	8.500%, 10/15/16 (e)		716
	500	Sealed Air Corp., 7.875%, 06/15/17		526
	700	Silgan Holdings, Inc., 7.250%, 08/15/16		731

				11,036

		Metals & Mining — 0.7%
	875	AK Steel Corp., 7.625%, 05/15/20		805
	925	APERAM, (Luxembourg), 7.750%, 04/01/18 (e)		855
	106	Arch Western Finance LLC, 6.750%, 07/01/13		106
		BHP Billiton Finance USA Ltd., (Australia),
	570	4.800%, 04/15/13		607
	575	5.400%, 03/29/17		669
	1,110	5.500%, 04/01/14		1,236
	120	6.500%, 04/01/19		148
	230	Corp. Nacional del Cobre de Chile, (Chile), Reg. S., 7.500%, 01/15/19		293
	1,500	Edgen Murray Corp., 12.250%, 01/15/15		1,429
		FMG Resources August 2006 Pty Ltd., (Australia),
	1,875	6.875%, 02/01/18 (e)		1,856
	150	7.000%, 11/01/15 (e)		150
	1,510	Nucor Corp., 6.400%, 12/01/37		1,819
	538	Rio Tinto Finance USA Ltd., (Australia), 3.500%, 11/02/20		535
	270	Severstal Columbus LLC, 10.250%, 02/15/18		279


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Metals & Mining — Continued
		Steel Dynamics, Inc.,
	1,500	6.750%, 04/01/15		1,504
	10	7.750%, 04/15/16		10
		United States Steel Corp.,
	474	6.050%, 06/01/17		454
	280	7.000%, 02/01/18		269
	1,000	7.375%, 04/01/20		947
	225	Wolverine Tube, Inc., 6.000%, 06/28/14 (f) (i)		225

				14,196

		Paper & Forest Products — 1.1%
	710	AbitibiBowater, Inc., 10.250%, 10/15/18 (e)		746
		Abitibi-Consolidated Co. of Canada, (Canada),
	14,926	6.000%, 06/20/13 (d)		37
	7,648	8.375%, 04/01/15 (d)		19
		Abitibi-Consolidated, Inc., (Canada),
	1,199	7.500%, 04/01/28 (d)		3
	1,999	7.750%, 06/15/11 (d)		5
	730	8.850%, 08/01/30 (d)		2
	2,300	Appleton Papers, Inc., 10.500%, 06/15/15 (e)		2,306
	500	Boise Paper Holdings LLC/Boise Co.-Issuer Co., 8.000%, 04/01/20		511
		Cascades, Inc., (Canada),
	750	7.750%, 12/15/17		727
	400	7.875%, 01/15/20		385
	700	Clearwater Paper Corp., 7.125%, 11/01/18		704
		Domtar Corp.,
	126	7.125%, 08/15/15		138
	950	10.750%, 06/01/17		1,183
		Georgia-Pacific LLC,
	1,000	5.400%, 11/01/20 (e)		1,031
	875	7.125%, 01/15/17 (e)		927
	1,200	7.750%, 11/15/29		1,355
	400	8.250%, 05/01/16 (e)		457
	1,154	Jefferson Smurfit Corp., 8.250%, 10/01/12 (d) (f) (i)		20
		NewPage Corp.,
	4,000	10.000%, 05/01/12		470
	5,650	11.375%, 12/31/14		4,972
		P.H. Glatfelter Co.,
	1,500	7.125%, 05/01/16		1,523
	1,000	PE Paper Escrow GmbH, (Austria), 12.000%, 08/01/14 (e)		1,080
	1,650	Potlatch Corp., 7.500%, 11/01/19		1,675
	300	Sappi Papier Holding GmbH, (Austria), 6.625%, 04/15/21 (e)		267


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Paper & Forest Products — Continued
		Smurfit-Stone Container Enterprises, Inc.,
	1,640	8.000%, 03/15/17 (d) (f) (i)		29
	2,656	8.375%, 07/01/12 (d) (f) (i)		46
	675	Verso Paper Holdings LLC/Verso Paper, Inc., 11.500%, 07/01/14		715
		Weyerhaeuser Co.,
	350	7.375%, 10/01/19		397
	1,750	7.375%, 03/15/32		1,866

				23,596

		Total Materials		63,385

		Telecommunication Services — 1.9%
		Diversified Telecommunication Services — 1.3%
		AT&T, Inc.,
	1,030	5.350%, 09/01/40		1,049
	220	5.600%, 05/15/18		254
	465	5.800%, 02/15/19		549
	1,500	6.300%, 01/15/38		1,679
	31	AT&T, Corp.,.8.000%, 11/15/31		42
		BellSouth Corp.,
	2,090	5.200%, 09/15/14		2,314
	100	6.875%, 10/15/31		118
		BellSouth Telecommunications, Inc.,
	412	6.300%, 12/15/15		442
	330	7.000%, 12/01/95		371
		Cincinnati Bell, Inc.,
	800	8.250%, 10/15/17		798
	145	8.750%, 03/15/18		136
		Deutsche Telekom International Finance B.V., (Netherlands),
	100	6.750%, 08/20/18		121
	1,000	8.750%, 06/15/30		1,352
		Frontier Communications Corp.,
	785	7.125%, 03/15/19		772
	1,165	8.125%, 10/01/18		1,204
	15	8.250%, 04/15/17		16
	215	8.500%, 04/15/20		225
	15	8.750%, 04/15/22		16
	800	GTE Corp., 6.840%, 04/15/18		961
	2,750	Level 3 Communications, Inc., 11.875%, 02/01/19 (e)		2,853
		Qwest Communications International, Inc.,
	1,000	7.125%, 04/01/18		1,050
	90	8.000%, 10/01/15		96
	1,000	Qwest Corp., 6.500%, 06/01/17		1,071


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Diversified Telecommunication Services — Continued
		Telecom Italia Capital S.A., (Luxembourg),
	562	5.250%, 11/15/13		562
	190	7.721%, 06/04/38		185
		Telefonica Emisiones S.A.U., (Spain),
	138	5.462%, 02/16/21		133
	600	5.855%, 02/04/13		620
	80	5.877%, 07/15/19		80
		Verizon Communications, Inc.,
	585	6.900%, 04/15/38		714
	75	7.350%, 04/01/39		96
		Verizon Global Funding Corp.,
	820	7.750%, 12/01/30		1,082
	290	7.750%, 06/15/32		382
	2,000	Verizon Pennsylvania, Inc., 8.350%, 12/15/30		2,608
	1,000	Virgin Media Secured Finance plc, (United Kingdom), 5.250%, 01/15/21 (e)		1,087
		Windstream Corp.,
	800	7.750%, 10/01/21		812
	525	8.125%, 08/01/13		558
	125	8.125%, 09/01/18		130

				26,538

		Wireless Telecommunication Services — 0.6%
	732	America Movil S.A.B. de C.V., (Mexico), 2.375%, 09/08/16		726
	450	CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e)		482
	144	Cricket Communications, Inc., 7.750%, 05/15/16		146
	1,260	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		1,291
	75	MetroPCS Wireless, Inc., 7.875%, 09/01/18		76
	2,750	Nextel Communications, Inc., 7.375%, 08/01/15		2,705
		NII Capital Corp.,
	365	8.875%, 12/15/19		386
	185	10.000%, 08/15/16		208
	240	Rogers Communications, Inc., (Canada), 6.800%, 08/15/18		293
	1,050	SBA Telecommunications, Inc., 8.000%, 08/15/16		1,105
	800	Sprint Capital Corp., 8.750%, 03/15/32		820
	125	Sprint Nextel Corp., 8.375%, 08/15/17		131
	1,650	Vimpel Communications Via VIP Finance Ireland Ltd.,OJSC, (Ireland), 7.748%, 02/02/21 (e)		1,621
		VimpelCom Holdings B.V., (Netherlands),
	250	6.255%, 03/01/17 (e)		238


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Wireless Telecommunication Services — Continued
	450	7.504%, 03/01/22 (e)		429
	870	Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15		976
		Wind Acquisition Finance S.A., (Luxembourg),
	775	7.250%, 02/15/18 (e)		727
	275	11.750%, 07/15/17 (e)		285

				12,645

		Total Telecommunication Services		39,183

		Utilities — 2.9%
		Electric Utilities — 1.7%
	891	Alabama Power Co., 6.125%, 05/15/38		1,103
		Carolina Power & Light Co.,
	90	5.300%, 01/15/19		106
	500	6.300%, 04/01/38		637
	1,000	CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14		1,106
	100	Centrais Eletricas Brasileiras S.A., (Brazil), 6.875%, 07/30/19 (e)		115
	300	Consolidated Edison Co. of New York, Inc., 5.500%, 12/01/39		336
	925	Consumers Energy Co., 6.700%, 09/15/19		1,158
	80	Dubai Electricity & Water Authority, (United Arab Emirates), 8.500%, 04/22/15 (e)		88
		Duke Energy Carolinas LLC,
	780	4.300%, 06/15/20		853
	200	5.250%, 01/15/18		234
	500	5.625%, 11/30/12		530
	1,100	6.050%, 04/15/38		1,329
	500	6.250%, 01/15/12		510
	280	Duke Energy Indiana, Inc., 3.750%, 07/15/20		295
	1,200	Enel Finance International N.V., (Luxembourg), 5.125%, 10/07/19 (e)		1,200
	115	Florida Power Corp., 5.650%, 06/15/18		137
		Georgia Power Co.,
	562	5.250%, 12/15/15		643
	140	5.950%, 02/01/39		165
	2,000	Ipalco Enterprises, Inc., 7.250%, 04/01/16 (e)		2,143
	988	Massachusetts Electric Co., 5.900%, 11/15/39 (e)		1,168
	860	MidAmerican Energy Co., 5.300%, 03/15/18		998
		Nevada Power Co.,
	446	5.375%, 09/15/40		492
	600	7.125%, 03/15/19		753
		NextEra Energy Capital Holdings, Inc.,
	275	5.350%, 06/15/13		293


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Electric Utilities — Continued
	265	7.875%, 12/15/15		318
	300	Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)		336
		Nisource Finance Corp.,
	1,470	6.400%, 03/15/18		1,730
	150	6.800%, 01/15/19		179
		Northern States Power Co.,
	173	5.350%, 11/01/39		197
	765	6.250%, 06/01/36		967
	1,010	Pacific Gas & Electric Co., 5.625%, 11/30/17		1,185
		Pacificorp,
	1,900	5.750%, 04/01/37		2,185
	250	7.240%, 08/16/23		323
		Peco Energy Co.,
	1,880	5.350%, 03/01/18		2,215
	500	5.950%, 11/01/11		504
	360	Potomac Electric Power Co., 6.500%, 11/15/37		465
	50	Progress Energy, Inc., 6.050%, 03/15/14		56
	1,121	PSEG Power LLC, 5.125%, 04/15/20		1,223
		Public Service Co. of Colorado,
	198	3.200%, 11/15/20		202
	35	6.500%, 08/01/38		45
	1,050	Public Service Co. of New Mexico, 7.950%, 05/15/18		1,194
		Public Service Co. of Oklahoma,
	88	5.150%, 12/01/19		99
	1,100	6.625%, 11/15/37		1,328
		Public Service Electric & Gas Co.,
	350	2.700%, 05/01/15		371
	155	5.300%, 05/01/18		182
	416	5.375%, 11/01/39		468
		San Diego Gas & Electric Co.,
	249	4.500%, 08/15/40		254
	500	6.000%, 06/01/39		625
		Southern California Edison Co.,
	450	5.550%, 01/15/37		519
	285	5.950%, 02/01/38		348
	292	Southern Co., 1.950%, 09/01/16		292
	145	Spectra Energy Capital LLC, 7.500%, 09/15/38		186
	120	Union Electric Co., 8.450%, 03/15/39		185
		Virginia Electric and Power Co.,
	235	6.350%, 11/30/37		288
	670	8.875%, 11/15/38		1,050

				35,911


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Corporate Bonds — Continued
		Gas Utilities — 0.2%
	250	ANR Pipeline Co., 9.625%, 11/01/21		362
	600	Atmos Energy Corp., 5.125%, 01/15/13		633
	570	CenterPoint Energy Resources Corp., 6.625%, 11/01/37		683
	155	EQT Corp., 8.125%, 06/01/19		191
	325	Genesis Energy LP/Genesis Energy Finance Corp., 7.875%, 12/15/18 (e)		314
		TransCanada PipeLines Ltd., (Canada),
	1,505	4.000%, 06/15/13		1,589
	1,000	6.200%, 10/15/37		1,187

				4,959

		Independent Power Producers & Energy Traders — 0.8%
		AES Eastern Energy LP,
	481	9.000%, 01/02/17		289
	2,000	9.670%, 01/02/29		1,200
	3,450	Calpine Construction Finance Co. LP and CCFC Finance Corp., 8.000%, 06/01/16 (e)		3,648
		Dynegy Holdings, Inc.,
	105	7.625%, 10/15/26		59
	4,770	7.750%, 06/01/19		2,910
		Edison Mission Energy,
	2,335	7.000%, 05/15/17		1,635
	800	7.200%, 05/15/19		532
	165	7.750%, 06/15/16		125
	267	FPL Energy National Wind Portfolio LLC, 6.125%, 03/25/19 (e)		261
	255	FPL Energy Wind Funding LLC, 6.876%, 06/27/17 (e)		227
	733	Homer City Funding LLC, 8.137%, 10/01/19		601
	1,553	Midwest Generation LLC, 8.560%, 01/02/16		1,530
	2,750	NRG Energy, Inc., 7.625%, 01/15/18 (e)		2,723
	348	Ormat Funding Corp., 8.250%, 12/30/20		330
	235	Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15		91

				16,161

		Multi-Utilities — 0.1%
		Dominion Resources, Inc.,
	46	4.900%, 08/01/41		45
	400	7.000%, 06/15/38		516
	160	DTE Energy Co., 7.625%, 05/15/14		185
		Sempra Energy,
	255	6.150%, 06/15/18		298
	75	6.500%, 06/01/16		89
	220	8.900%, 11/15/13		253


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Multi-Utilities — Continued
	420	9.800%, 02/15/19		591

				1,977

		Water Utilities — 0.1%
	925	American Water Capital Corp., 6.085%, 10/15/17		1,094

		Total Utilities		60,102

		Total Corporate Bonds (Cost $765,669)		782,913

	Foreign Government Securities — 1.9%
	200	Banco Nacional de Desenvolvimento Economico e Social, (Brazil), 6.369%, 06/16/18 (e)		227
BRL	620	Brazil Notas do Tesouro Nacional Serie F, (Brazil), 10.000%, 01/01/17 (d)		367
	100	Citigroup Funding, Inc., CLN, 10.993%, 07/27/20 (linked to Republic of Colombia, 10.993%, 07/27/20; credit rating BBB+) (e) (f) (i)		96
	270	Citigroup Funding, Inc., CLN, 11.000%, 07/27/20 (linked to Republic of Colombia, 11.000%, 07/27/20; credit rating BBB+), (Colombia) (e) (f) (i)		263
	220	Citigroup Funding, Inc., CLN, 13.300%, 10/02/13 (linked to Republic of Ghana, 13.300%, 10/02/13; credit rating BBB+) (e) (f) (i)		201
	100	Citigroup Funding, Inc., CLN, 14.250%, 06/19/13 (linked to Indonesia Government Bond, 14.250%, 06/15/13; credit rating BB+), (Indonesia) (e) (f) (i)		102
	130	Citigroup Funding, Inc., CLN, 14.990%, 03/13/13 (linked to Government of Ghana 3-Year Bond, 14.990%, 03/11/13; credit rating B), (Ghana) (e) (f) (i)		121
	60	Credit Suisse First Boston International for CJSC The EXIM of Ukraine, (Ukraine), 7.650%, 09/07/11		60
	280	Deutsche Bank AG, CLN, 10.250%, 07/15/17 (linked to Indonesia Government Bond, 10.250%; credit rating BB+), (Germany), 10.250%,07/15/27 (f) (i)		407
	100	Deutsche Bank AG, London Branch, CLN, 14.275%, 12/22/13 (linked to Indonesia Government Bond, 14.275%, 12/22/13; credit rating BB+), (Indonesia) (e) (f) (i)		140
		Federal Republic of Brazil, (Brazil),
	400	8.250%, 01/20/34		581
	380	11.000%, 08/17/40		523


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Foreign Government Securities — Continued
	299	12.250%, 03/06/30		574
	BRL565	12.500%, 01/05/22		458
		Government of Dominican Republic, (Dominican Republic),
	210	Reg. S., 7.500%, 05/06/21		215
	186	Reg. S., 9.040%, 01/23/18		208
	DOP 8,500	15.950%, 06/04/21 (e)		215
		Government of Ukraine, (Ukraine),
	730	6.580%, 11/21/16 (e)		732
	235	Reg. S., 7.750%, 09/23/20		243
	108	IIRSA Norte Finance Ltd., (Peru), Reg. S., 8.750%, 05/30/24		121
	200	Province of Manitoba, (Canada), 2.125%, 04/22/13		206
	655	Province of Nova Scotia, (Canada), 9.250%, 03/01/20		968
		Province of Ontario, (Canada),
	780	2.700%, 06/16/15		826
	1,635	2.950%, 02/05/15		1,741
	300	Province of Quebec, (Canada), 6.350%, 01/30/26		388
	160	Provincia de Buenos Aires, (Argentina), 11.750%, 10/05/15 (e)		158
		Republic of Argentina, (Argentina),
	ARS 500	VAR, 0.000%, 12/31/33		186
	50	SUB, 2.500%, 12/31/38		20
	1,227	SUB, 2.500%, 12/31/38		497
	575	7.000%, 10/03/15		549
	216	8.280%, 12/31/33		177
	845	8.750%, 06/02/17		843
		Republic of Belarus, (Belarus),
	520	8.750%, 08/03/15		429
	190	8.950%, 01/26/18		155
		Republic of Colombia, (Colombia),
	200	4.375%, 07/12/21		211
	240	8.125%, 05/21/24		331
	270	10.375%, 01/28/33		440
		Republic of Croatia, (Croatia),
	400	6.375%, 03/24/21 (e)		394
	190	Reg. S., 6.625%, 07/14/20		192
	200	Republic of Ecuador, (Ecuador), 9.375%, 12/15/15		196
		Republic of El Salvador, (El Salvador),
	130	Reg. S., 7.375%, 12/01/19		145
	240	Reg. S., 7.650%, 06/15/35		253
	140	Reg. S., 8.250%, 04/10/32		158


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Republic of Hungary, (Hungary),
	401	6.250%, 01/29/20		412
	120	6.375%, 03/29/21		123
	190	7.625%, 03/29/41		199
	288	7.625%, 03/29/41		301
		Republic of Indonesia, (Indonesia),
	255	Reg. S., 6.750%, 03/10/14		283
	50	Reg. S., 7.750%, 01/17/38		67
	340	Reg. S., 8.500%, 10/12/35		485
	350	11.625%, 03/04/19 (e)		527
	250	Republic of Iraq, (Iraq), Reg. S., 5.800%, 01/15/28		223
	6,000	Republic of Israel, (Israel), Zero Coupon, 08/15/17		5,424
	320	Republic of Ivory Coast, (Ivory Coast), Reg. S., 0.000%, 12/31/32		172
		Republic of Lithuania, (Lithuania),
	435	5.125%, 09/14/17 (e)		449
	130	Reg. S., 5.125%, 09/14/17		135
	160	Reg. S., 6.750%, 01/15/15		174
	200	Republic of Nigeria, (Nigeria), Reg. S., 6.750%, 01/28/21		213
	170	Republic of Pakistan, (Pakistan), Reg. S., 7.125%, 03/31/16		146
		Republic of Panama, (Panama),
	280	7.250%, 03/15/15		328
	90	8.875%, 09/30/27		133
	380	9.375%, 04/01/29		582
		Republic of Peru, (Peru),
	310	5.625%, 11/18/50		322
	PEN 737	Reg. S., 6.950%, 08/12/31		288
	330	7.350%, 07/21/25		429
	60	8.375%, 05/03/16		75
	218	8.750%, 11/21/33		325
	88	9.875%, 02/06/15		110
		Republic of Philippines, (Philippines),
	170	4.000%, 01/15/21		173
	100	6.500%, 01/20/20		119
	390	7.750%, 01/14/31		522
	100	9.500%, 02/02/30		154
	470	10.625%, 03/16/25		746
	90	Republic of Serbia, (Serbia), Reg. S., SUB, 6.750%, 11/01/24		90
		Republic of South Africa, (South Africa),
	430	5.500%, 03/09/20		489
	125	6.875%, 05/27/19		154
	ZAR 1,515	10.500%, 12/21/26		261


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Foreign Government Securities — Continued
	470	Republic of Sri Lanka, (Sri Lanka), 6.250%, 10/04/20 (e)		478
		Republic of Turkey, (Turkey),
	190	5.625%, 03/30/21		204
	500	6.750%, 04/03/18		575
	115	6.875%, 03/17/36		129
	335	7.250%, 03/15/15		380
	477	7.250%, 03/05/38		560
	100	7.500%, 07/14/17		118
		Republic of Uruguay, (Uruguay),
	UYU 584	4.993%, 06/26/37		39
	UYU 3,000	5.781%, 04/05/27		230
	300	7.625%, 03/21/36		396
		Republic of Venezuela, (Venezuela),
	662	Reg. S., 5.750%, 02/26/16		500
	525	Reg. S., 6.000%, 12/09/20		311
	305	Reg. S., 7.750%, 10/13/19		209
	93	Reg. S., 9.000%, 05/07/23		63
	108	Reg. S., 12.750%, 08/23/22		94
		Russian Federation, (Russia),
	1,742	Reg. S., SUB, 7.500%, 03/31/30		2,087
	130	Reg. S., 12.750%, 06/24/28		231
	330	State of Qatar, (Qatar), Reg. S., 5.250%, 01/20/20		371
		United Mexican States, (Mexico),
	640	5.625%, 01/15/17		734
	230	5.750%, 10/12/10		227
	498	5.950%, 03/19/19		588
	260	6.050%, 01/11/40		298
	100	6.750%, 09/27/34		125
	MXN 4,000	7.750%, 12/14/17		366
	100	8.300%, 08/15/31		144

		Total Foreign Government Securities (Cost $38,246)		39,407

	Mortgage Pass-Through Securities — 5.2%
		Federal Home Loan Mortgage Corp.,
	160	ARM, 2.000%, 08/01/36		168
	419	ARM, 2.790%, 03/01/36		445
	813	ARM, 3.308%, 03/01/36		868
	348	ARM, 4.979%, 10/01/36		370
	735	ARM, 5.550%, 10/01/37		787
	137	ARM, 5.938%, 05/01/37		146
		Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	1,833	4.000%, 08/01/18 - 05/01/19		1,939
	942	4.500%, 10/01/18		1,001


PRINCIPAL AMOUNT			SECURITY DESCRIPTION	VALUE


	115		5.000%, 05/01/18		125
	772		5.500%, 01/01/21		846
	746		6.000%, 11/01/21		812
	441		6.500%, 07/01/14		465
	92		7.500%, 01/01/17		100
			Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	1,499		6.500%, 11/01/22 - 03/01/26		1,681
	419		7.000%, 01/01/27		481
			Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	475		4.000%, 09/01/33		497
	2,841		4.500%, 05/01/41		3,004
	150		6.000%, 02/01/29		168
	1,157		6.500%, 01/01/24 - 11/01/36		1,314
	1,241		7.000%, 09/01/24 - 10/01/36 (m)		1,424
	145		7.500%, 10/01/19 - 02/01/27		162
	150		8.000%, 08/01/27 - 03/01/30		179
			Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA,
	2,614		7.500%, 01/01/32 - 12/01/36		3,056
	595		10.000%, 10/01/30		715
			Federal Home Loan Mortgage Corp. Gold Pools, Other,
	154		7.000%, 12/01/14 - 03/01/16		166
			Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	5		7.500%, 02/01/17		5
	7		12.000%, 08/01/15 - 07/01/19		8
	—	(h)	13.000%, 06/01/14		—	(h)
			Federal National Mortgage Association,
	217		ARM, 2.434%, 01/01/34		228
	351		ARM, 2.470%, 05/01/35		371
	25		ARM, 2.750%, 10/01/33		25
	687		ARM, 4.478%, 04/01/37		724
	119		ARM, 5.057%, 04/01/37		127
	1,423		ARM, 5.629%, 01/01/23		1,547
	490		ARM, 5.646%, 03/01/37		521
	368		ARM, 5.657%, 07/01/37		393
	482		ARM, 6.000%, 02/01/37		521
	174		ARM, 6.071%, 07/01/37		185
			Federal National Mortgage Association, 15 Year, Single Family,
	5,671		3.500%, 09/01/18 - 07/01/19		6,060
	3,470		4.000%, 07/01/18 - 12/01/18		3,696
	416		4.500%, 07/01/18		447
	2,243		5.000%, 05/01/18 - 11/01/18		2,432


PRINCIPAL AMOUNT			SECURITY DESCRIPTION	VALUE

	Mortgage Pass-Through Securities — Continued
	1,144		5.500%, 08/01/17 - 07/01/20		1,243
	2,165		6.000%, 01/01/14 - 08/01/22		2,355
	53		6.500%, 05/01/13		55
	—	(h)	7.000%, 03/01/15		—	(h)
	2		7.500%, 02/01/12		2
	20		8.000%, 01/01/16		20
	—	(h)	8.500%, 11/01/11		—	(h)
			Federal National Mortgage Association, 20 Year, Single Family,
	1,931		3.500%, 12/01/30		1,989
	2,175		6.000%, 04/01/24 - 08/01/27		2,416
	941		6.500%, 11/01/18		1,052
	311		Federal National Mortgage Association, 30 Year, FHA/VA, 5.500%, 08/01/34		342
			Federal National Mortgage Association, 30 Year, Single Family,
	512		5.500%, 12/01/28 - 07/01/29		565
	1,915		6.000%, 04/01/35 - 08/01/37		2,144
	3,790		6.500%, 04/01/28 - 10/01/38		4,287
	2,053		7.000%, 03/01/28 - 04/01/37		2,365
	852		7.500%, 09/01/25 - 11/01/38		988
	—	(h)	8.000%, 08/01/22		—	(h)
	68		8.500%, 10/01/25 - 12/01/25		80
	5		9.000%, 01/01/19 - 04/01/25		6
	22		12.500%, 01/01/16		22
			Federal National Mortgage Association, Other,
	1,891		2.573%, 10/01/17		1,917
	1,750		3.482%, 11/01/20		1,797
	1,680		3.492%, 01/01/18		1,767
	1,575		3.590%, 10/01/20		1,641
	1,514		3.730%, 06/01/18		1,632
	1,652		3.937%, 01/01/19		1,764
	1,275		4.195%, 07/01/21		1,362
	2,465		4.515%, 02/01/20		2,703
	3,000		4.546%, 02/01/20		3,292
	1,989		4.794%, 01/01/21		2,204
	1,597		5.000%, 12/01/32 - 08/01/33		1,721
	925		5.500%, 09/01/17		1,000
	500		6.500%, 04/01/36 - 07/01/36		558
			Government National Mortgage Association II, 30 Year, Single Family,
	9,956		6.000%, 11/20/32 - 09/20/36		11,249
	1,240		6.500%, 02/20/29 - 10/20/39		1,406
	6,999		7.000%, 06/20/32 - 01/20/39		8,165
	765		7.500%, 08/20/25 - 05/20/32		880
	1,107		8.000%, 08/20/26 - 09/20/31		1,319


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


	1,151	Government National Mortgage Association, 15 Year, Single Family, 6.500%, 10/15/23		1,278
		Government National Mortgage Association, 30 Year, Single Family,
	458	6.500%, 02/15/28 - 10/15/29		528
	149	7.000%, 02/15/24 - 02/15/28		173
	139	7.250%, 07/15/21 - 01/15/28		161
	79	7.500%, 10/15/22 - 09/15/29		84
	7	7.750%, 02/15/27		7
	3	8.500%, 11/15/25		4
	120	9.000%, 04/15/16 - 01/15/25		137
	5	10.000%, 11/15/20		5
	2	13.000%, 01/15/15		2

		Total Mortgage Pass-Through Securities (Cost $101,146)		106,896

	Municipal Bonds — 0.5%
		California — 0.1%
	1,000	Los Angeles Department of Airports, Taxable Build America Bonds, Rev., 6.582%, 05/15/39		1,146

		Illinois — 0.1%
	780	Railsplitter Tobacco Settlement Authority, Rev., 5.250%, 06/01/21		828
	1,960	State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33		1,705

				2,533

		New York — 0.2%
	900	New York City Municipal Water Finance Authority, Second General Resolution, Rev., 5.375%, 06/15/43		987
		New York State Dormitory Authority, State Personal Taxable General Purpose, Build America Bonds,
	560	Series H, Rev., 5.289%, 03/15/33		581
	1,165	Series H, Rev., 5.389%, 03/15/40		1,215
	1,450	Port Authority of New York & New Jersey, Rev., 5.647%, 11/01/40		1,593

				4,376

		Ohio — 0.1%
	1,040	American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50		1,258

		Oklahoma — 0.0% (g)
	900	Oklahoma City Water Utilities Trust, Water & Sewer, Rev., 5.375%, 07/01/40		1,012


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Municipal Bonds — Continued
		Washington — 0.0% (g)
	900	City of Seattle, Light & Power Improvement, Series A, Rev., 5.250%, 02/01/33		982

		Total Municipal Bonds (Cost $10,556)		11,307

	Supranational — 0.1%
	1,260	Corp. Andina de Fomento, 3.750%, 01/15/16		1,285
	330	Eurasian Development Bank, Reg. S., 7.375%, 09/29/14		352

		Total Supranational (Cost $1,612)		1,637

	U.S. Government Agency Securities — 1.1%
	1,500	Federal Home Loan Bank System, 1.750%, 12/14/12		1,527
		Federal Home Loan Mortgage Corp.,
	915	2.500%, 04/23/14		964
	635	5.250%, 04/18/16		754
	385	6.750%, 09/15/29		549
		Federal National Mortgage Association,
	7,360	Zero Coupon, 06/01/17		6,652
	825	5.000%, 05/11/17		981
	1,500	5.625%, 07/15/37		1,888
	1,000	8.200%, 03/10/16		1,310
	1,000	Federal National Mortgage Association Interest Strip, 11/15/21		728
		Financing Corp. Fico,
	1,285	Zero Coupon, 04/05/19		1,094
	500	Zero Coupon, 09/26/19		416
	426	New Valley Generation II, 5.572%, 05/01/20		504
	669	New Valley Generation III, 4.929%, 01/15/21		775
	2,870	Residual Funding Corp., Principal Strip, Zero Coupon, 07/15/20		2,309
		Tennessee Valley Authority,
	902	4.625%, 09/15/60		977
	869	5.250%, 09/15/39		1,021
	500	Tennessee Valley Authority Principal Strip, Zero Coupon, 11/01/25		293

		Total U.S. Government Agency Securities (Cost $20,358)		22,742

	U.S. Treasury Obligations — 18.5%
		U.S. Treasury Bonds,
	85	3.500%, 02/15/39		84
	555	4.375%, 02/15/38		637
	5,000	4.500%, 02/15/36		5,878
	3,890	4.500%, 05/15/38		4,554
	2,500	5.250%, 02/15/29		3,229


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


	1,000	5.500%, 08/15/28		1,326
	2,340	6.000%, 02/15/26		3,217
	5,000	6.250%, 08/15/23		6,912
	4,250	6.375%, 08/15/27		6,113
	7,600	7.125%, 02/15/23		11,160
	7,200	7.250%, 08/15/22		10,604
	20,000	7.500%, 11/15/16 (m)		26,623
	4,800	7.500%, 11/15/24		7,381
	2,625	7.875%, 02/15/21		3,937
	1,937	8.125%, 08/15/19		2,866
	13,600	8.125%, 05/15/21 (m)		20,790
	10,000	8.125%, 08/15/21		15,350
	5,000	8.500%, 02/15/20		7,626
	6,000	8.750%, 08/15/20		9,353
	24,560	8.875%, 08/15/17 (m)		35,445
	1,000	U.S. Treasury Inflation Indexed Bond, 3.625%, 04/15/28		2,001
		U.S. Treasury Notes,
	90	1.000%, 10/31/11		90
	45	1.375%, 04/15/12 (k)		46
	4,000	1.375%, 09/15/12		4,051
	6,625	1.375%, 10/15/12 (m)		6,716
	5,275	1.375%, 11/15/12		5,352
	10,000	1.875%, 06/15/12		10,139
	100	2.000%, 04/30/16		105
	225	2.250%, 05/31/14		237
	335	2.250%, 01/31/15		356
	11,000	2.250%, 11/30/17		11,597
	2,780	2.625%, 02/29/16		3,007
	130	2.625%, 04/30/16		140
	16,440	2.750%, 05/31/17		17,858
	7,115	2.875%, 03/31/18		7,766
	1,000	3.125%, 10/31/16		1,107
	10,654	3.125%, 05/15/19		11,766
	2,250	3.250%, 03/31/17		2,507
	7,860	4.750%, 08/15/17		9,453
		U.S. Treasury STRIPS,
	308	05/15/14		306
	2,000	11/15/14		1,970
	2,425	11/15/15		2,349
	6,980	05/15/16		6,682
	6,916	02/15/17		6,478
	12,239	08/15/17		11,303
	19,170	11/15/17		17,547
	6,000	02/15/18		5,446
	1,606	08/15/18		1,432


PRINCIPAL AMOUNT			SECURITY DESCRIPTION	VALUE

	U.S. Treasury Obligations — Continued
	185		08/15/19		159
	4,701		05/15/20		3,885
	5,185		11/15/20		4,191
	5,000		05/15/21		3,949
	22,000		11/15/21 (m)		16,971
	5,000		08/15/22		3,719
	5,000		11/15/22		3,676
	4,000		08/15/24		2,697
	5,000		11/15/24		3,331
	2,900		02/15/25		1,908
	2,550		02/15/27		1,528
	8,000		11/15/27		4,617
	2,615		02/15/28		1,491

			Total U.S. Treasury Obligations (Cost $348,660)		383,014


SHARES
	Common Stocks — 0.6%
			Consumer Discretionary — 0.2%
			Automobiles — 0.1%
	72		General Motors Co. (a)		1,729

			Leisure Equipment & Products — 0.0% (g)
	31		True Temper Holdings Corp., Inc. (a) (f) (i)		232

			Media — 0.1%
	56		Charter Communications, Inc., Class A (a)		2,772

			Total Consumer Discretionary		4,733

			Consumer Staples — 0.0% (g)
			Food Products — 0.0% (g)
	40		Eurofresh, Inc., ADR (a) (f) (i)		—

			Financials — 0.0% (g)
			Diversified Financial Services — 0.0% (g)
	—	(h)	Leucadia National Corp.		6

			Industrials — 0.0% (g)
			Airlines — 0.0% (g)
	2		Delta Air Lines, Inc. (a)		13

			Commercial Services & Supplies — 0.0% (g)
	3		Quad/Graphics, Inc.		60

			Total Industrials		73

			Information Technology — 0.0% (g)
			Semiconductors & Semiconductor Equipment — 0.0% (g)
	87		MagnaChip Semiconductor S.A./MagnaChip Semiconductor Finance Co., (Luxembourg) (a) (f) (i)		580


SHARES			SECURITY DESCRIPTION	VALUE


			Materials — 0.4%
			Chemicals — 0.1%
	46		LyondellBasell Industries N.V., (Netherlands), Class A		1,579

			Construction Materials — 0.1%
	264		U.S. Concrete, Inc. (a)		1,506

			Containers & Packaging — 0.0% (g)
	9		Constar International, Inc., ADR (a) (f) (i)		3

			Metals & Mining — 0.0% (g)
	8		Wolverine Tube, Inc., ADR (a) (f) (i)		208

			Paper & Forest Products — 0.2%
	211		AbitibiBowater, Inc., (Canada) (a)		3,588

			Total Materials		6,884

			Telecommunication Services — 0.0% (g)
			Diversified Telecommunication Services — 0.0% (g)
	4		AboveNet, Inc.		274
	—	(h)	XO Holdings, Inc. (a) (f) (i)		—

					274

			Wireless Telecommunication Services — 0.0% (g)
	—	(h)	Sprint Nextel Corp. (a)		—	(h)

			Total Telecommunication Services		274

			Utilities — 0.0% (g)
			Independent Power Producers & Energy Traders — 0.0% (g)
	1		NRG Energy, Inc. (a)		23

			Total Common Stocks (Cost $16,373)		12,573

	Preferred Stocks — 0.5%
			Consumer Discretionary — 0.3%
			Automobiles — 0.1%
	35		General Motors Co., 4.750%, 12/01/13		1,395

			Diversified Consumer Services — 0.1%
	34		Carriage Services Capital Trust, 7.000%, 06/01/29		1,273

			Household Durables — 0.1%
	153		M/I Homes, Inc., Series A, 9.750%, 03/15/12 (a) (x)		2,206

			Total Consumer Discretionary		4,874

			Consumer Staples — 0.0% (g)
			Food Products — 0.0% (g)
	—	(h)	Eurofresh, Inc., ADR (a) (f) (i)		—

			Financials — 0.2%
			Commercial Banks — 0.1%
	8		CoBank ACB, 7.000%, 10/03/11 (e) (x)		366


SHARES		SECURITY DESCRIPTION	VALUE

	Preferred Stocks — Continued
		Commercial Banks — Continued
	10	CoBank ACB, Series C, 11.000%, 07/01/13 (e) (x)		549
	15	CoBank ACB, Series D, 11.000%, 10/01/14 (x)		818

				1,733

		Consumer Finance — 0.1%
	3	Ally Financial, Inc., 7.000%, 12/31/11 (e) (x)		2,417
	14	Citigroup Capital XIII, VAR, 7.875%, 10/30/40		375

				2,792

		Total Financials		4,525

		Materials — 0.0% (g)
		Containers & Packaging — 0.0% (g)
	1	Constar International, Inc. (a) (f) (i)		191

		Total Preferred Stocks (Cost $11,156)		9,590


PRINCIPAL AMOUNT
	Loan Participations & Assignments — 2.6%
		Consumer Discretionary — 1.3%
		Automobiles — 0.1%
	1,550	Chrysler, Term Loan B, VAR, 6.000%, 05/24/17		1,390

		Broadcasting & Cable TV — 0.2%
	2,076	Atlantic Broadband, Term Loan B, VAR, 4.000%, 03/08/16		1,963
	1,990	Midcontinent Communications, Term Loan B, VAR, 4.000%, 12/31/16		1,930

				3,893

		Diversified Consumer Services – 0.0% (g)
	290	Tishman Speyer Office, Term Loan, VAR, 8.000%, 05/04/12		284

		Gaming — 0.3%
	1,978	CCM Merger, Inc., Term Loan, VAR, 7.000%, 03/01/17		1,909
		Caesars Entertainment Operating Co., Inc., Term B-2 Loan,
	1,398	VAR, 3.218%, 01/28/15		1,204
	2,602	VAR, 3.253%, 01/28/15		2,242
		Golden Nugget, Inc., Additional Term Advance,
	139	VAR, 3.190%, 06/30/14		118
	46	VAR, 3.190%, 06/30/14		40
	46	VAR, 3.190%, 06/30/14		39
	41	VAR, 3.190%, 06/30/14		35
		Golden Nugget, Inc., Term Advance,
	227	VAR, 3.190%, 06/30/14		194


PRINCIPAL AMOUNT			SECURITY DESCRIPTION	VALUE


			Gaming — Continued
	251		VAR, 3.190%, 06/30/14		214

					5,995

			Media — 0.5%
	995		Bresnan Communications, Term Loan B, VAR, 4.500%, 12/14/17		948
	1,019		Cengage Learning Acquisitions, Term Loan, VAR, 2.500%, 07/03/14		842
	2,383		Clear Channel Communications, Inc., Term Loan B, VAR, 3.837%, 01/29/16		1,783
	399		High Plains Broadcasting Operating Co. LLC, Term Loan, VAR, 9.000%, 09/14/16		391
			Media General, Inc., Term Loan,
	156		VAR, 4.719%, 03/29/13		133
	919		VAR, 4.819%, 03/29/13		787
	1,460		Newport Television LLC, Term Loan, VAR, 9.000%, 09/14/16		1,431
	1,750		Newsday, Fixed Rate Term Loan, VAR, 10.500%, 08/01/13		1,807
			R.H. Donnelley, Inc., Exit Term Loan,
	136		VAR, 9.000%, 10/24/14		77
	537		VAR, 9.000%, 10/24/14		304
	554		VAR, 9.000%, 10/24/14		314
	437		Univision Communications, Inc., Initial Term Loan, VAR, 2.221%, 09/29/14		392
			Vertis, Inc., 1st Lien Term Loan,
	2,542		VAR, 11.750%, 12/21/15		2,110
	41		VAR, 11.750%, 12/21/15		34

					11,353

			Specialty Retail — 0.2%
			Claire’s Stores, Term Loan B,
	2,880		VAR, 2.996%, 05/29/14		2,502
	604		VAR, 3.003%, 05/29/14		524
	721		Gymboree, 1st Lien Term Loan, VAR, 5.000%, 02/23/18		641

					3,667

			Total Consumer Discretionary		26,582

			Consumer Staples — 0.0% (g)
			Food Products — 0.0% (g)
			Bolthouse Farms, 1st Lien Term Loan,
	138		VAR, 5.500%, 02/11/16		134
	—	(h)	VAR, 5.750%, 02/11/16		—	(h)

			Total Consumer Staples		134


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Loan Participations & Assignments — Continued
		Energy — 0.1%
		Oil, Gas & Consumable Fuels — 0.1%
	211	Big West Oil, Term Loan B, VAR, 7.000%, 03/31/16		209
	575	MEG Energy Corp., Term Loan B, VAR, 4.000%, 03/18/18		550
	239	Western Refining, Inc., Term Loan B, VAR, 7.500%, 03/15/17		235

		Total Energy		994

		Financials — 0.5%
		Capital Markets — 0.1%
	2,049	Pinafore LLC, Term Loan B1, VAR, 4.250%, 09/29/16		1,967

		Diversified Financial Services — 0.3%
	11,427	Capmark Financial Group, U.S. Term Loan, VAR, 5.250%, 03/23/11 (d)		6,228
	850	Capmark Financial Group, Unsecured Bridge Loan, VAR, 5.250%, 03/23/11 (d)		465

				6,693

		Insurance — 0.0% (g)
	88	USI Holdings Corp., Series C, New Term Loan, VAR, 7.000%, 05/05/14		83

		Real Estate Investment Trusts (REITs) — 0.1%
		I-Star, Term Loan A-1,
	736	VAR, 5.000%, 06/28/13		715
	534	VAR, 5.000%, 06/28/13		519

				1,234

		Total Financials		9,977

		Health Care — 0.0% (g)
		Health Care Providers & Services — 0.0% (g)
	174	Inventive Health, Consolidated Term Loan, VAR, 4.750%, 08/04/16		164

		Pharmaceuticals — 0.0% (g)
		Axcan Intermediate Holdings, Inc., Term Loan,
	337	VAR, 5.500%, 02/10/17		304
	36	VAR, 5.500%, 02/10/17		33

				337

		Total Health Care		501

		Industrials — 0.3%
		Aerospace & Defense — 0.0% (g)
	550	Ducommun, Inc., Term Loan B, VAR, 5.500%, 06/28/17		534

		Air Freight & Logistics — 0.1%
	2,000	Ozborn-Hessey Logistics, 2nd Lien Term Loan, VAR, 10.500%, 10/08/16		1,780


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE


		Building Products — 0.1%
	290	Jacuzzi Brands, Inc., 1st Lien Synthetic Credit Facility, VAR, 0.146%, 02/07/14		209
		Jacuzzi Brands, Inc., 1st Lien Term Loan B,
	5	VAR, 2.469%, 02/07/14		4
	2,497	VAR, 2.503%, 02/07/14		1,798

				2,011

		Commercial Services & Supplies — 0.1%
	350	Baker Corp., International, Term Loan, VAR, 5.000%, 06/01/18		333
	423	Cenveo Corp., Term Loan, VAR, 6.250%, 12/21/16		405
	800	SCH Group, 1st Lien Term Loan, VAR, 6.625%, 04/28/17		696

				1,434

		Electrical Equipment — 0.0% (g)
	25	Electrical Components International, Inc., Synthetic Revolving Loan Commitment, VAR, 1.400%, 02/04/16		24
	393	Electrical Components International, Inc., Term Loan, VAR, 6.750%, 02/04/17 (f) (i)		379
	150	Sensata Technologies B.V., Term Loan, VAR, 4.000%, 05/12/18		144

				547

		Machinery — 0.0% (g)
	350	Terex Corp., Term Loan, VAR, 5.500%, 04/28/17		343

		Road & Rail — 0.0% (g)
		Swift Transportation Co., Term Loan,
	538	VAR, 6.000%, 12/21/16		512
	59	VAR, 6.000%, 12/21/16		56

				568

		Total Industrials		7,217

		Information Technology — 0.1%
		Communications Equipment — 0.0% (g)
		Syniverse Holdings, Inc., Term Loan B,
	397	VAR, 5.250%, 12/21/17		386
	1	VAR, 5.250%, 12/21/17		1

				387

		Electronic Equipment, Instruments & Components — 0.0% (g)
		Sensus USA, Inc., 1st Lien Term Loan,
	298	VAR, 4.750%, 05/09/17		286
	1	VAR, 5.750%, 05/09/17		2

				288


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

	Loan Participations & Assignments — Continued
		IT Services — 0.1%
		EVERTEC, Inc. Term Loan B1,
	28	VAR, 5.250%, 09/30/16		26
	863	VAR, 5.500%, 09/30/16		810
	28	VAR, 5.500%, 09/30/16		27
	3	VAR, 5.500%, 09/30/16		2
	762	First Data Corp., Initial Tranche B-1, VAR, 2.967%, 09/24/14		670
	525	First Data Corp., Initial Tranche B-3, VAR, 2.967%, 09/24/14		461

				1,996

		Total Information Technology		2,671

		Materials — 0.1%
		Chemicals — 0.1%
	487	AZ Chem U.S., Inc., Term Loan, VAR, 4.750%, 11/21/16		470
	620	Cristal Inorganic Chemicals (Millennium), 1st Lien Term Loan, VAR, 2.496%, 05/15/14		590
		Nexeo Solutions, Term Loan,
	115	VAR, 5.000%, 09/08/17		105
	92	VAR, 5.000%, 09/08/17		85
	92	VAR, 5.000%, 09/08/17		85
	275	Om Group, Term Loan B, VAR, 5.750%, 08/01/17		269
		Styron, 1st Lien Term Loan,
	536	VAR, 6.000%, 08/02/17		493
	1	VAR, 6.000%, 08/02/17		1

				2,098

		Metals & Mining — 0.0% (g)
	299	American Rock Salt, 1st Lien Term Loan, VAR, 5.500%, 04/25/17		287

		Total Materials		2,385

		Utilities — 0.2%
		Independent Power Producers & Energy Traders — 0.2%
		Texas Competitive Electric Holdings Co. LLC, Extended-Term Loan,
	1,026	VAR, 4.706%, 10/10/17		754


PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE

		Independent Power Producers & Energy Traders — Continued
	1,090	VAR, 4.772%, 10/10/17		801
	1	VAR, 4.772%, 10/10/17		1
		Texas Competitive Electric Holdings Co. LLC, Non-Extended Term Loan,
	2,114	VAR, 3.706%, 10/10/14		1,606
	3	VAR, 3.772%, 10/10/14		2

		Total Utilities		3,164

		Total Loan Participations & Assignments (Cost $54,865)		53,625


NUMBER OF WARRANTS

	Warrants — 0.1%
		Consumer Discretionary — 0.1%
		Automobiles — 0.1%
		General Motors Co.,
	65	expiring 7/10/16 (Strike Price $10.00) (a)		1,000
	65	expiring 7/10/19 (Strike Price $18.33) (a)		691

		Total Warrants (Cost $2,389)		1,691


SHARES
	Short-Term Investment — 1.8%
		Investment Company — 1.8%
	36,667	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.060% (b) (l) (Cost $36,667)		36,667

		Total Investments — 99.4% (Cost $1,983,084)		2,059,563
		Other Assets in Excess of Liabilities — 0.6%		12,570

		NET ASSETS — 100.0%	$	2,072,133

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — 42.1%
		Agency CMO — 42.1%
		Federal Home Loan Mortgage Corp. REMICS,
	98	Series 1343, Class LA, 8.000%, 08/15/22		117
	666	Series 1367, Class K, 5.500%, 09/15/22		735
	133	Series 1591, Class E, 10.000%, 10/15/23		147
	1,152	Series 1633, Class Z, 6.500%, 12/15/23		1,248
	1,431	Series 1694, Class PK, 6.500%, 03/15/24		1,547
	6,496	Series 1785, Class A, 6.000%, 10/15/23		6,658
	361	Series 1999, Class PU, 7.000%, 10/15/27		429
	610	Series 2031, Class PG, 7.000%, 02/15/28		711
	1,708	Series 2035, Class PC, 6.950%, 03/15/28		1,987
	1,407	Series 2064, Class PD, 6.500%, 06/15/28 (m)		1,424
	1,277	Series 2095, Class PE, 6.000%, 11/15/28		1,446
	446	Series 2152, Class BD, 6.500%, 05/15/29		495
	2,790	Series 2162, Class TH, 6.000%, 06/15/29		3,147
	214	Series 2345, Class PQ, 6.500%, 08/15/16		225
	1,358	Series 2367, Class ME, 6.500%, 10/15/31		1,508
	3,351	Series 2480, Class EJ, 6.000%, 08/15/32		3,751
	6,000	Series 2562, Class PG, 5.000%, 01/15/18		6,527
	2,737	Series 2571, Class PV, 5.500%, 01/15/14		2,860
	2,338	Series 2580, Class QM, 5.000%, 10/15/31		2,394
	3,019	Series 2611, Class QZ, 5.000%, 05/15/33		3,423
	3,858	Series 2630, Class KS, 4.000%, 01/15/17		3,918
	672	Series 2647, Class A, 3.250%, 04/15/32		695
	3,666	Series 2651, Class VZ, 4.500%, 07/15/18		3,908
	9,000	Series 2656, Class BG, 5.000%, 10/15/32		9,830
	4,434	Series 2684, Class PD, 5.000%, 03/15/29		4,453
	2,500	Series 2688, Class DG, 4.500%, 10/15/23		2,741
	8,588	Series 2727, Class PE, 4.500%, 07/15/32		9,338
	2,632	Series 2749, Class TD, 5.000%, 06/15/21		2,688
	6,000	Series 2773, Class TB, 4.000%, 04/15/19		6,439
	391	Series 2780, Class TD, 5.000%, 04/15/28		391
	7,450	Series 2841, Class AT, 4.000%, 08/15/19		8,029
	2,601	Series 2882, Class QD, 4.500%, 07/15/34		2,817
	6,342	Series 2915, Class MU, 5.000%, 01/15/35		7,080
	3,586	Series 2927, Class GA, 5.500%, 10/15/34		3,999
	374	Series 2929, Class PC, 5.000%, 01/15/28		374
	5,500	Series 2931, Class QD, 4.500%, 02/15/20		6,117
	9,137	Series 2976, Class HP, 4.500%, 01/15/33		9,579
	10,600	Series 3036, Class ND, 5.000%, 05/15/34 (m)		11,699
	3,204	Series 3045, Class HN, 4.500%, 09/15/33		3,349
	2,387	Series 3085, Class VS, HB, IF, 27.891%, 12/15/35		3,732
	2,192	Series 3114, Class KB, 5.000%, 09/15/27		2,211
	5,432	Series 3181, Class OP, PO, 07/15/36		4,938
	4,500	Series 3188, Class GE, 6.000%, 07/15/26		5,044


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	15,609	Series 3325, Class JL, 5.500%, 06/15/37		17,128
	6,000	Series 3341, Class PE, 6.000%, 07/15/37		7,090
	7,000	Series 3413, Class B, 5.500%, 04/15/37		7,758
	6,000	Series 3544, Class PC, 5.000%, 05/15/37		6,706
	4,000	Series 3699, Class QH, 5.500%, 07/15/40		4,620
	25,657	Series 3737, Class DG, 5.000%, 10/15/30		28,231
	7,000	Series 3798, Class AY, 3.500%, 01/15/26		7,049
	5,000	Series 3809, Class BC, 3.500%, 02/15/26		5,165
	96	Federal Home Loan Mortgage Corp. STRIPS, Series 155, Class IO, IO, 7.000%, 11/01/23		20
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	2,586	Series T-51, Class 1A, VAR, 6.500%, 09/25/43		2,967
	2,935	Series T-54, Class 2A, 6.500%, 02/25/43		3,317
	1,195	Series T-56, Class APO, PO, 05/25/43		925
	1,175	Federal National Mortgage Association Grantor Trust, Series 2004-T1, Class 1A2, 6.500%, 01/25/44		1,324
		Federal National Mortgage Association Interest STRIPS,
	3,670	Series 278, Class 1, VAR, 0.977%, 08/01/25		3,544
	1,616	Series 278, Class 3, VAR, 1.052%, 11/01/23		1,566
	2,344	Series 343, Class 23, IO, 4.000%, 10/01/18		212
		Federal National Mortgage Association REMICS,
	131	Series 1988-16, Class B, 9.500%, 06/25/18 (m)		150
	61	Series 1990-57, Class J, 7.000%, 05/25/20 (m)		65
	321	Series 1993-110, Class H, 6.500%, 05/25/23		370
	248	Series 1993-146, Class E, PO, 05/25/23		226
	4,362	Series 1993-155, Class PJ, 7.000%, 09/25/23		4,996
	46	Series 1993-205, Class H, PO, 09/25/23		39
	67	Series 1993-217, Class H, PO, 08/25/23		59
	53	Series 1993-228, Class G, PO, 09/25/23		46
	1,469	Series 1994-37, Class L, 6.500%, 03/25/24		1,716
	1,705	Series 1994-43, Class PJ, 6.350%, 12/25/23		1,725
	5,270	Series 1994-51, Class PV, 6.000%, 03/25/24		5,906
	1,038	Series 1994-62, Class PJ, 7.000%, 01/25/24		1,052
	2,761	Series 1998-58, Class PC, 6.500%, 10/25/28		3,081
	537	Series 2000-8, Class Z, 7.500%, 02/20/30		621
	1,769	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		394
	619	Series 2002-2, Class UC, 6.000%, 02/25/17		668
	1,008	Series 2002-3, Class PG, 5.500%, 02/25/17		1,068
	5,388	Series 2002-73, Class OE, 5.000%, 11/25/17		5,857
	1,776	Series 2002-92, Class FB, VAR, 0.868%, 04/25/30		1,784


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	7,324	Series 2003-21, Class PZ, 4.500%, 03/25/33		8,138
	2,346	Series 2003-35, Class MD, 5.000%, 11/25/16		2,359
	601	Series 2003-67, Class SA, HB, IF, 44.080%, 10/25/31		1,217
	5,000	Series 2003-74, Class VL, 5.500%, 11/25/22		5,453
	20,000	Series 2003-81, Class MC, 5.000%, 12/25/32 (m)		21,764
	5,000	Series 2003-92, Class VH, 5.000%, 02/25/19		5,548
	10,000	Series 2003-128, Class DY, 4.500%, 01/25/24 (m)		10,893
	16,000	Series 2004-7, Class JK, 4.000%, 02/25/19		17,117
	3,588	Series 2004-46, Class QD, HB, IF, 23.126%, 03/25/34		5,041
	3,934	Series 2004-54, Class FL, VAR, 0.618%, 07/25/34		3,936
	7,753	Series 2004-60, Class PA, 5.500%, 04/25/34		8,465
	835	Series 2005-16, Class LC, 5.500%, 05/25/28		838
	7,805	Series 2005-22, Class EH, 5.000%, 04/25/35		8,696
	2,689	Series 2005-29, Class AK, 4.500%, 04/25/35		2,835
	5,051	Series 2005-58, Class EP, 5.500%, 07/25/35		5,630
	7,000	Series 2005-62, Class DX, 5.000%, 05/25/34		7,671
	4,859	Series 2005-83, Class LA, 5.500%, 10/25/35		5,477
	5,498	Series 2005-116, Class PC, 6.000%, 01/25/36		6,168
	15,630	Series 2006-3, Class SB, IF, IO, 6.482%, 07/25/35		2,469
	26,953	Series 2006-51, Class FP, VAR, 0.568%, 03/25/36		26,848
	1,060	Series 2006-69, Class SP, IF, 14.556%, 05/25/30		1,172
	388	Series 2006-81, Class FA, VAR, 0.568%, 09/25/36		387
	5,169	Series 2006-110, Class PO, PO, 11/25/36		4,742
	7,773	Series 2007-76, Class PE, 6.000%, 08/25/37		8,983
	1,920	Series 2009-89, Class A1, 5.410%, 05/25/35		2,203
	1,717	Series 2010-4, Class SL, IF, 11.096%, 02/25/40		1,781
	7,518	Series 2010-11, Class CB, 4.500%, 02/25/40		7,668
	6,000	Series 2010-47, Class MB, 5.000%, 09/25/39		6,693
	4,274	Series 2010-155, Class B, 3.500%, 01/25/26		4,286
	27	Series G92-35, Class EB, 7.500%, 07/25/22		31
	288	Series G92-44, Class ZQ, 8.000%, 07/25/22		329
		Federal National Mortgage Association Whole Loan,
	440	Series 1999-W4, Class A9, 6.250%, 02/25/29		501
	3,201	Series 2002-W7, Class A4, 6.000%, 06/25/29		3,607
	1,357	Series 2003-W1, Class 1A1, VAR, 6.333%, 12/25/42		1,615


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — Continued
	655		Series 2003-W1, Class 2A, VAR, 7.181%, 12/25/42		776
	4,088		Series 2003-W18, Class 1A6, 5.370%, 08/25/43		4,509
	4,890		Series 2005-W1, Class 1A2, 6.500%, 10/25/44		5,732
	4,840		Series 2009-W1, Class A, 6.000%, 12/25/49		5,430
			Government National Mortgage Association,
	820		Series 1998-22, Class PD, 6.500%, 09/20/28		900
	471		Series 1999-17, Class L, 6.000%, 05/20/29		517
	4,614		Series 2001-10, Class PE, 6.500%, 03/16/31		5,227
	5,838		Series 2001-64, Class PB, 6.500%, 12/20/31		6,392
	34,619		Series 2003-59, Class XA, IO, VAR, 1.362%, 06/16/34		1,280
	3,285		Series 2004-27, Class PD, 5.500%, 04/20/34		3,894
	2,132		Series 2004-62, Class VA, 5.500%, 07/20/15		2,234
	13,535		Series 2005-28, Class AJ, 5.500%, 04/20/35		15,253
	12,466		Series 2008-40, Class SA, IF, IO, 6.192%, 05/16/38		2,517
	28,693		Series 2009-42, Class TX, 4.500%, 06/20/39		31,479
	8,312		Series 2009-52, Class MA, 5.000%, 11/20/36		9,145
	4,752		Series 2009-69, Class WM, 5.500%, 08/20/39		5,475

			Total Collateralized Mortgage Obligations (Cost $535,362)		582,914

	Foreign Government Security — 0.4%
	7,527		Israel Government AID Bond, (Israel), 09/15/19 (Cost $6,205)		6,251

	Mortgage Pass-Through Securities — 7.3%
			Federal Home Loan Mortgage Corp.,
	258		ARM, 2.308%, 01/01/27		271
	32		ARM, 2.430%, 04/01/30		33
	21		ARM, 2.610%, 02/01/19		22
	14		ARM, 2.696%, 07/01/30		15
	131		ARM, 2.929%, 03/01/18 - 08/01/18		136
	3		ARM, 3.243%, 01/01/20		4
	44		ARM, 3.250%, 06/01/18		44
	125		ARM, 3.354%, 01/01/21		125
	64		ARM, 3.548%, 11/01/18		66
	3,012		ARM, 5.972%, 03/01/37		3,208
			Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	530		5.000%, 12/01/13 - 12/01/16		570
	398		6.000%, 04/01/14		431
	552		6.500%, 12/01/12 - 06/01/14		581
	—	(h)	7.000%, 12/01/14		—	(h)


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
	1,494		Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 4.500%, 05/01/24		1,612
			Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	1,777		5.500%, 11/01/33		1,954
	339		6.000%, 02/01/32		380
	1,369		6.500%, 01/01/24 - 07/01/29		1,568
	1,598		7.000%, 08/01/25 - 09/01/29 (m)		1,863
	91		7.500%, 09/01/24 - 08/01/25		106
	94		8.000%, 11/01/24 - 09/01/25		112
	225		8.500%, 05/01/24 - 07/01/28		269
	6		9.000%, 10/01/17 - 11/01/21		7
	—	(h)	Federal Home Loan Mortgage Corp., 30 Year, Single Family, 9.500%, 04/01/16		—	(h)
			Federal National Mortgage Association,
	135		ARM, 2.588%, 11/01/27 - 08/01/41		138
	109		ARM, 2.594%, 07/01/17		111
	114		ARM, 2.624%, 11/01/40		119
	170		ARM, 2.625%, 08/01/30		175
	50		ARM, 2.725%, 06/01/29		51
	41		ARM, 2.746%, 06/01/20		42
	29		ARM, 2.750%, 06/01/17		29
	90		ARM, 2.776%, 09/01/14		91
	25		ARM, 2.875%, 09/01/17		25
	19		ARM, 3.027%, 10/01/16		19
	190		ARM, 3.125%, 06/01/15 - 01/01/29		196
	6		ARM, 3.154%, 07/01/27		6
	123		ARM, 3.475%, 08/01/19		123
	10		ARM, 3.500%, 10/01/14		10
	3		ARM, 3.575%, 11/01/16		3
	104		ARM, 3.741%, 09/01/27		104
	38		ARM, 3.825%, 08/01/19		39
	27		ARM, 5.921%, 04/01/19		29
	21		ARM, 6.000%, 12/01/18		21
			Federal National Mortgage Association, 15 Year, Single Family,
	14,465		4.000%, 04/01/19 - 09/01/25		15,296
	2,890		4.500%, 03/01/19		3,102
	1,995		5.500%, 11/01/16 - 03/01/18		2,169
	94		6.000%, 04/01/13 - 08/01/14		99
	20		8.000%, 11/01/12		20
			Federal National Mortgage Association, 20 Year, Single Family,
	1,391		5.000%, 11/01/23		1,525
	1,653		6.000%, 03/01/22		1,831
	60		7.500%, 06/01/14 - 07/01/14		65


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Federal National Mortgage Association, 30 Year, Single Family,
	3,221	4.500%, 03/01/38		3,411
	5,329	5.000%, 11/01/33		5,832
	32,420	5.500%, 02/01/29 - 05/01/36 (m)		35,869
	4,708	6.000%, 07/01/36		5,333
	927	6.500%, 06/01/26 - 04/01/32		1,064
	5,426	7.000%, 02/01/24 - 03/01/35		6,283
	227	7.500%, 03/01/30 - 04/01/30		266
	186	10.000%, 10/01/16 - 11/01/21		207
	168	Federal National Mortgage Association, Other, 6.000%, 09/01/28		188
	368	Government National Mortgage Association II, 30 Year, Single Family, 8.000%, 11/20/26 - 11/20/27		434
		Government National Mortgage Association, 30 Year, Single Family,
	56	6.000%, 10/15/23		64
	1,136	6.500%, 06/15/23 - 02/15/24 (m)		1,293
	474	7.000%, 12/15/22 – 06/15/28		550
	576	7.500%, 02/15/22 – 02/15/28		674
	249	8.000%, 07/15/22 – 08/15/26		293
	582	9.000%, 06/15/16 – 11/15/24		684
	32	9.500%, 08/15/16 – 12/15/20		35

		Total Mortgage Pass-Through Securities (Cost $92,822)		101,295

	U.S. Government Agency Securities — 20.4%
	12,824	Federal Farm Credit Bank, 5.750%, 12/07/28		16,113
		Federal National Mortgage Association,
	25,000	Zero Coupon, 10/09/19		18,632
	10,000	6.250%, 05/15/29		13,381
		Federal National Mortgage Association STRIPS,
	34,750	11/15/20		26,596
	8,000	05/15/23		5,419
	9,200	05/29/26		5,371
	26,153	Financing Corp., Principal STRIPS, 12/06/18		22,563
		Residual Funding Corp., Principal STRIPS,
	34,520	10/15/19		28,887
	90,500	07/15/20		72,791
	10,000	01/15/30		5,062
	5,000	04/15/30		2,503
		Resolution Funding Corp. Interest STRIPS,
	50,000	07/15/20		39,936
	15,000	04/15/28		8,120
	14,740	Tennessee Valley Authority Principal STRIPS, 12/15/17		12,939


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	U.S. Government Agency Securities — Continued
	4,500	Tennessee Valley Authority STRIPS, 07/15/16		4,161

		Total U.S. Government Agency Securities (Cost $219,307)		282,474

	U.S. Treasury Obligations — 21.9%
		U.S. Treasury Bonds,
	20,000	5.250%, 11/15/28		25,831
	20,000	5.250%, 02/15/29		25,835
	2,500	7.125%, 02/15/23		3,671
	13,140	7.250%, 05/15/16		17,036
	3,935	7.250%, 08/15/22		5,795
	3,635	8.000%, 11/15/21		5,560
	3,190	8.875%, 08/15/17		4,604
	1,020	9.000%, 11/15/18		1,544
		U.S. Treasury Inflation Indexed Notes,
	25,000	1.375%, 07/15/18		29,305
	1,450	1.625%, 01/15/15		1,862
		U.S. Treasury Notes,
	25,000	2.625%, 08/15/20		26,217
	25,000	2.625%, 11/15/20		26,119
	25,000	3.750%, 11/15/18		28,756
	25,000	4.250%, 11/15/17		29,414
	1,020	4.750%, 08/15/17		1,226
		U.S. Treasury STRIPS,
	5,845	02/15/15		5,734
	1,655	05/15/15		1,617
	1,900	08/15/15		1,854
	600	08/15/15		584
	1,190	05/15/16		1,139
	72,500	05/15/20		60,325

		Total U.S. Treasury Obligations (Cost $258,210)		304,028


SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 7.5%
		Investment Company — 7.5%
	104,030	JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (Cost $104,030)		104,030

		Total Investments — 99.6% (Cost $1,215,936)		1,380,992
		Other Assets in Excess of Liabilities — 0.4%		5,061

		NET ASSETS — 100.0%	$	1,386,053

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — 0.1%
	460	Countrywide Asset-Backed Certificates, Series 2004-13, Class MV8, VAR, 1.918%, 01/25/35 (f) (i)		24
	220	GSAA Trust, Series 2006-3, Class A1, VAR, 0.298%, 03/25/36		105
		Long Beach Mortgage Loan Trust,
	18	Series 2004-2, Class B, VAR, 3.718%, 06/25/34 (e) (f) (i)		17
	102	Series 2004-5, Class M6, VAR, 2.718%, 09/25/34 (f) (i)		19
	7,000	Unipac IX LLC, 13.000%, 04/11/13 (f) (i)		6,914

		Total Asset-Backed Securities (Cost $7,696)		7,079

	Convertible Bond — 0.0% (g)
		Materials — 0.0% (g)
		Construction Materials — 0.0% (g)
	1,839	U.S. Concrete, Inc., 9.500%, 08/31/15 (e) (Cost $1,839)		1,766

	Corporate Bonds — 79.9%
		Consumer Discretionary — 20.8%
		Auto Components — 0.1%
	51	Meritor, Inc., 8.750%, 03/01/12		52
	3,280	Pittsburgh Glass Works LLC, 8.500%, 04/15/16 (e)		3,140
	5,200	UCI International, Inc., 8.625%, 02/15/19		5,044

				8,236

		Automobiles — 1.1%
		Chrysler Group LLC/CG Co- Issuer, Inc.,
	13,000	8.000%, 06/15/19 (e)		11,342
	13,350	8.250%, 06/15/21 (e)		11,548
		Ford Holdings LLC,
	37,822	9.300%, 03/01/30 (m)		46,661
	7,750	9.375%, 03/01/20		8,875
		Ford Motor Co.,
	5,500	7.450%, 07/16/31		6,030
	325	7.500%, 08/01/26		327
	4,545	7.750%, 06/15/43		4,559
	3,425	8.900%, 01/15/32		3,932
	3,529	9.215%, 09/15/21		4,039
	6,228	9.980%, 02/15/47		7,481
		Motors Liquidation Co.,
	50	06/01/49		21
	9,300	0.000%, 09/01/25 (d)		70
	6,000	0.000%, 05/23/48 (d)		45
	34,006	0.000%, 07/15/33 (d)		255
	12,550	0.000%, 06/15/24 (d)		94


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Automobiles — Continued
	3,415	0.000%, 03/15/36 (d)		21
	973	5.250%, 03/06/32		399
	953	6.250%, 07/15/33		391
	10,255	6.750%, 05/01/28 (d)		77
	246	7.250%, 04/15/41		101
	284	7.250%, 07/15/41		116
	548	7.250%, 02/15/52		225
	404	7.375%, 05/15/48		166
	47	7.375%, 10/01/51		19
	25,800	7.700%, 04/15/16 (d)		193
	20,000	8.250%, 07/15/23 (d)		150
	3,000	Navistar International Corp., 8.250%, 11/01/21		3,105

				110,242

		Broadcasting & Cable TV — 3.1%
		Adelphia Communications Corp.,
	1,075	7.750%, 01/15/09 (d)		1
	1,450	8.125%, 07/15/03 (d)		1
	3,175	9.375%, 11/15/09 (d)		2
	3,500	10.875%, 10/01/10 (d)		2
		Cablevision Systems Corp.,
	4,400	7.750%, 04/15/18		4,554
	10,210	8.000%, 04/15/20		10,695
	3,075	8.625%, 09/15/17		3,260
	18,575	CCH II LLC/CCH II Capital Corp., 13.500%, 11/30/16		21,454
		CCO Holdings LLC/CCO Holdings Capital Corp.,
	30,120	6.500%, 04/30/21		29,442
	15,165	7.000%, 01/15/19		15,241
	5,565	7.000%, 01/15/19 (e)		5,579
	21,373	7.250%, 10/30/17		22,041
	10,295	7.875%, 04/30/18		10,707
	2,511	8.125%, 04/30/20		2,655
	36,900	Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.625%, 11/15/17 (e)		38,376
	4,585	Charter Communications Operating LLC/Charter Communications Operating Capital, 10.875%, 09/15/14 (e)		4,946
		CSC Holdings LLC,
	4,329	7.875%, 02/15/18		4,578
	8,405	8.625%, 02/15/19		9,266
	2,000	DISH DBS Corp., 7.125%, 02/01/16		2,040
	10,500	Insight Communications Co., Inc., 9.375%, 07/15/18 (e)		11,996
	5,450	Mediacom Broadband LLC/Mediacom Broadband Corp., 8.500%, 10/15/15		5,504


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Broadcasting & Cable TV — Continued
	23,117	Mediacom LLC/Mediacom Capital Corp., 9.125%, 08/15/19		23,348
		Sirius XM Radio, Inc.,
	2,844	8.750%, 04/01/15 (e)		3,086
	10,680	9.750%, 09/01/15 (e)		11,668
	18,940	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, (Germany), 8.125%, 12/01/17 (e)		19,319
	16,775	Virgin Media Finance plc, (United Kingdom), 8.375%, 10/15/19		18,075
		XM Satellite Radio, Inc.,
	5,353	7.625%, 11/01/18 (e)		5,474
	14,328	13.000%, 08/01/13 (e)		16,083

				299,393

		Diversified Consumer Services — 0.8%
	3,000	Carriage Services, Inc., 7.875%, 01/15/15		2,955
	21,575	Knowledge Learning Corp., 7.750%, 02/01/15 (e) (m)		20,712
	6,075	Mac-Gray Corp., 7.625%, 08/15/15		6,120
		Service Corp. International,
	925	6.750%, 04/01/15		971
	3,000	6.750%, 04/01/16		3,143
	11,755	7.000%, 06/15/17 (m)		12,284
	6,630	7.000%, 05/15/19		6,779
	3,850	7.625%, 10/01/18		4,119
	7,300	8.000%, 11/15/21		7,775
		Stewart Enterprises, Inc.,
	6,435	3.125%, 07/15/14		6,411
	5,625	3.375%, 07/15/16		5,541
	3,445	6.500%, 04/15/19		3,350

				80,160

		Gaming — 4.5%
	23,250	Ameristar Casinos, Inc., 7.500%, 04/15/21 (e)		23,192
	8,635	Boyd Gaming Corp., 9.125%, 12/01/18 (e)		8,052
	8,250	Caesars Entertainment Operating Co., Inc., 11.250%, 06/01/17		8,889
		Chukchansi Economic Development Authority,
	13,768	8.000%, 11/15/13 (e)		10,051
	12,450	VAR, 3.917%, 11/15/12 (e)		9,119
		CityCenter Holdings LLC/CityCenter Finance Corp.,
	3,325	7.625%, 01/15/16 (e)		3,234
	40,397	PIK, 11.500%, 01/15/17 (e)		38,781
	13,750	Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.500%, 07/01/19 (e)		13,200


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Gaming — Continued
	2,575	FireKeepers Development Authority, 13.875%, 05/01/15 (e)		2,936
		Isle of Capri Casinos, Inc.,
	16,388	7.000%, 03/01/14 (m)		15,774
	21,595	7.750%, 03/15/19 (e)		21,163
	7,500	Mandalay Resort Group, 7.625%, 07/15/13		7,238
	3,982	Mashantucket Western Pequot Tribe, 5.912%, 09/01/21 (d) (e)		1,912
	15,379	MCE Finance Ltd., (Cayman Islands), 10.250%, 05/15/18		16,994
		MGM Resorts International,
	1,728	6.625%, 07/15/15		1,555
	4,340	7.500%, 06/01/16		3,852
	44,321	7.625%, 01/15/17		40,221
	1,000	9.000%, 03/15/20		1,067
	20,375	10.000%, 11/01/16 (e)		20,579
	15,150	11.375%, 03/01/18		16,400
		Peninsula Gaming LLC,
	5,610	8.375%, 08/15/15		5,694
	27,937	10.750%, 08/15/17		28,705
	23,196	Pinnacle Entertainment, Inc., 8.750%, 05/15/20		23,312
	22,500	ROC Finance LLC/ROC Finance 1 Corp., 12.125%, 09/01/18 (e)		23,175
		San Pasqual Casino,
	11,459	8.000%, 09/15/13 (e)		11,287
	17,800	Seminole Hard Rock Entertainment, Inc., VAR, 2.747%, 03/15/14 (e)		16,020
	9,085	Seneca Gaming Corp., 8.250%, 12/01/18 (e)		8,926
	16,700	Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e) (m)		10,980
	8,965	Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., 8.625%, 04/15/16 (e)		8,920
		Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,
	7,980	7.750%, 08/15/20		8,718
	1,250	7.875%, 11/01/17		1,363
	12,420	7.875%, 05/01/20		13,320
	7,600	Yonkers Racing Corp., 11.375%, 07/15/16 (e)		7,942

				432,571

		Hotels, Restaurants & Leisure — 2.0%
	11,800	AMC Entertainment, Inc., 8.750%, 06/01/19 (m)		11,888
	42,327	Banc of America Large Loan, Inc., VAR, 1.957%, 11/15/15 (e)		37,747
	5,150	Burger King Corp., 9.875%, 10/15/18		5,498


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Hotels, Restaurants & Leisure — Continued
	6,650	Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 9.125%, 08/01/18		7,016
	4,500	Cinemark USA, Inc., 8.625%, 06/15/19		4,725
	4,930	CKE Holdings, Inc., PIK, 10.500%, 03/14/16 (e)		4,844
	21,654	CKE Restaurants, Inc., 11.375%, 07/15/18		23,034
	4,948	Dave & Buster’s, Inc., 11.000%, 06/01/18		5,146
	7,670	DineEquity, Inc., 9.500%, 10/30/18		7,958
	4,415	Landry’s Holdings, Inc., 11.500%, 06/01/14 (e)		4,338
		Landry’s Restaurants, Inc.,
	20,173	11.625%, 12/01/15 (e)		21,232
	2,550	O’Charley’s, Inc., 9.000%, 11/01/13		2,505
	3,250	Palace Entertainment Holdings LLC/Palace Entertainment Holdings Corp., 8.875%, 04/15/17 (e)		3,161
	7,940	Real Mex Restaurants, Inc., 14.000%, 01/01/13		6,392
		Royal Caribbean Cruises Ltd., (Liberia),
	6,666	7.250%, 06/15/16		6,883
	11,820	11.875%, 07/15/15 (m)		13,829
		Speedway Motorsports, Inc.,
	2,250	6.750%, 02/01/19		2,137
	7,500	8.750%, 06/01/16		7,913
		Universal City Development Partners Ltd./UCDP Finance, Inc.,
	2,693	8.875%, 11/15/15		2,969
	3,604	10.875%, 11/15/16		4,320
	6,101	Wendy’s/Arby’s Restaurants LLC, 10.000%, 07/15/16		6,551

				190,086

		Household Durables — 1.1%
	3,250	American Standard Americas, 10.750%, 01/15/16 (e)		2,633
	6,100	Beazer Homes USA, Inc., 6.875%, 07/15/15		4,422
		D.R. Horton, Inc.,
	353	5.625%, 09/15/14		357
	4,648	6.500%, 04/15/16		4,683
	25,355	K Hovnanian Enterprises, Inc., 10.625%, 10/15/16		22,629
		Lennar Corp.,
	5,175	5.600%, 05/31/15		4,839
	23,463	6.950%, 06/01/18		21,322
	8,000	12.250%, 06/01/17		9,060
	10,650	M/I Homes, Inc., 8.625%, 11/15/18		9,825


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Household Durables — Continued
		Standard Pacific Corp.,
	13,545	8.375%, 05/15/18		11,886
	15,250	8.375%, 01/15/21		13,115
	3,940	10.750%, 09/15/16		3,900

				108,671

		Internet & Catalog Retail — 0.1%
	7,260	Affinion Group, Inc., 7.875%, 12/15/18		6,425

		Leisure Equipment & Products — 0.6%
	43,349	Eastman Kodak Co., 9.750%, 03/01/18 (e)		37,497
	11,375	FGI Holding Co., Inc., PIK, 13.000%, 10/01/15		11,204
	11,440	Icon Health & Fitness, 11.875%, 10/15/16 (e)		10,868
	2,412	Steinway Musical Instruments, Inc., 7.000%, 03/01/14 (e)		2,418

				61,987

		Media — 4.1%
	7,000	Allbritton Communications Co., 8.000%, 05/15/18		6,808
	4,150	Barrington Broadcasting Group LLC/Barrington Broadcasting Capital Corp., 10.500%, 08/15/14		3,870
	15,400	Block Communications, Inc., 8.250%, 12/15/15 (e)		15,535
	3,500	Bresnan Broadband Holdings LLC, 8.000%, 12/15/18 (e)		3,535
	2,000	Cengage Learning Acquisitions, Inc., 10.500%, 01/15/15 (e)		1,540
	40,620	Clear Channel Communications, Inc., 9.000%, 03/01/21		32,699
		Clear Channel Worldwide Holdings, Inc.,
	4,500	9.250%, 12/15/17		4,770
	18,210	9.250%, 12/15/17		19,485
		DISH DBS Corp.,
	24,965	6.750%, 06/01/21 (e)		25,152
	19,515	7.875%, 09/01/19		20,735
	2,985	Entravision Communications Corp., 8.750%, 08/01/17		2,910
	4,288	Fisher Communications, Inc., 8.625%, 09/15/14		4,192
		Gannett Co., Inc.,
	4,510	7.125%, 09/01/18 (e)		4,296
	3,975	8.750%, 11/15/14		4,263
	1,348	9.375%, 11/15/17		1,449
	4,714	10.000%, 04/01/16		5,185
		Intelsat Jackson Holdings S.A., (Luxembourg),
	7,940	7.250%, 10/15/20 (e)		7,622


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Media — Continued
	5,250	8.500%, 11/01/19		5,447
		Intelsat Luxembourg S.A., (Luxembourg),
	92,034	PIK, 12.500%, 02/04/17 (e)		89,388
	3,045	Interactive Data Corp., 10.250%, 08/01/18		3,289
	1,000	Lamar Media Corp., 7.875%, 04/15/18		1,012
	406	LIN Television Corp., 6.500%, 05/15/13		394
	15,240	McClatchy Co. (The), 11.500%, 02/15/17		14,707
	22,525	Media General, Inc., 11.750%, 02/15/17		18,752
	5,850	NAI Entertainment Holdings LLC, 8.250%, 12/15/17 (e)		5,909
		Nexstar Broadcasting, Inc.,
	4,560	7.000%, 01/15/14		4,469
	4,850	Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875%, 04/15/17		4,971
	8,705	Nielsen Finance LLC/Nielsen Finance Co., 7.750%, 10/15/18 (e)		8,988
	3,750	Quebecor Media, Inc., (Canada), 7.750%, 03/15/16		3,778
	7,745	Radio One, Inc., PIK, 15.000%, 05/24/16 (e)		7,299
	5,500	RadioShack Corp., 6.750%, 05/15/19 (e)		5,143
	13,862	Telesat Canada/Telesat LLC, (Canada), 11.000%, 11/01/15		14,884
	19,000	Univision Communications, Inc., 6.875%, 05/15/19 (e)		17,575
	10,415	Valassis Communications, Inc., 6.625%, 02/01/21		9,868
		WMG Acquisition Corp.,
	8,170	9.500%, 06/15/16 (e)		8,333
	6,000	11.500%, 10/01/18 (e)		5,460

				393,712

		Multiline Retail — 1.0%
	11,445	HSN, Inc., 11.250%, 08/01/16		12,589
		QVC, Inc.,
	2,425	7.125%, 04/15/17 (e)		2,534
	12,425	7.375%, 10/15/20 (e)		13,357
	14,550	7.500%, 10/01/19 (e)		15,678
	58,475	Sears Holdings Corp., 6.625%, 10/15/18 (e)		48,534

				92,692

		Specialty Retail — 2.1%
	1,900	Academy Ltd./Academy Finance Corp., 9.250%, 08/01/19 (e)		1,815
	9,150	ACE Hardware Corp., 9.125%, 06/01/16 (e)		9,608
	4,118	Asbury Automotive Group, Inc., 8.375%, 11/15/20		4,046
	11,950	Claire’s Stores, Inc., 8.875%, 03/15/19		10,202


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Specialty Retail — Continued
	13,327	Gymboree Corp., 9.125%, 12/01/18		11,528
	11,425	J. Crew Group, Inc., 8.125%, 03/01/19		10,197
	15,000	Limited Brands, Inc., 6.625%, 04/01/21		15,188
		Michaels Stores, Inc.,
	16,815	7.750%, 11/01/18		15,911
	12,665	11.375%, 11/01/16		13,140
	48,074	SUB, 11/01/16		49,035
		Nebraska Book Co., Inc.,
	13,173	8.625%, 03/15/12 (d)		8,035
	3,907	10.000%, 12/01/11		3,702
	1,500	Needle Merger Sub Corp., 8.125%, 03/15/19 (e)		1,395
	11,850	Penske Automotive Group, Inc., 7.750%, 12/15/16 (m)		11,998
	19,420	Toys R Us - Delaware, Inc., 7.375%, 09/01/16 (e)		18,837
	9,950	Toys R Us Property Co. II LLC, 8.500%, 12/01/17		10,149

				194,786

		Textiles, Apparel & Luxury Goods — 0.2%
	2,805	Broder Brothers Co., PIK, 12.000%, 10/15/13 (e)		2,798
	17,391	Quiksilver, Inc., 6.875%, 04/15/15 (m)		16,304

				19,102

		Total Consumer Discretionary		1,998,063

		Consumer Staples — 3.4%
		Beverages — 0.2%
		Constellation Brands, Inc.,
	2,900	7.250%, 09/01/16		3,085
	5,375	7.250%, 05/15/17		5,697
	6,240	8.375%, 12/15/14		6,927
	1,120	Cott Beverages, Inc., 8.125%, 09/01/18		1,159

				16,868

		Food & Staples Retailing — 1.5%
	22,665	Ingles Markets, Inc., 8.875%, 05/15/17 (m)		23,572
		Rite Aid Corp.,
	24,990	7.500%, 03/01/17 (m)		24,303
	20,800	9.500%, 06/15/17		18,200
	13,400	9.750%, 06/12/16		14,388
	9,050	10.250%, 10/15/19		9,480
	8,750	10.375%, 07/15/16		9,176
		SUPERVALU, Inc.,
	15,525	7.500%, 11/15/14		15,525


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Food & Staples Retailing — Continued
	33,850	8.000%, 05/01/16		33,173

				147,817

		Food Products — 1.0%
	5,272	Chiquita Brands International, Inc., 7.500%, 11/01/14 (m)		5,272
	2,000	Dean Foods Co., 7.000%, 06/01/16		1,900
	11,690	Del Monte Foods Co., 7.625%, 02/15/19 (e)		11,602
	309	Dole Food Co., Inc., 13.875%, 03/15/14		359
	2,418	Eurofresh, Inc., 15.000%, 11/18/16 (f) (i)		2,128
		JBS USA LLC/JBS USA Finance, Inc.,
	19,500	7.250%, 06/01/21 (e)		17,721
	7,754	11.625%, 05/01/14		8,607
	1,000	Michael Foods, Inc., 9.750%, 07/15/18		1,050
	25,345	Pilgrim’s Pride Corp., 7.875%, 12/15/18 (e)		21,543
	8,250	Simmons Foods, Inc., 10.500%, 11/01/17 (e)		7,528
		Smithfield Foods, Inc.,
	8,285	7.750%, 07/01/17		8,668
	435	10.000%, 07/15/14		492
	7,014	Tyson Foods, Inc., 6.850%, 04/01/16 (m)		7,601

				94,471

		Household Products — 0.3%
	5,160	Armored Autogroup, Inc., 9.250%, 11/01/18 (e)		4,541
	19,814	Spectrum Brands Holdings, Inc., PIK, 12.000%, 08/28/19		21,474

				26,015

		Personal Products — 0.1%
	18,695	American Achievement Corp., 10.875%, 04/15/16 (e)		14,956

		Tobacco — 0.3%
	22,705	Alliance One International, Inc., 10.000%, 07/15/16		20,520
	7,000	Vector Group Ltd., 11.000%, 08/15/15		7,227

				27,747

		Total Consumer Staples		327,874

		Energy — 10.9%
		Energy Equipment & Services — 1.8%
	10,665	Cie Generale de Geophysique- Veritas, (France), 6.500%, 06/01/21 (e)		10,025
	7,343	Exterran Holdings, Inc., 7.250%, 12/01/18 (e)		7,123
	6,247	Global Geophysical Services, Inc., 10.500%, 05/01/17		6,325
	5,513	Helix Energy Solutions Group, Inc., 9.500%, 01/15/16 (e) (m)		5,623


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Energy Equipment & Services — Continued
	10,725	Key Energy Services, Inc., 6.750%, 03/01/21		10,510
	20,505	McJunkin Red Man Corp., 9.500%, 12/15/16		20,608
	27,200	Ocean Rig UDW, Inc., 9.500%, 04/27/16		24,752
	22,000	Oil States International, Inc., 6.500%, 06/01/19 (e)		22,000
	11,000	PHI, Inc., 8.625%, 10/15/18		10,973
		Precision Drilling Corp., (Canada),
	5,550	6.500%, 12/15/21 (e)		5,550
	9,845	6.625%, 11/15/20		9,968
	16,200	Seadrill Ltd., (Bermuda), 6.500%, 10/05/15		15,228
	21,500	Sevan Marine ASA, (Norway), VAR, 3.417%, 05/14/13 (e)		15,050
	7,930	Trinidad Drilling Ltd., (Canada), 7.875%, 01/15/19 (e)		8,089

				171,824

		Oil, Gas & Consumable Fuels — 9.1%
		Alpha Natural Resources, Inc.,
	9,675	6.000%, 06/01/19		9,457
	8,925	6.250%, 06/01/21		8,736
	14,950	Alta Mesa Holdings/Alta Mesa Finance Services Corp., 9.625%, 10/15/18		14,202
		AmeriGas Partners LP/AmeriGas Finance Corp.,
	10,125	6.250%, 08/20/19		9,846
	6,270	6.500%, 05/20/21		6,145
	5,755	Antero Resources Finance Corp., 9.375%, 12/01/17		6,100
		Arch Coal, Inc.,
	13,000	7.000%, 06/15/19 (e)		12,805
	4,870	7.250%, 10/01/20		4,797
	13,000	7.250%, 06/15/21 (e)		12,805
	41,857	Bill Barrett Corp., 9.875%, 07/15/16 (m)		45,938
		Brigham Exploration Co.,
	5,700	6.875%, 06/01/19 (e)		5,657
	17,920	8.750%, 10/01/18		19,533
	6,385	Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 05/01/19 (e)		6,162
		Chesapeake Energy Corp.,
	15,065	6.125%, 02/15/21		15,291
	2,100	6.625%, 08/15/20		2,194
	7,560	6.875%, 08/15/18		7,900
	8,120	6.875%, 11/15/20		8,567
	6,880	7.250%, 12/15/18		7,396
	10,775	9.500%, 02/15/15		12,176
	18,587	Citgo Petroleum Corp., 11.500%, 07/01/17 (e)		20,446


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
		Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp.,
	11,455	8.250%, 12/15/17		11,799
	8,310	8.500%, 12/15/19		8,497
	37,653	Comstock Resources, Inc., 8.375%, 10/15/17		38,783
		Concho Resources, Inc.,
	7,855	6.500%, 01/15/22		7,894
	7,304	7.000%, 01/15/21		7,487
		Consol Energy, Inc.,
	1,410	6.375%, 03/01/21 (e)		1,399
	6,055	8.000%, 04/01/17		6,441
	7,825	8.250%, 04/01/20		8,412
	3,575	Continental Resources, Inc., 7.125%, 04/01/21		3,682
	13,993	Denbury Resources, Inc., 8.250%, 02/15/20		14,745
		El Paso Corp.,
	4,950	6.500%, 09/15/20		5,346
	4,305	6.875%, 06/15/14		4,795
	950	7.000%, 06/15/17		1,056
	3,869	7.250%, 06/01/18		4,286
	4,800	El Paso Pipeline Partners Operating Co., LLC, 6.500%, 04/01/20		5,451
	2,000	Encore Acquisition Co., 9.500%, 05/01/16		2,190
	7,870	Energy XXI Gulf Coast, Inc., 7.750%, 06/15/19		7,398
		Ferrellgas LP/Ferrellgas Finance Corp.,
	7,200	6.500%, 05/01/21		6,462
	3,750	9.125%, 10/01/17		3,844
	10,870	Foresight Energy LLC/Foresight Energy Corp., 9.625%, 08/15/17 (e)		10,924
		Forest Oil Corp.,
	35,123	7.250%, 06/15/19 (m)		34,772
	8,165	8.500%, 02/15/14		8,736
		Frontier Oil Corp.,
	4,250	6.875%, 11/15/18		4,377
	7,355	8.500%, 09/15/16		7,760
		Hilcorp Energy I LP/Hilcorp Finance Co.,
	14,605	7.625%, 04/15/21 (e)		14,751
	9,410	8.000%, 02/15/20 (e)		9,786
		Holly Energy Partners LP/Holly Energy Finance Corp.,
	11,575	6.250%, 03/01/15 (m)		11,344
	5,700	8.250%, 03/15/18		5,899
	7,270	HollyFrontier Corp., 9.875%, 06/15/17		7,961
		Inergy LP/Inergy Finance Corp.,
	10,525	6.875%, 08/01/21 (e)		10,104
	14,000	7.000%, 10/01/18		13,615


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Oil, Gas & Consumable Fuels — Continued
	5,325	Linn Energy LLC/Linn Energy Finance Corp., 6.500%, 05/15/19 (e)		5,085
	13,403	MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.750%, 11/01/20		13,738
		Newfield Exploration Co.,
	6,180	6.625%, 09/01/14		6,227
	10,265	6.875%, 02/01/20		10,624
	3,675	7.125%, 05/15/18		3,822
		NFR Energy LLC/NFR Energy Finance Corp.,
	28,141	9.750%, 02/15/17 (e)		25,045
	7,500	Patriot Coal Corp., 8.250%, 04/30/18		7,050
		Penn Virginia Corp.,
	2,025	7.250%, 04/15/19		1,934
	17,277	10.375%, 06/15/16 (m)		18,832
	4,800	Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., 8.250%, 04/15/18		4,680
	16,000	Petrohawk Energy Corp., 6.250%, 06/01/19 (e)		18,600
	7,000	Pioneer Drilling Co., 9.875%, 03/15/18		7,315
		Pioneer Natural Resources Co.,
	2,499	5.875%, 07/15/16		2,614
	4,635	6.650%, 03/15/17		4,999
	4,950	6.875%, 05/01/18		5,362
	15,897	7.500%, 01/15/20		17,811
		Plains Exploration & Production Co.,
	5,040	7.625%, 04/01/20		5,241
	7,475	10.000%, 03/01/16		8,260
	18,154	QEP Resources, Inc., 6.875%, 03/01/21		19,062
		Range Resources Corp.,
	8,330	5.750%, 06/01/21		8,372
	1,080	6.750%, 08/01/20		1,131
	3,270	7.250%, 05/01/18		3,466
	2,000	7.500%, 10/01/17		2,115
	2,000	8.000%, 05/15/19		2,175
	12,000	Regency Energy Partners LP/Regency Energy Finance Corp., 6.500%, 07/15/21		12,030
	19,399	SM Energy Co., 6.625%, 02/15/19 (e)		19,399
		Swift Energy Co.,
	16,772	7.125%, 06/01/17		16,604
	12,536	8.875%, 01/15/20		13,288
		Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
	15,310	6.875%, 02/01/21 (e)		15,157
	9,090	7.875%, 10/15/18		9,544
	10,956	8.250%, 07/01/16		11,449


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
	6,375	Unit Corp., 6.625%, 05/15/21		6,248
	7,000	Venoco, Inc., 8.875%, 02/15/19		6,265
	18,776	W&T Offshore, Inc., 8.500%, 06/15/19 (e)		18,776
		Western Refining, Inc.,
	5,967	11.250%, 06/15/17 (e)		6,534
	9,872	VAR, 10.750%, 06/15/14 (e)		10,415
	3,280	Whiting Petroleum Corp., 6.500%, 10/01/18		3,280

				878,698

		Total Energy		1,050,522

		Financials — 9.9%
		Capital Markets — 0.0% (g)
	4,320	Oppenheimer Holdings, Inc., 8.750%, 04/15/18		4,320

		Commercial Banks — 1.7%
		Bank of America Corp.,
	3,550	5.625%, 07/01/20		3,595
	45,644	VAR, 8.000%, 01/30/18 (x)		43,157
	20,195	VAR, 8.125%, 05/15/18 (x)		19,094
	1,100	BankAmerica Capital II, 8.000%, 12/15/26		1,094
	12,575	BankAmerica Institutional Capital B, 7.700%, 12/31/26 (e)		12,324
		Barclays Bank plc, (United Kingdom),
	6,175	VAR, 5.926%, 12/15/16 (e) (m) (x)		5,064
	17,350	VAR, 7.434%, 12/15/17 (e) (m) (x)		15,615
	12,671	Countrywide Capital III, 8.050%, 06/15/27		12,671
	1,922	NB Capital Trust II, 7.830%, 12/15/26		1,884
	4,750	NB Capital Trust IV, 8.250%, 04/15/27		4,750
	52,588	Wachovia Capital Trust III, VAR, 5.570%, 10/03/11 (m) (x)		46,014

				165,262

		Consumer Finance — 2.3%
		Ally Financial, Inc.,
	22,325	6.250%, 12/01/17		21,475
	6,100	7.500%, 09/15/20		5,993
	79,739	8.000%, 11/01/31		77,945
		Ford Motor Credit Co. LLC,
	2,100	5.000%, 05/15/18		2,038
	8,250	5.750%, 02/01/21		8,226
	5,525	6.625%, 08/15/17		5,784
	5,500	8.000%, 06/01/14 (m)		5,948
	29,945	8.000%, 12/15/16 (m)		33,221
	10,500	8.125%, 01/15/20		11,736
	6,850	8.700%, 10/01/14		7,590


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Consumer Finance — Continued
	47,079	Springleaf Finance Corp., 6.900%, 12/15/17		39,782

				219,738

		Diversified Financial Services — 2.4%
	7,610	ACE Cash Express, Inc., 11.000%, 02/01/19 (e)		7,172
	3,500	Aircastle Ltd., (Bermuda), 9.750%, 08/01/18		3,684
	6,495	Cardtronics, Inc., 8.250%, 09/01/18		6,820
		CIT Group, Inc.,
	32,570	6.625%, 04/01/18 (e)		32,570
	15,600	7.000%, 05/02/16 (e)		15,522
	22,815	7.000%, 05/02/17 (e)		22,530
		CNG Holdings, Inc.,
	5,750	12.250%, 02/15/15 (e)		6,124
	1,300	13.750%, 08/15/15 (e)		1,384
	5,695	Community Choice Financial, Inc., 10.750%, 05/01/19 (e)		5,809
		Deluxe Corp.,
	2,258	7.000%, 03/15/19 (e)		2,230
	8,132	7.375%, 06/01/15		8,193
	10,878	Highland Ranch, 6.700%, 09/01/20 (f) (i)		10,062
	9,885	ILFC E-Capital Trust I, VAR, 5.740%, 12/21/65 (e)		7,145
	12,270	ILFC E-Capital Trust II, VAR, 6.250%, 12/21/65 (e)		9,570
		International Lease Finance Corp.,
	13,040	6.250%, 05/15/19		11,802
	16,960	8.250%, 12/15/20		17,257
	700	8.625%, 09/15/15		714
	13,045	8.750%, 03/15/17		13,404
	10,600	8.875%, 09/01/17		10,838
	10,165	NBC Acquisition Corp., 11.000%, 03/15/13 (d)		203
	1,115	Speedy Cash, Inc., 10.750%, 05/15/18 (e)		1,115
	5,851	SquareTwo Financial Corp., 11.625%, 04/01/17		5,763
	12,950	Tops Holding Corp./Tops Markets LLC, 10.125%, 10/15/15		13,047
	19,950	UPCB Finance III Ltd., (Cayman Islands), 6.625%, 07/01/20 (e)		19,651

				232,609

		Insurance — 2.5%
	32,940	American International Group, Inc., VAR, 8.175%, 05/15/58		32,703
	26,550	Catlin Insurance Co., Ltd., (Bermuda), VAR, 7.249%, 01/19/17 (e) (x)		23,762
	8,509	CNO Financial Group, Inc., 9.000%, 01/15/18 (e)		8,849


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Insurance — Continued
	34,242	HUB International Holdings, Inc., 10.250%, 06/15/15 (e) (m)		32,444
		Liberty Mutual Group, Inc.,
	17,175	7.800%, 03/15/37 (e)		16,145
	78,067	VAR, 10.750%, 06/15/58 (e)		96,022
	2,500	Stoneheath RE, (Cayman Islands), VAR, 6.868%, 10/15/11 (x)		2,275
		USI Holdings Corp.,
	17,386	9.750%, 05/15/15 (e) (m)		16,430
	8,455	VAR, 4.161%, 11/15/14 (e)		7,567
	5,500	XL Group plc, (Ireland), VAR, 6.500%, 04/15/17 (x)		4,854

				241,051

		Real Estate Investment Trusts (REITs) — 0.9%
	15,100	Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.750%, 02/15/19		15,025
	14,425	CB Richard Ellis Services, Inc., 6.625%, 10/15/20		14,101
	27,230	CNL Lifestyle Properties, Inc., 7.250%, 04/15/19		23,554
	10,086	DuPont Fabros Technology LP, 8.500%, 12/15/17		10,641
	12,229	First Industrial LP, 6.420%, 06/01/14		12,728
		Host Hotels & Resorts LP,
	8,500	6.000%, 11/01/20		8,266
	790	6.875%, 11/01/14		807
	5,000	9.000%, 05/15/17		5,475

				90,597

		Real Estate Management & Development — 0.1%
	9,190	Kennedy-Wilson, Inc., 8.750%, 04/01/19 (e)		8,788

		Total Financials		962,365

		Health Care — 5.0%
		Biotechnology — 0.0% (g)
	1,925	Bio-Rad Laboratories, Inc., 8.000%, 09/15/16		2,103

		Health Care Equipment & Supplies — 0.2%
	13,650	Biomet, Inc., 10.000%, 10/15/17 (m)		14,298
	3,500	Teleflex, Inc., 6.875%, 06/01/19		3,474
	2,286	VWR Funding, Inc., 10.750%, 06/30/17 (e)		2,218

				19,990

		Health Care Providers & Services — 3.5%
	6,936	Capella Healthcare, Inc., 9.250%, 07/01/17 (e)		6,780
	10,825	CDRT Merger Sub, Inc., 8.125%, 06/01/19 (e)		10,094
	43,531	CHS/Community Health Systems, Inc., 8.875%, 07/15/15		44,130


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Health Care Providers & Services — Continued
		DaVita, Inc.,
	8,500	6.375%, 11/01/18		8,351
	8,450	6.625%, 11/01/20		8,281
		Fresenius Medical Care U.S. Finance, Inc.,
	6,000	5.750%, 02/15/21 (e)		5,760
	8,669	6.875%, 07/15/17		9,037
		HCA, Inc.,
	3,716	5.750%, 03/15/14		3,679
	2,550	6.300%, 10/01/12 (m)		2,588
	5,553	6.375%, 01/15/15		5,456
	21,135	6.500%, 02/15/20		21,373
	1,275	6.750%, 07/15/13		1,300
	5,275	7.250%, 09/15/20		5,420
	16,070	7.500%, 02/15/22		15,909
	8,556	8.500%, 04/15/19		9,326
	3,765	9.875%, 02/15/17		4,123
	8,992	Health Management Associates, Inc., 6.125%, 04/15/16		8,767
	32,800	IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 05/15/19 (e)		28,700
	14,210	inVentiv Health, Inc., 10.000%, 08/15/18 (e)		12,825
	5,250	Kindred Healthcare, Inc., 8.250%, 06/01/19 (e)		4,672
	5,200	LifePoint Hospitals, Inc., 6.625%, 10/01/20		5,070
	18,600	Multiplan, Inc., 9.875%, 09/01/18 (e)		18,879
	6,395	Omega Healthcare Investors, Inc., 6.750%, 10/15/22		6,139
		Omnicare, Inc.,
	8,501	6.875%, 12/15/15		8,671
	5,418	7.750%, 06/01/20		5,526
	8,400	OnCure Holdings, Inc., 11.750%, 05/15/17		7,581
	8,100	Radiation Therapy Services, Inc., 9.875%, 04/15/17		7,492
	5,468	Select Medical Corp., 7.625%, 02/01/15		5,031
		Tenet Healthcare Corp.,
	13,394	8.875%, 07/01/19		14,198
	425	9.000%, 05/01/15		451
	425	10.000%, 05/01/18		467
		Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc.,
	11,862	7.750%, 02/01/19		11,120
	33,350	8.000%, 02/01/18		31,766
		Ventas Realty LP/Ventas Capital Corp.,
	1,899	6.500%, 06/01/16		1,959
	3,000	6.750%, 04/01/17		3,130

				344,051


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Pharmaceuticals — 1.3%
	14,378	Catalent Pharma Solutions, Inc., PIK, 9.500%, 04/15/15		13,300
	10,120	Celtic Pharma Phinco B.V., PIK, 17.000%, 06/15/12 (f) (i)		3,960
		Elan Finance plc/Elan Finance Corp., (Ireland),
	38,600	8.750%, 10/15/16		39,951
		Endo Pharmaceuticals Holdings, Inc.,
	4,500	7.000%, 07/15/19 (e)		4,556
	6,000	7.250%, 01/15/22 (e)		6,120
	3,650	Giant Funding Corp., 8.250%, 02/01/18 (e)		3,650
	16,802	Mylan, Inc., 7.875%, 07/15/20 (e)		17,978
		Valeant Pharmaceuticals International,
	9,225	6.500%, 07/15/16 (e)		8,764
	5,450	6.750%, 10/01/17 (e)		5,069
	9,400	6.875%, 12/01/18 (e)		8,648
	10,570	7.000%, 10/01/20 (e)		9,566
	950	7.250%, 07/15/22 (e)		845

				122,407

		Total Health Care		488,551

		Industrials — 8.3%
		Aerospace & Defense — 1.3%
	6,380	Alliant Techsystems, Inc., 6.875%, 09/15/20		6,364
	6,575	BE Aerospace, Inc., 6.875%, 10/01/20		6,740
	5,750	Colt Defense LLC/Colt Finance Corp., 8.750%, 11/15/17		3,709
	16,465	CPI International, Inc., 8.000%, 02/15/18		14,819
		Esterline Technologies Corp.,
	4,910	6.625%, 03/01/17		4,984
	1,565	7.000%, 08/01/20		1,631
	1,250	Hexcel Corp., 6.750%, 02/01/15		1,272
		Huntington Ingalls Industries, Inc.,
	13,022	6.875%, 03/15/18 (e)		12,241
	7,270	7.125%, 03/15/21 (e)		6,834
		Kratos Defense & Security Solutions, Inc.,
	17,990	10.000%, 06/01/17		18,485
	7,100	10.000%, 06/01/17 (e)		7,224
	2,777	Moog, Inc., 7.250%, 06/15/18		2,867
		Spirit Aerosystems, Inc.,
	13,558	6.750%, 12/15/20		13,524
	4,500	7.500%, 10/01/17		4,646
		Triumph Group, Inc.,
	9,066	8.000%, 11/15/17		9,360
	8,380	8.625%, 07/15/18		8,925

				123,625


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Airlines — 1.1%
	384	American Airlines Pass Through Trust 2001-01, 7.377%, 05/23/19		280
	2,483	American Airlines Pass Through Trust 2011-01, 7.000%, 01/31/18 (e)		2,136
	13,601	Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18		13,465
	2,002	Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19		2,082
	12,644	Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21 (m)		13,087
	2,561	Continental Airlines 2006-1 Class G Pass-Through Trust, VAR, FGIC, 0.603%, 06/02/13		2,420
	5,386	Continental Airlines 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e)		5,009
	600	Continental Airlines 2010-1 Class A Pass-Through Trust, 4.750%, 01/12/21		561
	3,200	Continental Airlines, Inc., 6.750%, 09/15/15 (e)		3,120
		Delta Air Lines, Inc.,
	4,983	8.021%, 08/10/22		4,984
	6,419	8.954%, 08/10/14		6,483
	602	9.500%, 09/15/14 (e)		617
	417	9.750%, 12/17/16		428
		Northwest Airlines, Inc.,
	32,657	7.027%, 11/01/19		32,657
	1,933	8.028%, 11/01/17		1,953
	1,276	UAL 2007-1 Class C Pass- Through Trust, VAR, 2.647%, 07/02/14		1,123
		UAL 2007-1 Pass-Through Trust,
	8,007	6.636%, 07/02/22		8,027
	988	7.336%, 07/02/19		889
	4,429	UAL 2009-2A Pass-Through Trust, 9.750%, 01/15/17		4,850

				104,171

		Building Products — 0.7%
	5,460	Associated Materials LLC, 9.125%, 11/01/17		4,805
		Building Materials Corp. of America,
	12,540	6.750%, 05/01/21 (e)		12,007
	19,475	6.875%, 08/15/18 (e)		19,086
	5,265	7.000%, 02/15/20 (e)		5,265
	8,225	Calcipar S.A., (Luxembourg), 6.875%, 05/01/18 (e)		7,793
	567	Masco Corp., 5.850%, 03/15/17		564
	15,300	Nortek, Inc., 8.500%, 04/15/21 (e)		13,081

				62,601


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Commercial Services & Supplies — 1.2%
	5,975	B-Corp. Merger Sub, Inc., 8.250%, 06/01/19 (e)		5,557
		Cenveo Corp.,
	27,503	8.875%, 02/01/18		22,277
	7,250	10.500%, 08/15/16 (e)		6,308
		FTI Consulting, Inc.,
	8,500	6.750%, 10/01/20		8,383
	2,000	7.750%, 10/01/16		2,035
	12,104	Garda World Security Corp., (Canada), 9.750%, 03/15/17 (e)		12,407
	4,345	Geo Group, Inc. (The), 6.625%, 02/15/21		4,280
		Harland Clarke Holdings Corp.,
	8,297	9.500%, 05/15/15		6,762
	25,740	VAR, 6.000%, 05/15/15		19,176
		Iron Mountain, Inc.,
	2,938	8.000%, 06/15/20		3,004
	631	8.375%, 08/15/21		653
	3,205	8.750%, 07/15/18		3,285
	2,485	Liberty Tire Recycling, 11.000%, 10/01/16 (e)		2,616
	2,465	Mobile Mini, Inc., 7.875%, 12/01/20		2,397
		Quebecor World Capital Corp., (Canada),
	8,325	6.125%, 11/15/13 (d)		183
	6,815	6.500%, 08/01/27 (d)		150
	3,825	9.750%, 01/15/15 (d)		84
		R.R. Donnelley & Sons Co.,
	8,100	7.250%, 05/15/18		7,411
	4,150	7.625%, 06/15/20		3,839
	5,210	WCA Waste Corp., 7.500%, 06/15/19 (e)		5,210

				116,017

		Construction & Engineering — 0.8%
	2,200	Dycom Investments, Inc., 7.125%, 01/15/21		2,178
	2,580	Great Lakes Dredge & Dock Corp., 7.375%, 02/01/19 (e)		2,451
	1,000	New Enterprise Stone & Lime Co., 11.000%, 09/01/18 (e)		885
		RSC Equipment Rental, Inc./RSC Holdings III LLC,
	13,240	8.250%, 02/01/21		12,346
	12,919	9.500%, 12/01/14 (m)		12,919
	9,400	Tutor Perini Corp., 7.625%, 11/01/18		8,272
		United Rentals North America, Inc.,
	11,750	8.375%, 09/15/20		10,722
	12,250	9.250%, 12/15/19 (m)		12,771
	8,865	10.875%, 06/15/16		9,707

				72,251


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Electrical Equipment — 0.2%
		Belden, Inc.,
	5,358	7.000%, 03/15/17		5,358
	5,315	9.250%, 06/15/19		5,634
	5,910	International Wire Group Holdings, Inc., 9.750%, 04/15/15 (e)		6,028

				17,020

		Environmental Services — 0.1%
		Casella Waste Systems, Inc.,
	2,395	7.750%, 02/15/19 (e)		2,305
	7,455	11.000%, 07/15/14		7,986

				10,291

		Industrial Conglomerates — 0.4%
	1,350	Dynacast International LLC/Dynacast Finance, Inc., 9.250%, 07/15/19 (e)		1,286
	26,680	JB Poindexter & Co., Inc., 8.750%, 03/15/14 (m)		26,413
	12,725	Trimas Corp., 9.750%, 12/15/17 (m)		13,680

				41,379

		Machinery — 0.4%
	5,440	Boart Longyear Management Pty Ltd., (Australia), 7.000%, 04/01/21 (e)		5,399
	9,000	Briggs & Stratton Corp., 6.875%, 12/15/20		9,023
	3,995	Columbus McKinnon Corp., 7.875%, 02/01/19		3,935
	4,778	Commercial Vehicle Group, Inc., 7.875%, 04/15/19 (e)		4,563
	3,000	Griffon Corp., 7.125%, 04/01/18		2,835
		SPX Corp.,
	5,175	6.875%, 09/01/17		5,395
	1,325	7.625%, 12/15/14		1,428
	4,550	Thermadyne Holdings Corp., 9.000%, 12/15/17		4,618
	8,165	Titan International, Inc., 7.875%, 10/01/17		8,573

				45,769

		Marine — 1.1%
	14,590	ACL I Corp., PIK, 11.375%, 02/15/16 (e)		12,183
	9,400	Bluewater Holding B.V., (Netherlands), VAR, 3.250%, 07/17/14 (e)		7,050
	26,540	CMA CGM S.A., (France), 8.500%, 04/15/17 (e)		12,076
	16,808	Commercial Barge Line Co., 12.500%, 07/15/17		18,258
	22,860	General Maritime Corp., 12.000%, 11/15/17		12,001
	4,537	Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc., 8.625%, 11/01/17 (e)		3,783


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Marine — Continued
	25,881	Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17		23,940
	6,000	Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc., 9.250%, 04/15/19 (e)		5,250
	13,580	Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14		13,274

				107,815

		Road & Rail — 1.0%
		Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,
	4,475	7.750%, 05/15/16		4,436
	9,075	8.250%, 01/15/19		8,780
	16,295	9.625%, 03/15/18		16,661
		Hertz Corp. (The),
	7,127	6.750%, 04/15/19 (e)		6,646
	2,298	7.500%, 10/15/18 (e)		2,252
		Kansas City Southern de Mexico S.A. de C.V., (Mexico),
	5,975	6.125%, 06/15/21 (e)		5,960
	5,873	6.625%, 12/15/20 (e)		6,108
	4,484	Kansas City Southern Railway, 8.000%, 06/01/15 (m)		4,764
	10,515	Quality Distribution LLC/QD Capital Corp., 9.875%, 11/01/18		10,502
	23,824	RailAmerica, Inc., 9.250%, 07/01/17		25,730

				91,839

		Total Industrials		792,778

		Information Technology — 4.0%
		Communications Equipment — 0.7%
		Avaya, Inc.,
	14,925	7.000%, 04/01/19 (e)		13,432
	39,750	9.750%, 11/01/15		33,788
	17,145	Brightstar Corp., 9.500%, 12/01/16 (e)		17,659
		EH Holding Corp.,
	5,340	6.500%, 06/15/19 (e)		5,340
	2,355	7.625%, 06/15/21 (e)		2,343

				72,562

		Computers & Peripherals — 0.5%
	7,390	Seagate HDD, (Cayman Islands), 6.875%, 05/01/20		7,076
		Seagate HDD Cayman, (Cayman Islands),
	4,665	7.000%, 11/01/21 (e)		4,409
	13,570	7.750%, 12/15/18 (e)		13,468


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Computers & Peripherals — Continued
	18,075	Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16		18,346
	8,193	Stratus Technologies Bermuda Ltd./Stratus Technologies, Inc., (Bermuda), 12.000%, 03/29/15		7,251

				50,550

		Electronic Equipment, Instruments & Components — 0.5%
	15,559	Intcomex, Inc., 13.250%, 12/15/14		15,170
	12,358	Kemet Corp., 10.500%, 05/01/18		13,161
	3,200	Sanmina-SCI Corp., VAR, 2.997%, 06/15/14 (e)		3,088
	2,219	Smart Modular Technologies WWH, Inc., (Cayman Islands), VAR, 5.746%, 04/01/12 (f) (i)		2,219
	9,527	Viasystems, Inc., 12.000%, 01/15/15 (e)		10,444

				44,082

		Internet Software & Services — 0.2%
	14,000	eAccess Ltd., (Japan), 8.250%, 04/01/18 (e)		13,510
		Equinix, Inc.,
	1,200	7.000%, 07/15/21		1,218
	7,225	8.125%, 03/01/18		7,658

				22,386

		IT Services — 0.9%
	625	Compucom Systems, Inc., 12.500%, 10/01/15 (e)		630
		First Data Corp.,
	4,795	8.250%, 01/15/21 (e)		4,100
	1,080	8.875%, 08/15/20 (e)		1,069
	1,073	9.875%, 09/24/15		982
	25,067	12.625%, 01/15/21 (e)		23,688
	24,020	iGate Corp., 9.000%, 05/01/16 (e)		22,699
	22,490	Sitel LLC/Sitel Finance Corp., 11.500%, 04/01/18		19,117
	15,310	Stream Global Services, Inc., 11.250%, 10/01/14		15,693
	2,395	Unisys Corp., 12.750%, 10/15/14 (e)		2,682

				90,660

		Semiconductors & Semiconductor Equipment — 1.1%
		Advanced Micro Devices, Inc.,
	9,370	7.750%, 08/01/20		9,511
	11,200	8.125%, 12/15/17		11,508
		Amkor Technology, Inc.,
	13,120	6.625%, 06/01/21 (e)		12,201
	10,090	7.375%, 05/01/18		10,166


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Semiconductors & Semiconductor Equipment — Continued
		Freescale Semiconductor, Inc.,
	22,425	8.050%, 02/01/20		21,416
	8,000	9.250%, 04/15/18 (e)		8,420
	8,169	10.125%, 03/15/18 (e)		8,863
	1,009	10.750%, 08/01/20		1,057
	18,478	MEMC Electronic Materials, Inc., 7.750%, 04/01/19 (e)		16,214
		NXP B.V./NXP Funding LLC, (Netherlands),
	1,100	9.750%, 08/01/18 (e)		1,158
	5,270	VAR, 2.999%, 10/15/13 (e)		5,112
	2,850	STATS ChipPAC Ltd., (Singapore), 7.500%, 08/12/15 (e)		2,993

				108,619

		Software — 0.1%
	2,500	Audatex North America, Inc., 6.750%, 06/15/18 (e)		2,456
	4,070	Lawson Software, Inc., 11.500%, 07/15/18 (e)		3,724

				6,180

		Total Information Technology		395,039

		Materials — 8.2%
		Chemicals — 1.9%
	7,869	Celanese US Holdings LLC, 6.625%, 10/15/18		8,341
		CF Industries, Inc.,
	10,150	6.875%, 05/01/18		11,508
	5,085	7.125%, 05/01/20		5,822
	23,995	Chemtura Corp., 7.875%, 09/01/18		24,655
		Lyondell Chemical Co.,
	16,111	8.000%, 11/01/17 (e)		17,843
	45,380	11.000%, 05/01/18		50,656
	7,085	Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.375%, 03/01/18 (e)		7,315
	151	Nova Chemicals Corp., (Canada), 6.500%, 01/15/12		151
	6,770	Omnova Solutions, Inc., 7.875%, 11/01/18		5,941
	41,510	PolyOne Corp., 7.375%, 09/15/20		42,755
	4,510	Rhodia S.A., (France), 6.875%, 09/15/20 (e)		5,265

				180,252

		Construction Materials — 0.6%
		Cemex S.A.B. de C.V., (Mexico),
	2,350	9.000%, 01/11/18 (e)		1,939
	12,000	VAR, 5.246%, 09/30/15 (e)		9,360
	13,560	Hanson Ltd., (United Kingdom), 6.125%, 08/15/16		13,899
	15,160	Texas Industries, Inc., 9.250%, 08/15/20		13,720


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Construction Materials — Continued
		Vulcan Materials Co.,
	12,015	6.500%, 12/01/16		11,748
	13,170	7.500%, 06/15/21		12,971

				63,637

		Containers & Packaging — 1.8%
		Ardagh Packaging Finance plc, (Ireland),
	4,400	7.375%, 10/15/17 (e)		4,334
	7,750	9.125%, 10/15/20 (e)		7,479
		Ball Corp.,
	8,000	5.750%, 05/15/21		7,940
	4,125	6.750%, 09/15/20		4,331
	1,650	7.125%, 09/01/16		1,774
	1,650	7.375%, 09/01/19		1,790
		Berry Plastics Corp.,
	5,750	8.250%, 11/15/15		5,922
	18,266	9.500%, 05/15/18		16,805
	8,750	9.750%, 01/15/21		8,116
	5,450	VAR, 4.999%, 02/15/15		5,123
	1,500	BWAY Holding Co., 10.000%, 06/15/18		1,590
		Constar International, Inc.,
	1,853	05/31/15 (f) (i)		1,853
	4,127	11.000%, 12/31/17 (f) (i)		4,127
		Graphic Packaging International, Inc.,
	5,200	7.875%, 10/01/18		5,460
	4,275	9.500%, 06/15/17		4,649
	1,000	Owens-Brockway Glass Container, Inc., 7.375%, 05/15/16		1,045
		Plastipak Holdings, Inc.,
	4,116	8.500%, 12/15/15 (e)		4,137
	8,500	10.625%, 08/15/19 (e)		9,095
		Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC,
	11,100	6.875%, 02/15/21 (e)		10,323
	7,633	7.125%, 04/15/19 (e)		7,232
	8,700	7.875%, 08/15/19 (e)		8,613
	11,540	8.250%, 02/15/21 (e)		9,722
	6,600	8.500%, 10/15/16 (e)		6,748
	13,525	8.750%, 05/15/18 (e)		12,071
	11,125	9.000%, 04/15/19 (e)		10,013
	7,970	9.875%, 08/15/19 (e)		7,492
		Smurfit-Stone Container Enterprises, Inc.,
	25,818	8.000%, 03/15/17 (d) (f) (i)		452
	19,431	8.375%, 07/01/12 (d) (f) (i)		340
	5,925	Solo Cup Co., 10.500%, 11/01/13		6,043

				174,619


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Metals & Mining — 2.1%
	6,923	AK Steel Corp., 7.625%, 05/15/20		6,369
	2,785	Aleris International, Inc., 7.625%, 02/15/18 (e)		2,562
		APERAM, (Luxembourg),
	4,900	7.375%, 04/01/16 (e)		4,508
	7,043	7.750%, 04/01/18 (e)		6,515
	1,323	Arch Western Finance LLC, 6.750%, 07/01/13		1,320
	8,420	Atkore International, Inc., 9.875%, 01/01/18 (e)		8,188
	1,000	Edgen Murray Corp., 12.250%, 01/15/15		952
	11,858	Essar Steel Algoma, Inc., (Canada), 9.375%, 03/15/15 (e)		11,295
		FMG Resources August 2006 Pty Ltd., (Australia),
	13,245	6.875%, 02/01/18 (e)		13,113
	15,811	7.000%, 11/01/15 (e)		15,771
	3,875	Gibraltar Industries, Inc., 8.000%, 12/01/15		3,817
	3,300	James River Escrow, Inc., 7.875%, 04/01/19 (e)		2,987
	4,170	JMC Steel Group, 8.250%, 03/15/18 (e)		4,076
	17,110	Murray Energy Corp., 10.250%, 10/15/15 (e)		16,853
	7,169	Noranda Aluminum Acquisition Corp., PIK, 4.417%, 05/15/15		6,614
		Novelis, Inc., (Canada),
	16,820	8.375%, 12/15/17		17,367
	8,255	8.750%, 12/15/20		8,688
	6,835	Rain CII Carbon LLC/CII Carbon Corp., 8.000%, 12/01/18 (e)		6,835
	4,500	Ryerson, Inc., 12.000%, 11/01/15		4,618
	12,275	Severstal Columbus LLC, 10.250%, 02/15/18		12,705
	5,950	Steel Dynamics, Inc., 7.625%, 03/15/20		6,292
	7,865	Taseko Mines Ltd., (Canada), 7.750%, 04/15/19		7,452
	9,265	Thompson Creek Metals Co., Inc., (Canada), 7.375%, 06/01/18 (e)		8,454
		United States Steel Corp.,
	1,075	6.050%, 06/01/17		1,029
	5,231	7.000%, 02/01/18		5,022
	9,685	7.375%, 04/01/20		9,177
	1,252	Wolverine Tube, Inc., 6.000%, 06/28/14 (f) (i)		1,252
	6,675	Xinergy Corp., 9.250%, 05/15/19 (e)		6,208

				200,039

		Paper & Forest Products — 1.8%
	24,290	AbitibiBowater, Inc., 10.250%, 10/15/18 (e)		25,505
		Abitibi-Consolidated Co. of Canada, (Canada),
	8,431	6.000%, 06/20/13 (d)		21
	20,371	8.375%, 04/01/15 (d)		51


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Paper & Forest Products — Continued
		Abitibi-Consolidated, Inc.,
	3,880	7.400%, 04/01/18 (d)		10
	2,425	7.500%, 04/01/28 (d)		6
	15,841	7.750%, 06/15/11 (d)		39
	680	8.550%, 08/01/10 (d)		2
	44,081	8.850%, 08/01/30 (d)		110
	17,760	Appleton Papers, Inc., 10.500%, 06/15/15 (e)		17,804
	5,250	Boise Paper Holdings LLC/Boise Co.-Issuer Co., 8.000%, 04/01/20		5,368
	4,150	Bowater Canada Finance Corp., (Canada), 7.950%, 11/15/11 (d)		871
		Cascades, Inc., (Canada),
	6,710	7.750%, 12/15/17		6,509
	4,000	7.875%, 01/15/20		3,850
		Domtar Corp.,
	2,015	7.125%, 08/15/15		2,217
	5,377	10.750%, 06/01/17		6,694
		Georgia-Pacific LLC,
	7,090	7.125%, 01/15/17 (e)		7,509
	3,800	8.250%, 05/01/16 (e)		4,340
	4,200	Longview Fibre Paper & Packaging, Inc., 8.000%, 06/01/16 (e)		4,158
		NewPage Corp.,
	14,950	10.000%, 05/01/12		1,757
	78,532	11.375%, 12/31/14		69,108
	7,000	VAR, 6.504%, 05/01/12		822
		P.H. Glatfelter Co.,
	6,810	7.125%, 05/01/16		6,912
	3,200	Potlatch Corp., 7.500%, 11/01/19		3,248
	1,100	Sappi Papier Holding GmbH, (Austria), 6.625%, 04/15/21 (e)		979
		Verso Paper Holdings LLC/Verso Paper, Inc.,
	8,000	8.750%, 02/01/19		6,380
	945	11.500%, 07/01/14		1,002

				175,272

		Total Materials		793,819

		Telecommunication Services — 5.2%
		Diversified Telecommunication Services — 2.3%
		Cincinnati Bell, Inc.,
	37	7.000%, 02/15/15		37
	7,125	8.250%, 10/15/17		7,107
	4,840	8.750%, 03/15/18		4,537
		Clearwire Communications LLC/Clearwire Finance, Inc.,
	160	12.000%, 12/01/15 (e)		150


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Diversified Telecommunication Services — Continued
	49,404	12.000%, 12/01/15 (e)		46,687
		Frontier Communications Corp.,
	6,340	7.125%, 03/15/19		6,237
	800	8.125%, 10/01/18		827
	3,945	8.250%, 04/15/17		4,103
	13,095	8.500%, 04/15/20		13,717
	3,945	8.750%, 04/15/22		4,043
	2,965	Global Crossing Ltd., (Bermuda), 12.000%, 09/15/15		3,388
	6,900	Level 3 Communications, Inc., 11.875%, 02/01/19 (e)		7,159
	18,070	Level 3 Escrow, Inc., 8.125%, 07/01/19 (e)		17,166
		Level 3 Financing, Inc.,
	5,500	8.750%, 02/15/17		5,390
	15,396	9.250%, 11/01/14 (m)		15,588
	22,370	9.375%, 04/01/19 (e)		21,923
	14,015	PAETEC Holding Corp., 8.875%, 06/30/17 (m)		14,961
		Qwest Communications International, Inc.,
	15,705	7.125%, 04/01/18		16,490
	4,115	8.000%, 10/01/15		4,393
		Qwest Corp.,
	996	7.625%, 06/15/15 (m)		1,108
	1,000	8.375%, 05/01/16		1,140
		Windstream Corp.,
	500	7.000%, 03/15/19		490
	2,500	7.750%, 10/01/21		2,538
	8,200	7.875%, 11/01/17		8,620
	10,190	8.125%, 09/01/18		10,572

				218,371

		Wireless Telecommunication Services — 2.9%
	6,160	CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e)		6,591
		Cricket Communications, Inc.,
	4,810	7.750%, 05/15/16		4,870
	27,325	7.750%, 10/15/20		24,319
	1,370	Crown Castle International Corp., 9.000%, 01/15/15		1,476
	4,270	iPCS, Inc., VAR, 2.379%, 05/01/13		3,961
		MetroPCS Wireless, Inc.,
	9,000	6.625%, 11/15/20		8,415
	8,200	7.875%, 09/01/18		8,313
	68,800	Nextel Communications, Inc., 7.375%, 08/01/15 (m)		67,682
		NII Capital Corp.,
	19,530	8.875%, 12/15/19		20,653


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Wireless Telecommunication Services — Continued
	7,455	10.000%, 08/15/16		8,387
	1,025	SBA Telecommunications, Inc., 8.250%, 08/15/19		1,084
		Sprint Nextel Corp.,
	67,435	6.000%, 12/01/16 (m)		64,906
	5,425	8.375%, 08/15/17		5,683
	8,197	Vimpel Communications Via VIP Finance Ireland Ltd., OJSC, (Ireland), 7.748%, 02/02/21 (e)		8,054
		VimpelCom Holdings B.V., (Netherlands),
	4,550	6.255%, 03/01/17 (e)		4,322
	11,900	7.504%, 03/01/22 (e)		11,347
	1,300	VAR, 4.246%, 06/29/14 (e)		1,313
		Wind Acquisition Finance S.A., (Luxembourg),
	9,025	7.250%, 02/15/18 (e)		8,461
	10,915	11.750%, 07/15/17 (e)		11,324
	8,815	PIK, 12.250%, 07/15/17 (e)		8,815

				279,976

		Total Telecommunication Services		498,347

		Utilities — 4.2%
		Electric Utilities — 0.1%
	2,500	PNM Resources, Inc., 9.250%, 05/15/15		2,788
	4,000	Public Service Co. of New Mexico, 7.950%, 05/15/18		4,549

				7,337

		Gas Utilities — 0.1%
	8,570	Genesis Energy LP/Genesis Energy Finance Corp., 7.875%, 12/15/18 (e)		8,270

		Independent Power Producers & Energy Traders — 3.3%
	9,800	AES Corp. (The), 7.375%, 07/01/21 (e)		9,898
		AES Eastern Energy LP,
	2,688	9.000%, 01/02/17		1,613
	29,145	9.670%, 01/02/29		17,487
	8,275	Calpine Construction Finance Co. LP and CCFC Finance Corp., 8.000%, 06/01/16 (e)		8,751
		Calpine Corp.,
	10,011	7.250%, 10/15/17 (e)		10,136
	45,750	7.500%, 02/15/21 (e)		46,207
	2,700	7.875%, 07/31/20 (e)		2,768
	16,900	7.875%, 01/15/23 (e)		17,238
		Dynegy Holdings, Inc.,
	12,200	7.125%, 05/15/18 (m)		7,076
	3,900	7.500%, 06/01/15		2,613
	48,825	7.750%, 06/01/19		29,783
	151	8.375%, 05/01/16		100


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Independent Power Producers & Energy Traders — Continued
	41,590	Dynegy Roseton/Danskammer Pass-Through Trust, 7.670%, 11/08/16 (m)		28,073
		Edison Mission Energy,
	13,102	7.000%, 05/15/17		9,171
	58,706	7.200%, 05/15/19 (m)		39,040
	3,980	First Wind Capital LLC, 10.250%, 06/01/18 (e)		3,801
	646	FPL Energy Wind Funding LLC, 6.876%, 06/27/17 (e)		575
		GenOn Energy, Inc.,
	2,600	7.875%, 06/15/17 (m)		2,522
	19,285	9.875%, 10/15/20		19,381
		Homer City Funding LLC,
	4,948	8.137%, 10/01/19		4,058
	9,167	8.734%, 10/01/26		7,425
	13,055	Midwest Generation LLC, 8.560%, 01/02/16		12,859
	1,949	Mirant Mid Atlantic Pass-Through Trust, 10.060%, 12/30/28		2,124
		NRG Energy, Inc.,
	9,145	7.625%, 05/15/19 (e)		8,916
	9,740	7.875%, 05/15/21 (e)		9,594
	11,050	8.500%, 06/15/19		11,271
	2,157	Ormat Funding Corp., 8.250%, 12/30/20 (m)		2,049
	13,903	Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15		5,353

				319,882

		Multi-Utilities — 0.7%
		Energy Future Holdings Corp.,
	11,306	9.750%, 10/15/19		11,015
	650	10.875%, 11/01/17		533
	53,990	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/20		54,469

				66,017

		Total Utilities		401,506

		Total Corporate Bonds (Cost $7,749,073)		7,708,864


SHARES
	Common Stocks — 0.8%
		Consumer Discretionary — 0.4%
		Automobiles — 0.3%
	1,302	General Motors Co. (a)		31,292

		Broadcasting & Cable TV — 0.0% (g)
	9,055	Adelphia Recovery Trust		9


SHARES		SECURITY DESCRIPTION	VALUE($)


		Leisure Equipment & Products — 0.1%
	458	New True Temper Holdings Corp., Inc. (a) (f) (i)		3,437

		Textiles, Apparel & Luxury Goods — 0.0% (g)
	228	Broder Brothers Co. (a) (f) (i)		2,399
	66	WestPoint International, Inc. (a) (f) (i)		—

				2,399

		Total Consumer Discretionary		37,137

		Consumer Staples — 0.0% (g)
		Food Products — 0.0% (g)
	585	Eurofresh, Inc., ADR (a) (f) (i)		—

		Financials — 0.0% (g)
		Diversified Financial Services — 0.0% (g)
	1	Leucadia National Corp.		23

		Industrials — 0.0% (g)
		Commercial Services & Supplies — 0.0% (g)
	22	Quad/Graphics, Inc.		466

		Information Technology — 0.1%
		Computers & Peripherals — 0.0% (g)
	575	Stratus Technologies, Inc., ADR (a) (f) (i)		—

		IT Services — 0.0% (g)
	92	Unisys Corp. (a)		1,617

		Semiconductors & Semiconductor Equipment — 0.1%
	325	MagnaChip Semiconductor S.A., (Luxembourg) (a) (f) (i)		2,171
	236	MagnaChip Semiconductor S.A./MagnaChip Semiconductor Finance Co., (Luxembourg) (a) (f) (i)		1,572

				3,743

		Total Information Technology		5,360

		Materials — 0.3%
		Chemicals — 0.2%
	482	LyondellBasell Industries N.V., (Netherlands), Class A		16,695

		Construction Materials — 0.0% (g)
	399	U.S. Concrete, Inc. (a)		2,274

		Containers & Packaging — 0.0% (g)
	58	Constar International, Inc., ADR (a) (f) (i)		16

		Metals & Mining — 0.0% (g)
	46	Wolverine Tube, Inc., ADR (a) (f) (i)		1,161

		Paper & Forest Products — 0.1%
	787	AbitibiBowater, Inc., (Canada) (a)		13,367

		Total Materials		33,513


SHARES			SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
			Telecommunication Services — 0.0% (g)
			Diversified Telecommunication Services — 0.0% (g)
	2		AboveNet, Inc.		107
	1		XO Holdings, Inc. (a) (f) (i)		—

					107

			Wireless Telecommunication Services — 0.0% (g)
	—	(h)	USA Mobility, Inc.		1

			Total Telecommunication Services		108

			Utilities — 0.0% (g)
			Independent Power Producers & Energy Traders — 0.0% (g)
	19		GenOn Energy, Inc. (a)		59

			Total Common Stocks (Cost $95,362)		76,666

	Preferred Stocks — 0.5%
			Consumer Discretionary — 0.0% (g)
			Automobiles — 0.0% (g)
	63		General Motors Co., 4.750%, 12/01/13		2,512

			Media — 0.0% (g)
	77		Spanish Broadcasting System, Inc. (a) (f) (i)		—	(h)
	1		Spanish Broadcasting System, Inc., PIK, 10.750%, 10/03/11 (a) (f) (i) (x)		553

			Total Consumer Discretionary		3,065

			Consumer Staples — 0.0% (g)
			Food Products — 0.0% (g)
	1		Eurofresh, Inc., ADR (a) (f) (i)		—

			Financials — 0.5%
			Commercial Banks — 0.2%
	112		CoBank ACB, 7.000%, 10/03/11 (e) (x)		5,135
	95		CoBank ACB, Series C, 11.000%, 07/01/13 (e) (x)		5,219
	161		CoBank ACB, Series D, 11.000%, 10/01/14 (x)		8,763

					19,117

			Consumer Finance — 0.3%
	20		Ally Financial, Inc., 7.000%, 12/31/11 (e) (x)		15,123
	326		Citigroup Capital XIII, VAR, 7.875%, 10/30/40		8,499
	226		GMAC Capital Trust I, VAR, 8.125%, 02/15/40		4,825

					28,447

			Total Financials		47,564

			Information Technology — 0.0% (g)
			Computers & Peripherals — 0.0% (g)
	131		Stratus Technologies, Inc., ADR (a) (f) (i)		—


SHARES		SECURITY DESCRIPTION	VALUE($)


		Materials — 0.0% (g)
		Containers & Packaging — 0.0% (g)
	6	Constar International, Inc. (a) (f) (i)		1,228

		Total Preferred Stocks (Cost $64,105)		51,857


PRINCIPAL AMOUNT($)
	Loan Participations & Assignments — 14.4%
		Consumer Discretionary — 5.7%
		Auto Components — 0.3%
		Autoparts Holdings Ltd., Term Loan,
	3,245	VAR, 6.500%, 07/29/17		3,180
	1,655	VAR, 6.500%, 07/29/17		1,622
	19,975	Remy International, Term Loan B, VAR, 6.250%, 12/16/16		19,176
	2,935	UCI International, Inc., Term Loan, VAR, 5.500%, 07/26/17		2,851

				26,829

		Automobiles — 0.4%
	43,750	Chrysler, Term Loan B, VAR, 6.000%, 05/24/17		39,244

		Diversified Consumer Services — 0.1%
	3,000	Realogy Corp., Extended Term Loan/Extended Synthetic Commitments, VAR, 10/10/16^		2,469
	11,600	Tishman Speyer Office, Term Loan, VAR, 8.000%, 05/04/12		11,353

				13,822

		Gaming — 1.4%
	5,057	Boyd Gaming Corp., Term Loan, VAR, 3.721%, 12/17/15		4,615
		Caesars Entertainment Operating Co., Inc., Term B-2 Loan,
	29,252	VAR, 3.218%, 01/28/15		25,202
	47,274	VAR, 3.253%, 01/28/15		40,730
	23,160	CCM Merger, Inc., Term Loan, VAR, 7.000%, 03/01/17		22,349
	1,000	Citycenter Holdings LLC, Term Loan, VAR, 7.500%, 01/21/15		969
		Golden Nugget, Inc., Additional Term Advance,
	74	VAR, 3.190%, 06/30/14		63
	66	VAR, 3.190%, 06/30/14		56
	222	VAR, 3.190%, 06/30/14		189
	73	VAR, 3.190%, 06/30/14		63
		Golden Nugget, Inc., Term Advance,
	765	VAR, 3.190%, 06/30/14		652


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Loan Participations & Assignments — Continued
		Gaming — Continued
		Isle of Capri Casinos, Inc., Term Loan B,
	4,844	VAR, 4.750%, 11/01/13		4,646
	229	VAR, 4.750%, 11/01/13		220
		MGM Resorts International, Class C Loan,
	8,075	VAR, 7.000%, 02/21/14		7,696
	7,925	VAR, 7.000%, 02/21/14		7,552
	18,000	MGM Resorts International, Extended Term Loan E, VAR, 7.000%, 02/21/14		17,172

				132,174

		Hotels, Restaurants & Leisure — 0.5%
	4,000	Burger King Corp., Tranche B Term Loan, VAR, 10/19/16^		3,790
	7,547	DineEquity Inc., Term B1 Loan, VAR, 4.250%, 10/19/17		7,245
	2,141	Outback Steakhouse, Prefunded RC Commitment, VAR, 0.069%, 06/14/13		1,966
	24,400	Outback Steakhouse, Term Loan B, VAR, 2.563%, 06/14/14		22,414
	12,825	Rock Ohio Caesars LLC, Term Loan, VAR, 08/15/17^		12,440
	4,232	Wendy’s/Arby’s Restaurants LLC, Term Loan, VAR, 5.000%, 05/24/17		4,172

				52,027

		Media — 1.8%
	17,135	Cengage Learning Acquisitions, Term Loan, VAR, 2.500%, 07/03/14		14,166
	34,626	Clear Channel Communications, Inc., Term Loan B, VAR, 3.837%, 01/29/16		25,915
		Entercom Radio LLC, Term Loan A,
	5,866	VAR, 1.346%, 06/30/12		5,570
	3,719	VAR, 3.375%, 06/30/12		3,532
	5,138	High Plains Broadcasting Operating Co. LLC, Term Loan, VAR, 9.000%, 09/14/16		5,035
	5,125	Hubbard Radio LLC, 1st Lien Term Loan B, VAR, 5.250%, 04/28/17		4,877
	2,425	Hubbard Radio LLC, 2nd Lien Term Loan C, VAR, 8.750%, 04/30/18		2,332
	1,250	Live Nation Entertainment, Inc., Term Loan B, VAR, 11/07/16^		1,185
		Media General, Inc., Term Loan,
	2,005	VAR, 4.719%, 03/29/13		1,716
	6,677	VAR, 4.819%, 03/29/13		5,714
		Miramax Film NY LLC, 1st Lien Term Loan,
	2,945	VAR, 7.750%, 06/22/16		2,901
	18,797	Newport Television LLC, Term Loan, VAR, 9.000%, 09/14/16		18,422


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Media — Continued
	3,820	Newsday, Fixed Rate Term Loan, VAR, 10.500%, 08/01/13		3,944
	2,000	Nielsen Finance LLC, Class B Dollar Term Loan, VAR, 3.956%, 05/02/16		1,880
		R.H. Donnelley, Inc., Exit Term Loan,
	2,889	VAR, 9.000%, 10/24/14		1,636
	11,369	VAR, 9.000%, 10/24/14		6,437
	11,728	VAR, 9.000%, 10/24/14		6,641
	15,461	Radio One, 1st Lien Term Loan B, VAR, 7.500%, 03/31/16		14,920
	11,703	Univision Communications, Inc., Extended 1st Lien Term Loan,
		VAR, 4.471%, 03/31/17		10,064
	25,856	Univision Communications, Inc., Initial Term Loan, VAR, 2.221%, 09/29/14		23,158
		Vertis, Inc., 1st Lien Term Loan,
	14,641	VAR, 11.750%, 12/21/15		12,153
	238	VAR, 11.750%, 12/21/15		197
	2,000	Weather Channel (The), Term Loan, VAR, 02/11/17^		1,927

				174,322

		Specialty Retail — 1.2%
	4,350	Academy Sports & Outdoors, 1st Lien Term Loan, VAR, 6.000%, 08/03/18		4,129
		Claire’s Stores, Term Loan B,
	70,592	VAR, 2.996%, 05/29/14		61,326
	17,094	VAR, 3.003%, 05/29/14		14,851
	11,744	Gymboree , 1st Lien Term Loan, VAR, 5.000%, 02/23/18		10,443
		J. Crew, 1st Lien Term Loan,
	8,678	VAR, 4.750%, 03/07/18		7,729
	2,893	VAR, 4.750%, 03/07/18		2,576
	4,000	J. Crew, Initial Loan, VAR, 03/04/18^		3,563
	2,400	Michael’s Stores, Term B-1 Loan, VAR, 10/31/13^		2,268
		Michael’s Stores, Term B-2 Loan,
	7,120	VAR, 4.750%, 07/31/16		6,700

				113,585

		Textiles, Apparel & Luxury Goods — 0.0% (g)
	2,250	BCBG Max Azria, 1st Lien Term Loan, VAR, 9.720%, 06/09/15		2,108

		Total Consumer Discretionary		554,111


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Loan Participations & Assignments — Continued
		Consumer Staples — 1.1%
		Food & Staples Retailing — 0.4%
	15,759	Rite Aid Corp., 1st Lien Term Loan 5, VAR, 4.500%, 03/03/18		14,577
		Rite Aid Corp., Tranche 2 Term Loan,
	9,936	VAR, 1.960%, 06/04/14		9,085
	10,012	VAR, 1.970%, 06/04/14		9,155
	8,467	VAR, 1.980%, 06/04/14		7,742

				40,559

		Food Products — 0.4%
		Bolthouse Farms, 1st Lien Term Loan,
	9,442	VAR, 5.500%, 02/11/16		9,190
	8	VAR, 5.750%, 02/11/16		8
	1,500	Del Monte Corp., Initial Term Loan, VAR, 03/08/18^		1,414
		Dole Food Co., Tranche B-2 Term Loan,
	471	VAR, 5.000%, 07/08/18		453
	471	VAR, 5.000%, 07/08/18		454
	471	VAR, 5.000%, 07/08/18		453
	471	VAR, 5.000%, 07/08/18		454
	471	VAR, 5.000%, 07/08/18		454
	471	VAR, 5.000%, 07/08/18		454
	141	VAR, 6.000%, 07/08/18		136
		Dole Food Co., Tranche C-2 Term Loan,
	707	VAR, 5.000%, 07/08/18		680
	707	VAR, 5.000%, 07/08/18		680
	707	VAR, 5.000%, 07/08/18		680
	471	VAR, 5.000%, 07/08/18		454
	471	VAR, 5.000%, 07/08/18		454
	707	VAR, 5.000%, 07/08/18		680
	707	VAR, 5.000%, 07/08/18		681
	707	VAR, 5.000%, 07/08/18		680
	330	VAR, 6.000%, 07/08/18		318
		Pierre Foods, Inc., 1st Lien Term Loan,
	10,329	VAR, 7.000%, 09/30/16		9,987
	25	VAR, 7.000%, 09/30/16		24
	6,160	Pierre Foods, Inc., 2nd Lien Term Loan, VAR, 11.250%, 09/29/17		6,037

				34,825

		Personal Products — 0.3%
		NBTY, Inc., Term B-1 Loan,
	7,750	VAR, 4.250%, 10/01/17		7,450
	503	VAR, 4.250%, 10/01/17		483
	503	VAR, 4.250%, 10/01/17		484


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Personal Products — Continued
		Targus, 1st Lien Term Loan,
	4,489	VAR, 11.000%, 05/24/16		4,303
	11	VAR, 11.000%, 05/24/16		11
	17,164	Visant Corp., 1st Lien Term Loan, VAR, 5.250%, 12/22/16		15,558

				28,289

		Total Consumer Staples		103,673

		Energy — 0.3%
		Oil, Gas & Consumable Fuels — 0.3%
	4,632	Big West Oil, Term Loan B, VAR, 7.000%, 03/31/16		4,585
	15,780	MEG Energy Corp., Term Loan B, VAR, 4.000%, 03/18/18		15,090
	6,334	Western Refining, Inc., Term Loan B, VAR, 7.500%, 03/15/17		6,226

		Total Energy		25,901

		Financials — 1.9%
		Capital Markets — 0.2%
	20,356	Pinafore LLC/Pinafore, Inc., Term Loan B1, VAR, 4.250%, 09/29/16		19,536

		Diversified Financial Services — 1.4%
	137,120	Capmark Financial Group, U.S. Term Loan, VAR, 5.250%, 03/23/11 (d)		74,731
	7,575	Capmark Financial Group, Unsecured Bridge Loan, VAR, 5.250%, 03/23/11 (d)		4,147
		Clarke American Corp., Term Loan B,
	8,561	VAR, 2.721%, 06/30/14		7,105
	6,237	VAR, 2.721%, 06/30/14		5,177
	5,173	VAR, 2.746%, 06/30/14		4,294
	13,392	VAR, 2.746%, 06/30/14		11,115
	8,903	VAR, 2.746%, 06/30/14		7,390
	3,350	International Lease Finance Corp., Term Loan 1, VAR, 6.750%, 03/17/15		3,350
	22,000	Ocwen Financial Corp., Term Loan, VAR, 06/30/16^		21,230

				138,539

		Insurance — 0.0% (g)
	2,493	CNO Financial Group, Inc., B-1 Term Loan, VAR, 6.250%, 09/30/16		2,437
	983	USI Holdings Corp., Series C, New Term Loan, VAR, 7.000%, 05/05/14		929

				3,366


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Loan Participations & Assignments — Continued
		Real Estate Investment Trusts (REITs) — 0.3%
		I-Star, Term Loan A-1,
	13,634	VAR, 5.000%, 06/28/13		13,248
	9,896	VAR, 5.000%, 06/28/13		9,616

				22,864

		Total Financials		184,305

		Health Care — 0.3%
		Health Care Providers & Services — 0.1%
	1,000	Community Health Systems, Inc., Extended Term Loan, VAR, 01/25/17^		914
	486	Community Health Systems, Inc., Non Extended Delay Draw, VAR, 07/25/14^		450
	3,000	HCA, Inc., Term Loan B-3, VAR, 3.496%, 05/01/18		2,815
	1,000	IASIS Healthcare, Term Loan B, VAR, 05/03/18^		922
	3,588	inVentiv Health, Consolidated Term Loan, VAR, 4.750%, 08/04/16		3,385
	1,629	Vanguard Health Systems, Term Loan B, VAR, 5.000%, 01/29/16		1,545

				10,031

		Pharmaceuticals — 0.2%
		Axcan Pharmaceuticals, Term Loan,
	11,119	VAR, 5.500%, 02/10/17		10,029
	1,199	VAR, 5.500%, 02/10/17		1,082
		Capsugel Holdings, Inc., Term Loan,
	4,040	VAR, 5.250%, 08/01/18		3,902
	20	VAR, 5.250%, 08/01/18		20
	2,431	Catalent Pharma Solutions, Inc., Dollar Term Loan, VAR, 2.437%, 04/10/14		2,142

				17,175

		Total Health Care		27,206

		Industrials — 1.4%
		Aerospace & Defense — 0.1%
	10,300	Ducommun, Inc., Term Loan B, VAR, 5.500%, 06/28/17		9,991

		Airlines — 0.1%
	10,424	Delta Air Lines, Inc., Term Loan, VAR, 4.250%, 03/07/16		9,473
		United Airlines, Term Loan B,
	1,432	VAR, 2.250%, 02/01/14		1,310
	568	VAR, 2.250%, 02/01/14		519

				11,302


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Building Products — 0.2%
	561	Jacuzzi Brands, Inc., 1st Lien Synthetic Credit Facility, VAR, 0.146%, 02/07/14		404
		Jacuzzi Brands, Inc., 1st Lien Term Loan B,
	13	VAR, 2.469%, 02/07/14		9
	6,129	VAR, 2.503%, 02/07/14		4,413
		Nortek, Inc., 1st Lien Term Loan,
	11,882	VAR, 5.250%, 04/26/17		10,693
	34	VAR, 5.250%, 04/26/17		31
	4	VAR, 6.250%, 04/26/17		4

				15,554

		Commercial Services & Supplies — 0.4%
	4,150	Baker Corp. International, Term Loan, VAR, 5.000%, 06/01/18		3,943
	14,343	Cenveo Corp., Term Loan, VAR, 6.250%, 12/21/16		13,749
	14,700	SCH Group, 1st Lien Term Loan, VAR, 6.625%, 04/28/17		12,789
	7,680	SCH Group, 2nd Lien Term Loan, VAR, 10.500%, 04/30/18		6,758

				37,239

		Electrical Equipment — 0.1%
	216	Electrical Components International, Inc., Synthetic Revolving Loan Commitment, VAR, 1.400%, 02/04/16		208
	3,437	Electrical Components International, Inc., Term Loan, VAR, 6.750%, 02/04/17 (f) (i)		3,317
	3,150	Sensata Technologies B.V., Term Loan, VAR, 4.000%, 05/12/18		3,028

				6,553

		Industrial Conglomerates — 0.1%
	12,790	BOC Edwards, Extended Term Loan, VAR, 5.500%, 05/31/16		11,756
	398	BOC Edwards, New Term Loan, VAR, 5.500%, 05/31/16		366
	2,000	Norit Holding B.V., Term Loan, VAR, 7.500%, 07/10/17		1,950

				14,072

		Industrial Machinery — 0.1%
	13,138	Intelligrated Inc., Term Loan, VAR, 7.500%, 02/17/17		12,744

		Machinery — 0.2%
	17,800	Milacron Holdings, Inc., Term Loan, VAR, 7.500%, 05/15/17		17,266


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Loan Participations & Assignments — Continued
		Road & Rail — 0.1%
		Swift Transportation Co., Term Loan,
	10,365	VAR, 6.000%, 12/21/16		9,873
	1,140	VAR, 6.000%, 12/21/16		1,086

				10,959

		Total Industrials		135,680

		Information Technology — 1.2%
		Communications Equipment — 0.4%
	7,740	Avaya, Inc., Term Loan B-1, VAR, 3.064%, 10/24/14		6,886
	15,548	Avaya, Inc., Term Loan B-3 Extending Tranche, VAR, 4.814%, 10/26/17		13,394
		Syniverse Holdings, Inc., Term Loan B,
	14,323	VAR, 5.250%, 12/21/17		13,929
	36	VAR, 5.250%, 12/21/17		35

				34,244

		Computers & Peripherals — 0.0% (g)
	3,499	Stratus Technologies, Inc., 2nd Lien Term Loan, VAR, 5.330%, 06/30/15		1,872

		Electronic Equipment, Instruments & Components — 0.2%
	11,974	CDW Corp., Extended Term Loan, VAR, 4.500%, 07/15/17		10,866
	2,935	CDW Corp., Non Extended B-1 Term Loan, VAR, 3.707%, 10/10/14		2,759
		Sensus USA, Inc., 1st Lien Term Loan,
	5,645	VAR, 4.750%, 05/09/17		5,419
	26	VAR, 5.750%, 05/09/17		25
	1,430	Sensus USA, Inc., 2nd Lien Term Loan, VAR, 8.500%, 05/09/18		1,380

				20,449

		Internet Software & Services — 0.1%
	6,766	Softlayer Technologies, Inc., Term Loan, VAR, 7.250%, 11/09/16		6,478

		IT Services — 0.4%
	1,155	CompuCom Systems, Term Loan, VAR, 3.730%, 08/25/14 (f) (i)		1,039
	10,586	First Data Corp., Initial Tranche B1, VAR, 2.967%, 09/24/14		9,307
	22,924	First Data Corp., Initial Tranche B3, VAR, 2.967%, 09/24/14		20,144
	4,512	Interactive Data Corp., Term Loan B, VAR, 4.500%, 02/11/18		4,267
		Transaction Network Services, Inc., Initial Term Loan,
	3,953	VAR, 6.000%, 11/18/15		3,848

				38,605


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Semiconductors & Semiconductor Equipment — 0.1%
	13,758	Freescale Semiconductor, Inc., Extended Maturity Term Loan, VAR, 4.438%, 12/01/16		12,509

		Total Information Technology		114,157

		Materials — 1.1%
		Chemicals — 0.8%
	8,549	AZ Chem U.S., Inc., Term Loan, VAR, 4.750%, 11/21/16		8,242
	7,925	Cristal Inorganic Chemicals (Millennium), 2nd Lien Term Loan, VAR, 5.996%, 11/15/14		7,667
	23,203	Momentive Performance, Tranche B-1B Term Loan, VAR, 3.750%, 05/05/15		20,651
		Nexeo Solutions, Term Loan,
	2,910	VAR, 5.000%, 09/08/17		2,679
	2,343	VAR, 5.000%, 09/08/17		2,158
	2,343	VAR, 5.000%, 09/08/17		2,158
	7,325	OM Group, Term Loan B, VAR, 5.750%, 08/01/17		7,160
	12,870	Rentech Energy Midwest Corp., Term Loan, VAR, 10.000%, 06/10/16		12,613
		Styron, 1st Lien Term Loan,
	15,946	VAR, 6.000%, 08/02/17		14,650
	35	VAR, 6.000%, 08/02/17		32

				78,010

		Containers & Packaging — 0.2%
	750	BWAY Holding Co., Term Loan B/Term Loan C, 4.500%, 02/23/18^		707
		Graham Packaging Co. LP, Term Loan D,
	495	VAR, 6.000%, 09/23/16		490
	5	VAR, 6.000%, 09/23/16		5
	493	VAR, 6.000%, 09/23/16		488
		Reynolds Group Holdings, U.S. Term Loan,
	5,951	VAR, 6.500%, 02/09/18		5,689
	5,285	VAR, 6.500%, 02/09/18		5,052
	3,078	VAR, 6.500%, 02/09/18		2,943

				15,374

		Metals & Mining — 0.1%
	7,282	American Rock Salt, 1st Lien Term Loan, VAR, 5.500%, 04/25/17		6,981
	2,250	Novelis, Inc., Term Loan, VAR, 03/10/17^		2,126

				9,107

		Total Materials		102,491


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Loan Participations & Assignments — Continued
		Telecommunication Services — 0.4%
		Diversified Telecommunication Services — 0.4%
		Level 3 Communications, Inc., Tranche A Term Loan,
	8,679	VAR, 2.492%, 03/13/14		8,019
	21,696	VAR, 2.496%, 03/13/14		20,047
	12,300	Level 3 Communications, Tranche B II Term Loan, VAR, 10/31/18^		11,593
	1,000	Level 3 Communications, Tranche B Term Loan, VAR, 11.500%, 03/13/14		1,039

		Total Telecommunication Services		40,698

		Utilities — 1.0%
		Electric Utilities — 0.2%
	7,095	Dynegy Midwest Generation, Term Loan, VAR, 9.250%, 08/05/16		6,853
	13,655	Dynegy Power LLC, Term Loan, VAR, 9.250%, 08/05/16		13,416

				20,269

		Independent Power Producers & Energy Traders — 0.8%
	3,889	GenOn Energy, Inc., Term Loan B, VAR, 6.000%, 09/20/17		3,721
		Texas Competitive Electric Holdings Co. LLC, Extended-Term Loan,
	23,015	VAR, 4.706%, 10/10/17		16,916
	24,452	VAR, 4.772%, 10/10/17		17,972
	28	VAR, 4.772%, 10/10/17		21
		Texas Competitive Electric Holdings Co. LLC, Non-Extended Term Loan,
	45,943	VAR, 3.706%, 10/10/14		34,917
	56	VAR, 3.772%, 10/10/14		42
	5,500	TPF Generation Holdings LLC, 2nd Lien Term Loan, VAR, 4.496%, 12/15/14		5,106

				78,695

		Total Utilities		98,964

		Total Loan Participations & Assignments (Cost $1,425,900)		1,387,186


NUMBER OF RIGHTS		SECURITY DESCRIPTION	VALUE($)


	Rights — 0.0% (g)
		Consumer Discretionary — 0.0% (g)
		Textiles, Apparel & Luxury Goods — 0.0% (g)
	65	WestPoint International, Inc., expiring 02/15/18 (a) (f) (i) (Cost $—)		—


NUMBER OF WARRANTS
	Warrants — 0.2%
		Consumer Discretionary — 0.2%
		Automobiles — 0.2%
		General Motors Co.,
	748	expiring 7/10/16 (Strike Price $10.00) (a)		11,434
	748	expiring 7/10/19 (Strike Price $18.33) (a)		7,896

		Total Warrants (Cost $27,304)		19,330


SHARES
	Short-Term Investments — 3.7%
		Investment Companies — 3.7%
	354,095	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.060% (b) (l)		354,095

	5,000	JPMorgan U.S. Government Money Market Fund, Capital Shares, 0.010% (b) (l)		5,000

		Total Short-Term Investments (Cost $359,095)		359,095

		Total Investments — 99.6% (Cost $9,730,374)		9,611,843
		Other Assets in Excess of Liabilities — 0.4%		42,970

		NET ASSETS — 100.0%	$	9,654,813

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — 2.2%
		AH Mortgage Advance Trust,
	1,750	Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e)		1,750
	1,894	Series SART-1, Class A1, 2.630%, 05/10/42 (e)		1,896
	7,667	Series SART-1, Class A2, 3.370%, 05/10/43 (e)		7,675
	1,281	Arch Bay Asset-Backed Securities, Series 2010-2, Class A, VAR, 4.125%, 04/25/57 (e)		1,274
	1,929	Asset-Backed Funding Certificates, Series 2005-AQ1, Class A4, SUB, 5.010%, 06/25/35		1,783
	373	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.588%, 04/25/36		266
		Chase Funding Mortgage Loan Asset-Backed Certificates,
	2,276	Series 2002-3, Class 1A5, SUB, 5.407%, 06/25/32		2,215
	1,332	Series 2003-4, Class 1A5, SUB, 5.416%, 05/25/33		1,280
	1,505	Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34		1,419
		Citigroup Mortgage Loan Trust, Inc.,
	294	Series 2003-HE3, Class A, VAR, 0.598%, 12/25/33		254
	2,757	Series 2011-5, Class 1A1, VAR, 0.384%, 02/25/46 (e) (f) (i)		2,523
	129	Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36		76
	200	First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.318%, 12/25/36		182
	1,200	Freedom Trust, Series 2011-1, Class A13, VAR, 1.064%, 11/30/37 (e) (f) (i)		1,134
		HSBC Home Equity Loan Trust,
	448	Series 2005-2, Class A1, VAR, 0.483%, 01/20/35		395
	584	Series 2006-1, Class A1, VAR, 0.373%, 01/20/36		546
	423	Series 2006-2, Class A1, VAR, 0.363%, 03/20/36		397
	658	Series 2007-1, Class AS, VAR, 0.413%, 03/20/36		553
	1,760	Series 2007-3, Class APT, VAR, 1.413%, 11/20/36		1,570
	346	Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.418%, 03/25/36		200


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	1,432	Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.568%, 07/25/34 (e)		1,367
		Long Beach Mortgage Loan Trust,
	2,200	Series 2004-1, Class M1, VAR, 0.968%, 02/25/34		1,673
	371	Series 2006-8, Class 2A2, VAR, 0.308%, 09/25/36		121
	645	Series 2006-WL2, Class 2A3, VAR, 0.418%, 01/25/36		492
	1,728	Mid-State Trust, Series 2010-1, Class A, 3.500%, 12/15/45 (e)		1,751
	10,000	Nationstar Mortgage Advance Receivable Trust, Series 2009-ADV1, Class A1, VAR, 3.218%, 12/26/22 (e)		10,007
	1,434	NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.556%, 12/07/20		1,435
	700	New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.241%, 11/25/33		666
	857	Newcastle Investment Trust, Series 2011-MH1, Class A, 2.450%, 12/10/33 (e)		867
		PennyMac Loan Trust,
	355	Series 2010-NPL1, Class A, VAR, 4.250%, 05/25/50 (e)		355
	1,605	Series 2010-NPL1, Class M1, VAR, 5.000%, 05/25/50 (e)		1,581
		Real Estate Asset Trust,
	1,175	Series 2011-2A, Class A1, 5.750%, 05/25/49 (e) (f) (i)		1,174
	1,482	Series 2011-3A, Class A1, 5.440%, 06/25/31 (e)		1,482
	500	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37		219
		Residential Asset Mortgage Products, Inc.,
	1,104	Series 2004-RS6, Class AI4, VAR, 5.457%, 05/25/32		1,095
	412	Series 2004-RS8, Class AI6, SUB, 4.980%, 08/25/34		390
	1,200	Series 2005-EFC5, Class A3, VAR, 0.558%, 10/25/35		981
	1,500	Residential Asset Securities Corp., Series 2005-KS9, Class A3, VAR, 0.588%, 10/25/35		1,411
	2,840	Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i)		2,834
	348	Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.950%, 04/25/32 (e)		294


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — Continued
	1,360		Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33		1,360
	1,000		Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.488%, 06/25/35		915
			Structured Asset Securities Corp.,
	785		Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32		796
	685		Series 2002-AL1, Class A2, 3.450%, 02/25/32		624

			Total Asset-Backed Securities (Cost $61,988)		61,278

	Collateralized Mortgage Obligations — 62.2%
			Agency CMO — 41.4%
	1,908		Federal Home Loan Bank, 4.720%, 09/20/12		1,978
	1,945		Federal Home Loan Bank System, Series 2000-1067, Class 1, 5.300%, 06/15/12		1,981
			Federal Home Loan Mortgage Corp. REMICS,
	28		Series 11, Class D, 9.500%, 07/15/19		30
	16		Series 22, Class C, 9.500%, 04/15/20		18
	23		Series 23, Class F, 9.600%, 04/15/20		25
	14		Series 30, Class D, 9.500%, 02/15/20		16
	1		Series 41, Class I, HB, 84.000%, 05/15/20		1
	7		Series 47, Class F, 10.000%, 06/15/20		8
	89		Series 77, Class H, 8.500%, 09/15/20		100
	3		Series 81, Class A, 8.125%, 11/15/20		4
	8		Series 84, Class F, 9.200%, 10/15/20		9
	8		Series 99, Class Z, 9.500%, 01/15/21		8
	—	(h)	Series 180, Class J, HB, 1,010.000%, 09/15/21		—	(h)
	—	(h)	Series 186, Class I, HB, 1,009.500%, 08/15/21		1
	—	(h)	Series 189, Class K, HB, 1,009.500%, 10/15/21		1
	1,835		Series 197, Class PO, PO, 04/01/28		1,733
	—	(h)	Series 204, Class E, HB, IF, 1,838.732%, 05/15/23		9
	—	(h)	Series 1045, Class G, HB, 1,066.209%, 02/15/21		2
	5		S’eries 1065, Class J, 9.000%, 04/15/21		6
	11		Series 1079, Class S, HB, IF, 33.150%, 05/15/21		21
	—	(h)	Series 1082, Class D, HB, 1,007.780%, 05/15/21		1
	6		Series 1084, Class F, VAR, 1.200%, 05/15/21		7
	5		Series 1084, Class S, HB, IF, 44.100%, 05/15/21		8
	8		Series 1133, Class H, 7.000%, 09/15/21		9
	19		Series 1144, Class KB, 8.500%, 09/15/21		23


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — Continued
	—	(h)	Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21		1
	—	(h)	Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22		8
	51		Series 1343, Class LA, 8.000%, 08/15/22		61
	25		Series 1343, Class LB, 7.500%, 08/15/22		30
	83		Series 1374, Class Z, 7.000%, 10/15/22		94
	24		Series 1395, Class G, 6.000%, 10/15/22		27
	212		Series 1401, Class J, 7.000%, 10/15/22		240
	304		Series 1466, Class PZ, 7.500%, 02/15/23		350
	9		Series 1470, Class F, VAR, 2.338%, 02/15/23		9
	9		Series 1505, Class QB, HB, IF, 20.183%, 05/15/23		13
	91		Series 1518, Class G, IF, 8.854%, 05/15/23		108
	70		Series 1526, Class L, 6.500%, 06/15/23		74
	15		Series 1540, Class IA, 7.000%, 06/15/13		15
	97		Series 1541, Class O, VAR, 1.920%, 07/15/23		99
	915		Series 1552, Class IA, IF, 15.557%, 08/15/23		1,167
	23		Series 1570, Class F, VAR, 2.838%, 08/15/23		24
	58		Series 1570, Class SA, HB, IF, 21.698%, 08/15/23		84
	248		Series 1578, Class K, 6.900%, 09/15/23		283
	28		Series 1578, Class V, IO, 7.000%, 09/15/23		6
	560		Series 1591, Class PV, 6.250%, 10/15/23		595
	74		Series 1596, Class D, 6.500%, 10/15/13		77
	15		Series 1602, Class SA, HB, IF, 21.937%, 10/15/23		23
	157		Series 1609, Class LG, IF, 16.792%, 11/15/23		190
	736		Series 1628, Class LZ, 6.500%, 12/15/23		834
	681		Series 1638, Class H, 6.500%, 12/15/23		790
	969		Series 1644, Class K, 6.750%, 12/15/23		1,012
	838		Series 1658, Class GZ, 7.000%, 01/15/24		962
	6		Series 1671, Class QC, IF, 10.000%, 02/15/24		6
	349		Series 1677, Class Z, 7.500%, 07/15/23		403
	10		Series 1686, Class SH, IF, 18.675%, 02/15/24		16
	26		Series 1688, Class W, 7.250%, 03/15/14		27
	317		Series 1695, Class EB, 7.000%, 03/15/24		364
	40		Series 1699, Class FC, VAR, 0.850%, 03/15/24		40
	51		Series 1745, Class D, 7.500%, 08/15/24		61
	1,285		Series 1760, Class ZD, VAR, 2.470%, 02/15/24		1,364
	137		Series 1798, Class F, 5.000%, 05/15/23		150
	8		Series 1807, Class G, 9.000%, 10/15/20		8
	1,167		Series 1813, Class I, PO, 11/15/23		1,088
	4,512		Series 1813, Class J, IF, IO, 5.750%, 11/15/23		638


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	252	Series 1829, Class ZB, 6.500%, 03/15/26		282
	11	Series 1844, Class E, 6.500%, 10/15/13		11
	455	Series 1863, Class Z, 6.500%, 07/15/26		519
	6	Series 1865, Class D, PO, 02/15/24		4
	133	Series 1899, Class ZE, 8.000%, 09/15/26		158
	115	Series 1963, Class Z, 7.500%, 01/15/27		134
	37	Series 1985, Class PR, IO, 8.000%, 07/15/27		8
	54	Series 1987, Class PE, 7.500%, 09/15/27		64
	11	Series 2025, Class PE, 6.300%, 01/15/13		11
	490	Series 2033, Class J, 5.600%, 06/15/23		539
	26	Series 2033, Class SN, HB, IF, 25.422%, 03/15/24		18
	34	Series 2038, Class PN, IO, 7.000%, 03/15/28		7
	290	Series 2040, Class PE, 7.500%, 03/15/28		349
	41	Series 2042, Class T, 7.000%, 03/15/28		47
	66	Series 2055, Class OE, 6.500%, 05/15/13		66
	122	Series 2060, Class Z, 6.500%, 05/15/28		141
	313	Series 2061, Class DC, IO, 6.500%, 06/15/28		74
	23,524	Series 2065, Class PX, IO, 0.750%, 08/17/27		487
	748	Series 2075, Class PH, 6.500%, 08/15/28		865
	164	Series 2086, Class GB, 6.000%, 09/15/28		172
	53	Series 2089, Class PJ, IO, 7.000%, 10/15/28		12
	292	Series 2102, Class TC, 6.000%, 12/15/13 (m)		304
	185	Series 2102, Class TU, 6.000%, 12/15/13 (m)		192
	621	Series 2110, Class PG, 6.000%, 01/15/29		682
	544	Series 2111, Class SB, IF, IO, 7.293%, 01/15/29		125
	176	Series 2115, Class PE, 6.000%, 01/15/14		181
	212	Series 2125, Class JZ, 6.000%, 02/15/29		225
	469	Series 2130, Class QS, 6.000%, 03/15/29		511
	83	Series 2132, Class SB, HB, IF, 29.734%, 03/15/29		143
	124	Series 2132, Class ZL, 6.500%, 03/15/29		137
	8	Series 2135, Class UK, IO, 6.500%, 03/15/14		—	(h)
	18	Series 2141, Class IO, IO, 7.000%, 04/15/29		4
	43	Series 2163, Class PC, IO, 7.500%, 06/15/29		10
	97	Series 2178, Class PB, 7.000%, 08/15/29		112
	145	Series 2201, Class C, 8.000%, 11/15/29		172
	442	Series 2209, Class TC, 8.000%, 01/15/30		525
	225	Series 2210, Class Z, 8.000%, 01/15/30		273
	90	Series 2224, Class CB, 8.000%, 03/15/30		108
	53	Series 2247, Class Z, 7.500%, 08/15/30		63
	294	Series 2254, Class Z, 9.000%, 09/15/30		354
	262	Series 2256, Class MC, 7.250%, 09/15/30		313
	407	Series 2259, Class ZM, 7.000%, 10/15/30		476


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	439	Series 2271, Class PC, 7.250%, 12/15/30		524
	380	Series 2283, Class K, 6.500%, 12/15/23		410
	129	Series 2296, Class PD, 7.000%, 03/15/31		151
	131	Series 2301, Class PA, 6.000%, 10/15/13		135
	1,765	Series 2303, Class ZD, 7.000%, 04/15/31		1,926
	1,074	Series 2303, Class ZN, 8.500%, 04/15/29		1,193
	60	Series 2306, Class K, PO, 05/15/24		55
	150	Series 2306, Class SE, IF, IO, 7.630%, 05/15/24		29
	530	Series 2344, Class QG, 6.000%, 08/15/16		570
	1,010	Series 2344, Class ZD, 6.500%, 08/15/31		1,125
	113	Series 2344, Class ZJ, 6.500%, 08/15/31		126
	76	Series 2345, Class NE, 6.500%, 08/15/31		81
	235	Series 2347, Class VP, 6.500%, 03/15/20		240
	208	Series 2353, Class TD, 6.000%, 09/15/16		221
	205	Series 2355, Class BP, 6.000%, 09/15/16		220
	163	Series 2358, Class PD, 6.000%, 09/15/16		175
	352	Series 2359, Class PM, 6.000%, 09/15/16		371
	473	Series 2359, Class ZB, 8.500%, 06/15/31		562
	384	Series 2360, Class PG, 6.000%, 09/15/16		414
	105	Series 2363, Class PF, 6.000%, 09/15/16		113
	196	Series 2366, Class MD, 6.000%, 10/15/16		211
	68	Series 2368, Class AS, HB, IF, 20.391%, 10/15/31		94
	143	Series 2368, Class TG, 6.000%, 10/15/16		153
	80	Series 2372, Class F, VAR, 0.707%, 10/15/31		80
	86	Series 2383, Class FD, VAR, 0.707%, 11/15/31		86
	138	Series 2388, Class UZ, 8.500%, 06/15/31		165
	901	Series 2391, Class QR, 5.500%, 12/15/16		968
	96	Series 2394, Class MC, 6.000%, 12/15/16		104
	1,329	Series 2399, Class TH, 6.500%, 01/15/32		1,483
	233	Series 2410, Class OE, 6.375%, 02/15/32		260
	291	Series 2410, Class QS, IF, 18.961%, 02/15/32		344
	158	Series 2410, Class QX, IF, IO, 8.443%, 02/15/32		37
	236	Series 2423, Class MC, 7.000%, 03/15/32		266
	300	Series 2423, Class MT, 7.000%, 03/15/32		338
	245	Series 2425, Class OB, 6.000%, 03/15/17		265
	591	Series 2433, Class SA, HB, IF, 20.391%, 02/15/32		808
	369	Series 2434, Class TC, 7.000%, 04/15/32		423
	671	Series 2436, Class MC, 7.000%, 04/15/32		763
	209	Series 2444, Class ES, IF, IO, 7.743%, 03/15/32		42
	212	Series 2450, Class GZ, 7.000%, 05/15/32		248


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	237	Series 2450, Class SW, IF, IO, 7.793%, 03/15/32		47
	483	Series 2458, Class QE, 5.500%, 06/15/17		518
	589	Series 2462, Class NB, 6.500%, 06/15/22		664
	1,128	Series 2464, Class FE, VAR, 1.207%, 03/15/32		1,141
	68	Series 2470, Class SL, IF, 9.000%, 01/15/27		76
	335	Series 2474, Class SJ, IF, IO, 7.443%, 07/15/17		33
	3,707	Series 2494, Class SX, IF, IO, 6.793%, 02/15/32		724
	45	Series 2513, Class YO, PO, 02/15/32		45
	1,254	Series 2513, Class ZC, 5.500%, 10/15/32		1,378
	273	Series 2515, Class DE, 4.000%, 03/15/32		283
	1,335	Series 2517, Class Z, 5.500%, 10/15/32		1,484
	3	Series 2519, Class BT, 8.500%, 09/15/31		3
	835	Series 2533, Class HB, 5.500%, 12/15/17		905
	356	Series 2535, Class BK, 5.500%, 12/15/22		394
	1,426	Series 2549, Class ZG, 5.000%, 01/15/18		1,526
	53	Series 2553, Class GF, VAR, 0.607%, 02/15/17		53
	2,330	Series 2557, Class HL, 5.300%, 01/15/33		2,595
	10,000	Series 2568, Class KG, 5.500%, 02/15/23		11,102
	154	Series 2571, Class SK, HB, IF, 33.606%, 09/15/23		282
	1,302	Series 2574, Class HP, 5.000%, 02/15/18		1,407
	1,063	Series 2586, Class WI, IO, 6.500%, 03/15/33		201
	702	Series 2587, Class CO, PO, 03/15/32		678
	2,148	Series 2590, Class IP, IO, 5.500%, 08/15/31		86
	1,400	Series 2591, Class QO, 4.500%, 03/15/18		1,500
	550	Series 2594, Class DJ, 4.250%, 10/15/30		561
	41	Series 2597, Class DS, IF, IO, 7.343%, 02/15/33		2
	55	Series 2599, Class DS, IF, IO, 6.793%, 02/15/33		3
	169	Series 2610, Class DS, IF, IO, 6.893%, 03/15/33		5
	1,962	Series 2610, Class DZ, 5.500%, 05/15/33		2,189
	272	Series 2611, Class SH, IF, IO, 7.443%, 10/15/21		5
	315	Series 2611, Class SQ, IF, 12.586%, 05/15/33		344
	921	Series 2611, Class UH, 4.500%, 05/15/18		973
	2,206	Series 2617, Class GR, 4.500%, 05/15/18		2,355
	2,745	Series 2626, Class NS, IF, IO, 6.343%, 06/15/23		201
	3,028	Series 2627, Class GY, 4.500%, 06/15/18		3,232
	1,907	Series 2631, Class LC, 4.500%, 06/15/18		2,034


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	237	Series 2631, Class SA, IF, 14.470%, 06/15/33		286
	932	Series 2637, Class SA, IF, IO, 5.893%, 06/15/18		107
	490	Series 2640, Class UG, IO, 5.000%, 01/15/32		37
	1,278	Series 2640, Class UP, IO, 5.000%, 01/15/32		90
	11	Series 2640, Class UR, IO, 4.500%, 08/15/17		—	(h)
	2,327	Series 2641, Class WI, IO, 5.000%, 01/15/33		264
	1,000	Series 2649, Class IG, IO, 5.000%, 11/15/31		84
	1,070	Series 2650, Class PO, PO, 12/15/32		1,014
	1,811	Series 2650, Class SO, PO, 12/15/32		1,719
	476	Series 2657, Class MD, 5.000%, 12/15/20		487
	11	Series 2668, Class S, IF, 11.586%, 09/15/33		12
	397	Series 2668, Class SB, IF, 7.016%, 10/15/15		399
	442	Series 2671, Class S, IF, 14.378%, 09/15/33		531
	1,036	Series 2672, Class ME, 5.000%, 11/15/22		1,132
	164	Series 2672, Class SJ, IF, 6.971%, 09/15/16		166
	6,732	Series 2675, Class CK, 4.000%, 09/15/18 (m)		7,141
	7,000	Series 2677, Class LE, 4.500%, 09/15/18		7,698
	702	Series 2682, Class YS, IF, 8.718%, 10/15/33		708
	11,562	Series 2684, Class PO, PO, 01/15/33		10,677
	295	Series 2684, Class TO, PO, 10/15/33		280
	287	Series 2686, Class GB, 5.000%, 05/15/20		288
	307	Series 2686, Class NS, IF, IO, 7.393%, 10/15/21		11
	497	Series 2690, Class SJ, IF, 8.839%, 10/15/33		510
	898	Series 2691, Class ND, 5.000%, 10/15/28		902
	323	Series 2691, Class SE, IF, 9.248%, 12/15/28		328
	378	Series 2691, Class WS, IF, 8.689%, 10/15/33		382
	872	Series 2692, Class SC, IF, 12.872%, 07/15/33		986
	165	Series 2694, Class BA, 4.000%, 06/15/31		176
	393	Series 2695, Class OB, PO, 10/15/33		334
	716	Series 2695, Class SX, IF, 16.120%, 10/15/33		805
	358	Series 2695, Class WS, IF, 15.982%, 10/15/33		402
	1,554	Series 2702, Class PC, 5.000%, 01/15/23		1,682
	253	Series 2705, Class SC, IF, 8.689%, 11/15/33		256
	598	Series 2705, Class SD, IF, 8.734%, 11/15/33		617
	2,000	Series 2710, Class HB, 5.500%, 11/15/23		2,291
	2,589	Series 2715, Class OG, 5.000%, 01/15/23		2,839
	3,679	Series 2716, Class UN, 4.500%, 12/15/23		4,005
	1,836	Series 2720, Class PC, 5.000%, 12/15/23		2,018
	729	Series 2725, Class SC, IF, 8.793%, 11/15/33		769
	2,866	Series 2727, Class BS, IF, 8.764%, 01/15/34		2,907
	52	Series 2744, Class FE, VAR, 02/15/34		52
	253	Series 2744, Class PD, 5.500%, 08/15/33		254
	1,715	Series 2744, Class TU, 5.500%, 05/15/32		1,831


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	9	Series 2754, Class JG, 4.500%, 03/15/33		9
	1,532	Series 2755, Class PA, PO, 02/15/29		1,481
	417	Series 2755, Class SA, IF, 13.786%, 05/15/30		470
	449	Series 2756, Class NA, 5.000%, 02/15/24		499
	15	Series 2762, Class LO, PO, 03/15/34		15
	685	Series 2764, Class OE, 4.500%, 03/15/19		757
	2	Series 2774, Class QO, PO, 04/15/34		2
	205	Series 2776, Class SK, IF, 8.764%, 04/15/34		206
	37	Series 2777, Class DV, 6.500%, 11/15/17		38
	3,500	Series 2780, Class BE, 4.500%, 04/15/19		3,772
	664	Series 2780, Class JG, 4.500%, 04/15/19		700
	1,678	Series 2780, Class YC, 5.000%, 04/15/19		1,866
	1,361	Series 2802, Class ZY, 6.000%, 05/15/34		1,524
	374	Series 2812, Class AB, 4.500%, 10/15/18		387
	1,943	Series 2812, Class NO, PO, 10/15/33		1,478
	2,906	Series 2827, Class QE, 5.500%, 03/15/33		3,080
	50	Series 2827, Class SQ, IF, 7.500%, 01/15/19		50
	618	Series 2835, Class BO, PO, 12/15/28		582
	540	Series 2835, Class QO, PO, 12/15/32		486
	220	Series 2863, Class JA, 4.500%, 09/15/19		233
	1,258	Series 2864, Class GB, 4.000%, 09/15/19		1,334
	295	Series 2877, Class KO, PO, 03/15/19		282
	181	Series 2897, Class EO, PO, 10/15/31		179
	697	Series 2903, Class UZ, 5.500%, 07/15/31		711
	2,000	Series 2921, Class MD, 5.000%, 06/15/33		2,095
	1,964	Series 2922, Class JN, 4.500%, 02/15/20		2,120
	21	Series 2925, Class MW, VAR, 01/15/35		21
	1,000	Series 2930, Class AN, 4.500%, 06/15/19		1,067
	2,898	Series 2934, Class EC, PO, 02/15/20		2,792
	250	Series 2934, Class EN, PO, 02/15/18		238
	3,014	Series 2934, Class HI, IO, 5.000%, 02/15/20		337
	2,044	Series 2934, Class KI, IO, 5.000%, 02/15/20		240
	757	Series 2945, Class SA, IF, 11.921%, 03/15/20		882
	861	Series 2967, Class JI, IO, 5.000%, 04/15/20		101
	313	Series 2967, Class S, HB, IF, 32.685%, 04/15/25		480
	370	Series 2971, Class GB, 5.000%, 11/15/16		375
	685	Series 2971, Class GC, 5.000%, 07/15/18		730
	1,250	Series 2979, Class BC, 5.000%, 04/15/20		1,381
	403	Series 2989, Class PO, PO, 06/15/23		380
	499	Series 2990, Class LK, VAR, 0.577%, 10/15/34		498
	502	Series 2990, Class SL, HB, IF, 23.734%, 06/15/34		724
	232	Series 2990, Class WP, IF, 16.493%, 06/15/35		265


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,842	Series 2994, Class FC, VAR, 0.607%, 02/15/33		1,836
	131	Series 2996, Class FD, VAR, 0.457%, 06/15/35		130
	1,000	Series 2999, Class NC, 4.500%, 12/15/18		1,042
	35	Series 3000, Class JF, VAR, 0.607%, 04/15/35		35
	508	Series 3022, Class SX, IF, 16.357%, 08/15/25		604
	2,577	Series 3035, Class Z, 5.850%, 09/15/35		2,897
	1,103	Series 3047, Class OB, 5.500%, 12/15/33		1,159
	1,605	Series 3049, Class XF, VAR, 0.557%, 05/15/33		1,599
	1,344	Series 3054, Class MI, IO, 5.500%, 05/15/34		136
	18	Series 3063, Class ST, SUB, 11/15/35		18
	2,389	Series 3068, Class QB, 4.500%, 06/15/20		2,536
	1,378	Series 3077, Class TO, PO, 04/15/35		1,279
	348	Series 3100, Class MA, VAR, 2.781%, 12/15/35		345
	4,190	Series 3101, Class UZ, 6.000%, 01/15/36		4,894
	884	Series 3117, Class EO, PO, 02/15/36		817
	998	Series 3117, Class OK, PO, 02/15/36		892
	277	Series 3122, Class OH, PO, 03/15/36		254
	86	Series 3122, Class ZB, 6.000%, 03/15/36		91
	1,346	Series 3130, Class KZ, 5.500%, 12/15/34		1,520
	208	Series 3134, Class PO, PO, 03/15/36		190
	4,821	Series 3137, Class XP, 6.000%, 04/15/36		5,418
	891	Series 3138, Class PO, PO, 04/15/36		796
	1,500	Series 3143, Class BC, 5.500%, 02/15/36		1,665
	265	Series 3149, Class SO, PO, 05/15/36		223
	2,000	Series 3151, Class PD, 6.000%, 11/15/34		2,178
	1,364	Series 3151, Class PO, PO, 05/15/36		1,275
	1,161	Series 3152, Class MO, PO, 03/15/36		1,033
	1,069	Series 3153, Class EO, PO, 05/15/36		977
	6,079	Series 3155, Class CG, 6.000%, 11/15/24		6,341
	5,069	Series 3156, Class AZ, 5.500%, 05/15/36		5,702
	633	Series 3162, Class OB, 6.000%, 11/15/30		649
	8,000	Series 3166, Class AC, 5.000%, 06/15/21 (m)		9,288
	75	Series 3170, Class FM, VAR, 0.557%, 09/15/33		74
	888	Series 3171, Class MO, PO, 06/15/36		807
	775	Series 3174, Class PX, 5.000%, 06/15/17		852
	1,280	Series 3179, Class OA, PO, 07/15/36		1,140
	471	Series 3184, Class OA, PO, 02/15/33		450
	1,637	Series 3194, Class SA, IF, IO, 6.893%, 07/15/36		244
	1,480	Series 3195, Class PD, 6.500%, 07/15/36		1,669
	2,437	Series 3210, Class PO, PO, 05/15/36		2,203


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2,000	Series 3218, Class BE, 6.000%, 09/15/35		2,264
	1,927	Series 3219, Class DI, IO, 6.000%, 04/15/36		328
	1,343	Series 3232, Class ST, IF, IO, 6.493%, 10/15/36		197
	1,589	Series 3237, Class AO, PO, 11/15/36		1,485
	1,720	Series 3253, Class PO, PO, 12/15/21		1,682
	865	Series 3260, Class CS, IF, IO, 5.933%, 01/15/37		119
	1,060	Series 3262, Class SG, IF, IO, 6.193%, 01/15/37		150
	1,169	Series 3274, Class JO, PO, 02/15/37		1,040
	870	Series 3274, Class MO, PO, 02/15/37		805
	516	Series 3275, Class FL, VAR, 0.647%, 02/15/37		513
	3,500	Series 3282, Class YD, 5.500%, 02/15/22		3,837
	1,137	Series 3285, Class PC, 5.500%, 09/15/30		1,151
	344	Series 3288, Class GS, IF, 3.340%, 03/15/37		342
	2,531	Series 3290, Class SB, IF, IO, 6.243%, 03/15/37		393
	5	Series 3299, Class QF, VAR, 04/15/37		6
	725	Series 3305, Class MB, IF, 2.687%, 07/15/34		733
	2,500	Series 3329, Class JD, 6.000%, 06/15/36		2,858
	2,042	Series 3334, Class MC, 5.000%, 04/15/33		2,089
	4,400	Series 3342, Class VG, 6.000%, 11/15/23		4,971
	4,106	Series 3344, Class FT, 0.557%, 07/15/34		4,092
	463	Series 3371, Class FA, VAR, 0.807%, 09/15/37		465
	1,441	Series 3373, Class TO, PO, 04/15/37		1,311
	3,673	Series 3385, Class SN, IF, IO, 5.793%, 11/15/37		414
	1,979	Series 3387, Class SA, IF, IO, 6.213%, 11/15/37		285
	1,670	Series 3389, Class DQ, 5.750%, 10/15/35		1,810
	851	Series 3393, Class JO, PO, 09/15/32		721
	2,000	Series 3402, Class NC, 5.000%, 12/15/22		2,263
	2,380	Series 3404, Class SC, IF, IO, 5.793%, 01/15/38		293
	5,628	Series 3422, Class AI, IO, SUB, 0.250%, 01/15/38		26
	1,335	Series 3422, Class LI, IO, 5.000%, 02/15/23		140
	5,229	Series 3430, Class AI, IO, 1.417%, 09/15/12		51
	2,555	Series 3451, Class SA, IF, IO, 5.843%, 05/15/38		332
	2,176	Series 3461, Class LZ, 6.000%, 06/15/38		2,489
	2,723	Series 3481, Class SJ, IF, IO, 5.643%, 08/15/38		338


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	2,710	Series 3505, Class SA, IF, IO, 5.793%, 01/15/39		306
	2,104	Series 3511, Class IO, IO, 5.000%, 12/15/21		222
	1,379	Series 3511, Class SA, IF, IO, 5.793%, 02/15/39		156
	2,912	Series 3515, Class PI, IO, 5.500%, 07/15/37		356
	5,173	Series 3531, Class SA, IF, IO, 6.093%, 05/15/39		614
	2,713	Series 3537, Class MI, IO, 5.000%, 06/15/38		668
	356	Series 3546, Class A, VAR, 5.929%, 02/15/39		384
	2,349	Series 3549, Class FA, VAR, 1.407%, 07/15/39		2,356
	2,515	Series 3564, Class JA, 4.000%, 01/15/18		2,654
	3,301	Series 3572, Class JS, IF, IO, 6.593%, 09/15/39		540
	1,434	Series 3604, Class PO, PO, 05/15/36		1,309
	1,600	Series 3607, Class AO, PO, 04/15/36		1,395
	1,600	Series 3607, Class BO, PO, 04/15/36		1,394
	1,306	Series 3607, Class EO, PO, 02/15/33		1,230
	2,400	Series 3611, Class PO, PO, 07/15/34		2,156
	1,806	Series 3621, Class BO, PO, 01/15/40		1,604
	2,512	Series 3623, Class LO, PO, 01/15/40		2,213
	1,343	Series 3632, Class BS, IF, 16.809%, 02/15/40		1,847
	3,923	Series 3653, Class HJ, 5.000%, 04/15/40		4,323
	2,785	Series 3666, Class VA, 5.500%, 12/15/22		3,107
	7,514	Series 3680, Class MA, 4.500%, 07/15/39		8,210
	2,223	Series 3688, Class CU, VAR, 6.808%, 11/15/21		2,554
	4,416	Series 3688, Class GT, VAR, 7.157%, 11/15/46		5,114
	8,340	Series 3688, Class NI, IO, 5.000%, 04/15/32		1,045
	11,233	Series 3704, Class CT, 7.000%, 12/15/36		13,010
	7,410	Series 3704, Class DT, 7.500%, 11/15/36		8,685
	5,997	Series 3704, Class ET, 7.500%, 12/15/36		7,031
	8,523	Series 3714, Class IP, IO, 5.000%, 08/15/40		1,543
	6,940	Series 3739, Class LI, IO, 4.000%, 03/15/34		936
	4,986	Series 3740, Class SC, IF, IO, 5.793%, 10/15/40		882
	2,373	Series 3747, Class CY, 4.500%, 10/15/40		2,492
	1,500	Series 3747, Class PY, 4.000%, 10/15/40		1,554
	7,511	Series 3759, Class HI, IO, 4.000%, 08/15/37		1,322
	5,758	Series 3760, Class GI, IO, 4.000%, 10/15/37		1,049
	1,500	Series 3770, Class PY, 5.000%, 12/15/40		1,697
	9,792	Series 3819, Class ZQ, 6.000%, 04/15/36		11,374
	2,854	Series 3895, Class WA, 5.695%, 10/15/38		3,204
	2,000	Series R004, Class VG, 6.000%, 08/15/21		2,169


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	6,880	Series R006, Class ZA, 6.000%, 04/15/36		7,992
	5,887	Series R007, Class ZA, 6.000%, 05/15/36		6,869
	547	Series R012, Class AI, IO, 5.500%, 12/15/20		23
		Federal Home Loan Mortgage Corp. STRIPS,
	3	Series 1, Class B, IO, 8.000%, 10/15/18		1
	1	Series 16, Class B, IO, 10.000%, 06/01/20		—	(h)
	15	Series 134, Class B, IO, 9.000%, 04/01/22		3
	2,445	Series 191, Class IO, IO, 8.000%, 01/01/28		567
	2,918	Series 233, Class 11, IO, 5.000%, 09/15/35		425
	1,627	Series 233, Class 12, IO, 5.000%, 09/15/35		234
	3,950	Series 233, Class 13, IO, 5.000%, 09/15/35		571
	9,080	Series 239, Class S30, IF, IO, 7.493%, 08/15/36		1,326
	1,383	Series 243, Class 16, IO, 4.500%, 11/15/20		131
	2,243	Series 243, Class 17, IO, 4.500%, 12/15/20		221
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	453	Series T-41, Class 3A, VAR, 7.010%, 07/25/32 (m)		523
	1,686	Series T-42, Class A5, 7.500%, 02/25/42		2,035
	101	Series T-51, Class 1A, VAR, 6.500%, 09/25/43		116
	119	Series T-51, Class 2A, VAR, 7.500%, 08/25/42		141
	2,709	Series T-54, Class 2A, 6.500%, 02/25/43		3,061
	1,334	Series T-54, Class 3A, 7.000%, 02/25/43		1,548
	2,499	Series T-56, Class A5, 5.231%, 05/25/43		2,718
	249	Series T-58, Class APO, PO, 09/25/43		208
	247	Series T-59, Class 1AP, PO, 10/25/43		186
	6,827	Series T-76, Class 2A, VAR, 4.787%, 10/25/37		7,032
		Federal National Mortgage Association - ACES,
	4,000	Series 2010-M1, Class A2, 4.450%, 09/25/19		4,463
	1,700	Series 2011-M1, Class A3, 3.763%, 06/25/21		1,797
	9,480	Series 2011-M2, Class A3, 3.764%, 07/25/21		9,622
	5,000	Series 2011-M4, Class A2, 3.726%, 06/25/21		5,069
		Federal National Mortgage Association Grantor Trust,
	43	Series 2001-T10, Class PO, PO, 12/25/41		40
	1,002	Series 2001-T12, Class A2, 7.500%, 08/25/41		1,097
	1,193	Series 2001-T7, Class A1, 7.500%, 02/25/41		1,393
	381	Series 2002-T16, Class A2, 7.000%, 07/25/42		444
	692	Series 2002-T19, Class A2, 7.000%, 07/25/42		795
	471	Series 2002-T4, Class A2, 7.000%, 12/25/41		541
	1,295	Series 2002-T4, Class A3, 7.500%, 12/25/41		1,494
	1,064	Series 2004-T1, Class 1A1, 6.000%, 01/25/44		1,196
	830	Series 2004-T3, Class PT1, VAR, 9.270%, 01/25/44		973


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — Continued
			Federal National Mortgage Association REMICS,
	70		Series 1988-7, Class Z, 9.250%, 04/25/18		78
	4		Series 1988-11, Class D, PO, 05/25/18		4
	388		Series 1988-21, Class G, 9.500%, 08/25/18		453
	4		Series 1988-29, Class B, 9.500%, 12/25/18		4
	1		Series 1989-19, Class A, 10.300%, 04/25/19		1
	5		Series 1989-21, Class G, 10.450%, 04/25/19		5
	18		Series 1989-27, Class Y, 6.900%, 06/25/19		20
	16		Series 1989-70, Class G, 8.000%, 10/25/19		19
	9		Series 1989-78, Class H, 9.400%, 11/25/19		11
	6		Series 1989-89, Class H, 9.000%, 11/25/19		7
	5		Series 1990-60, Class K, 5.500%, 06/25/20		6
	4		Series 1990-93, Class G, 5.500%, 08/25/20		5
	—	(h)	Series 1990-95, Class J, HB, 1,118.040%, 08/25/20		4
	42		Series 1990-102, Class J, 6.500%, 08/25/20		46
	5		Series 1990-134, Class SC, HB, IF, 21.225%, 11/25/20		8
	—	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20		6
	—	(h)	Series 1991-7, Class K, HB, 908.500%, 02/25/21		1
	285		Series 1991-44, Class G, 8.500%, 05/25/21		344
	—	(h)	Series 1991-60, Class PM, HB, 1,009.000%, 06/25/21		2
	11		Series 1992-101, Class J, 7.500%, 06/25/22		11
	259		Series 1992-188, Class PZ, 7.500%, 10/25/22		298
	288		Series 1993-25, Class J, 7.500%, 03/25/23		332
	129		Series 1993-27, Class S, IF, 9.376%, 02/25/23		151
	60		Series 1993-31, Class K, 7.500%, 03/25/23		69
	543		Series 1993-54, Class Z, 7.000%, 04/25/23		618
	29		Series 1993-62, Class SA, IF, 17.411%, 04/25/23		39
	28		Series 1993-97, Class FA, VAR, 1.500%, 05/25/23		29
	7		Series 1993-108, Class D, PO, 02/25/23		7
	69		Series 1993-162, Class F, VAR, 1.200%, 08/25/23		70
	11		Series 1993-165, Class SD, IF, 12.018%, 09/25/23		14
	46		Series 1993-167, Class GA, 7.000%, 09/25/23		47
	106		Series 1993-179, Class SB, HB, IF, 23.896%, 10/25/23		162
	105		Series 1993-220, Class SG, IF, 15.500%, 11/25/13		117


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	28	Series 1993-225, Class SG, HB, IF, 26.464%, 12/25/13		35
	22	Series 1993-228, Class G, PO, 09/25/23		19
	17	Series 1993-230, Class FA, VAR, 0.850%, 12/25/23		17
	321	Series 1993-250, Class Z, 7.000%, 12/25/23		344
	84	Series 1993-257, Class C, PO, 06/25/23		81
	1,446	Series 1994-26, Class J, PO, 01/25/24		1,266
	169	Series 1994-37, Class L, 6.500%, 03/25/24		198
	42	Series 1995-2, Class Z, 8.500%, 01/25/25		50
	353	Series 1996-14, Class SE, IF, IO, 7.780%, 08/25/23		67
	17	Series 1996-59, Class J, 6.500%, 08/25/22		19
	117	Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		5
	31	Series 1997-24, Class Z, 8.000%, 04/18/27		37
	31	Series 1997-27, Class J, 7.500%, 04/18/27		34
	561	Series 1997-46, Class Z, 7.500%, 06/17/27		646
	28	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		6
	1,463	Series 1998-30, Class ZA, 6.500%, 05/20/28		1,692
	60	Series 1998-36, Class J, 6.000%, 07/18/28		65
	523	Series 1998-36, Class ZB, 6.000%, 07/18/28		592
	219	Series 1998-43, Class SA, IF, IO, 17.097%, 04/25/23		95
	178	Series 1999-57, Class Z, 7.500%, 12/25/19		202
	179	Series 1999-62, Class PB, 7.500%, 12/18/29		209
	645	Series 2000-18, Class EC, PO, 10/25/23		601
	27	Series 2000-52, Class IO, IO, 8.500%, 01/25/31		6
	1,318	Series 2001-4, Class ZA, 6.500%, 03/25/31		1,513
	75	Series 2001-5, Class OW, 6.000%, 03/25/16		78
	153	Series 2001-7, Class PF, 7.000%, 03/25/31		179
	275	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		61
	277	Series 2001-36, Class DE, 7.000%, 08/25/31		325
	916	Series 2001-38, Class FB, VAR, 0.718%, 08/25/31		924
	176	Series 2001-44, Class PD, 7.000%, 09/25/31		207
	314	Series 2001-44, Class PU, 7.000%, 09/25/31		368
	495	Series 2001-49, Class LZ, 8.500%, 07/25/31		596
	173	Series 2001-52, Class XN, 6.500%, 11/25/15		187
	1,026	Series 2001-53, Class FX, VAR, 0.568%, 10/25/31		1,029
	819	Series 2001-61, Class Z, 7.000%, 11/25/31		959
	335	Series 2001-71, Class QE, 6.000%, 12/25/16		360
	192	Series 2001-72, Class SX, IF, 16.957%, 12/25/31		230


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	175	Series 2001-74, Class MB, 6.000%, 12/25/16		189
	201	Series 2002-1, Class HC, 6.500%, 02/25/22		216
	106	Series 2002-1, Class SA, HB, IF, 24.478%, 02/25/32		168
	168	Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23		261
	348	Series 2002-3, Class PG, 5.500%, 02/25/17		369
	679	Series 2002-7, Class FD, VAR, 0.918%, 04/25/29		683
	139	Series 2002-9, Class ST, IF, 18.796%, 03/25/17		170
	1,064	Series 2002-11, Class QG, 5.500%, 03/25/17		1,139
	994	Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32		46
	62	Series 2002-13, Class ST, IF, 10.000%, 03/25/32		68
	1,271	Series 2002-18, Class PC, 5.500%, 04/25/17		1,325
	331	Series 2002-19, Class PE, 6.000%, 04/25/17		356
	1,965	Series 2002-30, Class Z, 6.000%, 05/25/32		2,217
	121	Series 2002-37, Class Z, 6.500%, 06/25/32		140
	2,482	Series 2002-42, Class C, 6.000%, 07/25/17		2,691
	4,006	Series 2002-50, Class ZA, 6.000%, 05/25/31		4,538
	738	Series 2002-55, Class QE, 5.500%, 09/25/17		809
	2,223	Series 2002-56, Class UC, 5.500%, 09/25/17 (m)		2,400
	955	Series 2002-62, Class ZE, 5.500%, 11/25/17		1,033
	425	Series 2002-63, Class KC, 5.000%, 10/25/17		458
	460	Series 2002-63, Class LB, 5.500%, 10/25/17		497
	1,509	Series 2002-71, Class KM, 5.000%, 11/25/17		1,627
	381	Series 2002-77, Class S, IF, 14.083%, 12/25/32		458
	1,164	Series 2002-81, Class JO, PO, 04/25/32		1,123
	18	Series 2002-91, Class UH, IO, 5.500%, 06/25/22		1
	823	Series 2002-95, Class XD, 5.000%, 01/25/18		894
	610	Series 2003-7, Class A1, 6.500%, 12/25/42		711
	2,276	Series 2003-14, Class TI, IO, 5.000%, 03/25/33		416
	1,036	Series 2003-22, Class UD, 4.000%, 04/25/33		1,101
	514	Series 2003-23, Class CS, IF, IO, 7.882%, 05/25/31		27
	2,060	Series 2003-26, Class XS, IF, IO, 6.832%, 03/25/23		284
	582	Series 2003-27, Class DW, 4.500%, 04/25/17		594
	3,622	Series 2003-33, Class IA, IO, 6.500%, 05/25/33		785
	186	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		33
	2,408	Series 2003-41, Class PE, 5.500%, 05/25/23		2,733


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	3,435	Series 2003-44, Class IU, IO, 7.000%, 06/25/33		715
	551	Series 2003-45, Class AI, IO, 5.500%, 05/25/33		33
	126	Series 2003-52, Class SX, HB, IF, 22.295%, 10/25/31		189
	819	Series 2003-55, Class CD, 5.000%, 06/25/23		877
	17	Series 2003-60, Class NJ, 5.000%, 07/25/21		17
	47	Series 2003-67, Class VQ, 7.000%, 01/25/19		47
	368	Series 2003-68, Class QP, 3.000%, 07/25/22		375
	2,263	Series 2003-71, Class IM, IO, 5.500%, 12/25/31		230
	1,902	Series 2003-72, Class IE, IO, 5.500%, 08/25/33		327
	193	Series 2003-73, Class GA, 3.500%, 05/25/31		198
	433	Series 2003-73, Class HF, VAR, 0.668%, 01/25/31		433
	149	Series 2003-73, Class PB, 4.500%, 08/25/18		151
	131	Series 2003-74, Class SH, IF, 9.777%, 08/25/33		134
	1,413	Series 2003-76, Class SH, IF, 13.763%, 09/25/31		1,645
	49	Series 2003-79, Class NM, 4.000%, 05/25/22		50
	2,083	Series 2003-80, Class SY, IF, IO, 7.432%, 06/25/23		246
	1,036	Series 2003-81, Class LC, 4.500%, 09/25/18		1,122
	2,841	Series 2003-83, Class PG, 5.000%, 06/25/23		3,084
	239	Series 2003-86, Class PX, 4.500%, 02/25/17		244
	1,318	Series 2003-86, Class ZA, 5.500%, 09/25/33		1,485
	1,000	Series 2003-88, Class TH, 4.500%, 09/25/18		1,085
	319	Series 2003-91, Class SD, IF, 12.136%, 09/25/33		371
	99	Series 2003-92, Class SH, IF, 9.234%, 09/25/18		102
	3,860	Series 2003-105, Class AZ, 5.500%, 10/25/33		4,595
	180	Series 2003-106, Class PO, PO, 08/25/17		170
	500	Series 2003-106, Class US, IF, 8.747%, 11/25/23		509
	3,985	Series 2003-106, Class WE, 4.500%, 11/25/22		4,283
	1,626	Series 2003-116, Class SB, IF, IO, 7.382%, 11/25/33		345
	2,070	Series 2003-117, Class JB, 3.500%, 06/25/33		2,182
	3,000	Series 2003-120, Class BL, 3.500%, 12/25/18		3,163
	777	Series 2003-122, Class TE, 5.000%, 12/25/22		849
	357	Series 2003-128, Class KE, 4.500%, 01/25/14		368
	492	Series 2003-130, Class SX, IF, 11.192%, 01/25/34		556


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	331	Series 2003-131, Class SK, IF, 15.763%, 01/25/34		415
	322	Series 2003-132, Class OA, PO, 08/25/33		295
	952	Series 2003-132, Class PI, IO, 5.500%, 08/25/33		122
	1,397	Series 2004-4, Class QI, IF, IO, 6.882%, 06/25/33		272
	349	Series 2004-4, Class QM, IF, 13.763%, 06/25/33		431
	798	Series 2004-10, Class SC, HB, IF, 27.726%, 02/25/34		1,159
	580	Series 2004-14, Class SD, IF, 8.747%, 03/25/34		588
	887	Series 2004-17, Class H, 5.500%, 04/25/34		981
	991	Series 2004-21, Class CO, PO, 04/25/34		863
	405	Series 2004-22, Class A, 4.000%, 04/25/19		415
	754	Series 2004-25, Class PB, 5.500%, 05/25/32		772
	777	Series 2004-25, Class PC, 5.500%, 01/25/34		872
	1,008	Series 2004-25, Class SA, IF, 18.924%, 04/25/34		1,390
	1,370	Series 2004-27, Class HB, 4.000%, 05/25/19		1,476
	3,350	Series 2004-28, Class PF, VAR, 0.618%, 03/25/34		3,346
	606	Series 2004-36, Class PB, 5.500%, 05/25/32		622
	846	Series 2004-36, Class SA, IF, 18.924%, 05/25/34		1,174
	288	Series 2004-36, Class SN, IF, 13.763%, 07/25/33		362
	1,341	Series 2004-46, Class EP, PO, 03/25/34		1,216
	1,366	Series 2004-46, Class HS, IF, IO, 5.782%, 05/25/30		61
	451	Series 2004-46, Class QB, HB, IF, 23.126%, 05/25/34		673
	367	Series 2004-46, Class SK, IF, 15.899%, 05/25/34		469
	186	Series 2004-51, Class SY, IF, 13.803%, 07/25/34		227
	1,413	Series 2004-53, Class NC, 5.500%, 07/25/24		1,513
	806	Series 2004-59, Class BG, PO, 12/25/32		726
	222	Series 2004-61, Class CO, PO, 10/25/31		217
	269	Series 2004-61, Class SK, IF, 8.500%, 11/25/32		295
	82	Series 2004-92, Class JO, PO, 12/25/34		78
	2,527	Series 2005-7, Class LO, PO, 02/25/35		2,112
	546	Series 2005-13, Class FL, VAR, 0.618%, 03/25/35		543
	271	Series 2005-14, Class BA, 4.500%, 04/25/19		281


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	421	Series 2005-15, Class MO, PO, 03/25/35		358
	675	Series 2005-45, Class BG, 4.500%, 06/25/25		689
	4,945	Series 2005-47, Class AK, 5.000%, 06/25/20		5,467
	382	Series 2005-52, Class PA, 6.500%, 06/25/35		417
	2,174	Series 2005-56, Class S, IF, IO, 6.492%, 07/25/35		366
	2,224	Series 2005-57, Class EG, VAR, 0.518%, 03/25/35		2,218
	387	Series 2005-58, Class PO, PO, 07/25/35		296
	522	Series 2005-66, Class SG, IF, 16.829%, 07/25/35		614
	3,608	Series 2005-66, Class SV, IF, IO, 6.532%, 07/25/35		676
	1,250	Series 2005-67, Class HG, 5.500%, 01/25/35		1,404
	1,027	Series 2005-68, Class BC, 5.250%, 06/25/35		1,132
	2,079	Series 2005-68, Class PG, 5.500%, 08/25/35		2,342
	268	Series 2005-70, Class KI, IO, 5.500%, 08/25/35		11
	462	Series 2005-73, Class PS, IF, 16.154%, 08/25/35		547
	1,773	Series 2005-74, Class SK, IF, 19.529%, 05/25/35		2,482
	1,707	Series 2005-84, Class XM, 5.750%, 10/25/35		1,901
	2,000	Series 2005-87, Class NH, 5.000%, 10/25/25		2,237
	173	Series 2005-88, Class QO, PO, 11/25/33		171
	758	Series 2005-90, Class AO, PO, 10/25/35		722
	2,069	Series 2005-90, Class ES, IF, 16.329%, 10/25/35		2,450
	1,476	Series 2005-90, Class PO, PO, 09/25/35		1,399
	1,500	Series 2005-100, Class BQ, 5.500%, 11/25/25		1,693
	718	Series 2005-103, Class SC, IF, 10.868%, 07/25/35		799
	1,413	Series 2005-106, Class US, HB, IF, 23.766%, 11/25/35		2,128
	1,097	Series 2005-109, Class PB, 6.000%, 01/25/34		1,141
	2,162	Series 2005-110, Class GJ, 5.500%, 11/25/30		2,259
	2,739	Series 2005-110, Class GK, 5.500%, 08/25/34		3,064
	1,254	Series 2005-110, Class MJ, 5.500%, 01/25/33		1,303
	2,397	Series 2005-110, Class MN, 5.500%, 06/25/35		2,719
	1,059	Series 2005-116, Class PB, 6.000%, 04/25/34		1,144
	2,174	Series 2005-118, Class ME, 6.000%, 01/25/32		2,203
	6,000	Series 2005-118, Class PN, 6.000%, 01/25/32		6,425


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	1,625	Series 2005-123, Class FG, VAR, 0.668%, 07/25/34		1,614
	632	Series 2006-15, Class OT, PO, 01/25/36		598
	1,011	Series 2006-16, Class FC, VAR, 0.518%, 03/25/36		1,008
	2,028	Series 2006-16, Class HZ, 5.500%, 03/25/36		2,299
	699	Series 2006-23, Class KO, PO, 04/25/36		658
	2,024	Series 2006-27, Class OH, PO, 04/25/36		1,893
	1,117	Series 2006-33, Class ZB, 6.000%, 05/25/36		1,233
	2,500	Series 2006-35, Class GD, 6.000%, 12/25/34		2,802
	2,054	Series 2006-39, Class WC, 5.500%, 01/25/36		2,307
	727	Series 2006-42, Class CF, VAR, 0.668%, 06/25/36		727
	3,126	Series 2006-43, Class VB, 6.500%, 10/25/17		3,320
	825	Series 2006-44, Class FP, VAR, 0.618%, 06/25/36		823
	1,643	Series 2006-44, Class GO, PO, 06/25/36		1,499
	4,958	Series 2006-44, Class P, PO, 12/25/33		4,495
	1,712	Series 2006-46, Class UC, 5.500%, 12/25/35		1,924
	1,031	Series 2006-50, Class JO, PO, 06/25/36		922
	1,734	Series 2006-50, Class PS, PO, 06/25/36		1,561
	3,130	Series 2006-53, Class US, IF, IO, 6.362%, 06/25/36		465
	1,710	Series 2006-56, Class FC, VAR, 0.508%, 07/25/36		1,705
	1,987	Series 2006-56, Class FT, VAR, 0.968%, 07/25/36		1,892
	700	Series 2006-58, Class AP, PO, 07/25/36		650
	829	Series 2006-58, Class FL, VAR, 0.678%, 07/25/36		830
	1,719	Series 2006-58, Class PO, PO, 07/25/36		1,551
	139	Series 2006-59, Class CO, PO, 08/25/35		136
	2,468	Series 2006-59, Class QO, PO, 01/25/33		2,316
	959	Series 2006-60, Class DO, PO, 04/25/35		886
	1,398	Series 2006-63, Class ZH, 6.500%, 07/25/36		1,660
	680	Series 2006-65, Class QO, PO, 07/25/36		620
	1,209	Series 2006-72, Class GO, PO, 08/25/36		1,090
	744	Series 2006-72, Class HO, PO, 08/25/26		687
	1,137	Series 2006-72, Class TO, PO, 08/25/36		1,053
	6,848	Series 2006-77, Class PC, 6.500%, 08/25/36		8,028
	1,847	Series 2006-78, Class BZ, 6.500%, 08/25/36		2,166
	1,104	Series 2006-79, Class DO, PO, 08/25/36		1,007
	1,053	Series 2006-86, Class OB, PO, 09/25/36		964
	989	Series 2006-90, Class AO, PO, 09/25/36		916
	6,456	Series 2006-94, Class GI, IF, IO, 6.432%, 10/25/26		988


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	270	Series 2006-94, Class GK, HB, IF, 32.158%, 10/25/26		407
	1,000	Series 2006-102, Class MD, 6.000%, 01/25/35		1,114
	1,186	Series 2006-110, Class PO, PO, 11/25/36		1,088
	504	Series 2006-111, Class EO, PO, 11/25/36		452
	1,331	Series 2006-113, Class PO, PO, 07/25/36		1,269
	1,287	Series 2006-115, Class OK, PO, 12/25/36		1,117
	3,050	Series 2006-117, Class GS, IF, IO, 6.432%, 12/25/36		460
	724	Series 2006-118, Class A2, VAR, 0.278%, 12/25/36		715
	1,107	Series 2006-119, Class PO, PO, 12/25/36		1,007
	1,981	Series 2006-120, Class IO, IO, 6.500%, 12/25/36		401
	2,264	Series 2006-120, Class PF, VAR, 0.468%, 12/25/36		2,257
	1,960	Series 2006-126, Class AO, PO, 01/25/37		1,761
	2,509	Series 2006-130, Class GI, IO, 6.500%, 07/25/32		439
	290	Series 2007-1, Class SD, HB, IF, 37.690%, 02/25/37		454
	1,935	Series 2007-7, Class SG, IF, IO, 6.282%, 08/25/36		276
	6,088	Series 2007-14, Class ES, IF, IO, 6.222%, 03/25/37		891
	1,233	Series 2007-14, Class OP, PO, 03/25/37		1,123
	461	Series 2007-15, Class NO, PO, 03/25/22		432
	1,876	Series 2007-16, Class FC, VAR, 0.968%, 03/25/37		1,869
	2,841	Series 2007-16, Class FM, VAR, 0.448%, 03/25/37		2,823
	3,283	Series 2007-18, Class BD, 5.750%, 05/25/36		3,713
	1,686	Series 2007-18, Class MZ, 6.000%, 03/25/37		1,996
	1,824	Series 2007-22, Class SC, IF, IO, 5.862%, 03/25/37		257
	1,500	Series 2007-24, Class GW, 5.500%, 03/25/29		1,663
	275	Series 2007-39, Class EF, VAR, 0.468%, 05/25/37		274
	596	Series 2007-43, Class FL, VAR, 0.518%, 05/25/37		592
	1,500	Series 2007-47, Class PC, 5.000%, 07/25/33		1,554
	2,151	Series 2007-54, Class FA, VAR, 0.618%, 06/25/37		2,148
	4,450	Series 2007-54, Class WI, IF, IO, 5.882%, 06/25/37		639
	2,445	Series 2007-60, Class AX, IF, IO, 6.932%, 07/25/37		448


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	2,500	Series 2007-61, Class PC, 5.500%, 07/25/34		2,725
	4,000	Series 2007-63, Class PC, 5.500%, 07/25/36		4,446
	1,866	Series 2007-64, Class FB, VAR, 0.588%, 07/25/37		1,864
	6,148	Series 2007-65, Class KI, IF, IO, 6.402%, 07/25/37		888
	11,917	Series 2007-72, Class EK, IF, IO, 6.182%, 07/25/37		1,736
	1,981	Series 2007-75, Class EO, PO, 01/25/36		1,874
	2,554	Series 2007-76, Class ZG, 6.000%, 08/25/37		2,992
	2,513	Series 2007-77, Class FG, VAR, 0.718%, 03/25/37		2,517
	1,500	Series 2007-78, Class CB, 6.000%, 08/25/37		1,711
	1,907	Series 2007-79, Class PB, 5.000%, 04/25/29		1,935
	313	Series 2007-79, Class SB, HB, IF, 23.216%, 08/25/37		440
	857	Series 2007-88, Class VI, IF, IO, 6.322%, 09/25/37		143
	2,694	Series 2007-91, Class ES, IF, IO, 6.242%, 10/25/37		470
	262	Series 2007-97, Class MS, IF, 14.266%, 12/25/31		272
	684	Series 2007-98, Class VA, 6.000%, 11/25/17		733
	5,153	Series 2007-100, Class SM, IF, IO, 6.232%, 10/25/37		825
	5,296	Series 2007-101, Class A2, VAR, 0.468%, 06/27/36		5,283
	751	Series 2007-106, Class A7, VAR, 5.969%, 10/25/37		803
	7,000	Series 2007-112, Class GB, 5.500%, 12/25/22		8,116
	6,441	Series 2007-112, Class SA, IF, IO, 6.232%, 12/25/37		936
	8,000	Series 2007-114, Class A6, VAR, 0.418%, 10/27/37		7,950
	5,390	Series 2007-116, Class HI, IO, VAR, 6.413%, 01/25/38		399
	218	Series 2007-118, Class IO, IO, 6.000%, 06/25/36		36
	4,517	Series 2008-1, Class BI, IF, IO, 5.692%, 02/25/38		613
	1,541	Series 2008-10, Class XI, IF, IO, 6.012%, 03/25/38		221
	1,281	Series 2008-12, Class IV, IO, 6.500%, 04/25/31		123
	3,962	Series 2008-16, Class IS, IF, IO, 5.982%, 03/25/38		518


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2,311	Series 2008-19, Class IC, IO, 5.000%, 03/25/23		231
	2,982	Series 2008-20, Class SA, IF, IO, 6.772%, 03/25/38		537
	2,741	Series 2008-24, Class PF, VAR, 0.868%, 02/25/38		2,756
	1,068	Series 2008-27, Class SN, IF, IO, 6.682%, 04/25/38		192
	1,676	Series 2008-32, Class SA, IF, IO, 6.632%, 04/25/38		286
	9,133	Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12		23
	4,397	Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16		49
	3,562	Series 2008-36, Class IA, IO, 4.500%, 10/25/22		252
	457	Series 2008-44, Class PO, PO, 05/25/38		393
	3,008	Series 2008-47, Class SI, IF, IO, 6.282%, 06/25/23		364
	6,000	Series 2008-51, Class BC, 4.500%, 06/25/23		6,513
	1,666	Series 2008-53, Class CI, IF, IO, 6.982%, 07/25/38		271
	310	Series 2008-59, Class IG, IO, 5.500%, 11/25/34		16
	2,000	Series 2008-70, Class BY, 4.000%, 08/25/23		2,178
	2,161	Series 2008-76, Class GF, VAR, 0.868%, 09/25/23		2,179
	734	Series 2008-80, Class GP, 6.250%, 09/25/38		828
	2,998	Series 2008-80, Class SA, IF, IO, 5.632%, 09/25/38		384
	1,329	Series 2008-81, Class SB, IF, IO, 5.632%, 09/25/38		186
	2,000	Series 2008-95, Class BA, 5.000%, 01/25/24		2,302
	685	Series 2009-4, Class BD, 4.500%, 02/25/39		725
	1,396	Series 2009-6, Class GS, IF, IO, 6.332%, 02/25/39		216
	3,162	Series 2009-9, Class IO, IO, 5.000%, 02/25/24		348
	2,591	Series 2009-12, Class IO, IO, 4.500%, 03/25/24		240
	982	Series 2009-12, Class NI, IO, 5.500%, 08/25/22		57
	1,761	Series 2009-14, Class YI, IO, 5.000%, 07/25/22		94
	4,848	Series 2009-17, Class QS, IF, IO, 6.432%, 03/25/39		701
	2,500	Series 2009-19, Class IP, IO, 5.500%, 10/25/36		851
	994	Series 2009-47, Class MT, 7.000%, 07/25/39		1,122


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	3,839	Series 2009-52, Class PI, IO, 5.000%, 07/25/39		557
	2,621	Series 2009-62, Class HJ, 6.000%, 05/25/39		2,911
	554	Series 2009-63, Class P, 5.000%, 03/25/37		597
	942	Series 2009-69, Class PO, PO, 09/25/39		854
	749	Series 2009-79, Class UA, 7.000%, 03/25/38		860
	3,920	Series 2009-84, Class WS, IF, IO, 5.682%, 10/25/39		503
	3,856	Series 2009-86, Class IP, IO, 5.500%, 10/25/39		655
	3,735	Series 2009-86, Class OT, PO, 10/25/37		3,247
	7,579	Series 2009-86, Class UI, IO, 4.000%, 10/25/14		528
	2,041	Series 2009-92, Class AD, 6.000%, 11/25/39		2,274
	2,302	Series 2009-99, Class SC, IF, IO, 5.962%, 12/25/39		301
	1,613	Series 2009-99, Class WA, VAR, 6.303%, 12/25/39		1,857
	6,726	Series 2009-103, Class MB, 4.000%, 12/25/39		7,163
	4,590	Series 2009-112, Class ST, IF, IO, 6.032%, 01/25/40		530
	10,460	Series 2009-113, Class LB, VAR, 5.831%, 01/25/40		11,709
	5,480	Series 2010-1, Class WA, VAR, 6.153%, 02/25/40 (m)		6,232
	4,477	Series 2010-9, Class MB, 5.000%, 05/25/32		4,979
	3,209	Series 2010-16, Class WA, VAR, 6.442%, 03/25/40		3,700
	6,033	Series 2010-16, Class WB, VAR, 6.215%, 03/25/40		6,886
	3,813	Series 2010-23, Class KS, IF, IO, 6.882%, 02/25/40		603
	4,811	Series 2010-35, Class SB, IF, IO, 6.202%, 04/25/40		583
	1,374	Series 2010-39, Class OT, PO, 10/25/35		1,252
	2,640	Series 2010-40, Class FJ, 0.818%, 04/25/40		2,649
	2,932	Series 2010-42, Class S, IF, IO, 6.182%, 05/25/40		358
	2,000	Series 2010-45, Class BD, 4.500%, 11/25/38		2,183
	2,263	Series 2010-47, Class AV, 5.000%, 05/25/21		2,506
	2,646	Series 2010-49, Class SC, IF, 12.223%, 03/25/40		3,082
	1,752	Series 2010-61, Class WA, VAR, 5.950%, 06/25/40		1,957
	10,786	Series 2010-64, Class DM, 5.000%, 06/25/40 (m)		11,674


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	7,673		Series 2010-68, Class SA, IF, IO, 4.782%, 07/25/40		1,038
	644		Series 2010-102, Class HZ, 4.000%, 09/25/50		639
	11,704		Series 2010-103, Class SB, IF, IO, 5.882%, 11/25/49		1,640
	13,364		Series 2010-111, Class AE, 5.500%, 04/25/38		14,227
	2,000		Series 2010-111, Class AM, 5.500%, 10/25/40		2,230
	8,364		Series 2010-111, Class WA, VAR, 6.031%, 10/25/40		9,349
	7,580		Series 2010-125, Class SA, IF, IO, 4.222%, 11/25/40		719
	2,721		Series 2010-130, Class CY, 4.500%, 11/25/40		2,836
	5,657		Series 2010-133, Class A, 5.500%, 05/25/38		6,054
	3,841		Series 2010-148, Class MA, 4.000%, 02/25/39		4,124
	3,254		Series 2011-2, Class WA, VAR, 5.728%, 02/25/51		3,584
	1,949		Series 2011-18, Class VN, 4.000%, 10/25/25		2,097
	1,674		Series 2011-20, Class MW, 5.000%, 03/25/41		1,893
	11,445		Series 2011-30, Class LS, IO, VAR, 4.835%, 04/25/41		900
	2,776		Series 2011-43, Class WA, VAR, 5.889%, 05/25/51		3,008
	3,041		Series 2011-47, Class ZA, 5.500%, 07/25/38		3,464
	9,228		Series 2011-58, Class WA, 5.419%, 07/25/51		10,208
	1,423		Series 2011-75, Class FA, VAR, 0.768%, 08/25/41		1,424
	102		Series G92-7, Class JQ, 8.500%, 01/25/22		127
	20		Series G92-12, Class B, 7.700%, 02/25/22		23
	31		Series G92-14, Class Z, 7.000%, 02/25/22		34
	—	(h)	Series G92-15, Class Z, 7.000%, 01/25/22		—	(h)
	—	(h)	Series G92-27, Class SQ, HB, IF, 1,737.650%, 05/25/22		16
	22		Series G92-42, Class Z, 7.000%, 07/25/22		24
	623		Series G92-44, Class ZQ, 8.000%, 07/25/22		710
	116		Series G92-54, Class ZQ, 7.500%, 09/25/22		131
	207		Series G92-61, Class Z, 7.000%, 10/25/22		251
	21		Series G92-62, Class B, PO, 10/25/22		18
	137		Series G93-1, Class KA, 7.900%, 01/25/23		157
	92		Series G93-17, Class SI, IF, 6.000%, 04/25/23		95
	735		Series G94-7, Class PJ, 7.500%, 05/17/24		896
	125		Series G97-2, Class ZA, 8.500%, 02/17/27		146
			Federal National Mortgage Association STRIPS,
	9		Series 23, Class 2, IO, 10.000%, 09/01/17		2
	7		Series 59, Class 2, IO, 9.500%, 07/01/17		1


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	487	Series 213, Class 2, IO, 8.000%, 03/01/23		105
	16	Series 265, Class 2, 9.000%, 03/01/24		19
	34	Series 285, Class 1, PO, 02/01/27		31
	1,070	Series 293, Class 1, PO, 12/01/24		1,009
	835	Series 331, Class 13, IO, 7.000%, 02/01/33		219
	2,147	Series 339, Class 18, IO, 4.500%, 07/01/18		191
	2,133	Series 339, Class 21, IO, 4.500%, 07/01/18		179
	1,815	Series 339, Class 28, IO, 5.500%, 07/01/18		189
	3,839	Series 345, Class 24, IO, VAR, 5.000%, 08/01/22		352
	932	Series 345, Class 6, IO, VAR, 5.000%, 12/01/33		114
	1,431	Series 351, Class 7, IO, VAR, 5.000%, 04/01/34		184
	2,033	Series 356, Class 3, IO, 5.000%, 01/01/35		286
	3,188	Series 356, Class 39, IO, 5.000%, 01/01/20		358
	3,081	Series 365, Class 8, IO, 5.500%, 05/01/36		545
	585	Series 368, Class 3, IO, 4.500%, 11/01/20		51
	1,151	Series 374, Class 5, IO, 5.500%, 08/01/36		199
	3,546	Series 383, Class 32, IO, 6.000%, 01/01/38		558
	423	Series 393, Class 6, IO, 5.500%, 04/25/37		51
		Federal National Mortgage Association Whole Loan,
	2,002	Series 2001-W3, Class A, VAR, 7.000%, 09/25/41		2,386
	382	Series 2001-W4, Class AF6, SUB, 5.610%, 01/25/32		419
	9,264	Series 2002-W10, Class IO, IO, VAR, 0.975%, 08/25/42		176
	590	Series 2003-W1, Class 1A1, VAR, 6.333%, 12/25/42		702
	339	Series 2003-W1, Class 2A, VAR, 7.181%, 12/25/42		402
	650	Series 2003-W18, Class 1A6, 5.370%, 08/25/43		717
	585	Series 2003-W2, Class 1A1, 6.500%, 07/25/42		674
	122	Series 2003-W4, Class 2A, VAR, 6.500%, 10/25/42		136
	592	Series 2003-W8, Class 2A, 7.000%, 10/25/42		684
	673	Series 2003-W8, Class 3F1, VAR, 0.618%, 05/25/42		668
	894	Series 2004-W1, Class 2A2, 7.000%, 12/25/33		1,044
	1,378	Series 2004-W11, Class 1A1, 6.000%, 05/25/44		1,546


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,177	Series 2004-W2, Class 2A2, 7.000%, 02/25/44		1,363
	2,299	Series 2005-W3, Class 2AF, VAR, 0.438%, 03/25/45		2,288
	974	Series 2005-W4, Class 1A1, 6.000%, 08/25/35		1,093
	4,191	Series 2005-W4, Class 3A, VAR, 2.908%, 06/25/35		4,389
	1,284	Series 2006-W2, Class 1AF1, VAR, 0.438%, 02/25/36		1,278
	858	Series 2006-W3, Class 1AF1, VAR, 0.458%, 10/25/46		854
	1,031	Series 2006-W3, Class 2A, 6.000%, 09/25/46		1,152
	12,811	Series 2007-W1, Class 1AF1, VAR, 0.478%, 11/25/46 (m)		12,768
	3,571	Series 2007-W2, Class 1A1, VAR, 0.538%, 03/25/37		3,527
	2,020	Series 2007-W3, Class 1A3, 6.750%, 04/25/37		2,229
	325	Series 2007-W7, Class 1A4, HB, IF, 37.870%, 07/25/37		563
	6,914	Series 2009-W1, Class A, 6.000%, 12/25/49		7,757
		Government National Mortgage Association,
	93	Series 1994-4, Class KQ, 7.988%, 07/16/24		108
	1,418	Series 1994-7, Class PQ, 6.500%, 10/16/24		1,644
	204	Series 1996-16, Class E, 7.500%, 08/16/26 (m)		234
	41	Series 1997-2, Class E, 7.500%, 02/20/27		48
	47	Series 1997-11, Class D, 7.500%, 07/20/27		55
	83	Series 1998-26, Class K, 7.500%, 09/17/25		97
	465	Series 1999-4, Class ZB, 6.000%, 02/20/29		520
	148	Series 1999-41, Class Z, 8.000%, 11/16/29		173
	18	Series 1999-43, Class TA, IF, 9.350%, 11/16/29		19
	88	Series 1999-44, Class PC, 7.500%, 12/20/29		102
	412	Series 1999-44, Class ZG, 8.000%, 12/20/29		482
	247	Series 2000-6, Class Z, 7.500%, 02/20/30		280
	383	Series 2000-7, Class ST, HB, IF, 38.559%, 01/16/30		776
	171	Series 2000-9, Class Z, 8.000%, 06/20/30		200
	963	Series 2000-9, Class ZJ, 8.500%, 02/16/30		1,191
	709	Series 2000-10, Class ZP, 7.500%, 02/16/30		786
	379	Series 2000-12, Class ST, HB, IF, 38.559%, 02/16/30		769
	95	Series 2000-16, Class ZN, 7.500%, 02/16/30		102
	875	Series 2000-21, Class Z, 9.000%, 03/16/30		1,098
	135	Series 2000-26, Class Z, 7.750%, 09/20/30		156


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	52	Series 2000-36, Class HC, 7.330%, 11/20/30		61
	29	Series 2000-36, Class IK, IO, 9.000%, 11/16/30		9
	149	Series 2000-38, Class AH, 7.150%, 12/20/30		180
	1,566	Series 2001-21, Class PE, 6.500%, 05/16/31		1,877
	264	Series 2001-31, Class SJ, HB, IF, 27.254%, 02/20/31		466
	20	Series 2001-32, Class WA, IF, 19.592%, 07/20/31		29
	184	Series 2001-35, Class SA, IF, IO, 8.042%, 08/16/31		51
	164	Series 2001-36, Class S, IF, IO, 7.842%, 08/16/31		44
	955	Series 2001-53, Class SR, IF, IO, 7.937%, 10/20/31		112
	60	Series 2001-55, Class SF, HB, IF, 25.535%, 11/20/31		100
	777	Series 2002-4, Class TD, 7.000%, 01/20/32		945
	185	Series 2002-7, Class PG, 6.500%, 01/20/32		219
	723	Series 2002-24, Class AG, IF, IO, 7.742%, 04/16/32		174
	190	Series 2002-24, Class SB, IF, 11.613%, 04/16/32		232
	557	Series 2002-24, Class Z, 8.500%, 04/16/32		648
	1,440	Series 2002-31, Class SE, IF, IO, 7.292%, 04/16/30		306
	59	Series 2002-33, Class SY, IF, 9.000%, 02/26/23		63
	476	Series 2002-40, Class UK, 6.500%, 06/20/32		554
	133	Series 2002-41, Class LS, IF, 9.000%, 06/16/32		147
	283	Series 2002-45, Class QE, 6.500%, 06/20/32		332
	348	Series 2002-47, Class PG, 6.500%, 07/16/32		407
	47	Series 2002-51, Class SG, HB, IF, 31.577%, 04/20/31		89
	185	Series 2002-54, Class GB, 6.500%, 08/20/32		212
	249	Series 2002-69, Class PO, PO, 02/20/32		236
	112	Series 2002-70, Class AV, 6.000%, 03/20/12		112
	413	Series 2002-70, Class PS, IF, IO, 7.487%, 08/20/32		51
	653	Series 2002-92, Class TK, IO, 5.500%, 05/16/31		19
	260	Series 2003-4, Class NI, IO, 5.500%, 01/20/32		14
	272	Series 2003-4, Class NY, 5.500%, 12/20/13		285
	486	Series 2003-8, Class PO, PO, 01/16/32		463
	1,660	Series 2003-11, Class SK, IF, IO, 7.492%, 02/16/33		382


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	4,539	Series 2003-12, Class VI, IO, 5.500%, 10/17/22		724
	43	Series 2003-24, Class PO, PO, 03/16/33		35
	504	Series 2003-34, Class TO, PO, 02/16/32		482
	1,571	Series 2003-41, Class ID, IO, 5.500%, 05/20/33		298
	2,231	Series 2003-46, Class IH, IO, 5.500%, 12/20/32		255
	1,796	Series 2003-60, Class ZN, 5.000%, 07/16/33		2,090
	458	Series 2003-76, Class LS, IF, IO, 6.987%, 09/20/31		33
	100	Series 2003-90, Class PO, PO, 10/20/33		84
	1,489	Series 2003-112, Class SA, IF, IO, 6.342%, 12/16/33		282
	6,000	Series 2003-112, Class TS, IF, IO, 6.737%, 10/20/32		1,032
	4,378	Series 2004-11, Class SW, IF, IO, 5.287%, 02/20/34		548
	292	Series 2004-15, Class SA, IF, 19.077%, 12/20/32		369
	272	Series 2004-28, Class S, IF, 19.090%, 04/16/34		382
	700	Series 2004-34, Class SZ, IF, 7.500%, 02/20/34		707
	578	Series 2004-46, Class AO, PO, 06/20/34		491
	3,570	Series 2004-59, Class SG, IF, IO, 6.287%, 07/20/34		566
	825	Series 2004-68, Class PO, PO, 05/20/31		780
	191	Series 2004-71, Class ST, IF, 7.000%, 09/20/34		187
	279	Series 2004-73, Class AE, IF, 14.425%, 08/17/34		345
	4,336	Series 2004-73, Class JL, IF, IO, 6.342%, 09/16/34		796
	1,142	Series 2004-85, Class PO, PO, 01/17/33		1,063
	2,097	Series 2004-90, Class SI, IF, IO, 5.887%, 10/20/34		301
	1,750	Series 2005-3, Class SB, IF, IO, 5.887%, 01/20/35		247
	3,524	Series 2005-17, Class SL, IF, IO, 6.487%, 07/20/34		623
	700	Series 2005-26, Class VI, IO, 5.500%, 01/20/35		178
	281	Series 2005-35, Class FL, VAR, 0.563%, 03/20/32		279
	3,287	Series 2005-58, Class NI, IO, 5.500%, 08/20/35		1,164


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	895	Series 2005-68, Class DP, IF, 15.932%, 06/17/35		1,068
	4,573	Series 2005-68, Class KI, IF, IO, 6.087%, 09/20/35		777
	1,152	Series 2005-69, Class SY, IF, IO, 6.537%, 11/20/33		203
	1,384	Series 2005-72, Class AZ, 5.500%, 09/20/35		1,624
	1,779	Series 2005-85, Class IO, IO, 5.500%, 01/16/35		320
	308	Series 2005-93, Class JO, PO, 03/20/31		297
	860	Series 2006-16, Class OP, PO, 03/20/36		714
	641	Series 2006-34, Class PO, PO, 07/20/36		533
	4,552	Series 2006-38, Class SG, IF, IO, 6.437%, 09/20/33		424
	2,433	Series 2006-38, Class SW, IF, IO, 6.287%, 06/20/36		315
	712	Series 2006-59, Class SD, IF, IO, 6.487%, 10/20/36		111
	2,502	Series 2007-9, Class DI, IF, IO, 6.297%, 03/20/37		374
	841	Series 2007-17, Class AF, VAR, 0.408%, 04/16/37		836
	4,011	Series 2007-17, Class JI, IF, IO, 6.602%, 04/16/37		688
	552	Series 2007-17, Class JO, PO, 04/16/37		457
	477	Series 2007-25, Class FN, VAR, 0.508%, 05/16/37		474
	3,214	Series 2007-26, Class SC, IF, IO, 5.987%, 05/20/37		510
	7,802	Series 2007-26, Class SW, IF, IO, 5.987%, 05/20/37		1,232
	1,214	Series 2007-27, Class MI, IO, 5.500%, 09/20/36		160
	148	Series 2007-28, Class BO, PO, 05/20/37		123
	3,390	Series 2007-31, Class AO, PO, 05/16/37		2,732
	276	Series 2007-35, Class TO, PO, 04/20/35		265
	136	Series 2007-36, Class HO, PO, 06/16/37		114
	2,719	Series 2007-36, Class SE, IF, IO, 6.262%, 06/16/37		401
	4,353	Series 2007-36, Class SG, IF, IO, 6.257%, 06/20/37		660
	2,386	Series 2007-40, Class SD, IF, IO, 6.537%, 07/20/37		363
	2,384	Series 2007-42, Class SB, IF, IO, 6.537%, 07/20/37		361
	1,015	Series 2007-45, Class QA, IF, IO, 6.427%, 07/20/37		146


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2,303	Series 2007-50, Class AI, IF, IO, 6.562%, 08/20/37		371
	462	Series 2007-53, Class SW, IF, 19.566%, 09/20/37		608
	2,611	Series 2007-57, Class PO, PO, 03/20/37		2,183
	2,275	Series 2007-57, Class QA, IF, IO, 6.287%, 10/20/37		325
	2,000	Series 2007-70, Class TA, 5.750%, 08/20/36		2,130
	3,194	Series 2007-71, Class SB, IF, IO, 6.487%, 07/20/36		367
	4,567	Series 2007-74, Class SL, IF, IO, 6.332%, 11/16/37		768
	2,221	Series 2007-76, Class SA, IF, IO, 6.317%, 11/20/37		305
	3,346	Series 2007-79, Class SY, IF, IO, 6.337%, 12/20/37		443
	1,144	Series 2007-81, Class SP, IF, IO, 6.437%, 12/20/37		160
	898	Series 2007-82, Class SA, IF, IO, 6.317%, 12/20/37		123
	1,596	Series 2008-2, Class MS, IF, IO, 6.952%, 01/16/38		220
	1,145	Series 2008-10, Class S, IF, IO, 5.617%, 02/20/38		150
	4,347	Series 2008-13, Class PI, IO, 5.500%, 02/16/38		730
	1,044	Series 2008-20, Class PO, PO, 09/20/37		896
	1,041	Series 2008-23, Class IO, IO, 6.000%, 02/20/37		120
	2,336	Series 2008-25, Class SB, IF, IO, 6.687%, 03/20/38		363
	1,093	Series 2008-29, Class PO, PO, 02/17/33		952
	2,565	Series 2008-32, Class PI, IO, 5.500%, 10/16/37		377
	1,018	Series 2008-33, Class XS, IF, IO, 7.492%, 04/16/38		170
	1,500	Series 2008-36, Class AY, 5.000%, 04/16/23		1,741
	2,476	Series 2008-36, Class SH, IF, IO, 6.087%, 04/20/38		347
	5,983	Series 2008-40, Class SA, IF, IO, 6.192%, 05/16/38		1,208
	2,700	Series 2008-41, Class SA, IF, IO, 6.127%, 05/20/38		389
	768	Series 2008-47, Class V, 5.500%, 05/16/19		870
	1,578	Series 2008-55, Class SA, IF, IO, 5.987%, 06/20/38		231
	1,318	Series 2008-60, Class PO, PO, 01/20/38		1,179


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	6,855	Series 2008-62, Class SA, IF, IO, 5.937%, 07/20/38		871
	2,732	Series 2008-64, Class ED, 6.500%, 04/20/28		3,020
	3,000	Series 2008-65, Class ME, 5.750%, 09/20/37		3,342
	749	Series 2008-71, Class SC, IF, IO, 5.787%, 08/20/38		100
	1,903	Series 2008-93, Class AS, IF, IO, 5.487%, 12/20/38		241
	5,988	Series 2008-95, Class DS, IF, IO, 7.087%, 12/20/38		1,046
	1,579	Series 2008-96, Class SL, IF, IO, 5.787%, 12/20/38		198
	2,510	Series 2009-6, Class SA, IF, IO, 5.892%, 02/16/39		314
	3,687	Series 2009-10, Class SA, IF, IO, 5.737%, 02/20/39		488
	2,942	Series 2009-10, Class SL, IF, IO, 6.292%, 03/16/34		364
	5,000	Series 2009-12, Class IE, IO, 5.500%, 03/20/39		1,809
	1,963	Series 2009-14, Class KI, IO, 6.500%, 03/20/39		344
	2,124	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		390
	2,956	Series 2009-24, Class DS, IF, IO, 6.087%, 03/20/39		370
	1,485	Series 2009-25, Class SE, IF, IO, 7.387%, 09/20/38		261
	1,180	Series 2009-33, Class CI, IO, 5.500%, 05/20/39		212
	2,000	Series 2009-33, Class TI, IO, 6.000%, 05/20/39		372
	1,633	Series 2009-38, Class IO, IO, 5.000%, 09/16/31		151
	5,096	Series 2009-42, Class SC, IF, IO, 5.867%, 06/20/39		665
	2,623	Series 2009-43, Class SA, IF, IO, 5.737%, 06/20/39		344
	846	Series 2009-44, Class VA, 5.500%, 05/16/20		934
	5,696	Series 2009-64, Class SN, IF, IO, 5.892%, 07/16/39		714
	1,055	Series 2009-65, Class IQ, IO, 6.000%, 12/20/38		178
	4,555	Series 2009-67, Class SA, IF, IO, 5.842%, 08/16/39		514
	5,742	Series 2009-72, Class SM, IF, IO, 6.042%, 08/16/39		753
	906	Series 2009-79, Class OK, PO, 11/16/37		767


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	5,306	Series 2009-83, Class TS, IF, IO, 5.887%, 08/20/39		686
	10,937	Series 2009-102, Class SM, IF, IO, 6.192%, 06/16/39		1,374
	1,603	Series 2009-104, Class AB, 7.000%, 08/16/39		1,922
	4,882	Series 2009-106, Class AS, IF, IO, 6.192%, 11/16/39		623
	6,219	Series 2009-106, Class ST, IF, IO, 5.787%, 02/20/38		900
	2,755	Series 2009-121, Class VA, 5.500%, 11/20/20		3,152
	735	Series 2010-14, Class AO, PO, 12/20/32		648
	762	Series 2010-14, Class BO, PO, 11/20/35		647
	2,500	Series 2010-14, Class CO, PO, 08/20/35		1,789
	6,106	Series 2010-14, Class QP, 6.000%, 12/20/39		6,669
	4,074	Series 2010-41, Class WA, VAR, 5.853%, 10/20/33		4,572
	2,550	Series 2010-103, Class WA, VAR, 5.767%, 08/20/34		2,882
	2,560	Series 2010-129, Class AW, VAR, 6.151%, 04/20/37		2,910
	3,419	Series 2010-130, Class CP, 7.000%, 10/16/40		4,044
	5,351	Series 2010-157, Class OP, PO, 12/20/40		4,216
	5,684	Series 2011-22, Class WA, 5.947%, 02/20/37		6,472
	8,260	Series 2011-97, Class WA, VAR, 6.069%, 11/20/38		9,365
		NCUA Guaranteed Notes,
	7,707	Series 2010-C1, Class APT, 2.650%, 10/29/20		7,997
	3,772	Series 2010-R3, Class 1A, VAR, 0.761%, 12/08/20		3,801
	1,359	Series 2010-R3, Class 3A, 2.400%, 12/08/20		1,400
		Vendee Mortgage Trust,
	6,088	Series 1994-1, Class 2ZB, 6.500%, 02/15/24		6,899
	780	Series 1996-1, Class 1Z, 6.750%, 02/15/26		917
	441	Series 1996-2, Class 1Z, 6.750%, 06/15/26		518
	863	Series 1997-1, Class 2Z, 7.500%, 02/15/27		1,022
	652	Series 1998-1, Class 2E, 7.000%, 03/15/28		765

				1,137,419

		Non-Agency CMO — 20.8%
		ABN Amro Mortgage Corp.,
	74	Series 2003-7, Class A3, 4.500%, 07/25/18		74
	12	Series 2003-9, Class A2, 4.500%, 08/25/18		12


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
		AH Mortgage Advance Trust,
	3,201	Series SART-2, Class A1, 3.270%, 09/15/43 (e)		3,201
	1,000	Series SART-2, Class B1, 6.900%, 09/15/43 (e)		1,000
		American General Mortgage Loan Trust,
	1,503	Series 2006-1, Class A5, VAR, 5.736%, 12/25/35 (e)		1,548
	4,000	Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e)		4,016
	3,000	Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e)		3,029
	5,300	Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		5,377
	2,439	Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e)		2,500
	1,712	American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.100%, 09/25/35		665
		ASG Resecuritization Trust,
	1,329	Series 2009-1, Class A60, VAR, 5.218%, 06/26/37 (e)		1,342
	1,659	Series 2009-2, Class A55, VAR, 5.367%, 05/24/36 (e)		1,643
	1,288	Series 2009-2, Class G60, VAR, 5.345%, 05/24/36 (e)		1,221
	4,183	Series 2009-3, Class A65, VAR, 5.235%, 03/26/37 (e)		4,150
	4,562	Series 2009-4, Class A60, 6.000%, 06/28/37 (e)		4,630
	3,232	Series 2010-1, Class A85, VAR, 0.621%, 02/27/36 (e)		3,102
	8,018	Series 2010-2, Class A60, VAR, 4.964%, 01/28/37 (e)		8,079
	2,603	Series 2010-3, Class 2A22, VAR, 0.395%, 10/28/36 (e)		2,525
	657	Series 2010-4, Class 2A20, VAR, 0.344%, 11/28/36 (e)		639
	1,056	Series 2011-1, Class 2A35, 6.000%, 09/28/36 (e)		1,114
	2,562	Series 2011-1, Class 3A50, VAR, 2.555%, 11/28/35 (e) (f) (i)		2,460
	1,851	Series 2011-2, Class A48S, IF, 23.364%, 02/28/36 (e)		2,535
		Banc of America Alternative Loan Trust,
	301	Series 2003-3, Class APO, PO, 05/25/33		191
	2,156	Series 2003-7, Class 2A4, 5.000%, 09/25/18		2,200
	842	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		865


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	803	Series 2003-11, Class 2A1, 6.000%, 01/25/34		807
	408	Series 2003-11, Class PO, PO, 01/25/34		334
	1,084	Series 2004-1, Class 1A1, 6.000%, 02/25/34		1,139
	348	Series 2004-1, Class 5A1, 5.500%, 02/25/19		352
	816	Series 2004-6, Class 3A2, 6.000%, 07/25/34		825
	4,168	Series 2005-1, Class CBIO, IO, 5.500%, 02/25/35		709
	3,538	Series 2005-12, Class CBIO, IO, 5.750%, 01/25/36		656
		Banc of America Funding Corp.,
	354	Series 2004-1, Class PO, PO, 03/25/34		283
	1,632	Series 2004-3, Class 1A1, 5.500%, 10/25/34		1,674
	117	Series 2004-3, Class 1A7, 5.500%, 10/25/34		118
	1,382	Series 2004-C, Class 1A1, VAR, 5.033%, 12/20/34		1,313
	1,985	Series 2005-1, Class 30IO, IO, 5.500%, 02/25/35		218
	408	Series 2005-4, Class 30PO, PO, 08/25/35		331
	1,139	Series 2005-6, Class 2A7, 5.500%, 10/25/35		1,103
	153	Series 2005-7, Class 30PO, PO, 11/25/35		120
	786	Series 2005-8, Class 30PO, PO, 01/25/36		629
	1,709	Series 2005-E, Class 4A1, VAR, 2.772%, 03/20/35		1,537
	3,567	Series 2010-R11A, Class 1A6, VAR, 5.421%, 08/26/35 (e)		3,653
	760	Series 2010-R4, Class 5A1, VAR, 0.369%, 07/26/36 (e)		735
	3,043	Series 2010-R5, Class 5A6, VAR, 0.519%, 05/26/37 (e)		2,949
	205	Series 2010-R7, Class A1, VAR, 0.399%, 06/25/46 (e) (f) (i)		202
		Banc of America Mortgage Securities, Inc.,
	2,000	Series 2003-3, Class 1A7, 5.500%, 05/25/33		2,052
	405	Series 2003-3, Class 2A1, VAR, 0.768%, 05/25/18		385
	1,176	Series 2003-6, Class 2A1, VAR, 0.668%, 08/25/18		1,123
	894	Series 2003-8, Class 2A5, 5.000%, 11/25/18		931
	167	Series 2003-8, Class APO, PO, 11/25/33		139
	177	Series 2003-9, Class 1A2, PO, 12/25/33		132
	1,586	Series 2003-A, Class 4A1, VAR, 2.872%, 02/25/33		1,526
	955	Series 2003-C, Class 3A1, VAR, 2.872%, 04/25/33		917
	2,071	Series 2003-E, Class 2A2, VAR, 2.883%, 06/25/33		1,884


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	3,382	Series 2004-3, Class 15IO, IO, VAR, 0.236%, 04/25/19		17
	3,000	Series 2004-3, Class 1A26, 5.500%, 04/25/34		3,069
	113	Series 2004-4, Class 1A9, 5.000%, 05/25/34		114
	225	Series 2004-4, Class APO, PO, 05/25/34		190
	27,060	Series 2004-5, Class 15IO, IO, VAR, 0.242%, 06/25/19		151
	307	Series 2004-6, Class APO, PO, 07/25/34		254
	176	Series 2004-9, Class 3A1, 6.500%, 09/25/32		185
	1,511	Series 2004-C, Class 2A2, VAR, 2.889%, 04/25/34		1,372
	1,310	Series 2004-J, Class 3A1, VAR, 5.089%, 11/25/34		1,094
		BCAP LLC Trust,
	1,400	Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e)		1,402
	424	Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e)		424
	2,092	Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e)		2,126
	2,000	Series 2009-RR14, Class 3A2, VAR, 2.720%, 08/26/35 (e)		1,860
	1,140	Series 2009-RR14, Class 4A1, VAR, 2.757%, 03/26/36 (e)		1,136
	2,045	Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)		2,078
	951	Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e)		954
	933	Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e) (f) (i)		932
	1,313	Series 2010-RR4, Class 2A1, VAR, 0.969%, 06/26/37 (e)		1,221
	1,165	Series 2010-RR5, Class 1A4, VAR, 5.000%, 11/26/37 (e)		1,141
	3,470	Series 2010-RR5, Class 2A5, VAR, 5.198%, 04/26/37 (e)		3,448
	1,269	Series 2010-RR6, Class 5A1, VAR, 5.500%, 11/26/37 (e)		1,231
	2,456	Series 2010-RR7, Class 15A1, VAR, 1.019%, 01/26/36 (e)		2,290
	1,905	Series 2010-RR7, Class 16A1, VAR, 0.952%, 02/26/47 (e)		1,760
	4,377	Series 2010-RR7, Class 1A5, VAR, 5.011%, 04/26/35 (e)		4,294
	8,365	Series 2010-RR7, Class 2A1, VAR, 5.127%, 07/26/45 (e)		7,908


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	1,418	Series 2010-RR8, Class 3A3, VAR, 5.083%, 05/26/35 (e)		1,402
	1,500	Series 2010-RR8, Class 3A4, 5.083%, 05/26/35 (e)		1,353
	2,316	Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i)		2,212
	3,325	Series 2011-RR5, Class 14A3, VAR, 2.846%, 07/26/36 (e) (f) (i)		3,184
	3,953	Series 2011-RR5-I, Class 11A3, VAR, 0.369%, 05/28/36 (e)		3,676
		Bear Stearns Adjustable Rate Mortgage Trust,
	920	Series 2003-4, Class 3A1, VAR, 5.015%, 07/25/33		892
	371	Series 2003-7, Class 3A, VAR, 2.654%, 10/25/33		344
	912	Series 2004-1, Class 12A1, VAR, 2.788%, 04/25/34		728
	1,283	Series 2004-2, Class 14A, VAR, 5.020%, 05/25/34		1,276
	2,454	Series 2005-5, Class A1, VAR, 2.220%, 08/25/35		2,278
	3,078	Series 2006-1, Class A1, VAR, 2.520%, 02/25/36		2,626
	992	Bear Stearns Alt-A Trust, Series 2005-2, Class 1A1, VAR, 0.718%, 03/25/35		780
	1,531	Bear Stearns Asset Backed Securities Trust, Series 2003-AC5, Class A1, SUB, 5.250%, 10/25/33		1,542
	464	Cendant Mortgage Corp., Series 2003-9, Class 1P, PO, 11/25/33		383
		Chase Mortgage Finance Corp.,
	684	Series 2003-S10, Class AP, PO, 11/25/18		635
	432	Series 2003-S2, Class A1, 5.000%, 03/25/18		439
	342	Series 2003-S6, Class A1, 5.000%, 06/25/18		348
	677	Series 2004-S3, Class 2A5, 5.500%, 03/25/34		705
	749	Series 2007-A1, Class 2A1, VAR, 2.753%, 02/25/37		716
	977	Series 2007-A1, Class 7A1, VAR, 2.758%, 02/25/37		916
	1,211	Series 2007-A1, Class 9A1, VAR, 2.790%, 02/25/37		1,168
	1,862	Series 2007-A2, Class 2A1, 2.955%, 07/25/37		1,756
		Citicorp Mortgage Securities, Inc.,
	661	Series 2003-6, Class 1A2, 4.500%, 05/25/33		666
	298	Series 2003-8, Class APO, PO, 08/25/33		251
	1,154	Series 2004-1, Class 3A1, 4.750%, 01/25/34		1,166
	1,742	Series 2004-4, Class A4, 5.500%, 06/25/34		1,818


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	1,463	Series 2004-5, Class 2A5, 4.500%, 08/25/34		1,510
	274	Series 2005-6, Class APO, PO, 09/25/35		221
		Citigroup Mortgage Loan Trust, Inc.,
	948	Series 2003-1, Class 2A5, 5.250%, 10/25/33		962
	349	Series 2003-1, Class PO3, PO, 09/25/33		289
	53	Series 2003-1, Class WA2, 6.500%, 06/25/31		55
	64	Series 2003-1, Class WPO2, PO, 06/25/31		53
	118	Series 2003-UP3, Class A3, 7.000%, 09/25/33		121
	573	Series 2003-UST1, Class A1, 5.500%, 12/25/18		600
	94	Series 2003-UST1, Class PO1, PO, 12/25/18		87
	85	Series 2003-UST1, Class PO2, PO, 12/25/18		77
	50	Series 2003-UST1, Class PO3, PO, 12/25/18		48
	777	Series 2004-UST1, Class A3, VAR, 2.397%, 08/25/34		746
	844	Series 2004-UST1, Class A6, VAR, 5.093%, 08/25/34		842
	368	Series 2005-1, Class 2A1A, VAR, 2.724%, 04/25/35		227
	1,420	Series 2005-2, Class 2A11, 5.500%, 05/25/35		1,385
	1,070	Series 2005-5, Class 1A2, VAR, 2.701%, 08/25/35		591
	3,420	Series 2008-AR4, Class 1A1A, VAR, 5.240%, 11/25/38 (e)		3,373
	2,180	Series 2009-10, Class 1A1, VAR, 2.589%, 09/25/33 (e)		2,155
	2,220	Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e)		2,305
	2,851	Series 2009-11, Class 3A1, VAR, 5.750%, 05/25/37 (e)		2,929
	1,159	Series 2010-7, Class 10A1, VAR, 2.729%, 02/25/35 (e)		1,152
	1,404	Series 2011-3, Class 1A1, VAR, 0.298%, 02/25/47 (e)		1,373
		Countrywide Alternative Loan Trust,
	283	Series 2002-8, Class A4, 6.500%, 07/25/32		297
	1,016	Series 2002-11, Class M, 6.500%, 10/25/32		977
	350	Series 2003-6T2, Class A6, 5.500%, 06/25/33		329
	337	Series 2003-J1, Class PO, PO, 10/25/33		242
	1,587	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		1,511
	2,062	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		2,110
	180	Series 2004-J3, Class 4A1, 4.750%, 04/25/19		186
	417	Series 2005-5R, Class A1, 5.250%, 12/25/18		424


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	2,734	Series 2005-1CB, Class 1A6, IF, IO, 6.882%, 03/25/35		356
	8,810	Series 2005-20CB, Class 3A8, IF, IO, 4.532%, 07/25/35		1,013
	7,258	Series 2005-22T1, Class A2, IF, IO, 4.852%, 06/25/35		857
	275	Series 2005-26CB, Class A10, IF, 12.654%, 07/25/35		280
	134	Series 2005-28CB, Class 1A5, 5.500%, 08/25/35		130
	330	Series 2005-28CB, Class 3A5, 6.000%, 08/25/35		293
	12,458	Series 2005-37T1, Class A2, IF, IO, 4.832%, 09/25/35		1,679
	2,054	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		1,698
	13,053	Series 2005-54CB, Class 1A2, IF, IO, 4.632%, 11/25/35		1,876
	80	Series 2005-54CB, Class 1A7, 5.500%, 11/25/35		75
	1,508	Series 2005-57CB, Class 3A2, IF, IO, 4.882%, 12/25/35		218
	944	Series 2005-64CB, Class 1A9, 5.500%, 12/25/35		740
	1,225	Series 2005-86CB, Class A11, 5.500%, 02/25/36		869
	5,117	Series 2005-J1, Class 1A4, IF, IO, 4.882%, 02/25/35		534
	30,463	Series 2006-7CB, Class 1A2, IF, IO, 5.082%, 05/25/36		4,422
	1,294	Series 2006-26CB, Class A9, 6.500%, 09/25/36		849
		Countrywide Home Loan Mortgage Pass Through Trust,
	192	Series 2003-18, Class A12, 5.500%, 07/25/33		183
	2,981	Series 2003-39, Class A6, 5.000%, 10/25/33		2,930
	179	Series 2003-J10, Class 2A1, 5.000%, 11/25/18		183
	2,251	Series 2003-J13, Class 1A7, 5.250%, 01/25/34		2,338
	272	Series 2004-3, Class PO, PO, 04/25/34		226
	798	Series 2004-28R, Class A1, 5.500%, 08/25/33		801
	7,971	Series 2007-4, Class 1A52, IF, IO, 5.182%, 05/25/37		990


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
		Countrywide Home Loan Mortgage Pass-Through Trust,
	1,361	Series 2002-36, Class A22, 6.000%, 01/25/33		1,400
	835	Series 2003-26, Class 1A6, 3.500%, 08/25/33		802
	268	Series 2003-34, Class A6, 5.250%, 09/25/33		270
	210	Series 2003-44, Class A9, PO, 10/25/33		189
	467	Series 2003-J7, Class 4A3, IF, 9.491%, 08/25/18		464
	2,388	Series 2004-5, Class 1A4, 5.500%, 06/25/34		2,471
	262	Series 2004-7, Class 2A1, VAR, 2.276%, 06/25/34		223
	1,600	Series 2004-13, Class 1A4, 5.500%, 08/25/34		1,631
	389	Series 2004-HYB1, Class 2A, VAR, 2.855%, 05/20/34		319
	1,469	Series 2004-HYB3, Class 2A, VAR, 2.554%, 06/20/34		1,124
	995	Series 2004-HYB6, Class A3, VAR, 3.007%, 11/20/34		809
	517	Series 2004-J8, Class 1A2, 4.750%, 11/25/19		528
	1,166	Series 2005-16, Class A23, 5.500%, 09/25/35		1,082
	2,639	Series 2005-22, Class 2A1, VAR, 3.063%, 11/25/35		1,666
		Credit Suisse Mortgage Capital Certificates,
	3,081	Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e)		3,050
	929	Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e)		932
	1,150	Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e)		1,047
	1,905	Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e)		1,929
	1,187	Series 2010-1R, Class 5A1, VAR, 5.000%, 01/27/36 (e)		1,237
	2,982	Series 2010-11R, Class A1, VAR, 1.221%, 06/28/47 (e)		2,935
	651	Series 2010-12R, Class 14A1, VAR, 2.749%, 09/26/46 (e)		651
	1,281	Series 2010-12R, Class 5A1, VAR, 3.000%, 04/26/37 (e)		1,291
	967	Series 2010-15R, Class 7A1, VAR, 5.271%, 10/26/37 (e)		975
	500	Series 2010-15R, Class 7A2, VAR, 5.271%, 10/26/37 (e)		454


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	2,942	Series 2011-1R, Class A1, VAR, 1.221%, 02/27/47 (e)		2,938
	1,868	Series 2011-6R, Class 3A1, VAR, 2.876%, 07/28/36 (e)		1,737
	7,843	Series 2011-7R, Class A1, VAR, 1.471%, 08/28/47 (e)		7,838
	8,701	Series 2011-9R, Class A1, VAR, 2.218%, 03/27/46 (e)		8,702
		CS First Boston Mortgage Securities Corp.,
	1,306	Series 2003-1, Class DB1, 6.564%, 02/25/33		1,149
	1,306	Series 2003-21, Class 1A4, 5.250%, 09/25/33		1,330
	3,752	Series 2003-27, Class 5A3, 5.250%, 11/25/33		3,902
	2,005	Series 2003-27, Class 5A4, 5.250%, 11/25/33		2,075
	936	Series 2003-29, Class 1A1, 6.500%, 12/25/33		972
	620	Series 2003-29, Class 5A1, 7.000%, 12/25/33		660
	1,493	Series 2003-AR15, Class 3A1, VAR, 2.684%, 06/25/33		1,401
	1,611	Series 2004-4, Class 2A4, 5.500%, 09/25/34		1,700
	1,298	Series 2004-5, Class 3A1, 5.250%, 08/25/19		1,325
	1,667	Series 2004-8, Class 1A4, 5.500%, 12/25/34		1,775
	1,679	Series 2004-8, Class 3A5, 5.500%, 12/25/34		1,727
	3,198	Series 2005-4, Class 2X, IO, VAR, 5.500%, 06/25/35		423
	2,263	Series 2005-9, Class DX, IO, 5.500%, 10/25/35		316
	992	Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-1, Class 2A1, VAR, 5.714%, 02/25/20		1,011
		Deutsche Mortgage Securities, Inc.,
	994	Series 2009-RS2, Class 4A1, VAR, 0.317%, 04/26/37 (e)		939
	564	Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e)		559
	1,592	Series 2010-RS2, Class A1, VAR, 1.437%, 06/28/47 (e)		1,590
		First Horizon Alternative Mortgage Securities,
	1,556	Series 2004-AA4, Class A1, VAR, 2.356%, 10/25/34		1,324
	456	Series 2005-AA5, Class 1A2, VAR, 2.375%, 07/25/35		87
	948	Series 2005-FA8, Class 1A19, 5.500%, 11/25/35		655


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	11,960	Series 2007-FA4, Class 1A2, IF, IO, 5.432%, 08/25/37		1,615
		First Horizon Asset Securities, Inc.,
	272	Series 2003-7, Class 2A1, 4.500%, 09/25/18		280
	400	Series 2003-8, Class 2A1, 4.500%, 09/25/18		403
	2,115	Series 2003-9, Class 1A6, 5.500%, 11/25/33		2,156
	658	Series 2004-AR2, Class 2A1, VAR, 2.761%, 05/25/34		591
	504	Series 2004-AR7, Class 2A1, VAR, 2.741%, 02/25/35 (m)		473
	685	Series 2004-AR7, Class 2A2, VAR, 2.741%, 02/25/35		601
	1,476	Series 2005-AR1, Class 2A2, VAR, 2.750%, 04/25/35		1,334
		GMAC Mortgage Corp. Loan Trust,
	958	Series 2003-AR1, Class A4, VAR, 3.303%, 10/19/33		911
	2,652	Series 2003-AR2, Class 2A4, VAR, 3.217%, 12/19/33		2,423
	215	Series 2003-J7, Class A10, 5.500%, 11/25/33		225
	1,478	Series 2003-J7, Class A7, 5.000%, 11/25/33		1,524
	240	Series 2003-J8, Class A, 5.250%, 12/25/33		246
	1,469	Series 2004-J1, Class A20, 5.500%, 04/25/34		1,507
	195	Series 2004-J2, Class A2, VAR, 0.718%, 06/25/34		193
	3,506	Series 2004-J5, Class A7, 6.500%, 01/25/35		3,691
	1,406	Series 2004-J6, Class 1A1, 5.000%, 01/25/20		1,440
	532	Series 2005-AR3, Class 3A3, VAR, 3.088%, 06/19/35		495
	3,424	Series 2005-AR3, Class 3A4, VAR, 3.088%, 06/19/35		2,721
	582	Series 2010-1, Class A, 4.250%, 07/25/40 (e)		583
		GSMPS Mortgage Loan Trust,
	717	Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e)		717
	355	Series 2004-4, Class 1AF, VAR, 0.618%, 06/25/34 (e)		288
	711	Series 2005-RP2, Class 1AF, VAR, 0.568%, 03/25/35 (e)		587
	1,612	Series 2005-RP3, Class 1AF, VAR, 0.568%, 09/25/35 (e)		1,319
	3,850	Series 2006-RP2, Class 1AS2, IF, IO, 5.365%, 04/25/36 (e)		549
		GSR Mortgage Loan Trust,
	568	Series 2003-13, Class 1A1, VAR, 4.447%, 10/25/33		556
	210	Series 2003-6F, Class A2, VAR, 0.618%, 09/25/32		201


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	1,527	Series 2003-7F, Class 1A4, 5.250%, 06/25/33		1,507
	170	Series 2004-3F, Class 3A8, 13.500%, 02/25/34		170
	4,466	Series 2004-6F, Class 2A4, 5.500%, 05/25/34		4,644
	4,022	Series 2004-8F, Class 2A3, 6.000%, 09/25/34		4,250
	127	Series 2004-10F, Class 2A1, 5.000%, 08/25/19		129
	315	Series 2004-13F, Class 3A3, 6.000%, 11/25/34		307
	722	Series 2005-5F, Class 2A3, 5.500%, 06/25/35		723
	1,877	Series 2005-5F, Class 8A3, VAR, 0.718%, 06/25/35		1,824
	5,156	Series 2005-7F, Class 3A9, 6.000%, 09/25/35		4,984
	1,126	Series 2006-1F, Class 1AP, PO, 02/25/36		921
	8,175	Series 2006-1F, Class 2A4, 6.000%, 02/25/36		6,592
	3,100	Series 2007-1F, Class 2A4, 5.500%, 01/25/37		2,906
	622	Impac CMB Trust, Series 2005-2, Class 2M1, VAR, 0.738%, 04/25/35		374
		Impac Secured Assets CMN Owner Trust,
	1,513	Series 2001-8, Class A6, 6.440%, 01/25/32		1,518
	1,552	Series 2006-1, Class 2A1, VAR, 0.568%, 05/25/36		1,365
	3,420	Series 2006-2, Class 2A1, VAR, 0.568%, 08/25/36		2,986
		Indymac Index Mortgage Loan Trust,
	10,240	Series 2005-AR11, Class A7, IO, VAR, 0.213%, 08/25/35		51
	332	Series 2006-AR3, Class 2A1A, VAR, 2.757%, 03/25/36		171
		JP Morgan Mortgage Trust,
	766	Series 2004-A3, Class 4A1, VAR, 2.749%, 07/25/34		743
	810	Series 2004-A4, Class 1A1, VAR, 2.759%, 09/25/34		784
	548	Series 2004-S1, Class 1A7, 5.000%, 09/25/34		565
	2,000	Series 2005-A1, Class 3A4, VAR, 5.016%, 02/25/35		1,845
	948	Series 2005-A1, Class 5A1, VAR, 4.477%, 02/25/35		936
	3,036	Series 2006-A2, Class 4A1, VAR, 2.749%, 08/25/34		2,871
	4,314	Series 2006-A2, Class 5A3, VAR, 2.903%, 11/25/33		4,178
	1,030	Series 2006-A3, Class 6A1, VAR, 2.808%, 08/25/34		895
	992	Series 2007-A1, Class 5A2, VAR, 2.907%, 07/25/35		896


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	1,254	JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 4.285%, 08/26/35 (e)		1,202
	54	Kidder Peabody Mortgage Assets Trust, Series B, Class A1, PO, 04/22/18		52
		Lehman Mortgage Trust,
	1,264	Series 2006-2, Class 1A1, VAR, 6.482%, 04/25/36		1,206
	810	Series 2007-6, Class 1A8, 6.000%, 07/25/37		624
	1,500	Series 2008-2, Class 1A6, 6.000%, 03/25/38		1,125
		LVII Resecuritization Trust,
	2,503	Series 2009-2, Class A4, VAR, 3.000%, 09/27/37 (e)		2,448
	3,150	Series 2009-2, Class A5, 3.000%, 09/27/37 (e)		3,148
		MASTR Adjustable Rate Mortgages Trust,
	237	Series 2004-3, Class 4A2, VAR, 2.286%, 04/25/34		207
	56	Series 2004-4, Class 2A1, VAR, 2.117%, 05/25/34		33
	865	Series 2004-13, Class 2A1, VAR, 2.770%, 04/21/34		812
	3,054	Series 2004-13, Class 3A6, VAR, 2.729%, 11/21/34		3,006
	3,000	Series 2004-13, Class 3A7, VAR, 2.729%, 11/21/34		2,737
	317	Series 2004-15, Class 3A1, VAR, 3.241%, 12/25/34		237
		MASTR Alternative Loans Trust,
	508	Series 2003-4, Class 2A1, 6.250%, 06/25/33		515
	512	Series 2003-8, Class 3A1, 5.500%, 12/25/33		519
	1,205	Series 2003-8, Class 5A1, 5.000%, 11/25/18		1,231
	266	Series 2003-9, Class 8A1, 6.000%, 01/25/34		266
	186	Series 2004-1, Class 30PO, PO, 02/25/34		118
	886	Series 2004-3, Class 2A1, 6.250%, 04/25/34		898
	376	Series 2004-3, Class 30PO, PO, 04/25/34		333
	391	Series 2004-3, Class 30X1, IO, 6.000%, 04/25/34		66
	438	Series 2004-5, Class 30PO, PO, 06/25/34		269
	209	Series 2004-5, Class 30X1, IO, 6.000%, 06/25/34		38
	247	Series 2004-6, Class 30X1, IO, 5.500%, 07/25/34		42
	2,184	Series 2004-6, Class 7A1, 6.000%, 07/25/34		2,167
	203	Series 2004-7, Class 30PO, PO, 08/25/34		126
	821	Series 2004-7, Class AX1, IO, 5.500%, 08/25/34		143


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	722	Series 2004-10, Class 1A1, 4.500%, 09/25/19		734
	3,329	Series 2005-3, Class AX2, IO, 6.000%, 04/25/35		517
		MASTR Asset Securitization Trust,
	649	Series 2003-2, Class 1A1, 5.000%, 03/25/18		668
	231	Series 2003-2, Class 2A1, 4.500%, 03/25/18		234
	1,059	Series 2003-3, Class 3A18, 5.500%, 04/25/33		1,097
	201	Series 2003-4, Class 3A2, 5.000%, 05/25/18		206
	218	Series 2003-4, Class 5A1, 5.500%, 05/25/33		231
	369	Series 2003-8, Class 1A1, 5.500%, 09/25/33		386
	68	Series 2003-8, Class 3A2, VAR, 0.618%, 09/25/33		68
	440	Series 2003-9, Class 15PO, PO, 10/25/18		409
	167	Series 2003-10, Class 15PO, PO, 11/25/18		155
	108	Series 2003-11, Class 15PO, PO, 12/25/18		100
	742	Series 2003-12, Class 6A1, 5.000%, 12/25/33		756
	171	Series 2004-1, Class 30PO, PO, 02/25/34		137
	185	Series 2004-3, Class PO, PO, 03/25/34		158
	504	Series 2004-4, Class 3A1, 4.500%, 04/25/19		514
	963	Series 2004-6, Class 2A9, 5.250%, 11/26/16		973
	283	Series 2004-8, Class 1A1, 4.750%, 08/25/19		291
	316	Series 2004-8, Class PO, PO, 08/25/19		293
	133	Series 2004-9, Class 5A1, 5.250%, 09/25/19		137
	1,454	Series 2004-P7, Class A6, 5.500%, 12/27/33 (e)		1,540
	1,000	Series 2006-2, Class 1A30, 6.000%, 06/25/36		894
	3,791	MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.568%, 05/25/35 (e)		3,023
	3,164	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		2,152
		Merrill Lynch Mortgage Investors, Inc.,
	360	Series 2003-A4, Class 2A, VAR, 2.739%, 07/25/33		331
	1,267	Series 2003-A5, Class 2A6, VAR, 2.400%, 08/25/33		1,147
	1,644	Series 2004-A4, Class A2, VAR, 2.608%, 08/25/34		1,536
	248	Series 2005-A1, Class 3A, VAR, 4.866%, 12/25/34		219
		Merrill Lynch Trust,
	1	Series 7, Class B, PO, 04/20/18		1
	53	Series 47, Class Z, 8.985%, 10/20/20		59


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Non-Agency CMO — Continued
			MLCC Mortgage Investors, Inc.,
	1,089		Series 2003-A, Class 2A2, VAR, 1.285%, 03/25/28		949
	944		Series 2003-E, Class A1, VAR, 0.838%, 10/25/28		824
	1,398		Series 2004-1, Class 2A1, 2.138%, 12/25/34		1,315
	1,243		Series 2004-D, Class A2, VAR, 0.825%, 08/25/29		1,168
	1,116		Series 2004-E, Class A2A, VAR, 0.810%, 11/25/29		1,037
	1,940		Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A, VAR, 5.651%, 04/25/34		1,962
	—	(h)	Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 5,254.000%, 04/20/21		10
			MortgageIT Trust,
	801		Series 2005-1, Class 1A1, VAR, 0.538%, 02/25/35		617
	310		Series 2005-5, Class A1, VAR, 0.478%, 12/25/35		212
			Nomura Asset Acceptance Corp.,
	280		Series 2003-A1, Class A1, 5.500%, 05/25/33		289
	70		Series 2003-A1, Class A2, 6.000%, 05/25/33		73
	45		Series 2003-A1, Class A5, 7.000%, 04/25/33		47
	71		Series 2003-A1, Class A7, 5.000%, 04/25/18		72
	781		Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		788
			Prime Mortgage Trust,
	184		Series 2004-1, Class 2A3, 5.250%, 08/25/34		191
	1,743		Series 2004-CL1, Class 1A1, 6.000%, 02/25/34		1,835
	851		Series 2005-4, Class 2PO, PO, 10/25/35		676
			RBSSP Resecuritization Trust,
	1,323		Series 2009-1, Class 1A1, 6.500%, 02/26/36 (e)		1,368
	584		Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e)		613
	1,539		Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e)		1,549
	1,349		Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e)		1,379
	1,329		Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e)		1,365
	2,086		Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e)		2,196
	2,395		Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e)		2,425


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	1,200	Series 2010-2, Class 2A1, 4.500%, 11/26/22 (e)		1,220
	3,077	Series 2010-4, Class 12A1, 4.500%, 03/26/21 (e)		3,069
	1,966	Series 2010-9, Class 1A1, VAR, 0.403%, 07/26/37 (e) (f) (i)		1,700
	2,600	Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e)		2,577
		Residential Accredit Loans, Inc.,
	334	Series 2001-QS19, Class A2, 6.000%, 12/25/16		340
	86	Series 2002-QS16, Class A3, IF, 16.166%, 10/25/17		96
	1,068	Series 2003-QR19, Class CB4, 5.750%, 10/25/33		1,048
	243	Series 2003-QR24, Class A5, 4.000%, 07/25/33		243
	321	Series 2003-QS1, Class A6, 4.250%, 01/25/33		322
	865	Series 2003-QS12, Class A2A, IF, IO, 7.382%, 06/25/18		120
	379	Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18		39
	1,239	Series 2003-QS13, Class A5, VAR, 0.868%, 07/25/33		1,076
	7,357	Series 2003-QS13, Class A6, IF, IO, 0.600%, 07/25/33		135
	976	Series 2003-QS14, Class A1, 5.000%, 07/25/18		992
	986	Series 2003-QS18, Class A1, 5.000%, 09/25/18		1,016
	951	Series 2003-QS19, Class A1, 5.750%, 10/25/33		983
	278	Series 2003-QS3, Class A2, IF, 16.020%, 02/25/18		321
	507	Series 2003-QS3, Class A8, IF, IO, 7.382%, 02/25/18		55
	709	Series 2003-QS9, Class A3, IF, IO, 7.332%, 05/25/18		102
	1,086	Series 2004-QA4, Class NB3, VAR, 5.241%, 09/25/34		1,008
	414	Series 2004-QA6, Class NB2, VAR, 3.113%, 12/26/34		272
	798	Series 2004-QS10, Class A6, 6.000%, 07/25/34		829
	1,489	Series 2004-QS7, Class A4, 5.500%, 05/25/34		1,303
	429	Series 2004-QS8, Class A2, 5.000%, 06/25/34		431


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	316	Series 2005-QA10, Class A31, VAR, 3.771%, 09/25/35		196
	2,000	Series 2005-QA6, Class A32, VAR, 5.576%, 05/25/35		1,079
	668	Series 2007-QS1, Class 1A1, 6.000%, 01/25/37		418
		Residential Asset Securitization Trust,
	110	Series 2002-A13, Class A4, 5.250%, 12/25/17		114
	582	Series 2003-A13, Class A3, 5.500%, 01/25/34		581
	165	Series 2003-A14, Class A1, 4.750%, 02/25/19		166
	747	Series 2003-A5, Class A1, 5.500%, 06/25/33		763
	1,015	Series 2004-IP2, Class 1A1, VAR, 2.656%, 12/25/34		861
	3,771	Series 2005-A16, Class AX, IO, 5.750%, 02/25/36		761
	7,072	Series 2005-A2, Class A4, IF, IO, 4.832%, 03/25/35		897
	1,401	Series 2006-A4, Class 2A5, 6.000%, 05/25/36		880
	838	Series 2006-A6, Class 2A13, 6.000%, 07/25/36		586
		Residential Funding Mortgage Securities I,
	1,554	Series 2003-S13, Class A3, 5.500%, 06/25/33		1,583
	308	Series 2003-S14, Class A4, PO, 07/25/18		288
	884	Series 2003-S16, Class A3, 5.000%, 09/25/18		912
	837	Series 2003-S20, Class 2A1, 4.750%, 12/25/18		856
	1,739	Series 2003-S4, Class A4, 5.750%, 03/25/33		1,836
	723	Series 2004-S6, Class 2A6, PO, 06/25/34		598
	141	Series 2004-S6, Class 3A5, 4.500%, 06/25/19		141
	908	Series 2005-SA4, Class 1A1, VAR, 3.003%, 09/25/35		614
		Residential Funding Securities LLC,
	48	Series 2002-RM1, Class API, PO, 12/25/17		40
	77	Series 2003-RM2, Class AP-3, PO, 05/25/33		63
		Salomon Brothers Mortgage Securities VII, Inc.,
	1,534	Series 2003-HYB1, Class A, VAR, 3.189%, 09/25/33		1,431
	115	Series 2003-UP2, Class PO1, PO, 12/25/18		91
		Sequoia Mortgage Trust,
	1,832	Series 2003-1, Class 1A, VAR, 0.593%, 04/20/33		1,624
	1,238	Series 2004-8, Class A1, VAR, 0.563%, 09/20/34		1,055


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	1,935	Series 2004-8, Class A2, VAR, 0.833%, 09/20/34		1,636
	1,579	Series 2004-10, Class A1A, VAR, 0.523%, 11/20/34		1,376
	4,018	Springleaf Mortgage Loan Trust, Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e)		4,015
	6,750	Station Place Securitization Trust, Series 2010-1, Class A, VAR, 1.213%, 12/20/42 (e)		6,750
	2,934	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.931%, 06/25/34		2,766
	1,983	Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1, VAR, 0.542%, 10/19/34		1,637
		Structured Asset Securities Corp.,
	68	Series 2002-10H, Class 1AP, PO, 05/25/32		50
	285	Series 2003-8, Class 1A2, 5.000%, 04/25/18		291
	642	Series 2003-16, Class A3, VAR, 0.718%, 06/25/33		611
	53	Series 2003-21, Class 1A3, 5.500%, 07/25/33		53
	711	Series 2003-32, Class 1A1, VAR, 5.218%, 11/25/33		746
	402	Series 2003-31A, Class B1, VAR, 2.567%, 10/25/33		153
	1,269	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		1,283
	636	Series 2003-33H, Class 1APO, PO, 10/25/33		486
	1,086	Series 2003-34A, Class 3A3, VAR, 2.558%, 11/25/33		1,009
	5,201	Series 2003-37A, Class 2A, VAR, 5.013%, 12/25/33		5,160
	1,586	Series 2004-20, Class 1A3, 5.250%, 11/25/34 (m)		1,597
	3,252	Series 2004-5H, Class A4, 5.540%, 12/25/33		3,168
	803	Series 2005-6, Class 4A1, 5.000%, 05/25/35		790
		Thornburg Mortgage Securities Trust,
	266	Series 2003-4, Class A1, VAR, 0.538%, 09/25/43		239
	251	Series 2004-1, Class II2A, VAR, 1.764%, 03/25/44		211
		Vericrest Opportunity Loan Transferee,
	2,282	Series 2011-NL1A, Class A1, 5.926%, 12/26/50 (e) (f) (i)		2,283
	2,200	Series 2011-NL1A, Class A2, 9.077%, 12/26/50 (e) (f) (i)		2,200


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
		WaMu Mortgage Pass-Through Certificates,
	158	Series 2002-S8, Class 2A7, 5.250%, 01/25/18		162
	1,578	Series 2003-AR7, Class A7, VAR, 2.446%, 08/25/33		1,488
	1,151	Series 2003-AR8, Class A, VAR, 2.476%, 08/25/33		1,085
	4,345	Series 2003-AR9, Class 1A6, VAR, 2.589%, 09/25/33		4,111
	1,065	Series 2003-AR9, Class 2A, VAR, 2.608%, 09/25/33		1,014
	1,834	Series 2003-S1, Class A5, 5.500%, 04/25/33		1,893
	548	Series 2003-S10, Class A5, 5.000%, 10/25/18		550
	83	Series 2003-S10, Class A6, PO, 10/25/18		82
	515	Series 2003-S11, Class 2A5, IF, 16.449%, 11/25/33		541
	439	Series 2003-S3, Class 1A4, 5.500%, 06/25/33		448
	264	Series 2003-S7, Class A1, 4.500%, 08/25/18		271
	1,010	Series 2003-S8, Class A4, 4.500%, 09/25/18		1,026
	997	Series 2003-S8, Class A6, 4.500%, 09/25/18		1,017
	4,542	Series 2003-S9, Class A8, 5.250%, 10/25/33		4,708
	201	Series 2003-S9, Class P, PO, 10/25/33		164
	280	Series 2004-AR3, Class A1, VAR, 2.577%, 06/25/34		277
	1,901	Series 2004-AR3, Class A2, VAR, 2.577%, 06/25/34		1,874
	1,662	Series 2004-CB2, Class 5A, 5.000%, 07/25/19		1,736
	457	Series 2004-CB2, Class 7A, 5.500%, 08/25/19		478
	769	Series 2004-CB3, Class 4A, 6.000%, 10/25/19		795
	941	Series 2004-S1, Class 1A3, VAR, 0.618%, 03/25/34		913
	3,572	Series 2004-S2, Class 2A4, 5.500%, 06/25/34		3,570
	387	Series 2006-AR10, Class 2P, VAR, 09/25/36		203
		Washington Mutual Alternative Mortgage Pass-Through Certificates,
	460	Series 2005-1, Class 1A1, 5.500%, 03/25/35		403
	12,327	Series 2005-2, Class 1A4, IF, IO, 4.832%, 04/25/35		1,491
	1,398	Series 2005-4, Class CB7, 5.500%, 06/25/35		1,154
	411	Series 2005-4, Class DP, PO, 06/25/20		315
	1,644	Series 2005-6, Class 2A4, 5.500%, 08/25/35		1,327
	15,467	Series 2005-11, Class A4, IF, IO, 4.732%, 01/25/36		1,939
		Washington Mutual MSC Mortgage Pass-Through Certificates,
	1,022	Series 2004-RA2, Class 2A, 7.000%, 07/25/33		1,057
	151	Series 2004-RA4, Class 1P, PO, 04/25/19		143


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	1,244	Wells Fargo Mortgage Backed Securities Trust, Series 2003-11, Class 1A10, 4.750%, 10/25/18		1,280
		Wells Fargo Mortgage-Backed Securities Trust,
	733	Series 2003-8, Class A9, 4.500%, 08/25/18		755
	1,533	Series 2003-11, Class 1A4, 4.750%, 10/25/18		1,532
	395	Series 2003-11, Class 1APO, PO, 10/25/18		347
	766	Series 2003-13, Class A7, 4.500%, 11/25/18		776
	161	Series 2003-14, Class 1A1, 4.750%, 12/25/18		166
	1,331	Series 2003-15, Class 1A1, 4.750%, 12/25/18		1,374
	393	Series 2003-16, Class 2A1, 4.500%, 12/25/18		401
	11,080	Series 2003-16, Class 2AIO, IO, VAR, 0.115%, 12/25/18		28
	736	Series 2003-17, Class APO, PO, 01/25/34		611
	907	Series 2003-K, Class 1A1, VAR, 4.443%, 11/25/33		868
	249	Series 2003-K, Class 1A2, VAR, 4.443%, 11/25/33		243
	470	Series 2004-1, Class A1102/25/34		388
	391	Series 2004-2, Class APO, PO, 01/25/19		364
	319	Series 2004-7, Class 2A1, 4.500%, 07/25/19		326
	1,101	Series 2004-7, Class 2A2, 5.000%, 07/25/19		1,137
	474	Series 2004-B, Class A1, VAR, 4.903%, 02/25/34		469
	1,037	Series 2004-BB, Class A4, VAR, 2.742%, 01/25/35		990
	2,163	Series 2004-EE, Class 2A1, VAR, 2.749%, 12/25/34		2,060
	270	Series 2004-EE, Class 2A2, VAR, 2.749%, 12/25/34		261
	1,153	Series 2004-EE, Class 3A1, VAR, 2.848%, 12/25/34		1,107
	1,583	Series 2004-I, Class 1A1, VAR, 2.832%, 07/25/34		1,474
	2,309	Series 2004-P, Class 2A1, VAR, 2.682%, 09/25/34		2,147
	185	Series 2004-Q, Class 1A3, VAR, 2.918%, 09/25/34		174
	3,438	Series 2004-U, Class A1, VAR, 2.798%, 10/25/34		3,236
	1,551	Series 2004-V, Class 1A1, VAR, 2.747%, 10/25/34		1,464
	834	Series 2005-1, Class 2A1, 5.000%, 01/25/20		867
	482	Series 2005-9, Class 1APO, PO, 10/25/35		379


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	1,258	Series 2005-13, Class A1, 5.000%, 11/25/20		1,296
	126	Series 2005-15, Class APO, PO, 12/25/20		116
	697	Series 2005-AR16, Class 2A1, VAR, 2.759%, 10/25/35		634
	1,434	Series 2005-AR8, Class 2A1, VAR, 2.759%, 06/25/35		1,329
	2,200	Series 2007-7, Class A7, 6.000%, 06/25/37		2,103
	1,493	Series 2007-11, Class A14, 6.000%, 08/25/37		1,366

				571,938

		Total Collateralized Mortgage Obligations (Cost $1,613,740)		1,709,357

	Commercial Mortgage-Backed Securities — 1.5%
		Banc of America Commercial Mortgage, Inc.,
	700	Series 2005-3, Class A4, 4.668%, 07/10/43		747
	800	Series 2005-3, Class AM, 4.727%, 07/10/43		771
	500	Series 2005-5, Class A4, VAR, 5.115%, 10/10/45		543
	1,000	Series 2006-3, Class A4, VAR, 5.889%, 07/10/44		1,084
	2,000	Series 2006-4, Class A4, 5.634%, 07/10/46		2,161
		Bear Stearns Commercial Mortgage Securities,
	1,000	Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41		1,076
	500	Series 2006-PW11, Class A4, VAR, 5.620%, 03/11/39		549
	1,446	CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48		1,540
	4,541	FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e)		4,723
	27,685	GS Mortgage Securities Corp. II, Series 2006-GG8, Class X, IO, VAR, 0.856%, 11/10/39 (e)		643
		JP Morgan Chase Commercial Mortgage Securities Corp.,
	2,000	Series 2003-PM1A, Class A4, VAR, 5.326%, 08/12/40		2,105
	1,200	Series 2004-CB8, Class A4, 4.404%, 01/12/39		1,257
	106,077	Series 2006-CB15, Class X1, IO, VAR, 0.115%, 06/12/43		733
		LB-UBS Commercial Mortgage Trust,
	1,708	Series 2004-C2, Class A4, 4.367%, 03/15/36		1,790
	66,453	Series 2006-C1, Class XCL, IO, VAR, 0.169%, 02/15/41 (e)		686
	500	Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, VAR, 5.863%, 05/12/39		552


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Commercial Mortgage-Backed Securities — Continued
		Morgan Stanley Capital I,
	2,500	Series 2004-HQ4, Class A7, 4.970%, 04/14/40		2,653
	250	Series 2007-T27, Class A4, VAR, 5.795%, 06/11/42		278
		Morgan Stanley Reremic Trust,
	1,171	Series 20, Class A, 3.000%, 07/17/56 (e)		1,177
	4,000	Series 2009-IO, Class A2, 5.000%, 07/17/56 (e)		4,120
	4,500	Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		4,711
	4,745	Series 2011-IO, Class A, 2.500%, 03/23/51 (e)		4,721
		Wachovia Bank Commercial Mortgage Trust,
	1,118	Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41		1,193
	143,697	Series 2006-C24, Class XC, IO, VAR, 0.080%, 03/15/45 (e)		640
	1,250	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.375%, 03/15/44 (e)		1,227

		Total Commercial Mortgage-Backed Securities (Cost $41,077)		41,680

	Mortgage Pass-Through Securities — 26.5%
		Federal Home Loan Mortgage Corp.,
	204	ARM, 2.334%, 03/01/35		215
	313	ARM, 2.480%, 12/01/33		328
	500	ARM, 2.495%, 05/01/36		534
	371	ARM, 2.510%, 04/01/34		391
	478	ARM, 2.574%, 12/01/35		504
	153	ARM, 2.657%, 07/01/37		163
	432	ARM, 2.803%, 03/01/36		457
	727	ARM, 3.308%, 03/01/36		776
	82	ARM, 3.403%, 01/01/30		86
	313	ARM, 3.501%, 09/01/36		331
	424	ARM, 3.883%, 11/01/36		440
	399	ARM, 4.613%, 08/01/36		420
	1,050	ARM, 4.994%, 01/01/35		1,127
	1,247	ARM, 5.126%, 03/01/37		1,319
	377	ARM, 5.295%, 05/01/38		400
	456	ARM, 5.612%, 04/01/38		485
	253	ARM, 5.748%, 05/01/37		271
	646	ARM, 5.794%, 11/01/36		686
	1,454	ARM, 5.823%, 10/01/36		1,519
	280	ARM, 5.865%, 02/01/37		298
	332	ARM, 5.948%, 10/01/36		347
	160	ARM, 6.011%, 02/01/37		170
	2,163	ARM, 6.013%, 11/01/36		2,334


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	980	ARM, 6.014%, 06/01/36		1,057
	229	ARM, 6.043%, 10/01/36		249
	281	ARM, 6.056%, 10/01/37		296
	463	ARM, 6.058%, 12/01/36		493
	427	ARM, 6.076%, 02/01/37		452
	500	ARM, 6.249%, 09/01/37		537
	300	ARM, 6.398%, 02/01/37		325
	698	ARM, 6.534%, 10/01/36		727
	817	ARM, 6.666%, 11/01/36		884
		Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	264	3.500%, 05/01/19		278
	5,652	4.000%, 06/01/13 - 06/01/19 (m)		5,986
	2,359	4.500%, 07/01/14 - 10/01/18		2,462
	393	5.000%, 12/01/18		425
	17,487	5.500%, 06/01/17 - 01/01/24		19,054
	3,856	6.000%, 06/01/17 - 03/01/22		4,184
	881	6.500%, 01/01/13 - 03/01/22		959
	412	7.000%, 01/01/17 - 07/01/17		445
	4	7.500%, 10/01/14 - 12/01/15		4
		Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	5,136	5.500%, 04/01/27 - 03/01/28		5,613
	1,141	6.000%, 01/01/14 - 02/01/24		1,264
	2,141	6.500%, 05/01/22 - 01/01/28		2,400
		Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	2,122	4.000%, 10/01/33		2,220
	9,915	4.500%, 05/01/41		10,483
	13,157	5.000%, 05/01/36 - 08/01/40		14,188
	4,829	5.500%, 10/01/33 - 07/01/35		5,308
	1,128	6.000%, 11/01/28 - 12/01/33		1,261
	8,115	6.500%, 05/01/24 - 03/01/38 (m)		9,249
	1,595	7.000%, 07/01/29 - 10/01/36		1,841
	289	7.500%, 09/01/38		335
	49	8.500%, 08/01/30		59
		Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA,
	1,771	7.500%, 01/01/32 - 12/01/36		2,071
	1,197	10.000%, 10/01/30		1,438
		Federal Home Loan Mortgage Corp. Gold Pools, Other,
	6,206	5.500%, 02/01/18 - 11/01/35		6,626
	8,282	6.500%, 11/01/36 - 10/17/38		9,285
	614	7.000%, 12/01/14 - 08/01/47		686
	116	10.500%, 07/20/21		133


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
		Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	10	7.500%, 03/01/17 - 05/01/17		12
	9	8.750%, 06/01/17		9
	5	10.500%, 05/01/19		5
	10	12.000%, 08/01/15 - 07/01/19		11
		Federal National Mortgage Association,
	754	ARM, 1.583%, 08/01/34		769
	325	ARM, 1.787%, 01/01/33		333
	333	ARM, 1.921%, 02/01/35		349
	620	ARM, 1.965%, 02/01/35		649
	21	ARM, 1.970%, 03/01/19		21
	3,831	ARM, 1.981%, 01/01/35 (m)		4,023
	1,205	ARM, 2.113%, 05/01/35		1,260
	264	ARM, 2.221%, 04/01/34		274
	385	ARM, 2.251%, 01/01/36		399
	251	ARM, 2.318%, 04/01/34		264
	363	ARM, 2.333%, 06/01/35		381
	458	ARM, 2.334%, 06/01/34		480
	885	ARM, 2.377%, 07/01/33		932
	408	ARM, 2.379%, 08/01/34		431
	154	ARM, 2.402%, 11/01/33		159
	419	ARM, 2.419%, 10/01/34		435
	601	ARM, 2.427%, 10/01/34		633
	291	ARM, 2.432%, 09/01/35		307
	327	ARM, 2.434%, 01/01/34 - 05/01/35		344
	647	ARM, 2.452%, 11/01/33		679
	487	ARM, 2.460%, 05/01/34		512
	204	ARM, 2.470%, 05/01/35		216
	1,253	ARM, 2.491%, 04/01/35		1,320
	433	ARM, 2.499%, 08/01/36		452
	537	ARM, 2.500%, 08/01/34		565
	432	ARM, 2.520%, 07/01/36		454
	384	ARM, 2.526%, 09/01/34		406
	390	ARM, 2.552%, 10/01/34		411
	913	ARM, 2.569%, 06/01/36		967
	540	ARM, 2.589%, 10/01/34		570
	488	ARM, 2.592%, 02/01/34		514
	429	ARM, 2.721%, 09/01/33		454
	845	ARM, 2.827%, 04/01/35		889
	7,398	ARM, 2.959%, 03/01/36		7,786
	744	ARM, 3.110%, 10/01/34		784
	32	ARM, 3.190%, 09/01/27		33
	595	ARM, 3.719%, 11/01/37		619
	116	ARM, 3.934%, 03/01/29		120
	762	ARM, 4.939%, 07/01/33		822


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	1,221	ARM, 5.091%, 07/01/37		1,298
	652	ARM, 5.116%, 09/01/36		684
	418	ARM, 5.228%, 01/01/38		448
	349	ARM, 5.486%, 10/01/36		372
	233	ARM, 5.516%, 07/01/37		248
	246	ARM, 5.528%, 12/01/36		260
	4,269	ARM, 5.629%, 01/01/23		4,640
	447	ARM, 5.632%, 10/01/36		478
	1,078	ARM, 5.666%, 12/01/37		1,152
	652	ARM, 5.767%, 12/01/36		693
	395	ARM, 5.874%, 11/01/36		418
	2,485	ARM, 6.070%, 11/01/18		2,717
		Federal National Mortgage Association, 15 Year, Single Family,
	1,280	3.500%, 08/01/18		1,369
	10,098	4.000%, 07/01/18 - 12/01/18 (m)		10,759
	4,970	4.500%, 07/01/18 - 09/01/20		5,362
	4,343	5.000%, 12/01/16 - 08/01/24		4,702
	8,661	5.500%, 11/01/18 - 11/01/23		9,425
	14,969	6.000%, 06/01/16 - 07/01/24		16,282
	2,912	6.500%, 09/01/13 - 02/01/24		3,198
	1,640	7.000%, 12/01/16 - 08/01/21		1,801
	91	7.500%, 03/01/17 - 10/01/17		100
	80	8.000%, 11/01/12 - 01/01/16		84
		Federal National Mortgage Association, 20 Year, Single Family,
	8,690	3.500%, 12/01/30		8,954
	3,284	5.000%, 10/01/25		3,581
	1,544	5.500%, 02/01/23 - 08/01/23		1,706
	11,177	6.000%, 04/01/24 - 09/01/29		12,395
	2,929	6.500%, 06/01/16 - 12/01/27		3,274
	75	7.500%, 09/01/21		87
		Federal National Mortgage Association, 30 Year, FHA/VA,
	86	6.000%, 09/01/33		96
	883	6.500%, 02/01/29 - 03/01/29		1,018
	266	7.000%, 10/01/28 - 02/01/33		309
	83	8.000%, 06/01/28		96
	22	8.500%, 03/01/30 - 06/01/30		25
	366	9.000%, 05/01/18 - 06/01/31		425
	16	10.000%, 07/01/19		16
	15	10.500%, 11/01/18		16
	31	11.000%, 04/01/19		36
		Federal National Mortgage Association, 30 Year, Single Family,
	4,551	4.000%, 08/01/33 - 04/01/34		4,766


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
	2,466	4.130%, 07/01/20		2,659
	3,138	4.500%, 05/01/29 - 09/01/34		3,342
	15,127	5.000%, 05/01/33 - 08/01/40		16,361
	18,550	5.500%, 11/01/32 - 10/01/39		20,449
	8,202	6.000%, 12/01/28 - 09/01/36		9,165
	33	6.250%, 07/01/23		36
	22,220	6.500%, 11/01/29 - 10/01/38		25,106
	9,722	7.000%, 04/01/17 - 01/01/39		11,215
	5,957	7.500%, 08/01/36 - 04/01/39		7,000
	1,166	8.000%, 03/01/27 - 10/01/36		1,364
	136	8.500%, 12/01/27 - 02/01/30		160
	1	9.000%, 04/01/26		1
	15	9.500%, 07/01/28		18
	10	10.000%, 02/01/24		11
	13	12.500%, 01/01/16		13
		Federal National Mortgage Association, Other,
	1,478	2.573%, 10/01/17		1,498
	3,000	2.779%, 10/01/17		3,069
	2,469	2.970%, 11/01/18		2,526
	7,000	3.063%, 09/01/17		7,254
	2,000	3.290%, 10/01/20		2,044
	2,650	3.337%, 11/01/20		2,696
	2,000	3.379%, 11/01/20		2,035
	3,000	3.389%, 10/01/20		3,069
	4,100	3.461%, 11/01/20		4,203
	3,692	3.472%, 10/01/20		3,791
	3,600	3.482%, 11/01/20		3,697
	2,830	3.492%, 01/01/18		2,976
	2,080	3.500%, 11/01/40		2,097
	2,000	3.503%, 08/01/17		2,109
	5,933	3.544%, 09/01/20 - 10/01/20		6,118
	2,500	3.596%, 12/01/20		2,582
	2,967	3.600%, 09/01/20		3,093
	6,902	3.621%, 09/01/20		7,157
	5,000	3.638%, 12/01/20		5,144
	7,563	3.658%, 01/01/18 - 10/01/20		7,959
	792	3.709%, 12/01/20		824
	14,991	3.730%, 06/01/18		16,157
	13,618	3.740%, 09/01/20		14,221
	1,500	3.751%, 01/01/18		1,596
	3,000	3.802%, 09/01/20		3,145
	6,551	3.864%, 07/01/20 - 08/01/20		6,899
	3,000	3.895%, 01/01/21		3,155
	2,600	3.926%, 08/01/20		2,731
	1,600	3.930%, 07/01/20		1,705
	2,480	3.937%, 01/01/19		2,648


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	3,000	3.960%, 08/01/20		3,201
	2,000	3.980%, 11/01/16		2,132
	2,497	3.988%, 07/01/21		2,632
	3,000	3.999%, 01/01/21		3,176
	1,101	4.000%, 11/01/33		1,121
	2,000	4.061%, 01/01/21		2,125
	20,175	4.081%, 07/01/20 - 07/01/21		21,424
	2,498	4.102%, 06/01/21		2,651
	2,397	4.123%, 07/01/21		2,550
	4,727	4.150%, 08/01/21		5,069
	8,000	4.195%, 07/01/21		8,546
	8,000	4.201%, 07/01/20		8,575
	1,971	4.257%, 04/01/20		2,125
	4,000	4.290%, 06/01/20		4,356
	2,387	4.298%, 03/01/21		2,571
	4,000	4.350%, 04/01/20		4,374
	4,500	4.381%, 06/01/21		4,862
	2,000	4.391%, 04/01/21		2,153
	24,476	4.424%, 01/01/20		26,677
	4,953	4.443%, 08/01/20 - 04/01/21		5,367
	7,983	4.453%, 06/01/21		8,666
	1,500	4.474%, 02/01/21		1,633
	9,000	4.484%, 06/01/21		9,732
	2,083	4.495%, 02/01/21		2,270
	317	4.500%, 08/01/33		335
	3,943	4.514%, 04/01/20		4,322
	4,930	4.515%, 02/01/20		5,406
	1,600	4.526%, 04/01/21		1,745
	4,511	4.540%, 01/01/20		4,986
	13,086	4.546%, 02/01/20		14,343
	5,991	4.629%, 02/01/21 - 06/01/21		6,550
	4,934	4.681%, 12/01/19		5,459
	1,500	4.701%, 04/01/21		1,653
	4,973	4.794%, 01/01/21		5,510
	982	5.000%, 04/01/22 - 01/01/36		1,040
	4,291	5.135%, 02/01/31		4,719
	5,362	5.500%, 03/01/17 - 04/01/38		5,792
	5,374	6.000%, 02/01/36 - 11/01/39		5,886
	800	6.500%, 10/01/35 - 06/01/36		893
	2,396	7.000%, 12/01/36 - 10/01/46		2,735
	31	10.195%, 06/15/21		35
	4	10.250%, 07/15/13		4
	7	11.000%, 08/20/20		8
	137	Government National Mortgage Association II, 15 Year, Single Family, 6.000%, 04/20/17		150


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
		Government National Mortgage Association II, 30 Year, Single Family,
	550	3.500%, 09/20/33		567
	12,000	6.000%, 08/20/39		13,504
	4,500	6.500%, 10/20/33 - 01/20/39		5,122
	25	7.500%, 02/20/28 - 09/20/28		30
	39	8.000%, 06/20/26 - 11/20/28		47
	23	8.500%, 03/20/25 - 05/20/25		27
	1,376	Government National Mortgage Association II, Other, 6.500%, 09/20/34		1,559
		Government National Mortgage Association, 15 Year, Single Family,
	329	6.000%, 06/15/18		360
	78	7.000%, 09/15/14 - 10/15/16		83
	60	7.500%, 11/15/17		66
	191	8.000%, 01/15/16		205
		Government National Mortgage Association, 20 Year, Single Family,
	596	6.500%, 08/15/22 - 11/15/23		687
	59	7.000%, 08/15/23		68
		Government National Mortgage Association, 30 Year, Single Family,
	123	6.375%, 08/15/26		141
	4,384	6.500%, 10/15/27 - 04/15/33		5,034
	3,290	7.000%, 09/15/31 - 03/15/37		3,856
	116	7.500%, 11/15/22 - 01/15/33		137
	15	8.000%, 09/15/22 - 04/15/28		17
	14	9.000%, 02/15/30 - 01/15/31		15
	1,127	9.500%, 10/15/24		1,347
	11	11.000%, 01/15/21		12

		Total Mortgage Pass-Through Securities (Cost $700,003)		728,762

	U.S. Government Agency Securities — 0.3%
	1,000	Federal Home Loan Mortgage Corp., 5.500%, 08/23/17		1,221
		Federal National Mortgage Association,
	3,000	07/05/14		2,927
	3,000	Zero Coupon, 06/01/17		2,711
	2,000	5.375%, 06/12/17		2,419

		Total U.S. Government Agency Securities (Cost $8,613)		9,278

	U.S. Treasury Obligations — 2.0%
		U.S. Treasury Bonds,
	7,100	7.500%, 11/15/16 (m)		9,451
	343	8.125%, 08/15/19		508
	350	8.500%, 02/15/20		534
	6,032	8.875%, 08/15/17		8,705


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		U.S. Treasury Notes,
	3,500	3.125%, 10/31/16		3,873
	4,905	3.125%, 04/30/17		5,432
	1,737	3.125%, 05/15/19		1,919
	7,000	3.250%, 12/31/16		7,789
	2,000	3.250%, 03/31/17		2,229
	2,725	4.750%, 08/15/17		3,277
		U.S. Treasury STRIPS,
	3,000	02/15/15		2,943
	129	02/15/16		124
	486	02/15/17		455
	700	05/15/19		607
	6,339	05/15/20		5,238
	500	08/15/20		408
	150	02/15/25		99
	200	08/15/28		111
	500	02/15/29		272
	650	11/15/30		326

		Total U.S. Treasury Obligations (Cost $49,688)		54,300


SHARES
	Short-Term Investment — 6.0%
		Investment Company — 6.0%
	164,273	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.060% (b) (l) (Cost $164,273)		164,273

		Total Investments — 100.7% (Cost $2,639,382)		2,768,928
		Liabilities in Excess of Other Assets — (0.7)%		(18,561	)

		NET ASSETS — 100.0%	$	2,750,367

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — 8.3%
	5,536	Accredited Mortgage Loan Trust, Series 2006-1, Class A3, VAR, 0.398%, 04/25/36		4,534
	5,014	AH Mortgage Advance Trust, Series SART-1, Class A1, 2.630%, 05/10/42 (e)		5,021
		Ally Auto Receivables Trust,
	4,180	Series 2009-A, Class A3, 2.330%, 06/17/13 (e)		4,213
	6,612	Series 2009-B, Class A3, 1.980%, 10/15/13 (e)		6,661
	4,847	Series 2010-1, Class A3, 1.450%, 05/15/14		4,874
	2,000	Series 2010-1, Class A4, 2.300%, 12/15/14		2,061
	11,850	Series 2010-1, Class C, 3.610%, 08/15/16 (e)		12,375
	2,000	Series 2010-2, Class A3, 1.380%, 07/15/14		2,010
	6,076	Series 2010-3, Class A3, 1.110%, 10/15/14		6,118
	8,860	Series 2010-3, Class A4, 1.550%, 08/17/15		9,024
	5,000	Series 2010-5, Class A4, 1.750%, 03/15/16		5,117
	8,800	Series 2011-1, Class A3, 1.380%, 01/15/15		8,898
	2,350	Series 2011-3, Class A3, 0.970%, 08/17/15		2,361
		AmeriCredit Automobile Receivables Trust,
	6,349	Series 2009-1, Class A3, 3.040%, 10/15/13		6,408
	5,113	Series 2010-1, Class A3, 1.660%, 03/17/14		5,127
	6,600	Series 2010-3, Class A3, 1.140%, 04/08/15		6,627
	1,605	Series 2010-A, Class A2, 1.460%, 11/06/13		1,607
	5,565	Series 2010-A, Class A3, 3.510%, 07/06/17		5,792
	2,755	Series 2010-B, Class A2, 1.180%, 02/06/14		2,759
	2,000	Series 2010-B, Class A3, 2.490%, 11/06/17		2,057
	1,343	Series 2011-1, Class A2, 0.840%, 06/09/14		1,343
	8,245	Series 2011-1, Class A3, 1.390%, 09/08/15		8,294
	3,599	Series 2011-3, Class A3, 1.170%, 01/08/16		3,608
	101	Amortizing Residential Collateral Trust, Series 2002-BC6, Class M1, VAR, 1.343%, 08/25/32		65
	12,081	Arch Bay Asset-Backed Securities, Series 2010-1, Class A, VAR, 5.000%, 01/25/48 (e)		12,021
		Bank of America Auto Trust,
	52	Series 2008-1A, Class A3A, 4.970%, 09/20/12 (e)		52
	3,519	Series 2009-1A, Class A3, 2.670%, 07/15/13 (e)		3,537
	24,552	Series 2009-1A, Class A4, 3.520%, 06/15/16 (e)		25,176
	9,684	Series 2009-2A, Class A3, 2.130%, 09/15/13 (e)		9,731
	21,649	Series 2009-2A, Class A4, 3.030%, 10/15/16 (e)		22,207
	5,168	Series 2009-3A, Class A3, 1.670%, 12/15/13 (e)		5,192


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	4,154	Series 2009-3A, Class A4, 2.670%, 12/15/16 (e)		4,273
	5,317	Series 2010-1A, Class A3, 1.390%, 03/15/14 (e)		5,339
	4,120	Series 2010-1A, Class A4, 2.180%, 02/15/17 (e)		4,225
	4,400	Series 2010-2, Class A3, 1.310%, 07/15/14		4,421
	5,100	Series 2010-2, Class A4, 1.940%, 06/15/17		5,222
		Bear Stearns Asset-Backed Securities Trust,
	814	Series 2003-SD2, Class 2A, VAR, 3.069%, 06/25/43		731
	914	Series 2006-SD1, Class A, VAR, 0.588%, 04/25/36		651
		Capital Auto Receivables Asset Trust,
	727	Series 2007-2, Class A4A, 5.390%, 02/18/14		731
	11,053	Series 2008-1, Class A4A, 4.460%, 07/15/14		11,216
		CarMax Auto Owner Trust,
	986	Series 2008-1, Class A4A, 4.790%, 02/15/13		998
	5,722	Series 2009-1, Class A3, 4.120%, 03/15/13		5,768
	3,926	Series 2010-1, Class A3, 1.560%, 07/15/14		3,944
	6,895	Series 2010-1, Class A4, 2.400%, 04/15/15		7,095
	13,250	Series 2010-2, Class A3, 1.410%, 02/16/15		13,356
	27,000	Series 2010-3, Class A4, 1.410%, 02/16/16		27,328
	3,200	Series 2011-1, Class A3, 1.290%, 09/15/15		3,235
	8,900	Series 2011-1, Class A4, 2.160%, 09/15/16		9,193
	4,703	Centex Home Equity, Series 2002-C, Class AF4, SUB, 4.480%, 06/25/31		4,329
		Chrysler Financial Auto Securitization Trust,
	18,776	Series 2009-A, Class A3, 2.820%, 01/15/16		18,968
	5,632	Series 2010-A, Class A3, 0.910%, 08/08/13		5,645
	5,450	Series 2010-A, Class B, 1.650%, 11/08/13		5,473
	2,500	Citibank Credit Card Issuance Trust, Series 2008-A5, Class A5, 4.850%, 04/22/15		2,674
		CitiFinancial Auto Issuance Trust,
	674	Series 2009-1, Class A2, 1.830%, 11/15/12 (e)		674
	23,650	Series 2009-1, Class A3, 2.590%, 10/15/13 (e)		23,886
	16,130	Series 2009-1, Class A4, 3.150%, 08/15/16 (e)		16,514
		CNH Equipment Trust,
	28	Series 2009-A, Class A3, 5.280%, 11/15/12		28
	1,691	Series 2009-C, Class A3, 1.850%, 12/16/13		1,694
	7,778	Series 2010-A, Class A3, 1.540%, 07/15/14		7,808


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — Continued
	1,581	Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.818%, 10/25/34		885
	1,644	Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.528%, 11/25/35		1,518
	109	CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32		102
		Daimler Chrysler Auto Trust,
	953	Series 2007-A, Class A4, 5.280%, 03/08/13		964
	4,699	Series 2008-A, Class A4, 4.480%, 08/08/14		4,742
	1,255	Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15		1,367
		Ford Credit Auto Owner Trust,
	137	Series 2007-A, Class A4A, 5.470%, 06/15/12		137
	774	Series 2007-B, Class A4A, 5.240%, 07/15/12		777
	23,230	Series 2009-A, Class A4, 6.070%, 05/15/14		24,379
	5,156	Series 2009-B, Class A3, 2.790%, 08/15/13		5,197
	6,600	Series 2009-B, Class A4, 4.500%, 07/15/14		6,911
	2,651	Series 2009-D, Class A3, 2.170%, 10/15/13		2,672
	5,612	Series 2009-E, Class A3, 1.510%, 01/15/14		5,639
	790	Series 2010-B, Class A3, 0.980%, 10/15/14		793
	5,250	Series 2010-B, Class A4, 1.580%, 09/15/15		5,351
	5,394	Series 2011-B, Class A3, 0.840%, 06/15/15		5,415
	6,900	Series 2011-B, Class A4, 1.350%, 12/15/16		6,991
		GE Capital Credit Card Master Note Trust,
	12,420	Series 2009-3, Class A, 2.540%, 09/15/14		12,406
	7,670	Series 2009-4, Class A, 3.800%, 11/15/17		8,326
	110	GSAA Trust, Series 2006-3, Class A1, VAR, 0.298%, 03/25/36		53
		Harley-Davidson Motorcycle Trust,
	635	Series 2007-1, Class A4, 5.210%, 06/17/13		639
	6,094	Series 2007-2, Class A4, 5.120%, 08/15/13		6,175
	681	Series 2007-3, Class A4, 5.520%, 11/15/13		693
	1,512	Series 2009-1, Class A3, 3.190%, 11/15/13		1,521
	7,640	Series 2009-1, Class A4, 4.550%, 01/15/17		7,849
	4,165	Series 2009-3, Class A3, 1.740%, 09/15/13		4,180
		Honda Auto Receivables Owner Trust,
	2,217	Series 2008-1, Class A4, 4.880%, 09/18/14		2,221
	1,497	Series 2009-2, Class A3, 2.790%, 01/15/13		1,505
	1,340	Series 2009-3, Class A3, 2.310%, 05/15/13		1,349
	1,430	Series 2009-3, Class A4, 3.300%, 09/15/15		1,469
	5,016	Series 2010-1, Class A3, 1.250%, 10/21/13		5,034


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		HSBC Home Equity Loan Trust,
	10,023	Series 2005-2, Class A1, VAR, 0.483%, 01/20/35		8,846
	11,740	Series 2005-2, Class M1, VAR, 0.673%, 01/20/35		10,324
	5,447	Series 2005-2, Class M2, VAR, 0.703%, 01/20/35		4,768
	7,861	Series 2006-1, Class A1, VAR, 0.373%, 01/20/36		7,349
	8,337	Series 2006-2, Class A1, VAR, 0.363%, 03/20/36		7,807
	14,917	Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36		15,221
	9,725	Series 2006-4, Class A3F, SUB, 5.300%, 03/20/36		9,702
	9,147	Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36		9,198
	6,023	Series 2007-2, Class A2F, SUB, 5.690%, 07/20/36		6,081
	8,370	Series 2007-3, Class APT, VAR, 1.413%, 11/20/36		7,466
	9,994	Huntington Auto Trust, Series 2009-1A, Class A3, 3.940%, 06/17/13 (e)		10,055
		Hyundai Auto Receivables Trust,
	863	Series 2008-A, Class A3, 4.930%, 12/17/12		869
	4,931	Series 2009-A, Class A3, 2.030%, 08/15/13		4,963
	725	Series 2010-A, Class A3, 1.500%, 10/15/14		731
	4,300	Series 2010-B, Class A3, 0.970%, 04/15/15		4,321
	34,640	Series 2010-B, Class A4, 1.630%, 03/15/17		35,233
	2,395	Series 2011-A, Class A3, 1.160%, 04/15/15		2,415
	5,185	Series 2011-A, Class A4, 1.780%, 12/15/15		5,319
	1,522	Series 2011-B, Class A3, 1.040%, 09/15/15		1,533
	1,422	Series 2011-B, Class A4, 1.650%, 02/15/17		1,436
		John Deere Owner Trust,
	460	Series 2009-A, Class A3, 2.590%, 10/15/13		462
	2,281	Series 2009-B, Class A3, 1.570%, 10/15/13		2,289
	466	Mastr Asset-Backed Securities Trust, Series 2005-HE2, Class A3, VAR, 0.488%, 10/25/35		463
	5,550	MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14		5,695
	7,500	Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14		7,547
	1,242	Mid-State Trust, Series 6, Class A1, 7.340%, 07/01/35		1,277
	11,749	MMCA Automobile Trust, Series 2009-A, Class A3, 3.930%, 03/15/13 (e)		11,835


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — Continued
	1,015	Morgan Stanley ABS Capital I, Series 2003-SD1, Class M1, VAR, 2.468%, 03/25/33		594
	1,092	MSDWCC Heloc Trust, Series 2007-1, Class A, VAR, 0.318%, 12/25/31		832
	14,546	NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.556%, 12/07/20		14,558
		Nissan Auto Receivables Owner Trust,
	1,063	Series 2007-B, Class A4, 5.160%, 03/17/14		1,074
	1,174	Series 2009-1, Class A3, 5.000%, 09/15/14		1,194
	2,175	Series 2009-A, Class A3, 3.200%, 02/15/13		2,190
	5,670	Series 2010-A, Class A3, 0.870%, 07/15/14		5,674
	1,500	Series 2010-A, Class A4, 1.310%, 09/15/16		1,516
	2,365	Novastar Home Equity Loan, Series 2005-1, Class M1, VAR, 0.668%, 06/25/35		2,343
	45	Residential Asset Securities Corp., Series 2001-KS1, Class AI6, 6.349%, 03/25/32		41
	19	Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7, SUB, 8.290%, 02/25/25		18
		Santander Drive Auto Receivables Trust,
	689	Series 2010-2, Class A2, 0.950%, 08/15/13		689
	14,170	Series 2010-3, Class A3, 1.200%, 06/16/14		14,183
	2,440	Series 2010-A, Class A3, 1.830%, 11/17/14 (e)		2,464
	2,803	Series 2010-A, Class A4, 2.390%, 06/15/17 (e)		2,872
	3,596	Series 2011-S2A, Class B, 2.060%, 06/15/17 (e)		3,592
	8,183	Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.488%, 06/25/35		7,486
		Toyota Auto Receivables Owner Trust,
	7,710	Series 2010-C, Class A3, 0.770%, 04/15/14		7,718
	8,300	Series 2011-A, Class A4, 1.560%, 05/15/15		8,457
		USAA Auto Owner Trust,
	4,917	Series 2009-2, Class A3, 1.540%, 02/18/14		4,941
	1,570	Series 2009-2, Class A4, 2.530%, 07/15/15		1,613
		World Omni Auto Receivables Trust,
	1,978	Series 2007-B, Class A4, 5.390%, 05/15/13		2,000
	2,292	Series 2008-A, Class A4, 4.740%, 10/15/13		2,339
	68	Series 2008-B, Class A3A, 5.130%, 04/15/13		68
	2,000	Series 2008-B, Class A4, 5.580%, 04/15/14		2,059
	1,635	Series 2009-A, Class A3, 3.330%, 05/15/13		1,645
	3,474	Series 2010-A, Class A3, 1.340%, 12/16/13		3,484
	11,865	Series 2010-A, Class A4, 2.210%, 05/15/15		12,112

		Total Asset-Backed Securities (Cost $804,561)		808,510


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — 10.5%
			Agency CMO — 6.8%
			Federal Home Loan Mortgage Corp. — Government National Mortgage Association,
	1,359		Series 31, Class Z, 8.000%, 04/25/24		1,560
	190		Series 56, Class Z, 7.500%, 09/20/26		219
			Federal Home Loan Mortgage Corp. REMICS,
	15		Series 2, Class Z, 9.300%, 03/15/19		17
	8		Series 12, Class A, 9.250%, 11/15/19		9
	20		Series 16, Class D, 10.000%, 10/15/19		23
	31		Series 17, Class I, 9.900%, 10/15/19		35
	52		Series 23, Class F, 9.600%, 04/15/20		58
	20		Series 26, Class F, 9.500%, 02/15/20		23
	4		Series 81, Class A, 8.125%, 11/15/20		5
	23		Series 85, Class C, 8.600%, 01/15/21		25
	19		Series 99, Class Z, 9.500%, 01/15/21		22
	3		Series 159, Class H, 4.500%, 09/15/21		3
	5		Series 189, Class D, 6.500%, 10/15/21		6
	—	(h)	Series 1045, Class G, HB, 1,066.209%, 02/15/21		1
	5		Series 1053, Class G, 7.000%, 03/15/21		6
	12		Series 1056, Class KZ, 6.500%, 03/15/21		13
	6		Series 1074, Class H, 8.500%, 05/15/21		8
	21		Series 1082, Class C, 9.000%, 05/15/21		23
	7		Series 1087, Class I, 8.500%, 06/15/21		9
	26		Series 1125, Class Z, 8.250%, 08/15/21		30
	24		Series 1142, Class IA, 7.000%, 10/15/21		27
	3		Series 1169, Class G, 7.000%, 11/15/21		4
	49		Series 1343, Class LA, 8.000%, 08/15/22		59
	11		Series 1424, Class F, VAR, 1.888%, 11/15/22		11
	241		Series 1480, Class LZ, 7.500%, 03/15/23		278
	614		Series 1560, Class Z, 7.000%, 08/15/23		704
	35		Series 1641, Class FA, VAR, 1.200%, 12/15/13		35
	161		Series 1754, Class Z, 8.500%, 09/15/24		181
	370		Series 1779, Class Z, 8.500%, 04/15/25		434
	7		Series 1807, Class G, 9.000%, 10/15/20		8
	981		Series 1888, Class Z, 7.000%, 08/15/26		1,134
	1,275		Series 2358, Class PD, 6.000%, 09/15/16		1,372
	1,692		Series 2363, Class PF, 6.000%, 09/15/16		1,818
	824		Series 2390, Class CH, 5.500%, 12/15/16		885
	1,721		Series 2418, Class MF, 6.000%, 02/15/22		1,888
	363		Series 2425, Class JH, 6.000%, 03/15/17		398
	1,360		Series 2453, Class BD, 6.000%, 05/15/17		1,463
	893		Series 2458, Class OE, 6.000%, 06/15/17		966
	652		Series 2496, Class BK, 5.500%, 09/15/17		705
	473		Series 2503, Class TG, 5.500%, 09/15/17		513


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	517	Series 2508, Class AQ, 5.500%, 10/15/17		561
	2,241	Series 2513, Class DB, 5.000%, 10/15/17		2,417
	1,185	Series 2533, Class PE, 5.500%, 12/15/21		1,200
	9	Series 2534, Class HM, 4.500%, 10/15/16		9
	3,388	Series 2561, Class UE, 5.500%, 06/15/22		3,547
	264	Series 2575, Class KA, 5.000%, 11/15/17		276
	211	Series 2583, Class TD, 4.500%, 12/15/13		212
	147	Series 2587, Class WB, 5.000%, 11/15/16		148
	13,577	Series 2600, Class MD, 5.500%, 06/15/32		14,418
	1,105	Series 2617, Class VN, 5.500%, 04/15/14		1,151
	3,896	Series 2635, Class MS, IF, IO, 7.543%, 02/15/18		405
	6,900	Series 2638, Class JG, 5.000%, 02/15/33		7,501
	76	Series 2640, Class VM, 4.500%, 12/15/21		77
	2,269	Series 2641, Class KJ, 4.000%, 01/15/18		2,353
	542	Series 2643, Class ME, 3.500%, 03/15/18		563
	708	Series 2666, Class OC, 5.500%, 01/15/22		737
	90	Series 2685, Class MX, 4.000%, 07/15/16		90
	289	Series 2755, Class PA, PO, 02/15/29		279
	3,860	Series 2761, Class CB, 4.000%, 03/15/19		4,145
	3,242	Series 2763, Class PD, 4.500%, 12/15/17		3,336
	1,547	Series 2765, Class CA, 4.000%, 07/15/17		1,578
	3,500	Series 2773, Class OB, 5.000%, 02/15/19		3,829
	229	Series 2780, Class YP, 7.500%, 08/15/18		239
	209	Series 2782, Class HE, 4.000%, 09/15/17		214
	1,260	Series 2812, Class AB, 4.500%, 10/15/18		1,303
	512	Series 2825, Class VP, 5.500%, 06/15/15		551
	3,280	Series 2836, Class PX, 4.000%, 05/15/18		3,407
	4,343	Series 2859, Class SA, IF, IO, 7.043%, 11/15/18		285
	4,573	Series 2864, Class NB, 5.500%, 07/15/33		5,146
	2,336	Series 2875, Class HA, 4.000%, 11/15/18		2,426
	1,411	Series 2924, Class DA, 4.500%, 02/15/19		1,463
	494	Series 2927, Class YN, 4.500%, 10/15/32		524
	35,000	Series 2928, Class ND, 5.000%, 10/15/30		36,006
	525	Series 2956, Class LD, 5.000%, 05/15/18		529
	704	Series 2962, Class WJ, 5.500%, 06/15/24		732
	14,420	Series 2989, Class MU, IF, IO, 6.793%, 07/15/34		2,374
	20,000	Series 2989, Class TG, 5.000%, 06/15/25		22,181
	1,034	Series 2993, Class MN, 5.000%, 06/15/23		1,055
	1,398	Series 2995, Class FT, VAR, 0.457%, 05/15/29		1,393
	584	Series 3001, Class YN, 4.500%, 06/15/33		612
	3,168	Series 3002, Class BN, 5.000%, 07/15/35		3,500


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	702	Series 3005, Class PV, IF, 12.403%, 10/15/33		810
	2,528	Series 3036, Class NB, 5.000%, 01/15/29		2,584
	403	Series 3047, Class OB, 5.500%, 12/15/33		423
	13,647	Series 3080, Class TZ, 5.500%, 02/15/33		14,180
	1,839	Series 3197, Class AB, 5.500%, 08/15/13		1,859
	624	Series 3242, Class NC, 5.750%, 12/15/28		628
	1,226	Series 3242, Class PA, 5.750%, 11/15/29		1,245
	39	Series 3280, Class MA, 5.500%, 05/15/26		39
	7,925	Series 3305, Class IW, IF, IO, 6.243%, 04/15/37		1,142
	1,617	Series 3320, Class TB, 5.500%, 06/15/30		1,628
	370	Series 3329, Class JA, 6.000%, 08/15/28		376
	543	Series 3363, Class A, 5.000%, 07/15/16		559
	49,385	Series 3420, Class EI, IO, SUB, 2.031%, 08/15/37		1,399
	12,185	Series 3429, Class S, IF, IO, 6.613%, 03/15/38		1,898
	28,868	Series 3437, Class DI, IO, 1.559%, 02/15/12		131
	20,655	Series 3523, Class CI, IO, VAR, 2.461%, 02/15/12		151
	5,082	Series 3546, Class A, VAR, 5.929%, 02/15/39		5,489
	3,736	Series 3564, Class JA, 4.000%, 01/15/18		3,944
	7,591	Series 3572, Class JS, IF, IO, 6.593%, 09/15/39		1,242
	16,965	Series 3609, Class SA, IF, IO, 6.133%, 12/15/39		4,002
	53,846	Series 3747, Class HI, IO, 4.500%, 07/15/37		7,925
	19,568	Series 3784, Class S, IF, IO, 6.393%, 07/15/23		2,269
	925	Series R008, Class FK, VAR, 0.607%, 07/15/23		924
	43	Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-20, Class A6, SUB, 7.091%, 09/25/29		46
	10,971	Federal National Mortgage Association, Series 2011-M2, Class A1, 2.019%, 07/25/21		11,133
		Federal National Mortgage Association REMICS,
	16	Series 1988-7, Class Z, 9.250%, 04/25/18		18
	19	Series 1988-13, Class C, 9.300%, 05/25/18		22
	14	Series 1988-15, Class A, 9.000%, 06/25/18		16
	16	Series 1988-16, Class B, 9.500%, 06/25/18		18
	13	Series 1989-2, Class D, 8.800%, 01/25/19		15
	38	Series 1989-27, Class Y, 6.900%, 06/25/19		41
	9	Series 1989-54, Class E, 8.400%, 08/25/19		11


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	9		Series 1989-66, Class J, 7.000%, 09/25/19		11
	6		Series 1989-70, Class G, 8.000%, 10/25/19		8
	130		Series 1989-72, Class E, 9.350%, 10/25/19		151
	15		Series 1989-89, Class H, 9.000%, 11/25/19		18
	6		Series 1989-96, Class H, 9.000%, 12/25/19		7
	11		Series 1990-7, Class B, 8.500%, 01/25/20		13
	8		Series 1990-12, Class G, 4.500%, 02/25/20		9
	169		Series 1990-19, Class G, 9.750%, 02/25/20		193
	38		Series 1990-58, Class J, 7.000%, 05/25/20		43
	36		Series 1990-61, Class H, 7.000%, 06/25/20		41
	17		Series 1990-106, Class J, 8.500%, 09/25/20		20
	8		Series 1990-109, Class J, 7.000%, 09/25/20		8
	21		Series 1990-111, Class Z, 8.750%, 09/25/20		23
	9		Series 1990-117, Class E, 8.950%, 10/25/20		11
	11		Series 1990-123, Class G, 7.000%, 10/25/20		13
	11		Series 1990-132, Class Z, 7.000%, 11/25/20		13
	392		Series 1990-137, Class X, 9.000%, 12/25/20		457
	4		Series 1991-53, Class J, 7.000%, 05/25/21		4
	21		Series 1991-130, Class C, 9.000%, 09/25/21		24
	2		Series 1992-96, Class B, PO, 05/25/22		2
	2,187		Series 1992-131, Class KB, 8.000%, 08/25/22		2,543
	2,094		Series 1992-185, Class L, 8.000%, 10/25/22		2,425
	7		Series 1993-165, Class SN, IF, 11.471%, 09/25/23		8
	—	(h)	Series 1993-225, Class MC, PO, 11/25/23		—	(h)
	57		Series 1993-235, Class G, PO, 09/25/23		53
	3,838		Series 1994-15, Class ZK, 5.500%, 02/25/24		4,262
	6,376		Series 1994-43, Class PK, 6.350%, 02/25/24		7,195
	—	(h)	Series 1997-46, Class PN, 6.500%, 07/18/12		—	(h)
	2		Series 1997-55, Class B, 7.000%, 02/18/27		2
	6,674		Series 1999-6, Class PB, 6.000%, 03/25/19		7,328
	603		Series 1999-42, Class SA, IF, IO, 7.982%, 10/25/28		9
	1,520		Series 2002-2, Class MG, 6.000%, 02/25/17		1,640
	807		Series 2002-3, Class OG, 6.000%, 02/25/17		868
	1,451		Series 2002-28, Class LD, 6.000%, 05/25/17		1,562
	837		Series 2002-58, Class HC, 5.500%, 09/25/17		895
	1,677		Series 2002-59, Class UC, 5.500%, 09/25/17		1,813
	531		Series 2002-63, Class KC, 5.000%, 10/25/17		572
	356		Series 2003-3, Class PD, 5.000%, 08/25/16		356
	5,108		Series 2003-5, Class SE, IF, IO, 7.432%, 08/25/22		372


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Agency CMO — Continued
	2,436	Series 2003-16, Class LJ, 5.000%, 03/25/18		2,631
	61	Series 2003-21, Class M, 5.000%, 02/25/17		61
	16,640	Series 2003-23, Class PG, 5.500%, 01/25/32		17,248
	1,968	Series 2003-25, Class CS, IF, IO, 7.432%, 03/25/17		16
	2,124	Series 2003-42, Class CI, IO, 6.500%, 05/25/33		446
	3,017	Series 2003-49, Class IO, IO, 6.500%, 06/25/33		634
	5,327	Series 2003-57, Class IB, IO, 5.000%, 06/25/18		510
	5,626	Series 2003-69, Class GI, IO, 5.000%, 12/25/31		353
	5,720	Series 2003-89, Class DC, 5.000%, 12/25/32		6,185
	2,947	Series 2003-92, Class HP, 4.500%, 09/25/18		3,174
	249	Series 2003-120, Class BQ, 4.000%, 09/25/16		250
	3,221	Series 2003-129, Class ME, 5.000%, 08/25/23		3,530
	6,642	Series 2004-60, Class PA, 5.500%, 04/25/34		7,252
	4,808	Series 2004-65, Class EJ, 5.000%, 05/25/23		4,970
	1,216	Series 2004-72, Class F, VAR, 0.718%, 09/25/34		1,220
	320	Series 2004-101, Class AR, 5.500%, 01/25/35		356
	401	Series 2005-1, Class HC, 5.000%, 09/25/28		405
	14,089	Series 2005-19, Class PA, 5.500%, 07/25/34		15,650
	2,432	Series 2005-19, Class SK, IF, IO, 6.532%, 11/25/22		82
	519	Series 2005-27, Class TH, 5.500%, 07/25/31		534
	1,188	Series 2005-30, Class TA, 5.000%, 04/25/22		1,197
	4,303	Series 2005-38, Class FK, VAR, 0.518%, 05/25/35		4,292
	484	Series 2005-40, Class YA, 5.000%, 09/25/20		497
	259	Series 2005-48, Class OM, 5.000%, 03/25/30		263
	442	Series 2005-84, Class MB, 5.750%, 10/25/35		493
	34	Series 2005-104, Class YA, 5.500%, 10/25/19		34
	5,844	Series 2006-22, Class DV, 5.500%, 03/25/17		6,114
	2,688	Series 2006-39, Class WB, 5.500%, 10/25/30		2,771


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	7,534	Series 2006-58, Class ST, IF, IO, 6.932%, 07/25/36		1,464
	22,896	Series 2006-122, Class A, 6.000%, 05/25/25		23,751
	1,154	Series 2007-16, Class FC, VAR, 0.968%, 03/25/37		1,150
	2,371	Series 2007-22, Class SC, IF, IO, 5.862%, 03/25/37		334
	4,396	Series 2007-26, Class BA, 5.500%, 05/25/29		4,454
	15,791	Series 2007-33, Class MS, IF, IO, 6.372%, 04/25/37		2,546
	148	Series 2007-47, Class PB, 5.000%, 09/25/29		148
	3,585	Series 2007-54, Class FA, VAR, 0.618%, 06/25/37		3,579
	4,826	Series 2007-76, Class DB, 6.000%, 05/25/33		5,151
	976	Series 2007-79, Class MA, 5.500%, 12/25/28		983
	17,669	Series 2007-85, Class SH, IF, IO, 6.282%, 09/25/37		2,897
	14,036	Series 2007-95, Class A1, VAR, 0.468%, 08/27/36		14,028
	3,148	Series 2007-106, Class A7, VAR, 5.969%, 10/25/37		3,363
	5,302	Series 2008-18, Class SE, IF, IO, 6.052%, 03/25/38		673
	56,404	Series 2008-35, Class EI, IO, VAR, 1.555%, 03/25/12		375
	1,415	Series 2008-72, Class IO, IO, 5.000%, 08/25/28		174
	2,192	Series 2008-77, Class VA, 6.000%, 07/25/19		2,463
	12,988	Series 2008-81, Class KA, 5.000%, 10/25/22		13,720
	24,666	Series 2008-95, Class AI, IO, 5.000%, 12/25/23		2,368
	6,737	Series 2009-29, Class LA, VAR, 4.453%, 05/25/39		6,802
	9,356	Series 2009-62, Class HJ, VAR, 6.000%, 05/25/39		10,392
	50,207	Series 2009-70, Class IN, IO, 4.500%, 08/25/19		4,207
	8,982	Series 2009-108, Class VN, 5.000%, 09/25/39		9,901
	70,110	Series 2009-112, Class SW, IF, IO, 6.032%, 01/25/40		8,090
	7,440	Series 2010-9, Class PA, 4.500%, 10/25/39		7,615


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Agency CMO — Continued
	8,691		Series 2010-19, Class VA, 5.000%, 02/25/21		9,562
	15,789		Series 2010-60, Class IO, IO, 4.000%, 06/25/20		1,551
	16,593		Series 2010-64, Class DM, 5.000%, 06/25/40		17,960
	13,091		Series 2010-64, Class EH, 5.000%, 10/25/35		14,014
	22,113		Series 2010-111, Class AE, 5.500%, 04/25/38		23,541
	16		Series G-11, Class Z, 8.500%, 05/25/21		18
	6		Series G-22, Class ZT, 8.000%, 12/25/16		7
	4		Series G-41, Class PT, 7.500%, 10/25/21		4
	1,048		Series G92-19, Class M, 8.500%, 04/25/22		1,250
	30		Series G92-35, Class E, 7.500%, 07/25/22		33
	940		Series G92-35, Class EA, 8.000%, 07/25/22		1,159
	15		Series G92-40, Class ZC, 7.000%, 07/25/22		16
	120		Series G92-44, Class ZQ, 8.000%, 07/25/22		137
	34		Series G92-54, Class ZQ, 7.500%, 09/25/22		38
	4,946		Series G92-64, Class J, 8.000%, 11/25/22		6,098
	2,025		Series G92-66, Class K, 8.000%, 12/25/22		2,498
	1,910		Series G94-6, Class PJ, 8.000%, 05/17/24		2,190
			Federal National Mortgage Association STRIPS,
	—	(h)	Series 25, Class 1, 6.000%, 02/01/13		—	(h)
	92		Series 108, Class 1, PO, 03/01/20		85
	2		Series 268, Class 2, IO, 9.000%, 02/01/23		1
	1,730		Series 334, Class 13, IO, VAR, 6.000%, 03/01/33		286
	1,572		Series 334, Class 17, IO, VAR, 6.500%, 02/01/33		278
	1,918		Series 334, Class 24, IO, VAR, 5.000%, 02/01/18		176
	3,466		Series 334, Class 9, IO, 6.000%, 03/01/33		797
	11,708		Series 343, Class 21, IO, 4.000%, 09/01/18		1,020
	4,561		Series 345, Class 22, IO, VAR, 4.500%, 05/01/20		391
	2,099		Series 351, Class 28, IO, VAR, 5.000%, 04/01/19		221
	1,460		Series 356, Class 16, IO, VAR, 5.500%, 06/01/35		208
	1,490		Series 359, Class 16, IO, VAR, 5.500%, 10/01/35		215
	1,858		Series 369, Class 19, IO, VAR, 6.000%, 10/01/36		280
	1,069		Series 369, Class 26, IO, VAR, 6.500%, 10/01/36		227


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	5,568	Series 386, Class 20, IO, VAR, 6.500%, 08/25/38		903
	8,089	Series 394, Class C3, IO, 6.500%, 09/25/38		1,523
		Federal National Mortgage Association Whole Loan,
	2	Series 1995-W3, Class A, 9.000%, 04/25/25		3
	14,537	Series 2007-W1, Class 1AF1, VAR, 0.478%, 11/25/46		14,489
		Government National Mortgage Association,
	105	Series 1997-12, Class D, 7.500%, 09/20/27		122
	1,953	Series 2004-39, Class IN, IO, 5.500%, 06/20/33		346
	35,474	Series 2006-23, Class S, IF, IO, 6.287%, 01/20/36		4,825
	60,327	Series 2006-26, Class S, IF, IO, 6.287%, 06/20/36		10,209
	34,574	Series 2007-16, Class KU, IF, IO, 6.437%, 04/20/37		5,057
	10,265	Series 2008-75, Class SP, IF, IO, 7.257%, 08/20/38		1,877
	14,705	Series 2009-14, Class KS, IF, IO, 6.087%, 03/20/39		1,995
	4,035	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		741
	35,468	Series 2009-14, Class SA, IF, IO, 5.867%, 03/20/39		4,553
	5,000	Series 2009-45, Class PB, 4.500%, 07/16/33		5,491
	41,181	Series 2009-106, Class XL, IF, IO, 6.537%, 06/20/37		6,268
	4,488	Series 2010-14, Class QP, 6.000%, 12/20/39		4,902
		NCUA Guaranteed Notes,
	28,908	Series 2010-C1, Class A1, 1.600%, 10/29/20		29,268
	18,830	Series 2010-R3, Class 1A, VAR, 0.761%, 12/08/20		18,977
	11,002	Series 2010-R3, Class 3A, 2.400%, 12/08/20		11,332
	20	Vendee Mortgage Trust, Series 1994-3C, Class 3, 9.784%, 03/15/21		24

				665,851

		Non-Agency CMO — 3.7%
		ABN Amro Mortgage Corp.,
	4,632	Series 2003-7, Class A3, 4.500%, 07/25/18		4,642
	2,073	Series 2003-9, Class A1, 4.500%, 08/25/18		2,102
	115	Series 2003-9, Class A2, 4.500%, 08/25/18		115


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Non-Agency CMO — Continued
	20,000	American General Mortgage Loan Trust, Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e)		20,081
		Banc of America Mortgage Securities, Inc.,
	747	Series 2004-4, Class 1A9, 5.000%, 05/25/34		749
	5,731	Series 2004-4, Class 4A1, 4.750%, 05/25/19		5,916
	119	Series 2004-5, Class 3A5, 4.750%, 06/25/19		119
	9,349	Series 2004-5, Class 4A1, 4.750%, 06/25/19		9,619
	661	Series 2004-6, Class 1A8, 5.500%, 07/25/34		664
	11,723	Series 2005-1, Class 2A1, 5.000%, 02/25/20		11,725
	1,031	Series 2007-1, Class 1A7, 5.750%, 03/25/37		1,022
		BCAP LLC Trust,
	6,041	Series 2009-RR13, Class 5A1, VAR, 5.750%, 01/26/36 (e)		6,185
	4,301	Series 2010-RR10, Class 3A5, VAR, 4.500%, 11/26/35 (e)		4,312
	4,104	Series 2010-RR10, Class 4A5, VAR, 4.000%, 09/26/37 (e)		4,114
	565	Series 2010-RR4, Class 4A1, VAR, 0.359%, 01/26/37 (e)		551
	7,746	Series 2010-RR4, Class 5A7, VAR, 0.539%, 05/26/37 (e)		7,381
	4,882	Series 2010-RR6, Class 23A7, VAR, 0.428%, 06/26/37 (e)		4,736
	21,019	Series 2010-RR9, Class 1A3, VAR, 4.632%, 08/28/37 (e)		21,177
	10,767	Series 2011-RR2, Class 3A3, VAR, 2.931%, 11/21/35 (e)		10,767
	325	Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 2.654%, 10/25/33		302
		Chase Mortgage Finance Corp.,
	4,798	Series 2003-S10, Class A1, 4.750%, 11/25/18		4,943
	1,679	Series 2003-S13, Class A2, 5.000%, 11/25/33		1,745
	2,800	Citicorp Mortgage Securities, Inc., Series 2006-1, Class 2A1, 5.000%, 02/25/21		2,773
		Citigroup Mortgage Loan Trust, Inc.,
	1,850	Series 2003-UP3, Class A1, 7.000%, 09/25/33		1,928


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	5,819	Series 2004-UST1, Class A6, VAR, 5.093%, 08/25/34		5,806
	9,119	Series 2008-AR4, Class 1A1A, VAR, 5.240%, 11/25/38 (e)		8,996
	167	Community Program Loan Trust, Series 1987-A, Class A4, 4.500%, 10/01/18		168
	227	Countrywide Alternative Loan Trust, Series 2003-J3, Class 2A1, 6.250%, 12/25/33		238
		Countrywide Home Loan Mortgage Pass-Through Trust,
	4,884	Series 2003-34, Class A6, 5.250%, 09/25/33		4,923
	1,673	Series 2003-J13, Class 1A5, 5.250%, 11/25/14		1,671
	5,039	Series 2003-J15, Class 3A1, 5.000%, 01/25/19		5,206
	1,220	Series 2004-8, Class 2A1, 4.500%, 06/25/19		1,242
		Credit Suisse Mortgage Capital Certificates,
	9,273	Series 2010-1R, Class 9A1, VAR, 5.000%, 06/27/37 (e)		9,050
	9,282	Series 2011-7R, Class A1, VAR, 1.471%, 08/28/47 (e)		9,276
		CS First Boston Mortgage Securities Corp.,
	1,308	Series 2003-17, Class 2A6, 3.500%, 07/25/18		1,338
	3,855	Series 2003-23, Class 8A1, 5.000%, 09/25/18		3,933
	5,369	Series 2004-8, Class 6A1, 4.500%, 12/25/19		5,530
	985	Series 2007-5, Class 5A5, VAR, 5.380%, 12/25/14		980
		First Horizon Asset Securities, Inc.,
	6,804	Series 2003-8, Class 2A1, 4.500%, 09/25/18		6,857
	3,719	Series 2004-7, Class 2A1, 4.750%, 12/25/19		3,728
		GMAC Mortgage Corp. Loan Trust,
	6,709	Series 2003-AR1, Class A4, VAR, 3.303%, 10/19/33		6,378
	317	Series 2003-J4, Class 2A1, 4.750%, 09/25/18		326
	2,753	GSR Mortgage Loan Trust, Series 2004-10F, Class 1A6, 4.500%, 08/25/19		2,763
	2,832	Impac Secured Assets CMN Owner Trust, Series 2004-4, Class 2A2, VAR, 0.578%, 02/25/35		2,289


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


			Non-Agency CMO — Continued
			JP Morgan Mortgage Trust,
	7,711		Series 2004-S2, Class 5A1, 5.500%, 12/25/19		7,788
	9,224		Series 2006-A2, Class 4A1, VAR, 2.749%, 08/25/34		8,724
	11		Kidder Peabody Mortgage Assets Trust, Series A, Class A1, 6.500%, 02/22/17		13
	3,027		MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A6, VAR, 2.729%, 11/21/34		2,979
			MASTR Alternative Loans Trust,
	304		Series 2004-8, Class 6A1, 5.500%, 09/25/19		309
	5,018		Series 2004-8, Class 7A1, 5.000%, 09/25/19		5,258
			MASTR Asset Securitization Trust,
	1,432		Series 2002-7, Class 1A1, 5.500%, 11/25/17		1,482
	3,896		Series 2003-2, Class 1A1, 5.000%, 03/25/18		4,011
	2,109		Series 2003-11, Class 10A1, 5.000%, 12/25/18		2,153
	5,511		Series 2004-6, Class 6A1, 4.500%, 07/25/19		5,561
	—	(h)	Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A2, VAR, 0.498%, 08/25/35		—	(h)
	6		Merrill Lynch Trust, Series 44, Class G, 9.000%, 08/20/20		7
	488		Morgan Stanley Mortgage Loan Trust, Series 2004-1, Class 1A3, 5.000%, 11/25/18		502
			Nomura Asset Acceptance Corp.,
	1,623		Series 2005-AR1, Class 1A1, VAR, 2.662%, 02/25/35		1,245
	845		Series 2005-AR2, Class 3A1, VAR, 0.468%, 05/25/35		696
	2,518		Series 2005-AR6, Class 4A1, VAR, 0.478%, 12/25/35		1,285
	7		Paine Webber CMO Trust, Series L, Class 4, 8.950%, 07/01/18		8
	7,383		Prime Mortgage Trust, Series 2005-2, Class 1A1, 4.750%, 07/25/20		7,620
			Residential Accredit Loans, Inc.,
	397		Series 2003-QR24, Class A7, 4.000%, 07/25/33		386
	2,849		Series 2003-QS1, Class A6, 4.250%, 01/25/33		2,856


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	492	Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A5, 6.000%, 11/25/31		489
	4,120	Structured Asset Securities Corp., Series 2003-8, Class 1A2, 5.000%, 04/25/18		4,216
	4,800	WaMu Mortgage Pass-Through Certificates, Series 2003-S10, Class A4, 4.500%, 10/25/18		5,021
		Wells Fargo Mortgage-Backed Securities Trust,
	6,482	Series 2003-10, Class A1, 4.500%, 09/25/18		6,659
	5,116	Series 2003-11, Class 2A1, 4.750%, 10/25/18		5,264
	5,276	Series 2003-12, Class A1, 4.750%, 11/25/18		5,435
	6,077	Series 2003-12, Class A2, 4.500%, 11/25/18		6,235
	552	Series 2003-12, Class A3, 5.000%, 11/25/18		572
	4,812	Series 2003-15, Class 1A1, 4.750%, 12/25/18		4,967
	6,884	Series 2003-16, Class 2A1, 4.500%, 12/25/18		7,023
	4,283	Series 2003-K, Class 1A1, VAR, 4.443%, 11/25/33		4,098
	68	Series 2003-K, Class 1A2, VAR, 4.443%, 11/25/33		66
	10,124	Series 2003-M, Class A1, VAR, 4.691%, 12/25/33		10,147
	5,313	Series 2004-7, Class 2A1, 4.500%, 07/25/19		5,429
	2,637	Series 2004-EE, Class 2A2, VAR, 2.749%, 12/25/34		2,541
	3,519	Series 2004-EE, Class 3A2, VAR, 2.848%, 12/25/34		3,421
	6,627	Series 2004-O, Class A1, VAR, 4.867%, 08/25/34		6,733
	9,525	Series 2005-1, Class 1A1, 4.750%, 01/25/20		9,793
	9,464	Series 2005-13, Class A1, 5.000%, 11/25/20		9,749

				359,107

		Total Collateralized Mortgage Obligations (Cost $1,001,078)		1,024,958

	Commercial Mortgage-Backed Securities — 3.6%
		Banc of America Commercial Mortgage, Inc.,
	2,622	Series 2004-2, Class A3, 4.050%, 11/10/38		2,646
	2,609	Series 2004-5, Class A3, 4.561%, 11/10/41		2,610


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	17,431	BCRR Trust, Series 2010-LEAF, Class 36A, 4.230%, 03/22/31 (e)		17,567
		Bear Stearns Commercial Mortgage Securities,
	4,268	Series 2002-TOP6, Class A2, 6.460%, 10/15/36		4,314
	32,335	Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41		34,799
	2,825	Series 2005-PWR8, Class A4, 4.674%, 06/11/41		3,012
	71	Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.922%, 03/15/49		71
	1,542	Commercial Mortgage Acceptance Corp., Series 1998-C2, Class F, VAR, 5.440%, 09/15/30 (e)		1,572
	1,330	Commercial Mortgage Asset Trust, Series 1999-C1, Class A4, VAR, 6.975%, 01/17/32		1,381
	3,076	Commercial Mortgage Pass Through Certificates, Series 2005-LP5, Class A2, 4.630%, 05/10/43		3,087
	15,315	Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, VAR, 5.850%, 03/15/39		16,235
	15,942	Defeased Loan Trust, Series 2010-1, Class A, 2.360%, 01/13/14 (e)		16,592
		GMAC Commercial Mortgage Securities, Inc.,
	673	Series 2003-C1, Class A1, 3.337%, 05/10/36		677
	102	Series 2003-C3, Class A3, 4.646%, 04/10/40		103
	27,750	GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38		29,577
		JP Morgan Chase Commercial Mortgage Securities Corp.,
	17,900	Series 2004-C2, Class A3, VAR, 5.388%, 05/15/41		19,128
	2,457	Series 2004-LN2, Class A1, 4.475%, 07/15/41		2,474
		LB-UBS Commercial Mortgage Trust,
	15,000	Series 2002-C2, Class A4, 5.594%, 06/15/31		15,262
	15,372	Series 2004-C2, Class A4, 4.367%, 03/15/36		16,107
	222	Merrill Lynch Mortgage Trust, Series 2004-BPC1, Class A2, 4.071%, 10/12/41		222
	12,107	Morgan Stanley, Series 2009-IO, Class A1, 3.000%, 07/17/56 (e)		12,167
		Morgan Stanley Capital I,
	4,622	Series 1998-CF1, Class E, VAR, 7.350%, 07/15/32		4,713
	2,348	Series 2003-T11, Class A3, 4.850%, 06/13/41		2,354


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Commercial Mortgage-Backed Securities — Continued
		Morgan Stanley Re-REMIC Trust,
	26,500	Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e)		26,512
	9,955	Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		10,421
	19,982	Series 2011-IO, Class A, 2.500%, 03/23/51 (e)		19,882
	1,618	Nomura Asset Securities Corp., Series 1998-D6, Class A1C, 6.690%, 03/15/30		1,673
	15,554	Prudential Commercial Mortgage Trust, Series 2003-PWR1, Class A1, 3.669%, 02/11/36		15,643
		TIAA Retail Commercial Trust,
	8,964	Series 2001-C1A, Class H, 5.770%, 06/19/33 (e)		9,253
	14,650	Series 2001-C1A, Class J, 5.770%, 06/19/33 (e)		15,217
	18,325	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.969%, 08/15/39		19,885
	8,388	Wachovia Bank Commercial Mortgage Trust, Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41		8,952
	14,655	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A1, 1.988%, 03/15/44 (e)		14,864

		Total Commercial Mortgage-Backed Securities (Cost $350,499)		348,972

	Corporate Bonds — 16.1%
		Consumer Discretionary — 0.6%
		Auto Components — 0.1%
		Johnson Controls, Inc.,
	990	1.750%, 03/01/14		1,007
	4,435	4.875%, 09/15/13		4,767

				5,774

		Automobiles — 0.0% (g)
		Daimler Finance North America LLC,
	1,000	5.750%, 09/08/11		1,001
	3,905	6.500%, 11/15/13		4,325

				5,326

		Broadcasting & Cable TV — 0.1%
	5,865	DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.500%, 03/01/16		6,137

		Household Durables — 0.0% (g)
	1,700	Emerson Electric Co., 5.000%, 12/15/14		1,910

		Media — 0.3%
	1,363	CBS Corp., 8.200%, 05/15/14		1,587


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Media — Continued
	310	Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13		344
	1,463	Comcast Cable Communications LLC, 7.125%, 06/15/13		1,620
	3,720	Cox Communications, Inc., 5.450%, 12/15/14		4,148
	4,950	NBCUniversal Media LLC, 2.875%, 04/01/16		5,072
		News America Holdings, Inc.,
	1,495	7.600%, 10/11/15		1,727
	300	9.250%, 02/01/13		330
	4,275	TCI Communications, Inc., 8.750%, 08/01/15		5,219
		Time Warner Cable, Inc.,
	3,990	3.500%, 02/01/15		4,192
	1,400	6.200%, 07/01/13		1,523
	875	7.500%, 04/01/14		1,000
	1,601	8.250%, 02/14/14		1,846
	2,000	Viacom, Inc., 4.375%, 09/15/14		2,156
	585	Walt Disney Co. (The), 4.700%, 12/01/12		615

				31,379

		Multiline Retail — 0.0% (g)
	1,190	Target Corp., 5.125%, 01/15/13		1,261

		Specialty Retail — 0.1%
	2,555	Home Depot, Inc., 5.250%, 12/16/13		2,782
	2,675	Staples, Inc., 9.750%, 01/15/14		3,136

				5,918

		Total Consumer Discretionary		57,705

		Consumer Staples — 0.7%
		Beverages — 0.3%
	1,420	Anheuser-Busch InBev Worldwide, Inc., 1.500%, 07/14/14		1,439
	480	Bottling Group LLC, 6.950%, 03/15/14		553
		Coca-Cola Co. (The),
	1,385	1.500%, 11/15/15		1,409
	1,773	1.800%, 09/01/16 (e)		1,790
	5,050	3.625%, 03/15/14		5,427
	475	Diageo Capital plc, (United Kingdom), 5.200%, 01/30/13		504
	5,035	Diageo Finance B.V., (Netherlands), 5.500%, 04/01/13		5,409
		PepsiCo, Inc.,
	2,975	3.750%, 03/01/14		3,191
	980	4.650%, 02/15/13		1,037
		SABMiller plc, (United Kingdom),
	5,325	5.500%, 08/15/13 (e)		5,750


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Beverages — Continued
	1,000	5.700%, 01/15/14 (e)		1,094

				27,603

		Food & Staples Retailing — 0.1%
	1,250	CVS Caremark Corp., 3.250%, 05/18/15		1,319
	4,975	Kroger Co. (The), 7.500%, 01/15/14		5,687
		Wal-Mart Stores, Inc.,
	1,900	2.250%, 07/08/15		1,982
	695	4.550%, 05/01/13		741
	2,780	7.250%, 06/01/13		3,097

				12,826

		Food Products — 0.3%
	4,570	Bunge Ltd. Finance Corp., 5.875%, 05/15/13		4,816
	1,835	Cadbury Schweppes US Finance LLC, 5.125%, 10/01/13 (e)		1,978
		Cargill, Inc.,
	1,215	4.375%, 06/01/13 (e)		1,282
	1,385	5.000%, 11/15/13 (e)		1,503
	1,450	5.200%, 01/22/13 (e)		1,535
		General Mills, Inc.,
	3,105	5.250%, 08/15/13		3,362
	1,770	5.650%, 09/10/12		1,854
	710	Kellogg Co., 4.250%, 03/06/13		746
		Kraft Foods, Inc.,
	1,210	4.125%, 02/09/16		1,306
	1,500	5.250%, 10/01/13		1,622
	150	6.000%, 02/11/13		160
	1,081	6.250%, 06/01/12		1,126
	2,780	6.750%, 02/19/14		3,143

				24,433

		Household Products — 0.0% (g)
	425	Clorox Co., 5.000%, 01/15/15		449

		Total Consumer Staples		65,311

		Energy — 0.4%
		Oil, Gas & Consumable Fuels — 0.4%
		Anadarko Petroleum Corp.,
	435	5.750%, 06/15/14		481
	2,000	7.625%, 03/15/14		2,288
	3,660	Canadian Natural Resources Ltd., (Canada), 4.900%, 12/01/14		4,028
	1,390	Cenovus Energy, Inc., (Canada), 4.500%, 09/15/14		1,510
	800	Chevron Corp., 3.950%, 03/03/14		864
	1,145	ConocoPhillips, 4.750%, 02/01/14		1,252


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Oil, Gas & Consumable Fuels — Continued
	3,158	ConocoPhillips Australia Funding Co., 5.500%, 04/15/13		3,400
	3,721	PC Financial Partnership, 5.000%, 11/15/14		4,083
		Shell International Finance B.V., (Netherlands),
	2,615	1.875%, 03/25/13		2,668
	2,452	3.100%, 06/28/15		2,606
	5,225	4.000%, 03/21/14		5,636
	2,400	Statoil ASA, (Norway), 5.125%, 04/30/14 (e)		2,664
	3,237	Total Capital S.A., (France), 3.000%, 06/24/15		3,413

		Total Energy		34,893

		Financials — 10.2%
		Capital Markets — 2.3%
		Bank of New York Mellon Corp. (The),
	2,240	2.950%, 06/18/15		2,328
	1,870	3.100%, 01/15/15		1,973
	6,277	4.300%, 05/15/14		6,790
	3,300	4.500%, 04/01/13		3,489
	6,690	BlackRock, Inc., 3.500%, 12/10/14		7,153
	5,380	Charles Schwab Corp. (The), 4.950%, 06/01/14		5,904
		Credit Suisse USA, Inc.,
	765	4.875%, 01/15/15		818
	8,587	5.125%, 01/15/14		9,162
	5,225	5.500%, 08/15/13		5,545
	580	FMR LLC, 4.750%, 03/01/13 (e)		605
		Goldman Sachs Group, Inc. (The),
	10,415	3.625%, 02/07/16		10,424
	6,895	3.700%, 08/01/15		6,969
	2,000	4.750%, 07/15/13		2,081
	4,175	5.000%, 10/01/14		4,366
	2,575	5.125%, 01/15/15		2,706
	1,860	5.150%, 01/15/14		1,952
	950	5.250%, 04/01/13		987
	8,955	5.250%, 10/15/13		9,336
	3,000	5.500%, 11/15/14		3,197
	18,840	6.000%, 05/01/14		20,262
		Jefferies Group, Inc.,
	9,275	3.875%, 11/09/15		9,426
	2,050	5.875%, 06/08/14		2,226
		Lehman Brothers Holdings, Inc.,
	2,225	3.950%, 11/10/09 (d)		554
	500	5.750%, 07/18/11 (d)		124
	1,062	6.625%, 01/18/12 (d)		264


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Capital Markets — Continued
	1,705	Macquarie Group Ltd., (Australia), 7.300%, 08/01/14 (e)		1,889
		Merrill Lynch & Co., Inc.,
	968	5.000%, 01/15/15		972
	3,275	5.300%, 09/30/15		3,304
	4,376	5.450%, 02/05/13		4,490
	4,591	5.450%, 07/15/14		4,729
	13,651	6.150%, 04/25/13		14,200
		Morgan Stanley,
	1,936	2.875%, 07/28/14		1,912
	1,600	4.100%, 01/26/15		1,592
	11,342	4.200%, 11/20/14		11,370
	915	4.750%, 04/01/14		928
	8,805	5.300%, 03/01/13		9,111
	285	5.625%, 01/09/12		289
	13,150	6.000%, 05/13/14		13,807
		Nomura Holdings, Inc., (Japan),
	2,345	4.125%, 01/19/16		2,404
	8,505	5.000%, 03/04/15		8,963
		Northern Trust Corp.,
	1,860	4.625%, 05/01/14		2,025
	3,220	5.500%, 08/15/13		3,493
		State Street Corp.,
	5,370	2.875%, 03/07/16		5,548
	6,213	4.300%, 05/30/14		6,717
		UBS AG, (Switzerland),
	488	2.250%, 08/12/13		493
	6,670	3.875%, 01/15/15		6,919

				223,796

		Commercial Banks — 3.3%
	500	Abbey National Treasury Services plc, (United Kingdom), 4.000%, 04/27/16		478
	1,000	American Express Bank FSB, 5.500%, 04/16/13		1,061
	1,190	ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e)		1,203
	1,700	Australia & New Zealand Banking Group Ltd., (Australia), 2.125%, 01/10/14 (e)		1,720
	1,858	Bank of New York Mellon Corp. (The), 2.300%, 07/28/16		1,890
		Bank of Nova Scotia, (Canada),
	5,236	1.650%, 10/29/15 (e)		5,302
	5,300	2.375%, 12/17/13		5,456
	2,782	Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 2.600%, 01/22/13 (e)		2,833


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Commercial Banks — Continued
		Barclays Bank plc, (United Kingdom),
	9,495	2.500%, 01/23/13		9,508
	10,925	2.500%, 09/21/15 (e)		11,071
	4,450	3.900%, 04/07/15		4,457
	2,980	5.200%, 07/10/14		3,135
		BB&T Corp.,
	6,970	3.200%, 03/15/16		7,114
	3,410	3.850%, 07/27/12		3,502
	4,555	4.750%, 10/01/12		4,717
	1,232	5.200%, 12/23/15		1,345
	6,154	5.700%, 04/30/14		6,780
	5,000	BNY Mellon N.A., 4.750%, 12/15/14		5,428
	3,385	Branch Banking & Trust Co., 4.875%, 01/15/13		3,484
		Canadian Imperial Bank of Commerce, (Canada),
	2,330	2.350%, 12/11/15		2,377
	3,000	2.600%, 07/02/15 (e)		3,145
	1,290	Comerica, Inc., 3.000%, 09/16/15		1,319
		Credit Suisse, (Switzerland),
	9,420	3.500%, 03/23/15		9,599
	10,114	5.500%, 05/01/14		10,905
		Deutsche Bank AG, (Germany),
	8,290	2.375%, 01/11/13		8,293
	5,500	3.250%, 01/11/16		5,521
	3,890	3.875%, 08/18/14		4,043
	1,445	4.875%, 05/20/13		1,504
	600	5.375%, 10/12/12		627
	6,640	Deutsche Bank Financial LLC, 5.375%, 03/02/15		6,847
	12,209	DnB NOR Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e)		12,487
	505	Fifth Third Bancorp, 3.625%, 01/25/16		512
	2,836	HSBC Bank plc, (United Kingdom), 1.625%, 07/07/14 (e)		2,870
	4,700	HSBC Bank USA N.A., 4.625%, 04/01/14		4,857
	1,650	HSBC Holdings plc, (United Kingdom), 5.250%, 12/12/12		1,695
		KeyBank N.A.,
	1,778	5.500%, 09/17/12		1,844
	750	5.700%, 08/15/12		779
	1,290	5.800%, 07/01/14		1,409
	5,720	KeyCorp, 6.500%, 05/14/13		6,149
	1,525	M&I Marshall & Ilsley Bank, 5.150%, 02/22/12		1,518
	805	M&T Bank Corp., 5.375%, 05/24/12		829


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Commercial Banks — Continued
	500	Manufacturers & Traders Trust Co., VAR, 1.746%, 04/01/13		499
	2,128	Mellon Funding Corp., 5.000%, 12/01/14		2,318
	5,070	National Australia Bank Ltd., (Australia), 2.500%, 01/08/13 (e)		5,141
	7,480	National Bank of Canada, (Canada), 1.650%, 01/30/14 (e)		7,633
	8,105	National City Corp., 4.900%, 01/15/15		8,842
	2,500	Nordea Bank AB, (Sweden), 1.750%, 10/04/13 (e)		2,477
	905	PNC Funding Corp., 3.625%, 02/08/15		952
	10,000	Rabobank Nederland N.V., (Netherlands), 3.200%, 03/11/15 (e)		10,511
	4,130	Royal Bank of Canada, (Canada), 2.300%, 07/20/16		4,189
	5,788	SouthTrust Corp., 5.800%, 06/15/14		6,259
	3,272	SunTrust Banks, Inc., 5.250%, 11/05/12		3,415
	6,100	Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e)		6,307
		U.S. Bancorp,
	1,075	2.450%, 07/27/15		1,104
	5,938	2.875%, 11/20/14		6,180
	1,595	4.200%, 05/15/14		1,714
		U.S. Bank N.A.,
	5,020	4.950%, 10/30/14		5,532
	6,202	6.300%, 02/04/14		6,924
		Wachovia Bank N.A.,
	18,328	4.800%, 11/01/14		19,692
	1,500	5.000%, 08/15/15		1,618
	1,440	5.600%, 03/15/16		1,583
		Wachovia Corp.,
	1,155	4.875%, 02/15/14		1,219
	3,000	5.250%, 08/01/14		3,209
	3,130	5.500%, 05/01/13		3,346
		Wells Fargo & Co.,
	5,185	3.750%, 10/01/14		5,515
	6,780	4.375%, 01/31/13		7,087
	5,770	4.625%, 04/15/14		6,103
	2,500	4.950%, 10/16/13		2,672
	4,310	Wells Fargo Bank N.A., 4.750%, 02/09/15		4,572
		Westpac Banking Corp., (Australia),
	6,973	2.100%, 08/02/13		7,091
	3,560	4.200%, 02/27/15		3,781

				317,098


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Consumer Finance — 1.0%
	6,262	American Express Co., 7.250%, 05/20/14		7,149
		American Express Credit Corp.,
	2,150	5.300%, 12/02/15		2,413
	4,964	5.875%, 05/02/13		5,303
	10,305	7.300%, 08/20/13		11,382
		American Honda Finance Corp.,
	5,730	2.375%, 03/18/13 (e)		5,841
	5,940	4.625%, 04/02/13 (e)		6,257
	1,192	Boeing Capital Corp., 5.800%, 01/15/13		1,276
	2,000	Capital One Bank USA N.A., 5.125%, 02/15/14		2,162
		Capital One Financial Corp.,
	2,997	2.125%, 07/15/14		2,987
	500	5.500%, 06/01/15		554
	2,755	7.375%, 05/23/14		3,100
	1,490	FIA Card Services N.A., 7.125%, 11/15/12		1,535
		HSBC Finance Corp.,
	10,100	4.750%, 07/15/13		10,511
	15,901	5.000%, 06/30/15		16,809
	1,625	5.250%, 04/15/15		1,726
	3,500	5.900%, 06/19/12		3,624
		John Deere Capital Corp.,
	995	1.600%, 03/03/14		1,011
	1,335	2.950%, 03/09/15		1,414
	2,450	4.500%, 04/03/13		2,596
	325	4.950%, 12/17/12		342
		MBNA Corp.,
	1,860	6.125%, 03/01/13		1,911
	500	7.500%, 03/15/12		511
	2,737	Toyota Motor Credit Corp., 3.200%, 06/17/15		2,891
	993	Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e)		1,003

				94,308

		Diversified Financial Services — 2.5%
	3,000	BA Covered Bond Issuer, 5.500%, 06/14/12 (e)		3,092
		Bank of America Corp.,
	715	3.625%, 03/17/16		698
	6,005	4.900%, 05/01/13		6,150
	975	5.125%, 11/15/14		1,017
	2,345	5.375%, 09/11/12		2,406
	388	7.125%, 10/15/11		390
	15,480	7.375%, 05/15/14		16,942


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Diversified Financial Services — Continued
		BP Capital Markets plc, (United Kingdom),
	1,190	3.125%, 03/10/12		1,206
	3,000	3.200%, 03/11/16		3,156
	1,870	3.625%, 05/08/14		1,972
	4,000	3.875%, 03/10/15		4,264
	3,015	5.250%, 11/07/13		3,262
	4,838	Caisse Centrale Desjardins du Quebec, (Canada), 2.550%, 03/24/16 (e)		5,064
		Caterpillar Financial Services Corp.,
	6,700	1.550%, 12/20/13		6,795
	2,265	4.900%, 08/15/13		2,437
	3,080	6.125%, 02/17/14		3,455
	1,880	6.200%, 09/30/13		2,069
		Citigroup, Inc.,
	14,270	5.500%, 04/11/13		14,868
	6,000	5.850%, 07/02/13		6,274
	21,650	6.000%, 12/13/13		22,953
	10,065	6.010%, 01/15/15		10,808
	6,445	6.375%, 08/12/14		7,029
	4,428	6.500%, 08/19/13		4,711
	1,070	CME Group, Inc., 5.750%, 02/15/14		1,184
	3,710	ERAC USA Finance LLC, 2.750%, 07/01/13 (e)		3,786
		FUEL Trust,
	10,086	3.984%, 06/15/16 (e)		10,057
	6,080	4.207%, 04/15/16 (e)		6,113
		General Electric Capital Corp.,
	2,335	2.100%, 01/07/14		2,367
	12,870	3.500%, 06/29/15		13,463
	5,000	3.750%, 11/14/14		5,268
	2,170	4.375%, 09/21/15		2,321
	5,000	4.750%, 09/15/14		5,421
	5,541	4.875%, 03/04/15		6,026
	13,757	5.450%, 01/15/13		14,532
	11,926	5.500%, 06/04/14		13,112
	3,225	5.650%, 06/09/14		3,505
	14,402	5.900%, 05/13/14		15,977
	4,365	NASDAQ OMX Group, Inc. (The), 4.000%, 01/15/15		4,447
	885	National Rural Utilities Cooperative Finance Corp., 2.625%, 09/16/12		904

				239,501

		FDIC Guaranteed Securities (~) — 0.0% (g)
	2,500	General Electric Capital Corp., 2.625%, 12/28/12		2,577


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		FDIC Guaranteed Securities — Continued
	2,220	Wells Fargo & Co., 3.000%, 12/09/11		2,236

				4,813

		Insurance — 0.8%
	5,000	ACE INA Holdings, Inc., 5.600%, 05/15/15		5,513
	1,420	Allstate Corp. (The), 5.000%, 08/15/14		1,553
	2,343	AON Corp., 3.500%, 09/30/15		2,432
	1,454	ASIF Global Financing XIX, 4.900%, 01/17/13 (e)		1,498
		Berkshire Hathaway Finance Corp.,
	2,495	5.000%, 08/15/13		2,677
	6,615	5.100%, 07/15/14		7,352
	4,840	CNA Financial Corp., 5.850%, 12/15/14		5,185
	5,938	Jackson National Life Global Funding, 5.375%, 05/08/13 (e)		6,314
		MassMutual Global Funding II,
	1,084	2.300%, 09/28/15 (e)		1,097
	105	3.625%, 07/16/12 (e)		107
		Metropolitan Life Global Funding I,
	3,463	2.500%, 01/11/13 (e)		3,514
	2,701	2.500%, 09/29/15 (e)		2,743
	14,495	5.125%, 04/10/13 (e)		15,312
	1,200	5.200%, 09/18/13 (e)		1,294
	2,000	Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e)		2,123
		New York Life Global Funding,
	2,730	3.000%, 05/04/15 (e)		2,867
	3,350	4.650%, 05/09/13 (e)		3,560
	285	5.250%, 10/16/12 (e)		299
	1,400	Pacific Life Global Funding, 5.150%, 04/15/13 (e)		1,476
		Pricoa Global Funding I,
	500	4.625%, 06/25/12 (e)		515
	1,975	5.400%, 10/18/12 (e)		2,069
	4,220	5.450%, 06/11/14 (e)		4,643
	609	Principal Life Global Funding I, 6.250%, 02/15/12 (e)		624
		Principal Life Income Funding Trusts,
	1,110	5.300%, 12/14/12		1,169
	4,933	5.300%, 04/24/13		5,266
	1,380	Travelers Property Casualty Corp., 5.000%, 03/15/13		1,459

				82,661

		Real Estate Investment Trusts (REITs) — 0.1%
	2,000	ERP Operating LP, 5.200%, 04/01/13		2,103


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Real Estate Investment Trusts (REITs) — Continued
	5,252	HCP, Inc., 2.700%, 02/01/14		5,229
		Simon Property Group LP,
	673	4.200%, 02/01/15		718
	1,125	6.750%, 05/15/14		1,277

				9,327

		Thrifts & Mortgage Finance — 0.2%
	2,150	Countrywide Financial Corp., 5.800%, 06/07/12		2,190
	1,100	Golden West Financial Corp., 4.750%, 10/01/12		1,142
	15,324	Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e)		15,492

				18,824

		Total Financials		990,328

		Health Care — 0.2%
		Biotechnology — 0.0% (g)
	2,200	Amgen, Inc., 2.300%, 06/15/16		2,250

		Health Care Equipment & Supplies — 0.1%
		Baxter International, Inc.,
	1,650	1.800%, 03/15/13		1,676
	255	4.000%, 03/01/14		274
	1,925	Medtronic, Inc., 3.000%, 03/15/15		2,040

				3,990

		Health Care Providers & Services — 0.0% (g)
	820	Medco Health Solutions, Inc., 2.750%, 09/15/15		839
	2,095	UnitedHealth Group, Inc., 5.000%, 08/15/14		2,310
	550	WellPoint Health Networks, Inc., 6.375%, 01/15/12		561
	215	WellPoint, Inc., 6.000%, 02/15/14		240

				3,950

		Pharmaceuticals — 0.1%
	2,635	Abbott Laboratories, 2.700%, 05/27/15		2,794
	850	Eli Lilly & Co., 3.550%, 03/06/12		863
	2,000	GlaxoSmithKline Capital, Inc., 4.850%, 05/15/13		2,142
	2,525	Merck & Co., Inc., 4.750%, 03/01/15		2,855
	2,793	Wyeth, 5.500%, 02/01/14		3,093

				11,747

		Total Health Care		21,937


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Industrials — 0.6%
		Aerospace & Defense — 0.2%
		BAE Systems Holdings, Inc.,
	1,817	4.950%, 06/01/14 (e)		1,964
	2,335	5.200%, 08/15/15 (e)		2,570
		Boeing Co. (The),
	1,000	3.500%, 02/15/15		1,076
	3,085	5.000%, 03/15/14		3,407
	2,190	5.125%, 02/15/13		2,329
	2,460	General Dynamics Corp., 5.250%, 02/01/14		2,723
	1,115	Honeywell International, Inc., 3.875%, 02/15/14		1,202
	1,000	Northrop Grumman Corp., 3.700%, 08/01/14		1,069

				16,340

		Commercial Services & Supplies — 0.0% (g)
		Pitney Bowes, Inc.,
	685	3.875%, 06/15/13		707
	2,375	4.875%, 08/15/14		2,578
	1,100	Waste Management, Inc., 6.375%, 11/15/12		1,171

				4,456

		Industrial Conglomerates — 0.0% (g)
	3,767	General Electric Co., 5.000%, 02/01/13		3,970
	1,285	Honeywell International, Inc., 4.250%, 03/01/13		1,355

				5,325

		Machinery — 0.1%
	745	Caterpillar, Inc., 7.000%, 12/15/13		845
	4,323	Danaher Corp., 1.300%, 06/23/14		4,387
	1,475	Deere & Co., 6.950%, 04/25/14		1,706
		PACCAR, Inc.,
	100	6.375%, 02/15/12		103
	1,150	6.875%, 02/15/14		1,313

				8,354

		Road & Rail — 0.3%
		Burlington Northern Santa Fe LLC,
	5,596	5.900%, 07/01/12		5,819
	2,000	7.000%, 02/01/14		2,282
		Canadian National Railway Co., (Canada),
	4,485	4.400%, 03/15/13		4,737
	605	4.950%, 01/15/14		664
	539	6.375%, 10/15/11		543
	3,330	CSX Corp., 6.300%, 03/15/12		3,426
		Ryder System, Inc.,
	1,000	3.600%, 03/01/16		1,038
	2,145	6.000%, 03/01/13		2,287


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Road & Rail — Continued
		Union Pacific Corp.,
	1,433	5.125%, 02/15/14		1,570
	4,235	5.450%, 01/31/13		4,508

				26,874

		Total Industrials		61,349

		Information Technology — 0.7%
		Communications Equipment — 0.0% (g)
	1,230	Cisco Systems, Inc., 5.500%, 02/22/16		1,424

		Computers & Peripherals — 0.3%
		Dell, Inc.,
	5,353	3.100%, 04/01/16		5,596
	2,310	4.700%, 04/15/13		2,438
		Hewlett-Packard Co.,
	770	2.125%, 09/13/15		774
	350	4.500%, 03/01/13		367
	2,500	4.750%, 06/02/14		2,722
	6,905	6.125%, 03/01/14		7,616
		International Business Machines Corp.,
	5,485	1.950%, 07/22/16		5,566
	3,025	2.100%, 05/06/13		3,096
	1,250	6.500%, 10/15/13		1,402
	650	7.500%, 06/15/13		725

				30,302

		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	805	3.375%, 11/01/15		832
	7,521	6.875%, 07/01/13		8,103

				8,935

		Office Electronics — 0.1%
		Xerox Corp.,
	3,421	5.650%, 05/15/13		3,660
	2,505	8.250%, 05/15/14		2,898

				6,558

		Semiconductors & Semiconductor Equipment — 0.1%
	6,197	National Semiconductor Corp., 3.950%, 04/15/15		6,721
	4,610	Texas Instruments, Inc., 2.375%, 05/16/16		4,760

				11,481

		Software — 0.1%
	3,155	Microsoft Corp., 2.950%, 06/01/14		3,363


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Software — Continued
	4,025	Oracle Corp., 3.750%, 07/08/14		4,362

				7,725

		Total Information Technology		66,425

		Materials — 0.5%
		Chemicals — 0.3%
	845	Air Products & Chemicals, Inc., 4.150%, 02/01/13		885
		Dow Chemical Co. (The),
	4,314	5.900%, 02/15/15		4,835
	2,469	7.600%, 05/15/14		2,846
		EI du Pont de Nemours & Co.,
	2,856	1.950%, 01/15/16		2,910
	3,225	3.250%, 01/15/15		3,441
	1,708	5.000%, 01/15/13		1,804
	3,153	Potash Corp. of Saskatchewan, Inc., (Canada), 3.750%, 09/30/15		3,418
	5,994	PPG Industries, Inc., 5.750%, 03/15/13		6,410
		Praxair, Inc.,
	2,240	2.125%, 06/14/13		2,297
	1,920	3.950%, 06/01/13		2,032
	830	4.625%, 03/30/15		922

				31,800

		Metals & Mining — 0.2%
		BHP Billiton Finance USA Ltd., (Australia),
	695	4.800%, 04/15/13		740
	2,443	5.125%, 03/29/12		2,507
	950	6.750%, 11/01/13		1,064
	4,120	8.500%, 12/01/12		4,507
	650	Nucor Corp., 5.000%, 06/01/13		696
		Rio Tinto Finance USA Ltd., (Australia),
	1,160	1.875%, 11/02/15		1,173
	5,325	8.950%, 05/01/14		6,387

				17,074

		Total Materials		48,874

		Telecommunication Services — 1.1%
		Diversified Telecommunication Services — 0.9%
		AT&T, Inc.,
	1,875	4.850%, 02/15/14		2,029
	11,875	4.950%, 01/15/13		12,474
	16,135	6.700%, 11/15/13		17,957
	7,126	BellSouth Corp., 5.200%, 09/15/14		7,888
	4,050	British Telecommunications plc, (United Kingdom), 5.150%, 01/15/13		4,270


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Diversified Telecommunication Services — Continued
		Deutsche Telekom International Finance B.V., (Netherlands),
	3,380	4.875%, 07/08/14		3,675
	1,000	5.750%, 03/23/16		1,136
	550	5.875%, 08/20/13		596
	6,510	France Telecom S.A., (France), 4.375%, 07/08/14		6,963
		Telecom Italia Capital S.A., (Luxembourg),
	1,700	4.950%, 09/30/14		1,675
	1,450	6.175%, 06/18/14		1,463
		Telefonica Emisiones S.A.U., (Spain),
	500	3.729%, 04/27/15		492
	1,121	3.992%, 02/16/16		1,098
	1,280	4.949%, 01/15/15		1,310
	2,110	5.855%, 02/04/13		2,179
		Verizon Communications, Inc.,
	1,320	5.250%, 04/15/13		1,410
	14,065	5.550%, 02/15/16		15,983
	2,335	Verizon Florida LLC, 6.125%, 01/15/13		2,488
	3,482	Verizon Global Funding Corp., 4.375%, 06/01/13		3,682
	735	Verizon Maryland, Inc., 6.125%, 03/01/12		754

				89,522

		Wireless Telecommunication Services — 0.2%
	15,094	Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14		16,600
	4,075	Vodafone Group plc, (United Kingdom), 4.150%, 06/10/14		4,399

				20,999

		Total Telecommunication Services		110,521

		Utilities — 1.1%
		Electric Utilities — 0.7%
	555	AEP Texas North Co., 5.500%, 03/01/13		588
	490	Alabama Power Co., 4.850%, 12/15/12		516
		CenterPoint Energy Houston Electric LLC,
	700	5.700%, 03/15/13		749
	610	5.750%, 01/15/14		675
	3,160	7.000%, 03/01/14		3,608
	415	Commonwealth Edison Co., 2.150%, 09/01/16 (d)		415
	1,645	Duke Energy Carolinas LLC, 5.750%, 11/15/13		1,808
		Duke Energy Corp.,
	1,565	3.350%, 04/01/15		1,654
	1,095	3.950%, 09/15/14		1,175


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Electric Utilities — Continued
	5,085	5.650%, 06/15/13		5,496
	2,133	6.300%, 02/01/14		2,376
	537	Duke Energy Ohio, Inc., 2.100%, 06/15/13		548
	1,000	Exelon Corp., 4.900%, 06/15/15		1,097
	1,539	Exelon Generation Co. LLC, 5.350%, 01/15/14		1,660
	2,500	FirstEnergy Corp., 6.450%, 11/15/11		2,525
	2,000	FPL Group Capital, Inc., 5.625%, 09/01/11		2,000
	4,803	Georgia Power Co., 6.000%, 11/01/13		5,303
	225	MidAmerican Energy Co., 5.125%, 01/15/13		238
		Midamerican Energy Holdings Co.,
	1,025	3.150%, 07/15/12		1,047
	1,567	5.875%, 10/01/12		1,651
	1,239	NextEra Energy Capital Holdings, Inc., 5.350%, 06/15/13		1,322
	5,935	Nisource Finance Corp., 6.150%, 03/01/13		6,321
	1,060	Northern States Power Co., 8.000%, 08/28/12		1,135
	2,210	Ohio Power Co., 5.750%, 09/01/13		2,402
	1,650	Oncor Electric Delivery Co. LLC, 6.375%, 01/15/15		1,901
	750	PacifiCorp, 4.950%, 08/15/14		826
	716	Peco Energy Co., 5.000%, 10/01/14		796
	295	Progress Energy, Inc., 6.050%, 03/15/14		329
	1,683	PSEG Power LLC, 2.500%, 04/15/13		1,708
		Public Service Electric & Gas Co.,
	400	2.700%, 05/01/15		424
	1,200	5.000%, 08/15/14		1,327
	745	Southern California Edison Co., 4.150%, 09/15/14		811
		Southern Co.,
	560	1.950%, 09/01/16		560
	2,952	4.150%, 05/15/14		3,160
		Spectra Energy Capital LLC,
	4,155	5.668%, 08/15/14		4,618
	669	6.250%, 02/15/13		712
		Virginia Electric and Power Co.,
	1,000	4.750%, 03/01/13		1,057
	4,460	5.100%, 11/30/12		4,695

				69,233

		Gas Utilities — 0.3%
	810	AGL Capital Corp., 4.450%, 04/15/13		844
	6,038	Atmos Energy Corp., 4.950%, 10/15/14		6,656
		CenterPoint Energy Resources Corp.,
	1,000	5.950%, 01/15/14		1,101


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Gas Utilities — Continued
	2,270	7.875%, 04/01/13		2,501
	2,000	Consolidated Natural Gas Co., 5.000%, 03/01/14		2,185
	668	Southern California Gas Co., 5.500%, 03/15/14		743
	10,025	TransCanada PipeLines Ltd., (Canada), 4.000%, 06/15/13		10,584

				24,614

		Multi-Utilities — 0.1%
	1,515	PG&E Corp., 5.750%, 04/01/14		1,672
		Sempra Energy,
	1,210	6.000%, 02/01/13		1,289
	6,010	8.900%, 11/15/13		6,909
	1,815	Wisconsin Electric Power Co., 6.000%, 04/01/14		2,054

				11,924

		Total Utilities		105,771

		Total Corporate Bonds (Cost $1,531,536)		1,563,114

	Foreign Government Securities — 0.2%
	247	Province of Manitoba, (Canada), 2.125%, 04/22/13		254
		Province of Ontario, (Canada),
	8,655	2.700%, 06/16/15		9,161
	6,530	2.950%, 02/05/15		6,954
	1,250	4.100%, 06/16/14		1,362
	3,420	United Mexican States, (Mexico), 6.375%, 01/16/13		3,651

		Total Foreign Government Securities (Cost $20,224)		21,382

	Mortgage Pass-Through Securities — 8.3%
		Federal Home Loan Mortgage Corp.,
	672	ARM, 2.281%, 06/01/36		708
	103	ARM, 2.308%, 01/01/27		109
	345	ARM, 2.334%, 03/01/35		363
	139	ARM, 2.443%, 12/01/27		146
	582	ARM, 2.582%, 07/01/36		616
	7	ARM, 2.643%, 12/01/17		7
	2,262	ARM, 2.658%, 08/01/36		2,373
	1,854	ARM, 2.761%, 08/01/36		1,975
	4,469	ARM, 2.790%, 03/01/36		4,751
	8,472	ARM, 3.308%, 03/01/36		9,043
	4,909	ARM, 3.556%, 10/01/35		5,174
	6,422	ARM, 4.183%, 03/01/35		6,781
	4,872	ARM, 4.979%, 10/01/36		5,172


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


	1,247		ARM, 5.550%, 10/01/37		1,336
	315		ARM, 5.578%, 04/01/37		335
	3,870		ARM, 5.612%, 04/01/38		4,117
	3,432		ARM, 5.644%, 01/01/38		3,652
	584		ARM, 5.698%, 08/01/37		621
	1,727		ARM, 5.712%, 03/01/37		1,837
	6,428		ARM, 5.718%, 06/01/37		6,848
	3,163		ARM, 5.748%, 05/01/37		3,383
	13,334		ARM, 5.765%, 06/01/37		14,201
	1,968		ARM, 5.794%, 11/01/36		2,092
	2,651		ARM, 5.826%, 08/01/37		2,832
	3,139		ARM, 5.892%, 12/01/36		3,354
	649		ARM, 5.989%, 08/01/36		706
	1,415		ARM, 6.011%, 02/01/37		1,505
	1,683		ARM, 6.040%, 03/01/37		1,793
	5		ARM, 6.069%, 01/01/27		5
	2,555		ARM, 6.094%, 03/01/37		2,710
	2,414		ARM, 6.163%, 04/01/37		2,552
	3,787		ARM, 6.230%, 01/01/37		3,998
	1,422		ARM, 6.233%, 12/01/36		1,487
	1,051		ARM, 6.398%, 02/01/37		1,136
	1,986		ARM, 6.454%, 12/01/36		2,147
	1,306		ARM, 6.463%, 11/01/37		1,405
	1,049		ARM, 6.649%, 08/01/37		1,115
			Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	5,526		4.000%, 07/01/18 - 07/01/19		5,884
	2,403		4.500%, 04/01/16 - 10/01/18		2,575
	14,964		5.000%, 03/01/18 - 04/01/19		16,174
	23,866		5.500%, 11/01/12 - 10/01/23		26,007
	26,046		6.000%, 08/01/16 - 12/01/23		28,295
	5,092		6.500%, 07/01/14 - 04/01/17		5,482
	13,594		7.000%, 01/01/12 - 03/01/17		14,667
	—	(h)	7.500%, 11/01/11		—	(h)
	—	(h)	8.000%, 01/01/12		—	(h)
			Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	3,089		6.000%, 01/01/19 - 10/01/24		3,396
	9,659		6.500%, 08/01/18 - 03/01/26		10,829
	33		7.000%, 03/01/14		36
	224		7.500%, 10/01/16 - 07/01/18		254
			Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	1,137		6.000%, 09/01/17 - 07/01/32		1,261
	2,176		7.000%, 08/01/38		2,501


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
		Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA,
	19,355	7.500%, 12/01/36		22,613
	7,095	10.000%, 10/01/30		8,526
		Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	58	8.000%, 04/01/17 - 05/01/19		64
	10	8.250%, 08/01/17		11
		Federal National Mortgage Association,
	54	ARM, 1.970%, 03/01/19		55
	324	ARM, 1.981%, 01/01/35		340
	653	ARM, 2.204%, 05/01/36		686
	2,148	ARM, 2.273%, 08/01/36		2,256
	169	ARM, 2.314%, 04/01/36		178
	23	ARM, 2.365%, 06/01/27		25
	21	ARM, 2.431%, 05/01/25		22
	1	ARM, 2.470%, 10/01/27		1
	528	ARM, 2.489%, 08/01/36		558
	1,967	ARM, 2.499%, 08/01/36		2,053
	1,796	ARM, 2.623%, 09/01/34		1,895
	1,976	ARM, 2.647%, 08/01/36		2,082
	1,103	ARM,2.687%, 07/01/27 - 12/01/35		1,168
	28	ARM, 2.755%, 01/01/19		29
	10	ARM, 2.797%, 08/01/19		10
	11	ARM, 2.848%, 10/01/25		12
	4,462	ARM, 2.948%, 03/01/36		4,728
	8,484	ARM, 3.154%, 03/01/36		8,961
	7,129	ARM, 3.159%, 03/01/36		7,529
	5,390	ARM, 3.210%, 10/01/35		5,689
	980	ARM, 3.480%, 07/01/36		1,033
	28	ARM, 3.750%, 11/01/16		27
	12	ARM, 3.765%, 08/01/17		13
	1,166	ARM, 4.478%, 04/01/37		1,228
	687	ARM, 4.831%, 10/01/36		729
	877	ARM, 5.050%, 10/01/36		928
	590	ARM, 5.204%, 01/01/37		626
	5,112	ARM, 5.210%, 12/01/36		5,458
	4,099	ARM, 5.376%, 11/01/37		4,357
	289	ARM, 5.430%, 12/01/36		307
	164	ARM, 5.575%, 06/01/36		175
	7,417	ARM, 5.629%, 01/01/23		8,062
	2,414	ARM, 5.637%, 11/01/37		2,577
	615	ARM, 5.657%, 07/01/37		658
	994	ARM, 5.702%, 03/01/47		1,074
	2,620	ARM, 5.708%, 12/01/37		2,806
	117	ARM, 5.755%, 07/01/37		124


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)


	3,257		ARM, 5.773%, 11/01/37		3,494
	84		ARM, 5.776%, 08/01/37		89
	1,657		ARM, 5.779%, 04/01/37		1,770
	594		ARM, 5.856%, 12/01/36		631
	726		ARM, 5.929%, 12/01/36		773
	84		ARM, 5.933%, 08/01/36		91
	2,250		ARM, 5.949%, 04/01/38		2,410
	3,807		ARM, 6.034%, 03/01/37		4,043
	3,265		ARM, 6.071%, 07/01/37		3,483
	3,898		ARM, 6.167%, 08/01/37		4,176
	2,694		ARM, 6.314%, 02/01/37		2,834
	4,134		ARM, 6.520%, 01/01/37		4,419
	31,530		5.500%, 01/01/25		34,239
			Federal National Mortgage Association, 15 Year, Single Family,
	6,517		4.000%, 07/01/18 - 01/01/19		6,941
	10,371		4.500%, 05/01/18 - 05/01/19		11,133
	16,362		5.000%, 12/01/13 - 07/01/20		17,732
	62,674		5.500%, 01/01/18 - 09/01/24		68,240
	71,368		6.000%, 06/01/13 - 07/01/24		77,579
	23,382		6.500%, 02/01/12 - 01/01/23		25,684
	9,541		7.000%, 03/01/12 - 01/01/18		10,300
	48		7.500%, 02/01/12 - 05/01/15		53
	623		8.000%, 11/01/15 - 10/01/16		671
	—	(h)	8.500%, 11/01/11		—	(h)
			Federal National Mortgage Association, 20 Year, Single Family,
	4,148		5.500%, 05/01/27		4,550
	4,512		6.000%, 03/01/18 - 04/01/24		5,016
	6,769		6.500%, 01/01/14 - 03/01/25		7,564
	2,168		7.000%, 12/01/13 - 08/01/21		2,476
	23		7.500%, 11/01/13 - 06/01/16		24
	51		8.000%, 07/01/14 - 11/01/15		56
			Federal National Mortgage Association, 30 Year, FHA/VA,
	311		5.500%, 08/01/34		342
	56		6.000%, 07/01/17		61
	17		8.500%, 03/01/27		20
			Federal National Mortgage Association, 30 Year, Single Family,
	33,439		6.000%, 04/01/35 - 01/01/38		37,276
	62,570		6.500%, 03/01/26 - 10/01/38		70,543
	20,900		7.000%, 04/01/37 - 08/01/37		24,034
	177		8.000%, 12/01/30		204
	13		8.500%, 09/01/21		14
	152		9.000%, 02/01/31		180


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Mortgage Pass-Through Securities — Continued
	52	9.500%, 07/01/28		62
	13	10.000%, 02/01/24		15
		Federal National Mortgage Association, Other,
	1,269	4.000%, 07/01/13 - 07/01/17		1,314
	1,767	4.500%, 11/01/13 - 12/01/19		1,863
	2,084	5.000%, 01/01/14 - 05/01/14		2,148
	2,926	5.500%, 06/01/16 - 09/01/17		3,127
	2,128	6.000%, 09/01/17		2,298
		Government National Mortgage Association II,
	117	ARM, 2.125%, 11/20/25		121
	90	ARM, 2.375%, 05/20/17 - 01/20/28		93
	19	ARM, 2.500%, 12/20/17 - 05/20/21		20
	138	ARM, 2.625%, 08/20/16 - 09/20/22		144
	59	ARM, 3.000%, 01/20/16 - 05/20/20		61
	10	ARM, 3.500%, 10/20/17 - 12/20/17		11
	24	ARM, 4.000%, 11/20/15 - 08/20/18		25
	7	Government National Mortgage Association II, 15 Year, Single Family, 6.000%, 11/20/14		8
		Government National Mortgage Association II, 30 Year, Single Family,
	29,896	7.000%, 08/20/38 - 09/20/38		34,820
	22	7.500%, 09/20/28		26
	49	8.000%, 09/20/26 - 12/20/27		58
	65	8.500%, 03/20/25 - 04/20/25		78
		Government National Mortgage Association, 15 Year, Single Family,
	9	6.000%, 04/15/14		10
	6,200	6.500%, 10/15/23		6,880
		Government National Mortgage Association, 30 Year, Single Family,
	18	8.500%, 04/15/25		22
	11	9.000%, 09/15/24 - 10/15/26		13
	448	9.500%, 07/15/20 - 12/15/25		532
	26	12.000%, 11/15/19		29

		Total Mortgage Pass-Through Securities (Cost $785,268)		806,342

	Supranational — 0.0% (g)
	881	Corp. Andina de Fomento, 3.750%, 01/15/16 (Cost $888)		899

	U.S. Government Agency Securities — 23.1%
		Federal Farm Credit Bank,
	26,150	1.875%, 12/07/12		26,673
	4,000	2.200%, 04/08/13		4,119
	12,400	2.250%, 02/17/12		12,514
	8,120	2.250%, 04/24/12		8,223
	38,025	2.350%, 09/23/13 (c) (m)		39,517


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	25,000	2.500%, 03/26/13		25,847
	10,000	2.600%, 03/04/13		10,342
	8,000	2.625%, 04/17/14		8,430
	2,769	2.700%, 08/19/13		2,888
	1,580	3.000%, 02/12/14		1,677
	5,000	3.000%, 09/22/14		5,354
	16,493	3.875%, 01/10/13		17,279
	2,000	5.100%, 09/18/12		2,101
	1,400	5.250%, 08/21/13		1,533
	5,000	5.450%, 12/11/13		5,561
		Federal Home Loan Bank,
	40,515	1.125%, 03/09/12		40,713
	42,000	1.125%, 05/18/12		42,263
	4,800	1.375%, 06/08/12		4,841
	34,125	1.625%, 06/14/13		34,905
	30,785	1.750%, 12/14/12		31,344
	85,000	1.875%, 06/21/13		87,357
	10,000	2.000%, 09/14/12		10,180
	2,000	2.250%, 03/05/12		2,021
	25,865	2.375%, 03/14/14		27,110
	15,085	2.500%, 06/13/14		15,920
	74,350	2.625%, 09/13/13		77,733
	18,800	3.000%, 06/24/13		19,702
	10,000	3.050%, 06/28/13		10,463
	2,980	3.125%, 03/08/13		3,107
	153,715	3.125%, 12/13/13		163,148
	21,685	3.125%, 03/11/16		23,594
	16,230	3.500%, 03/08/13		17,016
	18,825	3.875%, 03/08/13		19,844
	15,895	4.250%, 06/14/13		17,001
	10,000	4.500%, 09/14/12		10,431
	5,000	4.875%, 12/14/12		5,290
	10,000	4.875%, 11/27/13		10,996
	44,470	4.875%, 12/13/13		48,933
	2,125	5.000%, 03/09/12		2,178
	24,980	5.000%, 03/14/14		27,766
	20,025	5.250%, 09/13/13		21,987
	17,575	5.375%, 06/14/13		19,149
	29,755	5.375%, 06/13/14		33,747
	6,670	7.000%, 08/15/14		7,924
		Federal Home Loan Mortgage Corp.,
	30,000	0.750%, 12/28/12		30,184
	25,000	1.000%, 08/28/12		25,183
	20,100	1.000%, 07/30/14		20,380
	30,000	1.000%, 08/27/14		30,410
	20,000	1.750%, 06/15/12		20,238


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	U.S. Government Agency Securities — Continued
	58,000	2.125%, 03/23/12		58,612
	10,000	2.125%, 09/21/12		10,196
	25,100	2.500%, 04/23/14		26,431
	20,000	2.500%, 05/27/16		21,284
	36,830	2.875%, 02/09/15		39,541
	11,038	4.000%, 06/12/13		11,713
	25,000	4.125%, 12/21/12		26,240
	35,000	4.125%, 09/27/13		37,705
	15,000	4.500%, 01/15/13		15,864
	25,000	4.500%, 01/15/14		27,385
	15,960	4.500%, 04/02/14		17,562
	75,196	5.000%, 01/30/14		83,359
	40,505	5.000%, 07/15/14		45,644
	25,000	5.125%, 07/15/12		26,084
	10,000	5.250%, 04/18/16		11,879
		Federal National Mortgage Association,
	5,700	Zero Coupon, 07/05/14		5,562
	40,000	1.000%, 04/04/12		40,180
	30,000	1.000%, 09/23/13		30,361
	18,035	1.550%, 10/27/15		18,074
	35,000	1.750%, 02/22/13		35,726
	10,800	1.875%, 04/20/12		10,912
	15,000	2.250%, 03/15/16		15,780
	5,000	2.500%, 05/15/14		5,264
	25,000	3.625%, 02/12/13		26,175
	3,245	4.000%, 03/27/13		3,432
	11,310	4.000%, 04/15/13		11,983
	6,135	4.050%, 04/18/13		6,507
	5,000	4.125%, 04/29/13		5,314
	7,892	4.125%, 07/11/13		8,440
	25,000	4.375%, 09/15/12		26,066
	17,000	4.375%, 03/15/13		18,058
	107,600	4.375%, 07/17/13		115,592
	40,000	4.625%, 10/15/13		43,572
	75,750	4.750%, 11/19/12		79,862
	87,497	4.750%, 02/21/13		93,161
	35,750	4.875%, 05/18/12		36,851
	10,000	5.000%, 04/15/15		11,548
	3,315	5.000%, 03/15/16		3,892
	6,000	6.260%, 11/26/12		6,436

		Total U.S. Government Agency Securities (Cost $2,203,418)		2,253,363

	U.S. Treasury Obligations — 28.5%
		U.S. Treasury Notes,
	40,000	0.375%, 10/31/12		40,102


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	30,000	0.375%, 06/30/13		30,103
	65,000	0.375%, 07/31/13		65,226
	10,000	0.500%, 11/30/12		10,044
	10,000	0.500%, 05/31/13		10,054
	35,000	0.500%, 11/15/13		35,219
	70,000	0.500%, 08/15/14		70,377
	30,000	0.625%, 06/30/12		30,127
	163,000	0.625%, 07/31/12 (m)		163,751
	35,000	0.625%, 12/31/12		35,215
	30,000	0.625%, 01/31/13		30,193
	5,000	0.625%, 02/28/13		5,033
	15,000	0.625%, 04/30/13		15,111
	40,000	0.625%, 07/15/14		40,366
	73,000	0.750%, 05/31/12		73,353
	25,000	0.750%, 03/31/13		25,224
	20,000	0.750%, 08/15/13		20,217
	76,000	0.750%, 09/15/13		76,831
	152,000	0.875%, 02/29/12		152,611
	80,000	1.000%, 03/31/12		80,428
	40,000	1.000%, 04/30/12		40,242
	35,000	1.000%, 07/15/13		35,527
	40,000	1.000%, 05/15/14		40,791
	46,000	1.125%, 12/15/12		46,568
	170,600	1.125%, 06/15/13 (m)		173,425
	90,000	1.250%, 02/15/14 (m)		92,215
	15,000	1.250%, 04/15/14		15,389
	20,000	1.250%, 08/31/15		20,508
	20,000	1.250%, 09/30/15		20,486
	122,580	1.375%, 02/15/12 (m)		123,313
	68,300	1.375%, 05/15/12		68,914
	136,565	1.375%, 09/15/12		138,299
	85,000	1.375%, 10/15/12 (m)		86,169
	104,680	1.375%, 11/15/12		106,213
	15,000	1.375%, 01/15/13		15,247
	30,000	1.375%, 02/15/13		30,521
	72,000	1.375%, 03/15/13		73,316
	30,000	1.375%, 05/15/13		30,606
	30,000	1.500%, 06/30/16		30,853
	81,620	1.500%, 07/31/16		83,890
	78,210	1.750%, 08/15/12		79,414
	35,000	1.750%, 07/31/15		36,572
	75,000	1.750%, 05/31/16		78,082
	10,000	1.875%, 06/15/12		10,139
	5,750	1.875%, 04/30/14		5,994
	20,000	1.875%, 06/30/15		20,989
	40,000	2.000%, 04/30/16		42,141


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	U.S. Treasury Obligations — Continued
	25,000	2.125%, 12/31/15		26,498
	75,000	2.125%, 02/29/16		79,482
	30,250	2.250%, 01/31/15		32,093
	20,230	2.250%, 03/31/16		21,555
	10,000	2.375%, 10/31/14		10,627
	29,770	2.375%, 03/31/16		31,870
	15,000	2.500%, 04/30/15		16,078
	4,300	3.125%, 09/30/13		4,561

		Total U.S. Treasury Obligations (Cost $2,740,317)		2,778,172


SHARES
	Short-Term Investment — 0.9%
		Investment Company — 0.9%
	84,065	JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (Cost $84,065)		84,065


SHARES		SECURITY DESCRIPTION	VALUE($)

	Investment of Cash Collateral for Securities on Loan — 0.0% (g)
		Investment Company — 0.0% (g)
	2,141	JPMorgan Prime Money Market Fund, Capital Shares, 0.100% (b) (l) (Cost $2,141)		2,141

		Total Investments — 99.5% (Cost $9,523,995)		9,691,918
		Other Assets in Excess of Liabilities — 0.5%		46,006

		NET ASSETS — 100.0%	$	9,737,924

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Asset-Backed Securities — 7.3%
		Ally Auto Receivables Trust,
	275	Series 2010-1, Class A3, 1.450%, 05/15/14		276
	89	Series 2010-3, Class A4, 1.550%, 08/17/15		91
	137	Series 2011-3, Class A3, 0.970%, 08/17/15		138
		AmeriCredit Automobile Receivables Trust,
	82	Series 2009-1, Class A3, 3.040%, 10/15/13		83
	185	Series 2010-3, Class A3, 1.140%, 04/08/15		186
	90	Series 2011-3, Class A3, 1.170%, 01/08/16		90
		Bank of America Auto Trust,
	77	Series 2009-1A, Class A3, 2.670%, 07/15/13 (e)		78
	100	Series 2009-1A, Class A4, 3.520%, 06/15/16 (e)		102
	99	Series 2009-3A, Class A3, 1.670%, 12/15/13 (e)		100
		CarMax Auto Owner Trust,
	132	Series 2009-1, Class A3, 4.120%, 03/15/13		133
	60	Series 2010-1, Class A3, 1.560%, 07/15/14		60
	202	Series 2010-1, Class A4, 2.400%, 04/15/15		208
		Chrysler Financial Auto Securitization Trust,
	97	Series 2009-A, Class A3, 2.820%, 01/15/16		98
	196	Series 2010-A, Class A3, 0.910%, 08/08/13		197
	13	CitiFinancial Auto Issuance Trust, Series 2009-1, Class A2, 1.830%, 11/15/12 (e)		13
		CNH Equipment Trust,
	1	Series 2009-A, Class A3, 5.280%, 11/15/12		1
	32	Series 2009-C, Class A3, 1.850%, 12/16/13		32
	72	Series 2010-A, Class A3, 1.540%, 07/15/14		72
	155	Series 2011-A, Class A3, 1.200%, 05/16/16		156
	167	Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, VAR, 4.456%, 10/25/35		162
		Ford Credit Auto Owner Trust,
	86	Series 2009-B, Class A3, 2.790%, 08/15/13		86
	100	Series 2010-B, Class A4, 1.580%, 09/15/15		102
	318	GSAMP Trust, Series 2006-NC1, Class A2, VAR, 0.398%, 02/25/36		252
		Harley-Davidson Motorcycle Trust,
	60	Series 2007-1, Class A4, 5.210%, 06/17/13		61
	72	Series 2009-4, Class A3, 1.870%, 02/15/14		72
	304	Home Equity Asset Trust, Series 2006-3, Class 2A3, VAR, 0.398%, 07/25/36		289
	44	Honda Auto Receivables Owner Trust, Series 2009-3, Class A3, 2.310%, 05/15/13		45
		Hyundai Auto Receivables Trust,
	200	Series 2010-A, Class A3, 1.500%, 10/15/14		202
	260	Series 2010-B, Class A4, 1.630%, 03/15/17		264
	35	John Deere Owner Trust, Series 2011-A, Class A3, 1.290%, 01/15/16		35


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	217	Mercedes-Benz Auto Receivables Trust, Series 2009-1, Class A3, 1.670%, 01/15/14		218
		Nissan Auto Receivables Owner Trust,
	141	Series 2009-1, Class A3, 5.000%, 09/15/14		143
	151	Series 2009-A, Class A3, 3.200%, 02/15/13		152
	233	Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, VAR, 0.418%, 02/25/36		210
	249	Residential Asset Securities Corp., Series 2006-KS2, Class A3, VAR, 0.408%, 03/25/36		233
		Santander Drive Auto Receivables Trust,
	150	Series 2010-1, Class A3, 1.840%, 11/17/14		151
	35	Series 2010-3, Class A3, 1.200%, 06/16/14		35
	300	Series 2010-B, Class A3, 1.310%, 02/17/14 (e)		301
	200	Volkswagen Auto Loan Enhanced Trust, Series 2011-1, Class A4, 1.980%, 09/20/17		206
		World Omni Auto Receivables Trust,
	35	Series 2010-A, Class A3, 1.340%, 12/16/13		35
	45	Series 2010-A, Class A4, 2.210%, 05/15/15		46

		Total Asset-Backed Securities (Cost $5,513)		5,414

	Collateralized Mortgage Obligations — 4.8%
		Agency CMO — 4.7%
		Federal Home Loan Mortgage Corp. REMICS,
	280	Series 2594, Class QP, 4.000%, 03/15/33		294
	160	Series 2686, Class VP, 5.000%, 09/15/17		169
		Federal National Mortgage Association REMICS,
	111	Series 2003-42, Class EP, 4.000%, 11/25/22		115
	350	Series 2003-92, Class PE, 4.500%, 09/25/18		382
	185	Series 2005-31, Class PA, 5.500%, 10/25/34		204
	200	Series 2005-48, Class MD, 5.000%, 04/25/34		220
	46	Series 2006-43, Class G, 6.500%, 09/25/33		46
	120	Series 2006-63, Class AB, 6.500%, 10/25/33		121
	78	Series 2006-63, Class AE, 6.500%, 10/25/33		78
	126	Series 2007-76, Class DB, 6.000%, 05/25/33		134
	200	Series 2008-68, Class VN, 5.500%, 03/25/27		221
	249	Series 2010-64, Class DM, 5.000%, 06/25/40		269
	342	Series 2010-64, Class EH, 5.000%, 10/25/35		367
	200	Series 3209, Class EG, 4.500%, 08/15/20		221
		Government National Mortgage Association,
	5	Series 2002-24, Class FA, VAR, 0.708%, 04/16/32 (m)		5
	50	Series 2003-86, Class PE, 5.000%, 09/20/32		54
	305	Series 2003-105, Class VH, 4.500%, 01/16/28		322
	175	Series 2009-67, Class GK, 4.500%, 01/16/37		185
	88	NCUA Guaranteed Notes, Series 2010-R3, Class 3A, 2.400%, 12/08/20		91

				3,498


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — 0.1%
	49	MASTR Alternative Loans Trust, Series 2004-8, Class 7A1, 5.000%, 09/25/19		51

		Total Collateralized Mortgage Obligations (Cost $3,500)		3,549

	Commercial Mortgage-Backed Security — 0.1%
	56	Wachovia Bank Commercial Mortgage Trust, Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41 (Cost $60)		60

	Corporate Bonds — 28.3%
		Consumer Discretionary — 0.6%
		Auto Components — 0.1%
	65	Johnson Controls, Inc., 4.875%, 09/15/13		70

		Automobiles — 0.1%
	70	Daimler Finance North America LLC, 6.500%, 11/15/13		78

		Broadcasting & Cable TV — 0.1%
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	24	3.125%, 02/15/16		25
	45	3.500%, 03/01/16		47

				72

		Media — 0.2%
	40	Comcast Corp., 6.500%, 01/15/15		46
	40	Discovery Communications LLC, 3.700%, 06/01/15		43
	50	NBCUniversal Media LLC, 2.875%, 04/01/16		51
	30	Viacom, Inc., 6.250%, 04/30/16		35

				175

		Multiline Retail — 0.1%
	50	Kohl’s Corp., 7.375%, 10/15/11		50

		Total Consumer Discretionary		445

		Consumer Staples — 1.9%
		Beverages — 0.6%
	16	Anheuser-Busch InBev Worldwide, Inc., 1.500%, 07/14/14		16
		Bottling Group LLC,
	45	5.000%, 11/15/13		49
	65	6.950%, 03/15/14		75
	160	Coca-Cola Co. (The), 3.625%, 03/15/14		172
	85	PepsiCo, Inc., 3.750%, 03/01/14		91
	50	SABMiller plc, (United Kingdom), 5.700%, 01/15/14 (e)		55

				458


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Food & Staples Retailing — 0.1%
	20	Kroger Co. (The), 7.500%, 01/15/14		23
	45	Wal-Mart Stores, Inc., 7.250%, 06/01/13		50

				73

		Food Products — 1.2%
	120	Bunge Ltd. Finance Corp., 5.875%, 05/15/13		126
	50	Cargill, Inc., 4.375%, 06/01/13 (e)		53
	35	General Mills, Inc., 5.250%, 08/15/13		38
		Kraft Foods, Inc.,
	600	4.125%, 02/09/16		648
	37	6.250%, 06/01/12		38

				903

		Total Consumer Staples		1,434

		Energy — 0.5%
		Oil, Gas & Consumable Fuels — 0.5%
	15	Anadarko Petroleum Corp., 5.750%, 06/15/14		17
	35	Cenovus Energy, Inc., (Canada), 4.500%, 09/15/14		38
	40	ConocoPhillips Australia Funding Co., 5.500%, 04/15/13		43
	30	PC Financial Partnership, 5.000%, 11/15/14		33
		Shell International Finance B.V., (Netherlands),
	30	1.875%, 03/25/13		30
	15	3.100%, 06/28/15		16
	35	4.000%, 03/21/14		38
	100	Statoil ASA, (Norway), 5.125%, 04/30/14 (e)		111
	29	Total Capital S.A., (France), 3.000%, 06/24/15		31

		Total Energy		357

		Financials — 18.2%
		Capital Markets — 2.6%
	200	Bank of New York Mellon Corp. (The), 4.500%, 04/01/13		212
	100	BlackRock, Inc., 3.500%, 12/10/14		107
	45	Charles Schwab Corp. (The), 4.950%, 06/01/14		49
		Credit Suisse USA, Inc.,
	200	4.875%, 01/15/15		214
	50	5.125%, 01/15/14		53
	600	Goldman Sachs Group, Inc. (The), 4.750%, 07/15/13		625
	85	Jefferies Group, Inc., 3.875%, 11/09/15		86
		Morgan Stanley,
	100	5.375%, 10/15/15		104
	280	6.750%, 10/15/13		298
	15	Nomura Holdings, Inc., (Japan), 4.125%, 01/19/16		15


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Capital Markets — Continued
	60	Northern Trust Corp., 5.500%, 08/15/13		65
	135	State Street Corp., 4.300%, 05/30/14		146

				1,974

		Commercial Banks — 3.0%
	45	Bank of Nova Scotia, (Canada), 2.375%, 12/17/13		46
	110	Barclays Bank plc, (United Kingdom), 5.200%, 07/10/14		116
	240	BB&T Corp., 5.200%, 12/23/15		262
	20	Canadian Imperial Bank of Commerce, (Canada), 2.350%, 12/11/15		21
		Deutsche Bank AG, (Germany),
	175	3.875%, 08/18/14		182
	100	5.375%, 10/12/12		104
	30	Fifth Third Bancorp, 3.625%, 01/25/16		31
	20	M&T Bank Corp., 5.375%, 05/24/12		21
	100	National City Corp., 4.900%, 01/15/15		109
	50	SunTrust Banks, Inc., 3.600%, 04/15/16		50
	250	U.S. Bank N.A., 6.300%, 02/04/14		279
	800	Wachovia Corp., 5.500%, 05/01/13		855
	128	Westpac Banking Corp., (Australia), 2.100%, 08/02/13		130

				2,206

		Consumer Finance — 1.7%
		American Express Credit Corp.,
	130	5.875%, 05/02/13		139
	80	7.300%, 08/20/13		88
	20	Capital One Financial Corp., 7.375%, 05/23/14		23
	720	HSBC Finance Corp., 5.000%, 06/30/15		761
	200	John Deere Capital Corp., 5.250%, 10/01/12		210
	55	Toyota Motor Credit Corp., 3.200%, 06/17/15		58

				1,279

		Diversified Financial Services — 3.5%
		Bank of America Corp.,
	50	4.900%, 05/01/13		51
	100	7.375%, 05/15/14		110
		BP Capital Markets plc, (United Kingdom),
	60	3.125%, 03/10/12		61
	80	3.625%, 05/08/14		84
		Caterpillar Financial Services Corp.,
	150	4.900%, 08/15/13		162
	50	6.125%, 02/17/14		56
		Citigroup, Inc.,
	520	5.500%, 04/11/13		542


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Diversified Financial Services — Continued
	45	6.375%, 08/12/14		49
	200	CME Group, Inc., 5.400%, 08/01/13		215
	20	ERAC USA Finance LLC, 2.750%, 07/01/13 (e)		20
		General Electric Capital Corp.,
	1,000	4.750%, 09/15/14		1,084
	125	5.900%, 05/13/14		139
	50	NASDAQ OMX Group, Inc. (The), 4.000%, 01/15/15		51
	20	National Rural Utilities Cooperative Finance Corp., 2.625%, 09/16/12		20

				2,644

		FDIC Guaranteed Securities (~) — 6.0%
	600	Bank of America Corp., 3.125%, 06/15/12		613
	600	Citigroup, Inc., 2.875%, 12/09/11		604
		General Electric Capital Corp.,
	700	2.125%, 12/21/12		717
	800	3.000%, 12/09/11		806
	300	Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12		307
	600	HSBC USA, Inc., 3.125%, 12/16/11		604
	400	John Deere Capital Corp., 2.875%, 06/19/12		408
	400	SunTrust Bank, 3.000%, 11/16/11		402

				4,461

		Insurance — 0.3%
	50	Allstate Corp. (The), 6.200%, 05/16/14		56
	40	CNA Financial Corp., 5.850%, 12/15/14		43
	100	Metropolitan Life Global Funding I, 5.125%, 04/10/13 (e)		106

				205

		Real Estate Investment Trusts (REITs) — 0.1%
	42	HCP, Inc., 2.700%, 02/01/14		42
	13	Simon Property Group LP, 4.200%, 02/01/15		14

				56

		Thrifts & Mortgage Finance — 1.0%
	700	Countrywide Financial Corp., 5.800%, 06/07/12		713

		Total Financials		13,538

		Health Care — 0.1%
		Biotechnology — 0.0% (g)
	19	Amgen, Inc., 2.300%, 06/15/16		19

		Pharmaceuticals — 0.1%
	50	Eli Lilly & Co., 3.550%, 03/06/12		51

		Total Health Care		70


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Industrials — 0.9%
		Aerospace & Defense — 0.4%
	150	Boeing Co. (The), 5.125%, 02/15/13		159
	100	Honeywell International, Inc., 3.875%, 02/15/14		108

				267

		Commercial Services & Supplies — 0.0% (g)
	10	Pitney Bowes, Inc., 4.875%, 08/15/14		11

		Machinery — 0.1%
	34	Danaher Corp., 1.300%, 06/23/14		34
	40	PACCAR, Inc., 6.875%, 02/15/14		46

				80

		Road & Rail — 0.4%
	100	Burlington Northern Santa Fe LLC, 5.900%, 07/01/12		104
		Canadian National Railway Co., (Canada),
	20	4.400%, 03/15/13		21
	30	4.950%, 01/15/14		33
	80	CSX Corp., 6.300%, 03/15/12		82
	70	Union Pacific Corp., 5.450%, 01/31/13		75

				315

		Total Industrials		673

		Information Technology — 1.3%
		Communications Equipment — 0.1%
	50	Cisco Systems, Inc., 5.500%, 02/22/16		58

		Computers & Peripherals — 0.4%
	59	Dell, Inc., 3.100%, 04/01/16		62
		Hewlett-Packard Co.,
	20	2.950%, 08/15/12		20
	120	6.125%, 03/01/14		133
	60	International Business Machines Corp., 4.750%, 11/29/12		63

				278

		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	15	3.375%, 11/01/15		16
	40	6.875%, 07/01/13		43

				59

		Internet & Software Services — 0.0% (g)
	30	eBay, Inc., 1.625%, 10/15/15		30

		IT Services — 0.1%
	50	HP Enterprise Services LLC, 6.000%, 08/01/13		54


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


		Office Electronics — 0.1%
	110	Xerox Corp., 8.250%, 05/15/14		127

		Semiconductors & Semiconductor Equipment — 0.1%
	40	National Semiconductor Corp., 3.950%, 04/15/15		43
	34	Texas Instruments, Inc., 2.375%, 05/16/16		35

				78

		Software — 0.4%
	140	Microsoft Corp., 2.950%, 06/01/14		149
	140	Oracle Corp., 4.950%, 04/15/13		150

				299

		Total Information Technology		983

		Materials — 0.4%
		Chemicals — 0.3%
	40	Dow Chemical Co. (The), 7.600%, 05/15/14		46
		EI du Pont de Nemours & Co.,
	29	1.950%, 01/15/16		30
	45	3.250%, 01/15/15		48
	33	5.000%, 01/15/13		35
	50	Potash Corp. of Saskatchewan, Inc., (Canada), 3.750%, 09/30/15		54

				213

		Metals & Mining — 0.1%
	70	Rio Tinto Finance USA Ltd., (Australia), 8.950%, 05/01/14		84

		Total Materials		297

		Telecommunication Services — 1.6%
		Diversified Telecommunication Services — 1.3%
	450	AT&T, Inc., 6.700%, 11/15/13		501
	130	France Telecom S.A., (France), 4.375%, 07/08/14		139
	50	Telecom Italia Capital S.A., (Luxembourg), 6.175%, 06/18/14		51
	250	Verizon Florida LLC, 6.125%, 01/15/13		266

				957

		Wireless Telecommunication Services — 0.3%
	120	Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14		132
	70	Vodafone Group plc, (United Kingdom), 4.150%, 06/10/14		75

				207

		Total Telecommunication Services		1,164


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Corporate Bonds — Continued
		Utilities — 2.8%
		Electric Utilities — 2.3%
	200	Appalachian Power Co., 5.650%, 08/15/12		209
	50	CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14		55
	17	Commonwealth Edison Co., 2.150%, 09/01/16 (d)		17
		Duke Energy Corp.,
	30	3.950%, 09/15/14		32
	38	6.300%, 02/01/14		42
	1,150	MidAmerican Energy Co., 5.650%, 07/15/12		1,197
	50	Nisource Finance Corp., 6.150%, 03/01/13		53
	15	Progress Energy, Inc., 6.050%, 03/15/14		17
	20	Southern California Edison Co., 4.150%, 09/15/14		22
		Southern Co.,
	12	1.950%, 09/01/16		12
	10	4.150%, 05/15/14		11
	50	Spectra Energy Capital LLC, 5.668%, 08/15/14		56

				1,723

		Gas Utilities — 0.3%
	85	Atmos Energy Corp., 4.950%, 10/15/14		93
	80	Southern California Gas Co., 5.500%, 03/15/14		89
	35	TransCanada PipeLines Ltd., (Canada), 4.000%, 06/15/13		37

				219

		Multi-Utilities — 0.2%
	130	Dominion Resources, Inc., 5.700%, 09/17/12		137
	20	PG&E Corp., 5.750%, 04/01/14		22

				159

		Total Utilities		2,101

		Total Corporate Bonds (Cost $20,620)		21,062

	Foreign Government Securities — 0.2%
		Province of Ontario, (Canada),
	100	2.950%, 02/05/15		106
	45	4.100%, 06/16/14		49

		Total Foreign Government Securities (Cost $145)		155

	Mortgage Pass-Through Securities — 1.1%
	231	Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 6.000%, 10/01/24		254
	177	Federal Home Loan Mortgage Corp., Gold Pool, 30 Year, Single Family, 6.000%, 06/01/34		198
	163	Federal National Mortgage Association, 15 Year, Single Family, 6.000%, 04/01/21		177


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)


	179	Federal National Mortgage Association, 20 Year, Single Family, 5.500%, 02/01/23		198

		Total Mortgage Pass-Through Securities (Cost $811)		827

	Supranational — 0.0% (g)
	38	Corp. Andina de Fomento, (Supranational), 3.750%, 01/15/16 (Cost $38)		39

	U.S. Government Agency Securities — 29.0%
		Federal Farm Credit Bank,
	400	2.625%, 04/17/14		422
	685	4.900%, 03/06/13		732
		Federal Home Loan Bank,
	700	1.125%, 05/18/12		704
	2,500	1.875%, 06/21/13		2,569
	4,000	3.125%, 12/13/13		4,246
		Federal Home Loan Mortgage Corp.,
	900	0.750%, 12/28/12		905
	150	2.500%, 05/27/16		160
	1,350	3.000%, 07/28/14		1,445
		Federal National Mortgage Association,
	600	1.000%, 04/04/12		603
	500	2.375%, 07/28/15		530
	200	2.500%, 05/15/14		211
	2,703	4.000%, 03/27/13		2,859
	4,000	4.375%, 03/15/13		4,249
	1,400	4.625%, 10/15/13		1,525
	400	4.750%, 02/21/13		426

		Total U.S. Government Agency Securities (Cost $21,015)		21,586

	U.S. Treasury Obligations — 30.0%
		U.S. Treasury Notes,
	2,500	0.500%, 11/15/13		2,516
	200	0.625%, 07/31/12		201
	500	0.625%, 02/28/13		503
	300	0.750%, 08/15/13		303
	4,350	0.875%, 02/29/12 (m)		4,368
	500	1.000%, 04/30/12		503
	350	1.000%, 05/15/14		357
	310	1.250%, 04/15/14		318
	2,550	1.375%, 09/15/12		2,582
	1,420	1.375%, 02/15/13		1,445
	400	1.375%, 11/30/15		411
	290	1.500%, 06/30/16		298
	200	1.500%, 07/31/16		206
	3,175	1.750%, 08/15/12		3,224


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	U.S. Treasury Obligations — continued
	100	1.750%, 07/31/15		104
	260	1.750%, 05/31/16		271
	2,500	2.000%, 11/30/13		2,599
	800	2.000%, 04/30/16		843
	415	2.125%, 02/29/16		440
	120	2.250%, 03/31/16		128
	180	2.375%, 03/31/16		193
	215	2.500%, 04/30/15		230
	250	2.625%, 04/30/16		270

		Total U.S. Treasury Obligations (Cost $21,997)		22,313


SHARES		SECURITY DESCRIPTION	VALUE($)

	Short-Term Investment — 0.6%
		Investment Company — 0.6%
	426	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.070% (b) (l) (Cost $426)		426

		Total Investments — 101.4% (Cost $74,125)		75,431
		Liabilities in Excess of Other Assets — (1.4)%		(1,035	)

		NET ASSETS — 100.0%	$	74,396

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	U.S. Government Agency Securities — 21.4%
		Federal Farm Credit Bank,
	24,000	3.875%, 06/04/12 (m)		24,659
	9,745	4.000%, 05/21/13		10,353
	25,000	4.350%, 09/02/14 (m)		27,760
	500	6.270%, 01/26/16		607
		Federal Home Loan Bank,
	5,000	1.125%, 05/18/12		5,031
	9,400	5.310%, 12/28/12		10,024
	1,772	New Valley Generation I, 7.299%, 03/15/19		2,192
	4,498	New Valley Generation II, 5.572%, 05/01/20		5,324

		Total U.S. Government Agency Securities (Cost $80,409)		85,950

	U.S. Treasury Obligations — 76.9%
		U.S. Treasury Notes,
	24,800	0.625%, 06/30/12		24,905
	28,000	1.250%, 08/31/15		28,711
	45,000	1.375%, 05/15/12		45,404
	21,040	1.375%, 02/15/13		21,406
	7,000	1.750%, 04/15/13		7,178
	20,000	1.750%, 07/31/15		20,898
	40,000	1.875%, 06/15/12		40,555


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	12,000	1.875%, 04/30/14		12,509
	70,000	2.000%, 11/30/13		72,784
	15,000	2.000%, 01/31/16		15,808
	10,000	2.000%, 04/30/16		10,535
	8,000	2.375%, 10/31/14		8,502

		Total U.S. Treasury Obligations (Cost $302,642)		309,195


SHARES
	Short-Term Investment — 0.9%
		Investment Company — 0.9%
	3,502	JPMorgan Federal Money Market Fund, Institutional Class Shares, 0.000% (b) (l) (Cost $3,502)		3,502

		Total Investments — 99.2% (Cost $386,553)		398,647
		Other Assets in Excess of Liabilities — 0.8%		3,059

		NET ASSETS — 100.0%	$	401,706

Percentages indicated are based on net assets.


ADR		— American Depositary Receipt
ARM		— Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2011.
ARS		— Argentine Peso
BRL		— Brazilian Real
CLN		— Credit-Linked Notes. The credit ratings disclosed for the underlying referenced obligations provide an indication of the likelihood or risk that the underlying sovereign issuer will default on payment of principal or interest. The credit ratings on these securities represent the rating from a nationally recognized statistical rating organization and are as of August 31, 2011. Credit ratings are generally considered to be lagging indicators, and as such, credit risk could be greater than the current ratings would indicate.
CMO		— Collateralized Mortgage Obligation
DOP		— Dominican Peso
ESOP		— Employee Stock Ownership Program
EUR		— Euro
FGIC		— Insured by Financial Guaranty Insurance Co.
FHA		— Federal Housing Administration
GO		— General Obligation
HB		— High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.
IF		— Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of August 31, 2011. 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.
MXN		— Mexican Peso
PEN		— Peru Nuevo Sol
PIK		— Payment-in-Kind
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.
Reg. S.		— Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration.
REMICS		— Real Estate Mortgage Investment Conduits
Rev.		— Revenue


STRIPS	— Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
SUB	— Step-Up Bond. The interest rate shown is the rate in effect as of August 31, 2011.
UYU	— Uruguayan Peso
VA	— Veterans Administration
VAR	— Variable Rate Security. The interest rate shown is the rate in effect as of August 31, 2011.
ZAR	— South African Rand

(a)	— Non-income producing security.
(b)	— Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(c)	— Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction.
(d)	— Defaulted security.
(e)	— Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(f)	— Security is fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The following approximates the value and percentage of these investments based on total investments (amounts in thousands):

	Fund	Value		Percentage
	Core Bond Fund	$	177,837		0.82	%
	Core Plus Bond Fund		11,028		0.53
	High Yield Fund		50,260		0.52
	Mortgage-Backed Securities Fund		22,838		0.82

(g)	— Amount rounds to less than 0.1%.
(h)	— Amount rounds to less than one thousand (shares or dollars).
(i)	— Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(k)	— All or portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts.
(l)	— The rate shown is the current yield as of August 31, 2011.
(m)	— All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and forward foreign currency contracts.
(r)	— Rates shown are per annum and payments are as described.
(x)	— Security is perpetual and, thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown reflects the next call date. The coupon rate shown is the rate in effect as of August 31, 2011.

JPMorgan Trust II (“JPM II” or the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004. J.P. Morgan Mutual Fund Group (“MFG”) was organized as a Massachusetts business trust on May 11, 1987. Each of JPM II and MFG (the “Trusts”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following are 8 separate funds of the Trusts (collectively, the “Funds”) covered by this report:

Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares for the Core Bond Fund, Core Plus Bond Fund, High Yield Fund, Mortgage-Backed Securities Fund and Short Duration Bond Fund.

Effective November 1, 2009, Class B Shares of the Core Bond Fund, Core Plus Bond Fund, Government Bond Fund, High Yield Fund, Short Duration Bond Fund and Treasury & Agency Fund may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they convert automatically to Class A Shares.

Class A and Class M Shares generally provide for a front-end sales charge while Class B and Class C Shares (except for Class C Shares of the Short Duration Bond Fund) provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years (except for Short Duration Bond Fund and Treasury & Agency Fund whose Class B Shares convert to Class A Shares after six years). No sales charges are assessed with respect to the Class R2, Class R5, Class R6, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

The following is a summary of significant accounting policies followed by the Trusts in the preparation of its financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.

A. Valuation of Investments — Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealers or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon-rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share. Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price.

Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and

responsibility of the Board of Trustees. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. 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.

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 fair value 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 aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following table represents each valuation input by sector as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):

There were no transfers between Levels 1 and 2 during the six months ended August 31, 2011.

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

Transfers into, or out of, Level 3 are valued utilizing values as of the beginning of the period.

Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack of or increase in available market inputs to determine price.

The change in unrealized appreciation (depreciation) attributable to securities owned at August 31, 2011, which were valued using significant unobservable inputs (Level 3) was 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 and Statements of Changes in Net Assets.

B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration under the Securities Act of 1933. An illiquid security is a security which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately its fair value and includes, but is not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.

The following is the value and percentage of net assets of illiquid securities as of August 31, 2011 (amounts in thousands):

C. Derivatives — Core Plus Bond Fund and High Yield Fund use instruments including futures, foreign currency contracts, options, swaps and other derivatives, in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Core Plus Bond Fund and High Yield Fund also use derivatives to manage duration, sector and yield curve exposures and credit and spread volatility.

The Funds may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivatives’ counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities.

Notes C.(1). — C.(3). below describe the various derivatives used by the Funds.

(1). Futures — Core Plus Bond Fund uses treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments. Core Plus Bond Fund also uses futures contracts to lengthen or shorten the duration of the overall investment portfolio.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

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

(2). Swaps — Core Plus Bond Fund and High Yield Fund engage in various swap transactions, including credit default swaps, to manage credit risks within their respective portfolios. The Funds also use swaps as alternatives to direct investments. Swap transactions are negotiated contracts between a Fund and a counterparty to exchange swap investment cash flows or assets, at specified, future intervals.

Upfront payments made and/or received by the Funds are recognized as a realized gain or loss when the contract matures or is terminated. The value of a swap agreement is recorded at the beginning of the measurement period. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is recognized as unrealized appreciation or depreciation. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

Core Plus Bond Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding swap contracts with the counterparty in the form of cash or securities. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. Cash collateral posted by the Funds is invested in an affiliated money market fund (See Note 3.G.) and is reported on the Statements of Assets and Liabilities as Investments in affiliates — restricted. Collateral received by the Fund is held in escrow in segregated accounts maintained by JPMCB, which provides collateral management services to the Funds (See Note 3.F.). These amounts are not reflected on the Fund’s Statements of Assets and Liabilities and are disclosed in the table below.

The Core Plus Bond Fund’s swap contracts and collateral posted or received by counterparty as of August 31, 2011 is as follows (amounts in thousands):

Core Plus Bond Fund and High Yield Fund enter into credit default swaps to simulate long and short bond positions or to take an active long or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.

The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represent some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.

Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.

If a credit event occurs, the Funds, as protection sellers, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected in the Statements of Assets and Liabilities. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.

Core Plus Bond Fund may be exposed to foreign currency risks associated with portfolio investments and therefore uses forward foreign currency exchange contracts to hedge or manage these exposures. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

The following tables present the value of derivatives held as of August 31, 2011, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):

The following tables present the effect of derivatives on the Statements of Operations for the six months ended August 31, 2011, by primary underlying risk exposure (amounts in thousands):

The Funds’ derivatives contracts held at August 31, 2011 are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

The table below discloses the volume of the Funds’ futures, foreign currency contract and swap activities during the six months ended August 31, 2011 (amounts in thousands). Please refer to the tables in the Summary of Derivatives Information for derivatives-related gains and losses associated with volume activity.

D. Loan Participations and Assignments — Core Plus Bond Fund and High Yield Fund invest in loan participations and assignments of all or a portion of the loans. When the Funds purchase a loan participation, the Funds typically enter into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. In contrast, the Funds have direct rights against the borrower on a loan when it purchases an assignment; provided, however, that the Funds’ rights may be more limited than the lender from which it acquired the assignment and the Funds may be able to enforce their rights only through an administrative agent. As a result, the Funds assume the credit risk of the Borrower and the Selling Participant and any other persons interpositioned between the Funds and the Borrower (“Intermediate Participants”). Although certain loan assignments or participations are secured by collateral, the Funds could experience delays or limitations in realizing on such collateral or have its interest subordinated to other indebtedness of the obligor. In addition, loan assignments and participations are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan assignments and participations and certain loan assignments and participations which were liquid, when purchased, may become illiquid.

E. Unfunded Commitments — Core Plus Bond Fund and High Yield Fund may enter into commitments to buy and sell investments including commitments to buy loan assignments and participations to settle on future dates as part of their normal investment activities. Unfunded commitments are generally traded and priced as part of a related loan participation or assignment (Note 2.D.). The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation/depreciation from unfunded commitments is reported in the Statements of Assets and Liabilities. The Funds segregate security positions such that sufficient liquid assets will be available for the commitments on a future date. Credit risks exist on these commitments to the extent of any difference between the sales price and current value of the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. However, during the commitment period, these investments earn no interest or dividends.

At August 31, 2011, the High Yield Fund had the following unfunded loan commitments which could be extended at the option of the borrower (amounts in thousands):

F. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the period, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the year. Accordingly, such foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions on the Statements of Operations.

Reported realized foreign currency gains or losses arise from the disposition of foreign currency, purchase of foreign currency in certain countries (such as Brazil) that impose a tax on such purchases, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end.

G. Securities Lending — Each Fund (except Short Term Bond Fund II) may lend securities to brokers, approved by J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”), in order to generate additional income. JPMorgan Chase Bank N.A. (“JPMCB”), an affiliate of the Funds, serves as lending agent for the Funds pursuant to an Amended and Restated Securities Lending Agreement effective February 9, 2010 (“JPMCB Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.

Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. 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.

For the six months ended August 31, 2011, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands):

At the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. dollar-denominated securities, plus accrued interest, and 105% of the value of loaned non-dollar-denominated securities, plus accrued interest. The JPMCB Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% and 105% of the value of loaned U.S. dollar-denominated and non-dollar denominated securities, respectively, subject to certain de minimis guidelines.

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 in the SOIs. At August 31, 2011, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amount in thousands):

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, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.

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, JPMCB has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.

The Advisor waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):

These amounts offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Funds’ investment in such fund. A portion of the waiver is voluntary.

Under the JPMCB Securities Lending Agreement, JPMCB is entitled to a fee, paid monthly in arrears equal to: (i) 0.03% of the average dollar value of the loans of U.S. dollar-denominated securities outstanding during a given month; and (ii) 0.09% of the average dollar value of loans of non-dollar denominated securities outstanding during a given month.

The Funds incurred lending agent fees to JPMCB as follows for the six months ended August 31, 2011 (amounts in thousands):

H. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.

Purchases of to be announced (“TBA”), when-issued or delayed delivery securities may be settled a month or more after the trade date; interest income is not accrued until settlement date. It is the Funds’ policy to reserve assets with a current value at least equal to the amount of their TBA, when-issued or delayed delivery purchase commitments.

I. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.

J. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

K. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.

L. Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid monthly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. 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.

M. Equalization — Short Term Bond Fund II uses the accounting practice known as equalization by which a portion of the proceeds from sales and costs of redemptions of Fund shares of beneficial interest equivalent, on a per-share basis, to the amount of undistributed net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or redemptions of Fund shares.

N. Redemption Fees — Prior to May 2, 2011, shares of the High Yield Fund held for less than 60 days were generally subject to a redemption fee of 2.00%, based on the redeemed share’s market value. Redemption fees were paid directly to the High Yield Fund and were credited to paid in capital. Effective May 2, 2011, shares of the High Yield Fund were no longer subject to a redemption fee regardless of how long such shares have been held.

A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is as follows:

The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.G.

B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the six months ended August 31, 2011, the annualized effective rate was 0.09% of each Fund’s average daily net assets.

J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.

The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C, Class M and Class R2 Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A and Class M Shares and the CDSC from redemptions of Class B and Class C Shares (except for Class C Shares of the Short Duration Bond Fund) and certain Class A Shares for which front-end sales charges have been waived. For the six months ended August 31, 2011, the Distributor retained the following (amounts in thousands):

D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.

Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.

F. Collateral Management Fees — JPMCB provides derivatives collateral management services for the Core Plus Bond Fund. The amounts paid directly to JPMCB by the Fund for these services are included in Collateral Management fees on the Statement of Operations.

G. Waivers and Reimbursements — The Advisor, Administrator and Distributor 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 expense related to short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

Prior to July 1, 2011 the contractual expense limitation for Core Plus Bond Fund was 1.17% for Class R2 Shares.

Prior to July 1, 2011 the contractual expense limitation for Government Bond Fund was 0.55% for Select Class Shares.

Except as noted above, the contractual expense limitation agreements were in effect for the six months ended August 31, 2011. The contractual expense limitation percentages in the table above are in place until at least June 30, 2012. In addition, the Government Bond Fund’s service providers have voluntarily waived fees during the six months ended August 31, 2011. However, the Government Bond Fund’s service providers are under no obligation to do so and may discontinue such waivers at any time.

For the six months ended August 31, 2011, 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 reimbursed expenses in future years.

Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor, Administrator and Distributor as shareholder servicing agent waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.

The amounts of these waivers resulting from investments in the money market funds for the six months ended August 31, 2011 were as follows (excluding the reimbursement disclosed in Note 2.G. regarding cash collateral for securities lending invested in the JPMorgan Prime Money Market Fund) (amounts in thousands):

H. Other — Certain officers of the Trusts are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officers’ fees in the Statements of Operations.

The Trusts 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 a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the six months ended August 31, 2011, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.

The Funds may use related party broker/dealers. For the six months ended August 31, 2011, the Core Plus Bond Fund incurred $300 in brokerage commissions with brokers/dealers affiliated with the Advisor.

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

During the six months ended August 31, 2011, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at August 31, 2011, were as follows (amounts in thousands):

Under the recently enacted Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after February 28, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to the Act, pre-enactment net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses are used before pre-enactment net capital losses.

The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“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 they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

In addition, the Trusts 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 15, 2011.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at August 31, 2011, or at any time during the six months then ended.

Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.

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, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for High Yield Fund, Short Duration Fund and Treasury & Agency Fund.

In addition J.P. Morgan Investor Funds, which are affiliated funds and funds of funds, own, in the aggregate more than 10% of the net assets of the Funds as follows:

Additionally, Core Bond Fund and Short Term Bond Fund II each have a shareholder, which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of the Funds’ outstanding shares.

Significant shareholder transactions, if any, may impact the Funds’ performance.

The High Yield Fund and to a lesser extent, the Core Plus Bond Fund invest in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. The High Yield Fund invests at least 80% of its net assets plus the amount of borrowings for investment purposes in such investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.

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 ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.

The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds such as swap and option contracts, credit linked notes and TBA securities.

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’ (except High Yield Fund and Treasury & Agency Fund) 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.

The Core Plus Bond Fund and High Yield Fund are party to various derivative contracts governed by International Swaps and Derivatives Association Master Agreements (ISDA agreements). The Funds’ ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against the counterparties (e.g. decline in a counterparty’s credit rating below a specified level). Such rights often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Funds.

Prior to becoming an affiliate of JPMorgan, on June 29, 2004, Banc One Investment Advisors Corporation (“BOIA”) subsequently known as JPMorgan Investment Advisors Inc. (“JPMIA”), entered into agreements with the SEC (the “SEC Order”) and the New York Attorney General (“NYAG settlement”) in resolution of investigations into market timing of certain One Group mutual funds advised by BOIA. JPMIA was investment advisor to certain of the Funds until January 1, 2010. Effective January 1, 2010, JPMIA transferred its investment advisory business to JPMIM and JPMIM became investment advisor to such Funds. Under the terms of the SEC Order and the NYAG settlement, BOIA agreed to pay disgorgement of $10 million and a civil money penalty of $40 million for a total payment of $50 million, which has been distributed to certain current and former shareholders of certain funds. Pursuant to the NYAG settlement, BOIA reduced its management fee for certain funds in the aggregate amount of approximately $8 million annually (based on assets under management as of June 30, 2004) over a five year period from September 27, 2004 through September 27, 2009.

In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland. The plaintiffs filed consolidated amended complaints, naming as defendants, BOIA, Bank One Corporation and JPMorgan, One Group Services Company (the former distributor of One Group Mutual Funds), certain officers of One Group Mutual Funds and BOIA, and certain current and former Trustees.

As of June 14, 2006, all claims against One Group Mutual Funds and current and former trustees were dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates were also dismissed. On October 25, 2010, the court approved a settlement resolving all remaining claims in the litigation in Maryland.

The Funds will be reimbursed for all costs associated with these matters to ensure that they incur no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.

As noted above, the NYAG settlement required BOIA to establish reduced “net management fee rates” for certain Funds (“Reduced Rate Funds”). “Net Management Fee Rates” means the percentage fee rates specified in contracts between BOIA and its affiliates and the Reduced Rate Funds, less waivers and reimbursements by BOIA and its affiliates, in effect as of June 30, 2004. The settlement agreement required that the reduced Net Management Fee Rates must result in a reduction of $8 million annually based upon assets under management as of June 30, 2004, for a total reduction over five years of $40 million from that which would have been paid by the Reduced Rate Funds on the Net Management Fee Rates as of June 30, 2004. To the extent that BOIA and its affiliates have agreed as part of the settlement with the NYAG to waive or reimburse expenses of a Fund in connection with the settlement with the NYAG, those reduced Net Management Fee Rates were referred to as “Reduced Rates.” The Reduced Rates were implemented on September 27, 2004 and remained in place through September 27, 2009. Thus, the Reduced Rates are no longer in effect.

During the year ended February 28, 2011, certain shareholders of Short Duration Bond Fund purchased Class R6 Shares and the Short Duration Bond Fund received portfolio securities primarily by means of a subscription-in-kind for Class R6 Shares of the Short Duration Bond Fund. Cash and portfolio securities were transferred as of the close of business on the date and at the market value listed below (amounts in thousands):

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory, administration fees, distribution 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 costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, March 1, 2011, and continued to hold your shares at the end of the reporting period, August 31, 2011.

Actual Expenses

For each Class of 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 Class under the heading entitled “Expenses Paid During” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ 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 Class of the Fund 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, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

The Board of Trustees meets regularly throughout the year and considers factors that are relevant to its annual consideration of investment advisory agreements at each meeting. The Board of Trustees has established various standing committees, composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment subcommittees (money market and alternative products, equity, and fixed income) also meet for the specific purpose of considering advisory contract annual renewals. The Board of Trustees held meetings in person in June and August 2011, at which the Trustees considered the continuation of each of the investment advisory agreements for the Funds whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment subcommittees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment subcommittee reported to the full Board, which then considered the investment subcommittee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 25, 2011.

The Trustees, as part of their review of the investment advisory arrangements for the Funds, considered and reviewed performance and other information received from the Advisor on a regular basis over the course of the year, as well as information specifically prepared for their annual review. This information includes the Funds’ performance compared to the performance of the Funds’ peers and benchmarks and analyses by the Advisor of the Funds’ performance. In addition, the Trustees have engaged an independent consultant to report on the performance of each of the Funds at each of the Trustees’ regular meetings. The Advisor also periodically provides comparative information regarding the Funds’ expense ratios and those of the peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Advisor, including, with respect to certain Funds, performance and expense information compiled by Lipper Inc. (“Lipper”), an independent provider of investment company data. The independent consultant also provided additional analyses of the performance of the Funds in connection with the Board’s review of the investment advisory arrangements. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Agreement with representatives of the Advisor and with counsels to the Trust and independent Trustees and received a memorandum from independent counsel to the Trustees discussing the legal standards for their consideration of the proposed approval. The Trustees also

discussed the proposed approvals in executive sessions with counsels to the Trust and independent Trustees at which no representatives of the Advisor were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.

In their deliberations, there was a comprehensive consideration of the information received by the Trustees. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Advisor from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of the investment advisory contract was in the best interests of each Fund and its shareholders.

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

Nature, Extent and Quality of Services Provided by the Advisor

The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Advisor’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Advisor. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Advisor and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees also reviewed information relating to the Advisor’s risk governance model and reports showing the Advisor’s ongoing compliance processes and structures. The quality of the administrative services provided by JPMorgan Funds Management, Inc. (“JPMFM”), an affiliate of the Advisor, was also considered.

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

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

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

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

Fall-Out Benefits

The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Advisor and its affiliates as a result of their relationship with the Funds. The Board considered that the Advisor does not currently use third-party soft dollar arrangements with respect to securities transactions it executes for these Funds.

The Trustees also considered that JPMFM and JPMDS, affiliates of the Advisor, earn fees from the Funds for providing administrative and shareholder services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Advisor. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, securities lending, and other related services. The Trustees also considered that the Funds are not currently engaged in securities lending.

Economies of Scale

The Trustees noted that the proposed investment advisory fee schedule for each Fund does not contain breakpoints. The

Trustees considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure was reasonable in light of the fee waivers and expense limitations that the Advisor has in place that serve to limit the overall net expense ratio at competitive levels. The Trustees also recognized that the fee schedule for the administrative services provided by JPMFM does include a fee breakpoint, which is tied to the overall level of money market assets or non-money market fund assets excluding funds-of-funds, as applicable, advised by the Advisor, and that the Funds would benefit from that breakpoint. The Trustees concluded that shareholders benefited from the lower expense ratios which resulted from these factors.

Independent Written Evaluation of the Funds’ Senior/Chief Compliance Officer

The Trustees noted that, upon their direction, the Senior Officer for the Core Bond Fund, Core Plus Bond Fund, Government Bond Fund, High Yield Fund, Mortgage-Backed Securities Fund, Short Duration Bond Fund, and Treasury & Agency Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.

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

Fees Relative to Advisor’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Advisor for investment management styles substantially similar to that of each Fund. The Trustees also considered the complexity of investment management for the Funds relative to the Advisor’s other clients and the differences in the nature and extent of the services provided to the different clients. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Advisor’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance for the Funds in a report prepared by Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Lipper investment classification and objective (the “Universe Group”) by total return for applicable one-, three- and five-year periods. The

Trustees reviewed a description of Lipper’s methodology for selecting mutual funds in each Fund’s Universe Group. The Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Advisor and the independent consultant and also considered the special analysis that was done by the independent consultant. The Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Core Bond Fund’s performance was in the first quintile for both Class A and Select Class shares for each of the one-, three-, and five-year periods ended December 31, 2010, respectively. The Trustees also noted that the independent consultant indicated that the Fund’s overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.

The Trustees noted that the Core Plus Bond Fund’s performance was in the first, second and second quintiles for Class A and in the first, first and second quintiles for Select Class shares for the one-, three-, and five-year periods ended December 31, 2010, respectively, and that the independent consultant indicated that overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.

The Trustees noted that the Government Bond Fund’s performance was in the second, second and first quintiles for Class A and in the second, first and first quintiles for Select Class shares for the one-, three-, and five-year periods ended December 31, 2010, respectively, and that the independent consultant indicated that overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.

The Trustees noted that the High Yield Fund’s performance was in the second, first and first quintiles for both Class A and Select Class shares for the one-, three-, and five-year periods ended December 31, 2010, respectively, and that the independent consultant indicated that the overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.

The Trustees noted that the Mortgage-Backed Securities Fund’s performance was in the second, first and first quintiles for both Class A and Select Class shares for the one-, three-, and five-year periods ended December 31, 2010, respectively, and that the independent consultant indicated that overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.

The Trustees noted that the Short Duration Bond Fund’s performance was in the second quintile for each period for Class A shares and in the second, second and first quintiles for the Select Class shares for the one-, three-, and five-year periods ended December 31, 2010, respectively. The Trustees also noted that the independent consultant indicated that the Fund’s overall performance was satisfactory. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.

The Trustees noted that the Short Term Bond Fund II’s performance was in the third, fifth and fifth quintiles for both Class A and Select Class shares for the one-, three-, and five-year periods ended December 31, 2010, respectively, and that the independent consultant indicated that the overall performance needed enhancement. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and concluded that they were satisfied with the Advisor’s analysis of the Fund’s performance. However, they requested the Fund’s Advisor provide additional Fund performance information to be reviewed with members of the fixed income subcommittee at each of their regular meetings over the course of the next year.

The Trustees noted that the Treasury & Agency Fund’s performance was in the third quintile for Class A shares and in the second quintile for the Select Class shares for the one-, three-, and five-year periods ended December 31, 2010, respectively, and that the independent consultant indicated that the overall performance was satisfactory. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and based upon this discussion and other factors, concluded that the performance was reasonable.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate paid by each Fund to the Advisor and compared that rate to the information prepared by Lipper concerning management fee rates paid by other funds in the same Lipper category as each Fund. The Trustees recognized that Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and the administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in

place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determination as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the Core Bond Fund’s net advisory fee for Class A and Select Class shares was in the first and second quintiles, respectively, and that the actual total expenses for Class A and Select shares were in the first and second quintiles, respectively, of their Universe Group. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Core Plus Bond Fund’s net advisory fee for both Class A and Select Class shares was in the second quintile, and that the actual total expenses for Class A and Select Class shares were in the first and third quintiles, respectively, of their Universe Group. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Government Bond Fund’s net advisory fee for Class A and Select Class shares was in the first and second quintiles, respectively, and that the actual total expenses for both Class A and Select Class shares were in the first quintile of their respective Universe Group. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the High Yield Fund’s net advisory fee for both Class A and Select Class shares was in the fifth quintile

and that the actual total expenses for Class A and Select shares were in the fourth quintile, respectively, of their Universe Group. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Mortgage-Backed Securities Fund’s net advisory fee and actual total expenses for Class A and Select Class shares were in the first quintile of their respective Universe Group. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Short Duration Bond Fund’s net advisory fee for Class A and Select Class shares was in the second quintile and that the actual total expenses for both Class A and Select Class shares were in the second and third quintiles, respectively, of their Universe Group. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Short Term Bond Fund II’s net advisory fee for Class A and Select Class shares was in the first quintile and that the actual total expenses for Class A and Select Class shares were in the first and second quintiles, respectively, of their Universe Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Treasury & Agency Fund’s net advisory fee and the actual total expenses for both Class A and Select Class shares were in the third and first quintiles, respectively, of their Universe Group. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.

J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

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-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 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 Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this

paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

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

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

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

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

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

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

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

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

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

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

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

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


REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		5.07%
Barclays Capital U.S. Aggregate Index		5.49%

Net Assets as of 8/31/2011 (In Thousands)	$	21,471,655
Duration as of 8/31/2011		4.4 years


REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		2.96%
Barclays Capital U.S. Aggregate Index		5.49%

Net Assets as of 8/31/2011 (In Thousands)	$	2,072,133
Duration as of 8/31/2011		5.1 years


AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2011

	INCEPTION DATE OF CLASS		6 MONTH*			1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		3/5/93
Without Sales Charge				2.92	%		5.63	%		6.64	%		5.55	%
With Sales Charge**				(0.95	)		1.64			5.83			5.15
CLASS B SHARES		5/31/95
Without CDSC				2.43			4.88			6.01			5.07
With CDSC***				(2.57	)		(0.12	)		5.69			5.07
CLASS C SHARES		5/30/00
Without CDSC				2.44			4.89			6.00			4.93
With CDSC****				1.44			3.89			6.00			4.93
CLASS R2 SHARES		11/3/08		2.61			5.22			6.29			5.22
CLASS R6 SHARES		2/22/05		3.09			5.97			7.09			5.95
INSTITUTIONAL CLASS SHARES		6/19/09		2.93			5.75			6.90			5.82
SELECT CLASS SHARES		3/5/93		2.96			5.72			6.84			5.79


REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		8.35%
Barclays Capital U.S. Government Bond Index		6.53%

Net Assets as of 8/31/2011 (In Thousands)	$	1,386,053
Duration as of 8/31/2011		5.5 years


AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2011

	INCEPTION DATE OF CLASS		6 MONTH*			1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		3/5/93
Without Sales Charge				8.11	%		5.59	%		6.97	%		5.80	%
With Sales Charge**				4.06			1.62			6.15			5.39
CLASS B SHARES		1/14/94
Without CDSC				7.81			4.91			6.21			5.20
With CDSC***				2.81			(0.09	)		5.89			5.20
CLASS C SHARES		3/22/99
Without CDSC				7.72			4.82			6.20			5.06
With CDSC****				6.72			3.82			6.20			5.06
CLASS R2 SHARES		11/3/08		8.07			5.33			6.71			5.56
SELECT CLASS SHARES		2/8/93		8.35			5.86			7.27			6.06



CEO’s Letter			1

Market Overview			2

Fund Commentaries:

JPMorgan Core Bond Fund			3

JPMorgan Core Plus Bond Fund			5

JPMorgan Government Bond Fund			8

JPMorgan High Yield Fund			10

JPMorgan Mortgage-Backed Securities Fund			12

JPMorgan Short Duration Bond Fund			14

JPMorgan Short Term Bond Fund II			16

JPMorgan Treasury & Agency Fund			18

Schedules of Portfolio Investments			20

Financial Statements			204

Financial Highlights			222

Notes to Financial Statements			238

Schedule of Shareholder Expenses			258

Board Approval of Investment Advisory Agreements			261


REPORTING PERIOD RETURN:
Fund (Select Class Shares)*			-3.57%
Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index			-1.57%

Net Assets as of 8/31/2011 (In Thousands)			$9,654,813
Duration as of 8/31/2011			4.3 years


REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		3.88%
Barclays Capital U.S. MBS Index		4.81%

Net Assets as of 8/31/2011 (In Thousands)	$	2,750,367
Duration as of 8/31/2011		3.2 years


REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		1.39%
Barclays Capital 1–3 Year U.S. Government/Credit Bond Index		1.35%

Net Assets as of 8/31/2011 (In Thousands)	$	9,737,924
Duration as of 8/31/2011		1.8 years


REPORTING PERIOD RETURN:
Fund (Select Class Shares)*			1.26%
Barclays Capital 1–3 Year U.S. Government Bond Index			1.39%

Net Assets as of 8/31/2011 (In Thousands)			$74,396
Duration as of 8/31/2011			1.8 years


REPORTING PERIOD RETURN:
Fund (Select Class Shares)*			2.00%
Barclays Capital 1–5 Year U.S. Treasury Index			3.00%

Net Assets as of 8/31/2011 (In Thousands)			$401,706
Duration as of 8/31/2011			2.1 years


Futures Contracts
NUMBER OF CONTRACTS			DESCRIPTION	EXPIRATION DATE		NOTIONAL VALUE AT 08/31/11			UNREALIZED APPRECIATION (DEPRECIATION)
			Long Futures Outstanding
	23		10 Year U.S. Treasury Note		12/20/11		2,968			(5	)
	7		2 Year U.S. Treasury Note		12/30/11		1,543			—	(h)
			Short Futures Outstanding
	(7	)	30 Year U.S. Treasury Bond		12/20/11		(952	)		5
	(2	)	5 Year U.S. Treasury Note		12/30/11		(245	)		—	(h)

										—	(h)


Forward Foreign Currency Exchange Contracts
CONTRACTS TO BUY		CURRENCY	COUNTERPARTY	SETTLEMENT DATE		SETTLEMENT VALUE		VALUE AT 08/31/11		NET UNREALIZED APPRECIATION (DEPRECIATION)
	250,000	EUR	Deutsche Bank AG		09/21/11		356		359		3
	4,500,000	MXN	Barclays Bank plc		09/15/11		377		364		(13	)
	4,100,000	MXN	Deutsche Bank AG		09/15/11		340		332		(8	)
	100,000	ZAR	Barclays Bank plc		09/21/11		14		14		—	(h)
							1,087		1,069		(18	)


CONTRACTS TO SELL		CURRENCY	COUNTERPARTY	SETTLEMENT DATE		SETTLEMENT VALUE		VALUE AT 08/31/11		NET UNREALIZED APPRECIATION (DEPRECIATION)
	250,000	EUR	Deutsche Bank AG		09/21/11		365		360		5
	130,000	EUR	Barclays Bank plc		09/30/11		184		186		(2	)
	4,300,000	MXN	Citibank, N.A.		09/15/11		360		348		12
	4,300,000	MXN	Deutsche Bank AG		09/15/11		357		348		9
	1,880,000	ZAR	Citibank, N.A.		09/21/11		269		268		1
							1,535		1,510		25


SWAP COUNTERPARTY/ REFERENCE OBLIGATION	FUND PAYS FIXED RATE (r)	TERMINATION DATE		IMPLIED CREDIT SPREAD AS OF 8/31/11 [3]			NOTIONAL AMOUNT [4]		VALUE			UPFRONT PREMIUMS (PAID)/ RECEIVED [5]
Credit Suisse International:
CDX.NA.HY.16	5.000% quarterly		6/20/16		6.371	%		8,000		343			331
Deutsche Bank AG, New York:
CDX.NA.HY.13	5.000% quarterly		12/20/14		4.939			12,000		(141	)		758
Morgan Stanley Capital Services:
CDX.NA.HY.16	5.000% quarterly		6/20/16		6.371			8,000		343			240

										545			1,329


SWAP COUNTERPARTY/ REFERENCE OBLIGATION	FUND RECEIVES FIXED RATE (r)	TERMINATION DATE		IMPLIED CREDIT SPREAD AS OF 8/31/11 [2]			NOTIONAL AMOUNT [3]		VALUE			UPFRONT PREMIUMS (PAID)/ RECEIVED [4]
Bank of America:
Clear Channel Communications Inc., 6.875%, 06/15/18	5.000% quarterly		9/20/2012		8.696	%	$	5,000	$	(138	)	$	315


~		— Securities are guaranteed by the Federal Deposit Insurance Corporation (FDIC) under its Temporary Liquidity Guarantee Program (TLGP). Under this program, the FDIC guarantees, with the full faith and credit of the U.S. government, the payment of principal and interest. The expiration of the FDIC’s guarantee is the earlier of the maturity date of the debt or December 31, 2012.
^		— All or a portion of the security is unsettled as of August 31, 2011. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position.


	Core Bond Fund		Core Plus Bond Fund		Government Bond Fund			High Yield Fund
ASSETS:
Investments in non-affiliates, at value	$	21,125,316	$	2,022,896	$	1,276,962		$	9,252,748
Investments in affiliates, at value		483,599		36,667		104,030			359,095

Total investment securities, at value		21,608,915		2,059,563		1,380,992			9,611,843
Cash		1,709		41		—			1,408
Foreign currency, at value		—		112		—			—
Receivables:
Investment securities sold		5,081		5,568		—			25,137
Fund shares sold		53,800		2,863		11,867			38,450
Interest and dividends from non-affiliates		110,976		20,230		4,631			177,419
Dividends from affiliates		34		4		—	(a)		21
Variation margin on futures contracts		—		1		—			—
Unrealized appreciation on forward foreign currency exchange contracts		—		30		—			—
Outstanding swap contracts, at value		—		686		—			—
Securities lending income		—		—		—			—	(a)
Other assets		—		208		—			—

Total Assets		21,780,515		2,089,306		1,397,490			9,854,278


LIABILITIES:
Payables:
Dividends		6,788		4,553		2,097			31,133
Investment securities purchased		101,724		8,785		6,205			145,659
Fund shares redeemed		188,082		2,063		2,181			14,801
Unrealized depreciation on forward foreign currency exchange contracts		—		23		—			—
Unrealized depreciation on unfunded commitments		—		—		—			430
Outstanding swap contracts, at value		—		205		—			138
Accrued liabilities:
Investment advisory fees		4,076		472		339			5,273
Administration fees		1,639		95		17			549
Shareholder servicing fees		2,700		369		45			690
Distribution fees		2,340		266		222			359
Custodian and accounting fees		434		96		47			124
Collateral management fees		—		1		—			—
Trustees’ and Chief Compliance Officer’s fees		15		4		3			31
Other		1,062		241		281			278

Total Liabilities		308,860		17,173		11,437			199,465

Net Assets	$	21,471,655	$	2,072,133	$	1,386,053		$	9,654,813


	Mortgage-Backed Securities Fund		Short Duration Bond Fund		Short Term Bond Fund II			Treasury & Agency Fund
ASSETS:
Investments in non-affiliates, at value	$	2,604,655	$	9,605,712	$	75,005		$	395,145
Investments in affiliates, at value		164,273		86,206		426			3,502

Total investment securities, at value		2,768,928		9,691,918		75,431			398,647
Cash		206		—		—			—
Receivables:
Investment securities sold		57		11,811		—			—
Fund shares sold		5,057		17,713		1			1,974
Interest from non-affiliates		10,596		54,017		529			2,178
Dividends from affiliates		12		1		—	(a)		—	(a)
Securities lending income		—		1		—			—
Other assets		—		—		8			—

Total Assets		2,784,856		9,775,461		75,969			402,799


LIABILITIES:
Payables:
Dividends		1,454		10,424		56			265
Investment securities purchased		27,796		8,406		61			—
Collateral for securities lending program		—		2,141		—			—
Fund shares redeemed		4,369		12,033		1,316			572
Accrued liabilities:
Investment advisory fees		316		1,695		11			104
Administration fees		152		633		7			29
Shareholder servicing fees		147		1,454		9			2
Distribution fees		42		233		22			21
Custodian and accounting fees		99		168		10			11
Trustees’ and Chief Compliance Officer’s fees		3		13		4			—
Other		111		337		77			89

Total Liabilities		34,489		37,537		1,573			1,093

Net Assets	$	2,750,367	$	9,737,924	$	74,396		$	401,706


	Core Bond Fund						Core Plus Bond Fund
	Six Months Ended 8/31/2011 (Unaudited)			Year Ended 2/28/2011			Six Months Ended 8/31/2011 (Unaudited)			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	372,710		$	638,350		$	49,654		$	82,299
Net realized gain (loss)		47,663			59,497			7,342			15,238
Change in net unrealized appreciation (depreciation)		597,507			228,514			1,809			53,441

Change in net assets resulting from operations		1,017,880			926,361			58,805			150,978


DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(77,763	)		(134,985	)		(8,102	)		(12,510	)
Class B
From net investment income		(911	)		(2,838	)		(114	)		(287	)
Class C
From net investment income		(28,793	)		(74,656	)		(5,926	)		(10,137	)
Class R2
From net investment income		(699	)		(945	)		(10	)		(13	)
Class R5
From net investment income		(2,855	)		(18,323	)		—			—
Class R6 (a)
From net investment income		(49,843	)		(62,965	)		(3,660	)		(4,752	)
Institutional Class
From net investment income		—			—			(834	)		(2,250	)
Select Class
From net investment income		(212,349	)		(344,559	)		(31,020	)		(52,405	)

Total distributions to shareholders		(373,213	)		(639,271	)		(49,666	)		(82,354	)


CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		1,568,511			4,713,330			(4,220	)		666,336


NET ASSETS:
Change in net assets		2,213,178			5,000,420			4,919			734,960
Beginning of period		19,258,477			14,258,057			2,067,214			1,332,254

End of period	$	21,471,655		$	19,258,477		$	2,072,133		$	2,067,214

Accumulated undistributed (distributions in excess of) net investment income	$	513		$	1,016		$	(192	)	$	(180	)


	Government Bond Fund						High Yield Fund
	Six Months Ended 8/31/2011 (Unaudited)			Year Ended 2/28/2011			Six Months Ended 8/31/2011 (Unaudited)			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	25,451		$	53,969		$	358,185		$	603,943
Net realized gain (loss)		2,828			2,101			114,297			178,644
Change in net unrealized appreciation (depreciation)		76,542			8,867			(819,365	)		438,198

Change in net assets resulting from operations		104,821			64,937			(346,883	)		1,220,785


DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(9,021	)		(17,400	)		(32,470	)		(51,366	)
From net realized gains		—			—			—			(2,548	)
Class B
From net investment income		(229	)		(782	)		(475	)		(1,431	)
From net realized gains		—			—			—			(65	)
Class C
From net investment income		(2,345	)		(5,593	)		(8,313	)		(14,363	)
From net realized gains		—			—			—			(767	)
Class R2
From net investment income		(280	)		(322	)		(159	)		(162	)
From net realized gains		—			—			—			(9	)
Class R5
From net investment income		—			—			(1,232	)		(13,053	)
From net realized gains		—			—			—			(918	)
Class R6 (a)
From net investment income		—			—			(36,955	)		(46,034	)
From net realized gains		—			—			—			(2,110	)
Select Class
From net investment income		(13,573	)		(29,919	)		(281,671	)		(480,731	)
From net realized gains		—			—			—			(23,094	)

Total distributions to shareholders		(25,448	)		(54,016	)		(361,275	)		(636,651	)


CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		(183,575	)		88,010			800,249			3,140,534


NET ASSETS:
Change in net assets		(104,202	)		98,931			92,091			3,724,668
Beginning of period		1,490,255			1,391,324			9,562,722			5,838,054

End of period	$	1,386,053		$	1,490,255		$	9,654,813		$	9,562,722

Accumulated undistributed (distributions in excess of) net investment income	$	(33	)	$	(36	)	$	(181	)	$	2,909


	Mortgage-Backed Securities Fund						Short Duration Bond Fund
	Six Months Ended 8/31/2011 (Unaudited)			Year Ended 2/28/2011			Six Months Ended 8/31/2011 (Unaudited)			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	58,766		$	108,897		$	88,658		$	162,775
Net realized gain (loss)		(641	)		6,272			14,411			14,779
Change in net unrealized appreciation (depreciation)		34,628			40,214			42,272			31,764

Change in net assets resulting from operations		92,753			155,383			145,341			209,318


DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(4,188	)		(7,630	)		(1,785	)		(3,963	)
From net realized gains		—			—			—			(385	)
Class B
From net investment income		—			—			(8	)		(26	)
From net realized gains		—			—			—			(3	)
Class C
From net investment income		—			—			(1,323	)		(3,309	)
From net realized gains		—			—			—			(459	)
Class R6 (a)
From net investment income		(37,355	)		(73,620	)		(31,666	)		(48,325	)
From net realized gains		—			—			—			(3,598	)
Select Class
From net investment income		(17,597	)		(27,805	)		(54,215	)		(107,143	)
From net realized gains		—			—			—			(8,462	)

Total distributions to shareholders		(59,140	)		(109,055	)		(88,997	)		(175,673	)


CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		493,726			377,268			(629,091	)		2,465,685


NET ASSETS:
Change in net assets		527,339			423,596			(572,747	)		2,499,330
Beginning of period		2,223,028			1,799,432			10,310,671			7,811,341

End of period	$	2,750,367		$	2,223,028		$	9,737,924		$	10,310,671

Accumulated undistributed (distributions in excess of) net investment income	$	74		$	448		$	96		$	435


	Short Term Bond Fund II						Treasury & Agency Fund
	Six Months Ended 8/31/2011 (Unaudited)			Year Ended 2/28/2011			Six Months Ended 8/31/2011 (Unaudited)			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	449		$	1,397		$	3,083		$	7,662
Net realized gain (loss)		216			843			3,252			1,956
Change in net unrealized appreciation (depreciation)		143			(1,062	)		2,064			(2,734	)

Change in net assets resulting from operations		808			1,178			8,399			6,884

Net equalization credits (debits)		(4	)		(14	)		—			—

DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(45	)		(128	)		(518	)		(1,322	)
From net realized gains		—			—			—			(1,585	)
Class B
From net investment income		—			—			(2	)		(9	)
From net realized gains		—			—			—			(14	)
Class M
From net investment income		(389	)		(1,277	)		—			—
Select Class
From net investment income		(12	)		(41	)		(2,195	)		(6,315	)
From net realized gains		—			—			—			(6,363	)

Total distributions to shareholders		(446	)		(1,446	)		(2,715	)		(15,608	)


CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		(10,565	)		(18,560	)		(75,847	)		(48,468	)


NET ASSETS:
Change in net assets		(10,207	)		(18,842	)		(70,163	)		(57,192	)
Beginning of period		84,603			103,445			471,869			529,061

End of period	$	74,396		$	84,603		$	401,706		$	471,869

Accumulated undistributed (distributions in excess of) net investment income	$	(17	)	$	(20	)	$	(1	)	$	(369	)


			Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations		Net investment income
Core Bond Fund
Class A
Six Months Ended August 31, 2011 (Unaudited)	$	11.46	$	0.21	(e)	$	0.36		$	0.57	$	(0.21	)
Year Ended February 28, 2011		11.23		0.42	(e)		0.22			0.64		(0.41	)
Year Ended February 28, 2010		10.59		0.55	(e)		0.64			1.19		(0.55	)
Year Ended February 28, 2009		11.04		0.55	(e)		(0.46	)		0.09		(0.54	)
Year Ended February 29, 2008		10.67		0.48	(e)		0.37			0.85		(0.48	)
Year Ended February 28, 2007		10.57		0.46	(e)		0.10			0.56		(0.46	)
Class B
Six Months Ended August 31, 2011 (Unaudited)		11.45		0.17	(e)		0.36			0.53		(0.17	)
Year Ended February 28, 2011		11.22		0.34	(e)		0.22			0.56		(0.33	)
Year Ended February 28, 2010		10.58		0.48	(e)		0.63			1.11		(0.47	)
Year Ended February 28, 2009		11.03		0.47	(e)		(0.45	)		0.02		(0.47	)
Year Ended February 29, 2008		10.66		0.41	(e)		0.37			0.78		(0.41	)
Year Ended February 28, 2007		10.56		0.39	(e)		0.10			0.49		(0.39	)
Class C
Six Months Ended August 31, 2011 (Unaudited)		11.51		0.17	(e)		0.37			0.54		(0.17	)
Year Ended February 28, 2011		11.28		0.34	(e)		0.23			0.57		(0.34	)
Year Ended February 28, 2010		10.65		0.46	(e)		0.65			1.11		(0.48	)
Year Ended February 28, 2009		11.09		0.48	(e)		(0.45	)		0.03		(0.47	)
Year Ended February 29, 2008		10.73		0.42	(e)		0.35			0.77		(0.41	)
Year Ended February 28, 2007		10.62		0.39	(e)		0.11			0.50		(0.39	)
Class R2
Six Months Ended August 31, 2011 (Unaudited)		11.45		0.19	(e)		0.36			0.55		(0.19	)
Year Ended February 28, 2011		11.22		0.39	(e)		0.22			0.61		(0.38	)
Year Ended February 28, 2010		10.59		0.49	(e)		0.67			1.16		(0.53	)
November 3, 2008 (f) through February 28, 2009		10.26		0.17	(e)		0.34			0.51		(0.18	)
Class R5 (g)
Six Months Ended August 31, 2011 (Unaudited)		11.44		0.22	(e)		0.36			0.58		(0.22	)
Year Ended February 28, 2011		11.21		0.45	(e)		0.22			0.67		(0.44	)
Year Ended February 28, 2010		10.58		0.58	(e)		0.63			1.21		(0.58	)
Year Ended February 28, 2009		11.02		0.58	(e)		(0.45	)		0.13		(0.57	)
Year Ended February 29, 2008		10.66		0.52	(e)		0.35			0.87		(0.51	)
May 15, 2006 (h) through February 28, 2007		10.35		0.39	(e)		0.33			0.72		(0.41	)
Class R6 (h)
Six Months Ended August 31, 2011 (Unaudited)		11.46		0.23	(e)		0.36			0.59		(0.23	)
Year Ended February 28, 2011		11.22		0.46	(e)		0.23			0.69		(0.45	)
Year Ended February 28, 2010		10.59		0.59	(e)		0.63			1.22		(0.59	)
Year Ended February 28, 2009		11.03		0.58	(e)		(0.45	)		0.13		(0.57	)
Year Ended February 29, 2008		10.67		0.52	(e)		0.36			0.88		(0.52	)
Year Ended February 28, 2007		10.56		0.50	(e)		0.10			0.60		(0.49	)
Select Class
Six Months Ended August 31, 2011 (Unaudited)		11.45		0.22	(e)		0.36			0.58		(0.22	)
Year Ended February 28, 2011		11.22		0.44	(e)		0.22			0.66		(0.43	)
Year Ended February 28, 2010		10.58		0.56	(e)		0.64			1.20		(0.56	)
Year Ended February 28, 2009		11.03		0.56	(e)		(0.46	)		0.10		(0.55	)
Year Ended February 29, 2008		10.67		0.50	(e)		0.35			0.85		(0.49	)
Year Ended February 28, 2007		10.56		0.47	(e)		0.11			0.58		(0.47	)


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


$	11.82		4.98	%	$	4,726,773		0.75	%		3.51	%		0.97	%		10	%
	11.46		5.75			3,982,404		0.74			3.62			0.97			24
	11.23		11.45			3,154,129		0.73			4.94			0.97			18
	10.59		0.87			1,322,130		0.75			5.12			0.98			18
	11.04		8.21			780,006		0.75			4.51			0.99			14
	10.67		5.42			560,556		0.75			4.36			0.94			8

	11.81		4.63			58,037		1.40			2.88			1.47			10
	11.45		5.06			76,034		1.39			2.98			1.46			24
	11.22		10.71			118,596		1.38			4.37			1.47			18
	10.58		0.21			80,648		1.40			4.42			1.48			18
	11.03		7.49			78,048		1.40			3.86			1.49			14
	10.66		4.75			74,963		1.40			3.72			1.44			8

	11.88		4.69			2,024,570		1.40			2.87			1.47			10
	11.51		5.04			2,181,719		1.39			2.97			1.47			24
	11.28		10.65			2,326,774		1.38			4.12			1.47			18
	10.65		0.33			250,444		1.40			4.46			1.48			18
	11.09		7.38			133,975		1.40			3.86			1.49			14
	10.73		4.83			65,579		1.40			3.72			1.44			8

	11.81		4.85			47,992		1.00			3.26			1.22			10
	11.45		5.51			37,096		0.99			3.36			1.22			24
	11.22		11.16			14,608		0.98			4.41			1.22			18
	10.59		5.00			63		1.00			4.96			1.25			18

	11.80		5.14			166,248		0.45			3.81			0.52			10
	11.44		6.06			123,327		0.44			3.91			0.51			24
	11.21		11.69			470,155		0.43			5.26			0.53			18
	10.58		1.26			259,552		0.45			5.43			0.53			18
	11.02		8.41			177,019		0.45			4.82			0.54			14
	10.66		7.03			55,785		0.45			4.64			0.50			8

	11.82		5.16			2,655,661		0.40			3.86			0.47			10
	11.46		6.22			2,334,504		0.39			3.98			0.47			24
	11.22		11.72			1,144,420		0.39			5.36			0.47			18
	10.59		1.30			754,336		0.40			5.41			0.48			18
	11.03		8.48			782,067		0.40			4.86			0.48			14
	10.67		5.88			711,527		0.40			4.72			0.44			8

	11.81		5.07			11,792,374		0.58			3.68			0.72			10
	11.45		5.96			10,523,393		0.57			3.79			0.72			24
	11.22		11.61			7,029,375		0.57			5.08			0.72			18
	10.58		1.03			2,699,976		0.60			5.21			0.73			18
	11.03		8.25			2,456,097		0.60			4.66			0.73			14
	10.67		5.69			2,128,674		0.60			4.52			0.69			8


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


$	—	(f)	$	7.75		(3.58	)%	$	917,921		1.15	%		7.04	%		1.32	%		23	%
	—	(f)		8.33		17.07			856,717		1.14			7.81			1.32			45
	—	(f)		7.72		44.71			580,690		1.14			8.40			1.32			45
	—	(f)		5.79		(17.28	)		184,739		1.15			8.10			1.31			18
	—	(f)		7.59		(3.87	)		79,217		1.12			7.54			1.32			48
	—	(f)		8.60		12.82			83,790		1.12			7.42			1.31			69

	—	(f)		7.76		(3.99	)		12,148		1.80			6.37			1.82			23
	—	(f)		8.35		16.40			17,991		1.79			7.24			1.82			45
	—	(f)		7.73		43.46			22,430		1.79			7.80			1.82			45
	—	(f)		5.81		(17.68	)		16,720		1.80			7.33			1.81			18
	—	(f)		7.60		(4.51	)		26,052		1.78			6.88			1.82			48
	—	(f)		8.61		12.19			35,667		1.77			6.78			1.81			69

	—	(f)		7.75		(4.01	)		236,350		1.80			6.38			1.82			23
	—	(f)		8.34		16.45			248,488		1.79			7.17			1.82			45
	—	(f)		7.72		43.58			158,503		1.79			7.75			1.83			45
	—	(f)		5.80		(17.69	)		36,872		1.80			7.37			1.81			18
	—	(f)		7.59		(4.61	)		29,517		1.78			6.88			1.82			48
	—	(f)		8.61		12.05			29,953		1.77			6.77			1.81			69

	—	(f)		7.74		(3.69	)		4,949		1.40			6.80			1.57			23
	—	(f)		8.32		16.82			3,609		1.39			7.49			1.58			45
	—	(f)		7.71		44.25			1,004		1.39			8.10			1.60			45
	—	(f)		5.79		(0.05	)		50		1.40			8.84			1.59			18

	—	(f)		7.78		(3.43	)		39,422		0.86			7.34			0.87			23
	—	(f)		8.36		17.45			27,619		0.85			8.54			0.87			45
	—	(f)		7.74		44.95			148,162		0.84			8.71			0.87			45
	—	(f)		5.81		(16.99	)		53,497		0.85			8.55			0.87			18
	—	(f)		7.61		(3.71	)		18,807		0.86			7.83			0.86			48
	—	(f)		8.63		10.90			8,732		0.86			7.57			0.86			69

	—	(f)		7.77		(3.40	)		1,085,918		0.81			7.38			0.82			23
	—	(f)		8.35		17.59			929,762		0.80			7.99			0.83			45
	—	(f)		7.73		44.84			359,553		0.79			8.76			0.83			45
	—	(f)		5.81		(16.84	)		91,880		0.80			8.44			0.81			18
	—	(f)		7.60		(3.58	)		77,356		0.81			7.87			0.81			48
	—	(f)		8.61		13.12			64,497		0.81			7.74			0.81			69

	—	(f)		7.77		(3.57	)		7,358,105		0.90			7.28			1.07			23
	—	(f)		8.36		17.44			7,478,536		0.89			8.06			1.07			45
	—	(f)		7.74		44.86			4,567,712		0.89			8.67			1.08			45
	—	(f)		5.81		(16.93	)		1,837,745		0.90			8.36			1.06			18
	—	(f)		7.60		(3.73	)		1,544,252		0.87			7.81			1.06			48
	—	(f)		8.62		13.18			1,038,528		0.87			7.67			1.06			69


	Classes Offered	Trust	Diversified/Non-Diversified
Core Bond Fund	Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class	JPM II	Diversified
Core Plus Bond Fund	Class A, Class B, Class C, Class R2, Class R6, Institutional Class and Select Class	JPM II	Diversified
Government Bond Fund	Class A, Class B, Class C, Class R2 and Select Class	JPM II	Diversified
High Yield Fund	Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class	JPM II	Diversified
Mortgage-Backed Securities Fund	Class A, Class R6 and Select Class	JPM II	Diversified
Short Duration Bond Fund	Class A, Class B, Class C, Class R6 and Select Class	JPM II	Diversified
Short Term Bond Fund II	Class A, Class M and Select Class	MFG	Diversified
Treasury & Agency Fund	Class A, Class B and Select Class	JPM II	Diversified


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Debt Securities
Asset-Backed Securities	$	—	$	785,339	$	69,278	$	854,617
Collateralized Mortgage Obligations
Agency CMO		—		5,041,243		—		5,041,243
Non-Agency CMO		—		2,479,366		106,974		2,586,340

Total Collateralized Mortgage Obligations		—		7,520,609		106,974		7,627,583

Commercial Mortgage-Backed Securities		—		542,116		—		542,116
Corporate Bonds
Consumer Discretionary		—		225,099		—		225,099
Consumer Staples		—		130,694		—		130,694
Energy		—		175,132		—		175,132
Financials		—		1,801,197		1,585		1,802,782
Health Care		—		35,259		—		35,259
Industrials		—		138,391		—		138,391
Information Technology		—		134,879		—		134,879
Materials		—		70,973		—		70,973
Telecommunication Services		—		216,516		—		216,516
Utilities		—		263,045		—		263,045

Total Corporate Bonds		—		3,191,185		1,585		3,192,770

Foreign Government Securities		—		70,429		—		70,429
Mortgage Pass-Through Securities		—		2,830,536		—		2,830,536
Municipal Bonds		—		36,880		—		36,880
Supranational		—		10,048		—		10,048
U.S. Government Agency Securities		—		331,939		—		331,939
U.S. Treasury Obligations		—		5,628,398		—		5,628,398
Short-Term Investment
Investment Company		483,599		—		—		483,599

Total Investments in Securities	$	483,599	$	20,947,479	$	177,837	$	21,608,915


Core Plus Bond Fund (continued)
	Level 1 Quoted prices			Level 2 Other significant observable inputs			Level 3 Significant unobservable inputs			Total
Information Technology	$	—		$	2,671		$	—		$	2,671
Materials		—			2,385			—			2,385
Utilities		—			3,164			—			3,164

Total Loan Participations & Assignments		—			53,246			379			53,625

Warrants
Consumer Discretionary		—			1,691			—			1,691
Short-Term Investment
Investment Company		36,667			—			—			36,667

Total Investments in Securities	$	48,217		$	2,000,318		$	11,028		$	2,059,563

Appreciation in Other Financial Instruments
Forward Foreign Currency Exchange Contracts	$	—		$	30		$	—		$	30
Futures Contracts		5			—			—			5
Swaps		—			1,874			—			1,874

Total Appreciation in Other Financial Instruments	$	5		$	1,904		$	—		$	1,909

Depreciation in Other Financial Instruments
Forward Foreign Currency Exchange Contracts	$	—		$	(23	)	$	—		$	(23	)
Futures Contracts		(5	)		—			—			(5	)
Swaps		—			(64	)		—			(64	)

Total Depreciation in Other Financial Instruments	$	(5	)	$	(87	)	$	—		$	(92	)


Government Bond Fund

	Level 1 Quoted prices			Level 2 Other significant observable inputs			Level 3 Significant unobservable inputs			Total
Total Investments in Securities (b)	$	104,030		$	1,276,962		$	—		$	1,380,992


High Yield Fund

	Level 1 Quoted prices			Level 2 Other significant observable inputs			Level 3 Significant unobservable inputs			Total
Investments in Securities
Common Stocks
Consumer Discretionary	$	31,301		$	—		$	5,836		$	37,137
Consumer Staples		—			—			—	(a)		—	(a)
Financials		23			—			—			23
Industrials		466			—			—			466
Information Technology		1,617			—			3,743			5,360
Materials		32,336			—			1,177			33,513
Telecommunication Services		108			—			—	(a)		108
Utilities		59			—			—			59

Total Common Stocks		65,910			—			10,756			76,666

Preferred Stocks
Consumer Discretionary		—			2,512			553			3,065
Consumer Staples		—			—			—	(a)		—	(a)
Financials		—			47,564			—			47,564
Information Technology		—			—			—	(a)		—	(a)
Materials		—			—			1,228			1,228

Total Preferred Stocks		—			50,076			1,781			51,857


High Yield Fund (continued)

	Level 1 Quoted prices		Level 2 Other significant observable inputs			Level 3 Significant unobservable inputs			Total
Debt Securities
Asset-Backed Securities	$	—	$	105		$	6,974		$	7,079
Convertible Bonds
Materials		—		1,766			—			1,766
Corporate Bonds
Consumer Discretionary		—		1,998,063			—			1,998,063
Consumer Staples		—		325,746			2,128			327,874
Energy		—		1,050,522			—			1,050,522
Financials		—		952,303			10,062			962,365
Health Care		—		484,591			3,960			488,551
Industrials		—		792,778			—			792,778
Information Technology		—		392,820			2,219			395,039
Materials		—		785,795			8,024			793,819
Telecommunication Services		—		498,347			—			498,347
Utilities		—		401,506			—			401,506

Total Corporate Bonds		—		7,682,471			26,393			7,708,864

Loan Participations & Assignments
Consumer Discretionary		—		554,111			—			554,111
Consumer Staples		—		103,673			—			103,673
Energy		—		25,901			—			25,901
Financials		—		184,305			—			184,305
Health Care		—		27,206			—			27,206
Industrials		—		132,363			3,317			135,680
Information Technology		—		113,118			1,039			114,157
Materials		—		102,491			—			102,491
Telecommunication Services		—		40,698			—			40,698
Utilities		—		98,964			—			98,964

Total Loan Participations & Assignments		—		1,382,830			4,356			1,387,186

Rights
Consumer Discretionary		—		—			—	(a)		—	(a)
Warrants
Consumer Discretionary		—		19,330			—			19,330
Short-Term Investments
Investment Companies		359,095		—			—			359,095

Total Investments in Securities	$	425,005	$	9,136,578		$	50,260		$	9,611,843

Appreciation in Other Financial Instruments
Swaps		—		177			—			177

Depreciation in Other Financial Instruments
Unfunded Commitments		—		(430	)		—			(430	)


Core Bond Fund	Balance as of 2/28/11		Realized gain (loss)			Change in unrealized appreciation (depreciation)			Net amortization (accretion)			Purchases ¹			Sales ²			Transfers into Level 3		Transfers out of Level 3			Balance as of 8/31/11
Investments in Securities
Asset-Backed Securities	$	20,798	$	—		$	(72	)	$	17		$	63,880		$	(30,450	)	$	15,105	$	—		$	69,278
Collateralized Mortgage Obligations
Agency CMO		13,778		—			—			—			—			—			—		(13,778	)		—
Non-Agency CMO		28,884		(4,716	)		3,170			43			90,303			(10,710	)		—		—			106,974
Corporate Bonds — Financials		1,572		—			13			—	(a)		—			—			—		—			1,585

Total	$	65,032	$	(4,716	)	$	3,111		$	60		$	154,183		$	(41,160	)	$	15,105	$	(13,778	)	$	177,837


Core Plus Bond Fund	Balance as of 2/28/11		Realized gain (loss)			Change in unrealized appreciation (depreciation)			Net amortization (accretion)			Purchases ¹			Sales ²			Transfers into Level 3		Transfers out of Level 3			Balance as of 8/31/11
Investments in Securities
Asset-Backed Securities	$	4,502	$	—		$	244		$	5		$	—		$	(1,080	)	$	—	$	—		$	3,671
Collateralized Mortgage Obligations
Non-Agency CMO		—		—			(9	)		—	(a)		3,286			(102	)		—		—			3,175
Common Stocks — Consumer Discretionary		248		—			(16	)		—			—			—			—		—			232
Common Stocks — Consumer Staples		30		—			(30	)		—			—			—			—		—			—	(b)
Common Stocks — Information Technology		1,688		—			(1,108	)		—			—			—			—		—			580
Common Stocks — Materials		—		—			(38	)		—			249			—			—		—			211
Common Stocks — Telecommunication Services		—		—			—			—			—	(b)		—			—		—			—	(b)
Corporate Bonds — Consumer Staples		153		—			(20	)		—			12			—			—		—			145
Corporate Bonds — Industrials		311		—			(44	)		—			—			—			—		(115	)		152
Corporate Bonds — Materials		368		—			(273	)		—			867			—			—		—			962
Foreign Government Securities		503		—			20			(3	)		962			(152	)		—		—			1,330
Loan Participations & Assignment — Industrials		—		—			(15	)		—	(a)		—			(2	)		396		—			379
Loan Participations & Assignment — Information Technology		867		—			—			—			—			—			—		(867	)		—
Preferred Stocks — Consumer Staples		56		—			(62	)		—			6			—			—		—			—	(b)
Preferred Stocks — Financials		1,784		—			—			—			—			—			—		(1,784	)		—
Preferred Stocks — Materials		—		—			—			—			191			—			—		—			191

Total	$	10,510	$	—		$	(1,351	)	$	2		$	5,573		$	(1,336	)	$	396	$	(2,766	)	$	11,028


Core Bond Fund	$	(516	)
Core Plus Bond Fund		(1,262	)
High Yield Fund		(9,985	)
Mortgage-Backed Securities Fund		(105	)


Fund		Counterparty	Value of swap contracts		Collateral amount
Core Plus Bond Fund	Collateral Received
		Credit Suisse International	$	343	$	(541	)
		Morgan Stanley Capital Services		343		(540	)


Derivative Contract	Statement of Assets and Liabilities Location
Assets:		Futures Contracts (a)			Forward Foreign Currency Exchange Contracts			Swaps
Interest rate contracts	Receivables, Net Assets — Unrealized Appreciation	$	5		$	—		$	—
Foreign exchange contracts	Receivables		—			30			—
Credit contracts	Receivables		—			—			686

Total		$	5		$	30		$	686


Liabilities:
Interest rate contracts	Payables, Net Assets — Unrealized Depreciation	$	(5	)	$	—		$	—
Foreign Exchange contracts	Payables		—			(23	)		—
Credit contracts	Payables		—			—			(205	)

Total		$	(5	)	$	(23	)	$	(205	)


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivative Contract	Futures Contracts			Forward Foreign Currency Exchange Contracts			Swaps			Total
Interest rate contracts	$	138		$	—		$	—		$	138
Foreign exchange contracts		—			23			—			23
Credit contracts		—			—			(338	)		(338	)

Total	$	138		$	23		$	(338	)	$	(177	)


Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivative Contract	Futures Contracts			Forward Foreign Currency Exchange Contracts			Swaps			Total
Interest rate contracts	$	(1	)	$	—		$	—		$	(1	)
Foreign exchange contracts		—			(13	)		—			(13	)
Credit contracts		—			—			1,861			1,861

Total	$	(1	)	$	(13	)	$	1,861		$	1,847


	Core Plus Bond Fund			High Yield Fund
Futures Contracts:
Average Notional Balance Long	$	2,677		$	—
Average Notional Balance Short		474			—
Ending Notional Balance Long		4,511			—
Ending Notional Balance Short		1,197			—

Forward Foreign Currency Exchange Contracts
Average Settlement Value Purchased		1,219			—
Average Settlement Value Sold		1,546			—
Ending Settlement Value Purchased		1,087			—
Ending Settlement Value Sold		1,535			—

Credit Default Swaps:
Average Notional Balance — Buy Protection		31,750	*		—
Average Notional Balance — Sell Protection		1,000			5,000	**
Ending Notional Balance — Buy Protection		28,000			—
Ending Notional Balance — Sell Protection		1,000			5,000