# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0001752724-25-180651
**Filing Date:** 2025-7
**Character Count:** 2454313
**Document Hash:** 2e3446fa1cfc71a257df316be551f98c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-180651.hdr.sgml**: 20250728

**ACCESSION NUMBER**: 0001752724-25-180651

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250728

**DATE AS OF CHANGE**: 20250728

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMORGAN TRUST II
- **CENTRAL INDEX KEY:** 0000763852

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04236
- **FILM NUMBER:** 251154610

**BUSINESS ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172
- **BUSINESS PHONE:** 800-480-4111

**MAIL ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP MUTUAL FUNDS
- **DATE OF NAME CHANGE:** 20000721

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP
- **DATE OF NAME CHANGE:** 19931105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HELMSMAN FUND
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### JPMorgan Core Bond Fund (Series ID: S000003477)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000009615 | Class I      | WOBDX           |
| C000009616 | Class A      | PGBOX           |
| C000009618 | Class C      | OBOCX           |
| C000009619 | Class R6     | JCBUX           |
| C000033520 | Class R5     | JCBRX           |
| C000070638 | Class R2     | JCBZX           |
| C000173234 | Class R3     | JCBPX           |
| C000173235 | Class R4     | JCBQX           |

## Nport-Ex

**JPMorgan Core Bond Fund**

**Schedule of Portfolio Investments as of May 31, 2025**

**(Unaudited)** 

---

| |
|:---|
| &nbsp;&nbsp; THE "UNAUDITED MUTUAL FUNDS HOLDINGS" LIST ("the <br> List") IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS <br> NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR <br> SALES LITERATURE WITH THE GENERAL PUBLIC. The list is <br> submitted for the general information of the shareholders of the Fund. <br> It is not authorized for distribution to prospective investors in the Fund <br> unless preceded or accompanied by a prospectus. The list has been <br> created from the books and records of the Fund. Holdings are <br> available 60 days after the fund's fiscal quarter, using a trade date <br> accounting convention, by contacting the appropriate service center. <br> The list is subject to change without notice. The list is for <br> informational purposes only and is not intended as an offer or <br> solicitation with respect to the purchase or sale of any security.<br>|
| &nbsp;&nbsp; JPMorgan Asset Management is the marketing name for the asset <br> management business of J.P. Morgan Chase & Co.<br>|
| J.P. Morgan Distribution Services, Inc., member FINRA. |
|© J.P. Morgan Chase & Co., 2025. |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE** <br>**($000)**<br>|
| **U.S. Treasury Obligations — 25.6%** | **U.S. Treasury Obligations — 25.6%** | **U.S. Treasury Obligations — 25.6%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 5/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 55245 | &nbsp;&nbsp;&nbsp;&nbsp; 52839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 29845 | &nbsp;&nbsp;&nbsp;&nbsp; 17937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 54475 | &nbsp;&nbsp;&nbsp;&nbsp; 49136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 207900 | &nbsp;&nbsp;&nbsp;&nbsp; 147983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 2/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 200455 | &nbsp;&nbsp;&nbsp;&nbsp; 142801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 8/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 50000 | &nbsp;&nbsp;&nbsp;&nbsp; 41158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 11/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 289890 | &nbsp;&nbsp;&nbsp;&nbsp; 216240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 2/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 138080 | &nbsp;&nbsp;&nbsp;&nbsp; 108830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 2/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3905 | &nbsp;&nbsp;&nbsp;&nbsp; 3430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 5/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 101570 | &nbsp;&nbsp;&nbsp;&nbsp; 89001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 8/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 358540 | &nbsp;&nbsp;&nbsp;&nbsp; 302504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 256218 | &nbsp;&nbsp;&nbsp;&nbsp; 219537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 2/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 198360 | &nbsp;&nbsp;&nbsp;&nbsp; 166444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 50821 | &nbsp;&nbsp;&nbsp;&nbsp; 38283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 9035 | &nbsp;&nbsp;&nbsp;&nbsp; 6731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 2/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 70000 | &nbsp;&nbsp;&nbsp;&nbsp; 47433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 8/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 179932 | &nbsp;&nbsp;&nbsp;&nbsp; 115135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 5431 | &nbsp;&nbsp;&nbsp;&nbsp; 3992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 78220 | &nbsp;&nbsp;&nbsp;&nbsp; 56810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 5/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 43243 | &nbsp;&nbsp;&nbsp;&nbsp; 32074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4200 | &nbsp;&nbsp;&nbsp;&nbsp; 3036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 12946 | &nbsp;&nbsp;&nbsp;&nbsp; 9079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 8/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 180150 | &nbsp;&nbsp;&nbsp;&nbsp; 110215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 98830 | &nbsp;&nbsp;&nbsp;&nbsp; 62035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 2/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 76853 | &nbsp;&nbsp;&nbsp;&nbsp; 44010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 5/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4667 | &nbsp;&nbsp;&nbsp;&nbsp; 2180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 8/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 25855 | &nbsp;&nbsp;&nbsp;&nbsp; 12402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 11/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 62475 | &nbsp;&nbsp;&nbsp;&nbsp; 32077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 204145 | &nbsp;&nbsp;&nbsp;&nbsp; 111698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 5/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 166815 | &nbsp;&nbsp;&nbsp;&nbsp; 103210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 144750 | &nbsp;&nbsp;&nbsp;&nbsp; 81331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 11/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 200075 | &nbsp;&nbsp;&nbsp;&nbsp; 108400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 150605 | &nbsp;&nbsp;&nbsp;&nbsp; 89681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 131125 | &nbsp;&nbsp;&nbsp;&nbsp; 90082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 172625 | &nbsp;&nbsp;&nbsp;&nbsp; 121721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 2/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 28800 | &nbsp;&nbsp;&nbsp;&nbsp; 23001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 8/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 6595 | &nbsp;&nbsp;&nbsp;&nbsp; 5897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 20140 | &nbsp;&nbsp;&nbsp;&nbsp; 18799 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Inflation Indexed Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3206 | &nbsp;&nbsp;&nbsp;&nbsp; 3242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 17926 | &nbsp;&nbsp;&nbsp;&nbsp; 19061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5343 | &nbsp;&nbsp;&nbsp;&nbsp; 5547 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 8/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 141304 | &nbsp;&nbsp;&nbsp;&nbsp; 140633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 110049 | &nbsp;&nbsp;&nbsp;&nbsp; 109039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 195000 | &nbsp;&nbsp;&nbsp;&nbsp; 194838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 1/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 45675 | &nbsp;&nbsp;&nbsp;&nbsp; 44516 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 2/28/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 403160 | &nbsp;&nbsp;&nbsp;&nbsp; 392176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 2/28/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12550 | &nbsp;&nbsp;&nbsp;&nbsp; 12389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 4/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 15670 | &nbsp;&nbsp;&nbsp;&nbsp; 15193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 19996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 6/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 248957 | &nbsp;&nbsp;&nbsp;&nbsp; 240477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 265210 | &nbsp;&nbsp;&nbsp;&nbsp; 267044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 11/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 12/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 64262 | &nbsp;&nbsp;&nbsp;&nbsp; 62063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 1/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5196 | &nbsp;&nbsp;&nbsp;&nbsp; 4991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 2/28/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 250000 | &nbsp;&nbsp;&nbsp;&nbsp; 250693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 5/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 200000 | &nbsp;&nbsp;&nbsp;&nbsp; 195078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 7/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 113240 | &nbsp;&nbsp;&nbsp;&nbsp; 110573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 8/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 111315 | &nbsp;&nbsp;&nbsp;&nbsp; 109506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 9/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 31575 | &nbsp;&nbsp;&nbsp;&nbsp; 29137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 10/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 318905 | &nbsp;&nbsp;&nbsp;&nbsp; 320637 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 53280 | &nbsp;&nbsp;&nbsp;&nbsp; 53767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 3/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 160035 | &nbsp;&nbsp;&nbsp;&nbsp; 148889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 3/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 11925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 4/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 85520 | &nbsp;&nbsp;&nbsp;&nbsp; 79407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7030 | &nbsp;&nbsp;&nbsp;&nbsp; 6836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 6/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 782087 | &nbsp;&nbsp;&nbsp;&nbsp; 723095 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 7/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 225000 | &nbsp;&nbsp;&nbsp;&nbsp; 205893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 1/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 48420 | &nbsp;&nbsp;&nbsp;&nbsp; 44889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/28/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 218300 | &nbsp;&nbsp;&nbsp;&nbsp; 203011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 4/30/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 617050 | &nbsp;&nbsp;&nbsp;&nbsp; 593959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/30/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 270000 | &nbsp;&nbsp;&nbsp;&nbsp; 263155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 8/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 86645 | &nbsp;&nbsp;&nbsp;&nbsp; 83920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 9/30/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 175000 | &nbsp;&nbsp;&nbsp;&nbsp; 174542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 113000 | &nbsp;&nbsp;&nbsp;&nbsp; 113260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 12/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 33345 | &nbsp;&nbsp;&nbsp;&nbsp; 33929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 10/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 315775 | &nbsp;&nbsp;&nbsp;&nbsp; 328739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 23990 | &nbsp;&nbsp;&nbsp;&nbsp; 20901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 115000 | &nbsp;&nbsp;&nbsp;&nbsp; 97121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 28783 | &nbsp;&nbsp;&nbsp;&nbsp; 24306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 14685 | &nbsp;&nbsp;&nbsp;&nbsp; 14985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 1/31/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 37635 | &nbsp;&nbsp;&nbsp;&nbsp; 38123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 292700 | &nbsp;&nbsp;&nbsp;&nbsp; 253849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 2/29/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 30000 | &nbsp;&nbsp;&nbsp;&nbsp; 29948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 116650 | &nbsp;&nbsp;&nbsp;&nbsp; 107573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 171000 | &nbsp;&nbsp;&nbsp;&nbsp; 155777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 11/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 21000 | &nbsp;&nbsp;&nbsp;&nbsp; 20907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 8/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 14250 | &nbsp;&nbsp;&nbsp;&nbsp; 13861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 600000 | &nbsp;&nbsp;&nbsp;&nbsp; 608953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 115351 | &nbsp;&nbsp;&nbsp;&nbsp; 112706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 151700 | &nbsp;&nbsp;&nbsp;&nbsp; 146154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 219210 | &nbsp;&nbsp;&nbsp;&nbsp; 217052 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury STRIPS Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.16%, 2/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6700 | &nbsp;&nbsp;&nbsp;&nbsp; 6520 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.30%, 5/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 24999 | &nbsp;&nbsp;&nbsp;&nbsp; 24072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.69%, 11/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10990 | &nbsp;&nbsp;&nbsp;&nbsp; 10377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.41%, 11/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 50000 | &nbsp;&nbsp;&nbsp;&nbsp; 45396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.76%, 8/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 100000 | &nbsp;&nbsp;&nbsp;&nbsp; 84518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.52%, 8/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 63190 | &nbsp;&nbsp;&nbsp;&nbsp; 51043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 11/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 195970 | &nbsp;&nbsp;&nbsp;&nbsp; 156483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.69%, 2/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 449750 | &nbsp;&nbsp;&nbsp;&nbsp; 354591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.49%, 5/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 261915 | &nbsp;&nbsp;&nbsp;&nbsp; 204186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 8/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 567895 | &nbsp;&nbsp;&nbsp;&nbsp; 437230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.51%, 11/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 167615 | &nbsp;&nbsp;&nbsp;&nbsp; 127484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.16%, 5/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 113297 | &nbsp;&nbsp;&nbsp;&nbsp; 84206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.93%, 8/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 149800 | &nbsp;&nbsp;&nbsp;&nbsp; 109969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.28%, 11/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 122788 | &nbsp;&nbsp;&nbsp;&nbsp; 89028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.53%, 2/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 36300 | &nbsp;&nbsp;&nbsp;&nbsp; 25992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.66%, 5/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 108105 | &nbsp;&nbsp;&nbsp;&nbsp; 76464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.82%, 8/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 24963 | &nbsp;&nbsp;&nbsp;&nbsp; 17421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 11/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 33709 | &nbsp;&nbsp;&nbsp;&nbsp; 23213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.04%, 8/15/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17900 | &nbsp;&nbsp;&nbsp;&nbsp; 8861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.01%, 11/15/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 216030 | &nbsp;&nbsp;&nbsp;&nbsp; 99202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.11%, 2/15/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 138670 | &nbsp;&nbsp;&nbsp;&nbsp; 62794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 8/15/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 178550 | &nbsp;&nbsp;&nbsp;&nbsp; 78671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 2/15/2043 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16580 | &nbsp;&nbsp;&nbsp;&nbsp; 6689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.04%, 5/15/2046 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 19005 | &nbsp;&nbsp;&nbsp;&nbsp; 6442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $13,913,402)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 12565982 |
| **Corporate Bonds — 24.9%** | **Corporate Bonds — 24.9%** | **Corporate Bonds — 24.9%** |
| **Aerospace & Defense — 0.5%** | **Aerospace & Defense — 0.5%** | **Aerospace & Defense — 0.5%** |
| &nbsp;&nbsp;&nbsp; Airbus SE (France) 3.95%, 4/10/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1046 | &nbsp;&nbsp;&nbsp;&nbsp; 827 |
| &nbsp;&nbsp;&nbsp; BAE Systems plc (United Kingdom) | &nbsp;&nbsp;&nbsp; BAE Systems plc (United Kingdom) | &nbsp;&nbsp;&nbsp; BAE Systems plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 2/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14745 | &nbsp;&nbsp;&nbsp;&nbsp; 12633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 10/11/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2499 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 9/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5645 | &nbsp;&nbsp;&nbsp;&nbsp; 3580 |
| &nbsp;&nbsp;&nbsp; Boeing Co. (The)  | &nbsp;&nbsp;&nbsp; Boeing Co. (The)  | &nbsp;&nbsp;&nbsp; Boeing Co. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 2/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10982 | &nbsp;&nbsp;&nbsp;&nbsp; 10834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 2/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 22360 | &nbsp;&nbsp;&nbsp;&nbsp; 21964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9560 | &nbsp;&nbsp;&nbsp;&nbsp; 9418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.04%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9155 | &nbsp;&nbsp;&nbsp;&nbsp; 9210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 14590 | &nbsp;&nbsp;&nbsp;&nbsp; 14718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.39%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 11580 | &nbsp;&nbsp;&nbsp;&nbsp; 12356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 5076 | &nbsp;&nbsp;&nbsp;&nbsp; 4390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.53%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 19270 | &nbsp;&nbsp;&nbsp;&nbsp; 20568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.71%, 5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 12565 | &nbsp;&nbsp;&nbsp;&nbsp; 12125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.81%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp; 13110 |
| &nbsp;&nbsp;&nbsp; L3Harris Technologies, Inc.  | &nbsp;&nbsp;&nbsp; L3Harris Technologies, Inc.  | &nbsp;&nbsp;&nbsp; L3Harris Technologies, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 22080 | &nbsp;&nbsp;&nbsp;&nbsp; 22525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 7/31/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 11863 | &nbsp;&nbsp;&nbsp;&nbsp; 12022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 4/27/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1918 | &nbsp;&nbsp;&nbsp;&nbsp; 1842 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Aerospace & Defense — continued** | **Aerospace & Defense — continued** | **Aerospace & Defense — continued** |
| &nbsp;&nbsp;&nbsp; Leidos, Inc.  | &nbsp;&nbsp;&nbsp; Leidos, Inc.  | &nbsp;&nbsp;&nbsp; Leidos, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 2/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8020 | &nbsp;&nbsp;&nbsp;&nbsp; 6928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 8600 | &nbsp;&nbsp;&nbsp;&nbsp; 8836 |
| &nbsp;&nbsp;&nbsp; Northrop Grumman Corp. 5.15%, 5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 12439 |
| &nbsp;&nbsp;&nbsp; RTX Corp.  | &nbsp;&nbsp;&nbsp; RTX Corp.  | &nbsp;&nbsp;&nbsp; RTX Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 2/27/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 11955 | &nbsp;&nbsp;&nbsp;&nbsp; 12037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 13927 | &nbsp;&nbsp;&nbsp;&nbsp; 12048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 7861 | &nbsp;&nbsp;&nbsp;&nbsp; 6287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 7060 | &nbsp;&nbsp;&nbsp;&nbsp; 5264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 4/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 4020 | &nbsp;&nbsp;&nbsp;&nbsp; 3272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.82%, 9/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 5966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.03%, 3/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3840 | &nbsp;&nbsp;&nbsp;&nbsp; 2387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 3/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 5495 | &nbsp;&nbsp;&nbsp;&nbsp; 5862 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 265947 |
| **Automobiles — 0.2%** | **Automobiles — 0.2%** | **Automobiles — 0.2%** |
| &nbsp;&nbsp;&nbsp; Hyundai Capital America  | &nbsp;&nbsp;&nbsp; Hyundai Capital America  | &nbsp;&nbsp;&nbsp; Hyundai Capital America  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 10/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8870 | &nbsp;&nbsp;&nbsp;&nbsp; 8767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 1/8/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7365 | &nbsp;&nbsp;&nbsp;&nbsp; 7209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 6/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17530 | &nbsp;&nbsp;&nbsp;&nbsp; 16925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 10/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9020 | &nbsp;&nbsp;&nbsp;&nbsp; 8502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 1/10/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12950 | &nbsp;&nbsp;&nbsp;&nbsp; 11982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 9/26/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19100 | &nbsp;&nbsp;&nbsp;&nbsp; 18725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 4/8/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9030 | &nbsp;&nbsp;&nbsp;&nbsp; 9481 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 6/24/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11887 | &nbsp;&nbsp;&nbsp;&nbsp; 11990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 9/26/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2916 |
| &nbsp;&nbsp;&nbsp; Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12937 | &nbsp;&nbsp;&nbsp;&nbsp; 10725 |
| &nbsp;&nbsp;&nbsp; Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6615 | &nbsp;&nbsp;&nbsp;&nbsp; 6094 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 113316 |
| **Banks — 7.5%** | **Banks — 7.5%** | **Banks — 7.5%** |
| &nbsp;&nbsp;&nbsp; ABN AMRO Bank NV (Netherlands) | &nbsp;&nbsp;&nbsp; ABN AMRO Bank NV (Netherlands) | &nbsp;&nbsp;&nbsp; ABN AMRO Bank NV (Netherlands) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 6.34%, 9/18/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 17700 | &nbsp;&nbsp;&nbsp;&nbsp; 18035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15800 | &nbsp;&nbsp;&nbsp;&nbsp; 14574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 5.52%, 12/3/2035 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 29300 | &nbsp;&nbsp;&nbsp;&nbsp; 29363 |
| &nbsp;&nbsp;&nbsp; AIB Group plc (Ireland) | &nbsp;&nbsp;&nbsp; AIB Group plc (Ireland) | &nbsp;&nbsp;&nbsp; AIB Group plc (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.33%), 6.61%, 9/13/2029 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7745 | &nbsp;&nbsp;&nbsp;&nbsp; 8147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.91%), 5.87%, 3/28/2035 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 33860 | &nbsp;&nbsp;&nbsp;&nbsp; 34371 |
| &nbsp;&nbsp;&nbsp; ANZ New Zealand Int'l Ltd. (New Zealand) | &nbsp;&nbsp;&nbsp; ANZ New Zealand Int'l Ltd. (New Zealand) | &nbsp;&nbsp;&nbsp; ANZ New Zealand Int'l Ltd. (New Zealand) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 1/21/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.36%, 8/14/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20760 | &nbsp;&nbsp;&nbsp;&nbsp; 21336 |
| &nbsp;&nbsp;&nbsp; Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1834 | &nbsp;&nbsp;&nbsp;&nbsp; 1828 |
| &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) | &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) | &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6400 | &nbsp;&nbsp;&nbsp;&nbsp; 6152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.95%), 5.37%, 7/15/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 23400 | &nbsp;&nbsp;&nbsp;&nbsp; 23752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.59%, 8/8/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 49600 | &nbsp;&nbsp;&nbsp;&nbsp; 50987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.57%, 1/17/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12200 | &nbsp;&nbsp;&nbsp;&nbsp; 12540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.44%, 7/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 17400 | &nbsp;&nbsp;&nbsp;&nbsp; 17870 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; Bank of America Corp.  | &nbsp;&nbsp;&nbsp; Bank of America Corp.  | &nbsp;&nbsp;&nbsp; Bank of America Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/22/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6055 | &nbsp;&nbsp;&nbsp;&nbsp; 6029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.96%), 1.73%, 7/22/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9615 | &nbsp;&nbsp;&nbsp;&nbsp; 9301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.77%), 3.71%, 4/24/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10025 | &nbsp;&nbsp;&nbsp;&nbsp; 9855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.58%), 4.38%, 4/27/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26190 | &nbsp;&nbsp;&nbsp;&nbsp; 26062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.63%), 3.59%, 7/21/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 29628 | &nbsp;&nbsp;&nbsp;&nbsp; 28994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.30%), 3.42%, 12/20/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 49969 | &nbsp;&nbsp;&nbsp;&nbsp; 48485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.33%), 3.97%, 3/5/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7135 | &nbsp;&nbsp;&nbsp;&nbsp; 7007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.63%), 5.20%, 4/25/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 34400 | &nbsp;&nbsp;&nbsp;&nbsp; 34956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.06%), 2.09%, 6/14/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 19095 | &nbsp;&nbsp;&nbsp;&nbsp; 17726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.57%), 5.82%, 9/15/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 53000 | &nbsp;&nbsp;&nbsp;&nbsp; 54910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.32%), 2.69%, 4/22/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 22915 | &nbsp;&nbsp;&nbsp;&nbsp; 20238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.21%), 2.57%, 10/20/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 19870 | &nbsp;&nbsp;&nbsp;&nbsp; 17227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.84%), 5.87%, 9/15/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 28820 | &nbsp;&nbsp;&nbsp;&nbsp; 29947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.65%), 5.47%, 1/23/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 22540 | &nbsp;&nbsp;&nbsp;&nbsp; 22776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.93%), 2.68%, 6/19/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 54117 | &nbsp;&nbsp;&nbsp;&nbsp; 37734 |
| &nbsp;&nbsp;&nbsp; Bank of Ireland Group plc (Ireland) | &nbsp;&nbsp;&nbsp; Bank of Ireland Group plc (Ireland) | &nbsp;&nbsp;&nbsp; Bank of Ireland Group plc (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 34388 | &nbsp;&nbsp;&nbsp;&nbsp; 33141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.62%), 5.60%, 3/20/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 33280 | &nbsp;&nbsp;&nbsp;&nbsp; 33985 |
| &nbsp;&nbsp;&nbsp; Bank of New Zealand (New Zealand) 5.08%, 1/30/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16360 | &nbsp;&nbsp;&nbsp;&nbsp; 16656 |
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia (The) (Canada) 4.85%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 26370 | &nbsp;&nbsp;&nbsp;&nbsp; 26651 |
| &nbsp;&nbsp;&nbsp; Banque Federative du Credit Mutuel SA (France) | &nbsp;&nbsp;&nbsp; Banque Federative du Credit Mutuel SA (France) | &nbsp;&nbsp;&nbsp; Banque Federative du Credit Mutuel SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.60%, 10/4/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23810 | &nbsp;&nbsp;&nbsp;&nbsp; 22892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.79%, 7/13/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24190 | &nbsp;&nbsp;&nbsp;&nbsp; 24946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.54%, 1/22/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13575 | &nbsp;&nbsp;&nbsp;&nbsp; 13988 |
| &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.21%), 5.83%, 5/9/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8500 | &nbsp;&nbsp;&nbsp;&nbsp; 8578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.88%), 6.50%, 9/13/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 52040 | &nbsp;&nbsp;&nbsp;&nbsp; 53129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.56%), 4.94%, 9/10/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 18170 | &nbsp;&nbsp;&nbsp;&nbsp; 18138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.23%), 5.37%, 2/25/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 17715 | &nbsp;&nbsp;&nbsp;&nbsp; 17868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10428 | &nbsp;&nbsp;&nbsp;&nbsp; 9074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.59%), 5.79%, 2/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 16020 | &nbsp;&nbsp;&nbsp;&nbsp; 16055 |
| &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) | &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) | &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.07%), 2.22%, 6/9/2026 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12126 | &nbsp;&nbsp;&nbsp;&nbsp; 12120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.34%, 6/12/2029 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.52%), 5.18%, 1/9/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 20560 | &nbsp;&nbsp;&nbsp;&nbsp; 20816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.59%), 5.50%, 5/20/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26260 | &nbsp;&nbsp;&nbsp;&nbsp; 26758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.28%), 5.28%, 11/19/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 76360 | &nbsp;&nbsp;&nbsp;&nbsp; 77096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.62%), 5.79%, 1/13/2033 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 32240 | &nbsp;&nbsp;&nbsp;&nbsp; 33023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.56%), 3.13%, 1/20/2033 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12958 | &nbsp;&nbsp;&nbsp;&nbsp; 11319 |
| &nbsp;&nbsp;&nbsp; BPCE SA (France) | &nbsp;&nbsp;&nbsp; BPCE SA (France) | &nbsp;&nbsp;&nbsp; BPCE SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.10%), 5.98%, 1/18/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 17265 | &nbsp;&nbsp;&nbsp;&nbsp; 17372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 7/19/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2915 | &nbsp;&nbsp;&nbsp;&nbsp; 2930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.98%), 6.61%, 10/19/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 23410 | &nbsp;&nbsp;&nbsp;&nbsp; 23935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.28%, 5/30/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9560 | &nbsp;&nbsp;&nbsp;&nbsp; 9753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.27%), 6.71%, 10/19/2029 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 29400 | &nbsp;&nbsp;&nbsp;&nbsp; 30932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.96%), 5.72%, 1/18/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11526 | &nbsp;&nbsp;&nbsp;&nbsp; 11778 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.68%), 5.88%, 1/14/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11450 | &nbsp;&nbsp;&nbsp;&nbsp; 11771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.58%), 5.39%, 5/28/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 43095 | &nbsp;&nbsp;&nbsp;&nbsp; 43460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.31%), 2.28%, 1/20/2032 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15245 | &nbsp;&nbsp;&nbsp;&nbsp; 12944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.59%), 7.00%, 10/19/2034 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 21875 | &nbsp;&nbsp;&nbsp;&nbsp; 23695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.85%), 5.94%, 5/30/2035 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11880 | &nbsp;&nbsp;&nbsp;&nbsp; 12030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.04%), 6.29%, 1/14/2036 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14995 | &nbsp;&nbsp;&nbsp;&nbsp; 15566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.96%), 6.03%, 5/28/2036 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 49665 | &nbsp;&nbsp;&nbsp;&nbsp; 50402 |
| &nbsp;&nbsp;&nbsp; CaixaBank SA (Spain) | &nbsp;&nbsp;&nbsp; CaixaBank SA (Spain) | &nbsp;&nbsp;&nbsp; CaixaBank SA (Spain) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.08%), 6.68%, 9/13/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 64140 | &nbsp;&nbsp;&nbsp;&nbsp; 65619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.26%), 6.04%, 6/15/2035 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 30700 | &nbsp;&nbsp;&nbsp;&nbsp; 31639 |
| &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) | &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) | &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.99%, 10/3/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3200 | &nbsp;&nbsp;&nbsp;&nbsp; 3346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 4/7/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 7344 |
| &nbsp;&nbsp;&nbsp; Capital One NA 4.25%, 3/13/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8109 | &nbsp;&nbsp;&nbsp;&nbsp; 8082 |
| &nbsp;&nbsp;&nbsp; Citigroup, Inc.  | &nbsp;&nbsp;&nbsp; Citigroup, Inc.  | &nbsp;&nbsp;&nbsp; Citigroup, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 6/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 13411 | &nbsp;&nbsp;&nbsp;&nbsp; 13408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 11/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6200 | &nbsp;&nbsp;&nbsp;&nbsp; 6169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 9/29/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1491 | &nbsp;&nbsp;&nbsp;&nbsp; 1485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12240 | &nbsp;&nbsp;&nbsp;&nbsp; 12080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.65%), 3.67%, 7/24/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 41323 | &nbsp;&nbsp;&nbsp;&nbsp; 40403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.41%), 3.52%, 10/27/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11100 | &nbsp;&nbsp;&nbsp;&nbsp; 10800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.45%), 4.08%, 4/23/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6399 | &nbsp;&nbsp;&nbsp;&nbsp; 6297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.34%), 4.54%, 9/19/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 21204 | &nbsp;&nbsp;&nbsp;&nbsp; 20943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.46%), 4.95%, 5/7/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 18415 | &nbsp;&nbsp;&nbsp;&nbsp; 18402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.35%), 3.06%, 1/25/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3330 | &nbsp;&nbsp;&nbsp;&nbsp; 2929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.34%), 6.27%, 11/17/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 50000 | &nbsp;&nbsp;&nbsp;&nbsp; 53047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.45%), 5.45%, 6/11/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 31800 | &nbsp;&nbsp;&nbsp;&nbsp; 31864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.38%), 2.90%, 11/3/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1901 | &nbsp;&nbsp;&nbsp;&nbsp; 1307 |
| &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA (Netherlands) | &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA (Netherlands) | &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA (Netherlands) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 8/4/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 7101 | &nbsp;&nbsp;&nbsp;&nbsp; 7092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 7/21/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8564 | &nbsp;&nbsp;&nbsp;&nbsp; 8476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12800 | &nbsp;&nbsp;&nbsp;&nbsp; 12585 |
| &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) | &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) | &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.59%, 7/5/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12885 | &nbsp;&nbsp;&nbsp;&nbsp; 13047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.13%), 5.23%, 1/9/2029 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15002 | &nbsp;&nbsp;&nbsp;&nbsp; 15160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.86%), 6.32%, 10/3/2029 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13890 | &nbsp;&nbsp;&nbsp;&nbsp; 14523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.69%), 5.34%, 1/10/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13418 | &nbsp;&nbsp;&nbsp;&nbsp; 13628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.46%), 5.22%, 5/27/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 28750 | &nbsp;&nbsp;&nbsp;&nbsp; 29002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.74%), 5.86%, 1/9/2036 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 45845 | &nbsp;&nbsp;&nbsp;&nbsp; 46575 |
| &nbsp;&nbsp;&nbsp; Danske Bank A/S (Denmark) | &nbsp;&nbsp;&nbsp; Danske Bank A/S (Denmark) | &nbsp;&nbsp;&nbsp; Danske Bank A/S (Denmark) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 29115 | &nbsp;&nbsp;&nbsp;&nbsp; 30001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 4.61%, 10/2/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10433 | &nbsp;&nbsp;&nbsp;&nbsp; 10319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.93%), 5.02%, 3/4/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13405 | &nbsp;&nbsp;&nbsp;&nbsp; 13452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.61%, <br> 3/30/2028 (b) (c)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 22075 | &nbsp;&nbsp;&nbsp;&nbsp; 20920 |
| &nbsp;&nbsp;&nbsp; Federation des Caisses Desjardins du Quebec (Canada) 5.25%, 4/26/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21595 | &nbsp;&nbsp;&nbsp;&nbsp; 21993 |
| &nbsp;&nbsp;&nbsp; Fifth Third Bancorp (SOFR + 1.84%), 5.63%, 1/29/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8401 | &nbsp;&nbsp;&nbsp;&nbsp; 8626 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) | &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) | &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.61%), 4.29%, 9/12/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4932 | &nbsp;&nbsp;&nbsp;&nbsp; 4922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.81%), 4.04%, 3/13/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 17888 | &nbsp;&nbsp;&nbsp;&nbsp; 17677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.73%), 2.01%, 9/22/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 25865 | &nbsp;&nbsp;&nbsp;&nbsp; 24315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 2.21%, 8/17/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13465 | &nbsp;&nbsp;&nbsp;&nbsp; 12410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 5.29%, 11/19/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 43090 | &nbsp;&nbsp;&nbsp;&nbsp; 43518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 5.13%, 3/3/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11185 | &nbsp;&nbsp;&nbsp;&nbsp; 11213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.95%), 2.36%, 8/18/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 20470 | &nbsp;&nbsp;&nbsp;&nbsp; 17942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.41%), 2.87%, 11/22/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13085 | &nbsp;&nbsp;&nbsp;&nbsp; 11395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.65%), 6.33%, 3/9/2044 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3840 | &nbsp;&nbsp;&nbsp;&nbsp; 4030 |
| &nbsp;&nbsp;&nbsp; Huntington Bancshares, Inc.  | &nbsp;&nbsp;&nbsp; Huntington Bancshares, Inc.  | &nbsp;&nbsp;&nbsp; Huntington Bancshares, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.28%), 5.27%, 1/15/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 17160 | &nbsp;&nbsp;&nbsp;&nbsp; 17346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 1.87%), 5.71%, 2/2/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 13079 |
| &nbsp;&nbsp;&nbsp; ING Groep NV (Netherlands) | &nbsp;&nbsp;&nbsp; ING Groep NV (Netherlands) | &nbsp;&nbsp;&nbsp; ING Groep NV (Netherlands) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 3/29/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2572 | &nbsp;&nbsp;&nbsp;&nbsp; 2547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.01%), 1.73%, 4/1/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8840 | &nbsp;&nbsp;&nbsp;&nbsp; 8628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.56%), 6.08%, 9/11/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7083 | &nbsp;&nbsp;&nbsp;&nbsp; 7210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; KBC Group NV (Belgium) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 6.32%, <br> 9/21/2034 (b) (c)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 36960 | &nbsp;&nbsp;&nbsp;&nbsp; 39037 |
| &nbsp;&nbsp;&nbsp; KeyCorp  | &nbsp;&nbsp;&nbsp; KeyCorp  | &nbsp;&nbsp;&nbsp; KeyCorp  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 1.23%), 5.12%, 4/4/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26465 | &nbsp;&nbsp;&nbsp;&nbsp; 26409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 2.06%), 4.79%, 6/1/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3780 | &nbsp;&nbsp;&nbsp;&nbsp; 3609 |
| &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.58%, 12/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4700 | &nbsp;&nbsp;&nbsp;&nbsp; 4691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12150 | &nbsp;&nbsp;&nbsp;&nbsp; 11805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.38%), 5.46%, 1/5/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6805 | &nbsp;&nbsp;&nbsp;&nbsp; 6882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 3/22/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6745 | &nbsp;&nbsp;&nbsp;&nbsp; 6703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.68%, 1/5/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 19370 | &nbsp;&nbsp;&nbsp;&nbsp; 19575 |
| &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Financial Group, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Financial Group, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Financial Group, Inc. (Japan) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 17660 | &nbsp;&nbsp;&nbsp;&nbsp; 17055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.64%, 10/13/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14590 | &nbsp;&nbsp;&nbsp;&nbsp; 14012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 7/17/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 23420 | &nbsp;&nbsp;&nbsp;&nbsp; 20551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.17%), 5.16%, 4/24/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 20600 | &nbsp;&nbsp;&nbsp;&nbsp; 20884 |
| &nbsp;&nbsp;&nbsp; Mizuho Financial Group, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Mizuho Financial Group, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Mizuho Financial Group, Inc. (Japan) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 16739 | &nbsp;&nbsp;&nbsp;&nbsp; 16201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.57%), 2.87%, 9/13/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11274 | &nbsp;&nbsp;&nbsp;&nbsp; 10453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 5.74%, 5/27/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26000 | &nbsp;&nbsp;&nbsp;&nbsp; 26975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 5.75%, 7/6/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 15424 |
| &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 4/5/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 11867 | &nbsp;&nbsp;&nbsp;&nbsp; 11893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 8092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 5.85%, 3/2/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8560 | &nbsp;&nbsp;&nbsp;&nbsp; 8629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH SOFR + 1.75%), 4.89%, 5/18/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 29653 | &nbsp;&nbsp;&nbsp;&nbsp; 29751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.95%), 5.81%, 9/13/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4480 | &nbsp;&nbsp;&nbsp;&nbsp; 4619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH SOFR + 1.91%), 5.08%, 1/27/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14835 | &nbsp;&nbsp;&nbsp;&nbsp; 14922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH SOFR + 1.87%), 4.45%, 5/8/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 25946 | &nbsp;&nbsp;&nbsp;&nbsp; 25514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.11%, 5/23/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14675 | &nbsp;&nbsp;&nbsp;&nbsp; 14732 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 41515 | &nbsp;&nbsp;&nbsp;&nbsp; 42316 |
| &nbsp;&nbsp;&nbsp; NatWest Markets plc (United Kingdom) 5.41%, 5/17/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20945 | &nbsp;&nbsp;&nbsp;&nbsp; 21478 |
| &nbsp;&nbsp;&nbsp; Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16730 | &nbsp;&nbsp;&nbsp;&nbsp; 17041 |
| &nbsp;&nbsp;&nbsp; PNC Financial Services Group, Inc. (The)  | &nbsp;&nbsp;&nbsp; PNC Financial Services Group, Inc. (The)  | &nbsp;&nbsp;&nbsp; PNC Financial Services Group, Inc. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.33%), 4.90%, 5/13/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 28460 | &nbsp;&nbsp;&nbsp;&nbsp; 28488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.26%), 4.81%, 10/21/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 21370 | &nbsp;&nbsp;&nbsp;&nbsp; 21103 |
| &nbsp;&nbsp;&nbsp; Royal Bank of Canada (Canada) (SOFRINDX + 1.08%), 4.65%, 10/18/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 34180 | &nbsp;&nbsp;&nbsp;&nbsp; 34035 |
| &nbsp;&nbsp;&nbsp; Santander Holdings USA, Inc.  | &nbsp;&nbsp;&nbsp; Santander Holdings USA, Inc.  | &nbsp;&nbsp;&nbsp; Santander Holdings USA, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.50%), 6.17%, 1/9/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 29735 | &nbsp;&nbsp;&nbsp;&nbsp; 30678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.14%), 6.34%, 5/31/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp; 14332 |
| &nbsp;&nbsp;&nbsp; Santander UK Group Holdings plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Santander UK Group Holdings plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Santander UK Group Holdings plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.99%), 1.67%, 6/14/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14830 | &nbsp;&nbsp;&nbsp;&nbsp; 14328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.60%), 6.53%, 1/10/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 45000 | &nbsp;&nbsp;&nbsp;&nbsp; 46722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 1.55%), 4.86%, 9/11/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 20755 | &nbsp;&nbsp;&nbsp;&nbsp; 20552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 1.52%), 5.69%, 4/15/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 34925 | &nbsp;&nbsp;&nbsp;&nbsp; 35719 |
| &nbsp;&nbsp;&nbsp; Societe Generale SA (France) | &nbsp;&nbsp;&nbsp; Societe Generale SA (France) | &nbsp;&nbsp;&nbsp; Societe Generale SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 2/19/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25708 | &nbsp;&nbsp;&nbsp;&nbsp; 25859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7650 | &nbsp;&nbsp;&nbsp;&nbsp; 7410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 6.45%, 1/10/2029 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 20695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.63%, 1/19/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 23515 | &nbsp;&nbsp;&nbsp;&nbsp; 23913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 1/22/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6844 | &nbsp;&nbsp;&nbsp;&nbsp; 6286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.65%), 5.51%, 5/22/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 33075 | &nbsp;&nbsp;&nbsp;&nbsp; 33319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 31110 | &nbsp;&nbsp;&nbsp;&nbsp; 26995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 6.10%, 4/13/2033 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 36630 | &nbsp;&nbsp;&nbsp;&nbsp; 37680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12891 | &nbsp;&nbsp;&nbsp;&nbsp; 13580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.07%, 1/19/2035 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 16372 | &nbsp;&nbsp;&nbsp;&nbsp; 16621 |
| &nbsp;&nbsp;&nbsp; Standard Chartered plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Standard Chartered plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Standard Chartered plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 30497 | &nbsp;&nbsp;&nbsp;&nbsp; 29863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.85%), 6.19%, 7/6/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 23375 | &nbsp;&nbsp;&nbsp;&nbsp; 23683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.69%, 5/14/2028 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 24370 | &nbsp;&nbsp;&nbsp;&nbsp; 24709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5540 | &nbsp;&nbsp;&nbsp;&nbsp; 5911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.15%), 5.01%, 10/15/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14935 | &nbsp;&nbsp;&nbsp;&nbsp; 14923 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Financial Group, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Financial Group, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Financial Group, Inc. (Japan) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.01%, 10/19/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2517 | &nbsp;&nbsp;&nbsp;&nbsp; 2468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.72%, 9/14/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 34240 | &nbsp;&nbsp;&nbsp;&nbsp; 35443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.04%, 7/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 25422 | &nbsp;&nbsp;&nbsp;&nbsp; 23897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.71%, 1/13/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 23065 | &nbsp;&nbsp;&nbsp;&nbsp; 24018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.24%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 23100 | &nbsp;&nbsp;&nbsp;&nbsp; 23587 |
| &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) | &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) | &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.52%, 7/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15305 | &nbsp;&nbsp;&nbsp;&nbsp; 15767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 1/30/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 25100 | &nbsp;&nbsp;&nbsp;&nbsp; 25453 |
| &nbsp;&nbsp;&nbsp; Truist Financial Corp.  | &nbsp;&nbsp;&nbsp; Truist Financial Corp.  | &nbsp;&nbsp;&nbsp; Truist Financial Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.05%), 6.05%, 6/8/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 27075 | &nbsp;&nbsp;&nbsp;&nbsp; 27425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.45%), 7.16%, 10/30/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 20190 | &nbsp;&nbsp;&nbsp;&nbsp; 21735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.85%), 5.12%, 1/26/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12630 | &nbsp;&nbsp;&nbsp;&nbsp; 12382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.36%), 5.87%, 6/8/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.92%), 5.71%, 1/24/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10759 | &nbsp;&nbsp;&nbsp;&nbsp; 10932 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10885 | &nbsp;&nbsp;&nbsp;&nbsp; 10570 |
| &nbsp;&nbsp;&nbsp; US Bancorp  | &nbsp;&nbsp;&nbsp; US Bancorp  | &nbsp;&nbsp;&nbsp; US Bancorp  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.30%), 5.08%, 5/15/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 19230 | &nbsp;&nbsp;&nbsp;&nbsp; 19388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.86%), 5.68%, 1/23/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12600 | &nbsp;&nbsp;&nbsp;&nbsp; 12836 |
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  | &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  | &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 7/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2925 | &nbsp;&nbsp;&nbsp;&nbsp; 2912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.37%), 4.97%, 4/23/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 23850 | &nbsp;&nbsp;&nbsp;&nbsp; 24028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.74%), 5.57%, 7/25/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 48610 | &nbsp;&nbsp;&nbsp;&nbsp; 49868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.79%), 6.30%, 10/23/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 46180 | &nbsp;&nbsp;&nbsp;&nbsp; 48461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.50%), 5.20%, 1/23/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 22315 | &nbsp;&nbsp;&nbsp;&nbsp; 22680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.99%), 5.56%, 7/25/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 16715 | &nbsp;&nbsp;&nbsp;&nbsp; 16929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.38%), 5.21%, 12/3/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 71990 | &nbsp;&nbsp;&nbsp;&nbsp; 70601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.53%), 3.07%, 4/30/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11119 | &nbsp;&nbsp;&nbsp;&nbsp; 8148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.13%), 4.61%, 4/25/2053 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2800 | &nbsp;&nbsp;&nbsp;&nbsp; 2306 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3693031 |
| **Beverages — 0.1%** | **Beverages — 0.1%** | **Beverages — 0.1%** |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 21807 | &nbsp;&nbsp;&nbsp;&nbsp; 20961 |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide, Inc. (Belgium) 5.80%, 1/23/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 605 | &nbsp;&nbsp;&nbsp;&nbsp; 604 |
| &nbsp;&nbsp;&nbsp; Coca-Cola Femsa SAB de CV (Mexico) 1.85%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11205 | &nbsp;&nbsp;&nbsp;&nbsp; 9012 |
| &nbsp;&nbsp;&nbsp; Constellation Brands, Inc.  | &nbsp;&nbsp;&nbsp; Constellation Brands, Inc.  | &nbsp;&nbsp;&nbsp; Constellation Brands, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 5/9/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/9/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3680 | &nbsp;&nbsp;&nbsp;&nbsp; 2979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 11/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3091 | &nbsp;&nbsp;&nbsp;&nbsp; 2764 |
| &nbsp;&nbsp;&nbsp; Keurig Dr. Pepper, Inc. 3.20%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 13500 | &nbsp;&nbsp;&nbsp;&nbsp; 12591 |
| &nbsp;&nbsp;&nbsp; Molson Coors Beverage Co. 4.20%, 7/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 20196 | &nbsp;&nbsp;&nbsp;&nbsp; 15797 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 69612 |
| **Biotechnology — 0.5%** | **Biotechnology — 0.5%** | **Biotechnology — 0.5%** |
| &nbsp;&nbsp;&nbsp; AbbVie, Inc.  | &nbsp;&nbsp;&nbsp; AbbVie, Inc.  | &nbsp;&nbsp;&nbsp; AbbVie, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 3/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 10770 | &nbsp;&nbsp;&nbsp;&nbsp; 10801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3881 | &nbsp;&nbsp;&nbsp;&nbsp; 3705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/14/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 15614 | &nbsp;&nbsp;&nbsp;&nbsp; 14847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 11/21/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 33708 | &nbsp;&nbsp;&nbsp;&nbsp; 28782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 9850 | &nbsp;&nbsp;&nbsp;&nbsp; 8673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 11/6/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 12902 | &nbsp;&nbsp;&nbsp;&nbsp; 11077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 6154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 5/14/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2145 | &nbsp;&nbsp;&nbsp;&nbsp; 1798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/21/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 10194 | &nbsp;&nbsp;&nbsp;&nbsp; 8167 |
| &nbsp;&nbsp;&nbsp; Amgen, Inc.  | &nbsp;&nbsp;&nbsp; Amgen, Inc.  | &nbsp;&nbsp;&nbsp; Amgen, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 3/2/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 17235 | &nbsp;&nbsp;&nbsp;&nbsp; 17670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 3/2/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 23181 | &nbsp;&nbsp;&nbsp;&nbsp; 22496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.66%, 6/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 17300 | &nbsp;&nbsp;&nbsp;&nbsp; 14350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 3/2/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 16083 | &nbsp;&nbsp;&nbsp;&nbsp; 15310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/2/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp; 7091 |
| &nbsp;&nbsp;&nbsp; Baxalta, Inc. 5.25%, 6/23/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 327 | &nbsp;&nbsp;&nbsp;&nbsp; 298 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Biotechnology — continued** | **Biotechnology — continued** | **Biotechnology — continued** |
| &nbsp;&nbsp;&nbsp; Gilead Sciences, Inc.  | &nbsp;&nbsp;&nbsp; Gilead Sciences, Inc.  | &nbsp;&nbsp;&nbsp; Gilead Sciences, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 9165 | &nbsp;&nbsp;&nbsp;&nbsp; 7914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 10/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 64665 | &nbsp;&nbsp;&nbsp;&nbsp; 45251 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 224384 |
| **Broadline Retail — 0.1%** | **Broadline Retail — 0.1%** | **Broadline Retail — 0.1%** |
| &nbsp;&nbsp;&nbsp; Amazon.com, Inc.  | &nbsp;&nbsp;&nbsp; Amazon.com, Inc.  | &nbsp;&nbsp;&nbsp; Amazon.com, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 8/22/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 9440 | &nbsp;&nbsp;&nbsp;&nbsp; 8411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 4/13/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 27400 | &nbsp;&nbsp;&nbsp;&nbsp; 21183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 5/12/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 4458 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 34052 |
| **Building Products — 0.1%** | **Building Products — 0.1%** | **Building Products — 0.1%** |
| &nbsp;&nbsp;&nbsp; Masco Corp.  | &nbsp;&nbsp;&nbsp; Masco Corp.  | &nbsp;&nbsp;&nbsp; Masco Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5820 | &nbsp;&nbsp;&nbsp;&nbsp; 5012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10095 | &nbsp;&nbsp;&nbsp;&nbsp; 10614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3130 | &nbsp;&nbsp;&nbsp;&nbsp; 2481 |
| &nbsp;&nbsp;&nbsp; Trane Technologies Financing Ltd. 5.25%, 3/3/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 10410 | &nbsp;&nbsp;&nbsp;&nbsp; 10631 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 28738 |
| **Capital Markets — 1.7%** | **Capital Markets — 1.7%** | **Capital Markets — 1.7%** |
| &nbsp;&nbsp;&nbsp; Bank of New York Mellon Corp. (The) (SOFR + 1.85%), 6.47%, 10/25/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 19650 | &nbsp;&nbsp;&nbsp;&nbsp; 21378 |
| &nbsp;&nbsp;&nbsp; Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3107 | &nbsp;&nbsp;&nbsp;&nbsp; 2515 |
| &nbsp;&nbsp;&nbsp; Brookfield Finance, Inc. (Canada) | &nbsp;&nbsp;&nbsp; Brookfield Finance, Inc. (Canada) | &nbsp;&nbsp;&nbsp; Brookfield Finance, Inc. (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 1/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3664 | &nbsp;&nbsp;&nbsp;&nbsp; 3596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 3/29/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5160 | &nbsp;&nbsp;&nbsp;&nbsp; 5168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 9/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1075 | &nbsp;&nbsp;&nbsp;&nbsp; 889 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) | &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) | &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.52%), 7.15%, 7/13/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14135 | &nbsp;&nbsp;&nbsp;&nbsp; 14471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.22%), 2.31%, 11/16/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4955 | &nbsp;&nbsp;&nbsp;&nbsp; 4770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.59%), 5.71%, 2/8/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8188 | &nbsp;&nbsp;&nbsp;&nbsp; 8289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.21%), 5.37%, 1/10/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 24880 | &nbsp;&nbsp;&nbsp;&nbsp; 25162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 3.18%), 6.72%, 1/18/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 25341 | &nbsp;&nbsp;&nbsp;&nbsp; 26446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.41%, 5/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 16725 | &nbsp;&nbsp;&nbsp;&nbsp; 17215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.51%), 6.82%, 11/20/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11195 | &nbsp;&nbsp;&nbsp;&nbsp; 11846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.70%), 5.00%, 9/11/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6960 | &nbsp;&nbsp;&nbsp;&nbsp; 6929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.72%), 5.30%, 5/9/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 35870 | &nbsp;&nbsp;&nbsp;&nbsp; 35920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.72%), 3.04%, 5/28/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 17877 | &nbsp;&nbsp;&nbsp;&nbsp; 15784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.05%), 5.40%, 9/11/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7175 | &nbsp;&nbsp;&nbsp;&nbsp; 7002 |
| &nbsp;&nbsp;&nbsp; FMR LLC 6.45%, 11/15/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2242 | &nbsp;&nbsp;&nbsp;&nbsp; 2447 |
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  | &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  | &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.91%), 1.95%, 10/21/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14889 | &nbsp;&nbsp;&nbsp;&nbsp; 14340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.85%), 3.62%, 3/15/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15385 | &nbsp;&nbsp;&nbsp;&nbsp; 15110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.77%), 3.69%, 6/5/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 47377 | &nbsp;&nbsp;&nbsp;&nbsp; 46511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.42%), 3.81%, 4/23/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 18675 | &nbsp;&nbsp;&nbsp;&nbsp; 18268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.77%), 6.48%, 10/24/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26250 | &nbsp;&nbsp;&nbsp;&nbsp; 27693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.21%), 5.05%, 7/23/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 25535 | &nbsp;&nbsp;&nbsp;&nbsp; 25753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.58%), 5.22%, 4/23/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 39376 | &nbsp;&nbsp;&nbsp;&nbsp; 39950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.28%), 2.62%, 4/22/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11700 | &nbsp;&nbsp;&nbsp;&nbsp; 10260 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Capital Markets — continued** | **Capital Markets — continued** | **Capital Markets — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.25%), 2.38%, 7/21/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12855 | &nbsp;&nbsp;&nbsp;&nbsp; 11062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.55%), 5.33%, 7/23/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 53955 | &nbsp;&nbsp;&nbsp;&nbsp; 53498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1435 | &nbsp;&nbsp;&nbsp;&nbsp; 1544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.63%), 4.02%, 10/31/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4600 | &nbsp;&nbsp;&nbsp;&nbsp; 3917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.69%), 4.41%, 4/23/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 16126 | &nbsp;&nbsp;&nbsp;&nbsp; 14160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.51%), 3.21%, 4/22/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.63%), 3.44%, 2/24/2043 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5469 | &nbsp;&nbsp;&nbsp;&nbsp; 4043 |
| &nbsp;&nbsp;&nbsp; Jefferies Financial Group, Inc. 6.45%, 6/8/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3725 | &nbsp;&nbsp;&nbsp;&nbsp; 3840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Macquarie Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.05%, <br> 3/3/2036 (b) (c) (d)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 8095 | &nbsp;&nbsp;&nbsp;&nbsp; 7120 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley  | &nbsp;&nbsp;&nbsp; Morgan Stanley  | &nbsp;&nbsp;&nbsp; Morgan Stanley  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 9/8/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1640 | &nbsp;&nbsp;&nbsp;&nbsp; 1633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.00%), 2.48%, 1/21/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5806 | &nbsp;&nbsp;&nbsp;&nbsp; 5605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.40%), 3.77%, 1/24/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7397 | &nbsp;&nbsp;&nbsp;&nbsp; 7238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.73%), 5.12%, 2/1/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 19325 | &nbsp;&nbsp;&nbsp;&nbsp; 19558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.59%), 5.16%, 4/20/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12760 | &nbsp;&nbsp;&nbsp;&nbsp; 12938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.63%), 5.45%, 7/20/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13630 | &nbsp;&nbsp;&nbsp;&nbsp; 13941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.89%), 4.43%, 1/23/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 17528 | &nbsp;&nbsp;&nbsp;&nbsp; 17383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.26%), 5.66%, 4/18/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4930 | &nbsp;&nbsp;&nbsp;&nbsp; 5089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.22%), 5.04%, 7/19/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 16015 | &nbsp;&nbsp;&nbsp;&nbsp; 16174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.03%), 1.79%, 2/13/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11200 | &nbsp;&nbsp;&nbsp;&nbsp; 9432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.87%), 5.25%, 4/21/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 28395 | &nbsp;&nbsp;&nbsp;&nbsp; 28374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.88%), 5.42%, 7/21/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9295 | &nbsp;&nbsp;&nbsp;&nbsp; 9379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.73%), 5.47%, 1/18/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11146 | &nbsp;&nbsp;&nbsp;&nbsp; 11213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.56%), 5.32%, 7/19/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 21675 | &nbsp;&nbsp;&nbsp;&nbsp; 21534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.69%), 4.46%, 4/22/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10600 | &nbsp;&nbsp;&nbsp;&nbsp; 9609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.49%), 3.22%, 4/22/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9350 | &nbsp;&nbsp;&nbsp;&nbsp; 6875 |
| &nbsp;&nbsp;&nbsp; Nasdaq, Inc. 5.55%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 7712 | &nbsp;&nbsp;&nbsp;&nbsp; 7916 |
| &nbsp;&nbsp;&nbsp; Nomura Holdings, Inc. (Japan) 2.68%, 7/16/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12180 | &nbsp;&nbsp;&nbsp;&nbsp; 10919 |
| &nbsp;&nbsp;&nbsp; Northern Trust Corp. (3-MONTH SOFR + 1.13%), 3.38%, 5/8/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2762 | &nbsp;&nbsp;&nbsp;&nbsp; 2669 |
| &nbsp;&nbsp;&nbsp; S&P Global, Inc. 2.90%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 13602 | &nbsp;&nbsp;&nbsp;&nbsp; 12196 |
| &nbsp;&nbsp;&nbsp; State Street Corp. (SOFR + 1.57%), 4.82%, 1/26/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9010 | &nbsp;&nbsp;&nbsp;&nbsp; 8840 |
| &nbsp;&nbsp;&nbsp; UBS AG (Switzerland) 7.50%, 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3598 | &nbsp;&nbsp;&nbsp;&nbsp; 3867 |
| &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) | &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) | &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.04%), 2.19%, 6/5/2026 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9320 | &nbsp;&nbsp;&nbsp;&nbsp; 9318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH SOFR + 1.41%), 3.87%, 1/12/2029 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2991 | &nbsp;&nbsp;&nbsp;&nbsp; 2928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.52%), 5.43%, 2/8/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14521 | &nbsp;&nbsp;&nbsp;&nbsp; 14811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (USD SOFR ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8470 | &nbsp;&nbsp;&nbsp;&nbsp; 8723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 3.92%), 6.54%, 8/12/2033 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 24790 | &nbsp;&nbsp;&nbsp;&nbsp; 26613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 5.02%), 9.02%, 11/15/2033 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 12214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.76%), 5.58%, 5/9/2036 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 8005 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 832617 |
| **Chemicals — 0.1%** | **Chemicals — 0.1%** | **Chemicals — 0.1%** |
| &nbsp;&nbsp;&nbsp; CF Industries, Inc.  | &nbsp;&nbsp;&nbsp; CF Industries, Inc.  | &nbsp;&nbsp;&nbsp; CF Industries, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 3/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3570 | &nbsp;&nbsp;&nbsp;&nbsp; 3464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 16825 | &nbsp;&nbsp;&nbsp;&nbsp; 14410 |
| &nbsp;&nbsp;&nbsp; Dow Chemical Co. (The) 4.55%, 11/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 249 | &nbsp;&nbsp;&nbsp;&nbsp; 248 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Chemicals — continued** | **Chemicals — continued** | **Chemicals — continued** |
| &nbsp;&nbsp;&nbsp; DuPont de Nemours, Inc. 5.32%, 11/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 11250 | &nbsp;&nbsp;&nbsp;&nbsp; 11457 |
| &nbsp;&nbsp;&nbsp; Nutrien Ltd. (Canada) | &nbsp;&nbsp;&nbsp; Nutrien Ltd. (Canada) | &nbsp;&nbsp;&nbsp; Nutrien Ltd. (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 6522 | &nbsp;&nbsp;&nbsp;&nbsp; 5806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 1/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 4729 | &nbsp;&nbsp;&nbsp;&nbsp; 4243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 4/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4150 | &nbsp;&nbsp;&nbsp;&nbsp; 3606 |
| &nbsp;&nbsp;&nbsp; Union Carbide Corp. 7.75%, 10/1/2096 | &nbsp;&nbsp;&nbsp;&nbsp; 2719 | &nbsp;&nbsp;&nbsp;&nbsp; 3151 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 46385 |
| **Commercial Services & Supplies — 0.2%** | **Commercial Services & Supplies — 0.2%** | **Commercial Services & Supplies — 0.2%** |
| &nbsp;&nbsp;&nbsp; Element Fleet Management Corp. (Canada) | &nbsp;&nbsp;&nbsp; Element Fleet Management Corp. (Canada) | &nbsp;&nbsp;&nbsp; Element Fleet Management Corp. (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.27%, 6/26/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25300 | &nbsp;&nbsp;&nbsp;&nbsp; 25672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.64%, 3/13/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6890 | &nbsp;&nbsp;&nbsp;&nbsp; 6989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.32%, 12/4/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25788 | &nbsp;&nbsp;&nbsp;&nbsp; 27055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.04%, 3/25/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23200 | &nbsp;&nbsp;&nbsp;&nbsp; 23093 |
| &nbsp;&nbsp;&nbsp; Ford Foundation (The) Series 2020, 2.82%, 6/1/2070 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 2156 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 84965 |
| **Construction & Engineering — 0.0% ^** | **Construction & Engineering — 0.0% ^** | **Construction & Engineering — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Quanta Services, Inc.  | &nbsp;&nbsp;&nbsp; Quanta Services, Inc.  | &nbsp;&nbsp;&nbsp; Quanta Services, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 17240 | &nbsp;&nbsp;&nbsp;&nbsp; 14522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 10/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3330 | &nbsp;&nbsp;&nbsp;&nbsp; 2298 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 16820 |
| **Construction Materials — 0.0% ^** | **Construction Materials — 0.0% ^** | **Construction Materials — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; CRH America, Inc. 5.13%, 5/18/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6052 | &nbsp;&nbsp;&nbsp;&nbsp; 5460 |
| &nbsp;&nbsp;&nbsp; Martin Marietta Materials, Inc. 3.45%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5785 | &nbsp;&nbsp;&nbsp;&nbsp; 5655 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 11115 |
| **Consumer Finance — 1.3%** | **Consumer Finance — 1.3%** | **Consumer Finance — 1.3%** |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) | &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) | &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 13141 | &nbsp;&nbsp;&nbsp;&nbsp; 13147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 10/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4342 | &nbsp;&nbsp;&nbsp;&nbsp; 4337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 10/29/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 39380 | &nbsp;&nbsp;&nbsp;&nbsp; 38167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/29/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 12605 | &nbsp;&nbsp;&nbsp;&nbsp; 11899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 1/19/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3835 | &nbsp;&nbsp;&nbsp;&nbsp; 3871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 9/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 22915 | &nbsp;&nbsp;&nbsp;&nbsp; 22738 |
| &nbsp;&nbsp;&nbsp; Aircastle Ltd.  | &nbsp;&nbsp;&nbsp; Aircastle Ltd.  | &nbsp;&nbsp;&nbsp; Aircastle Ltd.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 3/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/1/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11525 | &nbsp;&nbsp;&nbsp;&nbsp; 11703 |
| &nbsp;&nbsp;&nbsp; American Express Co.  | &nbsp;&nbsp;&nbsp; American Express Co.  | &nbsp;&nbsp;&nbsp; American Express Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 1.02%), 5.09%, 1/30/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14285 | &nbsp;&nbsp;&nbsp;&nbsp; 14502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 1.32%), 5.44%, 1/30/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5720 | &nbsp;&nbsp;&nbsp;&nbsp; 5758 |
| &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) | &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) | &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 1/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 41007 | &nbsp;&nbsp;&nbsp;&nbsp; 41012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 2/21/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28294 | &nbsp;&nbsp;&nbsp;&nbsp; 27513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 4/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 56405 | &nbsp;&nbsp;&nbsp;&nbsp; 55700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 5/1/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 29066 | &nbsp;&nbsp;&nbsp;&nbsp; 28761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.53%, 11/18/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 110463 | &nbsp;&nbsp;&nbsp;&nbsp; 104117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 1/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 11948 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Consumer Finance — continued** | **Consumer Finance — continued** | **Consumer Finance — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 5/4/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10555 | &nbsp;&nbsp;&nbsp;&nbsp; 10926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/1/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21105 | &nbsp;&nbsp;&nbsp;&nbsp; 21488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 11/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 32420 | &nbsp;&nbsp;&nbsp;&nbsp; 32881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 1/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19965 | &nbsp;&nbsp;&nbsp;&nbsp; 19870 |
| &nbsp;&nbsp;&nbsp; Capital One Financial Corp.  | &nbsp;&nbsp;&nbsp; Capital One Financial Corp.  | &nbsp;&nbsp;&nbsp; Capital One Financial Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 10/29/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.86%), 1.88%, 11/2/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2798 | &nbsp;&nbsp;&nbsp;&nbsp; 2691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.64%), 6.31%, 6/8/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 29565 | &nbsp;&nbsp;&nbsp;&nbsp; 30792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.27%), 2.62%, 11/2/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 16445 | &nbsp;&nbsp;&nbsp;&nbsp; 14072 |
| &nbsp;&nbsp;&nbsp; HSBC Finance Corp. 7.63%, 5/17/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 9437 |
| &nbsp;&nbsp;&nbsp; Hyundai Capital Services, Inc. (South Korea) 5.13%, 2/5/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11200 | &nbsp;&nbsp;&nbsp;&nbsp; 11238 |
| &nbsp;&nbsp;&nbsp; Macquarie Airfinance Holdings Ltd. (United Kingdom) | &nbsp;&nbsp;&nbsp; Macquarie Airfinance Holdings Ltd. (United Kingdom) | &nbsp;&nbsp;&nbsp; Macquarie Airfinance Holdings Ltd. (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 3/27/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 34225 | &nbsp;&nbsp;&nbsp;&nbsp; 34325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 3/26/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 27694 | &nbsp;&nbsp;&nbsp;&nbsp; 28635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 3/17/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14928 | &nbsp;&nbsp;&nbsp;&nbsp; 14704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 3/26/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13550 | &nbsp;&nbsp;&nbsp;&nbsp; 14083 |
| &nbsp;&nbsp;&nbsp; Mitsubishi HC Finance America LLC (Japan) 5.81%, 9/12/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13025 | &nbsp;&nbsp;&nbsp;&nbsp; 13436 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 656891 |
| **Consumer Staples Distribution & Retail — 0.1%** | **Consumer Staples Distribution & Retail — 0.1%** | **Consumer Staples Distribution & Retail — 0.1%** |
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust 7.51%, 1/10/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3451 | &nbsp;&nbsp;&nbsp;&nbsp; 3604 |
| &nbsp;&nbsp;&nbsp; Kroger Co. (The)  | &nbsp;&nbsp;&nbsp; Kroger Co. (The)  | &nbsp;&nbsp;&nbsp; Kroger Co. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 9/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 9140 | &nbsp;&nbsp;&nbsp;&nbsp; 8902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 7/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 829 | &nbsp;&nbsp;&nbsp;&nbsp; 794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 4/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 8037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 10/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp; 8107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 9/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 6950 | &nbsp;&nbsp;&nbsp;&nbsp; 6427 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 35871 |
| **Containers & Packaging — 0.0% ^** | **Containers & Packaging — 0.0% ^** | **Containers & Packaging — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Amcor Flexibles North America, Inc. 5.10%, 3/17/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 6039 |
| &nbsp;&nbsp;&nbsp; Smurfit Westrock Financing DAC (Ireland) 5.42%, 1/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5760 | &nbsp;&nbsp;&nbsp;&nbsp; 5735 |
| &nbsp;&nbsp;&nbsp; WRKCo, Inc. 3.90%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2870 | &nbsp;&nbsp;&nbsp;&nbsp; 2811 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 14585 |
| **Diversified — 0.3%** | **Diversified — 0.3%** | **Diversified — 0.3%** |
| &nbsp;&nbsp;&nbsp; Ygrene Energy Fund, Inc. 8.50%, 7/25/2045 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 145433 | &nbsp;&nbsp;&nbsp;&nbsp; 145433 |
| **Diversified Consumer Services — 0.1%** | **Diversified Consumer Services — 0.1%** | **Diversified Consumer Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Claremont Mckenna College Series 2019, 3.38%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 6873 |
| &nbsp;&nbsp;&nbsp; Pepperdine University Series 2020, 3.30%, 12/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 9620 | &nbsp;&nbsp;&nbsp;&nbsp; 5792 |
| &nbsp;&nbsp;&nbsp; University of Miami Series 2022, 4.06%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6570 | &nbsp;&nbsp;&nbsp;&nbsp; 5010 |
| &nbsp;&nbsp;&nbsp; University of Southern California Series A, 3.23%, 10/1/2120 | &nbsp;&nbsp;&nbsp;&nbsp; 9370 | &nbsp;&nbsp;&nbsp;&nbsp; 5157 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 22832 |
| **Diversified REITs — 0.1%** | **Diversified REITs — 0.1%** | **Diversified REITs — 0.1%** |
| &nbsp;&nbsp;&nbsp; Safehold GL Holdings LLC  | &nbsp;&nbsp;&nbsp; Safehold GL Holdings LLC  | &nbsp;&nbsp;&nbsp; Safehold GL Holdings LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 10543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2972 | &nbsp;&nbsp;&nbsp;&nbsp; 2527 |
| &nbsp;&nbsp;&nbsp; Simon Property Group LP 3.25%, 9/13/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 12865 | &nbsp;&nbsp;&nbsp;&nbsp; 8423 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Diversified REITs — continued** | **Diversified REITs — continued** | **Diversified REITs — continued** |
| &nbsp;&nbsp;&nbsp; WP Carey, Inc.  | &nbsp;&nbsp;&nbsp; WP Carey, Inc.  | &nbsp;&nbsp;&nbsp; WP Carey, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4970 | &nbsp;&nbsp;&nbsp;&nbsp; 4940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10980 | &nbsp;&nbsp;&nbsp;&nbsp; 9230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 9630 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 45293 |
| **Diversified Telecommunication Services — 0.4%** | **Diversified Telecommunication Services — 0.4%** | **Diversified Telecommunication Services — 0.4%** |
| &nbsp;&nbsp;&nbsp; AT&T, Inc.  | &nbsp;&nbsp;&nbsp; AT&T, Inc.  | &nbsp;&nbsp;&nbsp; AT&T, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 2/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3535 | &nbsp;&nbsp;&nbsp;&nbsp; 3290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 26520 | &nbsp;&nbsp;&nbsp;&nbsp; 22500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 6/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 35836 | &nbsp;&nbsp;&nbsp;&nbsp; 27419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 6/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 16997 | &nbsp;&nbsp;&nbsp;&nbsp; 11818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 9/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 25312 | &nbsp;&nbsp;&nbsp;&nbsp; 16733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 12/1/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 4454 | &nbsp;&nbsp;&nbsp;&nbsp; 3049 |
| &nbsp;&nbsp;&nbsp; Deutsche Telekom AG (Germany) 3.63%, 1/21/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4657 | &nbsp;&nbsp;&nbsp;&nbsp; 3277 |
| &nbsp;&nbsp;&nbsp; Deutsche Telekom International Finance BV (Germany) 4.88%, 3/6/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2087 | &nbsp;&nbsp;&nbsp;&nbsp; 1874 |
| &nbsp;&nbsp;&nbsp; Sprint Capital Corp. 6.88%, 11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11302 | &nbsp;&nbsp;&nbsp;&nbsp; 12091 |
| &nbsp;&nbsp;&nbsp; Verizon Communications, Inc.  | &nbsp;&nbsp;&nbsp; Verizon Communications, Inc.  | &nbsp;&nbsp;&nbsp; Verizon Communications, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.68%, 10/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2840 | &nbsp;&nbsp;&nbsp;&nbsp; 2434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 3/21/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 22143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.78%, 2/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 19409 | &nbsp;&nbsp;&nbsp;&nbsp; 18679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 11/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 27316 | &nbsp;&nbsp;&nbsp;&nbsp; 18827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 3/22/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 5292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 3/22/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 6890 | &nbsp;&nbsp;&nbsp;&nbsp; 4642 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 174068 |
| **Electric Utilities — 2.8%** | **Electric Utilities — 2.8%** | **Electric Utilities — 2.8%** |
| &nbsp;&nbsp;&nbsp; AEP Transmission Co. LLC  | &nbsp;&nbsp;&nbsp; AEP Transmission Co. LLC  | &nbsp;&nbsp;&nbsp; AEP Transmission Co. LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 6/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3615 | &nbsp;&nbsp;&nbsp;&nbsp; 2588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 9/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2680 | &nbsp;&nbsp;&nbsp;&nbsp; 1726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 3/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 4030 | &nbsp;&nbsp;&nbsp;&nbsp; 3764 |
| &nbsp;&nbsp;&nbsp; Alabama Power Co.  | &nbsp;&nbsp;&nbsp; Alabama Power Co.  | &nbsp;&nbsp;&nbsp; Alabama Power Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1904 | &nbsp;&nbsp;&nbsp;&nbsp; 2020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 3/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 769 | &nbsp;&nbsp;&nbsp;&nbsp; 812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 1/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 923 | &nbsp;&nbsp;&nbsp;&nbsp; 737 |
| &nbsp;&nbsp;&nbsp; Appalachian Power Co. Series P, 6.70%, 8/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 3740 | &nbsp;&nbsp;&nbsp;&nbsp; 3998 |
| &nbsp;&nbsp;&nbsp; Arizona Public Service Co. 5.05%, 9/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3036 | &nbsp;&nbsp;&nbsp;&nbsp; 2736 |
| &nbsp;&nbsp;&nbsp; Ausgrid Finance Pty. Ltd. (Australia) 4.35%, 8/1/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1477 |
| &nbsp;&nbsp;&nbsp; Baltimore Gas and Electric Co.  | &nbsp;&nbsp;&nbsp; Baltimore Gas and Electric Co.  | &nbsp;&nbsp;&nbsp; Baltimore Gas and Electric Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 8/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3755 | &nbsp;&nbsp;&nbsp;&nbsp; 2673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 9/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 8020 | &nbsp;&nbsp;&nbsp;&nbsp; 5227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 6/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7770 | &nbsp;&nbsp;&nbsp;&nbsp; 4747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 6/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 17320 | &nbsp;&nbsp;&nbsp;&nbsp; 16679 |
| &nbsp;&nbsp;&nbsp; CenterPoint Energy Houston Electric LLC 3.95%, 3/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1066 | &nbsp;&nbsp;&nbsp;&nbsp; 806 |
| &nbsp;&nbsp;&nbsp; Cleveland Electric Illuminating Co. (The)  | &nbsp;&nbsp;&nbsp; Cleveland Electric Illuminating Co. (The)  | &nbsp;&nbsp;&nbsp; Cleveland Electric Illuminating Co. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 4/1/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3890 | &nbsp;&nbsp;&nbsp;&nbsp; 3748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 840 | &nbsp;&nbsp;&nbsp;&nbsp; 861 |
| &nbsp;&nbsp;&nbsp; Commonwealth Edison Co. 3.65%, 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3615 | &nbsp;&nbsp;&nbsp;&nbsp; 2647 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electric Utilities — continued** | **Electric Utilities — continued** | **Electric Utilities — continued** |
| &nbsp;&nbsp;&nbsp; Consumers 2023 Securitization Funding LLC Series A2, 5.21%, 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4231 | &nbsp;&nbsp;&nbsp;&nbsp; 4287 |
| &nbsp;&nbsp;&nbsp; DTE Electric Co.  | &nbsp;&nbsp;&nbsp; DTE Electric Co.  | &nbsp;&nbsp;&nbsp; DTE Electric Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 3/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8800 | &nbsp;&nbsp;&nbsp;&nbsp; 5584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.65%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1146 | &nbsp;&nbsp;&nbsp;&nbsp; 821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 4/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 934 | &nbsp;&nbsp;&nbsp;&nbsp; 883 |
| &nbsp;&nbsp;&nbsp; DTE Electric Securitization Funding II LLC  | &nbsp;&nbsp;&nbsp; DTE Electric Securitization Funding II LLC  | &nbsp;&nbsp;&nbsp; DTE Electric Securitization Funding II LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-1, 5.97%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 16370 | &nbsp;&nbsp;&nbsp;&nbsp; 17161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-2, 6.09%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 18650 | &nbsp;&nbsp;&nbsp;&nbsp; 19806 |
| &nbsp;&nbsp;&nbsp; Duke Energy Carolinas LLC  | &nbsp;&nbsp;&nbsp; Duke Energy Carolinas LLC  | &nbsp;&nbsp;&nbsp; Duke Energy Carolinas LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 12/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1228 | &nbsp;&nbsp;&nbsp;&nbsp; 1022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 1/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 9705 | &nbsp;&nbsp;&nbsp;&nbsp; 9043 |
| &nbsp;&nbsp;&nbsp; Duke Energy Corp.  | &nbsp;&nbsp;&nbsp; Duke Energy Corp.  | &nbsp;&nbsp;&nbsp; Duke Energy Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1382 | &nbsp;&nbsp;&nbsp;&nbsp; 1352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 9/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 16415 | &nbsp;&nbsp;&nbsp;&nbsp; 11803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 9/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 26040 | &nbsp;&nbsp;&nbsp;&nbsp; 25808 |
| &nbsp;&nbsp;&nbsp; Duke Energy Florida Project Finance LLC Series 2032, 2.86%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9430 | &nbsp;&nbsp;&nbsp;&nbsp; 8431 |
| &nbsp;&nbsp;&nbsp; Duke Energy Indiana LLC  | &nbsp;&nbsp;&nbsp; Duke Energy Indiana LLC  | &nbsp;&nbsp;&nbsp; Duke Energy Indiana LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 5/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 3317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series YYY, 3.25%, 10/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 6895 | &nbsp;&nbsp;&nbsp;&nbsp; 4510 |
| &nbsp;&nbsp;&nbsp; Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3297 | &nbsp;&nbsp;&nbsp;&nbsp; 2391 |
| &nbsp;&nbsp;&nbsp; Duke Energy Progress LLC  | &nbsp;&nbsp;&nbsp; Duke Energy Progress LLC  | &nbsp;&nbsp;&nbsp; Duke Energy Progress LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1886 | &nbsp;&nbsp;&nbsp;&nbsp; 1531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 3/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1569 | &nbsp;&nbsp;&nbsp;&nbsp; 1266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 12/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2258 | &nbsp;&nbsp;&nbsp;&nbsp; 1795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 10/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1616 | &nbsp;&nbsp;&nbsp;&nbsp; 1185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9495 | &nbsp;&nbsp;&nbsp;&nbsp; 5726 |
| &nbsp;&nbsp;&nbsp; Duke Energy Progress NC Storm Funding LLC Series A-2, 2.39%, 7/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4096 |
| &nbsp;&nbsp;&nbsp; Duquesne Light Holdings, Inc.  | &nbsp;&nbsp;&nbsp; Duquesne Light Holdings, Inc.  | &nbsp;&nbsp;&nbsp; Duquesne Light Holdings, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.62%, 8/1/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8002 | &nbsp;&nbsp;&nbsp;&nbsp; 7732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 1/7/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6275 | &nbsp;&nbsp;&nbsp;&nbsp; 5351 |
| &nbsp;&nbsp;&nbsp; Edison International  | &nbsp;&nbsp;&nbsp; Edison International  | &nbsp;&nbsp;&nbsp; Edison International  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 6/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 2009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6730 | &nbsp;&nbsp;&nbsp;&nbsp; 6473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15800 | &nbsp;&nbsp;&nbsp;&nbsp; 15566 |
| &nbsp;&nbsp;&nbsp; Electricite de France SA (France) 5.95%, 4/22/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19275 | &nbsp;&nbsp;&nbsp;&nbsp; 19791 |
| &nbsp;&nbsp;&nbsp; Emera US Finance LP (Canada) 4.75%, 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 24295 | &nbsp;&nbsp;&nbsp;&nbsp; 19606 |
| &nbsp;&nbsp;&nbsp; Enel Finance International NV (Italy) | &nbsp;&nbsp;&nbsp; Enel Finance International NV (Italy) | &nbsp;&nbsp;&nbsp; Enel Finance International NV (Italy) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 4/6/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 4365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 6/26/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15935 | &nbsp;&nbsp;&nbsp;&nbsp; 16133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/26/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22930 | &nbsp;&nbsp;&nbsp;&nbsp; 22960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 10/7/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 897 | &nbsp;&nbsp;&nbsp;&nbsp; 904 |
| &nbsp;&nbsp;&nbsp; Entergy Arkansas LLC  | &nbsp;&nbsp;&nbsp; Entergy Arkansas LLC  | &nbsp;&nbsp;&nbsp; Entergy Arkansas LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 6/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8425 | &nbsp;&nbsp;&nbsp;&nbsp; 4783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 6/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 6750 | &nbsp;&nbsp;&nbsp;&nbsp; 6510 |
| &nbsp;&nbsp;&nbsp; Entergy Corp. 2.95%, 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2469 | &nbsp;&nbsp;&nbsp;&nbsp; 2421 |
| &nbsp;&nbsp;&nbsp; Entergy Louisiana LLC  | &nbsp;&nbsp;&nbsp; Entergy Louisiana LLC  | &nbsp;&nbsp;&nbsp; Entergy Louisiana LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4979 | &nbsp;&nbsp;&nbsp;&nbsp; 4856 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electric Utilities — continued** | **Electric Utilities — continued** | **Electric Utilities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1551 | &nbsp;&nbsp;&nbsp;&nbsp; 1508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4606 | &nbsp;&nbsp;&nbsp;&nbsp; 4206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3430 | &nbsp;&nbsp;&nbsp;&nbsp; 3184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 3/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 17840 | &nbsp;&nbsp;&nbsp;&nbsp; 17289 |
| &nbsp;&nbsp;&nbsp; Entergy Mississippi LLC 5.85%, 6/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 12395 | &nbsp;&nbsp;&nbsp;&nbsp; 12082 |
| &nbsp;&nbsp;&nbsp; Entergy Texas, Inc. 5.80%, 9/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 8450 | &nbsp;&nbsp;&nbsp;&nbsp; 8148 |
| &nbsp;&nbsp;&nbsp; Evergy Missouri West Storm Funding I LLC Series A-1, 5.10%, 12/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 11023 | &nbsp;&nbsp;&nbsp;&nbsp; 10850 |
| &nbsp;&nbsp;&nbsp; Evergy, Inc. 2.90%, 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 14800 | &nbsp;&nbsp;&nbsp;&nbsp; 13787 |
| &nbsp;&nbsp;&nbsp; Exelon Corp.  | &nbsp;&nbsp;&nbsp; Exelon Corp.  | &nbsp;&nbsp;&nbsp; Exelon Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1177 | &nbsp;&nbsp;&nbsp;&nbsp; 1165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 13147 |
| &nbsp;&nbsp;&nbsp; Fells Point Funding Trust 3.05%, 1/31/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 51620 | &nbsp;&nbsp;&nbsp;&nbsp; 50199 |
| &nbsp;&nbsp;&nbsp; FirstEnergy Pennsylvania Electric Co.  | &nbsp;&nbsp;&nbsp; FirstEnergy Pennsylvania Electric Co.  | &nbsp;&nbsp;&nbsp; FirstEnergy Pennsylvania Electric Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 3/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1570 | &nbsp;&nbsp;&nbsp;&nbsp; 1513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 4/1/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2400 | &nbsp;&nbsp;&nbsp;&nbsp; 2439 |
| &nbsp;&nbsp;&nbsp; FirstEnergy Transmission LLC  | &nbsp;&nbsp;&nbsp; FirstEnergy Transmission LLC  | &nbsp;&nbsp;&nbsp; FirstEnergy Transmission LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 7/15/2044 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8353 | &nbsp;&nbsp;&nbsp;&nbsp; 7865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 4/1/2049 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 830 | &nbsp;&nbsp;&nbsp;&nbsp; 697 |
| &nbsp;&nbsp;&nbsp; Florida Power & Light Co.  | &nbsp;&nbsp;&nbsp; Florida Power & Light Co.  | &nbsp;&nbsp;&nbsp; Florida Power & Light Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5440 | &nbsp;&nbsp;&nbsp;&nbsp; 5491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 4/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 9410 | &nbsp;&nbsp;&nbsp;&nbsp; 8753 |
| &nbsp;&nbsp;&nbsp; Fortis, Inc. (Canada) 3.06%, 10/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8472 | &nbsp;&nbsp;&nbsp;&nbsp; 8301 |
| &nbsp;&nbsp;&nbsp; Interstate Power and Light Co. 4.95%, 9/30/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 8615 | &nbsp;&nbsp;&nbsp;&nbsp; 8322 |
| &nbsp;&nbsp;&nbsp; ITC Holdings Corp.  | &nbsp;&nbsp;&nbsp; ITC Holdings Corp.  | &nbsp;&nbsp;&nbsp; ITC Holdings Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 5/14/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6820 | &nbsp;&nbsp;&nbsp;&nbsp; 6268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 6/1/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 5/9/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18040 | &nbsp;&nbsp;&nbsp;&nbsp; 18158 |
| &nbsp;&nbsp;&nbsp; Jersey Central Power & Light Co.  | &nbsp;&nbsp;&nbsp; Jersey Central Power & Light Co.  | &nbsp;&nbsp;&nbsp; Jersey Central Power & Light Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 1/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6154 | &nbsp;&nbsp;&nbsp;&nbsp; 6134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 1/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 8680 | &nbsp;&nbsp;&nbsp;&nbsp; 8494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.15%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1740 | &nbsp;&nbsp;&nbsp;&nbsp; 1819 |
| &nbsp;&nbsp;&nbsp; Massachusetts Electric Co. 4.00%, 8/15/2046 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4957 | &nbsp;&nbsp;&nbsp;&nbsp; 3808 |
| &nbsp;&nbsp;&nbsp; MidAmerican Energy Co. 5.85%, 9/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 10500 | &nbsp;&nbsp;&nbsp;&nbsp; 10462 |
| &nbsp;&nbsp;&nbsp; Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12530 | &nbsp;&nbsp;&nbsp;&nbsp; 12366 |
| &nbsp;&nbsp;&nbsp; Monongahela Power Co. 5.85%, 2/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7920 | &nbsp;&nbsp;&nbsp;&nbsp; 8107 |
| &nbsp;&nbsp;&nbsp; Nevada Power Co.  | &nbsp;&nbsp;&nbsp; Nevada Power Co.  | &nbsp;&nbsp;&nbsp; Nevada Power Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series N, 6.65%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp; 760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 9/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1287 | &nbsp;&nbsp;&nbsp;&nbsp; 1262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3354 | &nbsp;&nbsp;&nbsp;&nbsp; 3173 |
| &nbsp;&nbsp;&nbsp; New England Power Co. (United Kingdom) 3.80%, 12/5/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3024 | &nbsp;&nbsp;&nbsp;&nbsp; 2240 |
| &nbsp;&nbsp;&nbsp; NextEra Energy Capital Holdings, Inc.  | &nbsp;&nbsp;&nbsp; NextEra Energy Capital Holdings, Inc.  | &nbsp;&nbsp;&nbsp; NextEra Energy Capital Holdings, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 9/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 10380 | &nbsp;&nbsp;&nbsp;&nbsp; 10407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2239 | &nbsp;&nbsp;&nbsp;&nbsp; 2199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 2/28/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 11030 | &nbsp;&nbsp;&nbsp;&nbsp; 9861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 3/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 45000 | &nbsp;&nbsp;&nbsp;&nbsp; 41643 |
| &nbsp;&nbsp;&nbsp; Niagara Mohawk Power Corp. 5.66%, 1/17/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8540 | &nbsp;&nbsp;&nbsp;&nbsp; 7953 |
| &nbsp;&nbsp;&nbsp; Northern States Power Co. 5.10%, 5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 15470 | &nbsp;&nbsp;&nbsp;&nbsp; 13912 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electric Utilities — continued** | **Electric Utilities — continued** | **Electric Utilities — continued** |
| &nbsp;&nbsp;&nbsp; NRG Energy, Inc.  | &nbsp;&nbsp;&nbsp; NRG Energy, Inc.  | &nbsp;&nbsp;&nbsp; NRG Energy, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 12/2/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8422 | &nbsp;&nbsp;&nbsp;&nbsp; 8285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 12/2/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13055 | &nbsp;&nbsp;&nbsp;&nbsp; 12282 |
| &nbsp;&nbsp;&nbsp; OGE Energy Corp. 5.45%, 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7110 | &nbsp;&nbsp;&nbsp;&nbsp; 7322 |
| &nbsp;&nbsp;&nbsp; Ohio Edison Co. 6.88%, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 780 | &nbsp;&nbsp;&nbsp;&nbsp; 867 |
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC  | &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC  | &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1076 | &nbsp;&nbsp;&nbsp;&nbsp; 1121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 9/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 19830 | &nbsp;&nbsp;&nbsp;&nbsp; 17120 |
| &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co.  | &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co.  | &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 7/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 8635 | &nbsp;&nbsp;&nbsp;&nbsp; 8620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5955 | &nbsp;&nbsp;&nbsp;&nbsp; 5859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7665 | &nbsp;&nbsp;&nbsp;&nbsp; 7376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 28870 | &nbsp;&nbsp;&nbsp;&nbsp; 29827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 33829 | &nbsp;&nbsp;&nbsp;&nbsp; 34807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 5/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 21651 | &nbsp;&nbsp;&nbsp;&nbsp; 21398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 4/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 5700 | &nbsp;&nbsp;&nbsp;&nbsp; 4435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 8/15/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2882 | &nbsp;&nbsp;&nbsp;&nbsp; 2032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 18688 | &nbsp;&nbsp;&nbsp;&nbsp; 13914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 3496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 1/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 7990 | &nbsp;&nbsp;&nbsp;&nbsp; 7956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 10/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 18445 | &nbsp;&nbsp;&nbsp;&nbsp; 16519 |
| &nbsp;&nbsp;&nbsp; Palomino Funding Trust I 7.23%, 5/17/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5260 |
| &nbsp;&nbsp;&nbsp; PECO Energy Co. 2.80%, 6/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6430 | &nbsp;&nbsp;&nbsp;&nbsp; 3895 |
| &nbsp;&nbsp;&nbsp; Pepco Holdings LLC 7.45%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3507 | &nbsp;&nbsp;&nbsp;&nbsp; 3925 |
| &nbsp;&nbsp;&nbsp; PG&E Recovery Funding LLC  | &nbsp;&nbsp;&nbsp; PG&E Recovery Funding LLC  | &nbsp;&nbsp;&nbsp; PG&E Recovery Funding LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-2, 5.23%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 22380 | &nbsp;&nbsp;&nbsp;&nbsp; 22058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-3, 5.54%, 7/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 8670 | &nbsp;&nbsp;&nbsp;&nbsp; 8279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-3, 5.53%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 26600 | &nbsp;&nbsp;&nbsp;&nbsp; 25708 |
| &nbsp;&nbsp;&nbsp; PG&E Wildfire Recovery Funding LLC  | &nbsp;&nbsp;&nbsp; PG&E Wildfire Recovery Funding LLC  | &nbsp;&nbsp;&nbsp; PG&E Wildfire Recovery Funding LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-2, 4.26%, 6/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 10550 | &nbsp;&nbsp;&nbsp;&nbsp; 9893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-4, 5.21%, 12/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 9600 | &nbsp;&nbsp;&nbsp;&nbsp; 8867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-5, 4.67%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2170 | &nbsp;&nbsp;&nbsp;&nbsp; 1844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-5, 5.10%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 26355 | &nbsp;&nbsp;&nbsp;&nbsp; 23891 |
| &nbsp;&nbsp;&nbsp; PNM Energy Transition Bond Co. I LLC Series A-1, 5.64%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 26389 | &nbsp;&nbsp;&nbsp;&nbsp; 26715 |
| &nbsp;&nbsp;&nbsp; Potomac Electric Power Co. 6.50%, 11/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1184 | &nbsp;&nbsp;&nbsp;&nbsp; 1301 |
| &nbsp;&nbsp;&nbsp; PPL Electric Utilities Corp.  | &nbsp;&nbsp;&nbsp; PPL Electric Utilities Corp.  | &nbsp;&nbsp;&nbsp; PPL Electric Utilities Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 6402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 14285 | &nbsp;&nbsp;&nbsp;&nbsp; 13283 |
| &nbsp;&nbsp;&nbsp; Progress Energy, Inc. 7.00%, 10/30/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2600 | &nbsp;&nbsp;&nbsp;&nbsp; 2883 |
| &nbsp;&nbsp;&nbsp; Public Service Co. of Colorado  | &nbsp;&nbsp;&nbsp; Public Service Co. of Colorado  | &nbsp;&nbsp;&nbsp; Public Service Co. of Colorado  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1175 | &nbsp;&nbsp;&nbsp;&nbsp; 811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 4/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 10460 | &nbsp;&nbsp;&nbsp;&nbsp; 9284 |
| &nbsp;&nbsp;&nbsp; Public Service Co. of Oklahoma  | &nbsp;&nbsp;&nbsp; Public Service Co. of Oklahoma  | &nbsp;&nbsp;&nbsp; Public Service Co. of Oklahoma  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6680 | &nbsp;&nbsp;&nbsp;&nbsp; 6656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 1/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 6205 | &nbsp;&nbsp;&nbsp;&nbsp; 6064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G, 6.63%, 11/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 3901 | &nbsp;&nbsp;&nbsp;&nbsp; 4148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K, 3.15%, 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 12330 | &nbsp;&nbsp;&nbsp;&nbsp; 7568 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electric Utilities — continued** | **Electric Utilities — continued** | **Electric Utilities — continued** |
| &nbsp;&nbsp;&nbsp; Public Service Electric and Gas Co. 5.38%, 11/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1021 | &nbsp;&nbsp;&nbsp;&nbsp; 1012 |
| &nbsp;&nbsp;&nbsp; SCE Recovery Funding LLC  | &nbsp;&nbsp;&nbsp; SCE Recovery Funding LLC  | &nbsp;&nbsp;&nbsp; SCE Recovery Funding LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-2, 1.94%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 9380 | &nbsp;&nbsp;&nbsp;&nbsp; 6903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-1, 4.70%, 6/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 16684 | &nbsp;&nbsp;&nbsp;&nbsp; 15914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-3, 2.51%, 11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 7950 | &nbsp;&nbsp;&nbsp;&nbsp; 5146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-2, 5.11%, 12/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 6495 | &nbsp;&nbsp;&nbsp;&nbsp; 5733 |
| &nbsp;&nbsp;&nbsp; Sierra Pacific Power Co. 5.90%, 3/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 20270 | &nbsp;&nbsp;&nbsp;&nbsp; 19684 |
| &nbsp;&nbsp;&nbsp; Sigeco Securitization I LLC  | &nbsp;&nbsp;&nbsp; Sigeco Securitization I LLC  | &nbsp;&nbsp;&nbsp; Sigeco Securitization I LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A1, 5.03%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 16336 | &nbsp;&nbsp;&nbsp;&nbsp; 16312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A2, 5.17%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 6960 | &nbsp;&nbsp;&nbsp;&nbsp; 6747 |
| &nbsp;&nbsp;&nbsp; Southern California Edison Co.  | &nbsp;&nbsp;&nbsp; Southern California Edison Co.  | &nbsp;&nbsp;&nbsp; Southern California Edison Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.65%, 3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4300 | &nbsp;&nbsp;&nbsp;&nbsp; 4168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 895 | &nbsp;&nbsp;&nbsp;&nbsp; 907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 6/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 14150 | &nbsp;&nbsp;&nbsp;&nbsp; 13551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 3/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 2197 | &nbsp;&nbsp;&nbsp;&nbsp; 2174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 12/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3408 | &nbsp;&nbsp;&nbsp;&nbsp; 2463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series C, 4.13%, 3/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1800 | &nbsp;&nbsp;&nbsp;&nbsp; 1273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 20A, 2.95%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 1695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 3/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 5545 | &nbsp;&nbsp;&nbsp;&nbsp; 4843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 12/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 25400 | &nbsp;&nbsp;&nbsp;&nbsp; 22712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 4/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 13500 | &nbsp;&nbsp;&nbsp;&nbsp; 11859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 3/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 12515 | &nbsp;&nbsp;&nbsp;&nbsp; 11238 |
| &nbsp;&nbsp;&nbsp; Southern Co. (The)  | &nbsp;&nbsp;&nbsp; Southern Co. (The)  | &nbsp;&nbsp;&nbsp; Southern Co. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9400 | &nbsp;&nbsp;&nbsp;&nbsp; 9736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2370 | &nbsp;&nbsp;&nbsp;&nbsp; 2367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 3/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 28704 | &nbsp;&nbsp;&nbsp;&nbsp; 29545 |
| &nbsp;&nbsp;&nbsp; Southwestern Public Service Co. 4.50%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2700 | &nbsp;&nbsp;&nbsp;&nbsp; 2278 |
| &nbsp;&nbsp;&nbsp; Toledo Edison Co. (The) 6.15%, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 5800 | &nbsp;&nbsp;&nbsp;&nbsp; 6177 |
| &nbsp;&nbsp;&nbsp; Union Electric Co.  | &nbsp;&nbsp;&nbsp; Union Electric Co.  | &nbsp;&nbsp;&nbsp; Union Electric Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 13540 | &nbsp;&nbsp;&nbsp;&nbsp; 13535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 4/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp; 1213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6367 | &nbsp;&nbsp;&nbsp;&nbsp; 4698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 3/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 11765 | &nbsp;&nbsp;&nbsp;&nbsp; 11011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 3/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 8335 | &nbsp;&nbsp;&nbsp;&nbsp; 7431 |
| &nbsp;&nbsp;&nbsp; Virginia Electric and Power Co. Series A, 6.00%, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2100 | &nbsp;&nbsp;&nbsp;&nbsp; 2165 |
| &nbsp;&nbsp;&nbsp; Virginia Power Fuel Securitization LLC Series A-2, 4.88%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8150 | &nbsp;&nbsp;&nbsp;&nbsp; 8208 |
| &nbsp;&nbsp;&nbsp; Vistra Operations Co. LLC  | &nbsp;&nbsp;&nbsp; Vistra Operations Co. LLC  | &nbsp;&nbsp;&nbsp; Vistra Operations Co. LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 10/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2981 | &nbsp;&nbsp;&nbsp;&nbsp; 3213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 4/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4203 | &nbsp;&nbsp;&nbsp;&nbsp; 4263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 12/30/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13240 | &nbsp;&nbsp;&nbsp;&nbsp; 13189 |
| &nbsp;&nbsp;&nbsp; Xcel Energy, Inc. 4.80%, 9/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 829 | &nbsp;&nbsp;&nbsp;&nbsp; 704 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1357502 |
| **Electronic Equipment, Instruments & Components — 0.0% ^** | **Electronic Equipment, Instruments & Components — 0.0% ^** | **Electronic Equipment, Instruments & Components — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Corning, Inc. 5.35%, 11/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6270 | &nbsp;&nbsp;&nbsp;&nbsp; 5695 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Energy Equipment & Services — 0.0% ^** | **Energy Equipment & Services — 0.0% ^** | **Energy Equipment & Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Halliburton Co.  | &nbsp;&nbsp;&nbsp; Halliburton Co.  | &nbsp;&nbsp;&nbsp; Halliburton Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 11/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3583 | &nbsp;&nbsp;&nbsp;&nbsp; 3372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 8/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2375 | &nbsp;&nbsp;&nbsp;&nbsp; 2003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.60%, 8/15/2096 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2242 | &nbsp;&nbsp;&nbsp;&nbsp; 2513 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 7888 |
| **Financial Services — 0.4%** | **Financial Services — 0.4%** | **Financial Services — 0.4%** |
| &nbsp;&nbsp;&nbsp; CFIN 2022-RTL1 Issuer LLC Class A Shares, 0.00%, 8/17/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 19300 | &nbsp;&nbsp;&nbsp;&nbsp; 19300 |
| &nbsp;&nbsp;&nbsp; CK Hutchison International 16 Ltd. (United Kingdom) 2.75%, 10/3/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6500 | &nbsp;&nbsp;&nbsp;&nbsp; 6341 |
| &nbsp;&nbsp;&nbsp; Corebridge Financial, Inc.  | &nbsp;&nbsp;&nbsp; Corebridge Financial, Inc.  | &nbsp;&nbsp;&nbsp; Corebridge Financial, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 4/5/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 13295 | &nbsp;&nbsp;&nbsp;&nbsp; 13085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 4/5/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9710 | &nbsp;&nbsp;&nbsp;&nbsp; 9422 |
| &nbsp;&nbsp;&nbsp; Fiserv, Inc.  | &nbsp;&nbsp;&nbsp; Fiserv, Inc.  | &nbsp;&nbsp;&nbsp; Fiserv, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6035 | &nbsp;&nbsp;&nbsp;&nbsp; 5947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5835 | &nbsp;&nbsp;&nbsp;&nbsp; 4580 |
| &nbsp;&nbsp;&nbsp; Global Payments, Inc.  | &nbsp;&nbsp;&nbsp; Global Payments, Inc.  | &nbsp;&nbsp;&nbsp; Global Payments, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6266 | &nbsp;&nbsp;&nbsp;&nbsp; 6320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9690 | &nbsp;&nbsp;&nbsp;&nbsp; 8419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 8/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3625 | &nbsp;&nbsp;&nbsp;&nbsp; 3369 |
| &nbsp;&nbsp;&nbsp; LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 30170 | &nbsp;&nbsp;&nbsp;&nbsp; 28172 |
| &nbsp;&nbsp;&nbsp; National Rural Utilities Cooperative Finance Corp. 5.00%, 2/7/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 11940 | &nbsp;&nbsp;&nbsp;&nbsp; 12118 |
| &nbsp;&nbsp;&nbsp; Nationwide Building Society (United Kingdom) | &nbsp;&nbsp;&nbsp; Nationwide Building Society (United Kingdom) | &nbsp;&nbsp;&nbsp; Nationwide Building Society (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 2.97%, 2/16/2028 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp; 10693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH SOFR + 1.86%), 3.96%, 7/18/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26080 | &nbsp;&nbsp;&nbsp;&nbsp; 25194 |
| &nbsp;&nbsp;&nbsp; Siemens Financieringsmaatschappij NV (Germany) | &nbsp;&nbsp;&nbsp; Siemens Financieringsmaatschappij NV (Germany) | &nbsp;&nbsp;&nbsp; Siemens Financieringsmaatschappij NV (Germany) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 5/27/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3421 | &nbsp;&nbsp;&nbsp;&nbsp; 2909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 9/15/2046 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3050 | &nbsp;&nbsp;&nbsp;&nbsp; 2172 |
| &nbsp;&nbsp;&nbsp; Street Capital Group, Inc. (Canada) 0.00%, 2/15/2030 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 15000 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 173041 |
| **Food Products — 0.4%** | **Food Products — 0.4%** | **Food Products — 0.4%** |
| &nbsp;&nbsp;&nbsp; Bimbo Bakeries USA, Inc. (Mexico) | &nbsp;&nbsp;&nbsp; Bimbo Bakeries USA, Inc. (Mexico) | &nbsp;&nbsp;&nbsp; Bimbo Bakeries USA, Inc. (Mexico) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 1/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3406 | &nbsp;&nbsp;&nbsp;&nbsp; 3534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 1/9/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5080 | &nbsp;&nbsp;&nbsp;&nbsp; 4907 |
| &nbsp;&nbsp;&nbsp; Bunge Ltd. Finance Corp.  | &nbsp;&nbsp;&nbsp; Bunge Ltd. Finance Corp.  | &nbsp;&nbsp;&nbsp; Bunge Ltd. Finance Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 8/17/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 7880 | &nbsp;&nbsp;&nbsp;&nbsp; 7826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 9/17/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 24938 | &nbsp;&nbsp;&nbsp;&nbsp; 24609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 5/14/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 22130 | &nbsp;&nbsp;&nbsp;&nbsp; 19822 |
| &nbsp;&nbsp;&nbsp; Conagra Brands, Inc. 5.30%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 3420 | &nbsp;&nbsp;&nbsp;&nbsp; 3205 |
| &nbsp;&nbsp;&nbsp; J M Smucker Co. (The)  | &nbsp;&nbsp;&nbsp; J M Smucker Co. (The)  | &nbsp;&nbsp;&nbsp; J M Smucker Co. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 11/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 11635 | &nbsp;&nbsp;&nbsp;&nbsp; 12352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 11/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 8575 | &nbsp;&nbsp;&nbsp;&nbsp; 9012 |
| &nbsp;&nbsp;&nbsp; JBS USA Holding Lux SARL  | &nbsp;&nbsp;&nbsp; JBS USA Holding Lux SARL  | &nbsp;&nbsp;&nbsp; JBS USA Holding Lux SARL  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 12/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 13762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 3/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 24808 | &nbsp;&nbsp;&nbsp;&nbsp; 26654 |
| &nbsp;&nbsp;&nbsp; JBS USA LUX SARL  | &nbsp;&nbsp;&nbsp; JBS USA LUX SARL  | &nbsp;&nbsp;&nbsp; JBS USA LUX SARL  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 4/20/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8980 | &nbsp;&nbsp;&nbsp;&nbsp; 9142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 2/25/2055 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16735 | &nbsp;&nbsp;&nbsp;&nbsp; 16636 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Food Products — continued** | **Food Products — continued** | **Food Products — continued** |
| &nbsp;&nbsp;&nbsp; Kraft Heinz Foods Co. 4.38%, 6/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 8568 | &nbsp;&nbsp;&nbsp;&nbsp; 6764 |
| &nbsp;&nbsp;&nbsp; Mars, Inc. 5.00%, 3/1/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28555 | &nbsp;&nbsp;&nbsp;&nbsp; 28651 |
| &nbsp;&nbsp;&nbsp; Mead Johnson Nutrition Co. (United Kingdom) 4.60%, 6/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 955 | &nbsp;&nbsp;&nbsp;&nbsp; 811 |
| &nbsp;&nbsp;&nbsp; The Campbell's Co. 3.13%, 4/24/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4828 | &nbsp;&nbsp;&nbsp;&nbsp; 3035 |
| &nbsp;&nbsp;&nbsp; Tyson Foods, Inc. 5.70%, 3/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 10200 | &nbsp;&nbsp;&nbsp;&nbsp; 10396 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 201118 |
| **Gas Utilities — 0.1%** | **Gas Utilities — 0.1%** | **Gas Utilities — 0.1%** |
| &nbsp;&nbsp;&nbsp; Atmos Energy Corp.  | &nbsp;&nbsp;&nbsp; Atmos Energy Corp.  | &nbsp;&nbsp;&nbsp; Atmos Energy Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 7215 | &nbsp;&nbsp;&nbsp;&nbsp; 5917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 10/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1750 | &nbsp;&nbsp;&nbsp;&nbsp; 1419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 3/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 4649 |
| &nbsp;&nbsp;&nbsp; Boston Gas Co. 4.49%, 2/15/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2201 | &nbsp;&nbsp;&nbsp;&nbsp; 1803 |
| &nbsp;&nbsp;&nbsp; Brooklyn Union Gas Co. (The)  | &nbsp;&nbsp;&nbsp; Brooklyn Union Gas Co. (The)  | &nbsp;&nbsp;&nbsp; Brooklyn Union Gas Co. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.87%, 3/4/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5620 | &nbsp;&nbsp;&nbsp;&nbsp; 5418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.27%, 3/15/2048 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6500 | &nbsp;&nbsp;&nbsp;&nbsp; 4878 |
| &nbsp;&nbsp;&nbsp; KeySpan Gas East Corp. 2.74%, 8/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4242 | &nbsp;&nbsp;&nbsp;&nbsp; 4136 |
| &nbsp;&nbsp;&nbsp; Piedmont Natural Gas Co., Inc.  | &nbsp;&nbsp;&nbsp; Piedmont Natural Gas Co., Inc.  | &nbsp;&nbsp;&nbsp; Piedmont Natural Gas Co., Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 6/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1700 | &nbsp;&nbsp;&nbsp;&nbsp; 1630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 5/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7979 | &nbsp;&nbsp;&nbsp;&nbsp; 6804 |
| &nbsp;&nbsp;&nbsp; Southern California Gas Co. Series XX, 2.55%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 7148 | &nbsp;&nbsp;&nbsp;&nbsp; 6507 |
| &nbsp;&nbsp;&nbsp; Southwest Gas Corp. 3.80%, 9/29/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3595 | &nbsp;&nbsp;&nbsp;&nbsp; 2565 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 45726 |
| **Ground Transportation — 0.3%** | **Ground Transportation — 0.3%** | **Ground Transportation — 0.3%** |
| &nbsp;&nbsp;&nbsp; Burlington Northern Santa Fe LLC  | &nbsp;&nbsp;&nbsp; Burlington Northern Santa Fe LLC  | &nbsp;&nbsp;&nbsp; Burlington Northern Santa Fe LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.29%, 6/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1166 | &nbsp;&nbsp;&nbsp;&nbsp; 1353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3244 | &nbsp;&nbsp;&nbsp;&nbsp; 3316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 6/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 9266 | &nbsp;&nbsp;&nbsp;&nbsp; 8976 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 3/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2010 | &nbsp;&nbsp;&nbsp;&nbsp; 1734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4018 | &nbsp;&nbsp;&nbsp;&nbsp; 3429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 9/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3380 | &nbsp;&nbsp;&nbsp;&nbsp; 3188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 9/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 3150 | &nbsp;&nbsp;&nbsp;&nbsp; 2765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 2/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5584 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 3/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 7160 | &nbsp;&nbsp;&nbsp;&nbsp; 6929 |
| &nbsp;&nbsp;&nbsp; Canadian Pacific Railway Co. (Canada) 4.70%, 5/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2126 |
| &nbsp;&nbsp;&nbsp; CSX Corp.  | &nbsp;&nbsp;&nbsp; CSX Corp.  | &nbsp;&nbsp;&nbsp; CSX Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 4/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3498 | &nbsp;&nbsp;&nbsp;&nbsp; 3417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 3/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1515 | &nbsp;&nbsp;&nbsp;&nbsp; 1226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 11/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 8165 | &nbsp;&nbsp;&nbsp;&nbsp; 7055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 9/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2710 | &nbsp;&nbsp;&nbsp;&nbsp; 1840 |
| &nbsp;&nbsp;&nbsp; ERAC USA Finance LLC  | &nbsp;&nbsp;&nbsp; ERAC USA Finance LLC  | &nbsp;&nbsp;&nbsp; ERAC USA Finance LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 2/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15410 | &nbsp;&nbsp;&nbsp;&nbsp; 15683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 10/30/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7330 | &nbsp;&nbsp;&nbsp;&nbsp; 7359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 10/15/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp;&nbsp;&nbsp; 480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 3/15/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3104 | &nbsp;&nbsp;&nbsp;&nbsp; 3020 |
| &nbsp;&nbsp;&nbsp; Norfolk Southern Corp.  | &nbsp;&nbsp;&nbsp; Norfolk Southern Corp.  | &nbsp;&nbsp;&nbsp; Norfolk Southern Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2888 | &nbsp;&nbsp;&nbsp;&nbsp; 2295 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Ground Transportation — continued** | **Ground Transportation — continued** | **Ground Transportation — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 8/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5192 | &nbsp;&nbsp;&nbsp;&nbsp; 3906 |
| &nbsp;&nbsp;&nbsp; Penske Truck Leasing Co. LP  | &nbsp;&nbsp;&nbsp; Penske Truck Leasing Co. LP  | &nbsp;&nbsp;&nbsp; Penske Truck Leasing Co. LP  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 2/1/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5175 | &nbsp;&nbsp;&nbsp;&nbsp; 5298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 8/1/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22980 | &nbsp;&nbsp;&nbsp;&nbsp; 23827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 7/1/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 2/1/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 3047 |
| &nbsp;&nbsp;&nbsp; Uber Technologies, Inc. 4.80%, 9/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 13210 | &nbsp;&nbsp;&nbsp;&nbsp; 12747 |
| &nbsp;&nbsp;&nbsp; Union Pacific Corp.  | &nbsp;&nbsp;&nbsp; Union Pacific Corp.  | &nbsp;&nbsp;&nbsp; Union Pacific Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 8/15/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 4299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 9/15/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 1962 | &nbsp;&nbsp;&nbsp;&nbsp; 1411 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 137260 |
| **Health Care Equipment & Supplies — 0.1%** | **Health Care Equipment & Supplies — 0.1%** | **Health Care Equipment & Supplies — 0.1%** |
| &nbsp;&nbsp;&nbsp; Becton Dickinson & Co. 3.79%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2098 | &nbsp;&nbsp;&nbsp;&nbsp; 1506 |
| &nbsp;&nbsp;&nbsp; Boston Scientific Corp.  | &nbsp;&nbsp;&nbsp; Boston Scientific Corp.  | &nbsp;&nbsp;&nbsp; Boston Scientific Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 11/15/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp; 15475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 3/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 5011 | &nbsp;&nbsp;&nbsp;&nbsp; 4625 |
| &nbsp;&nbsp;&nbsp; DH Europe Finance II SARL 3.25%, 11/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 7065 | &nbsp;&nbsp;&nbsp;&nbsp; 5524 |
| &nbsp;&nbsp;&nbsp; Solventum Corp. 5.60%, 3/23/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 26344 | &nbsp;&nbsp;&nbsp;&nbsp; 26571 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 53701 |
| **Health Care Providers & Services — 1.1%** | **Health Care Providers & Services — 1.1%** | **Health Care Providers & Services — 1.1%** |
| &nbsp;&nbsp;&nbsp; Aetna, Inc.  | &nbsp;&nbsp;&nbsp; Aetna, Inc.  | &nbsp;&nbsp;&nbsp; Aetna, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 12/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2959 | &nbsp;&nbsp;&nbsp;&nbsp; 3134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1777 | &nbsp;&nbsp;&nbsp;&nbsp; 1435 |
| &nbsp;&nbsp;&nbsp; AHS Hospital Corp. 5.02%, 7/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 14094 | &nbsp;&nbsp;&nbsp;&nbsp; 12860 |
| &nbsp;&nbsp;&nbsp; Banner Health 1.90%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 13950 | &nbsp;&nbsp;&nbsp;&nbsp; 12049 |
| &nbsp;&nbsp;&nbsp; BayCare Health System, Inc. Series 2020, 3.83%, 11/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9475 | &nbsp;&nbsp;&nbsp;&nbsp; 7007 |
| &nbsp;&nbsp;&nbsp; Beth Israel Lahey Health, Inc. Series L, 3.08%, 7/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4180 | &nbsp;&nbsp;&nbsp;&nbsp; 2516 |
| &nbsp;&nbsp;&nbsp; Cardinal Health, Inc. 5.45%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp; 7573 |
| &nbsp;&nbsp;&nbsp; Cencora, Inc. 5.13%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 30700 | &nbsp;&nbsp;&nbsp;&nbsp; 30542 |
| &nbsp;&nbsp;&nbsp; Children's Hospital Series 2020, 2.93%, 7/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 13680 | &nbsp;&nbsp;&nbsp;&nbsp; 8338 |
| &nbsp;&nbsp;&nbsp; Cigna Group (The)  | &nbsp;&nbsp;&nbsp; Cigna Group (The)  | &nbsp;&nbsp;&nbsp; Cigna Group (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 20860 | &nbsp;&nbsp;&nbsp;&nbsp; 21205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 7/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1904 | &nbsp;&nbsp;&nbsp;&nbsp; 1616 |
| &nbsp;&nbsp;&nbsp; CommonSpirit Health  | &nbsp;&nbsp;&nbsp; CommonSpirit Health  | &nbsp;&nbsp;&nbsp; CommonSpirit Health  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.55%, 10/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 6210 | &nbsp;&nbsp;&nbsp;&nbsp; 6144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6205 | &nbsp;&nbsp;&nbsp;&nbsp; 5598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.19%, 10/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5540 | &nbsp;&nbsp;&nbsp;&nbsp; 4161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.91%, 10/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6600 | &nbsp;&nbsp;&nbsp;&nbsp; 4684 |
| &nbsp;&nbsp;&nbsp; Cottage Health Obligated Group Series 2020, 3.30%, 11/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 10450 | &nbsp;&nbsp;&nbsp;&nbsp; 7064 |
| &nbsp;&nbsp;&nbsp; CVS Health Corp.  | &nbsp;&nbsp;&nbsp; CVS Health Corp.  | &nbsp;&nbsp;&nbsp; CVS Health Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 3/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2122 | &nbsp;&nbsp;&nbsp;&nbsp; 2098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 2/21/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8553 | &nbsp;&nbsp;&nbsp;&nbsp; 8602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 2/21/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 22000 | &nbsp;&nbsp;&nbsp;&nbsp; 21677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 7/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3269 |
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust Series 2013, 4.70%, 1/10/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7260 | &nbsp;&nbsp;&nbsp;&nbsp; 6898 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Health Care Providers & Services — continued** | **Health Care Providers & Services — continued** | **Health Care Providers & Services — continued** |
| &nbsp;&nbsp;&nbsp; Elevance Health, Inc.  | &nbsp;&nbsp;&nbsp; Elevance Health, Inc.  | &nbsp;&nbsp;&nbsp; Elevance Health, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5485 | &nbsp;&nbsp;&nbsp;&nbsp; 5437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3477 | &nbsp;&nbsp;&nbsp;&nbsp; 2977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3394 | &nbsp;&nbsp;&nbsp;&nbsp; 2903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 8/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 4149 | &nbsp;&nbsp;&nbsp;&nbsp; 3510 |
| &nbsp;&nbsp;&nbsp; Hackensack Meridian Health, Inc. Series 2020, 2.88%, 9/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 11100 | &nbsp;&nbsp;&nbsp;&nbsp; 6768 |
| &nbsp;&nbsp;&nbsp; Hartford HealthCare Corp. 3.45%, 7/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 23430 | &nbsp;&nbsp;&nbsp;&nbsp; 15906 |
| &nbsp;&nbsp;&nbsp; HCA, Inc.  | &nbsp;&nbsp;&nbsp; HCA, Inc.  | &nbsp;&nbsp;&nbsp; HCA, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9612 | &nbsp;&nbsp;&nbsp;&nbsp; 9728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 28350 | &nbsp;&nbsp;&nbsp;&nbsp; 28508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 23003 | &nbsp;&nbsp;&nbsp;&nbsp; 23184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 6/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 4805 | &nbsp;&nbsp;&nbsp;&nbsp; 4407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 17500 | &nbsp;&nbsp;&nbsp;&nbsp; 15837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 7/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 6831 | &nbsp;&nbsp;&nbsp;&nbsp; 4378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 3/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 27825 | &nbsp;&nbsp;&nbsp;&nbsp; 21760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 9/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 12475 | &nbsp;&nbsp;&nbsp;&nbsp; 11766 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 4/1/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 17625 | &nbsp;&nbsp;&nbsp;&nbsp; 16649 |
| &nbsp;&nbsp;&nbsp; Mayo Clinic Series 2016, 4.13%, 11/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2975 | &nbsp;&nbsp;&nbsp;&nbsp; 2292 |
| &nbsp;&nbsp;&nbsp; MedStar Health, Inc. Series 20A, 3.63%, 8/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 7365 | &nbsp;&nbsp;&nbsp;&nbsp; 5014 |
| &nbsp;&nbsp;&nbsp; Memorial Health Services 3.45%, 11/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 25595 | &nbsp;&nbsp;&nbsp;&nbsp; 17510 |
| &nbsp;&nbsp;&nbsp; Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 3335 | &nbsp;&nbsp;&nbsp;&nbsp; 2612 |
| &nbsp;&nbsp;&nbsp; Mount Sinai Hospital (The) Series 2017, 3.98%, 7/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2747 | &nbsp;&nbsp;&nbsp;&nbsp; 1929 |
| &nbsp;&nbsp;&nbsp; MyMichigan Health Series 2020, 3.41%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5410 | &nbsp;&nbsp;&nbsp;&nbsp; 3610 |
| &nbsp;&nbsp;&nbsp; Nationwide Children's Hospital, Inc. 4.56%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4136 | &nbsp;&nbsp;&nbsp;&nbsp; 3459 |
| &nbsp;&nbsp;&nbsp; NYU Langone Hospitals  | &nbsp;&nbsp;&nbsp; NYU Langone Hospitals  | &nbsp;&nbsp;&nbsp; NYU Langone Hospitals  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.78%, 7/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 5994 | &nbsp;&nbsp;&nbsp;&nbsp; 5235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 3.38%, 7/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 9170 | &nbsp;&nbsp;&nbsp;&nbsp; 6008 |
| &nbsp;&nbsp;&nbsp; Queen's Health Systems (The) 4.81%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 18840 | &nbsp;&nbsp;&nbsp;&nbsp; 16387 |
| &nbsp;&nbsp;&nbsp; Quest Diagnostics, Inc.  | &nbsp;&nbsp;&nbsp; Quest Diagnostics, Inc.  | &nbsp;&nbsp;&nbsp; Quest Diagnostics, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1684 | &nbsp;&nbsp;&nbsp;&nbsp; 1667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 11/30/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 11460 | &nbsp;&nbsp;&nbsp;&nbsp; 12372 |
| &nbsp;&nbsp;&nbsp; Sutter Health 5.55%, 8/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4789 |
| &nbsp;&nbsp;&nbsp; Texas Health Resources  | &nbsp;&nbsp;&nbsp; Texas Health Resources  | &nbsp;&nbsp;&nbsp; Texas Health Resources  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.33%, 11/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6717 | &nbsp;&nbsp;&nbsp;&nbsp; 3633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.33%, 11/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 4275 | &nbsp;&nbsp;&nbsp;&nbsp; 3365 |
| &nbsp;&nbsp;&nbsp; Triad Holdings III LLC 7.25%, 4/1/2052 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 12000 |
| &nbsp;&nbsp;&nbsp; Trinity Health Corp. Series 2019, 3.43%, 12/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 20450 | &nbsp;&nbsp;&nbsp;&nbsp; 14798 |
| &nbsp;&nbsp;&nbsp; UMass Memorial Health Care Obligated Group 5.36%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6070 | &nbsp;&nbsp;&nbsp;&nbsp; 5409 |
| &nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc.  | &nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc.  | &nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 8/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 8210 | &nbsp;&nbsp;&nbsp;&nbsp; 6443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 5/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 4800 | &nbsp;&nbsp;&nbsp;&nbsp; 3357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 5/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9695 | &nbsp;&nbsp;&nbsp;&nbsp; 6192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 2/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 9740 | &nbsp;&nbsp;&nbsp;&nbsp; 9402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 4/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 19000 | &nbsp;&nbsp;&nbsp;&nbsp; 16331 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 516002 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Health Care REITs — 0.1%** | **Health Care REITs — 0.1%** | **Health Care REITs — 0.1%** |
| &nbsp;&nbsp;&nbsp; Alexandria Real Estate Equities, Inc.  | &nbsp;&nbsp;&nbsp; Alexandria Real Estate Equities, Inc.  | &nbsp;&nbsp;&nbsp; Alexandria Real Estate Equities, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2199 | &nbsp;&nbsp;&nbsp;&nbsp; 2182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9430 | &nbsp;&nbsp;&nbsp;&nbsp; 6715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 4/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 2800 | &nbsp;&nbsp;&nbsp;&nbsp; 2359 |
| &nbsp;&nbsp;&nbsp; DOC DR LLC  | &nbsp;&nbsp;&nbsp; DOC DR LLC  | &nbsp;&nbsp;&nbsp; DOC DR LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 4475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2100 | &nbsp;&nbsp;&nbsp;&nbsp; 2066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6195 | &nbsp;&nbsp;&nbsp;&nbsp; 5363 |
| &nbsp;&nbsp;&nbsp; Ventas Realty LP  | &nbsp;&nbsp;&nbsp; Ventas Realty LP  | &nbsp;&nbsp;&nbsp; Ventas Realty LP  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp;&nbsp;&nbsp; 766 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7254 | &nbsp;&nbsp;&nbsp;&nbsp; 7109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 4/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4308 | &nbsp;&nbsp;&nbsp;&nbsp; 4250 |
| &nbsp;&nbsp;&nbsp; Welltower OP LLC  | &nbsp;&nbsp;&nbsp; Welltower OP LLC  | &nbsp;&nbsp;&nbsp; Welltower OP LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 3/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 460 | &nbsp;&nbsp;&nbsp;&nbsp; 493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4457 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 40235 |
| **Hotels, Restaurants & Leisure — 0.0% ^** | **Hotels, Restaurants & Leisure — 0.0% ^** | **Hotels, Restaurants & Leisure — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; McDonald's Corp.  | &nbsp;&nbsp;&nbsp; McDonald's Corp.  | &nbsp;&nbsp;&nbsp; McDonald's Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 12/9/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 6540 | &nbsp;&nbsp;&nbsp;&nbsp; 6291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 3/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3210 | &nbsp;&nbsp;&nbsp;&nbsp; 2654 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 8945 |
| **Independent Power and Renewable Electricity Producers — 0.2%** | **Independent Power and Renewable Electricity Producers — 0.2%** | **Independent Power and Renewable Electricity Producers — 0.2%** |
| &nbsp;&nbsp;&nbsp; AES Corp. (The) 5.80%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 29565 | &nbsp;&nbsp;&nbsp;&nbsp; 29306 |
| &nbsp;&nbsp;&nbsp; Alexander Funding Trust II 7.47%, 7/31/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25600 | &nbsp;&nbsp;&nbsp;&nbsp; 27141 |
| &nbsp;&nbsp;&nbsp; Constellation Energy Generation LLC  | &nbsp;&nbsp;&nbsp; Constellation Energy Generation LLC  | &nbsp;&nbsp;&nbsp; Constellation Energy Generation LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 11035 | &nbsp;&nbsp;&nbsp;&nbsp; 11035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4555 | &nbsp;&nbsp;&nbsp;&nbsp; 4739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 10/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 18303 | &nbsp;&nbsp;&nbsp;&nbsp; 19020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 15265 | &nbsp;&nbsp;&nbsp;&nbsp; 14845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 10/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3470 | &nbsp;&nbsp;&nbsp;&nbsp; 3633 |
| &nbsp;&nbsp;&nbsp; Southern Power Co. 5.15%, 9/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 7079 | &nbsp;&nbsp;&nbsp;&nbsp; 6466 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 116185 |
| **Industrial Conglomerates — 0.0% ^** | **Industrial Conglomerates — 0.0% ^** | **Industrial Conglomerates — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Honeywell International, Inc. 5.25%, 3/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 23400 | &nbsp;&nbsp;&nbsp;&nbsp; 21639 |
| **Industrial REITs — 0.1%** | **Industrial REITs — 0.1%** | **Industrial REITs — 0.1%** |
| &nbsp;&nbsp;&nbsp; Goodman US Finance Six LLC (Australia) 5.13%, 10/7/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11095 | &nbsp;&nbsp;&nbsp;&nbsp; 10879 |
| &nbsp;&nbsp;&nbsp; Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5157 | &nbsp;&nbsp;&nbsp;&nbsp; 5020 |
| &nbsp;&nbsp;&nbsp; Prologis LP  | &nbsp;&nbsp;&nbsp; Prologis LP  | &nbsp;&nbsp;&nbsp; Prologis LP  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3830 | &nbsp;&nbsp;&nbsp;&nbsp; 3439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4904 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 24242 |
| **Insurance — 0.8%** | **Insurance — 0.8%** | **Insurance — 0.8%** |
| &nbsp;&nbsp;&nbsp; AIA Group Ltd. (Hong Kong) 3.20%, 9/16/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7535 | &nbsp;&nbsp;&nbsp;&nbsp; 5681 |
| &nbsp;&nbsp;&nbsp; AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8295 | &nbsp;&nbsp;&nbsp;&nbsp; 9065 |
| &nbsp;&nbsp;&nbsp; Alleghany Corp. 3.63%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8945 | &nbsp;&nbsp;&nbsp;&nbsp; 8603 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Insurance — continued** | **Insurance — continued** | **Insurance — continued** |
| &nbsp;&nbsp;&nbsp; Aon North America, Inc.  | &nbsp;&nbsp;&nbsp; Aon North America, Inc.  | &nbsp;&nbsp;&nbsp; Aon North America, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 34340 | &nbsp;&nbsp;&nbsp;&nbsp; 34721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 30050 | &nbsp;&nbsp;&nbsp;&nbsp; 28691 |
| &nbsp;&nbsp;&nbsp; Arthur J Gallagher & Co. 5.75%, 7/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 9570 | &nbsp;&nbsp;&nbsp;&nbsp; 9100 |
| &nbsp;&nbsp;&nbsp; Athene Global Funding 2.95%, 11/12/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 42215 | &nbsp;&nbsp;&nbsp;&nbsp; 41155 |
| &nbsp;&nbsp;&nbsp; Berkshire Hathaway Finance Corp.  | &nbsp;&nbsp;&nbsp; Berkshire Hathaway Finance Corp.  | &nbsp;&nbsp;&nbsp; Berkshire Hathaway Finance Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 13241 | &nbsp;&nbsp;&nbsp;&nbsp; 11938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 5/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2795 | &nbsp;&nbsp;&nbsp;&nbsp; 2425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 3/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 24230 | &nbsp;&nbsp;&nbsp;&nbsp; 18162 |
| &nbsp;&nbsp;&nbsp; CNO Global Funding 1.75%, 10/7/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11240 | &nbsp;&nbsp;&nbsp;&nbsp; 10791 |
| &nbsp;&nbsp;&nbsp; Corebridge Global Funding 5.90%, 9/19/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18170 | &nbsp;&nbsp;&nbsp;&nbsp; 18883 |
| &nbsp;&nbsp;&nbsp; F&G Annuities & Life, Inc.  | &nbsp;&nbsp;&nbsp; F&G Annuities & Life, Inc.  | &nbsp;&nbsp;&nbsp; F&G Annuities & Life, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.40%, 1/13/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10949 | &nbsp;&nbsp;&nbsp;&nbsp; 11395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 6/4/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9165 | &nbsp;&nbsp;&nbsp;&nbsp; 9368 |
| &nbsp;&nbsp;&nbsp; F&G Global Funding  | &nbsp;&nbsp;&nbsp; F&G Global Funding  | &nbsp;&nbsp;&nbsp; F&G Global Funding  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 6/30/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12780 | &nbsp;&nbsp;&nbsp;&nbsp; 12374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 6/10/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 12234 |
| &nbsp;&nbsp;&nbsp; Five Corners Funding Trust II 2.85%, 5/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 13820 |
| &nbsp;&nbsp;&nbsp; Guardian Life Insurance Co. of America (The)  | &nbsp;&nbsp;&nbsp; Guardian Life Insurance Co. of America (The)  | &nbsp;&nbsp;&nbsp; Guardian Life Insurance Co. of America (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 1/22/2070 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6450 | &nbsp;&nbsp;&nbsp;&nbsp; 4199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 1/24/2077 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1663 | &nbsp;&nbsp;&nbsp;&nbsp; 1343 |
| &nbsp;&nbsp;&nbsp; Hartford Insurance Group, Inc. (The) 4.30%, 4/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 7410 | &nbsp;&nbsp;&nbsp;&nbsp; 6114 |
| &nbsp;&nbsp;&nbsp; MetLife, Inc. 4.13%, 8/13/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1666 |
| &nbsp;&nbsp;&nbsp; Mutual of Omaha Cos. Global Funding 5.80%, 7/27/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18500 | &nbsp;&nbsp;&nbsp;&nbsp; 18724 |
| &nbsp;&nbsp;&nbsp; Nationwide Mutual Insurance Co. 8.25%, 12/1/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7900 | &nbsp;&nbsp;&nbsp;&nbsp; 9016 |
| &nbsp;&nbsp;&nbsp; New York Life Insurance Co.  | &nbsp;&nbsp;&nbsp; New York Life Insurance Co.  | &nbsp;&nbsp;&nbsp; New York Life Insurance Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 5/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9600 | &nbsp;&nbsp;&nbsp;&nbsp; 6894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 5/15/2069 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11250 | &nbsp;&nbsp;&nbsp;&nbsp; 8517 |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Global Funding 1.70%, 6/1/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12520 | &nbsp;&nbsp;&nbsp;&nbsp; 11579 |
| &nbsp;&nbsp;&nbsp; Pacific Life Insurance Co. (3-MONTH SOFR + 2.80%), 4.30%, 10/24/2067 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3766 | &nbsp;&nbsp;&nbsp;&nbsp; 2888 |
| &nbsp;&nbsp;&nbsp; Pine Street Trust III 6.22%, 5/15/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21750 | &nbsp;&nbsp;&nbsp;&nbsp; 20972 |
| &nbsp;&nbsp;&nbsp; Prudential Financial, Inc. 3.91%, 12/7/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 9236 | &nbsp;&nbsp;&nbsp;&nbsp; 6992 |
| &nbsp;&nbsp;&nbsp; Prudential Funding Asia plc (Hong Kong) 3.13%, 4/14/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 16987 | &nbsp;&nbsp;&nbsp;&nbsp; 15947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), <br> 5.00%, 4/2/2049 (b) (c)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2600 | &nbsp;&nbsp;&nbsp;&nbsp; 2564 |
| &nbsp;&nbsp;&nbsp; Teachers Insurance & Annuity Association of America  | &nbsp;&nbsp;&nbsp; Teachers Insurance & Annuity Association of America  | &nbsp;&nbsp;&nbsp; Teachers Insurance & Annuity Association of America  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 9/15/2044 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3653 | &nbsp;&nbsp;&nbsp;&nbsp; 3210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.27%, 5/15/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5480 | &nbsp;&nbsp;&nbsp;&nbsp; 4328 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 383359 |
| **Interactive Media & Services — 0.1%** | **Interactive Media & Services — 0.1%** | **Interactive Media & Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Meta Platforms, Inc.  | &nbsp;&nbsp;&nbsp; Meta Platforms, Inc.  | &nbsp;&nbsp;&nbsp; Meta Platforms, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 30000 | &nbsp;&nbsp;&nbsp;&nbsp; 29344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 8/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 11965 | &nbsp;&nbsp;&nbsp;&nbsp; 11358 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 40702 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **IT Services — 0.3%** | **IT Services — 0.3%** | **IT Services — 0.3%** |
| &nbsp;&nbsp;&nbsp; Accenture Capital, Inc.  | &nbsp;&nbsp;&nbsp; Accenture Capital, Inc.  | &nbsp;&nbsp;&nbsp; Accenture Capital, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/4/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 21060 | &nbsp;&nbsp;&nbsp;&nbsp; 20679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/4/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 14250 | &nbsp;&nbsp;&nbsp;&nbsp; 13691 |
| &nbsp;&nbsp;&nbsp; CGI, Inc. (Canada) | &nbsp;&nbsp;&nbsp; CGI, Inc. (Canada) | &nbsp;&nbsp;&nbsp; CGI, Inc. (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 9/14/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14101 | &nbsp;&nbsp;&nbsp;&nbsp; 13544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 9/14/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 8567 |
| &nbsp;&nbsp;&nbsp; Identity Digital Ltd. (Ireland) 6.79%, 3/20/2065 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 99500 | &nbsp;&nbsp;&nbsp;&nbsp; 99500 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 155981 |
| **Life Sciences Tools & Services — 0.0% ^** | **Life Sciences Tools & Services — 0.0% ^** | **Life Sciences Tools & Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Thermo Fisher Scientific, Inc. 2.80%, 10/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 6745 | &nbsp;&nbsp;&nbsp;&nbsp; 4707 |
| **Machinery — 0.0% ^** | **Machinery — 0.0% ^** | **Machinery — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6750 | &nbsp;&nbsp;&nbsp;&nbsp; 6714 |
| &nbsp;&nbsp;&nbsp; Parker-Hannifin Corp. 4.45%, 11/21/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3759 | &nbsp;&nbsp;&nbsp;&nbsp; 3159 |
| &nbsp;&nbsp;&nbsp; Xylem, Inc. 2.25%, 1/30/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7315 | &nbsp;&nbsp;&nbsp;&nbsp; 6404 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 16277 |
| **Media — 0.4%** | **Media — 0.4%** | **Media — 0.4%** |
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC  | &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC  | &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 10/23/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4374 | &nbsp;&nbsp;&nbsp;&nbsp; 4491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 4/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 4923 | &nbsp;&nbsp;&nbsp;&nbsp; 4536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 6/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 12020 | &nbsp;&nbsp;&nbsp;&nbsp; 8448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 3/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 7800 | &nbsp;&nbsp;&nbsp;&nbsp; 5394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 3/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 13160 | &nbsp;&nbsp;&nbsp;&nbsp; 10176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 4/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 27270 | &nbsp;&nbsp;&nbsp;&nbsp; 17554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 9380 | &nbsp;&nbsp;&nbsp;&nbsp; 6191 |
| &nbsp;&nbsp;&nbsp; Comcast Corp.  | &nbsp;&nbsp;&nbsp; Comcast Corp.  | &nbsp;&nbsp;&nbsp; Comcast Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 16564 | &nbsp;&nbsp;&nbsp;&nbsp; 15765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 6/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3950 | &nbsp;&nbsp;&nbsp;&nbsp; 3987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3361 | &nbsp;&nbsp;&nbsp;&nbsp; 3124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 19265 | &nbsp;&nbsp;&nbsp;&nbsp; 14737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 4/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 8535 | &nbsp;&nbsp;&nbsp;&nbsp; 6911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5553 | &nbsp;&nbsp;&nbsp;&nbsp; 4120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8500 | &nbsp;&nbsp;&nbsp;&nbsp; 5701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 1/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 24803 | &nbsp;&nbsp;&nbsp;&nbsp; 14525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.89%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 14886 | &nbsp;&nbsp;&nbsp;&nbsp; 8833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1350 | &nbsp;&nbsp;&nbsp;&nbsp; 995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 4960 | &nbsp;&nbsp;&nbsp;&nbsp; 4491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.94%, 11/1/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 15473 | &nbsp;&nbsp;&nbsp;&nbsp; 8847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.99%, 11/1/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 962 | &nbsp;&nbsp;&nbsp;&nbsp; 530 |
| &nbsp;&nbsp;&nbsp; Cox Communications, Inc.  | &nbsp;&nbsp;&nbsp; Cox Communications, Inc.  | &nbsp;&nbsp;&nbsp; Cox Communications, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 9/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3046 | &nbsp;&nbsp;&nbsp;&nbsp; 2989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 10/1/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8375 | &nbsp;&nbsp;&nbsp;&nbsp; 4627 |
| &nbsp;&nbsp;&nbsp; Grupo Televisa SAB (Mexico) 6.13%, 1/31/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 767 | &nbsp;&nbsp;&nbsp;&nbsp; 591 |
| &nbsp;&nbsp;&nbsp; TCI Communications, Inc. 7.13%, 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1199 | &nbsp;&nbsp;&nbsp;&nbsp; 1278 |
| &nbsp;&nbsp;&nbsp; Time Warner Cable Enterprises LLC 8.38%, 7/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3041 | &nbsp;&nbsp;&nbsp;&nbsp; 3493 |
| &nbsp;&nbsp;&nbsp; Time Warner Cable LLC  | &nbsp;&nbsp;&nbsp; Time Warner Cable LLC  | &nbsp;&nbsp;&nbsp; Time Warner Cable LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.55%, 5/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2327 | &nbsp;&nbsp;&nbsp;&nbsp; 2342 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Media — continued** | **Media — continued** | **Media — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.30%, 7/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 2197 | &nbsp;&nbsp;&nbsp;&nbsp; 2341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 6/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1794 | &nbsp;&nbsp;&nbsp;&nbsp; 1816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 11/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 7325 | &nbsp;&nbsp;&nbsp;&nbsp; 6850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 9/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 6940 | &nbsp;&nbsp;&nbsp;&nbsp; 6116 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 181799 |
| **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** |
| &nbsp;&nbsp;&nbsp; BHP Billiton Finance USA Ltd. (Australia) 5.13%, 2/21/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11735 | &nbsp;&nbsp;&nbsp;&nbsp; 11866 |
| &nbsp;&nbsp;&nbsp; Corp. Nacional del Cobre de Chile (Chile) 6.44%, 1/26/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17281 | &nbsp;&nbsp;&nbsp;&nbsp; 17659 |
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC (Australia) | &nbsp;&nbsp;&nbsp; Glencore Funding LLC (Australia) | &nbsp;&nbsp;&nbsp; Glencore Funding LLC (Australia) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 9/1/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16105 | &nbsp;&nbsp;&nbsp;&nbsp; 14284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 4/4/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21000 | &nbsp;&nbsp;&nbsp;&nbsp; 21121 |
| &nbsp;&nbsp;&nbsp; Newmont Corp. 3.25%, 5/13/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5845 | &nbsp;&nbsp;&nbsp;&nbsp; 5527 |
| &nbsp;&nbsp;&nbsp; Steel Dynamics, Inc.  | &nbsp;&nbsp;&nbsp; Steel Dynamics, Inc.  | &nbsp;&nbsp;&nbsp; Steel Dynamics, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5270 | &nbsp;&nbsp;&nbsp;&nbsp; 4922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3519 | &nbsp;&nbsp;&nbsp;&nbsp; 2237 |
| &nbsp;&nbsp;&nbsp; Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 27542 | &nbsp;&nbsp;&nbsp;&nbsp; 25730 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 103346 |
| **Multi-Utilities — 0.3%** | **Multi-Utilities — 0.3%** | **Multi-Utilities — 0.3%** |
| &nbsp;&nbsp;&nbsp; CMS Energy Corp.  | &nbsp;&nbsp;&nbsp; CMS Energy Corp.  | &nbsp;&nbsp;&nbsp; CMS Energy Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3458 | &nbsp;&nbsp;&nbsp;&nbsp; 3407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2426 | &nbsp;&nbsp;&nbsp;&nbsp; 2358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1250 | &nbsp;&nbsp;&nbsp;&nbsp; 1222 |
| &nbsp;&nbsp;&nbsp; Consolidated Edison Co. of New York, Inc.  | &nbsp;&nbsp;&nbsp; Consolidated Edison Co. of New York, Inc.  | &nbsp;&nbsp;&nbsp; Consolidated Edison Co. of New York, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 6/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2760 | &nbsp;&nbsp;&nbsp;&nbsp; 2762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017, 3.88%, 6/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3355 | &nbsp;&nbsp;&nbsp;&nbsp; 2511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/15/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 1724 | &nbsp;&nbsp;&nbsp;&nbsp; 1340 |
| &nbsp;&nbsp;&nbsp; Consumers Energy Co. 3.25%, 8/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2150 | &nbsp;&nbsp;&nbsp;&nbsp; 1544 |
| &nbsp;&nbsp;&nbsp; Delmarva Power & Light Co. 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1478 | &nbsp;&nbsp;&nbsp;&nbsp; 1160 |
| &nbsp;&nbsp;&nbsp; Dominion Energy, Inc.  | &nbsp;&nbsp;&nbsp; Dominion Energy, Inc.  | &nbsp;&nbsp;&nbsp; Dominion Energy, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series D, 2.85%, 8/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1927 | &nbsp;&nbsp;&nbsp;&nbsp; 1887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series F, 5.25%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5067 | &nbsp;&nbsp;&nbsp;&nbsp; 5011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1076 | &nbsp;&nbsp;&nbsp;&nbsp; 1192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series C, 4.90%, 8/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1840 | &nbsp;&nbsp;&nbsp;&nbsp; 1607 |
| &nbsp;&nbsp;&nbsp; Engie SA (France) 5.63%, 4/10/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13225 | &nbsp;&nbsp;&nbsp;&nbsp; 13352 |
| &nbsp;&nbsp;&nbsp; National Grid plc (United Kingdom) 5.42%, 1/11/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 21700 | &nbsp;&nbsp;&nbsp;&nbsp; 21869 |
| &nbsp;&nbsp;&nbsp; New York State Electric & Gas Corp. 3.25%, 12/1/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2326 | &nbsp;&nbsp;&nbsp;&nbsp; 2283 |
| &nbsp;&nbsp;&nbsp; NiSource, Inc. 5.80%, 2/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 6726 | &nbsp;&nbsp;&nbsp;&nbsp; 6465 |
| &nbsp;&nbsp;&nbsp; PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 9710 | &nbsp;&nbsp;&nbsp;&nbsp; 7768 |
| &nbsp;&nbsp;&nbsp; Public Service Enterprise Group, Inc.  | &nbsp;&nbsp;&nbsp; Public Service Enterprise Group, Inc.  | &nbsp;&nbsp;&nbsp; Public Service Enterprise Group, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.60%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 15540 | &nbsp;&nbsp;&nbsp;&nbsp; 13272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 7700 | &nbsp;&nbsp;&nbsp;&nbsp; 7768 |
| &nbsp;&nbsp;&nbsp; Puget Energy, Inc. 2.38%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6522 | &nbsp;&nbsp;&nbsp;&nbsp; 6118 |
| &nbsp;&nbsp;&nbsp; Puget Sound Energy, Inc. 5.45%, 6/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 10070 | &nbsp;&nbsp;&nbsp;&nbsp; 9312 |
| &nbsp;&nbsp;&nbsp; San Diego Gas & Electric Co.  | &nbsp;&nbsp;&nbsp; San Diego Gas & Electric Co.  | &nbsp;&nbsp;&nbsp; San Diego Gas & Electric Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series FFF, 6.13%, 9/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 973 | &nbsp;&nbsp;&nbsp;&nbsp; 1005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2690 | &nbsp;&nbsp;&nbsp;&nbsp; 2090 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Multi-Utilities — continued** | **Multi-Utilities — continued** | **Multi-Utilities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 17150 | &nbsp;&nbsp;&nbsp;&nbsp; 10446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 4/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2713 |
| &nbsp;&nbsp;&nbsp; Southern Co. Gas Capital Corp.  | &nbsp;&nbsp;&nbsp; Southern Co. Gas Capital Corp.  | &nbsp;&nbsp;&nbsp; Southern Co. Gas Capital Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1690 | &nbsp;&nbsp;&nbsp;&nbsp; 1668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 9/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 12830 | &nbsp;&nbsp;&nbsp;&nbsp; 13212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 3/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 10518 | &nbsp;&nbsp;&nbsp;&nbsp; 10443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1392 | &nbsp;&nbsp;&nbsp;&nbsp; 1139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 10/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2136 | &nbsp;&nbsp;&nbsp;&nbsp; 1588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 5/30/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2274 | &nbsp;&nbsp;&nbsp;&nbsp; 1794 |
| &nbsp;&nbsp;&nbsp; WEC Energy Group, Inc. 3.55%, 6/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 1651 | &nbsp;&nbsp;&nbsp;&nbsp; 1650 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 161956 |
| **Office REITs — 0.0% ^** | **Office REITs — 0.0% ^** | **Office REITs — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; COPT Defense Properties LP 2.00%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3440 | &nbsp;&nbsp;&nbsp;&nbsp; 3082 |
| **Oil, Gas & Consumable Fuels — 1.6%** | **Oil, Gas & Consumable Fuels — 1.6%** | **Oil, Gas & Consumable Fuels — 1.6%** |
| &nbsp;&nbsp;&nbsp; Aker BP ASA (Norway) 5.80%, 10/1/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6320 | &nbsp;&nbsp;&nbsp;&nbsp; 5531 |
| &nbsp;&nbsp;&nbsp; APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7325 | &nbsp;&nbsp;&nbsp;&nbsp; 7272 |
| &nbsp;&nbsp;&nbsp; BG Energy Capital plc 5.13%, 10/15/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5781 | &nbsp;&nbsp;&nbsp;&nbsp; 5408 |
| &nbsp;&nbsp;&nbsp; Boardwalk Pipelines LP 4.45%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3425 | &nbsp;&nbsp;&nbsp;&nbsp; 3416 |
| &nbsp;&nbsp;&nbsp; BP Capital Markets America, Inc.  | &nbsp;&nbsp;&nbsp; BP Capital Markets America, Inc.  | &nbsp;&nbsp;&nbsp; BP Capital Markets America, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.23%, 11/17/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 8961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.94%, 6/4/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 25080 | &nbsp;&nbsp;&nbsp;&nbsp; 15271 |
| &nbsp;&nbsp;&nbsp; Cheniere Energy, Inc. 5.65%, 4/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 13830 | &nbsp;&nbsp;&nbsp;&nbsp; 13801 |
| &nbsp;&nbsp;&nbsp; Columbia Pipelines Holding Co. LLC  | &nbsp;&nbsp;&nbsp; Columbia Pipelines Holding Co. LLC  | &nbsp;&nbsp;&nbsp; Columbia Pipelines Holding Co. LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 10/1/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3993 | &nbsp;&nbsp;&nbsp;&nbsp; 3916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.68%, 1/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16276 | &nbsp;&nbsp;&nbsp;&nbsp; 16095 |
| &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC  | &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC  | &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.93%, 8/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11670 | &nbsp;&nbsp;&nbsp;&nbsp; 12125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.04%, 11/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11250 | &nbsp;&nbsp;&nbsp;&nbsp; 11580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.44%, 2/15/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 36855 | &nbsp;&nbsp;&nbsp;&nbsp; 36099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.96%, 2/15/2055 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25130 | &nbsp;&nbsp;&nbsp;&nbsp; 23385 |
| &nbsp;&nbsp;&nbsp; ConocoPhillips Co.  | &nbsp;&nbsp;&nbsp; ConocoPhillips Co.  | &nbsp;&nbsp;&nbsp; ConocoPhillips Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 13210 | &nbsp;&nbsp;&nbsp;&nbsp; 11788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 1/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 27240 | &nbsp;&nbsp;&nbsp;&nbsp; 25115 |
| &nbsp;&nbsp;&nbsp; Devon Energy Corp. 5.75%, 9/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 23770 | &nbsp;&nbsp;&nbsp;&nbsp; 20663 |
| &nbsp;&nbsp;&nbsp; DT Midstream, Inc. 4.30%, 4/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17380 | &nbsp;&nbsp;&nbsp;&nbsp; 15984 |
| &nbsp;&nbsp;&nbsp; Eastern Energy Gas Holdings LLC 6.20%, 1/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 10430 | &nbsp;&nbsp;&nbsp;&nbsp; 10423 |
| &nbsp;&nbsp;&nbsp; Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4476 | &nbsp;&nbsp;&nbsp;&nbsp; 3162 |
| &nbsp;&nbsp;&nbsp; Enbridge, Inc. (Canada) | &nbsp;&nbsp;&nbsp; Enbridge, Inc. (Canada) | &nbsp;&nbsp;&nbsp; Enbridge, Inc. (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 3/8/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 17080 | &nbsp;&nbsp;&nbsp;&nbsp; 17420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 4/5/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 19445 | &nbsp;&nbsp;&nbsp;&nbsp; 19632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.70%, 11/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 5550 | &nbsp;&nbsp;&nbsp;&nbsp; 5817 |
| &nbsp;&nbsp;&nbsp; Energy Transfer LP  | &nbsp;&nbsp;&nbsp; Energy Transfer LP  | &nbsp;&nbsp;&nbsp; Energy Transfer LP  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9791 | &nbsp;&nbsp;&nbsp;&nbsp; 9540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 7/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 2695 | &nbsp;&nbsp;&nbsp;&nbsp; 3015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 6/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 4266 | &nbsp;&nbsp;&nbsp;&nbsp; 4136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 2/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 7220 | &nbsp;&nbsp;&nbsp;&nbsp; 6960 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Oil, Gas & Consumable Fuels — continued** | **Oil, Gas & Consumable Fuels — continued** | **Oil, Gas & Consumable Fuels — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 10/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3950 | &nbsp;&nbsp;&nbsp;&nbsp; 3685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 4/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1840 | &nbsp;&nbsp;&nbsp;&nbsp; 1597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 5/15/2044 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8600 | &nbsp;&nbsp;&nbsp;&nbsp; 7197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 6/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 209 | &nbsp;&nbsp;&nbsp;&nbsp; 194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5655 | &nbsp;&nbsp;&nbsp;&nbsp; 5384 |
| &nbsp;&nbsp;&nbsp; Eni SpA (Italy) | &nbsp;&nbsp;&nbsp; Eni SpA (Italy) | &nbsp;&nbsp;&nbsp; Eni SpA (Italy) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 10/1/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4843 | &nbsp;&nbsp;&nbsp;&nbsp; 4586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 5/15/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14030 | &nbsp;&nbsp;&nbsp;&nbsp; 13129 |
| &nbsp;&nbsp;&nbsp; Eni USA, Inc. (Italy) 7.30%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4040 | &nbsp;&nbsp;&nbsp;&nbsp; 4279 |
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC  | &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC  | &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series J, 5.75%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2509 | &nbsp;&nbsp;&nbsp;&nbsp; 2562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.55%, 4/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 455 | &nbsp;&nbsp;&nbsp;&nbsp; 532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 2/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1259 | &nbsp;&nbsp;&nbsp;&nbsp; 1269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 2/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 455 | &nbsp;&nbsp;&nbsp;&nbsp; 383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 2/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1758 | &nbsp;&nbsp;&nbsp;&nbsp; 1588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 10/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1189 | &nbsp;&nbsp;&nbsp;&nbsp; 1001 |
| &nbsp;&nbsp;&nbsp; EQT Corp. 3.90%, 10/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3371 | &nbsp;&nbsp;&nbsp;&nbsp; 3315 |
| &nbsp;&nbsp;&nbsp; Exxon Mobil Corp.  | &nbsp;&nbsp;&nbsp; Exxon Mobil Corp.  | &nbsp;&nbsp;&nbsp; Exxon Mobil Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/16/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 14245 | &nbsp;&nbsp;&nbsp;&nbsp; 10908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.11%, 3/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2726 | &nbsp;&nbsp;&nbsp;&nbsp; 2182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 8/16/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 17965 | &nbsp;&nbsp;&nbsp;&nbsp; 11687 |
| &nbsp;&nbsp;&nbsp; Flex Intermediate Holdco LLC 4.32%, 12/30/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9235 | &nbsp;&nbsp;&nbsp;&nbsp; 7065 |
| &nbsp;&nbsp;&nbsp; Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14706 | &nbsp;&nbsp;&nbsp;&nbsp; 11830 |
| &nbsp;&nbsp;&nbsp; Gray Oak Pipeline LLC  | &nbsp;&nbsp;&nbsp; Gray Oak Pipeline LLC  | &nbsp;&nbsp;&nbsp; Gray Oak Pipeline LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 10/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 34443 | &nbsp;&nbsp;&nbsp;&nbsp; 34012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 10/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12470 | &nbsp;&nbsp;&nbsp;&nbsp; 12116 |
| &nbsp;&nbsp;&nbsp; Kinder Morgan, Inc.  | &nbsp;&nbsp;&nbsp; Kinder Morgan, Inc.  | &nbsp;&nbsp;&nbsp; Kinder Morgan, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 20500 | &nbsp;&nbsp;&nbsp;&nbsp; 20232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 2/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 5124 |
| &nbsp;&nbsp;&nbsp; MPLX LP  | &nbsp;&nbsp;&nbsp; MPLX LP  | &nbsp;&nbsp;&nbsp; MPLX LP  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 27970 | &nbsp;&nbsp;&nbsp;&nbsp; 27572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 28080 | &nbsp;&nbsp;&nbsp;&nbsp; 27357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 4/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 13500 | &nbsp;&nbsp;&nbsp;&nbsp; 12468 |
| &nbsp;&nbsp;&nbsp; NGPL PipeCo LLC  | &nbsp;&nbsp;&nbsp; NGPL PipeCo LLC  | &nbsp;&nbsp;&nbsp; NGPL PipeCo LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 8/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8486 | &nbsp;&nbsp;&nbsp;&nbsp; 8401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 7/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8283 | &nbsp;&nbsp;&nbsp;&nbsp; 7242 |
| &nbsp;&nbsp;&nbsp; Northern Natural Gas Co. 5.63%, 2/1/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4550 | &nbsp;&nbsp;&nbsp;&nbsp; 4225 |
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp.  | &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp.  | &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5501 | &nbsp;&nbsp;&nbsp;&nbsp; 5331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 8/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6140 | &nbsp;&nbsp;&nbsp;&nbsp; 6099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 8/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 9894 | &nbsp;&nbsp;&nbsp;&nbsp; 7581 |
| &nbsp;&nbsp;&nbsp; ONEOK Partners LP 6.65%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1825 | &nbsp;&nbsp;&nbsp;&nbsp; 1918 |
| &nbsp;&nbsp;&nbsp; ONEOK, Inc. 4.75%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 29725 | &nbsp;&nbsp;&nbsp;&nbsp; 29016 |
| &nbsp;&nbsp;&nbsp; Pioneer Natural Resources Co. 1.90%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 18050 | &nbsp;&nbsp;&nbsp;&nbsp; 15806 |
| &nbsp;&nbsp;&nbsp; Plains All American Pipeline LP 5.95%, 6/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 26070 | &nbsp;&nbsp;&nbsp;&nbsp; 26028 |
| &nbsp;&nbsp;&nbsp; Saudi Arabian Oil Co. (Saudi Arabia) 1.63%, 11/24/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4660 | &nbsp;&nbsp;&nbsp;&nbsp; 4586 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Oil, Gas & Consumable Fuels — continued** | **Oil, Gas & Consumable Fuels — continued** | **Oil, Gas & Consumable Fuels — continued** |
| &nbsp;&nbsp;&nbsp; South Bow USA Infrastructure Holdings LLC (Canada) | &nbsp;&nbsp;&nbsp; South Bow USA Infrastructure Holdings LLC (Canada) | &nbsp;&nbsp;&nbsp; South Bow USA Infrastructure Holdings LLC (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.91%, 9/1/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 7005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.03%, 10/1/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8260 | &nbsp;&nbsp;&nbsp;&nbsp; 8191 |
| &nbsp;&nbsp;&nbsp; Suncor Energy, Inc. (Canada) | &nbsp;&nbsp;&nbsp; Suncor Energy, Inc. (Canada) | &nbsp;&nbsp;&nbsp; Suncor Energy, Inc. (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 12/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 11584 | &nbsp;&nbsp;&nbsp;&nbsp; 11729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.80%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1997 | &nbsp;&nbsp;&nbsp;&nbsp; 2092 |
| &nbsp;&nbsp;&nbsp; TotalEnergies Capital International SA (France) | &nbsp;&nbsp;&nbsp; TotalEnergies Capital International SA (France) | &nbsp;&nbsp;&nbsp; TotalEnergies Capital International SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.99%, 6/29/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 16000 | &nbsp;&nbsp;&nbsp;&nbsp; 11454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.46%, 7/12/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 12800 | &nbsp;&nbsp;&nbsp;&nbsp; 8755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 5/29/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 20230 | &nbsp;&nbsp;&nbsp;&nbsp; 12970 |
| &nbsp;&nbsp;&nbsp; TransCanada PipeLines Ltd. (Canada) 6.20%, 10/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 6345 | &nbsp;&nbsp;&nbsp;&nbsp; 6470 |
| &nbsp;&nbsp;&nbsp; Williams Cos., Inc. (The)  | &nbsp;&nbsp;&nbsp; Williams Cos., Inc. (The)  | &nbsp;&nbsp;&nbsp; Williams Cos., Inc. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9675 | &nbsp;&nbsp;&nbsp;&nbsp; 8561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 13720 | &nbsp;&nbsp;&nbsp;&nbsp; 14048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 18110 | &nbsp;&nbsp;&nbsp;&nbsp; 18278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 3/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 5070 | &nbsp;&nbsp;&nbsp;&nbsp; 4924 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 782445 |
| **Passenger Airlines — 0.0% ^** | **Passenger Airlines — 0.0% ^** | **Passenger Airlines — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; United Airlines Pass-Through Trust Series 2016-2, Class A Shares, 3.10%, 10/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15882 | &nbsp;&nbsp;&nbsp;&nbsp; 14625 |
| **Personal Care Products — 0.0% ^** | **Personal Care Products — 0.0% ^** | **Personal Care Products — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Haleon US Capital LLC 3.38%, 3/24/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9210 | &nbsp;&nbsp;&nbsp;&nbsp; 8842 |
| **Pharmaceuticals — 0.4%** | **Pharmaceuticals — 0.4%** | **Pharmaceuticals — 0.4%** |
| &nbsp;&nbsp;&nbsp; AstraZeneca plc (United Kingdom) | &nbsp;&nbsp;&nbsp; AstraZeneca plc (United Kingdom) | &nbsp;&nbsp;&nbsp; AstraZeneca plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.45%, 9/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 4250 | &nbsp;&nbsp;&nbsp;&nbsp; 4692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 9/18/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4270 | &nbsp;&nbsp;&nbsp;&nbsp; 3550 |
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co.  | &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co.  | &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 6/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 7096 | &nbsp;&nbsp;&nbsp;&nbsp; 6156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 2/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5046 | &nbsp;&nbsp;&nbsp;&nbsp; 4228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 3/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16992 | &nbsp;&nbsp;&nbsp;&nbsp; 12018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 2/22/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 2669 | &nbsp;&nbsp;&nbsp;&nbsp; 2534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 2/22/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 24465 | &nbsp;&nbsp;&nbsp;&nbsp; 23132 |
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co. 5.00%, 2/9/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 17320 | &nbsp;&nbsp;&nbsp;&nbsp; 15717 |
| &nbsp;&nbsp;&nbsp; Merck & Co., Inc.  | &nbsp;&nbsp;&nbsp; Merck & Co., Inc.  | &nbsp;&nbsp;&nbsp; Merck & Co., Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 3/7/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 13120 | &nbsp;&nbsp;&nbsp;&nbsp; 10195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 12/10/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7065 | &nbsp;&nbsp;&nbsp;&nbsp; 4234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 12/10/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 14550 | &nbsp;&nbsp;&nbsp;&nbsp; 8221 |
| &nbsp;&nbsp;&nbsp; Pfizer Investment Enterprises Pte. Ltd.  | &nbsp;&nbsp;&nbsp; Pfizer Investment Enterprises Pte. Ltd.  | &nbsp;&nbsp;&nbsp; Pfizer Investment Enterprises Pte. Ltd.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 5/19/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 15300 | &nbsp;&nbsp;&nbsp;&nbsp; 15045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 5/19/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 36640 | &nbsp;&nbsp;&nbsp;&nbsp; 33583 |
| &nbsp;&nbsp;&nbsp; Royalty Pharma plc 1.20%, 9/2/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3601 | &nbsp;&nbsp;&nbsp;&nbsp; 3567 |
| &nbsp;&nbsp;&nbsp; Takeda Pharmaceutical Co. Ltd. (Japan) | &nbsp;&nbsp;&nbsp; Takeda Pharmaceutical Co. Ltd. (Japan) | &nbsp;&nbsp;&nbsp; Takeda Pharmaceutical Co. Ltd. (Japan) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 3/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1200 | &nbsp;&nbsp;&nbsp;&nbsp; 1063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.03%, 7/9/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 25815 | &nbsp;&nbsp;&nbsp;&nbsp; 18824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 7/5/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 7762 | &nbsp;&nbsp;&nbsp;&nbsp; 7505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.18%, 7/9/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 16452 | &nbsp;&nbsp;&nbsp;&nbsp; 10428 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Pharmaceuticals — continued** | **Pharmaceuticals — continued** | **Pharmaceuticals — continued** |
| &nbsp;&nbsp;&nbsp; Utah Acquisition Sub, Inc. 3.95%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2504 | &nbsp;&nbsp;&nbsp;&nbsp; 2471 |
| &nbsp;&nbsp;&nbsp; Zoetis, Inc. 2.00%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12880 | &nbsp;&nbsp;&nbsp;&nbsp; 11435 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 198598 |
| **Real Estate Management & Development — 0.0% ^** | **Real Estate Management & Development — 0.0% ^** | **Real Estate Management & Development — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; GAIF Bond Issuer Pty. Ltd. (Australia) 3.40%, 9/30/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7843 | &nbsp;&nbsp;&nbsp;&nbsp; 7708 |
| &nbsp;&nbsp;&nbsp; Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6562 | &nbsp;&nbsp;&nbsp;&nbsp; 6462 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 14170 |
| **Residential REITs — 0.1%** | **Residential REITs — 0.1%** | **Residential REITs — 0.1%** |
| &nbsp;&nbsp;&nbsp; Essex Portfolio LP  | &nbsp;&nbsp;&nbsp; Essex Portfolio LP  | &nbsp;&nbsp;&nbsp; Essex Portfolio LP  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 1/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8950 | &nbsp;&nbsp;&nbsp;&nbsp; 7503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6190 | &nbsp;&nbsp;&nbsp;&nbsp; 6219 |
| &nbsp;&nbsp;&nbsp; Mid-America Apartments LP 1.70%, 2/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5500 | &nbsp;&nbsp;&nbsp;&nbsp; 4664 |
| &nbsp;&nbsp;&nbsp; UDR, Inc.  | &nbsp;&nbsp;&nbsp; UDR, Inc.  | &nbsp;&nbsp;&nbsp; UDR, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3831 | &nbsp;&nbsp;&nbsp;&nbsp; 3755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1354 | &nbsp;&nbsp;&nbsp;&nbsp; 1322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4750 | &nbsp;&nbsp;&nbsp;&nbsp; 4262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5520 | &nbsp;&nbsp;&nbsp;&nbsp; 4473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 11/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6440 | &nbsp;&nbsp;&nbsp;&nbsp; 5312 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 37510 |
| **Retail REITs — 0.1%** | **Retail REITs — 0.1%** | **Retail REITs — 0.1%** |
| &nbsp;&nbsp;&nbsp; Brixmor Operating Partnership LP 2.50%, 8/16/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6530 | &nbsp;&nbsp;&nbsp;&nbsp; 5615 |
| &nbsp;&nbsp;&nbsp; NNN REIT, Inc.  | &nbsp;&nbsp;&nbsp; NNN REIT, Inc.  | &nbsp;&nbsp;&nbsp; NNN REIT, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5043 | &nbsp;&nbsp;&nbsp;&nbsp; 5026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5527 | &nbsp;&nbsp;&nbsp;&nbsp; 5437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 10/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp; 7605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 9180 | &nbsp;&nbsp;&nbsp;&nbsp; 9191 |
| &nbsp;&nbsp;&nbsp; Realty Income Corp. 3.00%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2243 | &nbsp;&nbsp;&nbsp;&nbsp; 2192 |
| &nbsp;&nbsp;&nbsp; Regency Centers LP 4.13%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1755 | &nbsp;&nbsp;&nbsp;&nbsp; 1744 |
| &nbsp;&nbsp;&nbsp; Scentre Group Trust 1 (Australia) 3.25%, 10/28/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5595 | &nbsp;&nbsp;&nbsp;&nbsp; 5559 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 42369 |
| **Semiconductors & Semiconductor Equipment — 0.4%** | **Semiconductors & Semiconductor Equipment — 0.4%** | **Semiconductors & Semiconductor Equipment — 0.4%** |
| &nbsp;&nbsp;&nbsp; Analog Devices, Inc. 2.95%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 3779 |
| &nbsp;&nbsp;&nbsp; Broadcom, Inc.  | &nbsp;&nbsp;&nbsp; Broadcom, Inc.  | &nbsp;&nbsp;&nbsp; Broadcom, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 16770 | &nbsp;&nbsp;&nbsp;&nbsp; 17072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10780 | &nbsp;&nbsp;&nbsp;&nbsp; 10555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.14%, 11/15/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 40051 | &nbsp;&nbsp;&nbsp;&nbsp; 33171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.19%, 11/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5766 | &nbsp;&nbsp;&nbsp;&nbsp; 4690 |
| &nbsp;&nbsp;&nbsp; Intel Corp.  | &nbsp;&nbsp;&nbsp; Intel Corp.  | &nbsp;&nbsp;&nbsp; Intel Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.73%, 12/8/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 6116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 7655 | &nbsp;&nbsp;&nbsp;&nbsp; 4667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 8/12/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7655 | &nbsp;&nbsp;&nbsp;&nbsp; 4401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 2/10/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 17000 | &nbsp;&nbsp;&nbsp;&nbsp; 15256 |
| &nbsp;&nbsp;&nbsp; KLA Corp.  | &nbsp;&nbsp;&nbsp; KLA Corp.  | &nbsp;&nbsp;&nbsp; KLA Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 3/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 4728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 7/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 6212 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Semiconductors & Semiconductor Equipment — continued** | **Semiconductors & Semiconductor Equipment — continued** | **Semiconductors & Semiconductor Equipment — continued** |
| &nbsp;&nbsp;&nbsp; Marvell Technology, Inc. 2.95%, 4/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7790 | &nbsp;&nbsp;&nbsp;&nbsp; 6966 |
| &nbsp;&nbsp;&nbsp; NXP BV (Netherlands) | &nbsp;&nbsp;&nbsp; NXP BV (Netherlands) | &nbsp;&nbsp;&nbsp; NXP BV (Netherlands) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 5/11/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 36499 | &nbsp;&nbsp;&nbsp;&nbsp; 31459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 3889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 5/11/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 24465 | &nbsp;&nbsp;&nbsp;&nbsp; 17279 |
| &nbsp;&nbsp;&nbsp; QUALCOMM, Inc. 4.50%, 5/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10475 | &nbsp;&nbsp;&nbsp;&nbsp; 8619 |
| &nbsp;&nbsp;&nbsp; Texas Instruments, Inc. 5.05%, 5/18/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 43918 | &nbsp;&nbsp;&nbsp;&nbsp; 38778 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 217637 |
| **Software — 0.3%** | **Software — 0.3%** | **Software — 0.3%** |
| &nbsp;&nbsp;&nbsp; Intuit, Inc. 5.50%, 9/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 7410 | &nbsp;&nbsp;&nbsp;&nbsp; 7172 |
| &nbsp;&nbsp;&nbsp; Microsoft Corp. 3.04%, 3/17/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 1820 | &nbsp;&nbsp;&nbsp;&nbsp; 1149 |
| &nbsp;&nbsp;&nbsp; Oracle Corp.  | &nbsp;&nbsp;&nbsp; Oracle Corp.  | &nbsp;&nbsp;&nbsp; Oracle Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 2/6/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9640 | &nbsp;&nbsp;&nbsp;&nbsp; 9508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 5/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1952 | &nbsp;&nbsp;&nbsp;&nbsp; 1730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 4/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 10434 | &nbsp;&nbsp;&nbsp;&nbsp; 8150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 3/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 19515 | &nbsp;&nbsp;&nbsp;&nbsp; 14980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 7/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 8872 | &nbsp;&nbsp;&nbsp;&nbsp; 6643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 10192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 3/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 7151 |
| &nbsp;&nbsp;&nbsp; Roper Technologies, Inc.  | &nbsp;&nbsp;&nbsp; Roper Technologies, Inc.  | &nbsp;&nbsp;&nbsp; Roper Technologies, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 14890 | &nbsp;&nbsp;&nbsp;&nbsp; 13921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 6/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 9380 | &nbsp;&nbsp;&nbsp;&nbsp; 8246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9385 | &nbsp;&nbsp;&nbsp;&nbsp; 9285 |
| &nbsp;&nbsp;&nbsp; Synopsys, Inc. 5.15%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 20850 | &nbsp;&nbsp;&nbsp;&nbsp; 20608 |
| &nbsp;&nbsp;&nbsp; VMware LLC 4.65%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8800 | &nbsp;&nbsp;&nbsp;&nbsp; 8813 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 127548 |
| **Specialized REITs — 0.3%** | **Specialized REITs — 0.3%** | **Specialized REITs — 0.3%** |
| &nbsp;&nbsp;&nbsp; American Tower Corp.  | &nbsp;&nbsp;&nbsp; American Tower Corp.  | &nbsp;&nbsp;&nbsp; American Tower Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4378 | &nbsp;&nbsp;&nbsp;&nbsp; 4312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 1/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10510 | &nbsp;&nbsp;&nbsp;&nbsp; 9715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 1/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12880 | &nbsp;&nbsp;&nbsp;&nbsp; 13019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8940 | &nbsp;&nbsp;&nbsp;&nbsp; 7857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 19410 | &nbsp;&nbsp;&nbsp;&nbsp; 16669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 11/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 17280 | &nbsp;&nbsp;&nbsp;&nbsp; 18015 |
| &nbsp;&nbsp;&nbsp; Crown Castle, Inc.  | &nbsp;&nbsp;&nbsp; Crown Castle, Inc.  | &nbsp;&nbsp;&nbsp; Crown Castle, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2066 | &nbsp;&nbsp;&nbsp;&nbsp; 2039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 6/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 12355 | &nbsp;&nbsp;&nbsp;&nbsp; 12695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 12960 | &nbsp;&nbsp;&nbsp;&nbsp; 13229 |
| &nbsp;&nbsp;&nbsp; Equinix, Inc. 2.90%, 11/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 20442 | &nbsp;&nbsp;&nbsp;&nbsp; 19931 |
| &nbsp;&nbsp;&nbsp; Extra Space Storage LP 3.50%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8937 | &nbsp;&nbsp;&nbsp;&nbsp; 8839 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 126320 |
| **Specialty Retail — 0.0% ^** | **Specialty Retail — 0.0% ^** | **Specialty Retail — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; AutoZone, Inc. 1.65%, 1/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 12180 | &nbsp;&nbsp;&nbsp;&nbsp; 10320 |
| &nbsp;&nbsp;&nbsp; O'Reilly Automotive, Inc. 3.60%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4715 | &nbsp;&nbsp;&nbsp;&nbsp; 4627 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 14947 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Technology Hardware, Storage & Peripherals — 0.3%** | **Technology Hardware, Storage & Peripherals — 0.3%** | **Technology Hardware, Storage & Peripherals — 0.3%** |
| &nbsp;&nbsp;&nbsp; Apple, Inc.  | &nbsp;&nbsp;&nbsp; Apple, Inc.  | &nbsp;&nbsp;&nbsp; Apple, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 2/9/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 14187 | &nbsp;&nbsp;&nbsp;&nbsp; 10816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 8/4/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3512 | &nbsp;&nbsp;&nbsp;&nbsp; 2784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 9/12/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 13570 | &nbsp;&nbsp;&nbsp;&nbsp; 10483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/13/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp; 1233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 8/5/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 57605 | &nbsp;&nbsp;&nbsp;&nbsp; 35000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 8/8/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 5260 | &nbsp;&nbsp;&nbsp;&nbsp; 4059 |
| &nbsp;&nbsp;&nbsp; Dell International LLC  | &nbsp;&nbsp;&nbsp; Dell International LLC  | &nbsp;&nbsp;&nbsp; Dell International LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.02%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12505 | &nbsp;&nbsp;&nbsp;&nbsp; 12621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5595 | &nbsp;&nbsp;&nbsp;&nbsp; 5610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 2/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5508 | &nbsp;&nbsp;&nbsp;&nbsp; 5618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 6122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4770 | &nbsp;&nbsp;&nbsp;&nbsp; 4795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 46000 | &nbsp;&nbsp;&nbsp;&nbsp; 45401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 12/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 242 | &nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp; Hewlett Packard Enterprise Co. 5.60%, 10/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 17820 | &nbsp;&nbsp;&nbsp;&nbsp; 16631 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 161333 |
| **Tobacco — 0.1%** | **Tobacco — 0.1%** | **Tobacco — 0.1%** |
| &nbsp;&nbsp;&nbsp; Altria Group, Inc. 2.45%, 2/4/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 27925 | &nbsp;&nbsp;&nbsp;&nbsp; 23699 |
| &nbsp;&nbsp;&nbsp; BAT Capital Corp. (United Kingdom) | &nbsp;&nbsp;&nbsp; BAT Capital Corp. (United Kingdom) | &nbsp;&nbsp;&nbsp; BAT Capital Corp. (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.26%, 3/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp; 13165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.39%, 8/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 9875 | &nbsp;&nbsp;&nbsp;&nbsp; 8687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.54%, 8/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 12507 | &nbsp;&nbsp;&nbsp;&nbsp; 9873 |
| &nbsp;&nbsp;&nbsp; BAT International Finance plc (United Kingdom) 1.67%, 3/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp; 10739 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 66163 |
| **Trading Companies & Distributors — 0.1%** | **Trading Companies & Distributors — 0.1%** | **Trading Companies & Distributors — 0.1%** |
| &nbsp;&nbsp;&nbsp; Aviation Capital Group LLC  | &nbsp;&nbsp;&nbsp; Aviation Capital Group LLC  | &nbsp;&nbsp;&nbsp; Aviation Capital Group LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 8/1/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7958 | &nbsp;&nbsp;&nbsp;&nbsp; 7948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 7/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 20212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 4/10/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9650 | &nbsp;&nbsp;&nbsp;&nbsp; 9592 |
| &nbsp;&nbsp;&nbsp; WW Grainger, Inc. 4.60%, 6/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 4364 | &nbsp;&nbsp;&nbsp;&nbsp; 3778 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 41530 |
| **Water Utilities — 0.0% ^** | **Water Utilities — 0.0% ^** | **Water Utilities — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; American Water Capital Corp.  | &nbsp;&nbsp;&nbsp; American Water Capital Corp.  | &nbsp;&nbsp;&nbsp; American Water Capital Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 6/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5250 | &nbsp;&nbsp;&nbsp;&nbsp; 5041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.59%, 10/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 3354 | &nbsp;&nbsp;&nbsp;&nbsp; 3676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2241 | &nbsp;&nbsp;&nbsp;&nbsp; 1726 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 10443 |
| **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; America Movil SAB de CV (Mexico) 4.38%, 4/22/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 8284 | &nbsp;&nbsp;&nbsp;&nbsp; 6623 |
| &nbsp;&nbsp;&nbsp; Sprint LLC 7.63%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5044 | &nbsp;&nbsp;&nbsp;&nbsp; 5099 |
| &nbsp;&nbsp;&nbsp; T-Mobile USA, Inc.  | &nbsp;&nbsp;&nbsp; T-Mobile USA, Inc.  | &nbsp;&nbsp;&nbsp; T-Mobile USA, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 18000 | &nbsp;&nbsp;&nbsp;&nbsp; 17768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 25095 | &nbsp;&nbsp;&nbsp;&nbsp; 24198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 10/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16650 | &nbsp;&nbsp;&nbsp;&nbsp; 10873 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Wireless Telecommunication Services — continued** | **Wireless Telecommunication Services — continued** | **Wireless Telecommunication Services — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 1/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 9450 | &nbsp;&nbsp;&nbsp;&nbsp; 8736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 11/15/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 2599 |
| &nbsp;&nbsp;&nbsp; Vodafone Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Vodafone Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Vodafone Group plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 6/19/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 16825 | &nbsp;&nbsp;&nbsp;&nbsp; 14084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 2/10/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3745 | &nbsp;&nbsp;&nbsp;&nbsp; 3437 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 93417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Corporate Bonds <br>(Cost $12,947,767)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 12234240 |
| **Mortgage-Backed Securities — 23.0%** | **Mortgage-Backed Securities — 23.0%** | **Mortgage-Backed Securities — 23.0%** |
| &nbsp;&nbsp;&nbsp; BAML RCAP Frn  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 6/25/2025 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp;&nbsp;&nbsp; 255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 10/25/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 15930 | &nbsp;&nbsp;&nbsp;&nbsp; 15930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 10/25/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 19920 | &nbsp;&nbsp;&nbsp;&nbsp; 19920 |
| &nbsp;&nbsp;&nbsp; FHLMC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785618, ARM, 7.25%, 7/1/2026 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 789758, ARM, 7.37%, 9/1/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 847621, ARM, 6.56%, 5/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 253 | &nbsp;&nbsp;&nbsp;&nbsp; 259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781087, ARM, 6.36%, 12/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B1665, ARM, 6.75%, 4/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782870, ARM, 7.00%, 9/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp;&nbsp;&nbsp; 168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782979, ARM, 6.50%, 1/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 365 | &nbsp;&nbsp;&nbsp;&nbsp; 377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782980, ARM, 6.50%, 1/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0007, ARM, 7.01%, 12/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0025, ARM, 6.73%, 2/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848431, ARM, 6.93%, 2/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1861, ARM, 6.91%, 3/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1380, ARM, 7.68%, 3/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1L1286, ARM, 6.50%, 5/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1H2618, ARM, 6.95%, 5/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 227 | &nbsp;&nbsp;&nbsp;&nbsp; 235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2415, ARM, 7.33%, 5/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848068, ARM, 6.99%, 6/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 279 | &nbsp;&nbsp;&nbsp;&nbsp; 286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2557, ARM, 7.34%, 6/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 405 | &nbsp;&nbsp;&nbsp;&nbsp; 417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1082, ARM, 6.57%, 7/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848365, ARM, 7.12%, 7/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1H2623, ARM, 7.37%, 7/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1085, ARM, 6.56%, 8/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B7242, ARM, 7.41%, 9/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 338 | &nbsp;&nbsp;&nbsp;&nbsp; 347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0105, ARM, 7.58%, 9/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp; 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N0249, ARM, 6.32%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1096, ARM, 6.41%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 365 | &nbsp;&nbsp;&nbsp;&nbsp; 371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1097, ARM, 6.54%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1348, ARM, 7.19%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2539, ARM, 7.20%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1K0046, ARM, 7.36%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1378, ARM, 6.27%, 11/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 178 | &nbsp;&nbsp;&nbsp;&nbsp; 181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2671, ARM, 6.51%, 11/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848115, ARM, 6.86%, 11/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0737, ARM, 7.14%, 11/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782760, ARM, 7.26%, 11/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp;&nbsp;&nbsp; 206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1418, ARM, 6.32%, 12/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1419, ARM, 6.42%, 12/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp;&nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1399, ARM, 6.75%, 12/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1386, ARM, 6.80%, 12/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp; 190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1634, ARM, 6.85%, 12/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 690 | &nbsp;&nbsp;&nbsp;&nbsp; 712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1478, ARM, 6.66%, 1/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1516, ARM, 6.60%, 2/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N0353, ARM, 6.82%, 2/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 195 | &nbsp;&nbsp;&nbsp;&nbsp; 199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1554, ARM, 6.84%, 2/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp; 111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0739, ARM, 6.54%, 3/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 215 | &nbsp;&nbsp;&nbsp;&nbsp; 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B7303, ARM, 8.10%, 3/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1564, ARM, 6.95%, 4/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp; 192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0697, ARM, 6.20%, 5/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 293 | &nbsp;&nbsp;&nbsp;&nbsp; 301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1193, ARM, 6.64%, 5/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N1477, ARM, 6.64%, 5/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N1463, ARM, 6.88%, 5/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0783, ARM, 6.92%, 5/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1621, ARM, 7.18%, 5/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J0533, ARM, 7.62%, 7/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J2945, ARM, 7.50%, 11/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0722, ARM, 6.90%, 4/1/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0789, ARM, 7.00%, 5/1/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848699, ARM, 7.18%, 7/1/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91158, 6.50%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91417, 3.50%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1165 | &nbsp;&nbsp;&nbsp;&nbsp; 1143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91403, 3.50%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 449 | &nbsp;&nbsp;&nbsp;&nbsp; 441 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C00414, 7.50%, 8/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C00452, 7.00%, 4/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G00981, 8.50%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G02210, 7.00%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C47315, 6.50%, 8/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 221 | &nbsp;&nbsp;&nbsp;&nbsp; 231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03029, 6.00%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A88871, 7.00%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C68485, 7.00%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01448, 7.00%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C75791, 5.50%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A13625, 5.50%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A16107, 6.00%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01864, 5.00%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A17537, 6.00%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A23139, 5.00%, 6/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 179 | &nbsp;&nbsp;&nbsp;&nbsp; 180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A61572, 5.00%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 274 | &nbsp;&nbsp;&nbsp;&nbsp; 275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A28796, 6.50%, 11/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03369, 6.50%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 236 | &nbsp;&nbsp;&nbsp;&nbsp; 243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A70350, 5.00%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A46987, 5.50%, 7/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp;&nbsp;&nbsp; 239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05713, 6.50%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp;&nbsp;&nbsp; 173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03777, 5.00%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 191 | &nbsp;&nbsp;&nbsp;&nbsp; 192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C02660, 6.50%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G02427, 5.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A57681, 6.00%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G02682, 7.00%, 2/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G04949, 6.50%, 11/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp; 166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03666, 7.50%, 1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp;&nbsp;&nbsp; 294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G04952, 7.50%, 1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G04077, 6.50%, 3/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 176 | &nbsp;&nbsp;&nbsp;&nbsp; 185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05671, 5.50%, 8/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 209 | &nbsp;&nbsp;&nbsp;&nbsp; 213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05190, 7.50%, 9/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C03466, 5.50%, 3/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A93383, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 805 | &nbsp;&nbsp;&nbsp;&nbsp; 807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A93511, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2991 | &nbsp;&nbsp;&nbsp;&nbsp; 2996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G06493, 4.50%, 5/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 5295 | &nbsp;&nbsp;&nbsp;&nbsp; 5200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # V80351, 3.00%, 8/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 10876 | &nbsp;&nbsp;&nbsp;&nbsp; 9673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q52834, 4.00%, 12/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1132 | &nbsp;&nbsp;&nbsp;&nbsp; 1055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Z40179, 4.00%, 7/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 18948 | &nbsp;&nbsp;&nbsp;&nbsp; 17708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q57995, 5.00%, 8/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3087 | &nbsp;&nbsp;&nbsp;&nbsp; 3066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q61104, 4.00%, 1/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1074 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q61107, 4.00%, 1/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1899 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WN1157, 1.80%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 50852 | &nbsp;&nbsp;&nbsp;&nbsp; 46771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P20570, 7.00%, 7/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20027, 10.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # B90491, 7.50%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp; 156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WA3237, 3.55%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 25297 | &nbsp;&nbsp;&nbsp;&nbsp; 23549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WA1630, 4.15%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6792 | &nbsp;&nbsp;&nbsp;&nbsp; 6567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80192, 3.50%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 702 | &nbsp;&nbsp;&nbsp;&nbsp; 680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80342, 3.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 349 | &nbsp;&nbsp;&nbsp;&nbsp; 339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80345, 3.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1935 | &nbsp;&nbsp;&nbsp;&nbsp; 1892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WN3233, 3.19%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 61700 | &nbsp;&nbsp;&nbsp;&nbsp; 56106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WN3225, 3.80%, 10/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 18462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50523, 6.50%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # H05030, 6.00%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # L10291, 6.50%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 553 | &nbsp;&nbsp;&nbsp;&nbsp; 571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P51353, 6.50%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 474 | &nbsp;&nbsp;&nbsp;&nbsp; 486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50595, 6.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 786 | &nbsp;&nbsp;&nbsp;&nbsp; 817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P51361, 6.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 349 | &nbsp;&nbsp;&nbsp;&nbsp; 359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20028, 7.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp;&nbsp;&nbsp; 435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50531, 6.50%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50536, 6.50%, 2/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WA3186, 3.86%, 4/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50556, 6.50%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90690, 3.50%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 6864 | &nbsp;&nbsp;&nbsp;&nbsp; 6327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90975, 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 5333 | &nbsp;&nbsp;&nbsp;&nbsp; 5034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # T65101, 4.00%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90402, 3.50%, 11/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 591 | &nbsp;&nbsp;&nbsp;&nbsp; 545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90673, 4.00%, 1/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 687 | &nbsp;&nbsp;&nbsp;&nbsp; 649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U91192, 4.00%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1073 | &nbsp;&nbsp;&nbsp;&nbsp; 1013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U91488, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 820 | &nbsp;&nbsp;&nbsp;&nbsp; 755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U99051, 3.50%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2133 | &nbsp;&nbsp;&nbsp;&nbsp; 1967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U99134, 4.00%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 24456 | &nbsp;&nbsp;&nbsp;&nbsp; 22874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U69030, 4.50%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 8404 | &nbsp;&nbsp;&nbsp;&nbsp; 8138 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 20 Year Pool # SC0104, 3.50%, 8/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5698 | &nbsp;&nbsp;&nbsp;&nbsp; 5503 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QG5005, 3.00%, 6/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 9529 | &nbsp;&nbsp;&nbsp;&nbsp; 8259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT2236, 4.00%, 6/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 14847 | &nbsp;&nbsp;&nbsp;&nbsp; 13851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT2212, 4.00%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3453 | &nbsp;&nbsp;&nbsp;&nbsp; 3220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA0149, 4.00%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3043 | &nbsp;&nbsp;&nbsp;&nbsp; 2848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA2578, 3.50%, 9/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1183 | &nbsp;&nbsp;&nbsp;&nbsp; 1060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA2008, 4.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 10873 | &nbsp;&nbsp;&nbsp;&nbsp; 10086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA2282, 4.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6164 | &nbsp;&nbsp;&nbsp;&nbsp; 5821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA7351, 3.00%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5894 | &nbsp;&nbsp;&nbsp;&nbsp; 5068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB0704, 2.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9369 | &nbsp;&nbsp;&nbsp;&nbsp; 7649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB1571, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 10203 | &nbsp;&nbsp;&nbsp;&nbsp; 8330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD8089, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 79579 | &nbsp;&nbsp;&nbsp;&nbsp; 65666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB2879, 2.50%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2394 | &nbsp;&nbsp;&nbsp;&nbsp; 1954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB7670, 2.50%, 1/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4564 | &nbsp;&nbsp;&nbsp;&nbsp; 3721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB8840, 2.50%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7643 | &nbsp;&nbsp;&nbsp;&nbsp; 6231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD4044, 2.50%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 34459 | &nbsp;&nbsp;&nbsp;&nbsp; 28546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QC2061, 2.00%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 15006 | &nbsp;&nbsp;&nbsp;&nbsp; 11807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD8152, 3.00%, 6/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 11251 | &nbsp;&nbsp;&nbsp;&nbsp; 9635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6135, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 15937 | &nbsp;&nbsp;&nbsp;&nbsp; 13168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1964, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 58064 | &nbsp;&nbsp;&nbsp;&nbsp; 47687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6128, 3.00%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 30553 | &nbsp;&nbsp;&nbsp;&nbsp; 26277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6228, 2.50%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 16812 | &nbsp;&nbsp;&nbsp;&nbsp; 13857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6222, 3.00%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 15694 | &nbsp;&nbsp;&nbsp;&nbsp; 13396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6459, 2.50%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 27403 | &nbsp;&nbsp;&nbsp;&nbsp; 22343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6606, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 20260 | &nbsp;&nbsp;&nbsp;&nbsp; 17459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD0809, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5998 | &nbsp;&nbsp;&nbsp;&nbsp; 5156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1076, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10753 | &nbsp;&nbsp;&nbsp;&nbsp; 9233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD5768, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12727 | &nbsp;&nbsp;&nbsp;&nbsp; 10910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6815, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6310 | &nbsp;&nbsp;&nbsp;&nbsp; 5202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6702, 3.00%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 41132 | &nbsp;&nbsp;&nbsp;&nbsp; 35011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD3952, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 42048 | &nbsp;&nbsp;&nbsp;&nbsp; 34714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD7554, 2.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 58710 | &nbsp;&nbsp;&nbsp;&nbsp; 48576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD8212, 2.50%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 68234 | &nbsp;&nbsp;&nbsp;&nbsp; 55665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD3362, 3.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 23582 | &nbsp;&nbsp;&nbsp;&nbsp; 20229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD6410, 3.00%, 5/1/2052 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 10901 | &nbsp;&nbsp;&nbsp;&nbsp; 9353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD6159, 3.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 96793 | &nbsp;&nbsp;&nbsp;&nbsp; 82898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA7468, 4.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 28231 | &nbsp;&nbsp;&nbsp;&nbsp; 25921 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1365, 4.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 51180 | &nbsp;&nbsp;&nbsp;&nbsp; 46977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA7683, 5.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 22048 | &nbsp;&nbsp;&nbsp;&nbsp; 21425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA7843, 4.00%, 8/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 36873 | &nbsp;&nbsp;&nbsp;&nbsp; 33852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1725, 4.00%, 10/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 76420 | &nbsp;&nbsp;&nbsp;&nbsp; 70171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1713, 5.00%, 10/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 32543 | &nbsp;&nbsp;&nbsp;&nbsp; 31739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD2394, 4.50%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12493 | &nbsp;&nbsp;&nbsp;&nbsp; 11851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD2355, 4.50%, 12/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10839 | &nbsp;&nbsp;&nbsp;&nbsp; 10282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA8766, 5.00%, 3/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 21590 | &nbsp;&nbsp;&nbsp;&nbsp; 20953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD3567, 4.50%, 5/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 17357 | &nbsp;&nbsp;&nbsp;&nbsp; 16465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA9259, 5.00%, 6/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 23356 | &nbsp;&nbsp;&nbsp;&nbsp; 22698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RJ2912, 5.50%, 11/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 16538 | &nbsp;&nbsp;&nbsp;&nbsp; 16470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RJ2914, 5.50%, 11/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 61666 | &nbsp;&nbsp;&nbsp;&nbsp; 61328 |
| &nbsp;&nbsp;&nbsp; FNMA  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 54844, ARM, 4.35%, 9/1/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 303532, ARM, 4.44%, 3/1/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 555732, ARM, 7.00%, 8/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 658481, ARM, 6.13%, 9/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 746299, ARM, 7.60%, 9/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 743546, ARM, 6.31%, 11/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 766610, ARM, 6.45%, 1/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 777132, ARM, 6.29%, 6/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782306, ARM, 6.17%, 7/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 800422, ARM, 5.93%, 8/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 790235, ARM, 7.36%, 8/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 790964, ARM, 7.40%, 9/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 794792, ARM, 7.07%, 10/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 896463, ARM, 7.39%, 10/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781563, ARM, 6.50%, 11/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 799912, ARM, 6.74%, 11/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810896, ARM, 6.21%, 1/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 363 | &nbsp;&nbsp;&nbsp;&nbsp; 371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 809319, ARM, 6.67%, 1/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 816594, ARM, 6.25%, 2/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 820602, ARM, 6.60%, 3/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745862, ARM, 6.57%, 4/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 821378, ARM, 6.04%, 5/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 823660, ARM, 6.59%, 5/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 832801, ARM, 7.21%, 9/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 851432, ARM, 7.18%, 10/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 160 | &nbsp;&nbsp;&nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 849251, ARM, 6.46%, 1/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 271 | &nbsp;&nbsp;&nbsp;&nbsp; 277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745445, ARM, 6.52%, 1/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920340, ARM, 7.25%, 2/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920843, ARM, 7.28%, 3/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 562 | &nbsp;&nbsp;&nbsp;&nbsp; 581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 868952, ARM, 6.80%, 5/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 884066, ARM, 6.61%, 6/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 872825, ARM, 7.67%, 6/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 892868, ARM, 7.52%, 7/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 884722, ARM, 6.12%, 8/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 886558, ARM, 7.34%, 8/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 180 | &nbsp;&nbsp;&nbsp;&nbsp; 184 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920547, ARM, 6.23%, 9/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 893580, ARM, 7.07%, 9/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 894452, ARM, 7.45%, 9/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 886772, ARM, 7.48%, 9/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 894239, ARM, 6.56%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 900197, ARM, 7.51%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp;&nbsp;&nbsp; 319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 900191, ARM, 7.72%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 902818, ARM, 6.57%, 11/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 902955, ARM, 6.26%, 12/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920954, ARM, 6.22%, 1/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp; 127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888184, ARM, 6.59%, 1/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 913984, ARM, 6.20%, 2/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 915645, ARM, 6.83%, 2/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888307, ARM, 6.62%, 4/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 948208, ARM, 6.11%, 7/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995919, ARM, 7.32%, 7/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp;&nbsp;&nbsp; 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 938346, ARM, 7.68%, 7/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 945032, ARM, 8.15%, 8/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp;&nbsp;&nbsp; 263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 946362, ARM, 7.26%, 9/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 952835, ARM, 7.37%, 9/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 946260, ARM, 7.66%, 9/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0085, ARM, 6.67%, 11/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995108, ARM, 7.21%, 11/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0179, ARM, 6.84%, 12/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp;&nbsp;&nbsp; 306 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 15 Year Pool # FM3386, 3.50%, 7/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 557 | &nbsp;&nbsp;&nbsp;&nbsp; 549 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE0096, 5.50%, 7/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256311, 6.00%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256352, 6.50%, 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256803, 6.00%, 7/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256962, 6.00%, 11/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257007, 6.00%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257048, 6.00%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890222, 6.00%, 10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE0049, 6.00%, 9/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO7761, 3.50%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 303 | &nbsp;&nbsp;&nbsp;&nbsp; 297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1138, 3.50%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1847 | &nbsp;&nbsp;&nbsp;&nbsp; 1807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6238, 4.00%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5324 | &nbsp;&nbsp;&nbsp;&nbsp; 5216 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 689977, 8.00%, 3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695533, 8.00%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 313687, 7.00%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 755973, 8.00%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 455759, 6.00%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252211, 6.00%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889020, 6.50%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 653 | &nbsp;&nbsp;&nbsp;&nbsp; 670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 598559, 6.50%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 679886, 6.50%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 111 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 682078, 5.50%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp;&nbsp;&nbsp; 200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 675555, 6.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL0045, 6.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 344 | &nbsp;&nbsp;&nbsp;&nbsp; 357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 683351, 5.50%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 357363, 5.50%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp;&nbsp;&nbsp; 192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 674349, 6.00%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 688625, 6.00%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695584, 6.00%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 254693, 5.50%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 702901, 6.00%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 720576, 5.00%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995656, 7.00%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp;&nbsp;&nbsp; 198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 723852, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729296, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 720155, 5.50%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729379, 6.00%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA0917, 5.50%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 532 | &nbsp;&nbsp;&nbsp;&nbsp; 541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 737825, 6.00%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 750977, 4.50%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 725027, 5.00%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 755109, 5.50%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 753174, 4.00%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 725017, 5.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp;&nbsp;&nbsp; 238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 759424, 5.50%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751341, 5.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 770405, 5.00%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 244 | &nbsp;&nbsp;&nbsp;&nbsp; 243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 776708, 5.00%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC1317, 4.50%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888568, 5.00%, 12/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810663, 5.00%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995003, 7.50%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995156, 7.50%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp; 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735503, 6.00%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 251 | &nbsp;&nbsp;&nbsp;&nbsp; 261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 827776, 5.00%, 7/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 820347, 5.00%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp;&nbsp;&nbsp; 175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745148, 5.00%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp;&nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888417, 6.50%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp;&nbsp;&nbsp; 493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745275, 5.00%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 833629, 7.00%, 3/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745418, 5.50%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 180 | &nbsp;&nbsp;&nbsp;&nbsp; 184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888016, 5.50%, 5/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp;&nbsp;&nbsp; 240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888209, 5.50%, 5/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp; 161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 870770, 6.50%, 7/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 976871, 6.50%, 8/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 377 | &nbsp;&nbsp;&nbsp;&nbsp; 387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA0922, 6.00%, 9/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 860 | &nbsp;&nbsp;&nbsp;&nbsp; 891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745948, 6.50%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA1019, 6.00%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888476, 7.50%, 5/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 928584, 6.50%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 945870, 6.50%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 986648, 6.00%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp;&nbsp;&nbsp; 264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 928670, 7.00%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp;&nbsp;&nbsp; 170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888890, 6.50%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp; 197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888707, 7.50%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 428 | &nbsp;&nbsp;&nbsp;&nbsp; 450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888892, 7.50%, 11/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL0662, 5.50%, 1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp;&nbsp;&nbsp; 296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995505, 8.00%, 1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 929331, 6.00%, 4/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 909236, 7.00%, 9/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 244 | &nbsp;&nbsp;&nbsp;&nbsp; 255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890268, 6.50%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 227 | &nbsp;&nbsp;&nbsp;&nbsp; 236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995149, 6.50%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 895 | &nbsp;&nbsp;&nbsp;&nbsp; 938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 934591, 7.00%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 230 | &nbsp;&nbsp;&nbsp;&nbsp; 240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB2869, 6.00%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 233 | &nbsp;&nbsp;&nbsp;&nbsp; 242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 991908, 7.00%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 201 | &nbsp;&nbsp;&nbsp;&nbsp; 214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995504, 7.50%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257510, 7.00%, 12/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp; 636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0753, 7.00%, 1/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 766 | &nbsp;&nbsp;&nbsp;&nbsp; 808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0780, 7.50%, 4/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 521 | &nbsp;&nbsp;&nbsp;&nbsp; 557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC2948, 5.00%, 9/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp; 350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC3740, 5.50%, 9/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC7296, 5.50%, 12/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp;&nbsp;&nbsp; 216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD7790, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1880 | &nbsp;&nbsp;&nbsp;&nbsp; 1881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD9151, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 646 | &nbsp;&nbsp;&nbsp;&nbsp; 647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL2059, 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4732 | &nbsp;&nbsp;&nbsp;&nbsp; 4504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9017, 3.00%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 7253 | &nbsp;&nbsp;&nbsp;&nbsp; 6453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT5891, 3.00%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 8900 | &nbsp;&nbsp;&nbsp;&nbsp; 7916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9860, 3.00%, 7/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6683 | &nbsp;&nbsp;&nbsp;&nbsp; 5935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7527, 4.50%, 9/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7496, 3.50%, 5/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 13165 | &nbsp;&nbsp;&nbsp;&nbsp; 12151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AX9319, 3.50%, 12/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 5275 | &nbsp;&nbsp;&nbsp;&nbsp; 4808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7380, 3.50%, 2/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 7725 | &nbsp;&nbsp;&nbsp;&nbsp; 7138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS6479, 3.50%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 18908 | &nbsp;&nbsp;&nbsp;&nbsp; 17330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1213, 4.00%, 4/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 7089 | &nbsp;&nbsp;&nbsp;&nbsp; 6660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BH7650, 4.00%, 9/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3619 | &nbsp;&nbsp;&nbsp;&nbsp; 3379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3500, 4.00%, 9/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 22231 | &nbsp;&nbsp;&nbsp;&nbsp; 21134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE8344, 4.00%, 11/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1009 | &nbsp;&nbsp;&nbsp;&nbsp; 942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7248, 4.00%, 12/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3195 | &nbsp;&nbsp;&nbsp;&nbsp; 2982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE8349, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1840 | &nbsp;&nbsp;&nbsp;&nbsp; 1717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ5756, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3671 | &nbsp;&nbsp;&nbsp;&nbsp; 3402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7310, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6146 | &nbsp;&nbsp;&nbsp;&nbsp; 5735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ8237, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3451 | &nbsp;&nbsp;&nbsp;&nbsp; 3219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ8264, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2490 | &nbsp;&nbsp;&nbsp;&nbsp; 2323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3375, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4548 | &nbsp;&nbsp;&nbsp;&nbsp; 4244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK1007, 4.00%, 2/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1059 | &nbsp;&nbsp;&nbsp;&nbsp; 988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK1134, 4.00%, 2/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3676 | &nbsp;&nbsp;&nbsp;&nbsp; 3430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3665, 4.00%, 3/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 27619 | &nbsp;&nbsp;&nbsp;&nbsp; 25774 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE8366, 4.50%, 7/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2855 | &nbsp;&nbsp;&nbsp;&nbsp; 2738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7982, 5.00%, 7/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3309 | &nbsp;&nbsp;&nbsp;&nbsp; 3311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0271, 4.50%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 885 | &nbsp;&nbsp;&nbsp;&nbsp; 849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN1315, 4.50%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1418 | &nbsp;&nbsp;&nbsp;&nbsp; 1357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN4733, 5.50%, 3/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp;&nbsp;&nbsp; 240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK8745, 4.50%, 4/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2078 | &nbsp;&nbsp;&nbsp;&nbsp; 1981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM1939, 4.50%, 5/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 10015 | &nbsp;&nbsp;&nbsp;&nbsp; 9569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK8753, 4.50%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2832 | &nbsp;&nbsp;&nbsp;&nbsp; 2704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA3713, 5.00%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1402 | &nbsp;&nbsp;&nbsp;&nbsp; 1378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2305, 4.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3485 | &nbsp;&nbsp;&nbsp;&nbsp; 3240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO5607, 3.50%, 9/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2328 | &nbsp;&nbsp;&nbsp;&nbsp; 2088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO1405, 4.00%, 9/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4280 | &nbsp;&nbsp;&nbsp;&nbsp; 3967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO4392, 3.50%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3797 | &nbsp;&nbsp;&nbsp;&nbsp; 3416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP3048, 3.00%, 3/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4305 | &nbsp;&nbsp;&nbsp;&nbsp; 3701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP5299, 3.50%, 3/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4643 | &nbsp;&nbsp;&nbsp;&nbsp; 4336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5702, 2.50%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 41954 | &nbsp;&nbsp;&nbsp;&nbsp; 34664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5729, 3.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4686 | &nbsp;&nbsp;&nbsp;&nbsp; 4020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM3671, 4.50%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4882 | &nbsp;&nbsp;&nbsp;&nbsp; 4791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6079, 2.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 41696 | &nbsp;&nbsp;&nbsp;&nbsp; 34041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK2746, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 18187 | &nbsp;&nbsp;&nbsp;&nbsp; 14848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP9823, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 577 | &nbsp;&nbsp;&nbsp;&nbsp; 471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP9948, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1036 | &nbsp;&nbsp;&nbsp;&nbsp; 846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6361, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 43355 | &nbsp;&nbsp;&nbsp;&nbsp; 35946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6708, 2.50%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 27794 | &nbsp;&nbsp;&nbsp;&nbsp; 23085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM4051, 2.50%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 18296 | &nbsp;&nbsp;&nbsp;&nbsp; 15148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ2143, 2.50%, 9/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 13174 | &nbsp;&nbsp;&nbsp;&nbsp; 10755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6989, 2.50%, 9/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 59926 | &nbsp;&nbsp;&nbsp;&nbsp; 49614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM4532, 3.00%, 9/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 11519 | &nbsp;&nbsp;&nbsp;&nbsp; 9905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ1155, 2.50%, 10/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 15993 | &nbsp;&nbsp;&nbsp;&nbsp; 13056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7669, 2.50%, 10/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 703 | &nbsp;&nbsp;&nbsp;&nbsp; 574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS3599, 2.50%, 1/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 81930 | &nbsp;&nbsp;&nbsp;&nbsp; 67498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4516, 2.00%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7324 | &nbsp;&nbsp;&nbsp;&nbsp; 5735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB0047, 3.00%, 4/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 16577 | &nbsp;&nbsp;&nbsp;&nbsp; 14111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB0458, 2.50%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 29367 | &nbsp;&nbsp;&nbsp;&nbsp; 24172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB0514, 2.50%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 23716 | &nbsp;&nbsp;&nbsp;&nbsp; 19661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB0674, 2.50%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 44649 | &nbsp;&nbsp;&nbsp;&nbsp; 36803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB0531, 3.00%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 64049 | &nbsp;&nbsp;&nbsp;&nbsp; 54995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM8172, 3.00%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 20742 | &nbsp;&nbsp;&nbsp;&nbsp; 17810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM7916, 2.50%, 6/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 19252 | &nbsp;&nbsp;&nbsp;&nbsp; 15921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5384, 2.50%, 6/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 73713 | &nbsp;&nbsp;&nbsp;&nbsp; 60851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM9523, 2.50%, 7/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 12993 | &nbsp;&nbsp;&nbsp;&nbsp; 10899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1411, 3.00%, 8/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 47672 | &nbsp;&nbsp;&nbsp;&nbsp; 40933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM8817, 2.50%, 9/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 43062 | &nbsp;&nbsp;&nbsp;&nbsp; 35654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4539, 3.00%, 9/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8730 | &nbsp;&nbsp;&nbsp;&nbsp; 7503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU0070, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 41132 | &nbsp;&nbsp;&nbsp;&nbsp; 33742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1901, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 37329 | &nbsp;&nbsp;&nbsp;&nbsp; 31060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM9195, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 47319 | &nbsp;&nbsp;&nbsp;&nbsp; 38879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1874, 3.00%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3672 | &nbsp;&nbsp;&nbsp;&nbsp; 3156 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1878, 3.00%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8596 | &nbsp;&nbsp;&nbsp;&nbsp; 7370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4466, 2.50%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 81851 | &nbsp;&nbsp;&nbsp;&nbsp; 66854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2066, 3.00%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7089 | &nbsp;&nbsp;&nbsp;&nbsp; 6097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4645, 4.00%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 14915 | &nbsp;&nbsp;&nbsp;&nbsp; 13700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2297, 2.50%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 15379 | &nbsp;&nbsp;&nbsp;&nbsp; 12700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM9882, 2.50%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9616 | &nbsp;&nbsp;&nbsp;&nbsp; 7911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS3611, 2.50%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 6225 | &nbsp;&nbsp;&nbsp;&nbsp; 5144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS2559, 3.00%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 27086 | &nbsp;&nbsp;&nbsp;&nbsp; 23256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4494, 3.00%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 6063 | &nbsp;&nbsp;&nbsp;&nbsp; 5192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4108, 4.00%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4299 | &nbsp;&nbsp;&nbsp;&nbsp; 3954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU7561, 2.50%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 19472 | &nbsp;&nbsp;&nbsp;&nbsp; 16034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2637, 2.50%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 57176 | &nbsp;&nbsp;&nbsp;&nbsp; 46883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0196, 2.50%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 63541 | &nbsp;&nbsp;&nbsp;&nbsp; 51807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV0492, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 9669 | &nbsp;&nbsp;&nbsp;&nbsp; 8302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2664, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6030 | &nbsp;&nbsp;&nbsp;&nbsp; 5186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5731, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 27934 | &nbsp;&nbsp;&nbsp;&nbsp; 23845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV3339, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8103 | &nbsp;&nbsp;&nbsp;&nbsp; 6674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4284, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 47511 | &nbsp;&nbsp;&nbsp;&nbsp; 39030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4548, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 52939 | &nbsp;&nbsp;&nbsp;&nbsp; 43278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV4133, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 46127 | &nbsp;&nbsp;&nbsp;&nbsp; 37602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3031, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 11693 | &nbsp;&nbsp;&nbsp;&nbsp; 9576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0882, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 43204 | &nbsp;&nbsp;&nbsp;&nbsp; 35734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4533, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6194 | &nbsp;&nbsp;&nbsp;&nbsp; 5116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5446, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 44751 | &nbsp;&nbsp;&nbsp;&nbsp; 36780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0957, 3.00%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 32345 | &nbsp;&nbsp;&nbsp;&nbsp; 27531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS2246, 3.00%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 35281 | &nbsp;&nbsp;&nbsp;&nbsp; 30605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4393, 3.00%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 13352 | &nbsp;&nbsp;&nbsp;&nbsp; 11385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV5360, 2.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 50972 | &nbsp;&nbsp;&nbsp;&nbsp; 41725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS7697, 2.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 33370 | &nbsp;&nbsp;&nbsp;&nbsp; 27531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3360, 3.00%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8144 | &nbsp;&nbsp;&nbsp;&nbsp; 6940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS6301, 3.00%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16892 | &nbsp;&nbsp;&nbsp;&nbsp; 14528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU8924, 3.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 22924 | &nbsp;&nbsp;&nbsp;&nbsp; 20366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3378, 4.00%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 22538 | &nbsp;&nbsp;&nbsp;&nbsp; 20694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7119, 4.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 974 | &nbsp;&nbsp;&nbsp;&nbsp; 920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7121, 4.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1119 | &nbsp;&nbsp;&nbsp;&nbsp; 1060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7122, 4.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3295 | &nbsp;&nbsp;&nbsp;&nbsp; 3113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7124, 4.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1144 | &nbsp;&nbsp;&nbsp;&nbsp; 1086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS9052, 3.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 20787 | &nbsp;&nbsp;&nbsp;&nbsp; 17694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8375, 4.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 15668 | &nbsp;&nbsp;&nbsp;&nbsp; 14411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3629, 4.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 38252 | &nbsp;&nbsp;&nbsp;&nbsp; 35128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS1669, 4.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 25142 | &nbsp;&nbsp;&nbsp;&nbsp; 23444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7111, 4.50%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1365 | &nbsp;&nbsp;&nbsp;&nbsp; 1293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7133, 4.50%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 837 | &nbsp;&nbsp;&nbsp;&nbsp; 795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS2773, 2.50%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10215 | &nbsp;&nbsp;&nbsp;&nbsp; 8448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3786, 4.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 32009 | &nbsp;&nbsp;&nbsp;&nbsp; 29363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS8849, 3.00%, 7/1/2052 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 19155 | &nbsp;&nbsp;&nbsp;&nbsp; 16459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FA1355, 4.00%, 7/1/2052 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 37715 | &nbsp;&nbsp;&nbsp;&nbsp; 34630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS8358, 3.50%, 8/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 20721 | &nbsp;&nbsp;&nbsp;&nbsp; 18437 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4076, 4.00%, 8/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 15812 | &nbsp;&nbsp;&nbsp;&nbsp; 14577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4587, 4.50%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16901 | &nbsp;&nbsp;&nbsp;&nbsp; 15974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4628, 5.00%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 76628 | &nbsp;&nbsp;&nbsp;&nbsp; 74427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS2982, 5.00%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 24022 | &nbsp;&nbsp;&nbsp;&nbsp; 23349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4642, 6.00%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 14085 | &nbsp;&nbsp;&nbsp;&nbsp; 14313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS3977, 4.50%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2710 | &nbsp;&nbsp;&nbsp;&nbsp; 2571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV0962, 5.00%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 11209 | &nbsp;&nbsp;&nbsp;&nbsp; 10868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1328, 5.00%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 41738 | &nbsp;&nbsp;&nbsp;&nbsp; 40515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB5267, 4.50%, 12/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 17867 | &nbsp;&nbsp;&nbsp;&nbsp; 16949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB5412, 4.00%, 1/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 6357 | &nbsp;&nbsp;&nbsp;&nbsp; 5834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB5666, 4.00%, 2/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 39844 | &nbsp;&nbsp;&nbsp;&nbsp; 36580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB5896, 5.00%, 3/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 21175 | &nbsp;&nbsp;&nbsp;&nbsp; 20584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB5898, 5.00%, 3/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 17811 | &nbsp;&nbsp;&nbsp;&nbsp; 17332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB6313, 5.00%, 5/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 14687 | &nbsp;&nbsp;&nbsp;&nbsp; 14291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4395, 5.50%, 5/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 8233 | &nbsp;&nbsp;&nbsp;&nbsp; 8203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY4714, 5.00%, 6/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 130861 | &nbsp;&nbsp;&nbsp;&nbsp; 126867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY4776, 5.00%, 7/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 89714 | &nbsp;&nbsp;&nbsp;&nbsp; 86976 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY4770, 5.50%, 7/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 16892 | &nbsp;&nbsp;&nbsp;&nbsp; 16831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY4775, 5.50%, 7/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 11937 | &nbsp;&nbsp;&nbsp;&nbsp; 11823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7101, 5.50%, 8/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 6285 | &nbsp;&nbsp;&nbsp;&nbsp; 6262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7130, 6.00%, 9/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 9456 | &nbsp;&nbsp;&nbsp;&nbsp; 9611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DB1954, 5.00%, 11/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 86446 | &nbsp;&nbsp;&nbsp;&nbsp; 83750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DB4827, 5.00%, 11/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 40189 | &nbsp;&nbsp;&nbsp;&nbsp; 38936 |
| &nbsp;&nbsp;&nbsp; FNMA, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 535183, 8.00%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252409, 6.50%, 3/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 653815, 7.00%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 752786, 6.00%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA3029, 4.00%, 1/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4557 | &nbsp;&nbsp;&nbsp;&nbsp; 4310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5105, 3.50%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6208 | &nbsp;&nbsp;&nbsp;&nbsp; 5645 |
| &nbsp;&nbsp;&nbsp; FNMA, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9149, 2.63%, 6/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5602 | &nbsp;&nbsp;&nbsp;&nbsp; 5586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9548, 3.17%, 8/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 6618 | &nbsp;&nbsp;&nbsp;&nbsp; 6585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM4660, 3.77%, 12/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4753 | &nbsp;&nbsp;&nbsp;&nbsp; 4722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN0767, 3.18%, 1/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7371 | &nbsp;&nbsp;&nbsp;&nbsp; 7295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1590, 2.40%, 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8223 | &nbsp;&nbsp;&nbsp;&nbsp; 8058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1497, 2.61%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 11034 | &nbsp;&nbsp;&nbsp;&nbsp; 10818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1243, 2.64%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7998 | &nbsp;&nbsp;&nbsp;&nbsp; 7837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1247, 2.64%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9848 | &nbsp;&nbsp;&nbsp;&nbsp; 9646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468645, 4.54%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1929 | &nbsp;&nbsp;&nbsp;&nbsp; 1930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN2367, 2.46%, 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5657 | &nbsp;&nbsp;&nbsp;&nbsp; 5526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468927, 4.77%, 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4661 | &nbsp;&nbsp;&nbsp;&nbsp; 4673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM6448, 3.25%, 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8732 | &nbsp;&nbsp;&nbsp;&nbsp; 8601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7117, 3.14%, 12/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 17013 | &nbsp;&nbsp;&nbsp;&nbsp; 16709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7262, 3.19%, 12/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14967 | &nbsp;&nbsp;&nbsp;&nbsp; 14701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7011, 3.22%, 12/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2531 | &nbsp;&nbsp;&nbsp;&nbsp; 2489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FN0029, 4.47%, 12/1/2026 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4277 | &nbsp;&nbsp;&nbsp;&nbsp; 4276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8008, 2.94%, 2/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 10612 | &nbsp;&nbsp;&nbsp;&nbsp; 10370 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8803, 2.78%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3611 | &nbsp;&nbsp;&nbsp;&nbsp; 3512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9170, 3.00%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4029 | &nbsp;&nbsp;&nbsp;&nbsp; 3935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9345, 3.25%, 7/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6817 | &nbsp;&nbsp;&nbsp;&nbsp; 6685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN7048, 2.90%, 10/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5990 | &nbsp;&nbsp;&nbsp;&nbsp; 5809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM1469, 2.96%, 11/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3297 | &nbsp;&nbsp;&nbsp;&nbsp; 3210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN7669, 2.83%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 18631 | &nbsp;&nbsp;&nbsp;&nbsp; 18012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN8114, 3.00%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7200 | &nbsp;&nbsp;&nbsp;&nbsp; 6986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN8048, 3.08%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 43775 | &nbsp;&nbsp;&nbsp;&nbsp; 42521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN7943, 3.10%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 13846 | &nbsp;&nbsp;&nbsp;&nbsp; 13449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8221, 4.56%, 5/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10254 | &nbsp;&nbsp;&nbsp;&nbsp; 10334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1600, 2.59%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5746 | &nbsp;&nbsp;&nbsp;&nbsp; 5525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9686, 3.52%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 29627 | &nbsp;&nbsp;&nbsp;&nbsp; 29030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9486, 3.57%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 25707 | &nbsp;&nbsp;&nbsp;&nbsp; 25147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN2005, 2.73%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9082 | &nbsp;&nbsp;&nbsp;&nbsp; 8668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 387806, 3.55%, 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 14881 | &nbsp;&nbsp;&nbsp;&nbsp; 14570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL0919, 3.82%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 17658 | &nbsp;&nbsp;&nbsp;&nbsp; 17426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8383, 4.62%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7514 | &nbsp;&nbsp;&nbsp;&nbsp; 7608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8384, 4.62%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5246 | &nbsp;&nbsp;&nbsp;&nbsp; 5311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL1040, 3.81%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 42090 | &nbsp;&nbsp;&nbsp;&nbsp; 41382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL0907, 3.88%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11997 | &nbsp;&nbsp;&nbsp;&nbsp; 11768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL1435, 3.53%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 22646 | &nbsp;&nbsp;&nbsp;&nbsp; 22069 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8376, 4.60%, 5/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9263 | &nbsp;&nbsp;&nbsp;&nbsp; 9367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4317, 2.27%, 9/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4346 | &nbsp;&nbsp;&nbsp;&nbsp; 4014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6615, 3.50%, 9/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 14504 | &nbsp;&nbsp;&nbsp;&nbsp; 14026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6621, 3.50%, 9/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 32089 | &nbsp;&nbsp;&nbsp;&nbsp; 30982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6846, 2.93%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 12719 | &nbsp;&nbsp;&nbsp;&nbsp; 11998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6739, 3.82%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 45001 | &nbsp;&nbsp;&nbsp;&nbsp; 44050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4592, 2.28%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 27630 | &nbsp;&nbsp;&nbsp;&nbsp; 25373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4333, 2.52%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 39158 | &nbsp;&nbsp;&nbsp;&nbsp; 36373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8123, 2.92%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 7164 | &nbsp;&nbsp;&nbsp;&nbsp; 6758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7785, 3.17%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5522 | &nbsp;&nbsp;&nbsp;&nbsp; 5246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7516, 3.55%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 12568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7388, 4.82%, 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10477 | &nbsp;&nbsp;&nbsp;&nbsp; 10647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8692, 3.03%, 4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 23495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8544, 3.08%, 4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 13685 | &nbsp;&nbsp;&nbsp;&nbsp; 12938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8889, 2.92%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11320 | &nbsp;&nbsp;&nbsp;&nbsp; 10568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8151, 2.94%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11579 | &nbsp;&nbsp;&nbsp;&nbsp; 10854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9154, 3.64%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3838 | &nbsp;&nbsp;&nbsp;&nbsp; 3722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7669, 4.75%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8177 | &nbsp;&nbsp;&nbsp;&nbsp; 8288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9020, 2.97%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 7044 | &nbsp;&nbsp;&nbsp;&nbsp; 6614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8461, 4.27%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 22856 | &nbsp;&nbsp;&nbsp;&nbsp; 22708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7678, 4.75%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8500 | &nbsp;&nbsp;&nbsp;&nbsp; 8615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8846, 4.09%, 7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 34350 | &nbsp;&nbsp;&nbsp;&nbsp; 33833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7681, 4.75%, 7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4758 | &nbsp;&nbsp;&nbsp;&nbsp; 4821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1291, 4.82%, 8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 15307 | &nbsp;&nbsp;&nbsp;&nbsp; 15559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9293, 3.71%, 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 60000 | &nbsp;&nbsp;&nbsp;&nbsp; 57998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8736, 4.37%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 9244 | &nbsp;&nbsp;&nbsp;&nbsp; 9184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9494, 1.46%, 12/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 8513 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8375, 4.66%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9425 | &nbsp;&nbsp;&nbsp;&nbsp; 9503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7921, 4.77%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9180 | &nbsp;&nbsp;&nbsp;&nbsp; 9310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0423, 4.31%, 2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 38469 | &nbsp;&nbsp;&nbsp;&nbsp; 38090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0424, 4.31%, 2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 19031 | &nbsp;&nbsp;&nbsp;&nbsp; 18843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8377, 4.66%, 2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1184 | &nbsp;&nbsp;&nbsp;&nbsp; 1194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9557, 5.23%, 2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7554 | &nbsp;&nbsp;&nbsp;&nbsp; 7813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AH9683, 5.00%, 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 177 | &nbsp;&nbsp;&nbsp;&nbsp; 178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2035, 1.84%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 33900 | &nbsp;&nbsp;&nbsp;&nbsp; 29381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1829, 2.90%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6775 | &nbsp;&nbsp;&nbsp;&nbsp; 6262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2422, 1.67%, 7/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 36050 | &nbsp;&nbsp;&nbsp;&nbsp; 30609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL3298, 2.86%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6914 | &nbsp;&nbsp;&nbsp;&nbsp; 6349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9623, 4.91%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5172 | &nbsp;&nbsp;&nbsp;&nbsp; 5264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4310, 2.35%, 10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10779 | &nbsp;&nbsp;&nbsp;&nbsp; 9602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN2625, 2.50%, 10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8962 | &nbsp;&nbsp;&nbsp;&nbsp; 8041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN2513, 2.63%, 10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 22348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2211, 3.90%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 47210 | &nbsp;&nbsp;&nbsp;&nbsp; 45447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4338, 1.82%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 26665 | &nbsp;&nbsp;&nbsp;&nbsp; 22638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4124, 1.94%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11152 | &nbsp;&nbsp;&nbsp;&nbsp; 9663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4030, 1.96%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 19873 | &nbsp;&nbsp;&nbsp;&nbsp; 17151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3869, 2.00%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 36000 | &nbsp;&nbsp;&nbsp;&nbsp; 30797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4650, 2.02%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7541 | &nbsp;&nbsp;&nbsp;&nbsp; 6505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4396, 2.05%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 8573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4200, 2.05%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 34650 | &nbsp;&nbsp;&nbsp;&nbsp; 29642 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7037, 1.76%, 3/1/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 102906 | &nbsp;&nbsp;&nbsp;&nbsp; 86820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL5789, 2.40%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 12236 | &nbsp;&nbsp;&nbsp;&nbsp; 10803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5204, 2.50%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6186 | &nbsp;&nbsp;&nbsp;&nbsp; 5454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5130, 2.55%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 46224 | &nbsp;&nbsp;&nbsp;&nbsp; 41175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5069, 2.73%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2469 | &nbsp;&nbsp;&nbsp;&nbsp; 2188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN5065, 3.34%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 26680 | &nbsp;&nbsp;&nbsp;&nbsp; 24711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5330, 2.85%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 14317 | &nbsp;&nbsp;&nbsp;&nbsp; 12848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5298, 3.07%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 36743 | &nbsp;&nbsp;&nbsp;&nbsp; 33424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5907, 3.54%, 6/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10756 | &nbsp;&nbsp;&nbsp;&nbsp; 9982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6033, 3.97%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2081 | &nbsp;&nbsp;&nbsp;&nbsp; 1995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6193, 4.12%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7871 | &nbsp;&nbsp;&nbsp;&nbsp; 7618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6194, 4.13%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3861 | &nbsp;&nbsp;&nbsp;&nbsp; 3756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6301, 3.67%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 19145 | &nbsp;&nbsp;&nbsp;&nbsp; 17993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6258, 3.70%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3310 | &nbsp;&nbsp;&nbsp;&nbsp; 3114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6409, 3.88%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2206 | &nbsp;&nbsp;&nbsp;&nbsp; 2094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6288, 3.89%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11096 | &nbsp;&nbsp;&nbsp;&nbsp; 10616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6597, 3.67%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 13781 | &nbsp;&nbsp;&nbsp;&nbsp; 12869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6305, 3.68%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 54320 | &nbsp;&nbsp;&nbsp;&nbsp; 50999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6316, 3.76%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 18955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6339, 3.80%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 65061 | &nbsp;&nbsp;&nbsp;&nbsp; 61454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6381, 3.89%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 22000 | &nbsp;&nbsp;&nbsp;&nbsp; 20924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6159, 3.92%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 5723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6466, 1.33%, 10/1/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 105594 | &nbsp;&nbsp;&nbsp;&nbsp; 84871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6845, 4.22%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 43000 | &nbsp;&nbsp;&nbsp;&nbsp; 41831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6915, 4.60%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 36000 | &nbsp;&nbsp;&nbsp;&nbsp; 35686 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8968, 4.73%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 15496 | &nbsp;&nbsp;&nbsp;&nbsp; 15505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6492, 1.51%, 11/1/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 44748 | &nbsp;&nbsp;&nbsp;&nbsp; 36423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7110, 3.88%, 11/1/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 27568 | &nbsp;&nbsp;&nbsp;&nbsp; 26316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6840, 4.18%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8255 | &nbsp;&nbsp;&nbsp;&nbsp; 8010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6841, 4.18%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11615 | &nbsp;&nbsp;&nbsp;&nbsp; 11255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6995, 4.18%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 19825 | &nbsp;&nbsp;&nbsp;&nbsp; 19214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6868, 4.61%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7463 | &nbsp;&nbsp;&nbsp;&nbsp; 7430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9560, 5.30%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4300 | &nbsp;&nbsp;&nbsp;&nbsp; 4435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ7084, 3.50%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 706 | &nbsp;&nbsp;&nbsp;&nbsp; 689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7083, 4.59%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 34142 | &nbsp;&nbsp;&nbsp;&nbsp; 33943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7019, 4.60%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 33325 | &nbsp;&nbsp;&nbsp;&nbsp; 33181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7298, 4.86%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 7080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7320, 4.88%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 14287 | &nbsp;&nbsp;&nbsp;&nbsp; 14431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 650236, 5.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7303, 5.34%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10733 | &nbsp;&nbsp;&nbsp;&nbsp; 11134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6552, 1.56%, 1/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 99221 | &nbsp;&nbsp;&nbsp;&nbsp; 80902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7496, 4.33%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 12054 | &nbsp;&nbsp;&nbsp;&nbsp; 11793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7558, 4.40%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 15134 | &nbsp;&nbsp;&nbsp;&nbsp; 14860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7595, 4.46%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9381 | &nbsp;&nbsp;&nbsp;&nbsp; 9254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7147, 4.95%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 10746 | &nbsp;&nbsp;&nbsp;&nbsp; 10875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AR7484, 3.50%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1319 | &nbsp;&nbsp;&nbsp;&nbsp; 1288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7843, 3.90%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 60000 | &nbsp;&nbsp;&nbsp;&nbsp; 56745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7775, 4.14%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 8725 | &nbsp;&nbsp;&nbsp;&nbsp; 8408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8110, 4.30%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 44672 | &nbsp;&nbsp;&nbsp;&nbsp; 43287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7786, 4.24%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 38402 | &nbsp;&nbsp;&nbsp;&nbsp; 37346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8223, 4.50%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6368 | &nbsp;&nbsp;&nbsp;&nbsp; 6289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8055, 4.71%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 14699 | &nbsp;&nbsp;&nbsp;&nbsp; 14707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8185, 4.17%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 13528 | &nbsp;&nbsp;&nbsp;&nbsp; 13022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8213, 4.22%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 18104 | &nbsp;&nbsp;&nbsp;&nbsp; 17607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8546, 4.37%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 32295 | &nbsp;&nbsp;&nbsp;&nbsp; 31570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8284, 4.43%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 8651 | &nbsp;&nbsp;&nbsp;&nbsp; 8499 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8610, 4.48%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4615 | &nbsp;&nbsp;&nbsp;&nbsp; 4549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8247, 4.53%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3900 | &nbsp;&nbsp;&nbsp;&nbsp; 3857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8609, 4.53%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6149 | &nbsp;&nbsp;&nbsp;&nbsp; 6081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT7117, 3.50%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 491 | &nbsp;&nbsp;&nbsp;&nbsp; 477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8756, 4.14%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 18345 | &nbsp;&nbsp;&nbsp;&nbsp; 17662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8644, 4.32%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 22338 | &nbsp;&nbsp;&nbsp;&nbsp; 21733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8661, 4.34%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4663 | &nbsp;&nbsp;&nbsp;&nbsp; 4545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8665, 4.34%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5025 | &nbsp;&nbsp;&nbsp;&nbsp; 4904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8571, 4.43%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6239 | &nbsp;&nbsp;&nbsp;&nbsp; 6111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6000, 3.21%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9254 | &nbsp;&nbsp;&nbsp;&nbsp; 8412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9695, 3.67%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 32550 | &nbsp;&nbsp;&nbsp;&nbsp; 30309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9496, 3.75%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 24000 | &nbsp;&nbsp;&nbsp;&nbsp; 22521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9950, 3.89%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 8535 | &nbsp;&nbsp;&nbsp;&nbsp; 8050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9089, 4.51%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 31800 | &nbsp;&nbsp;&nbsp;&nbsp; 31300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8883, 4.58%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 35052 | &nbsp;&nbsp;&nbsp;&nbsp; 34493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2642, 1.85%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9225 | &nbsp;&nbsp;&nbsp;&nbsp; 7571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3169, 1.82%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6842 | &nbsp;&nbsp;&nbsp;&nbsp; 5533 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2496, 1.88%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 7883 | &nbsp;&nbsp;&nbsp;&nbsp; 6391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9470, 4.45%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 17758 | &nbsp;&nbsp;&nbsp;&nbsp; 17402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9471, 4.45%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 16368 | &nbsp;&nbsp;&nbsp;&nbsp; 16040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9185, 4.51%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 26043 | &nbsp;&nbsp;&nbsp;&nbsp; 25648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9182, 4.52%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 29035 | &nbsp;&nbsp;&nbsp;&nbsp; 28594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3315, 1.82%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 10924 | &nbsp;&nbsp;&nbsp;&nbsp; 8743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0419, 4.25%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 21000 | &nbsp;&nbsp;&nbsp;&nbsp; 20270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4824, 2.50%, 2/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 60280 | &nbsp;&nbsp;&nbsp;&nbsp; 50681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0430, 4.32%, 2/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp;&nbsp; 38738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810997, 5.50%, 10/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7122, 3.61%, 11/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 4779 | &nbsp;&nbsp;&nbsp;&nbsp; 4441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL5976, 2.49%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 22962 | &nbsp;&nbsp;&nbsp;&nbsp; 18697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8474, 3.45%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4318 | &nbsp;&nbsp;&nbsp;&nbsp; 3962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8475, 3.45%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1751 | &nbsp;&nbsp;&nbsp;&nbsp; 1607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL6315, 2.20%, 5/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5081 | &nbsp;&nbsp;&nbsp;&nbsp; 4033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9188, 3.12%, 6/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 23000 | &nbsp;&nbsp;&nbsp;&nbsp; 20276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL7110, 1.76%, 7/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 12500 | &nbsp;&nbsp;&nbsp;&nbsp; 9755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9532, 3.63%, 10/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3284 | &nbsp;&nbsp;&nbsp;&nbsp; 3040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5413, 3.41%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 10250 | &nbsp;&nbsp;&nbsp;&nbsp; 8989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN0375, 3.76%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5182 | &nbsp;&nbsp;&nbsp;&nbsp; 4837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256051, 5.50%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256128, 6.00%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 880219, 7.00%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920934, 6.50%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp;&nbsp;&nbsp; 176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888408, 6.00%, 3/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 177 | &nbsp;&nbsp;&nbsp;&nbsp; 178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888373, 7.00%, 3/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888412, 7.00%, 4/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5648, 3.87%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 10561 | &nbsp;&nbsp;&nbsp;&nbsp; 9520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5650, 3.87%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 14180 | &nbsp;&nbsp;&nbsp;&nbsp; 12782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5761, 3.87%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 10964 | &nbsp;&nbsp;&nbsp;&nbsp; 9883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995783, 8.00%, 11/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257209, 5.50%, 5/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0127, 5.50%, 6/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL2606, 4.00%, 3/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp; 174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO7225, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1182 | &nbsp;&nbsp;&nbsp;&nbsp; 1114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO9352, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1496 | &nbsp;&nbsp;&nbsp;&nbsp; 1410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO9353, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1796 | &nbsp;&nbsp;&nbsp;&nbsp; 1693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1125, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1006 | &nbsp;&nbsp;&nbsp;&nbsp; 949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1178, 4.00%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 5827 | &nbsp;&nbsp;&nbsp;&nbsp; 5493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1213, 3.50%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2626 | &nbsp;&nbsp;&nbsp;&nbsp; 2418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1251, 3.50%, 11/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 6704 | &nbsp;&nbsp;&nbsp;&nbsp; 6171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1253, 4.00%, 11/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4854 | &nbsp;&nbsp;&nbsp;&nbsp; 4576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AR1397, 3.00%, 1/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 5238 | &nbsp;&nbsp;&nbsp;&nbsp; 4649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1328, 3.50%, 1/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 963 | &nbsp;&nbsp;&nbsp;&nbsp; 886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ9999, 3.00%, 2/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2555 | &nbsp;&nbsp;&nbsp;&nbsp; 2268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1373, 3.50%, 3/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1613 | &nbsp;&nbsp;&nbsp;&nbsp; 1483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1404, 3.50%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 4684 | &nbsp;&nbsp;&nbsp;&nbsp; 4306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9096, 4.00%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 494 | &nbsp;&nbsp;&nbsp;&nbsp; 466 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9196, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1273 | &nbsp;&nbsp;&nbsp;&nbsp; 1170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT4051, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 551 | &nbsp;&nbsp;&nbsp;&nbsp; 506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1437, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 5185 | &nbsp;&nbsp;&nbsp;&nbsp; 4766 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT5914, 3.50%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3209 | &nbsp;&nbsp;&nbsp;&nbsp; 2950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1463, 3.50%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6478 | &nbsp;&nbsp;&nbsp;&nbsp; 5955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9704, 4.00%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1166 | &nbsp;&nbsp;&nbsp;&nbsp; 1112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1711, 4.50%, 12/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 7231 | &nbsp;&nbsp;&nbsp;&nbsp; 7002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6167, 3.50%, 1/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3459 | &nbsp;&nbsp;&nbsp;&nbsp; 3180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1759, 4.00%, 1/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2277 | &nbsp;&nbsp;&nbsp;&nbsp; 2147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1760, 4.50%, 1/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2107 | &nbsp;&nbsp;&nbsp;&nbsp; 2030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AV9286, 4.00%, 2/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1793 | &nbsp;&nbsp;&nbsp;&nbsp; 1690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1800, 4.00%, 2/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1472 | &nbsp;&nbsp;&nbsp;&nbsp; 1388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1828, 4.50%, 3/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 5601 | &nbsp;&nbsp;&nbsp;&nbsp; 5396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2429, 4.00%, 10/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1602 | &nbsp;&nbsp;&nbsp;&nbsp; 1496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2565, 4.00%, 3/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2416 | &nbsp;&nbsp;&nbsp;&nbsp; 2256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5835, 3.00%, 9/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 8684 | &nbsp;&nbsp;&nbsp;&nbsp; 7657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0523, 6.00%, 11/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 167 | &nbsp;&nbsp;&nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0131, 3.50%, 8/1/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 36379 | &nbsp;&nbsp;&nbsp;&nbsp; 32176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0144, 3.50%, 10/1/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 2360 | &nbsp;&nbsp;&nbsp;&nbsp; 2087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0690, 3.00%, 2/1/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 8387 | &nbsp;&nbsp;&nbsp;&nbsp; 7207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0230, 5.50%, 1/1/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 35636 | &nbsp;&nbsp;&nbsp;&nbsp; 36404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0341, 5.50%, 1/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 15215 | &nbsp;&nbsp;&nbsp;&nbsp; 15280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7076, 4.00%, 4/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 39936 | &nbsp;&nbsp;&nbsp;&nbsp; 36904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0396, 2.50%, 8/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 26807 | &nbsp;&nbsp;&nbsp;&nbsp; 21582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6734, 4.00%, 8/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 28688 | &nbsp;&nbsp;&nbsp;&nbsp; 26370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0464, 3.50%, 3/1/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 42342 | &nbsp;&nbsp;&nbsp;&nbsp; 37240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0520, 3.00%, 1/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 55407 | &nbsp;&nbsp;&nbsp;&nbsp; 46880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7075, 3.00%, 3/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 62757 | &nbsp;&nbsp;&nbsp;&nbsp; 53098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0546, 2.50%, 7/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 67970 | &nbsp;&nbsp;&nbsp;&nbsp; 52275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0562, 3.50%, 9/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 50190 | &nbsp;&nbsp;&nbsp;&nbsp; 43706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0577, 2.50%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 11634 | &nbsp;&nbsp;&nbsp;&nbsp; 9370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0590, 2.50%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 16722 | &nbsp;&nbsp;&nbsp;&nbsp; 13125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0579, 3.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 19394 | &nbsp;&nbsp;&nbsp;&nbsp; 16096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0583, 4.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 26747 | &nbsp;&nbsp;&nbsp;&nbsp; 24335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0586, 5.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 11694 | &nbsp;&nbsp;&nbsp;&nbsp; 11378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0617, 2.50%, 3/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 77361 | &nbsp;&nbsp;&nbsp;&nbsp; 59497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0602, 3.00%, 3/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 28045 | &nbsp;&nbsp;&nbsp;&nbsp; 23276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0603, 3.50%, 3/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 19292 | &nbsp;&nbsp;&nbsp;&nbsp; 16949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0604, 3.50%, 3/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 30127 | &nbsp;&nbsp;&nbsp;&nbsp; 26235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0605, 4.00%, 3/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 15306 | &nbsp;&nbsp;&nbsp;&nbsp; 13860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0674, 2.50%, 4/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 61973 | &nbsp;&nbsp;&nbsp;&nbsp; 47661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0759, 2.50%, 5/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 58231 | &nbsp;&nbsp;&nbsp;&nbsp; 44784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0673, 2.50%, 6/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 42896 | &nbsp;&nbsp;&nbsp;&nbsp; 32990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0654, 3.00%, 6/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 32430 | &nbsp;&nbsp;&nbsp;&nbsp; 26915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0648, 3.50%, 6/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 21500 | &nbsp;&nbsp;&nbsp;&nbsp; 18880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0655, 3.50%, 6/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 41166 | &nbsp;&nbsp;&nbsp;&nbsp; 35831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0649, 4.00%, 6/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 18994 | &nbsp;&nbsp;&nbsp;&nbsp; 17481 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0677, 4.00%, 9/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 43037 | &nbsp;&nbsp;&nbsp;&nbsp; 39157 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0701, 3.50%, 12/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 16079 | &nbsp;&nbsp;&nbsp;&nbsp; 13995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0733, 3.00%, 6/1/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 29731 | &nbsp;&nbsp;&nbsp;&nbsp; 24675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0764, 3.50%, 9/1/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 23901 | &nbsp;&nbsp;&nbsp;&nbsp; 20901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0767, 4.00%, 9/1/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 49723 | &nbsp;&nbsp;&nbsp;&nbsp; 45240 |
| &nbsp;&nbsp;&nbsp; FNMA/FHLMC UMBS, Single Family, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 2.50%, 7/25/2055 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 384195 | &nbsp;&nbsp;&nbsp;&nbsp; 312964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 3.00%, 7/25/2055 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 400564 | &nbsp;&nbsp;&nbsp;&nbsp; 340792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 4.00%, 7/25/2055 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 22300 | &nbsp;&nbsp;&nbsp;&nbsp; 20424 |
| &nbsp;&nbsp;&nbsp; GNMA I, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 411829, 7.50%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 554108, 6.50%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468236, 6.50%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 486537, 7.50%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 486631, 6.50%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781328, 7.00%, 9/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp;&nbsp;&nbsp; 174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 569568, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp; 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 591882, 6.50%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 607645, 6.50%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 607724, 7.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783123, 5.50%, 4/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 946 | &nbsp;&nbsp;&nbsp;&nbsp; 972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 604209, 6.50%, 4/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 614546, 5.50%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781614, 7.00%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781689, 5.50%, 12/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 632415, 5.50%, 7/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 574710, 5.50%, 9/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782615, 7.00%, 6/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp; 366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782025, 6.50%, 12/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp; 154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 617486, 7.00%, 4/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782212, 7.50%, 10/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI6868, 5.00%, 3/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1869 | &nbsp;&nbsp;&nbsp;&nbsp; 1851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1726, 5.00%, 3/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1467 | &nbsp;&nbsp;&nbsp;&nbsp; 1452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO1894, 4.50%, 7/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7192 | &nbsp;&nbsp;&nbsp;&nbsp; 7017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CU0289, 6.50%, 6/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 10196 | &nbsp;&nbsp;&nbsp;&nbsp; 10428 |
| &nbsp;&nbsp;&nbsp; GNMA II  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5521, ARM, 5.80%, 8/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12624 | &nbsp;&nbsp;&nbsp;&nbsp; 13191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5523, ARM, 5.94%, 8/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16945 | &nbsp;&nbsp;&nbsp;&nbsp; 17700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9356, ARM, 5.68%, 9/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 8306 | &nbsp;&nbsp;&nbsp;&nbsp; 8597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5537, ARM, 5.85%, 9/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 32948 | &nbsp;&nbsp;&nbsp;&nbsp; 34509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5533, ARM, 5.88%, 9/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 37905 | &nbsp;&nbsp;&nbsp;&nbsp; 39662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5536, ARM, 5.91%, 9/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 31174 | &nbsp;&nbsp;&nbsp;&nbsp; 32674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5544, ARM, 5.79%, 10/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 35831 | &nbsp;&nbsp;&nbsp;&nbsp; 37457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5550, ARM, 5.82%, 10/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17908 | &nbsp;&nbsp;&nbsp;&nbsp; 18730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5552, ARM, 5.81%, 11/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36651 | &nbsp;&nbsp;&nbsp;&nbsp; 38324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2783, ARM, 5.80%, 2/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 87997 | &nbsp;&nbsp;&nbsp;&nbsp; 92069 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2789, ARM, 5.82%, 2/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 32586 | &nbsp;&nbsp;&nbsp;&nbsp; 34119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM0227, ARM, 5.83%, 2/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 29616 | &nbsp;&nbsp;&nbsp;&nbsp; 30997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM0228, ARM, 6.07%, 2/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 20212 | &nbsp;&nbsp;&nbsp;&nbsp; 21299 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL8129, ARM, 5.75%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 20827 | &nbsp;&nbsp;&nbsp;&nbsp; 21728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2802, ARM, 5.77%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 27529 | &nbsp;&nbsp;&nbsp;&nbsp; 28784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2800, ARM, 5.80%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 23444 | &nbsp;&nbsp;&nbsp;&nbsp; 24561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM0234, ARM, 5.80%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 30765 | &nbsp;&nbsp;&nbsp;&nbsp; 32180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM9946, ARM, 5.81%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18026 | &nbsp;&nbsp;&nbsp;&nbsp; 18865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2791, ARM, 5.82%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42669 | &nbsp;&nbsp;&nbsp;&nbsp; 44721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2793, ARM, 5.82%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42692 | &nbsp;&nbsp;&nbsp;&nbsp; 44680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2794, ARM, 5.82%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 44815 | &nbsp;&nbsp;&nbsp;&nbsp; 46926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2803, ARM, 5.76%, 4/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 43676 | &nbsp;&nbsp;&nbsp;&nbsp; 45713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL8377, ARM, 5.86%, 4/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36963 | &nbsp;&nbsp;&nbsp;&nbsp; 38851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CN0126, ARM, 5.84%, 5/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 34959 | &nbsp;&nbsp;&nbsp;&nbsp; 36626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CN7634, ARM, 5.89%, 6/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 27685 | &nbsp;&nbsp;&nbsp;&nbsp; 29175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 786250, ARM, 6.01%, 6/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 40044 | &nbsp;&nbsp;&nbsp;&nbsp; 42402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL8191, ARM, 5.99%, 7/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 22147 | &nbsp;&nbsp;&nbsp;&nbsp; 23409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO0363, ARM, 6.00%, 7/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 29717 | &nbsp;&nbsp;&nbsp;&nbsp; 31506 |
| &nbsp;&nbsp;&nbsp; GNMA II, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2141, 8.00%, 12/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2234, 8.00%, 6/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2270, 8.00%, 8/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2285, 8.00%, 9/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2324, 8.00%, 11/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2499, 8.00%, 10/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2512, 8.00%, 11/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2525, 8.00%, 12/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2549, 7.50%, 2/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2562, 6.00%, 3/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2646, 7.50%, 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2647, 8.00%, 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2781, 6.50%, 7/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4224, 7.00%, 8/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4245, 6.00%, 9/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1319 | &nbsp;&nbsp;&nbsp;&nbsp; 1398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783389, 6.00%, 8/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 513 | &nbsp;&nbsp;&nbsp;&nbsp; 539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783444, 5.50%, 9/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 323 | &nbsp;&nbsp;&nbsp;&nbsp; 328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783967, 4.25%, 12/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3366 | &nbsp;&nbsp;&nbsp;&nbsp; 3102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AK8791, 3.75%, 7/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1100 | &nbsp;&nbsp;&nbsp;&nbsp; 1001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0481, 4.00%, 12/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1294 | &nbsp;&nbsp;&nbsp;&nbsp; 1191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0484, 4.50%, 12/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 4530 | &nbsp;&nbsp;&nbsp;&nbsp; 4289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE0207, 4.50%, 2/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3250 | &nbsp;&nbsp;&nbsp;&nbsp; 3086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE0208, 4.50%, 2/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4587 | &nbsp;&nbsp;&nbsp;&nbsp; 4359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE5169, 4.50%, 2/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4819 | &nbsp;&nbsp;&nbsp;&nbsp; 4589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BA7567, 4.50%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1418 | &nbsp;&nbsp;&nbsp;&nbsp; 1337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BG6360, 5.00%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5594 | &nbsp;&nbsp;&nbsp;&nbsp; 5590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF2574, 5.50%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0728, 5.00%, 7/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6556 | &nbsp;&nbsp;&nbsp;&nbsp; 6518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0551, 4.50%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1596 | &nbsp;&nbsp;&nbsp;&nbsp; 1527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI5288, 5.00%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 8140 | &nbsp;&nbsp;&nbsp;&nbsp; 8046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI5289, 5.00%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 11418 | &nbsp;&nbsp;&nbsp;&nbsp; 11354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2411, 4.25%, 9/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3021 | &nbsp;&nbsp;&nbsp;&nbsp; 2819 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784598, 5.00%, 9/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 9253 | &nbsp;&nbsp;&nbsp;&nbsp; 9216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784626, 4.50%, 10/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1206 | &nbsp;&nbsp;&nbsp;&nbsp; 1149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK2586, 5.00%, 11/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1237 | &nbsp;&nbsp;&nbsp;&nbsp; 1218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7082, 5.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 493 | &nbsp;&nbsp;&nbsp;&nbsp; 482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7085, 5.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 951 | &nbsp;&nbsp;&nbsp;&nbsp; 946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7169, 5.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4618 | &nbsp;&nbsp;&nbsp;&nbsp; 4541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK8878, 4.50%, 2/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2071 | &nbsp;&nbsp;&nbsp;&nbsp; 1947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7189, 5.00%, 2/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5564 | &nbsp;&nbsp;&nbsp;&nbsp; 5493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9972, 5.50%, 2/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1150 | &nbsp;&nbsp;&nbsp;&nbsp; 1159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7198, 4.50%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2299 | &nbsp;&nbsp;&nbsp;&nbsp; 2176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7199, 5.00%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 761 | &nbsp;&nbsp;&nbsp;&nbsp; 753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL8042, 5.00%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5147 | &nbsp;&nbsp;&nbsp;&nbsp; 5095 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9333, 5.00%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2568 | &nbsp;&nbsp;&nbsp;&nbsp; 2565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BG0079, 5.50%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp; 808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL6756, 5.50%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 298 | &nbsp;&nbsp;&nbsp;&nbsp; 302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ1322, 5.00%, 4/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3989 | &nbsp;&nbsp;&nbsp;&nbsp; 4020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9622, 5.00%, 4/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1461 | &nbsp;&nbsp;&nbsp;&nbsp; 1433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7209, 5.00%, 4/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3604 | &nbsp;&nbsp;&nbsp;&nbsp; 3568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL6758, 5.50%, 4/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 798 | &nbsp;&nbsp;&nbsp;&nbsp; 805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9664, 4.50%, 5/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5416 | &nbsp;&nbsp;&nbsp;&nbsp; 5215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9683, 5.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 11916 | &nbsp;&nbsp;&nbsp;&nbsp; 11808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2880, 5.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 418 | &nbsp;&nbsp;&nbsp;&nbsp; 408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN3950, 5.50%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1699 | &nbsp;&nbsp;&nbsp;&nbsp; 1713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN2629, 4.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 9792 | &nbsp;&nbsp;&nbsp;&nbsp; 9216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0926, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 779 | &nbsp;&nbsp;&nbsp;&nbsp; 764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0927, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 584 | &nbsp;&nbsp;&nbsp;&nbsp; 569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2186, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 453 | &nbsp;&nbsp;&nbsp;&nbsp; 442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2187, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 299 | &nbsp;&nbsp;&nbsp;&nbsp; 294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2871, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp;&nbsp;&nbsp; 230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2872, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 768 | &nbsp;&nbsp;&nbsp;&nbsp; 759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2878, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 603 | &nbsp;&nbsp;&nbsp;&nbsp; 592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2879, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp;&nbsp;&nbsp; 307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3162, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 39325 | &nbsp;&nbsp;&nbsp;&nbsp; 40088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3173, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 733 | &nbsp;&nbsp;&nbsp;&nbsp; 719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3174, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 348 | &nbsp;&nbsp;&nbsp;&nbsp; 340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8226, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp;&nbsp;&nbsp; 366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8229, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4325 | &nbsp;&nbsp;&nbsp;&nbsp; 4336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8235, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 625 | &nbsp;&nbsp;&nbsp;&nbsp; 611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8236, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 414 | &nbsp;&nbsp;&nbsp;&nbsp; 404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4243, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 10008 | &nbsp;&nbsp;&nbsp;&nbsp; 9959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN2649, 3.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2484 | &nbsp;&nbsp;&nbsp;&nbsp; 2230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9713, 4.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1817 | &nbsp;&nbsp;&nbsp;&nbsp; 1725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4337, 4.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 13437 | &nbsp;&nbsp;&nbsp;&nbsp; 13053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ3224, 4.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 12181 | &nbsp;&nbsp;&nbsp;&nbsp; 11597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784810, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 10699 | &nbsp;&nbsp;&nbsp;&nbsp; 10399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9734, 4.00%, 10/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3041 | &nbsp;&nbsp;&nbsp;&nbsp; 2812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784847, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 17902 | &nbsp;&nbsp;&nbsp;&nbsp; 16921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ8694, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 538 | &nbsp;&nbsp;&nbsp;&nbsp; 517 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ8696, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 626 | &nbsp;&nbsp;&nbsp;&nbsp; 605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2686, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1774 | &nbsp;&nbsp;&nbsp;&nbsp; 1690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2687, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4041 | &nbsp;&nbsp;&nbsp;&nbsp; 3878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2688, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2123 | &nbsp;&nbsp;&nbsp;&nbsp; 2028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2689, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2915 | &nbsp;&nbsp;&nbsp;&nbsp; 2824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2739, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1341 | &nbsp;&nbsp;&nbsp;&nbsp; 1307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2756, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1876 | &nbsp;&nbsp;&nbsp;&nbsp; 1812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2757, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2098 | &nbsp;&nbsp;&nbsp;&nbsp; 2018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3820, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp;&nbsp;&nbsp; 208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3821, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 607 | &nbsp;&nbsp;&nbsp;&nbsp; 575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0953, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1675 | &nbsp;&nbsp;&nbsp;&nbsp; 1632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4131, 3.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 10188 | &nbsp;&nbsp;&nbsp;&nbsp; 9219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0940, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 601 | &nbsp;&nbsp;&nbsp;&nbsp; 573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ3796, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1692 | &nbsp;&nbsp;&nbsp;&nbsp; 1634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2730, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 745 | &nbsp;&nbsp;&nbsp;&nbsp; 710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2731, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 677 | &nbsp;&nbsp;&nbsp;&nbsp; 648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2732, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1216 | &nbsp;&nbsp;&nbsp;&nbsp; 1191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2755, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 931 | &nbsp;&nbsp;&nbsp;&nbsp; 887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3822, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 841 | &nbsp;&nbsp;&nbsp;&nbsp; 797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3823, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1150 | &nbsp;&nbsp;&nbsp;&nbsp; 1104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3824, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 674 | &nbsp;&nbsp;&nbsp;&nbsp; 654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0951, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1676 | &nbsp;&nbsp;&nbsp;&nbsp; 1604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0952, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1282 | &nbsp;&nbsp;&nbsp;&nbsp; 1238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4132, 3.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4785 | &nbsp;&nbsp;&nbsp;&nbsp; 4295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4133, 3.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4708 | &nbsp;&nbsp;&nbsp;&nbsp; 4249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR1548, 3.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3764 | &nbsp;&nbsp;&nbsp;&nbsp; 3493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8380, 4.50%, 2/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2879 | &nbsp;&nbsp;&nbsp;&nbsp; 2839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8085, 3.00%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3731 | &nbsp;&nbsp;&nbsp;&nbsp; 3251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3892, 4.00%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8434 | &nbsp;&nbsp;&nbsp;&nbsp; 7727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8094, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 930 | &nbsp;&nbsp;&nbsp;&nbsp; 858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8095, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4791 | &nbsp;&nbsp;&nbsp;&nbsp; 4414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8096, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7208 | &nbsp;&nbsp;&nbsp;&nbsp; 6636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8097, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7533 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8098, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8710 | &nbsp;&nbsp;&nbsp;&nbsp; 8127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8099, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6520 | &nbsp;&nbsp;&nbsp;&nbsp; 6097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7042, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 17909 | &nbsp;&nbsp;&nbsp;&nbsp; 15943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785294, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 48702 | &nbsp;&nbsp;&nbsp;&nbsp; 42758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA7534, 2.50%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 214106 | &nbsp;&nbsp;&nbsp;&nbsp; 179457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA7649, 2.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 31512 | &nbsp;&nbsp;&nbsp;&nbsp; 26412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH9031, 3.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 20419 | &nbsp;&nbsp;&nbsp;&nbsp; 18179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA7706, 3.00%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 38492 | &nbsp;&nbsp;&nbsp;&nbsp; 33556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 787205, 3.50%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 74093 | &nbsp;&nbsp;&nbsp;&nbsp; 66353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI9257, 3.50%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 23328 | &nbsp;&nbsp;&nbsp;&nbsp; 20768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK1527, 3.50%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7012 | &nbsp;&nbsp;&nbsp;&nbsp; 6271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK1600, 4.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 14243 | &nbsp;&nbsp;&nbsp;&nbsp; 13094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK7137, 4.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 25578 | &nbsp;&nbsp;&nbsp;&nbsp; 23123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 786362, 3.00%, 2/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 34911 | &nbsp;&nbsp;&nbsp;&nbsp; 29951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL2553, 4.00%, 2/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 17938 | &nbsp;&nbsp;&nbsp;&nbsp; 16216 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM2213, 3.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7443 | &nbsp;&nbsp;&nbsp;&nbsp; 6486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 787457, 4.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 22503 | &nbsp;&nbsp;&nbsp;&nbsp; 21044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL2574, 4.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10478 | &nbsp;&nbsp;&nbsp;&nbsp; 9472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL2575, 4.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5414 | &nbsp;&nbsp;&nbsp;&nbsp; 4960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM1194, 4.00%, 4/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12847 | &nbsp;&nbsp;&nbsp;&nbsp; 11615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8200, 4.00%, 8/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 136086 | &nbsp;&nbsp;&nbsp;&nbsp; 125191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8423, 2.50%, 11/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 37699 | &nbsp;&nbsp;&nbsp;&nbsp; 31616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO8957, 5.00%, 12/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16632 | &nbsp;&nbsp;&nbsp;&nbsp; 16020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8565, 3.00%, 1/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 32305 | &nbsp;&nbsp;&nbsp;&nbsp; 28162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8721, 3.00%, 3/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 112649 | &nbsp;&nbsp;&nbsp;&nbsp; 98379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 786842, 4.00%, 4/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 85040 | &nbsp;&nbsp;&nbsp;&nbsp; 77059 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CS4305, 5.50%, 6/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 30465 | &nbsp;&nbsp;&nbsp;&nbsp; 30341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CS4391, 5.50%, 7/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 37439 | &nbsp;&nbsp;&nbsp;&nbsp; 37286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9166, 3.00%, 9/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 18220 | &nbsp;&nbsp;&nbsp;&nbsp; 15884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9600, 3.00%, 4/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 16719 | &nbsp;&nbsp;&nbsp;&nbsp; 14575 |
| &nbsp;&nbsp;&nbsp; GNMA II, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0858, 3.75%, 9/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 418 | &nbsp;&nbsp;&nbsp;&nbsp; 386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4285, 6.00%, 11/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0862, 3.75%, 1/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 850 | &nbsp;&nbsp;&nbsp;&nbsp; 776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 787496, 6.00%, 7/20/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 48704 | &nbsp;&nbsp;&nbsp;&nbsp; 48964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784879, 4.08%, 11/20/2069 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12093 | &nbsp;&nbsp;&nbsp;&nbsp; 11582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785137, 3.07%, 8/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16563 | &nbsp;&nbsp;&nbsp;&nbsp; 14796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785183, 2.93%, 10/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 33136 | &nbsp;&nbsp;&nbsp;&nbsp; 29704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785863, 3.10%, 12/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12087 | &nbsp;&nbsp;&nbsp;&nbsp; 10794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 786556, 4.64%, 1/20/2073 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 39677 | &nbsp;&nbsp;&nbsp;&nbsp; 38900 |
| &nbsp;&nbsp;&nbsp; GNMA II, Single Family, 30 Year TBA, 3.00%, 6/15/2055 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4355 |
| &nbsp;&nbsp;&nbsp; Hornbeck Offshore Services LLC , 8.90%, 1/1/2044 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 47000 | &nbsp;&nbsp;&nbsp;&nbsp; 47000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $11,786,900)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 11288287 |
| **Asset-Backed Securities — 12.1%** | **Asset-Backed Securities — 12.1%** | **Asset-Backed Securities — 12.1%** |
| &nbsp;&nbsp;&nbsp; Academic Loan Funding Trust Series 2013-1A, Class A, 5.24%, 12/26/2044 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 987 | &nbsp;&nbsp;&nbsp;&nbsp; 954 |
| &nbsp;&nbsp;&nbsp; Accelerated Assets LLC Series 2018-1, Class A, 3.87%, 12/2/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2111 | &nbsp;&nbsp;&nbsp;&nbsp; 2075 |
| &nbsp;&nbsp;&nbsp; Air Canada Pass-Through Trust (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1, Class A, 3.60%, 3/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3026 | &nbsp;&nbsp;&nbsp;&nbsp; 2931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5740 | &nbsp;&nbsp;&nbsp;&nbsp; 5328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1, Class A, 3.55%, 1/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5532 | &nbsp;&nbsp;&nbsp;&nbsp; 5140 |
| &nbsp;&nbsp;&nbsp; Alternative LN Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.67%, 11/15/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 35938 | &nbsp;&nbsp;&nbsp;&nbsp; 35938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.27%, 11/15/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 7969 | &nbsp;&nbsp;&nbsp;&nbsp; 7969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.68%, 11/15/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 16493 | &nbsp;&nbsp;&nbsp;&nbsp; 16493 |
| &nbsp;&nbsp;&nbsp; American Airlines Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1, Class A, 3.70%, 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5960 | &nbsp;&nbsp;&nbsp;&nbsp; 5825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-2, Class A, 4.00%, 9/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 15236 | &nbsp;&nbsp;&nbsp;&nbsp; 14588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class A, 3.65%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4406 | &nbsp;&nbsp;&nbsp;&nbsp; 4139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3, Class AA, 3.00%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6999 | &nbsp;&nbsp;&nbsp;&nbsp; 6579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2, Class A, 3.60%, 10/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6938 | &nbsp;&nbsp;&nbsp;&nbsp; 6354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class B, 3.95%, 7/11/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 9363 | &nbsp;&nbsp;&nbsp;&nbsp; 8765 |
| &nbsp;&nbsp;&nbsp; American Credit Acceptance Receivables Trust Series 2023-4, Class C, 6.99%, 9/12/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12926 | &nbsp;&nbsp;&nbsp;&nbsp; 13102 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; American Homes 4 Rent Trust Series 2015-SFR2, Class E, 6.07%, 10/17/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1415 | &nbsp;&nbsp;&nbsp;&nbsp; 1412 |
| &nbsp;&nbsp;&nbsp; AMSR Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class C, 2.53%, 7/17/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2949 | &nbsp;&nbsp;&nbsp;&nbsp; 2936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class D, 3.28%, 7/17/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15495 | &nbsp;&nbsp;&nbsp;&nbsp; 15433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class E1, 4.03%, 7/17/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12912 | &nbsp;&nbsp;&nbsp;&nbsp; 12867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9600 | &nbsp;&nbsp;&nbsp;&nbsp; 9506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SFR1, Class E, 3.47%, 1/19/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7800 | &nbsp;&nbsp;&nbsp;&nbsp; 7495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E1, 4.39%, 3/17/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28018 | &nbsp;&nbsp;&nbsp;&nbsp; 27465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class D, 4.00%, 10/17/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22000 | &nbsp;&nbsp;&nbsp;&nbsp; 21171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SFR1, Class D, 4.00%, 4/17/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22082 | &nbsp;&nbsp;&nbsp;&nbsp; 21096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SFR2, Class D, 3.95%, 6/17/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12065 | &nbsp;&nbsp;&nbsp;&nbsp; 11429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SFR2, Class E1, 3.95%, 6/17/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11900 | &nbsp;&nbsp;&nbsp;&nbsp; 11174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class C, 4.15%, 11/17/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11723 | &nbsp;&nbsp;&nbsp;&nbsp; 11113 |
| &nbsp;&nbsp;&nbsp; Aqua Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-A, Class A, 3.14%, 7/16/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class B, 2.79%, 7/17/2046 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2243 | &nbsp;&nbsp;&nbsp;&nbsp; 2122 |
| &nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 2.33%, 8/20/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12020 | &nbsp;&nbsp;&nbsp;&nbsp; 11981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.36%, 6/20/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22973 | &nbsp;&nbsp;&nbsp;&nbsp; 23431 |
| &nbsp;&nbsp;&nbsp; Baring Frn Series 2021-EBO1, Class PA, 0.00%, 6/25/2025 ‡ (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5200 | &nbsp;&nbsp;&nbsp;&nbsp; 5200 |
| &nbsp;&nbsp;&nbsp; Bastion Funding I LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A2, 7.12%, 4/25/2038 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 55747 | &nbsp;&nbsp;&nbsp;&nbsp; 55889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.80%, 10/25/2038 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 13831 | &nbsp;&nbsp;&nbsp;&nbsp; 13970 |
| &nbsp;&nbsp;&nbsp; Bedrock ABS I LLC, 7.95%, 12/27/2037 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 24387 | &nbsp;&nbsp;&nbsp;&nbsp; 25058 |
| &nbsp;&nbsp;&nbsp; BG Beta Ltd. (Cayman Islands), 6.28%, 7/16/2054 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 61070 | &nbsp;&nbsp;&nbsp;&nbsp; 61875 |
| &nbsp;&nbsp;&nbsp; Bridge Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class A, 3.40%, 11/17/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24981 | &nbsp;&nbsp;&nbsp;&nbsp; 24708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class D, 4.45%, 11/17/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17966 | &nbsp;&nbsp;&nbsp;&nbsp; 17836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E1, 6.30%, 11/17/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13567 | &nbsp;&nbsp;&nbsp;&nbsp; 13538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR1, Class A, 4.00%, 8/17/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 53017 | &nbsp;&nbsp;&nbsp;&nbsp; 50983 |
| &nbsp;&nbsp;&nbsp; Bridgecrest Lending Auto Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class C, 7.10%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 19650 | &nbsp;&nbsp;&nbsp;&nbsp; 20152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class D, 5.23%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 23845 | &nbsp;&nbsp;&nbsp;&nbsp; 23702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class D, 5.62%, 3/17/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10805 | &nbsp;&nbsp;&nbsp;&nbsp; 10903 |
| &nbsp;&nbsp;&nbsp; British Airways Pass-Through Trust (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class AA, 3.80%, 9/20/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4762 | &nbsp;&nbsp;&nbsp;&nbsp; 4587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class A, 4.13%, 9/20/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7675 | &nbsp;&nbsp;&nbsp;&nbsp; 7310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class AA, 3.30%, 12/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7285 | &nbsp;&nbsp;&nbsp;&nbsp; 6726 |
| &nbsp;&nbsp;&nbsp; Business Jet Securities LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A, 4.46%, 6/15/2037 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 44402 | &nbsp;&nbsp;&nbsp;&nbsp; 43458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.36%, 9/15/2039 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 32828 | &nbsp;&nbsp;&nbsp;&nbsp; 32738 |
| &nbsp;&nbsp;&nbsp; BXG Receivables Note Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class A, 5.77%, 11/15/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2623 | &nbsp;&nbsp;&nbsp;&nbsp; 2656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class B, 6.31%, 11/15/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18029 | &nbsp;&nbsp;&nbsp;&nbsp; 18276 |
| &nbsp;&nbsp;&nbsp; Caerus Uinta ABS LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A1, 7.48%, 4/28/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14450 | &nbsp;&nbsp;&nbsp;&nbsp; 14659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A2, 7.85%, 4/28/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22008 | &nbsp;&nbsp;&nbsp;&nbsp; 22492 |
| &nbsp;&nbsp;&nbsp; Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15021 | &nbsp;&nbsp;&nbsp;&nbsp; 14065 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; CARS-DB4 LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A5, 3.48%, 2/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5636 | &nbsp;&nbsp;&nbsp;&nbsp; 5433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A6, 3.81%, 2/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5881 | &nbsp;&nbsp;&nbsp;&nbsp; 5433 |
| &nbsp;&nbsp;&nbsp; Carvana Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-P1, Class A4, 3.52%, 2/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-P4, Class A4, 6.16%, 9/10/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16476 | &nbsp;&nbsp;&nbsp;&nbsp; 17065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-N4, Class B, 6.46%, 2/11/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17500 | &nbsp;&nbsp;&nbsp;&nbsp; 17787 |
| &nbsp;&nbsp;&nbsp; Cascade MH Asset Trust Series 2022-MH1, Class A, 4.25%, 8/25/2054 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 33589 | &nbsp;&nbsp;&nbsp;&nbsp; 32444 |
| &nbsp;&nbsp;&nbsp; CFIN Issuer LLC Series 2022-RTL1, Class AA, 4.75%, 2/16/2026 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 13826 | &nbsp;&nbsp;&nbsp;&nbsp; 13715 |
| &nbsp;&nbsp;&nbsp; Chase Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class 1A5, 4.87%, 5/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 432 | &nbsp;&nbsp;&nbsp;&nbsp; 421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-6, Class 1A5, 4.83%, 11/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 541 | &nbsp;&nbsp;&nbsp;&nbsp; 532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-6, Class 1A7, 4.83%, 11/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 922 | &nbsp;&nbsp;&nbsp;&nbsp; 906 |
| &nbsp;&nbsp;&nbsp; Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 950 | &nbsp;&nbsp;&nbsp;&nbsp; 1036 |
| &nbsp;&nbsp;&nbsp; Continental Finance Credit Card ABS Master Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class A, 6.19%, 10/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 60885 | &nbsp;&nbsp;&nbsp;&nbsp; 61158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A, 5.78%, 12/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 41825 | &nbsp;&nbsp;&nbsp;&nbsp; 42131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 6.22%, 12/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6990 | &nbsp;&nbsp;&nbsp;&nbsp; 7065 |
| &nbsp;&nbsp;&nbsp; COOF Securitization Trust Ltd. Series 2014-1, Class A, 3.31%, 6/25/2040 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1284 | &nbsp;&nbsp;&nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp; CoreVest American Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class B, 3.42%, 6/15/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3649 | &nbsp;&nbsp;&nbsp;&nbsp; 3539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class C, 3.68%, 6/15/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5526 | &nbsp;&nbsp;&nbsp;&nbsp; 5333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class A, 2.71%, 10/15/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3745 | &nbsp;&nbsp;&nbsp;&nbsp; 3719 |
| &nbsp;&nbsp;&nbsp; CPS Auto Receivables Trust Series 2022-D, Class C, 7.69%, 1/16/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10122 |
| &nbsp;&nbsp;&nbsp; Credit Acceptance Auto Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class C, 5.70%, 10/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 43105 | &nbsp;&nbsp;&nbsp;&nbsp; 43154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class D, 9.00%, 4/18/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 50000 | &nbsp;&nbsp;&nbsp;&nbsp; 51298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A, 5.92%, 5/16/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 52650 | &nbsp;&nbsp;&nbsp;&nbsp; 52830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class B, 7.02%, 5/16/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5100 | &nbsp;&nbsp;&nbsp;&nbsp; 5188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class B, 6.61%, 7/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 33379 | &nbsp;&nbsp;&nbsp;&nbsp; 33856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class A, 6.39%, 8/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 29600 | &nbsp;&nbsp;&nbsp;&nbsp; 29878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class B, 7.09%, 10/17/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 43500 | &nbsp;&nbsp;&nbsp;&nbsp; 44662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5A, Class A, 6.13%, 12/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8015 | &nbsp;&nbsp;&nbsp;&nbsp; 8117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 2/15/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 65094 | &nbsp;&nbsp;&nbsp;&nbsp; 65192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.68%, 3/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 35480 | &nbsp;&nbsp;&nbsp;&nbsp; 35887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 6.03%, 5/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 12219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.30%, 6/15/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 27013 | &nbsp;&nbsp;&nbsp;&nbsp; 27156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 6.11%, 8/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp;&nbsp; 40923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class C, 5.39%, 1/16/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19100 | &nbsp;&nbsp;&nbsp;&nbsp; 19230 |
| &nbsp;&nbsp;&nbsp; Credit One Ltd., 6.47%, 2/25/2029 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 71500 | &nbsp;&nbsp;&nbsp;&nbsp; 71958 |
| &nbsp;&nbsp;&nbsp; Crown Castle Towers LLC, 4.24%, 7/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9750 |
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.94%, 1/10/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 552 | &nbsp;&nbsp;&nbsp;&nbsp; 572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.93%, 1/10/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3567 | &nbsp;&nbsp;&nbsp;&nbsp; 3566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014, 4.16%, 8/11/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 957 | &nbsp;&nbsp;&nbsp;&nbsp; 881 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class M1, 5.19%, 3/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class M2, 5.26%, 3/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 3A, 5.00%, 4/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 220 | &nbsp;&nbsp;&nbsp;&nbsp; 206 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 5.34%, 10/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp; Delta Air Lines Pass-Through Trust Series 2020-1, Class AA, 2.00%, 6/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4747 | &nbsp;&nbsp;&nbsp;&nbsp; 4433 |
| &nbsp;&nbsp;&nbsp; Diversified ABS Holdings LLC Series 2024-2A, Class A, 6.56%, 9/30/2044 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 44650 | &nbsp;&nbsp;&nbsp;&nbsp; 44748 |
| &nbsp;&nbsp;&nbsp; Diversified ABS LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A1, 5.95%, 2/28/2045 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 26960 | &nbsp;&nbsp;&nbsp;&nbsp; 27018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A2, 6.75%, 2/28/2045 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 58000 | &nbsp;&nbsp;&nbsp;&nbsp; 57965 |
| &nbsp;&nbsp;&nbsp; Diversified ABS Phase LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series VI, Class A, 7.50%, 11/28/2039 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 25420 | &nbsp;&nbsp;&nbsp;&nbsp; 25153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A1, 7.08%, 5/30/2044 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18055 | &nbsp;&nbsp;&nbsp;&nbsp; 18201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 7.67%, 5/30/2044 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18395 | &nbsp;&nbsp;&nbsp;&nbsp; 18488 |
| &nbsp;&nbsp;&nbsp; DP Lion Holdco LLC Series 2023-1A, Class A, 8.24%, 11/30/2043 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 17946 | &nbsp;&nbsp;&nbsp;&nbsp; 18378 |
| &nbsp;&nbsp;&nbsp; Drive Auto Receivables Trust Series 2025-1, Class D, 5.41%, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9190 | &nbsp;&nbsp;&nbsp;&nbsp; 9195 |
| &nbsp;&nbsp;&nbsp; DT Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class C, 7.69%, 7/17/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12033 | &nbsp;&nbsp;&nbsp;&nbsp; 12134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class D, 8.14%, 7/17/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 46500 | &nbsp;&nbsp;&nbsp;&nbsp; 47680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class D, 6.44%, 11/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15550 | &nbsp;&nbsp;&nbsp;&nbsp; 15751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class D, 6.62%, 2/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9358 | &nbsp;&nbsp;&nbsp;&nbsp; 9541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class C, 6.40%, 5/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class E, 6.45%, 5/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5955 | &nbsp;&nbsp;&nbsp;&nbsp; 5990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class D, 7.12%, 5/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13224 | &nbsp;&nbsp;&nbsp;&nbsp; 13696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class E, 10.39%, 1/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 27300 | &nbsp;&nbsp;&nbsp;&nbsp; 28723 |
| &nbsp;&nbsp;&nbsp; Energy Assets, 8.11%, 8/25/2044 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 20770 | &nbsp;&nbsp;&nbsp;&nbsp; 20923 |
| &nbsp;&nbsp;&nbsp; Exeter Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-5A, Class C, 6.51%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6307 | &nbsp;&nbsp;&nbsp;&nbsp; 6329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class C, 5.75%, 7/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 22895 | &nbsp;&nbsp;&nbsp;&nbsp; 22967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class D, 6.76%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 39700 | &nbsp;&nbsp;&nbsp;&nbsp; 40191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5A, Class C, 6.85%, 1/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 20966 | &nbsp;&nbsp;&nbsp;&nbsp; 21403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-5A, Class D, 7.40%, 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 12600 | &nbsp;&nbsp;&nbsp;&nbsp; 12860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-6A, Class D, 8.03%, 4/6/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 13806 | &nbsp;&nbsp;&nbsp;&nbsp; 14287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class D, 6.68%, 4/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 7141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class D, 6.69%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8805 | &nbsp;&nbsp;&nbsp;&nbsp; 8954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-4A, Class D, 6.95%, 12/17/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 14269 | &nbsp;&nbsp;&nbsp;&nbsp; 14686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class D, 5.57%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 25900 | &nbsp;&nbsp;&nbsp;&nbsp; 26067 |
| &nbsp;&nbsp;&nbsp; FHF Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A2, 6.79%, 10/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7124 | &nbsp;&nbsp;&nbsp;&nbsp; 7226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 5.69%, 2/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16442 | &nbsp;&nbsp;&nbsp;&nbsp; 16589 |
| &nbsp;&nbsp;&nbsp; FHF Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A, 6.14%, 12/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7220 | &nbsp;&nbsp;&nbsp;&nbsp; 7257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A2, 6.57%, 6/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7257 | &nbsp;&nbsp;&nbsp;&nbsp; 7320 |
| &nbsp;&nbsp;&nbsp; FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class D, 2.24%, 8/17/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6450 | &nbsp;&nbsp;&nbsp;&nbsp; 6384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class E, 2.79%, 8/17/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11250 | &nbsp;&nbsp;&nbsp;&nbsp; 11147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 57000 | &nbsp;&nbsp;&nbsp;&nbsp; 56131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class D, 3.50%, 7/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7187 | &nbsp;&nbsp;&nbsp;&nbsp; 6991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class E1, 3.50%, 7/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 6790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class D, 2.19%, 8/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14400 | &nbsp;&nbsp;&nbsp;&nbsp; 13827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15500 | &nbsp;&nbsp;&nbsp;&nbsp; 14889 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E1, 5.00%, 5/19/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 36486 | &nbsp;&nbsp;&nbsp;&nbsp; 36096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class E1, 4.50%, 7/17/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 50000 | &nbsp;&nbsp;&nbsp;&nbsp; 48466 |
| &nbsp;&nbsp;&nbsp; Flagship Credit Auto Trust Series 2022-4, Class D, 8.86%, 10/16/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11330 | &nbsp;&nbsp;&nbsp;&nbsp; 11473 |
| &nbsp;&nbsp;&nbsp; FMC GMSR Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-GT1, Class A, 4.45%, 1/25/2026 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 56650 | &nbsp;&nbsp;&nbsp;&nbsp; 54858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT1, Class A, 3.62%, 7/25/2026 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 43050 | &nbsp;&nbsp;&nbsp;&nbsp; 40325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 61030 | &nbsp;&nbsp;&nbsp;&nbsp; 57381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SAT1, Class A, 6.50%, 3/26/2027 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 108325 | &nbsp;&nbsp;&nbsp;&nbsp; 108518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-GT1, Class A, 6.19%, 4/25/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 86250 | &nbsp;&nbsp;&nbsp;&nbsp; 86230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-GT2, Class A, 7.90%, 7/25/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp;&nbsp; 40318 |
| &nbsp;&nbsp;&nbsp; Foundation Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class C, 5.66%, 11/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18930 | &nbsp;&nbsp;&nbsp;&nbsp; 18887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 3.54%, 7/16/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3414 | &nbsp;&nbsp;&nbsp;&nbsp; 3402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A, 6.53%, 6/15/2049 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 26299 | &nbsp;&nbsp;&nbsp;&nbsp; 27241 |
| &nbsp;&nbsp;&nbsp; FW Energy Asset Issuer LLC, 7.15%, 8/25/2044 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 68781 | &nbsp;&nbsp;&nbsp;&nbsp; 69336 |
| &nbsp;&nbsp;&nbsp; GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp; GLS Auto Receivables Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, 5.30%, 4/17/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5753 | &nbsp;&nbsp;&nbsp;&nbsp; 5757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class D, 6.15%, 4/17/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19357 | &nbsp;&nbsp;&nbsp;&nbsp; 19542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class D, 6.44%, 5/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9293 | &nbsp;&nbsp;&nbsp;&nbsp; 9502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-4A, Class C, 6.65%, 8/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19000 | &nbsp;&nbsp;&nbsp;&nbsp; 19348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class D, 5.59%, 1/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21900 | &nbsp;&nbsp;&nbsp;&nbsp; 22052 |
| &nbsp;&nbsp;&nbsp; GLS Auto Select Receivables Trust Series 2023-1A, Class A3, 5.96%, 10/16/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14140 | &nbsp;&nbsp;&nbsp;&nbsp; 14273 |
| &nbsp;&nbsp;&nbsp; Goodgreen |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 2.76%, 4/15/2055 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16410 | &nbsp;&nbsp;&nbsp;&nbsp; 13979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.90%, 1/17/2061 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 44088 | &nbsp;&nbsp;&nbsp;&nbsp; 41425 |
| &nbsp;&nbsp;&nbsp; Goodgreen Ltd. Series 2024-1A, Class A, 6.29%, 7/15/2056 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 64431 | &nbsp;&nbsp;&nbsp;&nbsp; 64012 |
| &nbsp;&nbsp;&nbsp; Goodgreen Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class A, 3.23%, 10/15/2052 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6981 | &nbsp;&nbsp;&nbsp;&nbsp; 6244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A, 3.74%, 10/15/2052 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2018 | &nbsp;&nbsp;&nbsp;&nbsp; 1845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class A, 3.26%, 10/15/2053 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9385 | &nbsp;&nbsp;&nbsp;&nbsp; 8316 |
| &nbsp;&nbsp;&nbsp; Goodleap, 6.63%, 7/15/2038 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 39624 | &nbsp;&nbsp;&nbsp;&nbsp; 40657 |
| &nbsp;&nbsp;&nbsp; GoodLeap Home Improvement Solutions Trust Series 2024-1A, Class A, 5.35%, 10/20/2046 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6657 | &nbsp;&nbsp;&nbsp;&nbsp; 6665 |
| &nbsp;&nbsp;&nbsp; Granite Park Equipment Leasing LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A3, 6.46%, 9/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10006 | &nbsp;&nbsp;&nbsp;&nbsp; 10217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class D, 7.00%, 8/22/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8650 | &nbsp;&nbsp;&nbsp;&nbsp; 8943 |
| &nbsp;&nbsp;&nbsp; Grene 2023-Senior Series 2023-Senior, 5.50%, 1/17/2061 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 15514 | &nbsp;&nbsp;&nbsp;&nbsp; 14580 |
| &nbsp;&nbsp;&nbsp; Grene Energy, 11.00%, 4/22/2026 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4550 | &nbsp;&nbsp;&nbsp;&nbsp; 4228 |
| &nbsp;&nbsp;&nbsp; Grene Energy Senio, 11.00%, 1/17/2061 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2477 | &nbsp;&nbsp;&nbsp;&nbsp; 2098 |
| &nbsp;&nbsp;&nbsp; GTP Acquisition Partners I LLC, 3.48%, 6/16/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11667 | &nbsp;&nbsp;&nbsp;&nbsp; 11657 |
| &nbsp;&nbsp;&nbsp; HERO Funding (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6418 | &nbsp;&nbsp;&nbsp;&nbsp; 5708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A2, 4.67%, 9/20/2048 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8107 | &nbsp;&nbsp;&nbsp;&nbsp; 7420 |
| &nbsp;&nbsp;&nbsp; HERO Funding II (Cayman Islands), 3.75%, 9/21/2044 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2909 | &nbsp;&nbsp;&nbsp;&nbsp; 2437 |
| &nbsp;&nbsp;&nbsp; HERO Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3A, Class A1, 3.08%, 9/20/2042 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2278 | &nbsp;&nbsp;&nbsp;&nbsp; 2038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-4A, Class A1, 3.57%, 9/20/2047 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 688 | &nbsp;&nbsp;&nbsp;&nbsp; 621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-4A, Class A2, 4.29%, 9/20/2047 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1433 | &nbsp;&nbsp;&nbsp;&nbsp; 1321 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A2, 4.46%, 9/20/2047 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5377 | &nbsp;&nbsp;&nbsp;&nbsp; 4885 |
| &nbsp;&nbsp;&nbsp; Hilton Grand Vacations Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class A, 2.74%, 2/25/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3272 | &nbsp;&nbsp;&nbsp;&nbsp; 3179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class C, 5.71%, 8/27/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7250 | &nbsp;&nbsp;&nbsp;&nbsp; 7293 |
| &nbsp;&nbsp;&nbsp; HINNT LLC Series 2022-A, Class C, 5.58%, 5/15/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5966 | &nbsp;&nbsp;&nbsp;&nbsp; 5935 |
| &nbsp;&nbsp;&nbsp; Home Partners of America Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class E1, 2.85%, 12/17/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 52039 | &nbsp;&nbsp;&nbsp;&nbsp; 49511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class E2, 2.95%, 12/17/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9359 | &nbsp;&nbsp;&nbsp;&nbsp; 8905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class D, 3.00%, 1/17/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 40732 | &nbsp;&nbsp;&nbsp;&nbsp; 37095 |
| &nbsp;&nbsp;&nbsp; Huntington Bank Auto Credit-Linked Notes Series 2024-2, Class B1, 5.44%, 10/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15930 | &nbsp;&nbsp;&nbsp;&nbsp; 16020 |
| &nbsp;&nbsp;&nbsp; Invitation Homes Trust Series 2024-SFR1, Class D, 4.25%, 9/17/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22630 | &nbsp;&nbsp;&nbsp;&nbsp; 21336 |
| &nbsp;&nbsp;&nbsp; Jonah, 7.80%, 11/10/2037 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 32993 | &nbsp;&nbsp;&nbsp;&nbsp; 33125 |
| &nbsp;&nbsp;&nbsp; Jonah Energy ABS II LLC Series 2025-1A, Class A1, 6.59%, 12/10/2040 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 61126 | &nbsp;&nbsp;&nbsp;&nbsp; 61126 |
| &nbsp;&nbsp;&nbsp; Jonah Energy ABS LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 7.20%, 12/10/2037 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21526 | &nbsp;&nbsp;&nbsp;&nbsp; 21598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class B, 7.63%, 8/10/2039 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 40516 | &nbsp;&nbsp;&nbsp;&nbsp; 40617 |
| &nbsp;&nbsp;&nbsp; KGS-Alpha SBA COOF Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-3, Class A, IO, 0.99%, 9/25/2026 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; —<br> (h)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1, Class A, IO, 1.46%, 10/25/2032 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4086 | &nbsp;&nbsp;&nbsp;&nbsp; 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-4, Class A, IO, 0.91%, 9/25/2037 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6855 | &nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-2, Class A, IO, 0.81%, 8/25/2038 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5020 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2, Class A, IO, 1.75%, 3/25/2039 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4163 | &nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-6, Class A, IO, 0.78%, 5/25/2039 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4897 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2, Class A, IO, 3.77%, 4/25/2040 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 784 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-2, Class A, IO, 2.56%, 7/25/2041 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2074 | &nbsp;&nbsp;&nbsp;&nbsp; 204 |
| &nbsp;&nbsp;&nbsp; Lendingpoint Asset Securitization Trust Series 2022-C, Class C, 8.68%, 2/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4300 | &nbsp;&nbsp;&nbsp;&nbsp; 4054 |
| &nbsp;&nbsp;&nbsp; Lendingpoint SPE Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VFN1, Class A1B, 9.21%, 12/15/2026 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1771 | &nbsp;&nbsp;&nbsp;&nbsp; 1750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VFN1, Class A2B1, 9.21%, 12/15/2026 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 274 | &nbsp;&nbsp;&nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp; Lendmark Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 2.47%, 11/20/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11204 | &nbsp;&nbsp;&nbsp;&nbsp; 10445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class C, 3.09%, 4/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9780 | &nbsp;&nbsp;&nbsp;&nbsp; 9006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class E, 7.58%, 7/20/2032 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28000 | &nbsp;&nbsp;&nbsp;&nbsp; 27749 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class D, 8.16%, 7/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 27660 | &nbsp;&nbsp;&nbsp;&nbsp; 28098 |
| &nbsp;&nbsp;&nbsp; LFT CRE Ltd. Series 2021-FL1, Class C, 6.39%, 6/15/2039 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 29810 | &nbsp;&nbsp;&nbsp;&nbsp; 29627 |
| &nbsp;&nbsp;&nbsp; Long Beach Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class M1, 5.19%, 2/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 388 | &nbsp;&nbsp;&nbsp;&nbsp; 384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class M1, 5.29%, 7/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 184 | &nbsp;&nbsp;&nbsp;&nbsp; 181 |
| &nbsp;&nbsp;&nbsp; LVNV Funding LLC, 7.25%, 10/15/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 50000 | &nbsp;&nbsp;&nbsp;&nbsp; 50000 |
| &nbsp;&nbsp;&nbsp; Mariner Finance Issuance Trust Series 2021-BA, Class D, 3.42%, 11/20/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11935 | &nbsp;&nbsp;&nbsp;&nbsp; 11097 |
| &nbsp;&nbsp;&nbsp; Marlette Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class B, 6.50%, 4/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2365 | &nbsp;&nbsp;&nbsp;&nbsp; 2369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class B, 6.54%, 6/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6368 | &nbsp;&nbsp;&nbsp;&nbsp; 6384 |
| &nbsp;&nbsp;&nbsp; Merchants Fleet Funding LLC Series 2023-1A, Class A, 7.21%, 5/20/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21065 | &nbsp;&nbsp;&nbsp;&nbsp; 21247 |
| &nbsp;&nbsp;&nbsp; Mercury Financial Credit Card Master Trust Series 2024-2A, Class A, 6.56%, 7/20/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 61625 | &nbsp;&nbsp;&nbsp;&nbsp; 62138 |
| &nbsp;&nbsp;&nbsp; Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2223 | &nbsp;&nbsp;&nbsp;&nbsp; 2226 |
| &nbsp;&nbsp;&nbsp; MMAF Equipment Finance LLC Series 2024-A, Class A4, 5.10%, 7/13/2049 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18608 | &nbsp;&nbsp;&nbsp;&nbsp; 18866 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; MNR ABS Issuer I LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.12%, 12/15/2038 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 23271 | &nbsp;&nbsp;&nbsp;&nbsp; 23660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.95%, 12/15/2038 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 23560 | &nbsp;&nbsp;&nbsp;&nbsp; 23994 |
| &nbsp;&nbsp;&nbsp; New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.85%, 11/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 617 | &nbsp;&nbsp;&nbsp;&nbsp; 605 |
| &nbsp;&nbsp;&nbsp; NRZ Excess Spread-Collateralized Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10864 | &nbsp;&nbsp;&nbsp;&nbsp; 10728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14862 | &nbsp;&nbsp;&nbsp;&nbsp; 14304 |
| &nbsp;&nbsp;&nbsp; Octane Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class C, 5.21%, 8/21/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4908 | &nbsp;&nbsp;&nbsp;&nbsp; 4910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class D, 5.54%, 2/20/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4235 | &nbsp;&nbsp;&nbsp;&nbsp; 4241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class C, 6.74%, 8/20/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3539 | &nbsp;&nbsp;&nbsp;&nbsp; 3608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class C, 6.37%, 9/20/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3400 | &nbsp;&nbsp;&nbsp;&nbsp; 3441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class D, 7.76%, 3/20/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10792 | &nbsp;&nbsp;&nbsp;&nbsp; 11179 |
| &nbsp;&nbsp;&nbsp; Oportun Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class A, 1.47%, 5/8/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15529 | &nbsp;&nbsp;&nbsp;&nbsp; 15122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class A, 5.05%, 6/9/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5848 | &nbsp;&nbsp;&nbsp;&nbsp; 5844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class B, 5.25%, 6/9/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13299 | &nbsp;&nbsp;&nbsp;&nbsp; 13290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class A, 2.18%, 10/8/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4983 | &nbsp;&nbsp;&nbsp;&nbsp; 4859 |
| &nbsp;&nbsp;&nbsp; Pagaya AI Technology in Housing Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class A, 3.60%, 10/25/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 48444 | &nbsp;&nbsp;&nbsp;&nbsp; 46559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class B, 3.60%, 10/25/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22500 | &nbsp;&nbsp;&nbsp;&nbsp; 21299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class C, 3.60%, 10/25/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 7472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class D, 3.60%, 10/25/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22177 | &nbsp;&nbsp;&nbsp;&nbsp; 20533 |
| &nbsp;&nbsp;&nbsp; Pendoor Proper, 0.00%, 2/15/2026 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11918 | &nbsp;&nbsp;&nbsp;&nbsp; 11813 |
| &nbsp;&nbsp;&nbsp; PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 8.57%, 5/25/2027 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 60745 | &nbsp;&nbsp;&nbsp;&nbsp; 60921 |
| &nbsp;&nbsp;&nbsp; Presidio Finance LLC Series 2023-1, Class A1, 7.81%, 12/25/2038 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15421 | &nbsp;&nbsp;&nbsp;&nbsp; 15675 |
| &nbsp;&nbsp;&nbsp; Prestige Auto Receivables Trust Series 2022-1A, Class C, 7.09%, 8/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4968 | &nbsp;&nbsp;&nbsp;&nbsp; 4987 |
| &nbsp;&nbsp;&nbsp; PRET LLC Series 2021-RN4, Class A1, 5.49%, 10/25/2051 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 26106 | &nbsp;&nbsp;&nbsp;&nbsp; 26070 |
| &nbsp;&nbsp;&nbsp; Progress Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 55300 | &nbsp;&nbsp;&nbsp;&nbsp; 54006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR5, Class C, 3.25%, 8/9/2029 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 15640 | &nbsp;&nbsp;&nbsp;&nbsp; 14349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR5, Class D, 3.38%, 8/9/2029 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17333 | &nbsp;&nbsp;&nbsp;&nbsp; 15771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class A, 1.51%, 10/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7448 | &nbsp;&nbsp;&nbsp;&nbsp; 7212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 47000 | &nbsp;&nbsp;&nbsp;&nbsp; 45375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR11, Class D, 3.13%, 1/17/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11560 | &nbsp;&nbsp;&nbsp;&nbsp; 10683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR11, Class E1, 3.38%, 1/17/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23735 | &nbsp;&nbsp;&nbsp;&nbsp; 22137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class E1, 5.20%, 4/17/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 50390 | &nbsp;&nbsp;&nbsp;&nbsp; 49779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class C, 3.46%, 2/17/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14649 | &nbsp;&nbsp;&nbsp;&nbsp; 13746 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class D, 3.65%, 2/17/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21816 | &nbsp;&nbsp;&nbsp;&nbsp; 20468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class B, 3.40%, 4/17/2041 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 14285 | &nbsp;&nbsp;&nbsp;&nbsp; 13388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR4, Class C, 3.33%, 7/17/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6712 | &nbsp;&nbsp;&nbsp;&nbsp; 6187 |
| &nbsp;&nbsp;&nbsp; Purewest ABS Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A1, 5.69%, 4/5/2040 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 29664 | &nbsp;&nbsp;&nbsp;&nbsp; 29761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A2, 6.53%, 4/5/2040 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 95877 | &nbsp;&nbsp;&nbsp;&nbsp; 95877 |
| &nbsp;&nbsp;&nbsp; Raisa Funding I LLC, 7.60%, 6/15/2038 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 11750 | &nbsp;&nbsp;&nbsp;&nbsp; 11886 |
| &nbsp;&nbsp;&nbsp; ReadyCap Lending Small Business Loan Trust Series 2019-2, Class A, 7.00%, 12/27/2044 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2289 | &nbsp;&nbsp;&nbsp;&nbsp; 2287 |
| &nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Renew (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A, 3.67%, 9/20/2052 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2703 | &nbsp;&nbsp;&nbsp;&nbsp; 2510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.21%, 11/20/2059 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15443 | &nbsp;&nbsp;&nbsp;&nbsp; 15440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.33%, 11/20/2060 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13048 | &nbsp;&nbsp;&nbsp;&nbsp; 12459 |
| &nbsp;&nbsp;&nbsp; Republic Finance Issuance Trust Series 2024-B, Class A, 5.42%, 11/20/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20275 | &nbsp;&nbsp;&nbsp;&nbsp; 20462 |
| &nbsp;&nbsp;&nbsp; RFT TRUST Series 2024-2, Class A1, 7.11%, 9/27/2028 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 118711 | &nbsp;&nbsp;&nbsp;&nbsp; 117891 |
| &nbsp;&nbsp;&nbsp; RT Fin LLC, 7.85%, 10/15/2043 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 9339 | &nbsp;&nbsp;&nbsp;&nbsp; 9473 |
| &nbsp;&nbsp;&nbsp; Santander Drive Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2, Class B, 5.24%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 38000 | &nbsp;&nbsp;&nbsp;&nbsp; 38073 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class C, 5.00%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 15300 | &nbsp;&nbsp;&nbsp;&nbsp; 15346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2, Class C, 5.47%, 12/16/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 20100 | &nbsp;&nbsp;&nbsp;&nbsp; 20328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-5, Class D, 5.67%, 12/16/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 95700 | &nbsp;&nbsp;&nbsp;&nbsp; 96483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-6, Class D, 5.69%, 2/18/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 67185 | &nbsp;&nbsp;&nbsp;&nbsp; 67800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-7, Class C, 6.69%, 3/17/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 13325 | &nbsp;&nbsp;&nbsp;&nbsp; 13626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3, Class D, 5.97%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5230 | &nbsp;&nbsp;&nbsp;&nbsp; 5327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class D, 5.32%, 12/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 24035 | &nbsp;&nbsp;&nbsp;&nbsp; 24149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5, Class D, 5.14%, 2/17/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 12380 | &nbsp;&nbsp;&nbsp;&nbsp; 12374 |
| &nbsp;&nbsp;&nbsp; SCF Equipment Leasing LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class D, 3.79%, 11/20/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11735 | &nbsp;&nbsp;&nbsp;&nbsp; 11418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A3, 5.52%, 1/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21850 | &nbsp;&nbsp;&nbsp;&nbsp; 22378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class B, 6.50%, 2/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12464 | &nbsp;&nbsp;&nbsp;&nbsp; 12490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 5.56%, 4/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6540 | &nbsp;&nbsp;&nbsp;&nbsp; 6722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A3, 6.17%, 5/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 82000 | &nbsp;&nbsp;&nbsp;&nbsp; 82842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class B, 6.37%, 5/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24700 | &nbsp;&nbsp;&nbsp;&nbsp; 25344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class D, 6.50%, 10/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19930 | &nbsp;&nbsp;&nbsp;&nbsp; 20077 |
| &nbsp;&nbsp;&nbsp; Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.84%, 1/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 341 | &nbsp;&nbsp;&nbsp;&nbsp; 288 |
| &nbsp;&nbsp;&nbsp; SFS Auto Receivables Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A3, 4.95%, 5/21/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9785 | &nbsp;&nbsp;&nbsp;&nbsp; 9817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 5.51%, 1/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 615 | &nbsp;&nbsp;&nbsp;&nbsp; 623 |
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class C, 3.51%, 7/20/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1290 | &nbsp;&nbsp;&nbsp;&nbsp; 1280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class C, 3.94%, 10/20/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1470 | &nbsp;&nbsp;&nbsp;&nbsp; 1437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class B, 5.83%, 1/20/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5281 | &nbsp;&nbsp;&nbsp;&nbsp; 5318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class C, 7.00%, 1/20/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2896 | &nbsp;&nbsp;&nbsp;&nbsp; 2951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class B, 6.28%, 4/20/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6766 | &nbsp;&nbsp;&nbsp;&nbsp; 6909 |
| &nbsp;&nbsp;&nbsp; Stanwich Mortgage Loan Co. LLC Series 2021-NPB1, Class A1, 6.23%, 10/16/2026 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 509 | &nbsp;&nbsp;&nbsp;&nbsp; 509 |
| &nbsp;&nbsp;&nbsp; Stellantis Financial Underwritten Enhanced Lease Trust Series 2025-AA, Class A3, 4.47%, 7/20/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14479 | &nbsp;&nbsp;&nbsp;&nbsp; 14476 |
| &nbsp;&nbsp;&nbsp; Stream Innovations Issuer Trust Series 2024-2A, Class A, 5.21%, 2/15/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6430 | &nbsp;&nbsp;&nbsp;&nbsp; 6449 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-AL1, Class A2, 3.45%, 2/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-AL1, Class A3, 3.45%, 2/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp; Terra ABS I LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A1, 8.15%, 12/22/2042 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13660 | &nbsp;&nbsp;&nbsp;&nbsp; 13995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A2, 8.18%, 12/22/2042 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23431 | &nbsp;&nbsp;&nbsp;&nbsp; 24530 |
| &nbsp;&nbsp;&nbsp; Tricon American Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SFR1, Class D, 3.20%, 3/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4641 | &nbsp;&nbsp;&nbsp;&nbsp; 4554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SFR1, Class E, 3.40%, 3/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp; 10801 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Tricon Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class A, 4.75%, 6/17/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25771 | &nbsp;&nbsp;&nbsp;&nbsp; 25662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SFR2, Class C, 5.00%, 12/17/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5835 | &nbsp;&nbsp;&nbsp;&nbsp; 5752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR4, Class D, 5.35%, 11/17/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9838 |
| &nbsp;&nbsp;&nbsp; United Airlines Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1, Class A, 4.30%, 8/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 12367 | &nbsp;&nbsp;&nbsp;&nbsp; 12340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class B, 3.65%, 10/7/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 10220 | &nbsp;&nbsp;&nbsp;&nbsp; 10121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1, Class B, 3.65%, 1/7/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1205 | &nbsp;&nbsp;&nbsp;&nbsp; 1189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class B, 4.60%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9681 | &nbsp;&nbsp;&nbsp;&nbsp; 9542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1, Class A, 4.00%, 4/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3572 | &nbsp;&nbsp;&nbsp;&nbsp; 3533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2, Class A, 3.75%, 9/3/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6700 | &nbsp;&nbsp;&nbsp;&nbsp; 6565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class B, 3.50%, 5/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5039 | &nbsp;&nbsp;&nbsp;&nbsp; 4807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1, Class AA, 3.10%, 7/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1752 | &nbsp;&nbsp;&nbsp;&nbsp; 1664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1, Class A, 3.45%, 7/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 16617 | &nbsp;&nbsp;&nbsp;&nbsp; 15787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class AA, 2.88%, 10/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1123 | &nbsp;&nbsp;&nbsp;&nbsp; 1053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class AA, 3.50%, 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 9537 | &nbsp;&nbsp;&nbsp;&nbsp; 8929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class A, 3.70%, 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5514 | &nbsp;&nbsp;&nbsp;&nbsp; 5103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class AA, 4.15%, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 11064 | &nbsp;&nbsp;&nbsp;&nbsp; 10445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class A, 4.55%, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10013 | &nbsp;&nbsp;&nbsp;&nbsp; 9215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class AA, 2.70%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5677 | &nbsp;&nbsp;&nbsp;&nbsp; 5014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class AA, 5.45%, 2/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 27817 | &nbsp;&nbsp;&nbsp;&nbsp; 27631 |
| &nbsp;&nbsp;&nbsp; United Auto Credit Securitization Trust Series 2023-1, Class C, 6.28%, 7/10/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1466 | &nbsp;&nbsp;&nbsp;&nbsp; 1467 |
| &nbsp;&nbsp;&nbsp; UOG ABS Issuer I LLC Series 2023-1, Class A1, 8.35%, 6/5/2040 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 29871 | &nbsp;&nbsp;&nbsp;&nbsp; 30445 |
| &nbsp;&nbsp;&nbsp; Upstart Pass-Through Trust Series 2021-ST2, Class A, 2.50%, 4/20/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 132 | &nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp; US Auto Funding Trust Series 2022-1A, Class C, 6.21%, 9/15/2026 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 40434 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Verdant Receivables LLC Series 2024-1A, Class A2, 5.68%, 12/12/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10036 | &nbsp;&nbsp;&nbsp;&nbsp; 10175 |
| &nbsp;&nbsp;&nbsp; vMobo, Inc., 7.46%, 7/18/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 110554 | &nbsp;&nbsp;&nbsp;&nbsp; 105137 |
| &nbsp;&nbsp;&nbsp; VOLT C LLC Series 2021-NPL9, Class A1, 5.99%, 5/25/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 3240 | &nbsp;&nbsp;&nbsp;&nbsp; 3233 |
| &nbsp;&nbsp;&nbsp; VOLT CVI LLC Series 2021-NP12, Class A1, 5.73%, 12/26/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 9156 | &nbsp;&nbsp;&nbsp;&nbsp; 9119 |
| &nbsp;&nbsp;&nbsp; VOLT XCIV LLC Series 2021-NPL3, Class A1, 6.24%, 2/27/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5302 | &nbsp;&nbsp;&nbsp;&nbsp; 5297 |
| &nbsp;&nbsp;&nbsp; VOLT XCIX LLC Series 2021-NPL8, Class A1, 6.12%, 4/25/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5321 | &nbsp;&nbsp;&nbsp;&nbsp; 5318 |
| &nbsp;&nbsp;&nbsp; VOLT XCV LLC Series 2021-NPL4, Class A1, 6.24%, 3/27/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 3907 | &nbsp;&nbsp;&nbsp;&nbsp; 3902 |
| &nbsp;&nbsp;&nbsp; VOLT XCVI LLC Series 2021-NPL5, Class A1, 6.12%, 3/27/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5069 | &nbsp;&nbsp;&nbsp;&nbsp; 5066 |
| &nbsp;&nbsp;&nbsp; VOLT XCVII LLC Series 2021-NPL6, Class A1, 6.24%, 4/25/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 7969 | &nbsp;&nbsp;&nbsp;&nbsp; 7957 |
| &nbsp;&nbsp;&nbsp; Westgate Resorts LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.84%, 12/20/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13017 | &nbsp;&nbsp;&nbsp;&nbsp; 13112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.06%, 1/20/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19098 | &nbsp;&nbsp;&nbsp;&nbsp; 19289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 6.56%, 1/20/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9978 | &nbsp;&nbsp;&nbsp;&nbsp; 10076 |
| &nbsp;&nbsp;&nbsp; Westlake Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class D, 2.12%, 1/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 27168 | &nbsp;&nbsp;&nbsp;&nbsp; 26989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class D, 6.68%, 4/17/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 70490 | &nbsp;&nbsp;&nbsp;&nbsp; 71373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-4A, Class C, 6.64%, 11/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12352 | &nbsp;&nbsp;&nbsp;&nbsp; 12627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class D, 7.01%, 11/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18890 | &nbsp;&nbsp;&nbsp;&nbsp; 19305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities <br>(Cost $5,947,901)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 5935541 |
| **Collateralized Mortgage Obligations — 4.7%** | **Collateralized Mortgage Obligations — 4.7%** | **Collateralized Mortgage Obligations — 4.7%** |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1686 | &nbsp;&nbsp;&nbsp;&nbsp; 1716 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1CB, Class 1A6, IF, IO, 2.66%, 3/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 523 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22T1, Class A2, IF, IO, 0.63%, 6/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3263 | &nbsp;&nbsp;&nbsp;&nbsp; 196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-20CB, Class 3A8, IF, IO, 0.31%, 7/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2163 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 841 | &nbsp;&nbsp;&nbsp;&nbsp; 716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-37T1, Class A2, IF, IO, 0.61%, 9/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 11026 | &nbsp;&nbsp;&nbsp;&nbsp; 659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A2, IF, IO, 0.41%, 11/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2740 | &nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 693 | &nbsp;&nbsp;&nbsp;&nbsp; 528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A7, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp;&nbsp;&nbsp; 274 |
| &nbsp;&nbsp;&nbsp; American General Mortgage Loan Trust Series 2006-1, Class A5, 5.75%, 12/25/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp; Aml-prop CAP Frn Series 2022-E, 6.45%, 3/25/2025 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 4285 | &nbsp;&nbsp;&nbsp;&nbsp; 4269 |
| &nbsp;&nbsp;&nbsp; Anchor Mortgage Trust, 8.23%, 3/25/2031 ‡ (f) | &nbsp;&nbsp;&nbsp;&nbsp; 80000 | &nbsp;&nbsp;&nbsp;&nbsp; 81130 |
| &nbsp;&nbsp;&nbsp; ASG Resecuritization Trust Series 2011-1, Class 2A35, 6.00%, 9/28/2036 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp; Baml PIMCO Frn, 0.00%, 6/30/2025 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 14338 | &nbsp;&nbsp;&nbsp;&nbsp; 14338 |
| &nbsp;&nbsp;&nbsp; Banc of America Alternative Loan Trust Series 2004-6, Class 15, PO, 7/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, PO, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2, Class 1CB1, 5.75%, 9/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A7, 5.50%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7, Class 30, PO, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-8, Class 30, PO, 1/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class X, PO, 1/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; Banc of America Mortgage Trust Series 2003-C, Class 3A1, 7.00%, 4/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp; Bear Stearns ARM Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-2, Class A5, 6.34%, 1/25/2033 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 368 | &nbsp;&nbsp;&nbsp;&nbsp; 364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7, Class 3A, 7.04%, 10/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2, Class 14A, 4.53%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class A1, 6.53%, 2/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 382 | &nbsp;&nbsp;&nbsp;&nbsp; 363 |
| &nbsp;&nbsp;&nbsp; Brean Asset-Backed Securities Trust Series 2023-SRM1, Class A, 4.00%, 9/25/2063 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12389 | &nbsp;&nbsp;&nbsp;&nbsp; 12188 |
| &nbsp;&nbsp;&nbsp; Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates Series 2003-8, Class 1P, PO, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; Cendant Mortgage Capital LLC CDMC Mortgage Pass-Through Certificates Series 2004-1, Class P, PO, 2/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp; Center Street Lending Resi-Investor ABS Mortgage Trust Series 2024-RTL1, Class A1, 6.89%, 10/25/2029 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 37151 | &nbsp;&nbsp;&nbsp;&nbsp; 37411 |
| &nbsp;&nbsp;&nbsp; CFIN LLC Series 2024-1A, Class A, 6.50%, 11/27/2028 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 93000 | &nbsp;&nbsp;&nbsp;&nbsp; 93939 |
| &nbsp;&nbsp;&nbsp; Chase Mortgage Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A2, Class 2A1, 6.67%, 6/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A2, Class 1A1, 7.24%, 6/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 9A1, 6.47%, 2/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 2A1, 6.49%, 2/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 1A3, 6.63%, 2/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 7A1, 7.29%, 2/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class 2A1, 4.50%, 6/25/2019 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-18, PO, 11/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class A26, 5.50%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class A4, 5.75%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB1, Class 2A, 5.26%, 5/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB3, Class 2A, 4.47%, 6/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 156 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 2A1, 5.42%, 6/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5, Class 1A4, 5.50%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 351 | &nbsp;&nbsp;&nbsp;&nbsp; 358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB6, Class A3, 5.93%, 11/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-14, Class A2, 5.50%, 7/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-16, Class A23, 5.50%, 9/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22, Class 2A1, 5.20%, 11/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 621 | &nbsp;&nbsp;&nbsp;&nbsp; 511 |
| &nbsp;&nbsp;&nbsp; Citicorp Mortgage Securities Trust Series 2006-4, Class 1A2, 6.00%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp; Citigroup Global Markets Mortgage Securities VII, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-UP2, Class 1, PO, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-HYB1, Class A, 7.74%, 9/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp; 111 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-10, Class 1A1, 6.55%, 9/25/2033 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 228 | &nbsp;&nbsp;&nbsp;&nbsp; 228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-UST1, Class A6, 7.35%, 8/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1002 | &nbsp;&nbsp;&nbsp;&nbsp; 978 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 3, PO, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2, PO, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2A6, PO, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2A5, 5.25%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 2A1A, 3.47%, 2/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 2A11, 5.50%, 5/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 305 | &nbsp;&nbsp;&nbsp;&nbsp; 303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class 1A2, 4.45%, 8/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 316 | &nbsp;&nbsp;&nbsp;&nbsp; 265 |
| &nbsp;&nbsp;&nbsp; Connecticut Avenue Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-R02, Class 1M2, 7.67%, 1/25/2043 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17575 | &nbsp;&nbsp;&nbsp;&nbsp; 18344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-R06, Class 1M2, 7.02%, 7/25/2043 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9750 | &nbsp;&nbsp;&nbsp;&nbsp; 10085 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class DB1, 6.68%, 2/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 286 | &nbsp;&nbsp;&nbsp;&nbsp; 293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR15, Class 3A1, 7.15%, 6/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-21, Class 1A4, 5.25%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-23, Class 1P, PO, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 181 | &nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp; CSFB Mortgage-Backed Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 2A4, 5.50%, 9/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class 1A4, 5.50%, 12/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 364 | &nbsp;&nbsp;&nbsp;&nbsp; 367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9, Class AP, PO, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9, Class DX, IO, 5.50%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 717 | &nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-10, Class AP, PO, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust Series 2009, 8.35%, 7/10/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3624 | &nbsp;&nbsp;&nbsp;&nbsp; 3915 |
| &nbsp;&nbsp;&nbsp; Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 3.40%, 2/25/2020 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp; FARM Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class A, 2.63%, 1/25/2052 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 25233 | &nbsp;&nbsp;&nbsp;&nbsp; 20833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.19%, 8/1/2054 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 52238 | &nbsp;&nbsp;&nbsp;&nbsp; 51132 |
| &nbsp;&nbsp;&nbsp; FHLMC Seasoned Credit Risk Transfer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class HT, 3.25%, 6/25/2057 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 13068 | &nbsp;&nbsp;&nbsp;&nbsp; 11696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class M60C, 3.50%, 6/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 8194 | &nbsp;&nbsp;&nbsp;&nbsp; 7465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class MT, 3.50%, 6/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 25372 | &nbsp;&nbsp;&nbsp;&nbsp; 22578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-4, Class MA, 3.50%, 3/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 25682 | &nbsp;&nbsp;&nbsp;&nbsp; 24598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-4, Class MZ, 3.50%, 3/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 15104 | &nbsp;&nbsp;&nbsp;&nbsp; 10765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class MT, 3.50%, 7/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 34212 | &nbsp;&nbsp;&nbsp;&nbsp; 30280 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class M55D, 4.00%, 7/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 18290 | &nbsp;&nbsp;&nbsp;&nbsp; 16997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class MA, 3.50%, 8/26/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 12778 | &nbsp;&nbsp;&nbsp;&nbsp; 12123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class MB, 3.50%, 10/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 26490 | &nbsp;&nbsp;&nbsp;&nbsp; 21316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4, Class MA, 3.00%, 2/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 32331 | &nbsp;&nbsp;&nbsp;&nbsp; 29824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class M55G, 3.00%, 8/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 29087 | &nbsp;&nbsp;&nbsp;&nbsp; 25995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class MB, 2.00%, 11/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 20448 | &nbsp;&nbsp;&nbsp;&nbsp; 13702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class MT, 2.00%, 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 43061 | &nbsp;&nbsp;&nbsp;&nbsp; 33813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class MTU, 2.50%, 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 39250 | &nbsp;&nbsp;&nbsp;&nbsp; 31823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class MTU, 3.25%, 11/25/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 85805 | &nbsp;&nbsp;&nbsp;&nbsp; 73105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class MT, 3.00%, 10/25/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 54550 | &nbsp;&nbsp;&nbsp;&nbsp; 45302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class MT, 3.50%, 5/25/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 84249 | &nbsp;&nbsp;&nbsp;&nbsp; 72409 |
| &nbsp;&nbsp;&nbsp; FHLMC, Reference REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series R006, Class ZA, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 898 | &nbsp;&nbsp;&nbsp;&nbsp; 945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series R007, Class ZA, 6.00%, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1165 | &nbsp;&nbsp;&nbsp;&nbsp; 1210 |
| &nbsp;&nbsp;&nbsp; FHLMC, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3022, Class SX, IF, 5.76%, 8/15/2025 (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3051, Class DP, IF, 8.46%, 10/15/2025 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3793, Class AB, 3.50%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1829, Class ZB, 6.50%, 3/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1863, Class Z, 6.50%, 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1890, Class H, 7.50%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1899, Class ZE, 8.00%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1927, Class ZA, 6.50%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1927, Class PH, 7.50%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1963, Class Z, 7.50%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1935, Class FL, 5.15%, 2/15/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1981, Class Z, 6.00%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1970, Class PG, 7.25%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1987, Class PE, 7.50%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019, Class Z, 6.50%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2038, Class PN, IO, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2040, Class PE, 7.50%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2054, Class PV, 7.50%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2063, Class PG, 6.50%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2064, Class TE, 7.00%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2070, Class C, 6.00%, 7/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2075, Class PM, 6.25%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2075, Class PH, 6.50%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2086, Class GB, 6.00%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2089, Class PJ, IO, 7.00%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2095, Class PE, 6.00%, 11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2106, Class ZD, 6.00%, 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2388, Class FB, 5.05%, 1/15/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2110, Class PG, 6.00%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2125, Class JZ, 6.00%, 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2126, Class CB, 6.25%, 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2132, Class SB, IF, 11.20%, 3/15/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2141, IO, 7.00%, 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; — |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2169, Class TB, 7.00%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2163, Class PC, IO, 7.50%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2172, Class QC, 7.00%, 7/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2176, Class OJ, 7.00%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2196, Class TL, 7.50%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2201, Class C, 8.00%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2204, Class GB, 8.00%, 12/20/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2208, Class PG, 7.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2209, Class TC, 8.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2210, Class Z, 8.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2224, Class CB, 8.00%, 3/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3654, Class DC, 5.00%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2376 | &nbsp;&nbsp;&nbsp;&nbsp; 2401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2230, Class Z, 8.00%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2234, Class PZ, 7.50%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2247, Class Z, 7.50%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2256, Class MC, 7.25%, 9/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2259, Class ZM, 7.00%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2262, Class Z, 7.50%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2271, Class PC, 7.25%, 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2296, Class PD, 7.00%, 3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2313, Class LA, 6.50%, 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2325, Class PM, 7.00%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2359, Class ZB, 8.50%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2332, Class ZH, 7.00%, 7/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZD, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 390 | &nbsp;&nbsp;&nbsp;&nbsp; 405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZJ, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2345, Class NE, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2351, Class PZ, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2367, Class ME, 6.50%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2399, Class OH, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2399, Class TH, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2475, Class S, IF, IO, 3.55%, 2/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QX, IF, IO, 4.20%, 2/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2418, Class FO, 5.35%, 2/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class NG, 6.50%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2420, Class XK, 6.50%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2412, Class SP, IF, 7.21%, 2/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QS, IF, 7.94%, 2/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2444, Class ES, IF, IO, 3.50%, 3/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class SW, IF, IO, 3.55%, 3/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class TB, 6.50%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2430, Class WF, 6.50%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MC, 7.00%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MT, 7.00%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2434, Class ZA, 6.50%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp; 148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2435, Class CJ, 6.50%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2441, Class GF, 6.50%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2434, Class TC, 7.00%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp; 141 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2436, Class MC, 7.00%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2455, Class GK, 6.50%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class GZ, 7.00%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2458, Class ZM, 6.50%, 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2466, Class DH, 6.50%, 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2466, Class PH, 6.50%, 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2474, Class NR, 6.50%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2484, Class LZ, 6.50%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3393, Class JO, PO, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 282 | &nbsp;&nbsp;&nbsp;&nbsp; 252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2500, Class MC, 6.00%, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2835, Class QO, PO, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2571, Class FY, 5.20%, 12/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2543, Class YX, 6.00%, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 217 | &nbsp;&nbsp;&nbsp;&nbsp; 225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2544, Class HC, 6.00%, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2571, Class SY, IF, 7.93%, 12/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2552, Class ME, 6.00%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2567, Class QD, 6.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2575, Class ME, 6.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 620 | &nbsp;&nbsp;&nbsp;&nbsp; 644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2596, Class QG, 6.00%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2586, Class WI, IO, 6.50%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2631, Class SA, IF, 6.70%, 6/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2692, Class SC, IF, 4.39%, 7/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2642, Class SL, IF, 4.57%, 7/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2653, Class PZ, 5.00%, 7/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 765 | &nbsp;&nbsp;&nbsp;&nbsp; 775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4238, Class WY, 3.00%, 8/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1481 | &nbsp;&nbsp;&nbsp;&nbsp; 1419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2671, Class S, IF, 6.61%, 9/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2733, Class SB, IF, 4.01%, 10/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1390 | &nbsp;&nbsp;&nbsp;&nbsp; 1350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2780, Class SY, IF, 6.72%, 11/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2722, Class PF, 5.05%, 12/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 444 | &nbsp;&nbsp;&nbsp;&nbsp; 444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3920, Class LP, 5.00%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 722 | &nbsp;&nbsp;&nbsp;&nbsp; 732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2744, Class PE, 5.50%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2802, Class OH, 6.00%, 5/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp;&nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3611, PO, 7/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp;&nbsp;&nbsp; 271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3305, Class MG, IF, 6.67%, 7/15/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2990, Class GO, PO, 2/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2929, Class MS, IF, 8.59%, 2/15/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2968, Class EH, 6.00%, 4/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2795 | &nbsp;&nbsp;&nbsp;&nbsp; 2881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2981, Class FA, 4.85%, 5/15/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2988, Class AF, 4.75%, 6/15/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 257 | &nbsp;&nbsp;&nbsp;&nbsp; 254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2990, Class WP, IF, 5.56%, 6/15/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3014, Class OD, PO, 8/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3085, Class WF, 5.25%, 8/15/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3029, Class SO, PO, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3064, Class SG, IF, 5.18%, 11/15/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3101, Class UZ, 6.00%, 1/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 355 | &nbsp;&nbsp;&nbsp;&nbsp; 374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3102, Class HS, IF, 8.26%, 1/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class AO, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class EO, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp; 68 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class OG, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class OK, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class OH, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class OP, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3134, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class ZB, 6.00%, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3138, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3147, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class AO, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp;&nbsp;&nbsp; 166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class BO, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 359 | &nbsp;&nbsp;&nbsp;&nbsp; 311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3137, Class XP, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 266 | &nbsp;&nbsp;&nbsp;&nbsp; 280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3219, Class DI, IO, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3819, Class ZQ, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1949 | &nbsp;&nbsp;&nbsp;&nbsp; 2050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3149, Class SO, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3151, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp; 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3153, Class EO, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3233, Class OP, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3171, Class MO, PO, 6/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp; 154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3164, Class MG, 6.00%, 6/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3523, Class SD, IF, 7.43%, 6/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3179, Class OA, PO, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3194, Class SA, IF, IO, 2.65%, 7/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3181, Class AZ, 6.50%, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 222 | &nbsp;&nbsp;&nbsp;&nbsp; 232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3195, Class PD, 6.50%, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp; 159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3200, PO, 8/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3202, Class HI, IF, IO, 2.20%, 8/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1484 | &nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3200, Class AY, 5.50%, 8/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 476 | &nbsp;&nbsp;&nbsp;&nbsp; 494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3645, Class KZ, 5.50%, 8/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp; 176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3213, Class OA, PO, 9/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3218, Class AO, PO, 9/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3225, Class EO, PO, 10/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3232, Class ST, IF, IO, 2.25%, 10/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 223 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class DT, 7.50%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1555 | &nbsp;&nbsp;&nbsp;&nbsp; 1661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3256, PO, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class CT, 7.00%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 3486 | &nbsp;&nbsp;&nbsp;&nbsp; 3699 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class ET, 7.50%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1376 | &nbsp;&nbsp;&nbsp;&nbsp; 1505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3261, Class OA, PO, 1/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3260, Class CS, IF, IO, 1.69%, 1/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3274, Class JO, PO, 2/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3510, Class OD, PO, 2/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3275, Class FL, 4.89%, 2/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3274, Class B, 6.00%, 2/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp;&nbsp;&nbsp; 183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3286, PO, 3/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3290, Class SB, IF, IO, 2.00%, 3/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 236 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3443, Class SY, IF, 9.00%, 3/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3373, Class TO, PO, 4/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3302, Class UT, 6.00%, 4/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp;&nbsp;&nbsp; 198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3316, PO, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3318, Class AO, PO, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, PO, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 709 | &nbsp;&nbsp;&nbsp;&nbsp; 583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3315, Class HZ, 6.00%, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3326, Class JO, PO, 6/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3331, PO, 6/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class OP, PO, 7/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 676 | &nbsp;&nbsp;&nbsp;&nbsp; 568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4032, Class TO, PO, 7/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 958 | &nbsp;&nbsp;&nbsp;&nbsp; 800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3344, Class SL, IF, IO, 2.15%, 7/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4048, Class FJ, 4.85%, 7/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1512 | &nbsp;&nbsp;&nbsp;&nbsp; 1491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3365, PO, 9/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3371, Class FA, 5.05%, 9/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3387, Class SA, IF, IO, 1.97%, 11/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 896 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3383, Class SA, IF, IO, 2.00%, 11/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 442 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3404, Class SC, IF, IO, 1.55%, 1/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 980 | &nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3422, Class SE, IF, 6.33%, 2/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3423, Class PB, 5.50%, 3/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 825 | &nbsp;&nbsp;&nbsp;&nbsp; 854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3424, Class PI, IF, IO, 2.35%, 4/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 486 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3453, Class B, 5.50%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3455, Class SE, IF, IO, 1.75%, 6/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 466 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3461, Class LZ, 6.00%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3461, Class Z, 6.00%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1064 | &nbsp;&nbsp;&nbsp;&nbsp; 1112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3481, Class SJ, IF, IO, 1.40%, 8/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 599 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3895, Class WA, 5.62%, 10/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 243 | &nbsp;&nbsp;&nbsp;&nbsp; 250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3501, Class CB, 5.50%, 1/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 511 | &nbsp;&nbsp;&nbsp;&nbsp; 525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3511, Class SA, IF, IO, 1.55%, 2/15/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 271 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3546, Class A, 6.83%, 2/15/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 184 | &nbsp;&nbsp;&nbsp;&nbsp; 186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3531, Class SM, IF, IO, 1.65%, 5/15/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3531, Class SA, IF, IO, 1.85%, 5/15/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3549, Class FA, 5.65%, 7/15/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class TO, PO, 10/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 359 | &nbsp;&nbsp;&nbsp;&nbsp; 300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3608, Class SC, IF, IO, 1.80%, 12/15/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 237 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3621, Class BO, PO, 1/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 320 | &nbsp;&nbsp;&nbsp;&nbsp; 275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3802, Class LS, IF, IO, 2.05%, 1/15/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1492 | &nbsp;&nbsp;&nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3632, Class BS, IF, 2.68%, 2/15/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 833 | &nbsp;&nbsp;&nbsp;&nbsp; 803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3740, Class SB, IF, IO, 1.55%, 10/15/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 713 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3740, Class SC, IF, IO, 1.55%, 10/15/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 778 | &nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3779, Class GZ, 4.50%, 12/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 5815 | &nbsp;&nbsp;&nbsp;&nbsp; 5554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3779, Class Z, 4.50%, 12/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 15623 | &nbsp;&nbsp;&nbsp;&nbsp; 15170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3860, Class PZ, 5.00%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 9057 | &nbsp;&nbsp;&nbsp;&nbsp; 9068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3852, Class QN, IF, 5.50%, 5/15/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 526 | &nbsp;&nbsp;&nbsp;&nbsp; 500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3852, Class TP, IF, 5.50%, 5/15/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1396 | &nbsp;&nbsp;&nbsp;&nbsp; 1394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4048, Class FB, 4.85%, 10/15/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1220 | &nbsp;&nbsp;&nbsp;&nbsp; 1213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3957, Class B, 4.00%, 11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 875 | &nbsp;&nbsp;&nbsp;&nbsp; 849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3966, Class NA, 4.00%, 12/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 817 | &nbsp;&nbsp;&nbsp;&nbsp; 793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4012, Class FN, 4.95%, 3/15/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2521 | &nbsp;&nbsp;&nbsp;&nbsp; 2487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4077, Class FB, 4.95%, 7/15/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1139 | &nbsp;&nbsp;&nbsp;&nbsp; 1119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4217, Class KY, 3.00%, 6/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1794 | &nbsp;&nbsp;&nbsp;&nbsp; 1601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4257, Class DZ, 2.50%, 10/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6539 | &nbsp;&nbsp;&nbsp;&nbsp; 5578 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3688, Class GT, 7.49%, 11/15/2046 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1609 | &nbsp;&nbsp;&nbsp;&nbsp; 1713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4809, Class ZM, 4.00%, 7/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 20113 | &nbsp;&nbsp;&nbsp;&nbsp; 18819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4837, Class ZB, 4.00%, 10/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6755 | &nbsp;&nbsp;&nbsp;&nbsp; 6306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5008, Class LB, 1.50%, 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 19630 | &nbsp;&nbsp;&nbsp;&nbsp; 15146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5190, Class PH, 2.50%, 2/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 18472 | &nbsp;&nbsp;&nbsp;&nbsp; 16808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5354, PO, 10/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 7168 | &nbsp;&nbsp;&nbsp;&nbsp; 5372 |
| &nbsp;&nbsp;&nbsp; FHLMC, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 197, PO, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 11, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 348 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 12, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 13, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 548 | &nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 239, Class S30, IF, IO, 3.25%, 8/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1072 | &nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 262, Class 35, 3.50%, 7/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 11595 | &nbsp;&nbsp;&nbsp;&nbsp; 10785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 264, Class F1, 5.00%, 7/15/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4608 | &nbsp;&nbsp;&nbsp;&nbsp; 4536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 270, Class F1, 4.95%, 8/15/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1570 | &nbsp;&nbsp;&nbsp;&nbsp; 1542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 299, Class 300, 3.00%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 827 | &nbsp;&nbsp;&nbsp;&nbsp; 752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 310, PO, 9/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2733 | &nbsp;&nbsp;&nbsp;&nbsp; 2067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 406, PO, 10/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 50010 | &nbsp;&nbsp;&nbsp;&nbsp; 40365 |
| &nbsp;&nbsp;&nbsp; FHLMC, Structured Pass-Through Certificates, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-41, Class 3A, 4.46%, 7/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 270 | &nbsp;&nbsp;&nbsp;&nbsp; 245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-48, Class 1A, 4.36%, 7/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 774 | &nbsp;&nbsp;&nbsp;&nbsp; 740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-76, Class 2A, 2.34%, 10/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4762 | &nbsp;&nbsp;&nbsp;&nbsp; 4263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-42, Class A5, 7.50%, 2/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1094 | &nbsp;&nbsp;&nbsp;&nbsp; 1155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-51, Class 2A, 7.50%, 8/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 233 | &nbsp;&nbsp;&nbsp;&nbsp; 238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 2A, 6.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1351 | &nbsp;&nbsp;&nbsp;&nbsp; 1342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 3A, 7.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 434 | &nbsp;&nbsp;&nbsp;&nbsp; 446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-56, Class A5, 5.23%, 5/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2829 | &nbsp;&nbsp;&nbsp;&nbsp; 2669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-57, Class 1AP, PO, 7/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-57, Class 1A3, 7.50%, 7/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp;&nbsp;&nbsp; 272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-58, Class A, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-58, Class 4A, 7.50%, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1411 | &nbsp;&nbsp;&nbsp;&nbsp; 1453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-59, Class 1AP, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-59, Class 1A2, 7.00%, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1303 | &nbsp;&nbsp;&nbsp;&nbsp; 1353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-62, Class 1A1, 5.70%, 10/25/2044 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1422 | &nbsp;&nbsp;&nbsp;&nbsp; 1299 |
| &nbsp;&nbsp;&nbsp; First Horizon Alternative Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 420 | &nbsp;&nbsp;&nbsp;&nbsp; 194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FA4, Class 1A2, IF, IO, 1.21%, 8/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4577 | &nbsp;&nbsp;&nbsp;&nbsp; 353 |
| &nbsp;&nbsp;&nbsp; FNMA Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W1, Class 2A2, 7.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp; 832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W8, Class 3F1, 4.84%, 5/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W2, Class 2A9, 5.90%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 226 | &nbsp;&nbsp;&nbsp;&nbsp; 227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W2, Class 1A1, 6.50%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 391 | &nbsp;&nbsp;&nbsp;&nbsp; 406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W6, Class 2A4, 5.20%, 9/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1308 | &nbsp;&nbsp;&nbsp;&nbsp; 1293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W6, Class 3A, 6.50%, 9/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 455 | &nbsp;&nbsp;&nbsp;&nbsp; 464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W8, Class 2A, 7.00%, 10/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 495 | &nbsp;&nbsp;&nbsp;&nbsp; 505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W8, Class 3A, 7.50%, 6/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W15, Class 2AF, 4.69%, 8/25/2044 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 347 | &nbsp;&nbsp;&nbsp;&nbsp; 344 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W3, Class 2AF, 4.66%, 3/25/2045 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2883 | &nbsp;&nbsp;&nbsp;&nbsp; 2857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W4, Class 1A1, 6.00%, 8/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W2, Class 2A, 5.34%, 11/25/2045 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 422 | &nbsp;&nbsp;&nbsp;&nbsp; 430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W2, Class 1AF1, 4.66%, 2/25/2046 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1253 | &nbsp;&nbsp;&nbsp;&nbsp; 1238 |
| &nbsp;&nbsp;&nbsp; FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 85735 | &nbsp;&nbsp;&nbsp;&nbsp; 83040 |
| &nbsp;&nbsp;&nbsp; FNMA, Grantor Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-T2, Class A1, 7.50%, 1/19/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 211 | &nbsp;&nbsp;&nbsp;&nbsp; 210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-T3, Class A1, 7.50%, 11/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 372 | &nbsp;&nbsp;&nbsp;&nbsp; 379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T4, Class A1, 6.50%, 12/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 4409 | &nbsp;&nbsp;&nbsp;&nbsp; 4525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T16, Class A2, 7.00%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 525 | &nbsp;&nbsp;&nbsp;&nbsp; 549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T2, Class 2A, 5.28%, 7/25/2043 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 278 | &nbsp;&nbsp;&nbsp;&nbsp; 282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T2, Class 1A4, 7.50%, 11/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 658 | &nbsp;&nbsp;&nbsp;&nbsp; 666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T1, Class 1A2, 6.50%, 1/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T3, Class PT1, 9.33%, 1/25/2044 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T3, Class 1A2, 6.50%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1325 | &nbsp;&nbsp;&nbsp;&nbsp; 1350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T3, Class 1A3, 7.00%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 551 | &nbsp;&nbsp;&nbsp;&nbsp; 568 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-67, Class EY, 5.50%, 8/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-94, Class GK, IF, 11.07%, 10/25/2026 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-48, Class Z, 7.00%, 11/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-27, Class J, 7.50%, 4/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-29, Class J, 7.50%, 4/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-32, Class PG, 6.50%, 4/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-39, Class PD, 7.50%, 5/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-42, Class ZC, 6.50%, 7/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-36, Class ZB, 6.00%, 7/18/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-55, Class S, IF, IO, 3.16%, 7/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 218 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-11, Class NB, 5.00%, 3/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-18, Class Z, 5.50%, 4/18/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-17, Class C, 6.35%, 4/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-62, Class PB, 7.50%, 12/18/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-2, Class ZE, 7.50%, 2/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-52, IO, 8.50%, 1/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-7, Class PF, 7.00%, 3/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-31, Class DB, 3.50%, 4/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1905 | &nbsp;&nbsp;&nbsp;&nbsp; 1862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-30, Class PM, 7.00%, 7/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-36, Class DE, 7.00%, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-49, Class Z, 6.50%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class MY, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PD, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PU, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-60, Class QS, IF, 8.97%, 9/25/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-52, Class KB, 6.50%, 10/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-52, Class SX, IF, 9.64%, 10/25/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-60, Class PX, 6.00%, 11/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-74, Class SW, IF, 6.61%, 11/25/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-61, Class Z, 7.00%, 11/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp; 144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-72, Class SX, IF, 7.13%, 12/25/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-81, Class LO, PO, 1/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-1, Class SA, IF, 10.77%, 2/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-21, Class LO, PO, 4/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-15, Class ZA, 6.00%, 4/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 323 | &nbsp;&nbsp;&nbsp;&nbsp; 333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-21, Class PE, 6.50%, 4/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-28, Class PK, 6.50%, 5/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-37, Class Z, 6.50%, 6/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-130, Class GI, IO, 6.50%, 7/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-48, Class GH, 6.50%, 8/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-71, Class AP, 5.00%, 11/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-39, Class ZA, 6.00%, 11/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1022 | &nbsp;&nbsp;&nbsp;&nbsp; 1058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class SH, IF, 6.25%, 11/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-59, Class BG, PO, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-78, Class Z, 5.50%, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 312 | &nbsp;&nbsp;&nbsp;&nbsp; 320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-77, Class S, IF, 6.35%, 12/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-9, Class NZ, 6.50%, 2/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-14, Class TI, IO, 5.00%, 3/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-22, Class UD, 4.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 568 | &nbsp;&nbsp;&nbsp;&nbsp; 557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-35, Class EA, PO, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-42, Class GB, 4.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34, Class AX, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34, Class ED, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 390 | &nbsp;&nbsp;&nbsp;&nbsp; 404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34, Class GE, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 252 | &nbsp;&nbsp;&nbsp;&nbsp; 262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-39, IO, 6.00%, 5/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-33, Class IA, IO, 6.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 218 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-97, Class KI, IO, 7.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 438 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-47, Class PE, 5.75%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp; 175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-64, Class SX, IF, 2.59%, 7/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-132, Class OA, PO, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-71, Class DS, IF, 1.51%, 8/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 312 | &nbsp;&nbsp;&nbsp;&nbsp; 295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-74, Class SH, IF, 2.18%, 8/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-56, Class TP, IF, 4.84%, 8/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-72, Class IE, IO, 5.50%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 671 | &nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-73, Class HC, 5.50%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 263 | &nbsp;&nbsp;&nbsp;&nbsp; 271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-91, Class SD, IF, 5.11%, 9/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-100, Class WB, 3.00%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4543 | &nbsp;&nbsp;&nbsp;&nbsp; 4360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-105, Class AZ, 5.50%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1922 | &nbsp;&nbsp;&nbsp;&nbsp; 1978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-116, Class SB, IF, IO, 3.16%, 11/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 257 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class P, PO, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp;&nbsp;&nbsp; 224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-122, Class ZJ, 6.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1621 | &nbsp;&nbsp;&nbsp;&nbsp; 1685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-130, Class SX, IF, 4.87%, 1/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-87, Class F, 5.19%, 1/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 344 | &nbsp;&nbsp;&nbsp;&nbsp; 346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class EP, PO, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-28, Class PF, 4.84%, 3/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-17, Class H, 5.50%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 655 | &nbsp;&nbsp;&nbsp;&nbsp; 676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-25, Class SA, IF, 7.32%, 4/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class SK, IF, 4.30%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-36, Class FA, 4.84%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 527 | &nbsp;&nbsp;&nbsp;&nbsp; 524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class QB, IF, 6.25%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-36, Class SA, IF, 7.32%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 225 | &nbsp;&nbsp;&nbsp;&nbsp; 248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-51, Class SY, IF, 5.37%, 7/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-50, Class VZ, 5.50%, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1228 | &nbsp;&nbsp;&nbsp;&nbsp; 1267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-25, Class PF, 4.79%, 4/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp;&nbsp;&nbsp; 291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-42, Class PS, IF, 5.91%, 5/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-59, Class SU, IF, 3.32%, 6/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-56, Class S, IF, IO, 2.27%, 7/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class SG, IF, 6.28%, 7/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class PG, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 208 | &nbsp;&nbsp;&nbsp;&nbsp; 208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-73, Class ZB, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2212 | &nbsp;&nbsp;&nbsp;&nbsp; 2291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-73, Class PS, IF, 5.61%, 8/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-72, Class SB, IF, 5.78%, 8/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-75, Class SV, IF, 6.45%, 9/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-39, Class OT, PO, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-84, Class XM, 5.75%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp; 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-90, Class ES, IF, 5.78%, 10/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-106, Class US, IF, 8.30%, 11/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp;&nbsp;&nbsp; 244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-110, Class GL, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1458 | &nbsp;&nbsp;&nbsp;&nbsp; 1513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-109, Class PC, 6.00%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class OA, PO, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-8, Class WQ, PO, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 557 | &nbsp;&nbsp;&nbsp;&nbsp; 458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-8, Class WN, IF, IO, 2.26%, 3/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2044 | &nbsp;&nbsp;&nbsp;&nbsp; 187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-12, Class BZ, 5.50%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 570 | &nbsp;&nbsp;&nbsp;&nbsp; 589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class HZ, 5.50%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-8, Class JZ, 5.50%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 705 | &nbsp;&nbsp;&nbsp;&nbsp; 727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-11, Class PS, IF, 8.30%, 3/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-22, Class AO, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 156 | &nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-23, Class KO, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-27, Class OH, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-23, Class FK, 4.69%, 4/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 341 | &nbsp;&nbsp;&nbsp;&nbsp; 336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-33, Class LS, IF, 10.19%, 5/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-43, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-43, Class DO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class GO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-50, Class JO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 306 | &nbsp;&nbsp;&nbsp;&nbsp; 262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-50, Class PS, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 394 | &nbsp;&nbsp;&nbsp;&nbsp; 351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-53, Class US, IF, IO, 2.14%, 6/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 377 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-46, Class FW, 4.84%, 6/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-46, Class SW, IF, 7.93%, 6/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class AP, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-65, Class QO, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class IG, IF, IO, 2.08%, 7/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-56, Class FC, 4.73%, 7/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 783 | &nbsp;&nbsp;&nbsp;&nbsp; 777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class FL, 4.90%, 7/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-71, Class ZL, 6.00%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1208 | &nbsp;&nbsp;&nbsp;&nbsp; 1268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-63, Class ZH, 6.50%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 569 | &nbsp;&nbsp;&nbsp;&nbsp; 604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-19, Class ZY, 6.50%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 753 | &nbsp;&nbsp;&nbsp;&nbsp; 801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-60, Class AK, IF, 11.05%, 7/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-62, Class PS, IF, 13.28%, 7/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-72, Class GO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-72, Class TO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-79, Class DO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-79, Class OP, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-7, Class SG, IF, IO, 2.06%, 8/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 810 | &nbsp;&nbsp;&nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-79, Class DF, 4.79%, 8/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 312 | &nbsp;&nbsp;&nbsp;&nbsp; 309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-77, Class PC, 6.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp;&nbsp;&nbsp; 188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-78, Class BZ, 6.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-86, Class OB, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-90, Class AO, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-42, Class AO, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-85, Class MZ, 6.50%, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-19, Class PW, 4.50%, 10/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 488 | &nbsp;&nbsp;&nbsp;&nbsp; 486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-95, Class SG, IF, 8.45%, 10/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-109, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-110, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 161 | &nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-111, Class EO, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-115, Class OK, PO, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-119, PO, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-117, Class GS, IF, IO, 2.21%, 12/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 399 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-118, Class A1, 4.53%, 12/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp;&nbsp;&nbsp; 185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-118, Class A2, 4.53%, 12/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 811 | &nbsp;&nbsp;&nbsp;&nbsp; 796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-115, Class ES, IF, 8.81%, 12/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-128, PO, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-70, Class CO, PO, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 302 | &nbsp;&nbsp;&nbsp;&nbsp; 251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-128, Class BP, 5.50%, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-10, Class FD, 4.69%, 2/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp;&nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class SD, IF, 12.38%, 2/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-14, Class OP, PO, 3/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-22, Class SC, IF, IO, 1.64%, 3/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-14, Class ES, IF, IO, 2.00%, 3/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 644 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-77, Class FG, 4.94%, 3/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 180 | &nbsp;&nbsp;&nbsp;&nbsp; 178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-63, Class P, 5.00%, 3/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16, Class FC, 5.19%, 3/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-18, Class MZ, 6.00%, 3/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 212 | &nbsp;&nbsp;&nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-28, Class EO, PO, 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp;&nbsp;&nbsp; 196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-35, Class SI, IF, IO, 1.66%, 4/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-29, Class SG, IF, 7.88%, 4/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-42, Class AO, PO, 5/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-43, Class FL, 4.74%, 5/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp; 141 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-42, Class B, 6.00%, 5/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 390 | &nbsp;&nbsp;&nbsp;&nbsp; 402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-92, Class YS, IF, IO, 1.34%, 6/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-53, Class SH, IF, IO, 1.66%, 6/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 493 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class WI, IF, IO, 1.66%, 6/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 132 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-98, Class FB, 4.89%, 6/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-92, Class YA, 6.50%, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-67, PO, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 181 | &nbsp;&nbsp;&nbsp;&nbsp; 159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-72, Class EK, IF, IO, 1.96%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1274 | &nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-65, Class KI, IF, IO, 2.18%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 453 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-60, Class AX, IF, IO, 2.71%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1869 | &nbsp;&nbsp;&nbsp;&nbsp; 244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-97, Class FC, 4.94%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-62, Class SE, IF, 5.41%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-70, Class Z, 5.50%, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 447 | &nbsp;&nbsp;&nbsp;&nbsp; 465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class AZ, 5.50%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class ZG, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-78, Class CB, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-78, Class PE, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-81, Class GE, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp; 202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-79, Class SB, IF, 7.75%, 8/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp; 164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-88, Class VI, IF, IO, 2.10%, 9/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 633 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-85, Class SL, IF, 5.06%, 9/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-86, Class OT, PO, 10/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1612 | &nbsp;&nbsp;&nbsp;&nbsp; 1356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-100, Class SM, IF, IO, 2.01%, 10/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 451 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-91, Class ES, IF, IO, 2.02%, 10/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 686 | &nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-108, Class SA, IF, IO, 1.92%, 12/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-109, Class AI, IF, IO, 1.96%, 12/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 595 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-112, Class SA, IF, IO, 2.01%, 12/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 660 | &nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-112, Class MJ, 6.50%, 12/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 456 | &nbsp;&nbsp;&nbsp;&nbsp; 475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-116, Class HI, IO, 1.23%, 1/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1023 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-1, Class BI, IF, IO, 1.47%, 2/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 507 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-4, Class SD, IF, IO, 1.56%, 2/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1395 | &nbsp;&nbsp;&nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-16, Class IS, IF, IO, 1.76%, 3/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-10, Class XI, IF, IO, 1.79%, 3/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 207 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-20, Class SA, IF, IO, 2.55%, 3/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 236 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-18, Class SP, IF, 5.13%, 3/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-18, Class FA, 5.34%, 3/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-32, Class SA, IF, IO, 2.41%, 4/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-27, Class SN, IF, IO, 2.46%, 4/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 226 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-28, Class QS, IF, 7.39%, 4/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-44, PO, 5/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-46, Class HI, IO, 1.63%, 6/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-53, Class CI, IF, IO, 2.76%, 7/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-56, Class AC, 5.00%, 7/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-60, Class JC, 5.00%, 7/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-47, Class ZA, 5.50%, 7/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 537 | &nbsp;&nbsp;&nbsp;&nbsp; 545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-80, Class SA, IF, IO, 1.41%, 9/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 474 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-81, Class SB, IF, IO, 1.41%, 9/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 577 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class GS, IF, IO, 2.11%, 2/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 320 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-4, Class BD, 4.50%, 2/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-17, Class QS, IF, IO, 2.21%, 3/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-52, Class PI, IO, 5.00%, 7/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-47, Class MT, 7.00%, 7/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-59, Class HB, 5.00%, 8/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 919 | &nbsp;&nbsp;&nbsp;&nbsp; 931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-60, Class HT, 6.00%, 8/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1175 | &nbsp;&nbsp;&nbsp;&nbsp; 1238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-65, Class MT, 5.00%, 9/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp;&nbsp;&nbsp; 176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-69, Class WA, 5.97%, 9/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 286 | &nbsp;&nbsp;&nbsp;&nbsp; 289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-84, Class WS, IF, IO, 1.46%, 10/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-86, Class IP, IO, 5.50%, 10/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 595 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-99, Class SC, IF, IO, 1.74%, 12/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-99, Class WA, 6.32%, 12/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 646 | &nbsp;&nbsp;&nbsp;&nbsp; 658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-103, Class MB, 6.98%, 12/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 477 | &nbsp;&nbsp;&nbsp;&nbsp; 479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-113, Class AO, PO, 1/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-112, Class ST, IF, IO, 1.81%, 1/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 401 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-1, Class WA, 6.31%, 2/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-49, Class SC, IF, 3.79%, 3/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 609 | &nbsp;&nbsp;&nbsp;&nbsp; 580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-16, Class WB, 6.13%, 3/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 606 | &nbsp;&nbsp;&nbsp;&nbsp; 615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-16, Class WA, 6.44%, 3/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 454 | &nbsp;&nbsp;&nbsp;&nbsp; 462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-35, Class SB, IF, IO, 1.98%, 4/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 261 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-35, Class SJ, IF, 2.88%, 4/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 361 | &nbsp;&nbsp;&nbsp;&nbsp; 370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-40, Class FJ, 5.04%, 4/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-42, Class S, IF, IO, 1.96%, 5/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-43, Class FD, 5.04%, 5/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp; 168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-63, Class AP, PO, 6/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 216 | &nbsp;&nbsp;&nbsp;&nbsp; 186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-64, Class DM, 5.00%, 6/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 907 | &nbsp;&nbsp;&nbsp;&nbsp; 912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-58, Class MB, 5.50%, 6/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2075 | &nbsp;&nbsp;&nbsp;&nbsp; 2123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-71, Class HJ, 5.50%, 7/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 813 | &nbsp;&nbsp;&nbsp;&nbsp; 842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-102, Class PN, 5.00%, 9/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 651 | &nbsp;&nbsp;&nbsp;&nbsp; 660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-111, Class AM, 5.50%, 10/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2892 | &nbsp;&nbsp;&nbsp;&nbsp; 2997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-125, Class SA, IF, IO, 3.77%, 11/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1110 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-147, Class SA, IF, IO, 2.09%, 1/25/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2158 | &nbsp;&nbsp;&nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-30, Class LS, IO, 1.97%, 4/25/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1321 | &nbsp;&nbsp;&nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-149, Class EF, 4.94%, 7/25/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-75, Class FA, 4.99%, 8/25/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp;&nbsp;&nbsp; 174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-149, Class MF, 4.94%, 11/25/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 388 | &nbsp;&nbsp;&nbsp;&nbsp; 387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class LB, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2363 | &nbsp;&nbsp;&nbsp;&nbsp; 2500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class MT, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2919 | &nbsp;&nbsp;&nbsp;&nbsp; 3068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class NT, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2573 | &nbsp;&nbsp;&nbsp;&nbsp; 2724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-99, Class FA, 4.89%, 9/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 796 | &nbsp;&nbsp;&nbsp;&nbsp; 779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-101, Class FC, 4.94%, 9/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp;&nbsp;&nbsp; 472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-97, Class FB, 4.94%, 9/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1576 | &nbsp;&nbsp;&nbsp;&nbsp; 1549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-108, Class F, 4.94%, 10/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1255 | &nbsp;&nbsp;&nbsp;&nbsp; 1233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-120, Class ZB, 3.50%, 11/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4657 | &nbsp;&nbsp;&nbsp;&nbsp; 4351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-81, Class TA, 3.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1289 | &nbsp;&nbsp;&nbsp;&nbsp; 1267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-4, Class AJ, 3.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 886 | &nbsp;&nbsp;&nbsp;&nbsp; 833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-92, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3409 | &nbsp;&nbsp;&nbsp;&nbsp; 2542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-101, Class DO, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3024 | &nbsp;&nbsp;&nbsp;&nbsp; 2168 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-128, PO, 12/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 5228 | &nbsp;&nbsp;&nbsp;&nbsp; 3785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-135, PO, 1/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1816 | &nbsp;&nbsp;&nbsp;&nbsp; 1345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-29, Class PS, IF, IO, 1.61%, 5/25/2044 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1716 | &nbsp;&nbsp;&nbsp;&nbsp; 178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-42, Class B, 3.00%, 6/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 30228 | &nbsp;&nbsp;&nbsp;&nbsp; 26610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-63, Class DA, 3.50%, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1108 | &nbsp;&nbsp;&nbsp;&nbsp; 1016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-94, Class DZ, 4.00%, 1/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 9633 | &nbsp;&nbsp;&nbsp;&nbsp; 8998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-103, Class SB, IF, IO, 1.66%, 11/25/2049 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 320 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-90, Class PE, 2.00%, 12/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 10688 | &nbsp;&nbsp;&nbsp;&nbsp; 8473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-2, Class WA, 5.83%, 2/25/2051 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp;&nbsp;&nbsp; 242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-58, Class WA, 5.51%, 7/25/2051 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-40, PO, 9/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 15414 | &nbsp;&nbsp;&nbsp;&nbsp; 12475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-18, Class MA, 0.50%, 9/25/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 176839 | &nbsp;&nbsp;&nbsp;&nbsp; 143532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-31, Class MA, 0.50%, 9/25/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 11148 | &nbsp;&nbsp;&nbsp;&nbsp; 9165 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W10, Class A6, 5.75%, 8/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1418 | &nbsp;&nbsp;&nbsp;&nbsp; 1428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W3, Class 1A3, 6.75%, 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W5, PO, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W7, Class 1A4, IF, 12.37%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-W6, Class 1A6, 6.15%, 6/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 8517 | &nbsp;&nbsp;&nbsp;&nbsp; 8473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W4, Class 2A, 5.16%, 10/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 1A1, 4.75%, 12/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 413 | &nbsp;&nbsp;&nbsp;&nbsp; 411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 2A, 5.13%, 12/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp;&nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W11, Class 1A1, 6.00%, 5/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 344 | &nbsp;&nbsp;&nbsp;&nbsp; 355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W1, Class 1A2, 6.50%, 10/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 579 | &nbsp;&nbsp;&nbsp;&nbsp; 597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W3, Class 2A, 6.00%, 9/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 304 | &nbsp;&nbsp;&nbsp;&nbsp; 313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W10, Class 2A, 6.23%, 8/25/2047 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-W1, Class A, 6.00%, 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 921 | &nbsp;&nbsp;&nbsp;&nbsp; 949 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-101, Class A2, 4.69%, 6/27/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1412 | &nbsp;&nbsp;&nbsp;&nbsp; 1423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class FA, 4.84%, 6/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 715 | &nbsp;&nbsp;&nbsp;&nbsp; 706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-64, Class FB, 4.81%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp;&nbsp;&nbsp; 212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-106, Class A7, 6.01%, 10/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 156 | &nbsp;&nbsp;&nbsp;&nbsp; 156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-90, Class A1, 6.50%, 6/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 237 | &nbsp;&nbsp;&nbsp;&nbsp; 242 |
| &nbsp;&nbsp;&nbsp; FNMA, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 329, Class 1, PO, 1/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 345, Class 6, IO, 5.00%, 12/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 365, Class 8, IO, 5.50%, 5/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 374, Class 5, IO, 5.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 393, Class 6, IO, 5.50%, 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 383, Class 33, IO, 6.00%, 1/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 412, Class F2, 4.94%, 8/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1663 | &nbsp;&nbsp;&nbsp;&nbsp; 1616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 411, Class F1, 4.99%, 8/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3577 | &nbsp;&nbsp;&nbsp;&nbsp; 3523 |
| &nbsp;&nbsp;&nbsp; FNMA, Whole Loan Series 2007-W1, Class 1AF1, 4.70%, 11/25/2046 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2218 | &nbsp;&nbsp;&nbsp;&nbsp; 2200 |
| &nbsp;&nbsp;&nbsp; GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 4.61%, 6/19/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp; 154 |
| &nbsp;&nbsp;&nbsp; GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-35, Class SA, IF, IO, 3.81%, 8/16/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-52, Class GH, 6.50%, 7/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp; 192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-58, Class BE, 6.50%, 1/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 261 | &nbsp;&nbsp;&nbsp;&nbsp; 261 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-12, Class SP, IF, IO, 3.26%, 2/20/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-25, Class PZ, 5.50%, 4/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 557 | &nbsp;&nbsp;&nbsp;&nbsp; 556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-46, Class MG, 6.50%, 5/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp;&nbsp;&nbsp; 198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-52, Class AP, PO, 6/16/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-75, Class ZX, 6.00%, 9/16/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp;&nbsp;&nbsp; 310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-41, Class WA, 5.81%, 10/20/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 334 | &nbsp;&nbsp;&nbsp;&nbsp; 340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-97, Class SA, IF, IO, 2.11%, 11/16/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-112, Class SA, IF, IO, 2.11%, 12/16/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 221 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-28, Class S, IF, 7.44%, 4/16/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7, Class JM, IF, 6.95%, 5/18/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, PO, 6/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp;&nbsp;&nbsp; 161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-49, Class Z, 6.00%, 6/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 771 | &nbsp;&nbsp;&nbsp;&nbsp; 780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-103, Class WA, 5.66%, 8/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp; 189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-73, Class JL, IF, IO, 2.11%, 9/16/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 811 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-71, Class ST, IF, 7.00%, 9/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-71, Class SB, IF, 7.67%, 9/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-89, Class LS, IF, 8.09%, 10/16/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-90, Class SI, IF, IO, 1.66%, 10/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1111 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-96, Class SC, IF, IO, 1.64%, 11/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 684 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-3, Class SK, IF, IO, 2.31%, 1/20/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 730 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class DP, IF, 5.73%, 6/17/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp; 170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-79, Class CS, IF, 2.36%, 6/20/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 381 | &nbsp;&nbsp;&nbsp;&nbsp; 378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-56, Class IC, IO, 5.50%, 7/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class SP, IF, 6.02%, 8/16/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class CO, PO, 8/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 439 | &nbsp;&nbsp;&nbsp;&nbsp; 371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-65, Class SA, IF, 5.91%, 8/20/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class KI, IF, IO, 1.86%, 9/20/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1574 | &nbsp;&nbsp;&nbsp;&nbsp; 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-72, Class AZ, 5.50%, 9/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 297 | &nbsp;&nbsp;&nbsp;&nbsp; 301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-82, PO, 10/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class BO, PO, 11/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-91, Class PI, IO, 6.00%, 12/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class OP, PO, 3/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-22, Class AO, PO, 5/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 191 | &nbsp;&nbsp;&nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-34, PO, 7/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-33, Class Z, 6.50%, 7/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 856 | &nbsp;&nbsp;&nbsp;&nbsp; 879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-38, Class ZK, 6.50%, 8/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1048 | &nbsp;&nbsp;&nbsp;&nbsp; 1045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-59, Class SD, IF, IO, 2.26%, 10/20/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 274 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-57, Class PZ, 5.56%, 10/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 464 | &nbsp;&nbsp;&nbsp;&nbsp; 463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-22, Class WA, 5.79%, 2/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-9, Class CI, IF, IO, 1.76%, 3/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JO, PO, 4/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 260 | &nbsp;&nbsp;&nbsp;&nbsp; 212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JI, IF, IO, 2.37%, 4/16/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 670 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-19, Class SD, IF, IO, 1.76%, 4/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-129, Class AW, 5.84%, 4/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 244 | &nbsp;&nbsp;&nbsp;&nbsp; 251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-25, Class FN, 4.74%, 5/16/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 227 | &nbsp;&nbsp;&nbsp;&nbsp; 224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-28, Class BO, PO, 5/20/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-26, Class SC, IF, IO, 1.76%, 5/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 456 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-27, Class SD, IF, IO, 1.76%, 5/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 497 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-35, PO, 6/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 705 | &nbsp;&nbsp;&nbsp;&nbsp; 573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class HO, PO, 6/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class SE, IF, IO, 2.03%, 6/16/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 269 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class SJ, IF, IO, 1.81%, 6/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-45, Class QA, IF, IO, 2.20%, 7/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 573 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-40, Class SN, IF, IO, 2.24%, 7/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 546 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-40, Class SD, IF, IO, 2.31%, 7/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 401 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-53, Class ES, IF, IO, 2.11%, 9/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 442 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-53, Class SW, IF, 6.89%, 9/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-7, Class SP, IF, 4.52%, 10/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-79, Class OK, PO, 11/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 695 | &nbsp;&nbsp;&nbsp;&nbsp; 576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-74, Class SL, IF, IO, 2.10%, 11/16/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 512 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-73, Class MI, IF, IO, 1.56%, 11/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 472 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class SB, IF, IO, 2.06%, 11/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 918 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-67, Class SI, IF, IO, 2.07%, 11/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 495 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-72, Class US, IF, IO, 2.11%, 11/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 416 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-7, Class SK, IF, 6.63%, 11/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-79, Class SY, IF, IO, 2.11%, 12/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 606 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-1, PO, 1/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-137, Class WA, 5.55%, 1/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1446 | &nbsp;&nbsp;&nbsp;&nbsp; 1485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class ST, IF, IO, 1.56%, 2/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3653 | &nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-17, IO, 5.50%, 2/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-33, Class XS, IF, IO, 3.26%, 4/16/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 272 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-36, Class SH, IF, IO, 1.86%, 4/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 616 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-40, Class SA, IF, IO, 1.96%, 5/16/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1610 | &nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-55, Class SA, IF, IO, 1.76%, 6/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-50, Class KB, 6.00%, 6/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp;&nbsp;&nbsp; 317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-60, Class CS, IF, IO, 1.71%, 7/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 521 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-69, Class QD, 5.75%, 7/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-71, Class SC, IF, IO, 1.56%, 8/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 176 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-59, Class WA, 5.57%, 8/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 736 | &nbsp;&nbsp;&nbsp;&nbsp; 754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-76, Class US, IF, IO, 1.46%, 9/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 643 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-81, Class S, IF, IO, 1.76%, 9/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1327 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-25, Class SE, IF, IO, 3.16%, 9/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-97, Class WA, 6.09%, 11/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 338 | &nbsp;&nbsp;&nbsp;&nbsp; 344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-93, Class AS, IF, IO, 1.26%, 12/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 715 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-96, Class SL, IF, IO, 1.56%, 12/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-95, Class DS, IF, IO, 2.86%, 12/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1145 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-163, Class WA, 5.85%, 12/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1575 | &nbsp;&nbsp;&nbsp;&nbsp; 1624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-6, Class W, 5.30%, 1/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1228 | &nbsp;&nbsp;&nbsp;&nbsp; 1261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class SA, IF, IO, 1.66%, 2/16/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-11, Class SC, IF, IO, 1.71%, 2/16/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 344 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-10, Class SA, IF, IO, 1.51%, 2/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 495 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class SH, IF, IO, 1.60%, 2/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 303 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-31, Class TS, IF, IO, 1.86%, 3/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 181 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 384 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-22, Class SA, IF, IO, 1.83%, 4/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 752 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-35, Class ZB, 5.50%, 5/16/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 6880 | &nbsp;&nbsp;&nbsp;&nbsp; 7062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-33, Class CI, IO, 5.50%, 5/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-33, Class TI, IO, 6.00%, 5/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-43, Class SA, IF, IO, 1.51%, 6/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-42, Class SC, IF, IO, 1.64%, 6/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 667 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-64, Class SN, IF, IO, 1.66%, 7/16/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 533 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-72, Class SM, IF, IO, 1.81%, 8/16/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-81, Class SB, IF, IO, 1.65%, 9/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1312 | &nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-75, Class MN, 5.50%, 9/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 2626 | &nbsp;&nbsp;&nbsp;&nbsp; 2726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class AS, IF, IO, 1.96%, 11/16/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1121 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-147, Class BE, 4.00%, 12/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 3874 | &nbsp;&nbsp;&nbsp;&nbsp; 3643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-91, Class W, 5.27%, 5/20/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1496 | &nbsp;&nbsp;&nbsp;&nbsp; 1534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-75, Class WA, 5.09%, 6/20/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 376 | &nbsp;&nbsp;&nbsp;&nbsp; 383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-137, Class WA, 5.59%, 7/20/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 743 | &nbsp;&nbsp;&nbsp;&nbsp; 762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-130, Class CP, 7.00%, 10/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1229 | &nbsp;&nbsp;&nbsp;&nbsp; 1305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-157, Class OP, PO, 12/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1536 | &nbsp;&nbsp;&nbsp;&nbsp; 1303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-75, Class SM, IF, IO, 2.16%, 5/20/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 850 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-26, Class AK, 4.69%, 9/20/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 935 | &nbsp;&nbsp;&nbsp;&nbsp; 937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-188, Class W, 4.55%, 10/20/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1002 | &nbsp;&nbsp;&nbsp;&nbsp; 1002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WA, 4.52%, 11/16/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1295 | &nbsp;&nbsp;&nbsp;&nbsp; 1273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-157, Class UY, 3.00%, 12/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WC, 3.73%, 1/20/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1123 | &nbsp;&nbsp;&nbsp;&nbsp; 1059 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WB, 4.03%, 9/16/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 716 | &nbsp;&nbsp;&nbsp;&nbsp; 678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-41, Class W, 4.63%, 10/20/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1061 | &nbsp;&nbsp;&nbsp;&nbsp; 1059 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-54, Class WA, 4.89%, 11/20/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 743 | &nbsp;&nbsp;&nbsp;&nbsp; 754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-91, Class WA, 4.42%, 4/20/2043 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1014 | &nbsp;&nbsp;&nbsp;&nbsp; 969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-78, Class SW, IF, IO, 1.66%, 6/20/2049 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6036 | &nbsp;&nbsp;&nbsp;&nbsp; 483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-123, Class LB, 1.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 10534 | &nbsp;&nbsp;&nbsp;&nbsp; 8653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-134, Class ST, IF, IO, 3.11%, 9/20/2050 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 40990 | &nbsp;&nbsp;&nbsp;&nbsp; 784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-9, Class P, 2.00%, 9/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 21332 | &nbsp;&nbsp;&nbsp;&nbsp; 18690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-201, Class Z, 3.00%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 17871 | &nbsp;&nbsp;&nbsp;&nbsp; 12371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-114, Class BS, IF, 5.84%, 6/20/2052 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13926 | &nbsp;&nbsp;&nbsp;&nbsp; 14592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-133, Class ES, IF, 5.47%, 7/20/2052 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 8956 | &nbsp;&nbsp;&nbsp;&nbsp; 8960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-121, Class S, IF, 5.64%, 7/20/2052 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 11449 | &nbsp;&nbsp;&nbsp;&nbsp; 11829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H24, Class FA, 4.88%, 3/20/2060 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 161 | &nbsp;&nbsp;&nbsp;&nbsp; 161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H24, Class FG, 4.86%, 4/20/2060 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H03, Class FA, 4.73%, 8/20/2060 (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H05, Class FB, 4.93%, 12/20/2060 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 356 | &nbsp;&nbsp;&nbsp;&nbsp; 357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H06, Class FA, 4.88%, 2/20/2061 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 416 | &nbsp;&nbsp;&nbsp;&nbsp; 417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H21, Class CF, 5.13%, 5/20/2061 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H19, Class FA, 4.90%, 8/20/2061 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 267 | &nbsp;&nbsp;&nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H26, Class JA, 4.98%, 10/20/2061 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H10, Class FA, 4.98%, 12/20/2061 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2100 | &nbsp;&nbsp;&nbsp;&nbsp; 2110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H08, Class FB, 5.03%, 3/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 584 | &nbsp;&nbsp;&nbsp;&nbsp; 586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H07, Class MA, 4.98%, 4/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H08, Class FS, 5.13%, 4/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1516 | &nbsp;&nbsp;&nbsp;&nbsp; 1528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H15, Class FA, 4.88%, 5/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H26, Class MA, 4.98%, 7/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H18, Class NA, 4.95%, 8/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp;&nbsp;&nbsp; 174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H28, Class FA, 5.01%, 9/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H24, Class FE, 4.60%, 10/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H29, Class FA, 4.95%, 10/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1243 | &nbsp;&nbsp;&nbsp;&nbsp; 1248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H02, Class HF, 4.73%, 11/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-48, Class W, 3.99%, 12/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10049 | &nbsp;&nbsp;&nbsp;&nbsp; 9150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H01, Class FA, 1.65%, 1/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H01, Class JA, 4.75%, 1/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 867 | &nbsp;&nbsp;&nbsp;&nbsp; 868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H04, Class SA, 4.85%, 2/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 521 | &nbsp;&nbsp;&nbsp;&nbsp; 523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H08, Class FC, 4.88%, 2/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 605 | &nbsp;&nbsp;&nbsp;&nbsp; 604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H07, Class HA, 4.84%, 3/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 906 | &nbsp;&nbsp;&nbsp;&nbsp; 908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H09, Class HA, 1.65%, 4/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H14, Class FG, 4.90%, 5/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp;&nbsp;&nbsp; 190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H14, Class FC, 4.90%, 6/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H01, Class FD, 5.08%, 1/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 965 | &nbsp;&nbsp;&nbsp;&nbsp; 971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H05, Class FA, 5.12%, 2/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3663 | &nbsp;&nbsp;&nbsp;&nbsp; 3681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H06, Class HB, 5.08%, 3/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 434 | &nbsp;&nbsp;&nbsp;&nbsp; 436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-57, Class PT, 4.50%, 4/20/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 10687 | &nbsp;&nbsp;&nbsp;&nbsp; 10306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H09, Class TA, 5.03%, 4/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 662 | &nbsp;&nbsp;&nbsp;&nbsp; 666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H10, Class TA, 5.03%, 4/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6856 | &nbsp;&nbsp;&nbsp;&nbsp; 6890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H11, Class VA, 4.93%, 6/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7675 | &nbsp;&nbsp;&nbsp;&nbsp; 7702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H15, Class FA, 4.93%, 7/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7597 | &nbsp;&nbsp;&nbsp;&nbsp; 7621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H17, Class FC, 4.93%, 7/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4538 | &nbsp;&nbsp;&nbsp;&nbsp; 4554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H19, Class FE, 4.90%, 9/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5733 | &nbsp;&nbsp;&nbsp;&nbsp; 5748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H20, Class LF, 5.03%, 10/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3350 | &nbsp;&nbsp;&nbsp;&nbsp; 3350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H02, Class FB, 4.93%, 12/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1546 | &nbsp;&nbsp;&nbsp;&nbsp; 1549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H03, Class FA, 4.93%, 12/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 804 | &nbsp;&nbsp;&nbsp;&nbsp; 807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H05, Class FC, 4.91%, 2/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10175 | &nbsp;&nbsp;&nbsp;&nbsp; 10204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H06, Class FA, 4.91%, 2/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3651 | &nbsp;&nbsp;&nbsp;&nbsp; 3663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H07, Class ES, 4.91%, 2/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1718 | &nbsp;&nbsp;&nbsp;&nbsp; 1723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H08, Class FC, 4.91%, 3/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10819 | &nbsp;&nbsp;&nbsp;&nbsp; 10849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H10, Class FC, 4.91%, 4/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H12, Class FA, 4.91%, 5/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5513 | &nbsp;&nbsp;&nbsp;&nbsp; 5528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H15, Class FD, 4.87%, 6/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2595 | &nbsp;&nbsp;&nbsp;&nbsp; 2602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H15, Class FJ, 4.87%, 6/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4101 | &nbsp;&nbsp;&nbsp;&nbsp; 4110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H18, Class FA, 4.88%, 6/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2319 | &nbsp;&nbsp;&nbsp;&nbsp; 2325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H16, Class FG, 4.87%, 7/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6003 | &nbsp;&nbsp;&nbsp;&nbsp; 6017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H16, Class FL, 4.87%, 7/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6867 | &nbsp;&nbsp;&nbsp;&nbsp; 6882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H20, Class FA, 4.90%, 8/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5262 | &nbsp;&nbsp;&nbsp;&nbsp; 5277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H26, Class FG, 4.95%, 10/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1575 | &nbsp;&nbsp;&nbsp;&nbsp; 1581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H32, Class FH, 5.09%, 12/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3204 | &nbsp;&nbsp;&nbsp;&nbsp; 3219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H07, Class FB, 5.18%, 3/20/2066 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3505 | &nbsp;&nbsp;&nbsp;&nbsp; 3527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H11, Class FD, 5.08%, 5/20/2066 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7203 | &nbsp;&nbsp;&nbsp;&nbsp; 7262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H26, Class FC, 5.43%, 12/20/2066 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4854 | &nbsp;&nbsp;&nbsp;&nbsp; 4882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H08, Class XI, IO, 2.28%, 3/20/2067 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 25120 | &nbsp;&nbsp;&nbsp;&nbsp; 1092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H14, Class XI, IO, 1.53%, 6/20/2067 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 23617 | &nbsp;&nbsp;&nbsp;&nbsp; 640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H09, Class FE, 6.03%, 6/20/2068 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1766 | &nbsp;&nbsp;&nbsp;&nbsp; 1777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H20, Class ID, IO, 1.24%, 12/20/2069 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17280 | &nbsp;&nbsp;&nbsp;&nbsp; 1017 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H02, Class MI, IO, 1.34%, 1/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 37993 | &nbsp;&nbsp;&nbsp;&nbsp; 2191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H05, IO, 1.35%, 3/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 34382 | &nbsp;&nbsp;&nbsp;&nbsp; 1973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H09, IO, 1.50%, 5/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42097 | &nbsp;&nbsp;&nbsp;&nbsp; 2083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H09, Class CI, IO, 1.89%, 5/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36974 | &nbsp;&nbsp;&nbsp;&nbsp; 2507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H09, Class IC, IO, 2.12%, 5/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 40913 | &nbsp;&nbsp;&nbsp;&nbsp; 2351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H11, IO, 2.09%, 6/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 22800 | &nbsp;&nbsp;&nbsp;&nbsp; 1209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H12, Class IJ, IO, 2.28%, 7/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 32907 | &nbsp;&nbsp;&nbsp;&nbsp; 1844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H12, Class HI, IO, 2.78%, 7/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28213 | &nbsp;&nbsp;&nbsp;&nbsp; 2262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H15, IO, 2.30%, 8/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 41425 | &nbsp;&nbsp;&nbsp;&nbsp; 2526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H14, Class BF, 5.73%, 9/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 8070 | &nbsp;&nbsp;&nbsp;&nbsp; 8234 |
| &nbsp;&nbsp;&nbsp; Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 832 | &nbsp;&nbsp;&nbsp;&nbsp; 803 |
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Corp. Trust Series 2021-RPL1, Class A1, 1.75%, 12/25/2060 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 35347 | &nbsp;&nbsp;&nbsp;&nbsp; 33037 |
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust Series 2024-RPL4, Class A1, 3.90%, 9/25/2061 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 20603 | &nbsp;&nbsp;&nbsp;&nbsp; 19932 |
| &nbsp;&nbsp;&nbsp; GSMPS Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 1AF, 4.84%, 6/25/2034 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 241 | &nbsp;&nbsp;&nbsp;&nbsp; 216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP2, Class 1AF, 4.79%, 3/25/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 421 | &nbsp;&nbsp;&nbsp;&nbsp; 395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AS, IO, 3.73%, 9/25/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2214 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AF, 4.79%, 9/25/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3003 | &nbsp;&nbsp;&nbsp;&nbsp; 2579 |
| &nbsp;&nbsp;&nbsp; GSR Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-3F, Class 4A3, 5.75%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6F, Class 2A4, 5.50%, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6F, Class 3A4, 6.50%, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5F, Class 8A3, 4.94%, 6/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AR6, Class 3A1, 4.57%, 9/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7F, Class 3A9, 6.00%, 9/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 322 | &nbsp;&nbsp;&nbsp;&nbsp; 319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1F, Class 1A3, 5.50%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1F, Class 2A4, 6.00%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1419 | &nbsp;&nbsp;&nbsp;&nbsp; 598 |
| &nbsp;&nbsp;&nbsp; Home RE Ltd. (Bermuda) Series 2022-1, Class M1B, 7.82%, 10/25/2034 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2217 | &nbsp;&nbsp;&nbsp;&nbsp; 2222 |
| &nbsp;&nbsp;&nbsp; Impac CMB Trust Series 2005-4, Class 2A1, 5.04%, 5/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 349 | &nbsp;&nbsp;&nbsp;&nbsp; 334 |
| &nbsp;&nbsp;&nbsp; Impac Secured Assets CMN Owner Trust Series 2003-2, Class A1, 5.50%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 262 | &nbsp;&nbsp;&nbsp;&nbsp; 199 |
| &nbsp;&nbsp;&nbsp; Impac Secured Assets Trust Series 2006-1, Class 2A1, 5.14%, 5/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 379 | &nbsp;&nbsp;&nbsp;&nbsp; 348 |
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 5A3, 7.11%, 11/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 301 | &nbsp;&nbsp;&nbsp;&nbsp; 298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A3, Class 4A1, 7.46%, 7/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A3, Class 6A1, 5.20%, 8/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 4A1, 7.21%, 8/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1021 | &nbsp;&nbsp;&nbsp;&nbsp; 1037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S1, Class 1A7, 5.00%, 9/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A4, Class 1A1, 7.80%, 9/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A1, Class 3A4, 5.65%, 2/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 5A1, 6.38%, 7/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 5A2, 6.38%, 7/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp; Legacy Mortgage Asset Trust Series 2021-GS1, Class A1, 5.89%, 10/25/2066 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 16614 | &nbsp;&nbsp;&nbsp;&nbsp; 16612 |
| &nbsp;&nbsp;&nbsp; Lehman Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 1A1, 5.74%, 4/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 298 | &nbsp;&nbsp;&nbsp;&nbsp; 185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-6, Class 1A8, 6.00%, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2, Class 1A6, 6.00%, 3/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1858 | &nbsp;&nbsp;&nbsp;&nbsp; 465 |
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust Series 2024-RTL5, Class A1, 5.32%, 9/25/2039 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 41700 | &nbsp;&nbsp;&nbsp;&nbsp; 41454 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 2A1, 6.83%, 4/21/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 308 | &nbsp;&nbsp;&nbsp;&nbsp; 304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 4A2, 4.30%, 4/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-15, Class 3A1, 7.24%, 12/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp; MASTR Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class 6A1, 5.50%, 9/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-9, Class 8A1, 6.00%, 1/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 3A1, 6.00%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 759 | &nbsp;&nbsp;&nbsp;&nbsp; 772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 2A1, 6.25%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 30, PO, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 7A1, 6.00%, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 30, PO, 8/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 3A1, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp; MASTR Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 15, PO, 7/25/2019 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-12, Class 30, PO, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-12, Class 6A1, 5.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 1A6, 5.25%, 12/26/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp;&nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-P7, Class A6, 5.50%, 12/27/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 30, PO, 2/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; MASTR Reperforming Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 1A1F, 4.79%, 5/25/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4946 | &nbsp;&nbsp;&nbsp;&nbsp; 2421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 1A1, 4.20%, 5/25/2036 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 501 | &nbsp;&nbsp;&nbsp;&nbsp; 405 |
| &nbsp;&nbsp;&nbsp; MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-E, Class A1, 5.06%, 10/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-F, Class A1, 5.08%, 10/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 167 | &nbsp;&nbsp;&nbsp;&nbsp; 158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A, Class A1, 4.90%, 4/25/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-C, Class A2, 5.30%, 7/25/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A5, Class 2A6, 6.80%, 8/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A4, Class A2, 5.46%, 8/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp; 144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 2A1, 5.42%, 12/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp; 161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A2, Class A1, 5.58%, 2/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 371 | &nbsp;&nbsp;&nbsp;&nbsp; 329 |
| &nbsp;&nbsp;&nbsp; MFA Trust Series 2024-RTL3, Class A1, 5.91%, 11/25/2039 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 15610 | &nbsp;&nbsp;&nbsp;&nbsp; 15634 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-9, Class 4A, 3.13%, 10/25/2019 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 4A, 5.64%, 4/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 498 | &nbsp;&nbsp;&nbsp;&nbsp; 483 |
| &nbsp;&nbsp;&nbsp; MRFC Mortgage Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-TBC2, Class A1, 4.92%, 6/15/2030 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 277 | &nbsp;&nbsp;&nbsp;&nbsp; 269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-TBC3, Class A1, 4.88%, 12/15/2030 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp; NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 215 | &nbsp;&nbsp;&nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 11960 | &nbsp;&nbsp;&nbsp;&nbsp; 12031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL2, Class A1, 5.44%, 9/25/2039 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 46200 | &nbsp;&nbsp;&nbsp;&nbsp; 45846 |
| &nbsp;&nbsp;&nbsp; Nited Mortgage Mezz, 8.00%, 2/18/2026 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 36000 | &nbsp;&nbsp;&nbsp;&nbsp; 36000 |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A5, 7.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A1, 5.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A2, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp; Ocwen Loan Investment Trust Series 2024-HB1, Class A, 3.00%, 2/25/2037 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6268 | &nbsp;&nbsp;&nbsp;&nbsp; 6098 |
| &nbsp;&nbsp;&nbsp; PRET Trust Series 2024-RPL2, Class A1, 4.07%, 6/25/2064 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18513 | &nbsp;&nbsp;&nbsp;&nbsp; 17533 |
| &nbsp;&nbsp;&nbsp; Prime Mortgage Trust Series 2004-CL1, Class 1A1, 6.00%, 2/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp; PRPM LLC Series 2024-RCF1, Class A1, 4.00%, 1/25/2054 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 9317 | &nbsp;&nbsp;&nbsp;&nbsp; 9103 |
| &nbsp;&nbsp;&nbsp; Rain City Mortgage Trust Series 2024-RTL1, Class A1, 6.53%, 11/25/2029 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 39489 | &nbsp;&nbsp;&nbsp;&nbsp; 39706 |
| &nbsp;&nbsp;&nbsp; RALI Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-QS9, Class A3, IF, IO, 3.11%, 5/25/2018 ‡ (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; —<br> (h)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-QA6, Class A32, 6.90%, 5/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 610 | &nbsp;&nbsp;&nbsp;&nbsp; 326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-QS1, Class 1A1, 6.00%, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp; Reperforming Loan REMIC Trust Series 2005-R1, Class 2A, PO, 3/25/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp; Residential Asset Securitization Trust Series 2003-A8, Class A5, 4.25%, 10/25/2018 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp; Seasoned Credit Risk Transfer Trust Series 2025-1, Class MTU, 3.25%, 11/25/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 69264 | &nbsp;&nbsp;&nbsp;&nbsp; 59289 |
| &nbsp;&nbsp;&nbsp; Seasoned Loans Structured Transaction Series 2018-1, Class A1, 3.50%, 6/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6765 | &nbsp;&nbsp;&nbsp;&nbsp; 6542 |
| &nbsp;&nbsp;&nbsp; Sequoia Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class A1, 5.14%, 9/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 285 | &nbsp;&nbsp;&nbsp;&nbsp; 248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class A2, 5.46%, 9/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 308 | &nbsp;&nbsp;&nbsp;&nbsp; 286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-10, Class A1A, 5.06%, 11/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-11, Class A1, 5.04%, 12/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 146 | &nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-12, Class A3, 5.00%, 1/20/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 273 | &nbsp;&nbsp;&nbsp;&nbsp; 267 |
| &nbsp;&nbsp;&nbsp; Starwoood Anoo, 9.75%, 6/16/2025 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18728 | &nbsp;&nbsp;&nbsp;&nbsp; 18658 |
| &nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments II Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR5, Class 1A1, 5.10%, 10/19/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 268 | &nbsp;&nbsp;&nbsp;&nbsp; 256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AR5, Class A3, 4.94%, 7/19/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 935 | &nbsp;&nbsp;&nbsp;&nbsp; 913 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4XS, Class 1A5, 5.99%, 2/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 699 | &nbsp;&nbsp;&nbsp;&nbsp; 685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RF3, Class 1A, 4.79%, 6/25/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 308 | &nbsp;&nbsp;&nbsp;&nbsp; 264 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34A, Class 3A3, 5.72%, 11/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-37A, Class 2A, 5.75%, 12/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 321 | &nbsp;&nbsp;&nbsp;&nbsp; 316 |
| &nbsp;&nbsp;&nbsp; Thornburg Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class A1, 5.08%, 9/25/2043 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 685 | &nbsp;&nbsp;&nbsp;&nbsp; 676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 3A, 5.55%, 12/25/2044 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 435 | &nbsp;&nbsp;&nbsp;&nbsp; 418 |
| &nbsp;&nbsp;&nbsp; Towd Point Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8755 | &nbsp;&nbsp;&nbsp;&nbsp; 8574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 88198 | &nbsp;&nbsp;&nbsp;&nbsp; 75741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 8361 |
| &nbsp;&nbsp;&nbsp; Vendee Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-1, Class 1Z, 6.75%, 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-2, Class 1Z, 6.75%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-1, Class 2Z, 7.50%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-1, Class 2E, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-1, Class DZ, 4.25%, 4/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3390 | &nbsp;&nbsp;&nbsp;&nbsp; 3270 |
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S4, Class 2A10, IF, 3.82%, 6/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-RS2, Class A4, 5.00%, 11/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S1, Class A5, 5.50%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp;&nbsp;&nbsp; 221 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR7, Class A7, 6.56%, 8/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 184 | &nbsp;&nbsp;&nbsp;&nbsp; 183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR9, Class 1A6, 6.55%, 9/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1118 | &nbsp;&nbsp;&nbsp;&nbsp; 1111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR9, Class 2A, 6.64%, 9/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S9, Class P, PO, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S9, Class A8, 5.25%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 804 | &nbsp;&nbsp;&nbsp;&nbsp; 792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR11, Class A6, 6.70%, 10/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 620 | &nbsp;&nbsp;&nbsp;&nbsp; 587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A1, 5.42%, 6/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp;&nbsp;&nbsp; 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A2, 5.42%, 6/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 301 | &nbsp;&nbsp;&nbsp;&nbsp; 281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S2, Class 2A4, 5.50%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 519 | &nbsp;&nbsp;&nbsp;&nbsp; 520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S3, Class 1A5, 5.00%, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR10, Class 2P, 4.35%, 9/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR8, Class 1A2, 4.92%, 8/25/2046 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 195 | &nbsp;&nbsp;&nbsp;&nbsp; 178 |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class CP, PO, 3/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 1A1, 5.50%, 3/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 270 | &nbsp;&nbsp;&nbsp;&nbsp; 264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 2A3, IF, IO, 0.56%, 4/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 1A4, IF, IO, 0.61%, 4/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2482 | &nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class CB7, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp; 729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 867 | &nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A4, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class 3A2, 5.75%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp; Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2003-MS7, Class P, PO, 3/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Wells Fargo Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class A, PO, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-PA3, Class 1A2, 5.75%, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp; Wells Fargo Mortgage-Backed Securities Trust Series 2007-7, Class A7, 6.00%, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $2,396,250)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 2302863 |
| **Commercial Mortgage-Backed Securities — 4.5%** | **Commercial Mortgage-Backed Securities — 4.5%** | **Commercial Mortgage-Backed Securities — 4.5%** |
| &nbsp;&nbsp;&nbsp; 20 Times Square Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-20TS, Class D, 3.10%, 5/15/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 21000 | &nbsp;&nbsp;&nbsp;&nbsp; 18900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-20TS, Class E, 3.10%, 5/15/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13399 | &nbsp;&nbsp;&nbsp;&nbsp; 11724 |
| &nbsp;&nbsp;&nbsp; Acrc Series TL-2021A, 3.75%, 11/15/2026 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 27133 | &nbsp;&nbsp;&nbsp;&nbsp; 26116 |
| &nbsp;&nbsp;&nbsp; BAMLL Commercial Mortgage Securities Trust Series 2014-520M, Class C, 4.21%, 8/15/2046 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7700 | &nbsp;&nbsp;&nbsp;&nbsp; 5135 |
| &nbsp;&nbsp;&nbsp; BAMLL Re-REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FRR4, Class A, 2.34%, 11/27/2048 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 43443 | &nbsp;&nbsp;&nbsp;&nbsp; 42349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FRR2, Class A, 2.48%, 7/27/2050 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13078 | &nbsp;&nbsp;&nbsp;&nbsp; 12289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FRR2, Class B, 2.51%, 7/27/2050 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17745 | &nbsp;&nbsp;&nbsp;&nbsp; 16512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR5, Class BK73, 2.07%, 2/27/2051 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 20476 | &nbsp;&nbsp;&nbsp;&nbsp; 18461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR5, Class B736, 2.18%, 9/27/2052 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18347 | &nbsp;&nbsp;&nbsp;&nbsp; 17486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR5, Class A736, 2.19%, 9/27/2052 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 15256 | &nbsp;&nbsp;&nbsp;&nbsp; 14582 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Commercial Mortgage Securities Trust Series 2007-T26, Class X1, IO, 0.95%, 1/12/2045 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5817 | &nbsp;&nbsp;&nbsp;&nbsp; 5608 |
| &nbsp;&nbsp;&nbsp; Cascade Funding Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FRR1, Class BKW1, 1.50%, 1/29/2026 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 14340 | &nbsp;&nbsp;&nbsp;&nbsp; 13758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FRR1, Class AKW1, 1.70%, 1/29/2026 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16010 | &nbsp;&nbsp;&nbsp;&nbsp; 15491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FRR1, Class AK54, 1.86%, 2/28/2026 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 14570 | &nbsp;&nbsp;&nbsp;&nbsp; 14135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FRR1, Class AK98, 0.00%, 8/29/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22370 | &nbsp;&nbsp;&nbsp;&nbsp; 17776 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FRR1, Class AK58, 2.23%, 9/29/2029 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28730 | &nbsp;&nbsp;&nbsp;&nbsp; 27376 |
| &nbsp;&nbsp;&nbsp; CD Mortgage Trust Series 2006-CD3, Class XS, IO, 0.19%, 10/15/2048 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 615 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-300P, Class A1, 4.35%, 8/10/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4484 | &nbsp;&nbsp;&nbsp;&nbsp; 4462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-HOME, Class A, 3.82%, 4/10/2033 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 53745 | &nbsp;&nbsp;&nbsp;&nbsp; 51814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR24, Class A5, 3.70%, 8/10/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6392 | &nbsp;&nbsp;&nbsp;&nbsp; 6377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR25, Class A4, 3.76%, 8/10/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 11074 | &nbsp;&nbsp;&nbsp;&nbsp; 11046 |
| &nbsp;&nbsp;&nbsp; Credit Suisse Commercial Mortgage Trust Series 2007-C2, Class AX, IO, 0.05%, 1/15/2049 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 14878 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp; CSMC OA LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-USA, Class A2, 3.95%, 9/15/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14250 | &nbsp;&nbsp;&nbsp;&nbsp; 13252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-USA, Class B, 4.18%, 9/15/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24890 | &nbsp;&nbsp;&nbsp;&nbsp; 21820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-USA, Class D, 4.37%, 9/15/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16830 | &nbsp;&nbsp;&nbsp;&nbsp; 12851 |
| &nbsp;&nbsp;&nbsp; DBWF Mortgage Trust Series 2015-LCM, Class A2, 3.42%, 6/10/2034 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 3801 |
| &nbsp;&nbsp;&nbsp; FHLMC Series 2023-MN7, Class M1, 7.92%, 9/25/2043 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 20076 | &nbsp;&nbsp;&nbsp;&nbsp; 20527 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KLU2, Class A7, 2.23%, 9/25/2025 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13313 | &nbsp;&nbsp;&nbsp;&nbsp; 13184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KJ17, Class A2, 2.98%, 11/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 257 | &nbsp;&nbsp;&nbsp;&nbsp; 256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K070, Class A2, 3.30%, 11/25/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17323 | &nbsp;&nbsp;&nbsp;&nbsp; 16953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K072, Class A2, 3.44%, 12/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 14689 | &nbsp;&nbsp;&nbsp;&nbsp; 14407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K072, Class AM, 3.50%, 12/25/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 19000 | &nbsp;&nbsp;&nbsp;&nbsp; 18627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series W5FX, Class AFX, 3.21%, 4/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 21769 | &nbsp;&nbsp;&nbsp;&nbsp; 21191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K081, Class A2, 3.90%, 8/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1531 | &nbsp;&nbsp;&nbsp;&nbsp; 1517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K082, Class AM, 3.92%, 9/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12035 | &nbsp;&nbsp;&nbsp;&nbsp; 11900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K087, Class A2, 3.77%, 12/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4150 | &nbsp;&nbsp;&nbsp;&nbsp; 4086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K088, Class A2, 3.69%, 1/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 355 | &nbsp;&nbsp;&nbsp;&nbsp; 348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K115, Class XAM, IO, 1.54%, 7/25/2030 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 44581 | &nbsp;&nbsp;&nbsp;&nbsp; 3056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K118, Class XAM, IO, 1.17%, 9/25/2030 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 21865 | &nbsp;&nbsp;&nbsp;&nbsp; 1174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K753, Class A2, 4.40%, 10/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 40970 | &nbsp;&nbsp;&nbsp;&nbsp; 40992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K754, Class AM, 4.94%, 11/25/2030 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18128 | &nbsp;&nbsp;&nbsp;&nbsp; 18538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KJ45, Class A2, 4.66%, 1/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 19800 | &nbsp;&nbsp;&nbsp;&nbsp; 19907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K138, Class AM, 1.89%, 1/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 24220 | &nbsp;&nbsp;&nbsp;&nbsp; 20529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K142, Class A2, 2.40%, 3/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 58400 | &nbsp;&nbsp;&nbsp;&nbsp; 51264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K145, Class A2, 2.58%, 5/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 40795 | &nbsp;&nbsp;&nbsp;&nbsp; 36091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K146, Class A2, 2.92%, 6/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 27100 | &nbsp;&nbsp;&nbsp;&nbsp; 24474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K146, Class AM, 2.92%, 7/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 27000 | &nbsp;&nbsp;&nbsp;&nbsp; 24262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KJ42, Class A2, 4.12%, 11/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8460 | &nbsp;&nbsp;&nbsp;&nbsp; 8288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-1515, Class A2, 1.94%, 2/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 22000 | &nbsp;&nbsp;&nbsp;&nbsp; 17254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series Q013, Class APT2, 1.17%, 5/25/2050 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13910 | &nbsp;&nbsp;&nbsp;&nbsp; 13162 |
| &nbsp;&nbsp;&nbsp; FNMA ACES |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-M1, Class A2, 2.94%, 1/25/2026 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 22560 | &nbsp;&nbsp;&nbsp;&nbsp; 22326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M3, Class A2, 2.46%, 12/25/2026 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7666 | &nbsp;&nbsp;&nbsp;&nbsp; 7450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-M10, Class A2, 3.09%, 4/25/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 30906 | &nbsp;&nbsp;&nbsp;&nbsp; 30245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M8, Class A2, 3.06%, 5/25/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 23439 | &nbsp;&nbsp;&nbsp;&nbsp; 22892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M12, Class A2, 3.06%, 6/25/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 26064 | &nbsp;&nbsp;&nbsp;&nbsp; 25437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M15, Class A2, 2.97%, 9/25/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 8045 | &nbsp;&nbsp;&nbsp;&nbsp; 7839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M2, Class A2, 2.91%, 1/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 19174 | &nbsp;&nbsp;&nbsp;&nbsp; 18570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M4, Class A2, 3.06%, 3/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18235 | &nbsp;&nbsp;&nbsp;&nbsp; 17662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M9, Class APT2, 3.10%, 4/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 63514 | &nbsp;&nbsp;&nbsp;&nbsp; 61611 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M8, Class A2, 3.30%, 6/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 31670 | &nbsp;&nbsp;&nbsp;&nbsp; 30868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M10, Class A2, 3.35%, 7/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 44102 | &nbsp;&nbsp;&nbsp;&nbsp; 43032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M38, Class 2A1, 1.59%, 11/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6084 | &nbsp;&nbsp;&nbsp;&nbsp; 5653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M38, Class X2, IO, 1.97%, 11/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 47360 | &nbsp;&nbsp;&nbsp;&nbsp; 2140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M5, Class A2, 3.01%, 4/25/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4307 | &nbsp;&nbsp;&nbsp;&nbsp; 4120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M7, Class A2, 3.14%, 4/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 32562 | &nbsp;&nbsp;&nbsp;&nbsp; 31127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M11, Class A2, 2.98%, 8/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 12500 | &nbsp;&nbsp;&nbsp;&nbsp; 11854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M5, Class A2, 2.21%, 1/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 39487 | &nbsp;&nbsp;&nbsp;&nbsp; 36034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M3, Class A2, 3.06%, 2/25/2030 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13565 | &nbsp;&nbsp;&nbsp;&nbsp; 12891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class A2, 1.20%, 10/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10313 | &nbsp;&nbsp;&nbsp;&nbsp; 9720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class X1, IO, 1.82%, 10/25/2030 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 161869 | &nbsp;&nbsp;&nbsp;&nbsp; 6958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M1G, Class A2, 1.53%, 9/25/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28657 | &nbsp;&nbsp;&nbsp;&nbsp; 24312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M3, Class A2, 1.71%, 11/25/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 45000 | &nbsp;&nbsp;&nbsp;&nbsp; 37813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M10, Class A2, 1.93%, 1/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5800 | &nbsp;&nbsp;&nbsp;&nbsp; 4955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M1S, Class A2, 2.08%, 4/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 48740 | &nbsp;&nbsp;&nbsp;&nbsp; 41728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M13, Class A2, 2.59%, 6/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 60253 | &nbsp;&nbsp;&nbsp;&nbsp; 53424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M2S, Class A2, 3.75%, 8/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 56250 | &nbsp;&nbsp;&nbsp;&nbsp; 53279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-M8, Class A1, 4.47%, 11/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18037 | &nbsp;&nbsp;&nbsp;&nbsp; 18122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-M8, Class A2, 4.47%, 3/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 71540 | &nbsp;&nbsp;&nbsp;&nbsp; 70887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-M2, Class A1, 4.62%, 4/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12620 | &nbsp;&nbsp;&nbsp;&nbsp; 12721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-M2, Class A2, 3.75%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 112205 | &nbsp;&nbsp;&nbsp;&nbsp; 104208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1059 | &nbsp;&nbsp;&nbsp;&nbsp; 1052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M3, Class X1, IO, 1.90%, 11/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 134922 | &nbsp;&nbsp;&nbsp;&nbsp; 9074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M5, Class A1, 2.35%, 1/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 14601 | &nbsp;&nbsp;&nbsp;&nbsp; 13591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M10, Class X, IO, 0.47%, 5/25/2049 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 68566 | &nbsp;&nbsp;&nbsp;&nbsp; 1954 |
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-KSL1, Class B, 3.87%, 11/25/2025 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10011 | &nbsp;&nbsp;&nbsp;&nbsp; 9903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-KL05, Class BP, 3.96%, 6/25/2029 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5645 | &nbsp;&nbsp;&nbsp;&nbsp; 5245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-KHG2, Class B, 3.07%, 2/25/2030 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13500 | &nbsp;&nbsp;&nbsp;&nbsp; 11983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-KHG2, Class C, 3.07%, 2/25/2030 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 32666 | &nbsp;&nbsp;&nbsp;&nbsp; 27298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-KLU3, Class BFX, 4.26%, 1/25/2031 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9451 | &nbsp;&nbsp;&nbsp;&nbsp; 8639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-KW07, Class B, 4.11%, 10/25/2031 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K51, Class B, 3.97%, 10/25/2048 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K56, Class B, 3.95%, 6/25/2049 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 8451 | &nbsp;&nbsp;&nbsp;&nbsp; 8338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K67, Class B, 3.95%, 9/25/2049 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10500 | &nbsp;&nbsp;&nbsp;&nbsp; 10291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K63, Class B, 3.88%, 2/25/2050 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 19634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K102, Class B, 3.53%, 12/25/2051 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 5606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K90, Class B, 4.32%, 2/25/2052 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 8500 | &nbsp;&nbsp;&nbsp;&nbsp; 8288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K93, Class B, 4.12%, 5/25/2052 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 7718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-K737, Class B, 3.33%, 1/25/2053 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9767 |
| &nbsp;&nbsp;&nbsp; GAM Re-REMIC Trust Series 2022-FRR3, Class BK61, PO, 11/27/2049 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16520 | &nbsp;&nbsp;&nbsp;&nbsp; 14913 |
| &nbsp;&nbsp;&nbsp; GNMA Series 2021-211, Class AC, 1.30%, 1/16/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 7471 | &nbsp;&nbsp;&nbsp;&nbsp; 5490 |
| &nbsp;&nbsp;&nbsp; Independence Plaza Trust Series 2018-INDP, Class A, 3.76%, 7/10/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 36250 | &nbsp;&nbsp;&nbsp;&nbsp; 36069 |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-LD12, Class X, IO, 0.00%, 2/15/2051 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1020 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8924 | &nbsp;&nbsp;&nbsp;&nbsp; 8392 |
| &nbsp;&nbsp;&nbsp; MHC Commercial Mortgage Trust Series 2021-MHC, Class E, 6.54%, 4/15/2038 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12560 | &nbsp;&nbsp;&nbsp;&nbsp; 12552 |
| &nbsp;&nbsp;&nbsp; MRCD MARK Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 38560 | &nbsp;&nbsp;&nbsp;&nbsp; 34249 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PARK, Class E, 2.72%, 12/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 81600 | &nbsp;&nbsp;&nbsp;&nbsp; 56900 |
| &nbsp;&nbsp;&nbsp; Multi-Family Connecticut Avenue Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-01, Class M7, 8.32%, 11/25/2053 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 41841 | &nbsp;&nbsp;&nbsp;&nbsp; 43397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-01, Class M7, 7.07%, 7/25/2054 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7610 | &nbsp;&nbsp;&nbsp;&nbsp; 7666 |
| &nbsp;&nbsp;&nbsp; P4 SFR Series 2019-STl A, 7.25%, 10/11/2026 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 40900 | &nbsp;&nbsp;&nbsp;&nbsp; 40082 |
| &nbsp;&nbsp;&nbsp; ROCK Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNTR, Class A, 5.39%, 11/13/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 33500 | &nbsp;&nbsp;&nbsp;&nbsp; 33923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNTR, Class B, 5.93%, 11/13/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 45950 | &nbsp;&nbsp;&nbsp;&nbsp; 46861 |
| &nbsp;&nbsp;&nbsp; SBALR Commercial Mortgage Trust Series 2020-RR1, Class A3, 2.83%, 2/13/2053 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21436 | &nbsp;&nbsp;&nbsp;&nbsp; 18453 |
| &nbsp;&nbsp;&nbsp; SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 67015 | &nbsp;&nbsp;&nbsp;&nbsp; 58002 |
| &nbsp;&nbsp;&nbsp; Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Class XC, IO, 0.00%, 3/15/2045 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 225 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust Series 2015-C30, Class A4, 3.66%, 9/15/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 4803 | &nbsp;&nbsp;&nbsp;&nbsp; 4787 |
| &nbsp;&nbsp;&nbsp; WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.07%, 3/15/2045 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Mortgage-Backed Securities <br>(Cost $2,329,659)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 2231607 |
| **Foreign Government Securities — 0.4%** | **Foreign Government Securities — 0.4%** | **Foreign Government Securities — 0.4%** |
| &nbsp;&nbsp;&nbsp; Kingdom of Saudi Arabia |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/2/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10140 | &nbsp;&nbsp;&nbsp;&nbsp; 8356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 2/2/2061 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4399 | &nbsp;&nbsp;&nbsp;&nbsp; 2627 |
| &nbsp;&nbsp;&nbsp; Republic of Chile 2.55%, 1/27/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9568 | &nbsp;&nbsp;&nbsp;&nbsp; 8286 |
| &nbsp;&nbsp;&nbsp; Republic of Peru 5.63%, 11/18/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 737 | &nbsp;&nbsp;&nbsp;&nbsp; 686 |
| &nbsp;&nbsp;&nbsp; Republic of Poland 5.50%, 3/18/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 18163 | &nbsp;&nbsp;&nbsp;&nbsp; 16431 |
| &nbsp;&nbsp;&nbsp; United Arab Emirates Government Bond 2.88%, 10/19/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15748 | &nbsp;&nbsp;&nbsp;&nbsp; 11497 |
| &nbsp;&nbsp;&nbsp; United Mexican States |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 1/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 22959 | &nbsp;&nbsp;&nbsp;&nbsp; 22445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 5/13/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 19624 | &nbsp;&nbsp;&nbsp;&nbsp; 20213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.66%, 5/24/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 20674 | &nbsp;&nbsp;&nbsp;&nbsp; 17614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/12/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6211 | &nbsp;&nbsp;&nbsp;&nbsp; 5102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 5/7/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 8056 | &nbsp;&nbsp;&nbsp;&nbsp; 7714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 5/13/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 29236 | &nbsp;&nbsp;&nbsp;&nbsp; 29587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 3/8/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3906 | &nbsp;&nbsp;&nbsp;&nbsp; 2953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 1/23/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 15089 | &nbsp;&nbsp;&nbsp;&nbsp; 10909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 1/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 4228 | &nbsp;&nbsp;&nbsp;&nbsp; 2930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 2/10/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1928 | &nbsp;&nbsp;&nbsp;&nbsp; 1369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 2/12/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 14965 | &nbsp;&nbsp;&nbsp;&nbsp; 9982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.34%, 5/4/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 4796 | &nbsp;&nbsp;&nbsp;&nbsp; 4211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.77%, 5/24/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 11682 | &nbsp;&nbsp;&nbsp;&nbsp; 6542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/12/2110 | &nbsp;&nbsp;&nbsp;&nbsp; 5118 | &nbsp;&nbsp;&nbsp;&nbsp; 3865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Foreign Government Securities <br>(Cost $226,936)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 193319 |
| **U.S. Government Agency Securities — 0.4%** | **U.S. Government Agency Securities — 0.4%** | **U.S. Government Agency Securities — 0.4%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; FFCB Funding Corp. <br>1.84%, 1/25/2036<br>| &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 18330 |
| &nbsp;&nbsp;&nbsp; FHLB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.87%, 2/8/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 32500 | &nbsp;&nbsp;&nbsp;&nbsp; 24309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.93%, 2/11/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp;&nbsp; 30245 |
| &nbsp;&nbsp;&nbsp; Resolution Funding Corp. STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 3.53%, 1/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 30700 | &nbsp;&nbsp;&nbsp;&nbsp; 25317 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **U.S. Government Agency Securities — continued** | **U.S. Government Agency Securities — continued** | **U.S. Government Agency Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 3.12%, 4/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 26456 | &nbsp;&nbsp;&nbsp;&nbsp; 21575 |
| &nbsp;&nbsp;&nbsp; Tennessee Valley Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 31814 | &nbsp;&nbsp;&nbsp;&nbsp; 34637 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 493 | &nbsp;&nbsp;&nbsp;&nbsp; 521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 9/15/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 4157 | &nbsp;&nbsp;&nbsp;&nbsp; 3532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 9/15/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 2604 | &nbsp;&nbsp;&nbsp;&nbsp; 2034 |
| &nbsp;&nbsp;&nbsp; Tennessee Valley Authority STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 4.68%, 11/1/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17495 | &nbsp;&nbsp;&nbsp;&nbsp; 17173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 6.78%, 7/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3119 | &nbsp;&nbsp;&nbsp;&nbsp; 2754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 4.28%, 12/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 5.96%, 6/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2242 | &nbsp;&nbsp;&nbsp;&nbsp; 1373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Government Agency Securities <br>(Cost $197,527)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 184840 |
| **Municipal Bonds — 0.3% (i)** | **Municipal Bonds — 0.3% (i)** | **Municipal Bonds — 0.3% (i)** |
| **California — 0.0% ^** | **California — 0.0% ^** | **California — 0.0% ^** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer Series 2009C, <br> Rev., 6.58%, 5/15/2039<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2530 | &nbsp;&nbsp;&nbsp;&nbsp; 2703 |
| &nbsp;&nbsp;&nbsp; Regents of the University of California, Medical Center Pooled Series 2020N, Rev., 3.71%, 5/15/2120 | &nbsp;&nbsp;&nbsp;&nbsp; 21120 | &nbsp;&nbsp;&nbsp;&nbsp; 12650 |
| &nbsp;&nbsp;&nbsp; State of California, Various Purpose, GO, 7.30%, 10/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 2400 | &nbsp;&nbsp;&nbsp;&nbsp; 2731 |
| &nbsp;&nbsp;&nbsp; Total California |  | &nbsp;&nbsp;&nbsp;&nbsp; 18084 |
| **New York — 0.1%** | **New York — 0.1%** | **New York — 0.1%** |
| &nbsp;&nbsp;&nbsp; New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2010D, Rev., 5.60%, 3/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2240 | &nbsp;&nbsp;&nbsp;&nbsp; 2247 |
| &nbsp;&nbsp;&nbsp; Port Authority of New York and New Jersey, Consolidated |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 164, Rev., 5.65%, 11/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 10965 | &nbsp;&nbsp;&nbsp;&nbsp; 11300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 165, Rev., 5.65%, 11/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3780 | &nbsp;&nbsp;&nbsp;&nbsp; 3892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 174, Rev., 4.46%, 10/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 17925 | &nbsp;&nbsp;&nbsp;&nbsp; 14500 |
| &nbsp;&nbsp;&nbsp; Total New York |  | &nbsp;&nbsp;&nbsp;&nbsp; 31939 |
| **Ohio — 0.0% ^** | **Ohio — 0.0% ^** | **Ohio — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev., 7.50%, 2/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 11370 | &nbsp;&nbsp;&nbsp;&nbsp; 12703 |
| &nbsp;&nbsp;&nbsp; County of Franklin, Hospital Facilities, Nationwide Children's Hospital Project, Rev., 2.88%, 11/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4675 | &nbsp;&nbsp;&nbsp;&nbsp; 2902 |
| &nbsp;&nbsp;&nbsp; Ohio State University (The), General Receipts Series 2011A, Rev., 4.80%, 6/1/2111 | &nbsp;&nbsp;&nbsp;&nbsp; 9576 | &nbsp;&nbsp;&nbsp;&nbsp; 7750 |
| &nbsp;&nbsp;&nbsp; Ohio University, General Receipts, Federally Taxable, Rev., 5.59%, 12/1/2114 | &nbsp;&nbsp;&nbsp;&nbsp; 5822 | &nbsp;&nbsp;&nbsp;&nbsp; 5120 |
| &nbsp;&nbsp;&nbsp; Total Ohio |  | &nbsp;&nbsp;&nbsp;&nbsp; 28475 |
| **Oklahoma — 0.1%** | **Oklahoma — 0.1%** | **Oklahoma — 0.1%** |
| &nbsp;&nbsp;&nbsp; Oklahoma Development Finance Authority, Natural Gas Co. Series 2022, Rev., 4.71%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 11680 | &nbsp;&nbsp;&nbsp;&nbsp; 10442 |
| &nbsp;&nbsp;&nbsp; Oklahoma Development Finance Authority, Public Service Co. Series 2022, Rev., 4.62%, 6/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 27500 | &nbsp;&nbsp;&nbsp;&nbsp; 25949 |
| &nbsp;&nbsp;&nbsp; Total Oklahoma |  | &nbsp;&nbsp;&nbsp;&nbsp; 36391 |
| **Pennsylvania — 0.0% ^** | **Pennsylvania — 0.0% ^** | **Pennsylvania — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Chester County Health and Education Facilities Authority, Main Line Health System Series 2020C, Rev., 3.31%, 6/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 11130 | &nbsp;&nbsp;&nbsp;&nbsp; 7347 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Municipal Bonds — continued** | **Municipal Bonds — continued** | **Municipal Bonds — continued** |
| **Texas — 0.1%** | **Texas — 0.1%** | **Texas — 0.1%** |
| &nbsp;&nbsp;&nbsp; Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023A-1, Rev., 5.10%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 11651 | &nbsp;&nbsp;&nbsp;&nbsp; 11851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023A-2, Rev., 5.17%, 4/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 20730 | &nbsp;&nbsp;&nbsp;&nbsp; 20597 |
| &nbsp;&nbsp;&nbsp; Total Texas |  | &nbsp;&nbsp;&nbsp;&nbsp; 32448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Municipal Bonds <br>(Cost $177,413)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 154684 |
| **Loan Assignments — 0.1% (c) (j)** | **Loan Assignments — 0.1% (c) (j)** | **Loan Assignments — 0.1% (c) (j)** |
| **Consumer Finance — 0.1%** | **Consumer Finance — 0.1%** | **Consumer Finance — 0.1%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OneSky Loan Trust, 1st Lien Term Loan A (6-MONTH CME TERM SOFR + 3.88%), 4.16%, 1/15/2031 <br>(Cost $51,644)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 52286 | &nbsp;&nbsp;&nbsp;&nbsp; 49834 |
|  | &nbsp;&nbsp;&nbsp; **SHARES** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(000)**<br>|  |
| **Short-Term Investments — 4.3%** | **Short-Term Investments — 4.3%** | **Short-Term Investments — 4.3%** |
| **Investment Companies — 4.3%** | **Investment Companies — 4.3%** | **Investment Companies — 4.3%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund Class Institutional Shares, 4.29% (k) (l) <br>(Cost $2,145,557)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2145222 | &nbsp;&nbsp;&nbsp;&nbsp; 2145651 |
| **Total Investments — 100.3%** <br>**(Cost $52,120,956)**<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; **49286848** |
| **Liabilities in Excess of Other Assets — (0.3)%** |  | &nbsp;&nbsp;&nbsp;&nbsp; **(151616)**<br>|
| **NET ASSETS — 100.0%** |  | &nbsp;&nbsp;&nbsp;&nbsp; **49135232** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| |
|:---|
| <br>Percentages indicated are based on net assets. |
| <br>Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Abbreviations** |  |
| ABS | Asset-Backed Securities |
| ACES | Alternative Credit Enhancement Securities |
| ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May 31, 2025. |
| CME | Chicago Mercantile Exchange |
| CSMC | Credit Suisse Mortgage Trust |
| DN | Discount Notes |
| FFCB | Federal Farm Credit Bank |
| FHLB | Federal Home Loan Bank |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| FRN | Floating Rate Note |
| GNMA | Government National Mortgage Association |
| GO | General Obligation |
| ICE | Intercontinental Exchange |
| IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest <br> rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the <br> rate in effect as of May 31, 2025. The rate may be subject to a cap and floor.<br>|
| IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown <br> 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 <br> refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.<br>|
| 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 <br> extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on <br> these securities increases.<br>|

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | |
|:---|:---|
| REIT | Real Estate Investment Trust |
| REMIC | Real Estate Mortgage Investment Conduit |
| Re-REMIC | Combined Real Estate Mortgage Investment Conduit |
| Rev. | Revenue |
| SOFR | Secured Overnight Financing Rate |
| SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
| STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal <br> components of eligible notes and bonds as separate securities.<br>|
| TBA | To Be Announced; Security is subject to delayed delivery. |
| UMBS | Uniform Mortgage-Backed Securities |
| USD | United States Dollar |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| ^ | Amount rounds to less than 0.1% of net assets. |
| ‡ | Value determined using significant unobservable inputs. |
| (a) | The rate shown is the effective yield as of May 31, 2025.  |
| (b) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of May 31, 2025. |
| (d) | Contingent Capital security ("CoCo"). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a <br> pre-specified trigger event occurs. The total value of aggregate CoCo holdings at May 31, 2025 is $8,948 or 0.02% of the Fund's net assets <br> as of May 31, 2025.<br>|
| (e) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a <br> predetermined trigger. The interest rate shown is the current rate as of May 31, 2025. <br>|
| (f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments <br> on the underlying pool of assets. The interest rate shown is the current rate as of May 31, 2025. <br>|
| (g) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (h) | Value is zero. |
| (i) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
| (j) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. |
| (k) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan <br> Investment Management Inc.<br>|
| (l) | The rate shown is the current yield as of May 31, 2025. |

---

**Futures contracts outstanding as of May 31, 2025 (amounts in thousands, except number of contracts):**

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DESCRIPTION** | &nbsp;&nbsp;&nbsp; **NUMBER OF** <br>**CONTRACTS**<br>| **EXPIRATION DATE** | **TRADING CURRENCY** | &nbsp;&nbsp;&nbsp; **NOTIONAL** <br>**AMOUNT ($)**<br>| &nbsp;&nbsp;&nbsp; **VALUE AND** <br>**UNREALIZED** <br>**APPRECIATION** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(DEPRECIATION) ($)**<br>|
| **Long Contracts** |  |  |  |  |  |
| U.S. Treasury 10 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 16125 | &nbsp;&nbsp;&nbsp;&nbsp; 09/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 1788363 | &nbsp;&nbsp;&nbsp;&nbsp; 22162 |
| U.S. Treasury 10 Year Ultra Note | &nbsp;&nbsp;&nbsp;&nbsp; 22169 | &nbsp;&nbsp;&nbsp;&nbsp; 09/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2500940 | &nbsp;&nbsp;&nbsp;&nbsp; 30590 |
| U.S. Treasury Long Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1161 | &nbsp;&nbsp;&nbsp;&nbsp; 09/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 131338 | &nbsp;&nbsp;&nbsp;&nbsp; 2722 |
| U.S. Treasury 2 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 6875 | &nbsp;&nbsp;&nbsp;&nbsp; 09/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 1426670 | &nbsp;&nbsp;&nbsp;&nbsp; 2246 |
| U.S. Treasury 5 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 21475 | &nbsp;&nbsp;&nbsp;&nbsp; 09/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2325675 | &nbsp;&nbsp;&nbsp;&nbsp; 12233 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 69953 |
| **Short Contracts** |  |  |  |  |  |
| U.S. Treasury Ultra Bond | &nbsp;&nbsp;&nbsp;&nbsp; (723)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 09/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; (84094)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (1933)<br>|
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 68020 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Abbreviations** |  |
| USD | United States Dollar |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

(Dollar values in thousands)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**A. Valuation of Investments**— Investments are valued in accordance with U.S. generally accepted accounting principles ("GAAP") and the Fund's valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the "Board"), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

Under Section 2(a)(41) of the Investment Company Act of 1940, the Board is required to determine fair value for securities that do not have readily available market quotations. Under Securities and Exchange Commission Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the "Valuation Designee" to perform fair valuation determinations for the Fund on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee ("AVC") to help oversee and carry out the policies for the valuation of investments held in the Fund. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.

This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.

A market-based approach is primarily used to value the Fund's investments. Investments for which market quotations are not readily available are fair valued using prices supplied by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as "Pricing Services"), or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.

Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

Investments in open-end investment companies ("Underlying Funds") are valued at each Underlying Fund's net asset values ("NAV") per share as of the report date.

Futures contracts are generally valued on the basis of available market quotations.

See the table on "Quantitative Information about Level 3 Fair Value Measurements" for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at May 31, 2025.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.

The various inputs that are used in determining the valuation of the Fund's investments are summarized into the three broad levels listed below.

• Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.

• Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

• Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund's assumptions in determining the fair value of investments).

A financial instrument's level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

The following table represents each valuation input as presented on the Schedule of Portfolio Investments:

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

(Dollar values in thousands)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp; **Level 1** <br>Quoted prices<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 2** <br>Other significant <br>observable inputs<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 3** <br>Significant <br>unobservable inputs<br>| **Total** |
| **Investments in Securities** |  |  |  |  |
| Asset-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $4241576 | &nbsp;&nbsp;&nbsp;&nbsp; $1693965 | &nbsp;&nbsp;&nbsp;&nbsp; $5935541 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1998023 | &nbsp;&nbsp;&nbsp;&nbsp; 304840 | &nbsp;&nbsp;&nbsp;&nbsp; 2302863 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2150495 | &nbsp;&nbsp;&nbsp;&nbsp; 81112 | &nbsp;&nbsp;&nbsp;&nbsp; 2231607 |
| Corporate Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Aerospace & Defense | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 265947 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 265947 |
| &nbsp;&nbsp;&nbsp; Automobiles | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 113316 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 113316 |
| &nbsp;&nbsp;&nbsp; Banks | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3693031 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3693031 |
| &nbsp;&nbsp;&nbsp; Beverages | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 69612 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 69612 |
| &nbsp;&nbsp;&nbsp; Biotechnology | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 224384 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 224384 |
| &nbsp;&nbsp;&nbsp; Broadline Retail | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 34052 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 34052 |
| &nbsp;&nbsp;&nbsp; Building Products | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 28738 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 28738 |
| &nbsp;&nbsp;&nbsp; Capital Markets | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 832617 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 832617 |
| &nbsp;&nbsp;&nbsp; Chemicals | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 46385 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 46385 |
| &nbsp;&nbsp;&nbsp; Commercial Services & Supplies | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 84965 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 84965 |
| &nbsp;&nbsp;&nbsp; Construction & Engineering | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16820 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16820 |
| &nbsp;&nbsp;&nbsp; Construction Materials | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 11115 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 11115 |
| &nbsp;&nbsp;&nbsp; Consumer Finance | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 656891 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 656891 |
| &nbsp;&nbsp;&nbsp; Consumer Staples Distribution & Retail | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 35871 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 35871 |
| &nbsp;&nbsp;&nbsp; Containers & Packaging | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14585 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14585 |
| &nbsp;&nbsp;&nbsp; Diversified | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 145433 | &nbsp;&nbsp;&nbsp;&nbsp; 145433 |
| &nbsp;&nbsp;&nbsp; Diversified Consumer Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 22832 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 22832 |
| &nbsp;&nbsp;&nbsp; Diversified REITs | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 45293 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 45293 |
| &nbsp;&nbsp;&nbsp; Diversified Telecommunication Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 174068 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 174068 |
| &nbsp;&nbsp;&nbsp; Electric Utilities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1357502 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1357502 |
| &nbsp;&nbsp;&nbsp; Electronic Equipment, Instruments & Components | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 5695 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 5695 |
| &nbsp;&nbsp;&nbsp; Energy Equipment & Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 7888 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 7888 |
| &nbsp;&nbsp;&nbsp; Financial Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 138741 | &nbsp;&nbsp;&nbsp;&nbsp; 34300 | &nbsp;&nbsp;&nbsp;&nbsp; 173041 |
| &nbsp;&nbsp;&nbsp; Food Products | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 201118 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 201118 |
| &nbsp;&nbsp;&nbsp; Gas Utilities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 45726 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 45726 |
| &nbsp;&nbsp;&nbsp; Ground Transportation | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 137260 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 137260 |
| &nbsp;&nbsp;&nbsp; Health Care Equipment & Supplies | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 53701 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 53701 |
| &nbsp;&nbsp;&nbsp; Health Care Providers & Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 504002 | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 516002 |
| &nbsp;&nbsp;&nbsp; Health Care REITs | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 40235 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 40235 |
| &nbsp;&nbsp;&nbsp; Hotels, Restaurants & Leisure | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 8945 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 8945 |
| &nbsp;&nbsp;&nbsp; Independent Power and Renewable Electricity Producers | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 116185 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 116185 |
| &nbsp;&nbsp;&nbsp; Industrial Conglomerates | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 21639 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 21639 |
| &nbsp;&nbsp;&nbsp; Industrial REITs | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 24242 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 24242 |
| &nbsp;&nbsp;&nbsp; Insurance | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 383359 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 383359 |
| &nbsp;&nbsp;&nbsp; Interactive Media & Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 40702 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 40702 |
| &nbsp;&nbsp;&nbsp; IT Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 56481 | &nbsp;&nbsp;&nbsp;&nbsp; 99500 | &nbsp;&nbsp;&nbsp;&nbsp; 155981 |
| &nbsp;&nbsp;&nbsp; Life Sciences Tools & Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4707 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4707 |
| &nbsp;&nbsp;&nbsp; Machinery | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16277 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16277 |
| &nbsp;&nbsp;&nbsp; Media | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 181799 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 181799 |
| &nbsp;&nbsp;&nbsp; Metals & Mining | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 103346 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 103346 |
| &nbsp;&nbsp;&nbsp; Multi-Utilities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 161956 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 161956 |
| &nbsp;&nbsp;&nbsp; Office REITs | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3082 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3082 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

(Dollar values in thousands)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp; **Level 1**<br> Quoted prices<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 2**<br> Other significant<br> observable inputs<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 3**<br> Significant<br> unobservable inputs<br>| **Total** |
| &nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $782445 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $782445 |
| &nbsp;&nbsp;&nbsp; Passenger Airlines | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14625 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14625 |
| &nbsp;&nbsp;&nbsp; Personal Care Products | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 8842 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 8842 |
| &nbsp;&nbsp;&nbsp; Pharmaceuticals | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 198598 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 198598 |
| &nbsp;&nbsp;&nbsp; Real Estate Management & Development | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14170 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14170 |
| &nbsp;&nbsp;&nbsp; Residential REITs | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 37510 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 37510 |
| &nbsp;&nbsp;&nbsp; Retail REITs | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 42369 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 42369 |
| &nbsp;&nbsp;&nbsp; Semiconductors & Semiconductor Equipment | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 217637 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 217637 |
| &nbsp;&nbsp;&nbsp; Software | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 127548 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 127548 |
| &nbsp;&nbsp;&nbsp; Specialized REITs | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 126320 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 126320 |
| &nbsp;&nbsp;&nbsp; Specialty Retail | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14947 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14947 |
| &nbsp;&nbsp;&nbsp; Technology Hardware, Storage & Peripherals | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 161333 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 161333 |
| &nbsp;&nbsp;&nbsp; Tobacco | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 66163 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 66163 |
| &nbsp;&nbsp;&nbsp; Trading Companies & Distributors | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 41530 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 41530 |
| &nbsp;&nbsp;&nbsp; Water Utilities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 10443 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 10443 |
| &nbsp;&nbsp;&nbsp; Wireless Telecommunication Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 93417 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 93417 |
| &nbsp;&nbsp;&nbsp; Total Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 11943007 | &nbsp;&nbsp;&nbsp;&nbsp; 291233 | &nbsp;&nbsp;&nbsp;&nbsp; 12234240 |
| Foreign Government Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 193319 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 193319 |
| Loan Assignments | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 49834 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 49834 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 11205182 | &nbsp;&nbsp;&nbsp;&nbsp; 83105 | &nbsp;&nbsp;&nbsp;&nbsp; 11288287 |
| Municipal Bonds | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 154684 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 154684 |
| U.S. Government Agency Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 184840 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 184840 |
| U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12565982 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12565982 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp;&nbsp;&nbsp; 2145651 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2145651 |
| **Total Investments in Securities** | &nbsp;&nbsp;&nbsp;&nbsp; $2145651 | &nbsp;&nbsp;&nbsp;&nbsp; $44686942 | &nbsp;&nbsp;&nbsp;&nbsp; $2454255 | &nbsp;&nbsp;&nbsp;&nbsp; $49286848 |
| **Appreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; $69953 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $69953 |
| **Depreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; $(1933)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(1933)<br>|
| **Total Net Appreciation/ Depreciation in Other** <br>**Financial Instruments**<br>| &nbsp;&nbsp;&nbsp;&nbsp; $68020 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $68020 |

---

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balance as of** <br>**February 28,** <br>**2025**<br>| **Realized** <br>**gain (loss)**<br>| **Change in net** <br>**unrealized** <br>**appreciation** <br>**(depreciation)**<br>| **Net** <br>**accretion** <br>**(amortization)**<br>| **Purchases**<sup>1</sup> <br>| **Sales**<sup>2</sup> <br>| **Transfers** <br>**into** <br>**Level 3**<br>| **Transfers** <br>**out of** <br>**Level 3**<br>| **Balance as of** <br>**May 31,** <br>**2025**<br>|
| **Investments in Securities:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | $1761818 | $5160 | $(8756)<br>| $217 | $188584 | $(253058)<br>| $— | $— | $1693965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br> Obligations<br>| 438311 | —<br> (a)<br>| 507 | 7 |  | (133985)<br>| —<br> (a)<br>|  | 304840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage-Backed <br> Securities<br>| 89436 |  | (2077)<br>| 15 | 14945 | (21207)<br>|  |  | 81112 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds | 106088 |  |  |  | 187800 | (2655)<br>|  |  | 291233 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

(Dollar values in thousands)

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balance as of**<br> **February 28,**<br> **2025**<br>| **Realized**<br> **gain (loss)**<br>| **Change in net**<br> **unrealized**<br> **appreciation**<br> **(depreciation)**<br>| **Net**<br> **accretion**<br> **(amortization)**<br>| **Purchases**<sup>1</sup> | **Sales**<sup>2</sup> | **Transfers**<br> **into**<br> **Level 3**<br>| **Transfers**<br> **out of**<br> **Level 3**<br>| **Balance as of**<br> **May 31,**<br> **2025**<br>|
| &nbsp;&nbsp;&nbsp; Mortgage-Backed Securities | $92415 | $— | $— | $— | $— | $(9310)<br>| $— | $— | $83105 |
| **Total** | $2488068 | $5160 | $(10326)<br>| $239 | $391329 | $(420215)<br>| $—<br> (a)<br>| $— | $2454255 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>1</sup> Purchases include all purchases of securities and securities received in corporate actions.

<sup>2</sup> Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Amount rounds to less than one thousand.

The changes in net unrealized appreciation (depreciation) attributable to securities owned at May 31, 2025, which were valued using significant unobservable inputs (level 3) amounted to $(7,834).

There were no significant transfers into or out of level 3 for the period ended May 31, 2025.

The significant unobservable inputs used in the fair value measurement of the Fund's investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

**Quantitative Information about Level 3 Fair Value Measurements #** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Fair Value at**<br> **May 31, 2025**<br>| &nbsp;&nbsp; **Valuation**<br> **Technique(s)**<br>| &nbsp;&nbsp; **Unobservable**<br> **Input**<br>| &nbsp;&nbsp; **Range (Weighted**<br> **Average) (a)**<br>|
|  | &nbsp;&nbsp; $264579 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 5.48% - 18.91% (6.50%) |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; 264579<br>|  |  |  |
|  | &nbsp;&nbsp; 18287<br>| Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 4.71% - 5.62% (5.32%) |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; 18287<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Total | &nbsp;&nbsp; $282866 |  |  |  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

# The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At May 31, 2025, the value of these investments was $2,171,389. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. 

(a) Unobservable inputs were weighted by the relative fair value of the instruments.

**B. Investment Transactions with Affiliates**— The Fund invested in an Underlying Fund advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund's distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchases at cost amounts in the table below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** |
| **Security Description** | **Value at** <br>**February 28,** <br>**2025**<br>| **Purchases at** <br>**Cost**<br>| **Proceeds from** <br>**Sales**<br>| **Net Realized** <br>**Gain (Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation/** <br>**(Depreciation)**<br>| **Value at** <br>**May 31,** <br>**2025**<br>| **Shares at** <br>**May 31,** <br>**2025**<br>| **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund <br> Class Institutional Shares, 4.29% (a) (b)<br>| $1927258 | $3903551 | $3684848 | $30 | $(340)<br>| $2145651 | 2145222 | $19201 | $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

 <br> (a) Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. <br> (b) The rate shown is the current yield as of May 31, 2025.

------

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** JPMorgan Trust II

- **b. Investment Company Act file number:** 811-04236

- **c. CIK number of Registrant:** 0000763852

- **d. LEI of Registrant:** 549300IMXLYKELY96B40

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 277 Park Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

  - **Telephone number:** 800-480-4111

**Item A.2. Information about the Series.**

- **a. Name of Series:** JPMorgan Core Bond Fund

- **b. EDGAR series identifier (if any):** S000003477

- **c. LEI of Series:** DQ695W4P67V7A4LC6I09

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2025-05-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $50492831622.35

**Total Liabilities:** $1529130998.90

**Net Assets:** $48963700623.45

**Delayed Delivery Securities:** $60174170.92

**Cash Not Reported:** $17565425.00

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 23031.70607000 | **1-Year:** 1159110.73010000 | **5-Year:** 4990630.18316000 | **10-Year:** 8052628.87434000 | **30-Year:** 2885865.84853000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 2949.87057000 | **1-Year:** 167826.70260000 | **5-Year:** 194728.54308000 | **10-Year:** 16124.23536000 | **30-Year:** 504.08524000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009618 | -0.04%               | 0.51%                | -0.89%               |
| Class ID C000009615 | 0.03%                | 0.48%                | -0.74%               |
| Class ID C000033520 | 0.04%                | 0.49%                | -0.73%               |
| Class ID C000173234 | 0.12%                | 0.45%                | -0.76%               |
| Class ID C000173235 | 0.02%                | 0.47%                | -0.74%               |
| Class ID C000009616 | 0.11%                | 0.46%                | -0.76%               |
| Class ID C000070638 | -0.02%               | 0.53%                | -0.88%               |
| Class ID C000009619 | 0.15%                | 0.50%                | -0.82%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $16695736.79             | $-162733480.51                             |
| Month 2  | $-49491377.79            | $66391469.15                               |
| Month 3  | $-15157968.95            | $-423221206.80                             |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                                  | Title                                                                                                                    | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA                                                                  | GNMA, Series 2004-73, Class JL                                                                                           | CUSIP: 38374H2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     811199 | PA      | $69501.96      | 0.00%             | 2034-09-16      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  172625000 | PA      | $121720854.92  | 0.25%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17925658 | PA      | $19061339.86   | 0.04%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-3, Class SK                                                                                            | CUSIP: 38374KRV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     730080 | PA      | $45641.01      | 0.00%             | 2035-01-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K55J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2484283 | PA      | $2229943.61    | 0.00%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-93, Class AS                                                                                           | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     714523 | PA      | $38981.60      | 0.00%             | 2038-12-20      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140M1CG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41131742 | PA      | $33741642.31   | 0.07%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622A2MQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3365601 | PA      | $3101518.09    | 0.01%             | 2044-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H02, Class HF                                                                                          | CUSIP: 38375BH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        775 | PA      | $770.46        | 0.00%             | 2062-11-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24963000 | PA      | $17421044.89   | 0.04%             | 2033-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-45, Class QA                                                                                           | CUSIP: 38375KW24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     572514 | PA      | $36317.47      | 0.00%             | 2037-07-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corp.                                          | PPL Electric Utilities Corp.                                                                                             | CUSIP: 69351UAW3<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $6402423.90    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MB                                                       | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26490000 | PA      | $21315554.66   | 0.04%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                                    | Regency Centers LP                                                                                                       | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    1755000 | PA      | $1743849.45    | 0.00%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LDQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6842000 | PA      | $5533494.53    | 0.01%             | 2033-09-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Potomac Electric Power Co.                                            | Potomac Electric Power Co.                                                                                               | CUSIP: 737679DB3<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |    1184000 | PA      | $1301275.53    | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                    | British Airways Pass-Through Trust, Series 2018-1, Class A                                                               | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7674550 | PA      | $7309811.39    | 0.01%             | 2031-09-20      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138ABXM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177186 | PA      | $178342.07     | 0.00%             | 2031-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128LXB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66670 | PA      | $67225.84      | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3852, Class TP                                                                                      | CUSIP: 3137ABB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1395538 | PA      | $1393968.37    | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6399000 | PA      | $6297238.43    | 0.01%             | 2029-04-23      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   12800000 | PA      | $8755191.17    | 0.02%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-22, Class SC                                                                                    | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14434 | PA      | $109.14        | 0.00%             | 2037-03-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H05, Class FC                                                                                          | CUSIP: 38375UUV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10175043 | PA      | $10204278.41   | 0.02%             | 2065-02-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HAEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3450979 | PA      | $3219242.20    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Corp. Nacional del Cobre de Chile                                     | Corp. Nacional del Cobre de Chile                                                                                        | CUSIP: 21987BBK3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | NUSS              | CL        |   17281000 | PA      | $17659021.88   | 0.04%             | 2036-01-26      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Enbridge, Inc.                                                        | Enbridge, Inc.                                                                                                           | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   17080000 | PA      | $17420165.28   | 0.04%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                        | Public Service Co. of Oklahoma, Series K                                                                                 | CUSIP: 744533BP4<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   12330000 | PA      | $7568115.28    | 0.02%             | 2051-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3195, Class PD                                                                                      | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     154050 | PA      | $159498.84     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3740, Class SC                                                                                      | CUSIP: 3137GARQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     777829 | PA      | $79295.11      | 0.00%             | 2040-10-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-91, Class SD                                                                                    | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38928 | PA      | $39642.43      | 0.00%             | 2033-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| New York Life Insurance Co.                                           | New York Life Insurance Co.                                                                                              | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    9600000 | PA      | $6893962.37    | 0.01%             | 2050-05-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128200 | PA      | $131816.50     | 0.00%             | 2036-02-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J8CB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27618850 | PA      | $25774369.15   | 0.05%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                               | KeyCorp                                                                                                                  | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   26465000 | PA      | $26408657.07   | 0.05%             | 2031-04-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   33075000 | PA      | $33318874.21   | 0.07%             | 2031-05-22      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H11, Class FD                                                                                          | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7203317 | PA      | $7261908.35    | 0.01%             | 2066-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4615000 | PA      | $4548997.01    | 0.01%             | 2033-05-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7F91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     701900 | PA      | $679632.82     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-81, Class SB                                                                                           | CUSIP: 38376F4W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1312020 | PA      | $109573.76     | 0.00%             | 2039-09-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-75, Class MN                                                                                           | CUSIP: 38376CLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2626209 | PA      | $2725605.64    | 0.01%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cars Net Lease Mortgage Notes                                         | Cars Net Lease Mortgage Notes, Series 2020-1A, Class A3                                                                  | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15020800 | PA      | $14065140.60   | 0.03%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| COPT Defense Properties LP                                            | COPT Defense Properties LP                                                                                               | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    3440000 | PA      | $3081834.05    | 0.01%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31416CFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68023 | PA      | $70429.48      | 0.00%             | 2037-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26806703 | PA      | $21581848.58   | 0.04%             | 2059-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Queen's Health Systems (The)                                          | Queen's Health Systems (The)                                                                                             | CUSIP: 74825QAB6<br>LEI: 5493002Y81US5EEDOV69 | Long             | DBT              | CORP              | US        |   18840000 | PA      | $16387067.04   | 0.03%             | 2052-07-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3895, Class WA                                                                                      | CUSIP: 3137ACX95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242750 | PA      | $250479.09     | 0.00%             | 2038-10-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059FAV3<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   17495000 | PA      | $17172629.96   | 0.04%             | 2025-11-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-1, Class CP                                | CUSIP: 9393362Y8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21697 | PA      | $14470.78      | 0.00%             | 2035-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-7, Class 2A1                                                                | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28305 | PA      | $25918.64      | 0.00%             | 2034-06-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     313621 | PA      | $306844.24     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   18170000 | PA      | $18138374.57   | 0.04%             | 2030-09-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-17, Class C                                                                                     | CUSIP: 31359VSW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7251 | PA      | $7311.25       | 0.00%             | 2029-04-25      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJQ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $8614922.81    | 0.02%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                               | MPLX LP                                                                                                                  | CUSIP: 55336VBZ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $12468102.39   | 0.03%             | 2055-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FARM Mortgage Trust                                                   | FARM Mortgage Trust, Series 2023-1, Class A                                                                              | CUSIP: 30767YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25233154 | PA      | $20833122.38   | 0.04%             | 2052-01-25      | Variable      | 2.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XMBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44750909 | PA      | $36780191.43   | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-54CB, Class 1A11                                                                     | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     693120 | PA      | $528360.99     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WRQD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     550662 | PA      | $506209.73     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Accenture Capital, Inc.                                               | Accenture Capital, Inc.                                                                                                  | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |   14250000 | PA      | $13690927.61   | 0.03%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-50, Class PS                                                                                    | CUSIP: 31395DTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393717 | PA      | $350507.89     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates                               | WaMu Mortgage Pass-Through Certificates, Series 2003-S4, Class 2A10                                                      | CUSIP: 9292275C6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27896 | PA      | $26740.60      | 0.00%             | 2033-06-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Single Family, 30 Year                                                                                          | CUSIP: 21H030666<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5000000 | PA      | $4355268.10    | 0.01%             | 2055-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    5192000 | PA      | $3905973.89    | 0.01%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1875869 | PA      | $1811896.14    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  101570000 | PA      | $89000712.50   | 0.18%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class B                                                               | CUSIP: 22537EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33379000 | PA      | $33855638.77   | 0.07%             | 2033-07-15      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LCVQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36050000 | PA      | $30608521.07   | 0.06%             | 2031-07-01      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46223923 | PA      | $41174559.54   | 0.08%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Capital One NA                                                        | Capital One NA                                                                                                           | CUSIP: 25466AAE1<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |    8109000 | PA      | $8082198.38    | 0.02%             | 2026-03-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36241LXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     513461 | PA      | $538515.55     | 0.00%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BTGR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4587283 | PA      | $4358787.27    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3022, Class SX                                                                                      | CUSIP: 31395XHN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        225 | PA      | $224.60        | 0.00%             | 2025-08-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  270000000 | PA      | $263155078.80  | 0.54%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                      | Welltower OP LLC                                                                                                         | CUSIP: 95040QAF1<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4456654.55    | 0.01%             | 2048-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                                         | Entergy Corp.                                                                                                            | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    2469000 | PA      | $2421117.15    | 0.00%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   25815000 | PA      | $18824541.44   | 0.04%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4029046 | PA      | $3934935.74    | 0.01%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RFT TRUST                                                             | RFT TRUST, Series 2024-2, Class A1                                                                                       | CUSIP: 76201AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  118710854 | PA      | $117890918.63  | 0.24%             | 2028-09-27      | Variable      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410B4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17651 | PA      | $17970.00      | 0.00%             | 2036-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| TransCanada PipeLines Ltd.                                            | TransCanada PipeLines Ltd.                                                                                               | CUSIP: 89352HAD1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    6345000 | PA      | $6469588.64    | 0.01%             | 2037-10-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   18445000 | PA      | $16519522.02   | 0.03%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2450, Class SW                                                                                      | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42600 | PA      | $3982.62       | 0.00%             | 2032-03-15      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                             | MFA Trust, Series 2024-RTL3, Class A1                                                                                    | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15610000 | PA      | $15633536.76   | 0.03%             | 2039-11-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                                               | MPLX LP                                                                                                                  | CUSIP: 55336VBY5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   28080000 | PA      | $27356449.16   | 0.06%             | 2035-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XVVU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7012216 | PA      | $6270997.73    | 0.01%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV LLC                                                         | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                                                                | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5301930 | PA      | $5297151.15    | 0.01%             | 2051-02-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NEJ6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3950000 | PA      | $3986950.20    | 0.01%             | 2034-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNRS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24000000 | PA      | $22520610.96   | 0.05%             | 2033-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Nationwide Children's Hospital, Inc.                                  | Nationwide Children's Hospital, Inc.                                                                                     | CUSIP: 63861UAA7<br>LEI: 549300P18KU1WR8JWZ05 | Long             | DBT              | CORP              | US        |    4136000 | PA      | $3458619.53    | 0.01%             | 2052-11-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                     | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   13120000 | PA      | $10194742.36   | 0.02%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CGI, Inc.                                                             | CGI, Inc.                                                                                                                | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   10000000 | PA      | $8567688.50    | 0.02%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    3840000 | PA      | $2386681.77    | 0.00%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3546, Class A                                                                                       | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     184193 | PA      | $186489.14     | 0.00%             | 2039-02-15      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1XL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11916047 | PA      | $11808332.64   | 0.02%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                      | JPMorgan Prime Money Market Fund, Class Institutional                                                                    | CUSIP: 4812A2603<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        | 2145221631 | NS      | $2145650675.28 | 4.38%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2642, Class SL                                                                                      | CUSIP: 31393VYC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4017 | PA      | $3428.15       | 0.00%             | 2033-07-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class A5                                           | CUSIP: 31393RGG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2829032 | PA      | $2668629.29    | 0.01%             | 2043-05-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-12, Class A3                                                                         | CUSIP: 81744FGA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     272924 | PA      | $267007.45     | 0.00%             | 2035-01-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-10, Class SA                                                                                           | CUSIP: 38374TAH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     495160 | PA      | $31077.42      | 0.00%             | 2039-02-20      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Conagra Brands, Inc.                                                  | Conagra Brands, Inc.                                                                                                     | CUSIP: 205887CD2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    3420000 | PA      | $3204865.31    | 0.01%             | 2038-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    9140000 | PA      | $8902098.05    | 0.02%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   11867000 | PA      | $11893361.59   | 0.02%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJQX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8177000 | PA      | $8287962.22    | 0.02%             | 2030-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    1794000 | PA      | $1815523.89    | 0.00%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust, Series 2013                                                                                      | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7260263 | PA      | $6898101.76    | 0.01%             | 2036-01-10      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H08, Class FC                                                                                          | CUSIP: 38375BM82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     604650 | PA      | $604381.86     | 0.00%             | 2063-02-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2022-GT1, Class A                                                                          | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   86250000 | PA      | $86229696.75   | 0.18%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3618BHKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10196224 | PA      | $10428083.63   | 0.02%             | 2053-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   27825000 | PA      | $21759994.21   | 0.04%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-111, Class EO                                                                                   | CUSIP: 31396LSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89798 | PA      | $71919.90      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 406                                                                                                | CUSIP: 3133Q3G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50010147 | PA      | $40365074.24   | 0.08%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                      | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   15800000 | PA      | $14574175.01   | 0.03%             | 2029-12-13      | Variable      | 2.47%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   27316000 | PA      | $18827410.68   | 0.04%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                 | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    9430000 | PA      | $6715026.62    | 0.01%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC, Series A-2                                                                                     | CUSIP: 78433LAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6495000 | PA      | $5733326.80    | 0.01%             | 2047-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M10, Class A2                                                                                     | CUSIP: 3136BMXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5800000 | PA      | $4954969.58    | 0.01%             | 2032-01-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $3917347.72    | 0.01%             | 2038-10-31      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6194010 | PA      | $5115896.76    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class AP                                                                                    | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31675 | PA      | $25577.58      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-61, Class SK                                                                                    | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42182 | PA      | $43669.90      | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2022-4, Class C                                                           | CUSIP: 80286FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15300000 | PA      | $15345592.47   | 0.03%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31418MFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295443 | PA      | $305820.89     | 0.00%             | 2037-12-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   12240000 | PA      | $12079599.33   | 0.02%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2018-42, Class B                                                                                     | CUSIP: 3136B2AQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30228298 | PA      | $26610154.91   | 0.05%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MRFC Mortgage Pass-Through Trust                                      | MRFC Mortgage Pass-Through Trust, Series 2000-TBC3, Class A1                                                             | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64246 | PA      | $62246.42      | 0.00%             | 2030-12-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BTGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3250152 | PA      | $3085730.93    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2305842.45    | 0.00%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10250000 | PA      | $8989334.56    | 0.02%             | 2035-12-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404YDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2499 | PA      | $2533.50       | 0.00%             | 2034-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class IG                                                                                    | CUSIP: 31395NE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118431 | PA      | $8295.08       | 0.00%             | 2036-07-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    4955000 | PA      | $4769765.25    | 0.01%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-33, Class Z                                                                                            | CUSIP: 38374DEC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     856297 | PA      | $879363.26     | 0.00%             | 2036-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class A                                                                          | CUSIP: 05493VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   43443000 | PA      | $42349148.70   | 0.09%             | 2048-11-27      | Variable      | 2.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3064, Class SG                                                                                      | CUSIP: 31396ERQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96169 | PA      | $100559.91     | 0.00%             | 2035-11-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Union Carbide Corp.                                                   | Union Carbide Corp.                                                                                                      | CUSIP: 905581AS3<br>LEI: QE84C8O80MNLK8IFRL44 | Long             | DBT              | CORP              | US        |    2719000 | PA      | $3150580.83    | 0.01%             | 2096-10-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13164814 | PA      | $12150790.92   | 0.02%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT                                                       | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13067590 | PA      | $11696016.64   | 0.02%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3611                                                                                                | CUSIP: 31398LSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     308557 | PA      | $270916.56     | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-46, Class SK                                                                                    | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19328 | PA      | $20133.35      | 0.00%             | 2034-05-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34350000 | PA      | $33833010.17   | 0.07%             | 2030-07-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 329, Class 1                                                                                        | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21000 | PA      | $18600.44      | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-53, Class ES                                                                                           | CUSIP: 38375LFW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     441831 | PA      | $18278.62      | 0.00%             | 2037-09-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                            | RALI Trust, Series 2007-QS1, Class 1A1                                                                                   | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60698 | PA      | $47848.66      | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2653, Class PZ                                                                                      | CUSIP: 31393WQ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     765041 | PA      | $774726.24     | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Grene Industri-Service A/S                                            | Grene Industri-Service A/S                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | DK        |    4550055 | PA      | $4227910.97    | 0.01%             | 2026-04-22      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-55, Class SA                                                                                           | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     152064 | PA      | $4112.20       | 0.00%             | 2038-06-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   13141000 | PA      | $13146653.39   | 0.03%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2434, Class TC                                                                                      | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134750 | PA      | $140532.36     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-4, Class BD                                                                                     | CUSIP: 31397MW94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5054 | PA      | $4640.01       | 0.00%             | 2039-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   20674000 | PA      | $17614248.00   | 0.04%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4A23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35965 | PA      | $37121.23      | 0.00%             | 2036-02-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2024-SFR2, Class B                                                                    | CUSIP: 74290XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14285000 | PA      | $13388103.42   | 0.03%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Vodafone Group plc                                                    | Vodafone Group plc                                                                                                       | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    3745000 | PA      | $3436605.43    | 0.01%             | 2053-02-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LK6E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15496000 | PA      | $15505138.15   | 0.03%             | 2032-10-01      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31407DT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31191 | PA      | $31034.55      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   48610000 | PA      | $49868430.26   | 0.10%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H06, Class FA                                                                                          | CUSIP: 38375BKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     416192 | PA      | $417335.26     | 0.00%             | 2061-02-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H26, Class FG                                                                                          | CUSIP: 38376RKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1575053 | PA      | $1580641.23    | 0.00%             | 2065-10-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HXVP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1461098 | PA      | $1432903.47    | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2018-94, Class DZ                                                                                    | CUSIP: 3136B3WZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9632982 | PA      | $8998154.86    | 0.02%             | 2049-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H10, Class TA                                                                                          | CUSIP: 38375UFT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6855813 | PA      | $6889954.10    | 0.01%             | 2064-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J8AJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3604005 | PA      | $3568083.49    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-63, Class P                                                                                     | CUSIP: 31396QWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10191 | PA      | $9934.52       | 0.00%             | 2037-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412BPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27167 | PA      | $27386.39      | 0.00%             | 2036-02-01      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                             | Florida Power & Light Co.                                                                                                | CUSIP: 341081GM3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    9410000 | PA      | $8753321.46    | 0.02%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Diversified ABS Phase VIII LLC                                        | Diversified ABS Phase LLC, Series 2024-1A, Class A2                                                                      | CUSIP: 255123AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18395167 | PA      | $18488099.05   | 0.04%             | 2044-05-30      | Fixed         | 7.67%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-67                                                                                              | CUSIP: 31396WQF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181203 | PA      | $158733.44     | 0.00%             | 2037-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Alexander Funding Trust II                                            | Alexander Funding Trust II                                                                                               | CUSIP: 014916AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   25600000 | PA      | $27141341.44   | 0.06%             | 2028-07-31      | Fixed         | 7.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNXZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32550000 | PA      | $30309240.10   | 0.06%             | 2033-07-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-42, Class B                                                                                     | CUSIP: 31396VR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     389751 | PA      | $402210.01     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                              | AEP Transmission Co. LLC                                                                                                 | CUSIP: 00115AAK5<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    3615000 | PA      | $2588262.28    | 0.01%             | 2049-06-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   17300000 | PA      | $14350038.77   | 0.03%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  175000000 | PA      | $174541991.75  | 0.36%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100350 | PA      | $103312.93     | 0.00%             | 2035-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| New England Power Co.                                                 | New England Power Co.                                                                                                    | CUSIP: 644188BF0<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |    3024000 | PA      | $2240327.07    | 0.00%             | 2047-12-05      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-92, Class YA                                                                                    | CUSIP: 31396XNU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71435 | PA      | $74599.29      | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833DG2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1232839.62    | 0.00%             | 2047-11-13      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HM2Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3308676 | PA      | $3311355.21    | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3129413U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2990556 | PA      | $2995696.49    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2020-SFR2, Class C                                                                                    | CUSIP: 00178UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2949000 | PA      | $2936016.14    | 0.01%             | 2037-07-17      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                                            | ROCK Trust, Series 2024-CNTR, Class B                                                                                    | CUSIP: 74970WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   45950000 | PA      | $46860995.51   | 0.10%             | 2041-11-13      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                    | Canadian Imperial Bank of Commerce                                                                                       | CUSIP: 13607HR53<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    8000000 | PA      | $7343726.72    | 0.01%             | 2032-04-07      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H05                                                                                                    | CUSIP: 38380L5P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34382475 | PA      | $1973052.07    | 0.00%             | 2070-03-20      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-66, Class SG                                                                                    | CUSIP: 31394EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89076 | PA      | $94354.99      | 0.00%             | 2035-07-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-19, Class ZY                                                                                    | CUSIP: 31397QP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     753455 | PA      | $800735.27     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Terra ABS I LLC                                                       | Terra ABS I LLC, Series 2022-1A, Class A1                                                                                | CUSIP: 88089JAA5<br>LEI: 549300TL5VN5A8NJIT07 | Long             | ABS-O            | CORP              | US        |   13660319 | PA      | $13994997.05   | 0.03%             | 2042-12-22      | Fixed         | 8.15%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3622ABZP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40043871 | PA      | $42402494.72   | 0.09%             | 2072-06-20      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32948123 | PA      | $34509017.17   | 0.07%             | 2071-09-20      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-163, Class WA                                                                                          | CUSIP: 38378AS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1575188 | PA      | $1623780.78    | 0.00%             | 2038-12-20      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   15614000 | PA      | $14847260.79   | 0.03%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H26, Class FC                                                                                          | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4853534 | PA      | $4881833.62    | 0.01%             | 2066-12-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HBG9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   17400000 | PA      | $17870290.68   | 0.04%             | 2031-07-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                  | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   36855000 | PA      | $36099256.53   | 0.07%             | 2035-02-15      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| CF Industries, Inc.                                                   | CF Industries, Inc.                                                                                                      | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |   16825000 | PA      | $14410481.10   | 0.03%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-81, Class S                                                                                            | CUSIP: 38373M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1326973 | PA      | $11920.73      | 0.00%             | 2038-09-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Pass-Through Certificates           | Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A3                                   | CUSIP: 86358RXZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     107042 | PA      | $24722.30      | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    5540000 | PA      | $5910847.60    | 0.01%             | 2028-11-16      | Variable      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   25946000 | PA      | $25513935.53   | 0.05%             | 2030-05-08      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2017-1A, Class A                                                                                 | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2018088 | PA      | $1844502.73    | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  3 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   33829000 | PA      | $34807025.48   | 0.07%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8710334 | PA      | $8126710.10    | 0.02%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                                              | Resolution Funding Corp. STRIPS                                                                                          | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   26456000 | PA      | $21575065.36   | 0.04%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federation des Caisses Desjardins du Quebec                           | Federation des Caisses Desjardins du Quebec                                                                              | CUSIP: 31429KAL7<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |   21595000 | PA      | $21993133.41   | 0.04%             | 2029-04-26      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8223259 | PA      | $8058134.15    | 0.02%             | 2026-05-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-23, Class KO                                                                                    | CUSIP: 31395B4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39209 | PA      | $35367.61      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-17, Class JI                                                                                           | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     670225 | PA      | $52544.74      | 0.00%             | 2037-04-16      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    4020000 | PA      | $3271907.79    | 0.01%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-56, Class S                                                                                     | CUSIP: 31394D6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188097 | PA      | $14985.27      | 0.00%             | 2035-07-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                | Bear Stearns ARM Trust, Series 2006-1, Class A1                                                                          | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     382450 | PA      | $362529.81     | 0.00%             | 2036-02-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                          | Leidos, Inc.                                                                                                             | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    8020000 | PA      | $6927561.80    | 0.01%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2024-4, Class D                                                           | CUSIP: 802919AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24035000 | PA      | $24148882.64   | 0.05%             | 2031-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24456305 | PA      | $22874497.01   | 0.05%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A                                                              | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42566 | PA      | $40508.93      | 0.00%             | 2034-05-20      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401AQ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    9320000 | PA      | $9318174.77    | 0.02%             | 2026-06-05      | Variable      | 2.19%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  265210000 | PA      | $267043677.85  | 0.55%             | 2026-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                                | Oklahoma Development Finance Authority, Natural Gas Co., Series 2022                                                     | CUSIP: 6789084E1<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |   11680000 | PA      | $10442075.34   | 0.02%             | 2052-05-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23                                                               | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39339 | PA      | $23712.54      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tarwoood Anoo  sep23 144a                                             | Starwoood Anoo                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   18728242 | PA      | $18658011.10   | 0.04%             | 2025-06-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2023-1, Class MT                                                       | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   54550372 | PA      | $45301672.99   | 0.09%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3164, Class MG                                                                                      | CUSIP: 31396TDX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45708 | PA      | $48207.63      | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FARM Mortgage Trust                                                   | FARM Mortgage Trust, Series 2024-2, Class A                                                                              | CUSIP: 307910AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   52237732 | PA      | $51132225.29   | 0.10%             | 2054-08-01      | Variable      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                    | HERO Funding Trust, Series 2016-3A, Class A1                                                                             | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2277688 | PA      | $2037982.82    | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3387, Class SA                                                                                      | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     896016 | PA      | $69151.12      | 0.00%             | 2037-11-15      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-26, Class SC                                                                                           | CUSIP: 38375KBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     455707 | PA      | $13877.96      | 0.00%             | 2037-05-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                                        | Piedmont Natural Gas Co., Inc.                                                                                           | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1629778.88    | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                            | ROCK Trust, Series 2024-CNTR, Class A                                                                                    | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33500000 | PA      | $33922756.60   | 0.07%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622A3DB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9253180 | PA      | $9215498.24    | 0.02%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                    | Southern Co. (The)                                                                                                       | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   28704000 | PA      | $29545060.50   | 0.06%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Dow Chemical Co. (The)                                                | Dow Chemical Co. (The)                                                                                                   | CUSIP: 260543CN1<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |     249000 | PA      | $247875.60     | 0.00%             | 2025-11-30      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Mitsubishi HC Finance America LLC                                     | Mitsubishi HC Finance America LLC                                                                                        | CUSIP: 606790AB9<br>LEI: 3538008O2MCHLB9FAL82 | Long             | DBT              | CORP              | US        |   13025000 | PA      | $13436214.36   | 0.03%             | 2028-09-12      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3274, Class B                                                                                       | CUSIP: 31397F5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173208 | PA      | $183066.06     | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-57, Class 1AP                                          | CUSIP: 31394JDD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88886 | PA      | $70542.36      | 0.00%             | 2043-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  154280000 | PA      | $129456588.68  | 0.26%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410EFM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143007 | PA      | $146139.43     | 0.00%             | 2036-09-01      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-3, Class A4                                                                 | CUSIP: 12669FPC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60539 | PA      | $59826.54      | 0.00%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   12855000 | PA      | $11062001.31   | 0.02%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NP4Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9456412 | PA      | $9611292.68    | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-53, Class US                                                                                    | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377133 | PA      | $28580.23      | 0.00%             | 2036-06-25      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                            | Occidental Petroleum Corp.                                                                                               | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    5501000 | PA      | $5330724.25    | 0.01%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC, Series A-1                                                                                     | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16684218 | PA      | $15913677.55   | 0.03%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2466, Class DH                                                                                      | CUSIP: 31392MM82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28747 | PA      | $29974.88      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                              | Cox Communications, Inc.                                                                                                 | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    3046000 | PA      | $2988631.00    | 0.01%             | 2026-09-15      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-61, Class Z                                                                                     | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138834 | PA      | $143697.81     | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-60, Class AK                                                                                    | CUSIP: 31395NUZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57812 | PA      | $63551.60      | 0.00%             | 2036-07-25      | Floating      | 11.05%                | No            |                  2 | On Loan: No      |
| Consumers Energy Co.                                                  | Consumers Energy Co.                                                                                                     | CUSIP: 210518CZ7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    2150000 | PA      | $1544375.75    | 0.00%             | 2046-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                  | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                                                         | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   41700000 | PA      | $41453819.88   | 0.08%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Union Pacific Corp.                                                   | Union Pacific Corp.                                                                                                      | CUSIP: 907818FE3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $4298933.64    | 0.01%             | 2059-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 292480AJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $7197304.74    | 0.01%             | 2044-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2544, Class HC                                                                                      | CUSIP: 31393FQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88803 | PA      | $92076.87      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HABH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     600563 | PA      | $572878.21     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                       | Eli Lilly & Co.                                                                                                          | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   17320000 | PA      | $15716824.77   | 0.03%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                       | Oncor Electric Delivery Co. LLC                                                                                          | CUSIP: 68233JCM4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   19830000 | PA      | $17119926.90   | 0.03%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                            | BAMLL Commercial Mortgage Securities Trust, Series 2014-520M, Class C                                                    | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7700000 | PA      | $5134698.03    | 0.01%             | 2046-08-15      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   20755000 | PA      | $20552307.09   | 0.04%             | 2030-09-11      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617GJCQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     800219 | PA      | $808286.23     | 0.00%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406HTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52759 | PA      | $52877.06      | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                                           | Aetna, Inc.                                                                                                              | CUSIP: 00817YAG3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    2959000 | PA      | $3134272.04    | 0.01%             | 2037-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833CD0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    3512000 | PA      | $2783938.03    | 0.01%             | 2046-08-04      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3331                                                                                                | CUSIP: 31397J5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69018 | PA      | $58707.99      | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3802, Class LS                                                                                      | CUSIP: 3137A6CE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1492326 | PA      | $124629.23     | 0.00%             | 2040-01-15      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   10428000 | PA      | $9073614.91    | 0.02%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| University of Southern California                                     | University of Southern California, Series A                                                                              | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    9370000 | PA      | $5157454.89    | 0.01%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 312941XL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     805332 | PA      | $806716.57     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2024-FRR2, Class B                                                                          | CUSIP: 05493UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17745000 | PA      | $16511722.50   | 0.03%             | 2050-07-27      | Variable      | 2.51%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class APT2                                        | CUSIP: 3137FWGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13909720 | PA      | $13162470.37   | 0.03%             | 2050-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     606612 | PA      | $575436.13     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     449134 | PA      | $440621.58     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SARL                                                      | JBS USA LUX Sarl                                                                                                         | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8980000 | PA      | $9141786.19    | 0.02%             | 2035-04-20      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Toledo Edison Co. (The)                                               | Toledo Edison Co. (The)                                                                                                  | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5800000 | PA      | $6177259.84    | 0.01%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                             | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF                                                                    | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3002891 | PA      | $2578969.55    | 0.01%             | 2035-09-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400FL2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2197000 | PA      | $2173795.64    | 0.00%             | 2039-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 2010-1, Class DZ                                                                           | CUSIP: 92261XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3389800 | PA      | $3269957.52    | 0.01%             | 2040-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXLX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15214912 | PA      | $15280043.15   | 0.03%             | 2059-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31409EL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9421 | PA      | $9604.32       | 0.00%             | 2036-05-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5563688 | PA      | $5492766.65    | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6168613.12    | 0.01%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     455000 | PA      | $532041.27     | 0.00%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| The Campbell's Co.                                                    | The Campbell's Co.                                                                                                       | CUSIP: 134429BK4<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |    4828000 | PA      | $3035293.79    | 0.01%             | 2050-04-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-2                                                                           | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10550000 | PA      | $9892936.29    | 0.02%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JB2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   62756969 | PA      | $53097987.76   | 0.11%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41131975 | PA      | $35011126.47   | 0.07%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JY3A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3796829 | PA      | $3416035.94    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Presidio Finance LLC                                                  | Presidio Finance LLC, Series 2023-1, Class A1                                                                            | CUSIP: 741011AA8<br>LEI: 549300SWS6E75B2IYH47 | Long             | ABS-O            | CORP              | US        |   15420829 | PA      | $15675272.78   | 0.03%             | 2038-12-25      | Fixed         | 7.81%                 | Yes           |                  3 | On Loan: No      |
| Realty Income Corp.                                                   | Realty Income Corp.                                                                                                      | CUSIP: 756109BR4<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    9060000 | PA      | $9135931.77    | 0.02%             | 2030-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3344, Class SL                                                                                      | CUSIP: 31397JYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133403 | PA      | $11387.85      | 0.00%             | 2037-07-15      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Fells Point Funding Trust                                             | Fells Point Funding Trust                                                                                                | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   51620000 | PA      | $50199518.26   | 0.10%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding II                                                       | HERO Funding II                                                                                                          | CUSIP: 42772HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    2909254 | PA      | $2437207.10    | 0.00%             | 2044-09-21      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| Aqua Finance Trust                                                    | Aqua Finance Trust, Series 2020-AA, Class B                                                                              | CUSIP: 038413AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2243088 | PA      | $2122232.76    | 0.00%             | 2046-07-17      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828K74<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  141303900 | PA      | $140632706.48  | 0.29%             | 2025-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     404644 | PA      | $416945.26     | 0.00%             | 2036-06-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   32420000 | PA      | $32881012.40   | 0.07%             | 2029-11-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-116, Class HI                                                                                   | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1023310 | PA      | $56175.03      | 0.00%             | 2038-01-25      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                          | Hilton Grand Vacations Trust, Series 2020-AA, Class A                                                                    | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3272148 | PA      | $3178586.60    | 0.01%             | 2039-02-25      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622ACE55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39677457 | PA      | $38899711.74   | 0.08%             | 2073-01-20      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-101, Class DO                                                                                   | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3023715 | PA      | $2168232.26    | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $9716796.90    | 0.02%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                                | MidAmerican Energy Co.                                                                                                   | CUSIP: 595620AY1<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |   10500000 | PA      | $10461794.28   | 0.02%             | 2054-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LTUV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     625849 | PA      | $604505.57     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-22, Class AO                                                                                    | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156138 | PA      | $137422.05     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417KPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35848 | PA      | $35356.34      | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    9640000 | PA      | $9507945.21    | 0.02%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   10434000 | PA      | $8150349.44    | 0.02%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Jonah                                                                 | Jonah                                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   32992528 | PA      | $33124498.28   | 0.07%             | 2037-11-10      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-54CB, Class 1A7                                                                      | CUSIP: 12668ANZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10266 | PA      | $7913.03       | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XCF5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   17280000 | PA      | $18015319.81   | 0.04%             | 2033-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   79578524 | PA      | $65666171.62   | 0.13%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                       | AstraZeneca plc                                                                                                          | CUSIP: 046353AG3<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    4270000 | PA      | $3550006.65    | 0.01%             | 2042-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   19265000 | PA      | $14737088.29   | 0.03%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133ALJE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15005795 | PA      | $11807455.21   | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-1, Class AA                                                              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11063849 | PA      | $10445469.44   | 0.02%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KC3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4643434 | PA      | $4335684.28    | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   19325000 | PA      | $19557965.58   | 0.04%             | 2029-02-01      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUJL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2855321 | PA      | $2738235.66    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series F                                                                                          | CUSIP: 257469AJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    5067000 | PA      | $5011087.73    | 0.01%             | 2033-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22415 | PA      | $22706.42      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  256218000 | PA      | $219536790.87  | 0.45%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                    | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   12355000 | PA      | $12694831.56   | 0.03%             | 2029-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M52J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176227 | PA      | $185454.36     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21000000 | PA      | $20269740.33   | 0.04%             | 2034-01-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H09, Class TA                                                                                          | CUSIP: 38375UFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     661760 | PA      | $666204.07     | 0.00%             | 2064-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                     | Republic of Chile                                                                                                        | CUSIP: 168863DN5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    9568000 | PA      | $8285888.00    | 0.02%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HEHL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3675947 | PA      | $3430096.62    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bastion Funding I LLC                                                 | Bastion Funding I LLC, Series 2023-1A, Class A2                                                                          | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   55746711 | PA      | $55889199.86   | 0.11%             | 2038-04-25      | Fixed         | 7.12%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36210ASU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1316 | PA      | $1352.39       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2444, Class ES                                                                                      | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65309 | PA      | $5700.14       | 0.00%             | 2032-03-15      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  130861054 | PA      | $126867427.63  | 0.26%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DH Europe Finance II SARL                                             | DH Europe Finance II SARL                                                                                                | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    7065000 | PA      | $5524103.51    | 0.01%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class AO                                                                                      | CUSIP: 31398LQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195878 | PA      | $166034.24     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR11, Class E1                                                                  | CUSIP: 74333XAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23735000 | PA      | $22137162.17   | 0.05%             | 2039-01-17      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1281801 | PA      | $1238102.40    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ADG7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    9450000 | PA      | $8735506.38    | 0.02%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140J2RQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $8513045.20    | 0.02%             | 2030-12-01      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XD6U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9615698 | PA      | $7911374.97    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAX6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    4606000 | PA      | $4205869.36    | 0.01%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2201, Class C                                                                                       | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13337 | PA      | $13639.04      | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   68233688 | PA      | $55664870.68   | 0.11%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7030000 | PA      | $6836400.41    | 0.01%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                                        | Aircastle Ltd.                                                                                                           | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     150000 | PA      | $149316.96     | 0.00%             | 2030-03-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-201, Class Z                                                                                           | CUSIP: 38383CZ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17871092 | PA      | $12370998.65   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-54, Class WI                                                                                    | CUSIP: 31396WFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131922 | PA      | $11212.44      | 0.00%             | 2037-06-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   25341000 | PA      | $26446000.64   | 0.05%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-H20, Class ID                                                                                          | CUSIP: 38380LR21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17280170 | PA      | $1017015.74    | 0.00%             | 2069-12-20      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A4                               | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129800 | PA      | $113720.97     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G                                                     | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29086735 | PA      | $25994849.56   | 0.05%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3225, Class EO                                                                                      | CUSIP: 31397BQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127444 | PA      | $102375.01     | 0.00%             | 2036-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-99, Class SC                                                                                    | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185939 | PA      | $12689.60      | 0.00%             | 2039-12-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    9020000 | PA      | $8502240.09    | 0.02%             | 2027-10-15      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A2, Class 1A1                                                                  | CUSIP: 16163LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27714 | PA      | $28107.23      | 0.00%             | 2035-06-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2003-12, Class 30                                                               | CUSIP: 55265K4C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7583 | PA      | $4493.33       | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650DT4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    8553000 | PA      | $8601744.32    | 0.02%             | 2030-02-21      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HAFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2490187 | PA      | $2323099.62    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                    | New Century Home Equity Loan Trust, Series 2003-5, Class AI6                                                             | CUSIP: 64352VED9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     617250 | PA      | $604964.61     | 0.00%             | 2033-11-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3458766 | PA      | $3179526.64    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617HGTZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1869386 | PA      | $1850820.71    | 0.00%             | 2049-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31334WEW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3042661 | PA      | $2847729.85    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87559 | PA      | $89684.59      | 0.00%             | 2038-04-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMJQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16892420 | PA      | $16830550.84   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2022-2A, Class E                                                                             | CUSIP: 23345AAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5955000 | PA      | $5989778.99    | 0.01%             | 2029-05-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2063, Class PG                                                                                      | CUSIP: 3133TEB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17662 | PA      | $17876.55      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W3, Class 1A3                                                                 | CUSIP: 31396VQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96731 | PA      | $97295.23      | 0.00%             | 2037-04-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-11, Class NB                                                                                    | CUSIP: 31397NLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8774 | PA      | $8742.87       | 0.00%             | 2029-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                   | GS Mortgage-Backed Securities Trust, Series 2024-RPL4, Class A1                                                          | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20603473 | PA      | $19932150.11   | 0.04%             | 2061-09-25      | Variable      | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   25708000 | PA      | $25858937.58   | 0.05%             | 2027-02-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAB6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4228000 | PA      | $2930004.00    | 0.01%             | 2047-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-39                                                                                              | CUSIP: 31393A5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23792 | PA      | $3520.82       | 0.00%             | 2033-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 8426EPAC2<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    2274000 | PA      | $1794315.32    | 0.00%             | 2047-05-30      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-130, Class GI                                                                                   | CUSIP: 31396PAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146618 | PA      | $9801.81       | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   25788000 | PA      | $27054738.80   | 0.06%             | 2028-12-04      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                           | Penske Truck Leasing Co. LP                                                                                              | CUSIP: 709599CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2534176.45    | 0.01%             | 2029-07-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4AG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30085 | PA      | $30297.71      | 0.00%             | 2035-12-01      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13684837 | PA      | $12937897.87   | 0.03%             | 2030-04-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Credit One Ltd.                                                       | Credit One Ltd.                                                                                                          | CUSIP: N/A<br>LEI: 984500DAE0FFZ45C8093       | Long             | ABS-MBS          | CORP              | NG        |   71500000 | PA      | $71957600.00   | 0.15%             | 2029-02-25      | Fixed         | 6.47%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JHN90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1417719 | PA      | $1356854.75    | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     894501 | PA      | $937779.16     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-62, Class PB                                                                                    | CUSIP: 31359XEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7985 | PA      | $8090.00       | 0.00%             | 2029-12-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                               | Wachovia Bank Commercial Mortgage Trust, Series 2006-C24, Class XC                                                       | CUSIP: 92976BGA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225041 | PA      | $2.25          | 0.00%             | 2045-03-15      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31419ABT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45918 | PA      | $46386.05      | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                           | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AQ2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   11863000 | PA      | $12022053.88   | 0.02%             | 2033-07-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     676586 | PA      | $648283.56     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23900571 | PA      | $20901472.71   | 0.04%             | 2063-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404XJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9587 | PA      | $9761.98       | 0.00%             | 2034-11-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 2 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       6875 | NC      | $2245746.25    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    2710000 | PA      | $1839874.61    | 0.00%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     962000 | PA      | $529626.24     | 0.00%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                             | South Bow USA Infrastructure Holdings LLC                                                                                | CUSIP: 83007CAC6<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    8260000 | PA      | $8190545.96    | 0.02%             | 2029-10-01      | Fixed         | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCG4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $994641.20     | 0.00%             | 2052-11-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   33708000 | PA      | $28781487.15   | 0.06%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Arizona Public Service Co.                                            | Arizona Public Service Co.                                                                                               | CUSIP: 040555CM4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    3036000 | PA      | $2735818.26    | 0.01%             | 2041-09-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                          | Leidos, Inc.                                                                                                             | CUSIP: 52532XAJ4<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $8836485.81    | 0.02%             | 2033-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-130, Class SX                                                                                   | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3276 | PA      | $3321.81       | 0.00%             | 2034-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622ACP38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   85040198 | PA      | $77058827.20   | 0.16%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                       | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                                                                | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2109777.25    | 0.00%             | 2045-03-15      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5172065 | PA      | $5264190.19    | 0.01%             | 2031-08-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-16, Class HZ                                                                                    | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136751 | PA      | $141798.33     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3122, Class OH                                                                                      | CUSIP: 31396JLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71589 | PA      | $62004.98      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A2                                                         | CUSIP: 59020ULR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154040 | PA      | $144355.20     | 0.00%             | 2034-08-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-36, Class DE                                                                                    | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79598 | PA      | $82410.53      | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   13890000 | PA      | $14522928.13   | 0.03%             | 2029-10-03      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                        | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7604839.13    | 0.02%             | 2033-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $18954529.80   | 0.04%             | 2032-09-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-67, Class EY                                                                                    | CUSIP: 31394EE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2253 | PA      | $2245.23       | 0.00%             | 2025-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    8870000 | PA      | $8767647.74    | 0.02%             | 2025-10-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  102905555 | PA      | $86820327.88   | 0.18%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 LP                                                           | CARS-DB4 LP, Series 2020-1A, Class A5                                                                                    | CUSIP: 12510HAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5636198 | PA      | $5432773.29    | 0.01%             | 2050-02-15      | Fixed         | 3.48%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HE2W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11417709 | PA      | $11353846.72   | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17866862 | PA      | $16948691.66   | 0.03%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W7, Class 1A4                                                                 | CUSIP: 31396WVA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55468 | PA      | $71711.26      | 0.00%             | 2037-07-25      | Floating      | 12.37%                | No            |                  2 | On Loan: No      |
| National Grid plc                                                     | National Grid plc                                                                                                        | CUSIP: 636274AF9<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |   21700000 | PA      | $21868978.99   | 0.04%             | 2034-01-11      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J92K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2071388 | PA      | $1946767.73    | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                                  | Steel Dynamics, Inc.                                                                                                     | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    5270000 | PA      | $4922023.64    | 0.01%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-44                                                                                              | CUSIP: 31397LMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7912 | PA      | $6905.54       | 0.00%             | 2038-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4300000 | PA      | $4435137.78    | 0.01%             | 2032-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     973987 | PA      | $920291.80     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                                          | DNB Bank ASA                                                                                                             | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   22075000 | PA      | $20920437.32   | 0.04%             | 2028-03-30      | Variable      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class DF                                                                                    | CUSIP: 31396KYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311539 | PA      | $309176.51     | 0.00%             | 2036-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-2, Class WA                                                                                     | CUSIP: 31397QHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233696 | PA      | $241560.03     | 0.00%             | 2051-02-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1928000 | PA      | $1368880.00    | 0.00%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                            | RALI Trust, Series 2005-QA6, Class A32                                                                                   | CUSIP: 76110H6F1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     609686 | PA      | $326438.64     | 0.00%             | 2035-05-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A7W88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10202733 | PA      | $8329527.06    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Municipal Power, Inc.                                        | American Municipal Power, Inc., Meldahl Hydroelectric Project, Series 2010B                                              | CUSIP: 02765UDV3<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |   11370000 | PA      | $12702922.16   | 0.03%             | 2050-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2192 | PA      | $2170.23       | 0.00%             | 2029-03-01      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202DCS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142405 | PA      | $145995.17     | 0.00%             | 2029-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-55, Class S                                                                                     | CUSIP: 31397L4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218207 | PA      | $7068.23       | 0.00%             | 2028-07-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1                                                 | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     234437 | PA      | $218771.34     | 0.00%             | 2034-06-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Molson Coors Beverage Co.                                             | Molson Coors Beverage Co.                                                                                                | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   20196000 | PA      | $15796722.89   | 0.03%             | 2046-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-90, Class AO                                                                                    | CUSIP: 31396KU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57941 | PA      | $51653.33      | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-5A, Class D                                                             | CUSIP: 30167FAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12600000 | PA      | $12860187.48   | 0.03%             | 2029-02-15      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M12, Class A2                                                                                     | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26063646 | PA      | $25437373.54   | 0.05%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H12, Class IJ                                                                                          | CUSIP: 38380QEW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32906928 | PA      | $1844127.26    | 0.00%             | 2070-07-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2015-2, Class A                                                             | CUSIP: 02377BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15235855 | PA      | $14587765.87   | 0.03%             | 2027-09-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   22000000 | PA      | $21677250.10   | 0.04%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    2798000 | PA      | $2691120.82    | 0.01%             | 2027-11-02      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class OG                                                                                      | CUSIP: 31396HVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37010 | PA      | $32555.37      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                   | Chase Funding Trust, Series 2003-4, Class 1A5                                                                            | CUSIP: 161546FV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     431653 | PA      | $421036.15     | 0.00%             | 2033-05-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                          | Exelon Corp.                                                                                                             | CUSIP: 30161NAU5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    1177000 | PA      | $1164647.56    | 0.00%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   56405000 | PA      | $55700501.55   | 0.11%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                             | South Bow USA Infrastructure Holdings LLC                                                                                | CUSIP: 83007CAA0<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7004938.71    | 0.01%             | 2027-09-01      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| CNO Global Funding                                                    | CNO Global Funding                                                                                                       | CUSIP: 18977W2A7<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   11240000 | PA      | $10790939.52   | 0.02%             | 2026-10-07      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-72, Class SM                                                                                           | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     699595 | PA      | $51898.51      | 0.00%             | 2039-08-16      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    6210000 | PA      | $6143823.69    | 0.01%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2122000 | PA      | $2098468.82    | 0.00%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   17265000 | PA      | $17372190.10   | 0.04%             | 2027-01-18      | Variable      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2005-5F, Class 8A3                                                                       | CUSIP: 36242D7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64507 | PA      | $62335.72      | 0.00%             | 2035-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| LSEGA Financing plc                                                   | LSEGA Financing plc                                                                                                      | CUSIP: 50220PAC7<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |   30170000 | PA      | $28172367.97   | 0.06%             | 2028-04-06      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412LUH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85890 | PA      | $89622.95      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                  | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 1P                                           | CUSIP: 22541QXK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180533 | PA      | $131135.59     | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3905000 | PA      | $3429993.38    | 0.01%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5CE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235671 | PA      | $242793.53     | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1613104 | PA      | $1482909.05    | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Utah Acquisition Sub, Inc.                                            | Utah Acquisition Sub, Inc.                                                                                               | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    2504000 | PA      | $2471277.98    | 0.01%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                                             | KLA Corp.                                                                                                                | CUSIP: 482480AM2<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6211526.30    | 0.01%             | 2052-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165ES5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |   17320000 | PA      | $16678832.13   | 0.03%             | 2054-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XQZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19154693 | PA      | $16458782.67   | 0.03%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRAN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6357104 | PA      | $5834027.99    | 0.01%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KJBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1036281 | PA      | $846004.43     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1418378.12    | 0.00%             | 2044-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                                       | Halliburton Co.                                                                                                          | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    3583000 | PA      | $3371890.89    | 0.01%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   12760000 | PA      | $12938073.33   | 0.03%             | 2029-04-20      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.                            | Australia & New Zealand Banking Group Ltd.                                                                               | CUSIP: 052528AK2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    1834000 | PA      | $1828355.74    | 0.00%             | 2026-05-19      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-129, Class AW                                                                                          | CUSIP: 38377MBJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     244313 | PA      | $250508.33     | 0.00%             | 2037-04-20      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-33, Class XS                                                                                           | CUSIP: 38375QFE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     272421 | PA      | $16666.24      | 0.00%             | 2038-04-16      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31409V4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52909 | PA      | $53977.10      | 0.00%             | 2036-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405N7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26287 | PA      | $26778.29      | 0.00%             | 2034-10-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2015-2, Class A                                                                         | CUSIP: 48250BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2073603 | PA      | $204260.27     | 0.00%             | 2041-07-25      | Variable      | 2.56%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37635000 | PA      | $38123078.91   | 0.08%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1551 | PA      | $1584.81       | 0.00%             | 2036-11-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YMN65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7442801 | PA      | $6485937.93    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442RAD3<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    2258000 | PA      | $1795441.18    | 0.00%             | 2044-12-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-K90, Class B                                                                           | CUSIP: 30308QAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $8288251.40    | 0.02%             | 2052-02-25      | Variable      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   11700000 | PA      | $10260165.36   | 0.02%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                        | Hewlett Packard Enterprise Co.                                                                                           | CUSIP: 42824CBW8<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |   17820000 | PA      | $16631389.25   | 0.03%             | 2054-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                      | Welltower OP LLC                                                                                                         | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |     460000 | PA      | $492716.37     | 0.00%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-71, Class ST                                                                                           | CUSIP: 38374JBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81214 | PA      | $81879.84      | 0.00%             | 2034-09-20      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EH9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    3755000 | PA      | $2672754.44    | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-48, Class 1A                                           | CUSIP: 31392UZ56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     773544 | PA      | $740318.69     | 0.00%             | 2033-07-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                             | Mid-America Apartments LP                                                                                                | CUSIP: 59523UAS6<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $4663931.14    | 0.01%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-7, Class 30                                                                    | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66604 | PA      | $46840.26      | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR11, Class A6                                                | CUSIP: 92922FJF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     620460 | PA      | $587497.77     | 0.00%             | 2033-10-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2016-K56, Class B                                                                           | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8451000 | PA      | $8338455.50    | 0.02%             | 2049-06-25      | Variable      | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4217, Class KY                                                                                      | CUSIP: 3137B2KH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1794000 | PA      | $1600859.40    | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GAIF Bond Issuer Pty. Ltd.                                            | GAIF Bond Issuer Pty. Ltd.                                                                                               | CUSIP: 361435AA8<br>LEI: 2138007UNQRHCRSBNZ86 | Long             | DBT              | CORP              | AU        |    7843000 | PA      | $7707987.70    | 0.02%             | 2026-09-30      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29151 | PA      | $30233.23      | 0.00%             | 2036-03-01      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                    | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VAE1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    2066000 | PA      | $2039365.19    | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CFIN LLC                                                              | CFIN LLC, Series 2024-1A, Class A                                                                                        | CUSIP: 125307AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   93000000 | PA      | $93939300.00   | 0.19%             | 2028-11-27      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| American Water Capital Corp.                                          | American Water Capital Corp.                                                                                             | CUSIP: 03040WAP0<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    2241000 | PA      | $1725923.70    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XPRT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33370235 | PA      | $27530813.58   | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                                | Oklahoma Development Finance Authority, Public Service Co., Series 2022                                                  | CUSIP: 6789084G6<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |   27500000 | PA      | $25948598.50   | 0.05%             | 2044-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   10770000 | PA      | $10801277.80   | 0.02%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                   | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19                                         | CUSIP: 32051GYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420174 | PA      | $193764.90     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lendingpoint SPE Trust                                                | Lendingpoint SPE Trust, Series 2020-VFN1, Class A2B1                                                                     | CUSIP: 52607AAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     273836 | PA      | $268468.85     | 0.00%             | 2026-12-15      | Floating      | 9.21%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7541000 | PA      | $6505359.33    | 0.01%             | 2032-01-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                             | GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4                                                                    | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157699 | PA      | $154093.07     | 0.00%             | 2035-06-19      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664BU4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   13241000 | PA      | $11938122.81   | 0.02%             | 2042-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 1997-1, Class 2Z                                                                           | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     131127 | PA      | $132968.28     | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ford Foundation (The)                                                 | Ford Foundation (The), Series 2020                                                                                       | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $2155805.68    | 0.00%             | 2070-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-26, Class AK                                                                                           | CUSIP: 38378JBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     935374 | PA      | $937277.77     | 0.00%             | 2041-09-20      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                 | MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 3A1                                                         | CUSIP: 576433VM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51229 | PA      | $50118.98      | 0.00%             | 2034-12-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4663000 | PA      | $4544974.06    | 0.01%             | 2033-06-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H29, Class FA                                                                                          | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1242970 | PA      | $1247591.07    | 0.00%             | 2062-10-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2990, Class WP                                                                                      | CUSIP: 31395V4V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2034 | PA      | $2050.82       | 0.00%             | 2035-06-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-56, Class AC                                                                                    | CUSIP: 31397MAH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111299 | PA      | $110181.69     | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044CR0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $8037259.92    | 0.02%             | 2042-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133AFZD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7642556 | PA      | $6231379.28    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  138669921 | PA      | $62793803.26   | 0.13%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34497 | PA      | $35575.72      | 0.00%             | 2037-02-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   10780000 | PA      | $10555339.63   | 0.02%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                      | Multi-Family Connecticut Avenue Securities Trust, Series 2023-01, Class M7                                               | CUSIP: 62548NAA6<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |   41840572 | PA      | $43396769.19   | 0.09%             | 2053-11-25      | Floating      | 8.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3149, Class SO                                                                                      | CUSIP: 31396RJA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64644 | PA      | $51212.06      | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                 | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   17240000 | PA      | $14522358.64   | 0.03%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                                                | Invitation Homes Trust, Series 2024-SFR1, Class D                                                                        | CUSIP: 46188DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22630000 | PA      | $21336444.31   | 0.04%             | 2041-09-17      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060BL9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    7762000 | PA      | $7504842.30    | 0.02%             | 2044-07-05      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                               | APA Infrastructure Ltd.                                                                                                  | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    7325000 | PA      | $7272284.03    | 0.01%             | 2027-07-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2002-52, Class GH                                                                                           | CUSIP: 38373XE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     193010 | PA      | $192499.12     | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-30, Class LS                                                                                    | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1320561 | PA      | $85199.71      | 0.00%             | 2041-04-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-6, Class SH                                                                                            | CUSIP: 38375Y6G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     303211 | PA      | $1092.74       | 0.00%             | 2039-02-20      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2296, Class PD                                                                                      | CUSIP: 3133TRUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36488 | PA      | $37763.05      | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29268BAF8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     897000 | PA      | $903725.97     | 0.00%             | 2039-10-07      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617G82F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125622 | PA      | $129731.14     | 0.00%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   15245000 | PA      | $12944104.47   | 0.03%             | 2032-01-20      | Variable      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3122, Class ZB                                                                                      | CUSIP: 31396JMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30572 | PA      | $31728.02      | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19292277 | PA      | $16949019.96   | 0.03%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  116650000 | PA      | $107573171.88  | 0.22%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140N83D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8232951 | PA      | $8202797.53    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                   | Fifth Third Bancorp                                                                                                      | CUSIP: 316773DL1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    8401000 | PA      | $8626331.79    | 0.02%             | 2032-01-29      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7LX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     349223 | PA      | $339347.38     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2567, Class QD                                                                                      | CUSIP: 31393KA39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140782 | PA      | $146359.46     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 393, Class 6                                                                                        | CUSIP: 3136FGCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35186 | PA      | $3317.19       | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21499716 | PA      | $18880246.87   | 0.04%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ohio Edison Co.                                                       | Ohio Edison Co.                                                                                                          | CUSIP: 677347CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     780000 | PA      | $866877.14     | 0.00%             | 2036-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1899, Class ZE                                                                                      | CUSIP: 3133T86T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6003 | PA      | $6062.99       | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                      | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    6530000 | PA      | $5615180.96    | 0.01%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Edison International                                                  | Edison International                                                                                                     | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2009129.50    | 0.00%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co.                                                                                                         | CUSIP: 641423CA4<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    3354000 | PA      | $3172743.10    | 0.01%             | 2041-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X7CH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4882321 | PA      | $4790540.71    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833QB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50000000 | PA      | $45395628.50   | 0.09%             | 2027-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4218 | PA      | $4234.06       | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12053600 | PA      | $11792685.36   | 0.02%             | 2033-01-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2022-1A, Class C                                                                        | CUSIP: 67571EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4908000 | PA      | $4909766.88    | 0.01%             | 2028-08-21      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class B                                                               | CUSIP: 224927AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5100000 | PA      | $5187583.83    | 0.01%             | 2033-05-16      | Fixed         | 7.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DPTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10839258 | PA      | $10282239.08   | 0.02%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                     | Cigna Group (The)                                                                                                        | CUSIP: 125523CU2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   20860000 | PA      | $21205180.43   | 0.04%             | 2031-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617JR4K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1467256 | PA      | $1452351.19    | 0.00%             | 2049-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDUX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11034000 | PA      | $10817811.61   | 0.02%             | 2026-06-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MAK6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    2517000 | PA      | $2468349.33    | 0.01%             | 2026-10-19      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-112, Class ST                                                                                   | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401131 | PA      | $38919.32      | 0.00%             | 2040-01-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 36180B5X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     850072 | PA      | $776492.70     | 0.00%             | 2039-01-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3920, Class LP                                                                                      | CUSIP: 3137AF3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     722063 | PA      | $732500.64     | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    7861000 | PA      | $6287181.42    | 0.01%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9244000 | PA      | $9184318.33    | 0.02%             | 2030-10-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   29236000 | PA      | $29586832.00   | 0.06%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3671819 | PA      | $3155520.69    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MA                                                       | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12778317 | PA      | $12122560.35   | 0.02%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   43243100 | PA      | $32074218.08   | 0.07%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                              | Tricon Residential Trust, Series 2023-SFR2, Class C                                                                      | CUSIP: 895978AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5835000 | PA      | $5751762.56    | 0.01%             | 2040-12-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-14, Class NI                                                                                           | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     383989 | PA      | $29508.02      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K138, Class AM                                          | CUSIP: 3137H5XV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24220000 | PA      | $20529148.11   | 0.04%             | 2032-01-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2024-5, Class D                                                           | CUSIP: 802920AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12380000 | PA      | $12373691.15   | 0.03%             | 2032-02-17      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAU2<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    4150000 | PA      | $3605706.83    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4685981 | PA      | $4019547.13    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2018-1, Class A                                                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5513747 | PA      | $5102750.42    | 0.01%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                        | Home Partners of America Trust, Series 2021-2, Class E1                                                                  | CUSIP: 43732VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   52038959 | PA      | $49510979.05   | 0.10%             | 2026-12-17      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Corp. Trust                             | GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1                                                    | CUSIP: 36261WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   35347309 | PA      | $33037231.14   | 0.07%             | 2060-12-25      | Variable      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128C6QE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     474238 | PA      | $486203.09     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LE3E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $8572986.40    | 0.02%             | 2032-01-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class A                                            | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95046 | PA      | $64762.26      | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKBR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16577174 | PA      | $14110575.51   | 0.03%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-110, Class GL                                                                                   | CUSIP: 31394US60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1458504 | PA      | $1513219.42    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21000000 | PA      | $20907304.74   | 0.04%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XQS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32305172 | PA      | $28162162.41   | 0.06%             | 2053-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF 2020-KHG2 Mortgage Trust                                        | FREMF Mortgage Trust, Series 2020-KHG2, Class C                                                                          | CUSIP: 302983AG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32666000 | PA      | $27297836.16   | 0.06%             | 2030-02-25      | Variable      | 3.07%                 | Yes           |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                        | Public Service Co. of Oklahoma                                                                                           | CUSIP: 744533BQ2<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    6680000 | PA      | $6655898.83    | 0.01%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR3, Class E1                                                                   | CUSIP: 74331UAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   50390000 | PA      | $49779001.09   | 0.10%             | 2039-04-17      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   16725000 | PA      | $17215213.43   | 0.04%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                                          | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   56650000 | PA      | $54858341.78   | 0.11%             | 2026-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622ADGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   48704256 | PA      | $48964265.59   | 0.10%             | 2064-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HYAR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5081000 | PA      | $4032934.66    | 0.01%             | 2035-05-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-91, Class PI                                                                                           | CUSIP: 38374MSK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     155341 | PA      | $13983.70      | 0.00%             | 2035-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44748089 | PA      | $36423317.48   | 0.07%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                                    | Aqua Finance Trust, Series 2019-A, Class A                                                                               | CUSIP: 038370AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2052384 | PA      | $1984805.91    | 0.00%             | 2040-07-16      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   12475000 | PA      | $11765775.92   | 0.02%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2014-1, Class A                                                                         | CUSIP: 48249FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4086488 | PA      | $102787.44     | 0.00%             | 2032-10-25      | Variable      | 1.46%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   25400000 | PA      | $22711621.33   | 0.05%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    8056000 | PA      | $7713620.00    | 0.02%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128L3L79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75934 | PA      | $76489.48      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                     | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $13164806.76   | 0.03%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| BayCare Health System, Inc.                                           | BayCare Health System, Inc., Series 2020                                                                                 | CUSIP: 072722AE1<br>LEI: 1H90SRZU22X0SF1UZR52 | Long             | DBT              | CORP              | US        |    9475000 | PA      | $7006587.31    | 0.01%             | 2050-11-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2003-A5, Class 2A6                                                        | CUSIP: 5899293T3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68137 | PA      | $66403.38      | 0.00%             | 2033-08-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Nationwide Mutual Insurance Co.                                       | Nationwide Mutual Insurance Co.                                                                                          | CUSIP: 638671AC1<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $9015991.60    | 0.02%             | 2031-12-01      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| 20 Times Square Trust                                                 | 20 Times Square Trust, Series 2018-20TS, Class D                                                                         | CUSIP: 90137LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21000000 | PA      | $18900000.00   | 0.04%             | 2035-05-15      | Variable      | 3.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31419ADA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $32.68         | 0.00%             | 2025-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225BPM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     167729 | PA      | $173888.95     | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8B86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14967275 | PA      | $14700832.79   | 0.03%             | 2026-12-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     413981 | PA      | $404266.81     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43000000 | PA      | $41831376.96   | 0.09%             | 2032-10-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-1, Class SA                                                                                     | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12490 | PA      | $14463.68      | 0.00%             | 2032-02-25      | Floating      | 10.77%                | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class BK73                                                                       | CUSIP: 05494BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20476000 | PA      | $18461532.22   | 0.04%             | 2051-02-27      | Variable      | 2.07%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2262, Class Z                                                                                       | CUSIP: 3133TQ5B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4174 | PA      | $4377.67       | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410XC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119015 | PA      | $122754.01     | 0.00%             | 2036-10-01      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-62, Class PS                                                                                    | CUSIP: 31395N7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39696 | PA      | $54994.77      | 0.00%             | 2036-07-25      | Floating      | 13.28%                | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    6831000 | PA      | $4377616.43    | 0.01%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Reference REMIC, Series R007, Class ZA                                                                            | CUSIP: 31396NRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1165086 | PA      | $1209915.61    | 0.00%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  160035000 | PA      | $148888811.90  | 0.30%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Ausgrid Finance Pty. Ltd.                                             | Ausgrid Finance Pty. Ltd.                                                                                                | CUSIP: 052113AB3<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |    1500000 | PA      | $1477214.78    | 0.00%             | 2028-08-01      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                                         | Pioneer Natural Resources Co.                                                                                            | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   18050000 | PA      | $15806022.56   | 0.03%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4836 | PA      | $4921.19       | 0.00%             | 2034-09-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 299, Class 300                                                                                     | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     827495 | PA      | $751749.87     | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKQZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6239000 | PA      | $6110751.93    | 0.01%             | 2033-06-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class TO                                                                                      | CUSIP: 31398LR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     358639 | PA      | $300400.02     | 0.00%             | 2039-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-59, Class SU                                                                                    | CUSIP: 31394ETN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90428 | PA      | $93336.65      | 0.00%             | 2035-06-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust, Series 2017-FRE2, Class M6                                                                    | CUSIP: 89175GAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8760695 | PA      | $8579830.97    | 0.02%             | 2047-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-38, Class ZK                                                                                           | CUSIP: 38374NQB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1047841 | PA      | $1044935.99    | 0.00%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   19000000 | PA      | $16330516.15   | 0.03%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-13, Class ST                                                                                    | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1168 | PA      | $1225.23       | 0.00%             | 2032-03-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                           | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   22080000 | PA      | $22525006.72   | 0.05%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Cleveland Electric Illuminating Co. (The)                             | Cleveland Electric Illuminating Co. (The)                                                                                | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3890000 | PA      | $3748302.39    | 0.01%             | 2028-04-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    6400000 | PA      | $6152002.43    | 0.01%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        345 | PA      | $346.98        | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                  | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   30000000 | PA      | $29343536.70   | 0.06%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    9155000 | PA      | $9210003.70    | 0.02%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2418, Class FO                                                                                      | CUSIP: 31339D2Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54432 | PA      | $54658.16      | 0.00%             | 2032-02-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14915167 | PA      | $13700435.10   | 0.03%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AH5<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   25300000 | PA      | $25671941.37   | 0.05%             | 2026-06-26      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391XJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107085 | PA      | $110667.51     | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-72, Class EK                                                                                    | CUSIP: 31396WQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1274405 | PA      | $129097.84     | 0.00%             | 2037-07-25      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2022-3A, Class D                                                           | CUSIP: 96043PAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   70490000 | PA      | $71372781.52   | 0.15%             | 2028-04-17      | Fixed         | 6.68%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  111315000 | PA      | $109506131.25  | 0.22%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   12880000 | PA      | $13019150.75   | 0.03%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                                  | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  400564000 | PA      | $340791912.02  | 0.70%             | 2055-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37905410 | PA      | $39661673.66   | 0.08%             | 2071-09-20      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-28CB, Class 1A4                                                                      | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     840850 | PA      | $715940.42     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JKQH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     297998 | PA      | $302240.17     | 0.00%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  617050000 | PA      | $593958828.95  | 1.21%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6148900 | PA      | $6081054.82    | 0.01%             | 2033-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-59, Class BG                                                                                    | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26835 | PA      | $23627.15      | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1935, Class FL                                                                                      | CUSIP: 3133T8Z83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        334 | PA      | $334.42        | 0.00%             | 2027-02-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   11955000 | PA      | $12036813.92   | 0.02%             | 2033-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2247, Class Z                                                                                       | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20140 | PA      | $20890.51      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9MY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4317549 | PA      | $3961520.49    | 0.01%             | 2035-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-97, Class FC                                                                                    | CUSIP: 31396XB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114465 | PA      | $113421.93     | 0.00%             | 2037-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     365015 | PA      | $376926.55     | 0.00%             | 2035-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                      | Amazon.com, Inc.                                                                                                         | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    9440000 | PA      | $8411176.31    | 0.02%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402CPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234617 | PA      | $238119.03     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LUY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91145 | PA      | $93951.01      | 0.00%             | 2040-07-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2126, Class CB                                                                                      | CUSIP: 3133TJDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75026 | PA      | $75801.48      | 0.00%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5294980 | PA      | $5199602.72    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 313929RL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152585 | PA      | $155985.25     | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YDB2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   15000000 | PA      | $15424388.25   | 0.03%             | 2034-07-06      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2004-6F, Class 3A4                                                                       | CUSIP: 36228F2R6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     137091 | PA      | $142178.92     | 0.00%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3151                                                                                                | CUSIP: 31396NU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123795 | PA      | $103409.67     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                            | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    9650000 | PA      | $9591578.61    | 0.02%             | 2030-04-10      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                            | Impac Secured Assets Trust, Series 2006-1, Class 2A1                                                                     | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     379353 | PA      | $347886.05     | 0.00%             | 2036-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A6                                                            | CUSIP: 17307GBJ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       5891 | PA      | $4868.51       | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2469000 | PA      | $2188178.09    | 0.00%             | 2032-04-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $7151190.20    | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-92, Class YS                                                                                    | CUSIP: 31396XMZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119055 | PA      | $8543.01       | 0.00%             | 2037-06-25      | Floating      | 1.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-9, Class CI                                                                                            | CUSIP: 38375JMV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     499549 | PA      | $31842.52      | 0.00%             | 2037-03-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36000000 | PA      | $30796499.88   | 0.06%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-113, Class AO                                                                                   | CUSIP: 31398GWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134410 | PA      | $110389.07     | 0.00%             | 2040-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2003-9, Class 8A1                                                                   | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63792 | PA      | $59825.47      | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   11100000 | PA      | $10799512.12   | 0.02%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 5 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      19249 | NC      | $12273610.85   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410QWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94356 | PA      | $96958.26      | 0.00%             | 2036-09-01      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36209DEH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19374 | PA      | $19527.55      | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LH2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34142000 | PA      | $33942867.13   | 0.07%             | 2032-12-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     770000 | PA      | $766160.56     | 0.00%             | 2026-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2005-W1, Class 1A2                                                                 | CUSIP: 31394CB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     578843 | PA      | $597111.66     | 0.00%             | 2044-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-112, Class SA                                                                                          | CUSIP: 38374EZ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     221319 | PA      | $996.05        | 0.00%             | 2033-12-16      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    4555000 | PA      | $4739377.15    | 0.01%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $9629729.28    | 0.02%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NYU Langone Hospitals                                                 | NYU Langone Hospitals, Series 2020                                                                                       | CUSIP: 62954RAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9170000 | PA      | $6007684.79    | 0.01%             | 2055-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-135                                                                                             | CUSIP: 3136AHYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1815568 | PA      | $1344808.29    | 0.00%             | 2044-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                             | GSMPS Mortgage Loan Trust, Series 2004-4, Class 1AF                                                                      | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     241227 | PA      | $216105.66     | 0.00%             | 2034-06-25      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-42, Class SC                                                                                           | CUSIP: 38374UVQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     666606 | PA      | $51396.82      | 0.00%             | 2039-06-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132AEPV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14847352 | PA      | $13851434.77   | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-2, Class C                                                                  | CUSIP: 21872GAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5526000 | PA      | $5332534.74    | 0.01%             | 2052-06-15      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-39, Class OT                                                                                    | CUSIP: 31398PU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60948 | PA      | $52447.22      | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    3831000 | PA      | $3754758.20    | 0.01%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H04, Class SA                                                                                          | CUSIP: 38375BL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     520983 | PA      | $522543.19     | 0.00%             | 2063-02-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Pass-Through Certificates           | Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A2                                   | CUSIP: 86358RXY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       7952 | PA      | $6820.24       | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-11, Class PS                                                                                    | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56891 | PA      | $66029.16      | 0.00%             | 2036-03-25      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class A736                                                                       | CUSIP: 05494BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15256000 | PA      | $14582069.25   | 0.03%             | 2052-09-27      | Variable      | 2.19%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4257, Class DZ                                                                                      | CUSIP: 3137B57H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6539174 | PA      | $5578505.67    | 0.01%             | 2043-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2021-ST2, Class A                                                                     | CUSIP: 91682CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     131849 | PA      | $131404.66     | 0.00%             | 2027-04-20      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2007-A1, Class 5A1                                                                       | CUSIP: 46630GAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98282 | PA      | $99556.07      | 0.00%             | 2035-07-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31334Y2K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1182679 | PA      | $1060083.30    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-K93, Class B                                                                           | CUSIP: 30313FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $7717787.98    | 0.02%             | 2052-05-25      | Variable      | 4.12%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     768167 | PA      | $759001.30     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XDGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47319175 | PA      | $38879091.03   | 0.08%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2586, Class WI                                                                                      | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51992 | PA      | $7120.26       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2925000 | PA      | $2911528.06    | 0.01%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-35, Class ZB                                                                                           | CUSIP: 38374TP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6880307 | PA      | $7061700.66    | 0.01%             | 2039-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5184958 | PA      | $4766444.99    | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   17530000 | PA      | $16924667.36   | 0.03%             | 2026-06-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412LW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163337 | PA      | $170468.27     | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H07, Class HA                                                                                          | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     905799 | PA      | $908050.97     | 0.00%             | 2063-03-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26884TAY8<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |   15410000 | PA      | $15682688.12   | 0.03%             | 2029-02-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Sutter Health                                                         | Sutter Health                                                                                                            | CUSIP: 86944BAL7<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4789191.35    | 0.01%             | 2053-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132L5L84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10875916 | PA      | $9673354.50    | 0.02%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Trane Technologies Financing Ltd.                                     | Trane Technologies Financing Ltd.                                                                                        | CUSIP: 892938AA9<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |   10410000 | PA      | $10630822.54   | 0.02%             | 2033-03-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Crown Castle Towers LLC                                               | Crown Castle Towers LLC                                                                                                  | CUSIP: 22822RBH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $9749944.00    | 0.02%             | 2028-07-15      | Fixed         | 4.24%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2005-14, Class A2                                                                | CUSIP: 12669GK67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71798 | PA      | $29362.85      | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-47, Class MT                                                                                    | CUSIP: 31396QHD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6477 | PA      | $6652.15       | 0.00%             | 2039-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2004-4, Class 1A6                                                               | CUSIP: 57643MAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     124647 | PA      | $121203.95     | 0.00%             | 2033-12-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-6, Class 7A1                                                                   | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74394 | PA      | $73713.01      | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XCYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43061702 | PA      | $35654162.12   | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703DBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5508000 | PA      | $5618138.13    | 0.01%             | 2028-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1829, Class ZB                                                                                      | CUSIP: 3133T6J36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $30.55         | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   16445000 | PA      | $14071628.16   | 0.03%             | 2032-11-02      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                      | Jersey Central Power & Light Co.                                                                                         | CUSIP: 476556CX1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    1740000 | PA      | $1819109.67    | 0.00%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                             | Bank of Ireland Group plc                                                                                                | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   33280000 | PA      | $33984713.32   | 0.07%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| GTP Acquisition Partners I LLC                                        | GTP Acquisition Partners I LLC                                                                                           | CUSIP: 36246MAU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11667000 | PA      | $11657102.88   | 0.02%             | 2025-06-16      | Fixed         | 3.48%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3819, Class ZQ                                                                                      | CUSIP: 3137A8N20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1949415 | PA      | $2049858.83    | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Street Capital Group, Inc.                                            | Street Capital Group, Inc.                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   15000000 | PA      | $15000000.00   | 0.03%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| HERO Funding Trust                                                    | HERO Funding Trust, Series 2016-4A, Class A2                                                                             | CUSIP: 40417QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1433054 | PA      | $1320899.81    | 0.00%             | 2047-09-20      | Fixed         | 4.29%                 | Yes           |                  3 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2                                                                       | CUSIP: 46630GAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39311 | PA      | $39820.58      | 0.00%             | 2035-07-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31283HTD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15002 | PA      | $15674.37      | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   23200000 | PA      | $23092777.02   | 0.05%             | 2030-03-25      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MA                                                       | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32331320 | PA      | $29823596.27   | 0.06%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31322YU25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147257 | PA      | $136612.86     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   22930000 | PA      | $22960278.84   | 0.05%             | 2034-06-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403DES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68362 | PA      | $70347.91      | 0.00%             | 2036-01-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                               | Duke Energy Indiana LLC, Series YYY                                                                                      | CUSIP: 26443TAB2<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    6895000 | PA      | $4510034.94    | 0.01%             | 2049-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEPQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19873326 | PA      | $17150824.67   | 0.04%             | 2032-01-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H01, Class JA                                                                                          | CUSIP: 38375BF31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     867113 | PA      | $868262.20     | 0.00%             | 2063-01-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| DTE Electric Securitization Funding II LLC                            | DTE Electric Securitization Funding II LLC, Series A-2                                                                   | CUSIP: 23346TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18650000 | PA      | $19806462.07   | 0.04%             | 2037-09-01      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   24790000 | PA      | $26613187.49   | 0.05%             | 2033-08-12      | Variable      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2500, Class MC                                                                                      | CUSIP: 31392UXE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77118 | PA      | $79801.46      | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-K67, Class B                                                                           | CUSIP: 30300YAS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10500000 | PA      | $10290874.65   | 0.02%             | 2049-09-25      | Variable      | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   13405000 | PA      | $13452173.00   | 0.03%             | 2031-03-04      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31412CEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172995 | PA      | $175838.00     | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33325000 | PA      | $33180655.76   | 0.07%             | 2032-12-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-118, Class A1                                                                                   | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189658 | PA      | $185454.66     | 0.00%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HXNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12236067 | PA      | $10802909.01   | 0.02%             | 2032-03-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                              | MRCD MARK Mortgage Trust, Series 2019-PARK, Class A                                                                      | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38560000 | PA      | $34248992.00   | 0.07%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Brooklyn Union Gas Co. (The)                                          | Brooklyn Union Gas Co. (The)                                                                                             | CUSIP: 114259AT1<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    5620000 | PA      | $5418181.25    | 0.01%             | 2029-03-04      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| MNR ABS Issuer I LLC                                                  | MNR ABS Issuer I LLC                                                                                                     | CUSIP: 55317XAA7<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   23271341 | PA      | $23659971.96   | 0.05%             | 2038-12-15      | Fixed         | 8.12%                 | No            |                  3 | On Loan: No      |
| RALI Trust                                                            | RALI Trust, Series 2003-QS9, Class A3                                                                                    | CUSIP: 76110HCC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        452 | PA      | $0.00          | 0.00%             | 2018-05-25      | Floating      | 3.11%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36196RVC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3020965 | PA      | $2819162.90    | 0.01%             | 2048-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   16020000 | PA      | $16055155.25   | 0.03%             | 2036-02-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    3906000 | PA      | $2952936.00    | 0.01%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187279 | PA      | $197278.34     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L74B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17012551 | PA      | $16708544.15   | 0.03%             | 2026-12-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1996-48, Class Z                                                                                     | CUSIP: 31359KXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1845 | PA      | $1842.54       | 0.00%             | 2026-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23444010 | PA      | $24561009.56   | 0.05%             | 2072-03-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K115, Class XAM                                         | CUSIP: 3137FWGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44580829 | PA      | $3055668.10    | 0.01%             | 2030-07-25      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2022-3A, Class C                                                                             | CUSIP: 23345RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12032670 | PA      | $12133917.19   | 0.02%             | 2028-07-17      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-109, Class PC                                                                                   | CUSIP: 31394UZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17689 | PA      | $17922.71      | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-28, Class EO                                                                                    | CUSIP: 31396VLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     230537 | PA      | $196287.93     | 0.00%             | 2037-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    7254000 | PA      | $7109283.28    | 0.01%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138WGFV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18908286 | PA      | $17329852.29   | 0.04%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30000000 | PA      | $29948437.50   | 0.06%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   23850000 | PA      | $24027505.06   | 0.05%             | 2029-04-23      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36291MSC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18255 | PA      | $18555.63      | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3621, Class BO                                                                                      | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320335 | PA      | $275014.57     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAE7<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    5645000 | PA      | $3579753.89    | 0.01%             | 2050-09-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| US Bancorp                                                            | US Bancorp                                                                                                               | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   19230000 | PA      | $19387509.47   | 0.04%             | 2031-05-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LE6W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3730759 | PA      | $3251234.17    | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                                          | Flex Intermediate Holdco LLC                                                                                             | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    9235000 | PA      | $7065068.03    | 0.01%             | 2039-12-30      | Fixed         | 4.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class WQ                                                                                     | CUSIP: 31394VX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     557333 | PA      | $457724.60     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   39380000 | PA      | $38166877.05   | 0.08%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XHSX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61700000 | PA      | $56106181.13   | 0.11%             | 2033-07-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2018-1, Class B                                                               | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9681507 | PA      | $9542448.43    | 0.02%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1340693 | PA      | $1306855.78    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co., Series 20A                                                                               | CUSIP: 842400GY3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $1695057.21    | 0.00%             | 2051-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                 | MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A2                                                          | CUSIP: 576433KX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103828 | PA      | $92523.43      | 0.00%             | 2034-04-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H07, Class FB                                                                                          | CUSIP: 38376RRE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3504633 | PA      | $3526552.16    | 0.01%             | 2066-03-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400JA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7259 | PA      | $7395.80       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292GN77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $24.56         | 0.00%             | 2025-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                               | Quest Diagnostics, Inc.                                                                                                  | CUSIP: 74834LBD1<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |   11460000 | PA      | $12371911.51   | 0.03%             | 2033-11-30      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2359, Class ZB                                                                                      | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61581 | PA      | $65931.48      | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3535000 | PA      | $3289871.96    | 0.01%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10964000 | PA      | $9882882.94    | 0.02%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2021-SFR1, Class E1                                                                         | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15500000 | PA      | $14888873.75   | 0.03%             | 2038-08-17      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3566596 | PA      | $3566458.58    | 0.01%             | 2034-01-10      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   16770000 | PA      | $17072407.88   | 0.03%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                  | Royal Bank of Canada                                                                                                     | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   34180000 | PA      | $34034974.94   | 0.07%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KTQX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     702941 | PA      | $573884.03     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34428 | PA      | $35277.98      | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Alternative LN Issuer LLC                                             | Alternative LN Issuer LLC                                                                                                | CUSIP: 02158AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16493000 | PA      | $16493000.00   | 0.03%             | 2035-11-15      | Fixed         | 5.68%                 | No            |                  3 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  292700000 | PA      | $253848646.97  | 0.52%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction                                 | Seasoned Loans Structured Transaction, Series 2018-1, Class A1                                                           | CUSIP: 35564CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6765466 | PA      | $6542245.12    | 0.01%             | 2028-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 3138EN4Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5323500 | PA      | $5215631.38    | 0.01%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39325406 | PA      | $40088135.81   | 0.08%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-71, Class SC                                                                                           | CUSIP: 38375XML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     175526 | PA      | $620.08        | 0.00%             | 2038-08-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19825000 | PA      | $19214068.84   | 0.04%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19031000 | PA      | $18843323.32   | 0.04%             | 2031-02-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2123009 | PA      | $2027791.05    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                                                | Marlette Funding Trust, Series 2023-1A, Class B                                                                          | CUSIP: 57110PAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2365077 | PA      | $2368741.67    | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Blackstone Holdings Finance Co. LLC                                   | Blackstone Holdings Finance Co. LLC                                                                                      | CUSIP: 09256BAH0<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    3107000 | PA      | $2515287.48    | 0.01%             | 2045-07-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y92G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5413822 | PA      | $4959725.55    | 0.01%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    7220000 | PA      | $6960281.22    | 0.01%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  225000000 | PA      | $205892577.00  | 0.42%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| OneSky Loan Trust                                                     | OneSky Loan Trust, 1st Lien Term Loan A                                                                                  | CUSIP: 68278AAA7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   52285980 | PA      | $49833636.75   | 0.10%             | 2031-01-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                   | Realty Income Corp.                                                                                                      | CUSIP: 756109AS3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    2243000 | PA      | $2192437.11    | 0.00%             | 2027-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                 | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    2239000 | PA      | $2198867.67    | 0.00%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H07, Class MA                                                                                          | CUSIP: 38375BR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        413 | PA      | $411.85        | 0.00%             | 2062-04-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC, Series J                                                                              | CUSIP: 293791AT6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2509000 | PA      | $2562099.57    | 0.01%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-100, Class SM                                                                                   | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     450814 | PA      | $41244.87      | 0.00%             | 2037-10-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| Caerus Uinta Abs I LLC                                                | Caerus Uinta ABS LLC, Series 2023-1A, Class A1                                                                           | CUSIP: 127656AA4<br>LEI: 549300KYPQ0HIKDTZK59 | Long             | ABS-O            | CORP              | US        |   14449657 | PA      | $14659176.78   | 0.03%             | 2040-04-28      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                    | Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2                                                             | CUSIP: 17310DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     145091 | PA      | $131403.15     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2359673 | PA      | $2087045.14    | 0.00%             | 2056-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        783 | PA      | $788.81        | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                          | Santander Holdings USA, Inc.                                                                                             | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   29735000 | PA      | $30677599.20   | 0.06%             | 2030-01-09      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $19996093.80   | 0.04%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-73, Class HC                                                                                    | CUSIP: 31393DB91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262835 | PA      | $270579.27     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2991000 | PA      | $2927721.54    | 0.01%             | 2029-01-12      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    9495000 | PA      | $5726327.30    | 0.01%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJT97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8725000 | PA      | $8408107.48    | 0.02%             | 2033-03-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J22T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1236713 | PA      | $1217951.00    | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115646 | PA      | $117838.38     | 0.00%             | 2036-07-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58                                                                                              | CUSIP: 31395ND20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56838 | PA      | $48876.60      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400HZ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   14150000 | PA      | $13551450.19   | 0.03%             | 2034-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31410F6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26297 | PA      | $26857.35      | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MNJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15667908 | PA      | $14410963.35   | 0.03%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-112, Class SA                                                                                   | CUSIP: 31396X4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     659873 | PA      | $76553.12      | 0.00%             | 2037-12-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   29628000 | PA      | $28993804.96   | 0.06%             | 2028-07-21      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617NYZF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17908914 | PA      | $15943327.01   | 0.03%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2064, Class TE                                                                                      | CUSIP: 3133TELZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1128 | PA      | $1146.47       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2023-R02, Class 1M2                                                          | CUSIP: 20755AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17575000 | PA      | $18343906.25   | 0.04%             | 2043-01-25      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| America Movil SAB de CV                                               | America Movil SAB de CV                                                                                                  | CUSIP: 02364WBG9<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |    8284000 | PA      | $6623223.68    | 0.01%             | 2049-04-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                | Boardwalk Pipelines LP                                                                                                   | CUSIP: 096630AF5<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    3425000 | PA      | $3415711.95    | 0.01%             | 2027-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-81, Class GE                                                                                    | CUSIP: 31396XAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193162 | PA      | $202369.65     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5346 | PA      | $5465.82       | 0.00%             | 2028-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OGE Energy Corp.                                                      | OGE Energy Corp.                                                                                                         | CUSIP: 670837AD5<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |    7110000 | PA      | $7321738.79    | 0.01%             | 2029-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1839795 | PA      | $1716819.48    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUER4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35830961 | PA      | $37457124.41   | 0.08%             | 2071-10-20      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHCT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22000000 | PA      | $20923618.10   | 0.04%             | 2032-09-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                           | American Homes 4 Rent Trust, Series 2015-SFR2, Class E                                                                   | CUSIP: 02666BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1415000 | PA      | $1412124.86    | 0.00%             | 2052-10-17      | Fixed         | 6.07%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4667000 | PA      | $2180181.77    | 0.00%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-137, Class WA                                                                                          | CUSIP: 38377YX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     742746 | PA      | $762084.40     | 0.00%             | 2040-07-20      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 2P                                                | CUSIP: 93363EAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34359 | PA      | $30640.32      | 0.00%             | 2036-09-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co.                                                                                                         | CUSIP: 641423BZ0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    1287000 | PA      | $1261683.26    | 0.00%             | 2040-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136060 | PA      | $138342.75     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBW1<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   23515000 | PA      | $23913163.27   | 0.05%             | 2030-01-19      | Variable      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-50, Class JO                                                                                    | CUSIP: 31395DUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306406 | PA      | $262045.99     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9MZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1751459 | PA      | $1607032.43    | 0.00%             | 2035-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392FB9<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     769000 | PA      | $812255.95     | 0.00%             | 2039-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QGH21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99679 | PA      | $100960.01     | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H14, Class FG                                                                                          | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     189543 | PA      | $190198.61     | 0.00%             | 2063-05-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2023-1A, Class B                                                                       | CUSIP: 784024AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24700000 | PA      | $25344351.37   | 0.05%             | 2032-05-20      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99377 | PA      | $99640.44      | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLFY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29035000 | PA      | $28593593.67   | 0.06%             | 2033-10-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2024-SAT1, Class A                                                                         | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  108325000 | PA      | $108518165.14  | 0.22%             | 2027-03-26      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2197000 | PA      | $2341250.65    | 0.00%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1998-36, Class ZB                                                                                    | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10518 | PA      | $10594.14      | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179YFF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18220321 | PA      | $15883637.63   | 0.03%             | 2053-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410LCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227335 | PA      | $235968.47     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                          | Hilton Grand Vacations Trust, Series 2024-3A, Class C                                                                    | CUSIP: 43283NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7249891 | PA      | $7293386.47    | 0.01%             | 2040-08-27      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M3, Class A2                                                                                      | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13565063 | PA      | $12891504.73   | 0.03%             | 2030-02-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31384VRC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $49.17         | 0.00%             | 2028-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23990000 | PA      | $20901287.50   | 0.04%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9848000 | PA      | $9645713.41    | 0.02%             | 2026-06-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3202, Class HI                                                                                      | CUSIP: 31397ABD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1484350 | PA      | $132910.74     | 0.00%             | 2036-08-15      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co., Series B                                                                                 | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4167539.62    | 0.01%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31376J5Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188778 | PA      | $191908.88     | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHS76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11615000 | PA      | $11255408.66   | 0.02%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5196000 | PA      | $4990595.63    | 0.01%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2000-2, Class ZE                                                                                     | CUSIP: 31359XSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50319 | PA      | $52074.49      | 0.00%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series D                                                                                          | CUSIP: 25746UCK3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1927000 | PA      | $1886855.00    | 0.00%             | 2026-08-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                                         | Cencora, Inc.                                                                                                            | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   30700000 | PA      | $30542330.94   | 0.06%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K070, Class A2                                          | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17323000 | PA      | $16952831.74   | 0.03%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   77361198 | PA      | $59497424.58   | 0.12%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                  | Glencore Funding LLC                                                                                                     | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   21000000 | PA      | $21121157.61   | 0.04%             | 2034-04-04      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                               | Port Authority of New York and New Jersey, Consolidated, Series 164                                                      | CUSIP: 73358WCW2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   10965000 | PA      | $11299342.59   | 0.02%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   10025000 | PA      | $9855266.83    | 0.02%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43675913 | PA      | $45712620.89   | 0.09%             | 2072-04-20      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFKE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83141 | PA      | $83812.93      | 0.00%             | 2037-05-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9BV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11579274 | PA      | $10853795.91   | 0.02%             | 2030-05-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-73, Class MI                                                                                           | CUSIP: 38375LD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     471970 | PA      | $4489.52       | 0.00%             | 2037-11-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2016-2, Class A                                                             | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4406500 | PA      | $4139298.21    | 0.01%             | 2028-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    3625000 | PA      | $3368460.16    | 0.01%             | 2052-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   50000000 | PA      | $53046512.00   | 0.11%             | 2033-11-17      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                                        | Aircastle Ltd.                                                                                                           | CUSIP: 00929JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   11525000 | PA      | $11703071.74   | 0.02%             | 2031-10-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411BE41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91635 | PA      | $93001.54      | 0.00%             | 2036-12-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09, Class CI                                                                                          | CUSIP: 38380QAG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36974294 | PA      | $2507337.81    | 0.01%             | 2070-05-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H7ME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3671473 | PA      | $3401824.53    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10873056 | PA      | $10085501.48   | 0.02%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617FL5S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16631941 | PA      | $16019595.37   | 0.03%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-6, Class 30                                                                    | CUSIP: 576434SQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112409 | PA      | $87505.70      | 0.00%             | 2034-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200MGS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35274 | PA      | $35995.37      | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2256, Class MC                                                                                      | CUSIP: 3133TPS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26842 | PA      | $27900.44      | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2210, Class Z                                                                                       | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64834 | PA      | $67623.50      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DQWX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23581625 | PA      | $20228649.65   | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Corning, Inc.                                                         | Corning, Inc.                                                                                                            | CUSIP: 219350BK0<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |    6270000 | PA      | $5695125.08    | 0.01%             | 2048-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QLSF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     227196 | PA      | $235087.55     | 0.00%             | 2036-05-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LKZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5990015 | PA      | $5808761.81    | 0.01%             | 2027-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-88, Class VI                                                                                    | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632593 | PA      | $49524.95      | 0.00%             | 2037-09-25      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   17660000 | PA      | $17054565.40   | 0.03%             | 2027-07-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    3477000 | PA      | $2976840.54    | 0.01%             | 2042-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M7C38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114629 | PA      | $118279.15     | 0.00%             | 2038-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5722652.94    | 0.01%             | 2032-09-01      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1372 | PA      | $1380.76       | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2024-M2, Class A2                                                                                      | CUSIP: 3136BQT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  112205000 | PA      | $104208385.28  | 0.21%             | 2033-08-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-78, Class SW                                                                                           | CUSIP: 38381WUP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6035818 | PA      | $482963.25     | 0.00%             | 2049-06-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31415W3R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201084 | PA      | $214175.03     | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-103, Class MB                                                                                   | CUSIP: 31398GJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     476594 | PA      | $479200.34     | 0.00%             | 2039-12-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| GE Capital Mortgage Services, Inc. Trust                              | GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M                                                       | CUSIP: 36157RD93<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      37788 | PA      | $33145.04      | 0.00%             | 2029-04-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-49, Class SC                                                                                    | CUSIP: 31398P5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     608731 | PA      | $580352.10     | 0.00%             | 2040-03-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJCK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10215310 | PA      | $8447893.46    | 0.02%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR2, Class E1                                                                   | CUSIP: 74332VAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   55300000 | PA      | $54006217.79   | 0.11%             | 2027-04-17      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2733, Class SB                                                                                      | CUSIP: 31394NUY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1389578 | PA      | $1349957.06    | 0.00%             | 2033-10-15      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  115351400 | PA      | $112706428.16  | 0.23%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-96, Class SC                                                                                           | CUSIP: 38374JG75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     684073 | PA      | $2543.66       | 0.00%             | 2034-11-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6864105 | PA      | $6327047.62    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $4649213.88    | 0.01%             | 2049-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   13927000 | PA      | $12047744.66   | 0.02%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                       | Oncor Electric Delivery Co. LLC                                                                                          | CUSIP: 68233JBK9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    1076000 | PA      | $1120656.43    | 0.00%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2571, Class SY                                                                                      | CUSIP: 31393LB28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65781 | PA      | $70231.31      | 0.00%             | 2032-12-15      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XHSP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $18461850.80   | 0.04%             | 2034-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A5V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2277142 | PA      | $2146756.99    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR8, Class A                                                                    | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7448303 | PA      | $7211516.69    | 0.01%             | 2038-10-17      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Aetna, Inc.                                                           | Aetna, Inc.                                                                                                              | CUSIP: 00817YAJ7<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    1777000 | PA      | $1435278.05    | 0.00%             | 2042-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1WZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5415745 | PA      | $5214781.97    | 0.01%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-20CB, Class 3A8                                                                      | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2162775 | PA      | $88290.33      | 0.00%             | 2035-07-25      | Floating      | 0.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-86, Class OB                                                                                    | CUSIP: 31396KJ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113912 | PA      | $96065.43      | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2430, Class WF                                                                                      | CUSIP: 31339NW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104541 | PA      | $108966.32     | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36241LZH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     323184 | PA      | $327661.24     | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class MT                                                       | CUSIP: 35563PSB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   43061428 | PA      | $33812763.25   | 0.07%             | 2060-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1B26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2097556 | PA      | $2017711.67    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1901000 | PA      | $1307147.20    | 0.00%             | 2042-11-03      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-18, Class FA                                                                                    | CUSIP: 31396YWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120046 | PA      | $120439.09     | 0.00%             | 2038-03-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                           | ONEOK, Inc.                                                                                                              | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   29725000 | PA      | $29015494.57   | 0.06%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-18, Class MZ                                                                                    | CUSIP: 31396P5P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211735 | PA      | $221988.83     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2021-M3, Class 1A1                                                                                     | CUSIP: 3136BDXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1059411 | PA      | $1052526.94    | 0.00%             | 2033-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4J38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25183 | PA      | $26311.08      | 0.00%             | 2037-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                            | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PAT5<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    3680000 | PA      | $2978929.75    | 0.01%             | 2047-05-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                      | DTE Electric Co.                                                                                                         | CUSIP: 23338VAT3<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     934000 | PA      | $883509.21     | 0.00%             | 2053-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36300000 | PA      | $25991971.40   | 0.05%             | 2033-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                         | Air Canada Pass-Through Trust, Series 2015-1, Class A                                                                    | CUSIP: 009090AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    3025698 | PA      | $2930876.99    | 0.01%             | 2027-03-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1863, Class Z                                                                                       | CUSIP: 3133T7DV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $36.80         | 0.00%             | 2026-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M4, Class A2                                                                                      | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18234610 | PA      | $17661565.58   | 0.04%             | 2028-03-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   87997413 | PA      | $92068639.75   | 0.19%             | 2072-02-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FG                                                                                          | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15786 | PA      | $15715.67      | 0.00%             | 2060-04-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Goodgreen Ltd.                                                        | Goodgreen Ltd., Series 2024-1A, Class A                                                                                  | CUSIP: 38217YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   64430627 | PA      | $64011827.46   | 0.13%             | 2056-07-15      | Fixed         | 6.29%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-63, Class ZH                                                                                    | CUSIP: 31395NQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568633 | PA      | $604315.02     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-68, Class PG                                                                                    | CUSIP: 31394E7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207829 | PA      | $208103.36     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   43090000 | PA      | $43518020.73   | 0.09%             | 2030-11-19      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury Long Bond                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1161 | NC      | $2721865.47    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ45, Class A2                                          | CUSIP: 3137HA4L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19800000 | PA      | $19906993.26   | 0.04%             | 2031-01-25      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417YD95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106099 | PA      | $105067.91     | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3295099 | PA      | $3113294.78    | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    5820000 | PA      | $5011929.61    | 0.01%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKAL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44672000 | PA      | $43287004.95   | 0.09%             | 2033-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NP3K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6285421 | PA      | $6262400.71    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132WVA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6791731 | PA      | $6567047.87    | 0.01%             | 2032-11-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   19409000 | PA      | $18678977.05   | 0.04%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-85, Class MZ                                                                                    | CUSIP: 31396KB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24780 | PA      | $26001.41      | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392FG8<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     923000 | PA      | $736685.95     | 0.00%             | 2042-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates      | Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates, Series 2003-8, Class 1P                                | CUSIP: 15132EFF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10431 | PA      | $7565.04       | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAN0<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    1354000 | PA      | $1321455.99    | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  166815000 | PA      | $103210265.46  | 0.21%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Prudential Funding Asia plc                                           | Prudential Funding Asia plc                                                                                              | CUSIP: 744330AA9<br>LEI: 2549005TNASWKLR0XC37 | Long             | DBT              | CORP              | GB        |   16987000 | PA      | $15946546.25   | 0.03%             | 2030-04-14      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-74, Class SH                                                                                    | CUSIP: 31393EBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45669 | PA      | $40022.72      | 0.00%             | 2033-08-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2420, Class XK                                                                                      | CUSIP: 31339DMW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94240 | PA      | $98071.29      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   17625000 | PA      | $16649194.70   | 0.03%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJWP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108727 | PA      | $111253.97     | 0.00%             | 2037-02-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39158334 | PA      | $36372733.76   | 0.07%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H05, Class FB                                                                                          | CUSIP: 38375BKE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     355685 | PA      | $357034.62     | 0.00%             | 2060-12-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   28294000 | PA      | $27512802.66   | 0.06%             | 2026-02-21      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63190000 | PA      | $51043463.38   | 0.10%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2018-1, Class AA                                                              | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9536979 | PA      | $8929055.83    | 0.02%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3051, Class DP                                                                                      | CUSIP: 31396CTQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1927 | PA      | $1930.83       | 0.00%             | 2025-10-15      | Floating      | 8.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5806000 | PA      | $5605200.07    | 0.01%             | 2028-01-21      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12000000 | PA      | $11925000.00   | 0.02%             | 2028-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-77, Class FG                                                                                    | CUSIP: 31396XJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179663 | PA      | $178052.12     | 0.00%             | 2037-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31416CK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159231 | PA      | $163107.73     | 0.00%             | 2037-07-01      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-47, Class PE                                                                                    | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169589 | PA      | $175227.10     | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAE0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   22959000 | PA      | $22445292.38   | 0.05%             | 2028-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50000000 | PA      | $41158203.00   | 0.08%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  144750000 | PA      | $81331406.25   | 0.17%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2021-1A, Class B                                                                          | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11204000 | PA      | $10445043.28   | 0.02%             | 2031-11-20      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class DO                                                                                    | CUSIP: 31396KYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73757 | PA      | $62198.64      | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    4970000 | PA      | $4939779.82    | 0.01%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-50, Class VZ                                                                                    | CUSIP: 31394AJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1228235 | PA      | $1266923.80    | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DN4J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   76419658 | PA      | $70170685.11   | 0.14%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding                                                          | HERO Funding, Series 2018-1A, Class A2                                                                                   | CUSIP: 42772GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    8107315 | PA      | $7419944.51    | 0.02%             | 2048-09-20      | Fixed         | 4.67%                 | Yes           |                  3 | On Loan: No      |
| JBS USA LUX SARL                                                      | JBS USA LUX Sarl                                                                                                         | CUSIP: 472140AC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16735000 | PA      | $16636263.50   | 0.03%             | 2055-02-25      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-16, Class WA                                                                                    | CUSIP: 31398MRP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454158 | PA      | $462104.36     | 0.00%             | 2040-03-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| Renew                                                                 | Renew, Series 2024-1A, Class A                                                                                           | CUSIP: 75973VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15442845 | PA      | $15440190.49   | 0.03%             | 2059-11-20      | Fixed         | 6.21%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UFK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163362 | PA      | $167866.06     | 0.00%             | 2034-09-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JR6D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     278857 | PA      | $285866.20     | 0.00%             | 2036-06-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-56, Class TP                                                                                    | CUSIP: 31394D6U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        752 | PA      | $752.83        | 0.00%             | 2033-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Ygrene Energy Fund, Inc.                                              | Ygrene Energy Fund, Inc.                                                                                                 | CUSIP: N/A<br>LEI: 549300U6Y2YJ14NVVY40       | Long             | ABS-MBS          | CORP              | US        |  145432625 | PA      | $145432624.98  | 0.30%             | 2045-07-25      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| Mars, Inc.                                                            | Mars, Inc.                                                                                                               | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   28555000 | PA      | $28651025.61   | 0.06%             | 2032-03-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Guardian Life Insurance Co. of America (The)                          | Guardian Life Insurance Co. of America (The)                                                                             | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |    1663000 | PA      | $1343227.98    | 0.00%             | 2077-01-24      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W10, Class 2A                                                                 | CUSIP: 31396XD35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36768 | PA      | $38220.12      | 0.00%             | 2047-08-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XLC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37699341 | PA      | $31615707.67   | 0.06%             | 2052-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-5A, Class C                                                             | CUSIP: 30168DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20966000 | PA      | $21402897.89   | 0.04%             | 2029-01-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                                                          | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11744 | PA      | $11775.64      | 0.00%             | 2033-10-25      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4683528 | PA      | $4305503.78    | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                           | Toronto-Dominion Bank (The)                                                                                              | CUSIP: 89115A2U5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   15305000 | PA      | $15767184.83   | 0.03%             | 2028-07-17      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8143902 | PA      | $6940248.27    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31407KGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7909 | PA      | $8040.20       | 0.00%             | 2035-09-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52052 | PA      | $53454.75      | 0.00%             | 2037-09-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| BG Beta I Ltd.                                                        | BG Beta Ltd.                                                                                                             | CUSIP: 05593PAD8<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |   61070000 | PA      | $61874719.39   | 0.13%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  3 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  178550000 | PA      | $78671385.09   | 0.16%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89547 | PA      | $90405.05      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   17715000 | PA      | $17868213.14   | 0.04%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3101, Class UZ                                                                                      | CUSIP: 31396GLR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     355331 | PA      | $373621.13     | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3531, Class SM                                                                                      | CUSIP: 31398CVX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43592 | PA      | $2652.26       | 0.00%             | 2039-05-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Texas Health Resources                                                | Texas Health Resources                                                                                                   | CUSIP: 882484AA6<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    4275000 | PA      | $3365073.26    | 0.01%             | 2055-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   14135000 | PA      | $14470529.70   | 0.03%             | 2027-07-13      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2571, Class FY                                                                                      | CUSIP: 31393L6N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111538 | PA      | $112094.84     | 0.00%             | 2032-12-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3316                                                                                                | CUSIP: 31397HKV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122520 | PA      | $101947.29     | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JSNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     299298 | PA      | $293522.62     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LCZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7371031 | PA      | $7294825.96    | 0.01%             | 2026-01-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  782087500 | PA      | $723094882.32  | 1.48%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HAA31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     778932 | PA      | $763901.29     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cardinal Health, Inc.                                                 | Cardinal Health, Inc.                                                                                                    | CUSIP: 14149YBP2<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7573021.13    | 0.02%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408GU1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    3498000 | PA      | $3416556.84    | 0.01%             | 2041-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class A2                                          | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27100000 | PA      | $24474516.77   | 0.05%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     687457 | PA      | $648807.96     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class OP                                                                                      | CUSIP: 31398LQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     675717 | PA      | $567823.43     | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   25865000 | PA      | $24315016.08   | 0.05%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292GQD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        350 | PA      | $365.71        | 0.00%             | 2026-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09, Class IC                                                                                          | CUSIP: 38380QAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40912932 | PA      | $2351317.74    | 0.00%             | 2070-05-20      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2089, Class PJ                                                                                      | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19792 | PA      | $1148.19       | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   24230000 | PA      | $18161762.23   | 0.04%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C                                                        | CUSIP: 826525AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1290491 | PA      | $1280027.93    | 0.00%             | 2037-07-20      | Fixed         | 3.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31418MCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159386 | PA      | $160365.89     | 0.00%             | 2037-11-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   16083000 | PA      | $15309777.29   | 0.03%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DUDP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10901078 | PA      | $9352709.73    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L83S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10612001 | PA      | $10369583.41   | 0.02%             | 2027-02-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   25422000 | PA      | $23897189.20   | 0.05%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                    | Altria Group, Inc.                                                                                                       | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   27925000 | PA      | $23698804.25   | 0.05%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                              | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BB5<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    7880000 | PA      | $7826248.23    | 0.02%             | 2025-08-17      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-1, Class AA                                                              | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1752342 | PA      | $1664358.65    | 0.00%             | 2028-07-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1                                                               | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     620807 | PA      | $511431.90     | 0.00%             | 2035-11-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11633981 | PA      | $9370265.37    | 0.02%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                          | Bridge Trust, Series 2024-SFR1, Class A                                                                                  | CUSIP: 10806DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   53017399 | PA      | $50982490.20   | 0.10%             | 2040-08-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   27270000 | PA      | $17554102.32   | 0.04%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H01, Class FD                                                                                          | CUSIP: 38375UCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     964876 | PA      | $970543.41     | 0.00%             | 2064-01-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DQ6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17357047 | PA      | $16465094.54   | 0.03%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                                                      | FHF Issuer Trust, Series 2024-1A, Class A2                                                                               | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16442200 | PA      | $16589365.50   | 0.03%             | 2030-02-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  214106453 | PA      | $179456901.04  | 0.37%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                                       | AES Corp. (The)                                                                                                          | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   29565000 | PA      | $29305741.26   | 0.06%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG5U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3309612 | PA      | $3114268.89    | 0.01%             | 2032-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class B736                                                                       | CUSIP: 05494BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18347000 | PA      | $17485665.23   | 0.04%             | 2052-09-27      | Variable      | 2.18%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   14835000 | PA      | $14921962.62   | 0.03%             | 2030-01-27      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68451 | PA      | $70282.55      | 0.00%             | 2037-11-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2106, Class ZD                                                                                      | CUSIP: 3133THDD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96530 | PA      | $97670.52      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X5EM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10014828 | PA      | $9569362.37    | 0.02%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2410, Class QX                                                                                      | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26248 | PA      | $2027.23       | 0.00%             | 2032-02-15      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                               | MPLX LP                                                                                                                  | CUSIP: 55336VBX7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   27970000 | PA      | $27571842.85   | 0.06%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    5655000 | PA      | $5384396.77    | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-2, Class MB                                                       | CUSIP: 35563PQQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20448000 | PA      | $13702317.26   | 0.03%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 1A2                                                               | CUSIP: 31393YU60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1325384 | PA      | $1349818.44    | 0.00%             | 2044-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                 | Gray Oak Pipeline LLC                                                                                                    | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   34443000 | PA      | $34012336.09   | 0.07%             | 2025-10-15      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2259, Class ZM                                                                                      | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58853 | PA      | $60704.58      | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403Q3S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7719 | PA      | $7849.79       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Airbus SE                                                             | Airbus SE                                                                                                                | CUSIP: 009279AC4<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | NL        |    1046000 | PA      | $827313.75     | 0.00%             | 2047-04-10      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   16650000 | PA      | $10873051.90   | 0.02%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3142GTGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16538263 | PA      | $16469748.23   | 0.03%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                 | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675DCN0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   13575000 | PA      | $13988438.30   | 0.03%             | 2030-01-22      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-5                                                                           | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   26355000 | PA      | $23891211.79   | 0.05%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-79, Class SB                                                                                    | CUSIP: 31396XDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143110 | PA      | $163925.74     | 0.00%             | 2037-08-25      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3654, Class DC                                                                                      | CUSIP: 31398WV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2376343 | PA      | $2401287.16    | 0.00%             | 2030-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-56, Class FC                                                                                    | CUSIP: 31395NXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     782895 | PA      | $777096.73     | 0.00%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class HO                                                                                           | CUSIP: 38375KKT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62856 | PA      | $50461.99      | 0.00%             | 2037-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   41323000 | PA      | $40403231.01   | 0.08%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H09, Class HA                                                                                          | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62676 | PA      | $59857.47      | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2023-SFR1, Class D                                                                                    | CUSIP: 66981XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22082000 | PA      | $21095694.22   | 0.04%             | 2040-04-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   12958000 | PA      | $11318514.97   | 0.02%             | 2033-01-20      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                             | Bank of Nova Scotia (The)                                                                                                | CUSIP: 06417XAP6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   26370000 | PA      | $26651155.89   | 0.05%             | 2030-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RAW2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    6844000 | PA      | $6285514.68    | 0.01%             | 2030-01-22      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                                | Marlette Funding Trust, Series 2023-2A, Class B                                                                          | CUSIP: 57109LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6368338 | PA      | $6383890.57    | 0.01%             | 2033-06-15      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2022-1A, Class C                                                        | CUSIP: 82652TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1469981 | PA      | $1437249.48    | 0.00%             | 2038-10-20      | Fixed         | 3.94%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                         | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A6                                                                | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      28867 | PA      | $27285.65      | 0.00%             | 2034-08-25      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| Prudential Financial, Inc.                                            | Prudential Financial, Inc.                                                                                               | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    9236000 | PA      | $6992360.77    | 0.01%             | 2047-12-07      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                 | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271BB4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2359275.66    | 0.00%             | 2053-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W2, Class 2A9                                                                        | CUSIP: 31392JAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226499 | PA      | $227381.27     | 0.00%             | 2042-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust                                                                                        | CUSIP: 22530BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   65094000 | PA      | $65191641.00   | 0.13%             | 2034-02-15      | Fixed         | 6.95%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG3B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7871000 | PA      | $7617786.55    | 0.02%             | 2032-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15670000 | PA      | $15193044.38   | 0.03%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    7655000 | PA      | $4667414.71    | 0.01%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128LXN30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32558 | PA      | $34016.28      | 0.00%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-68, Class KI                                                                                           | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1573538 | PA      | $139603.06     | 0.00%             | 2035-09-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    3881000 | PA      | $3705240.22    | 0.01%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                   | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4, Class 1A2                                          | CUSIP: 32052WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4577352 | PA      | $353044.72     | 0.00%             | 2037-08-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   31814000 | PA      | $34636789.41   | 0.07%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ASG Resecuritization Trust                                            | ASG Resecuritization Trust, Series 2011-1, Class 2A35                                                                    | CUSIP: 00190VDB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     231459 | PA      | $68483.82      | 0.00%             | 2036-09-28      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  449750000 | PA      | $354590532.26  | 0.72%             | 2031-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-149, Class MF                                                                                   | CUSIP: 3136A3FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388281 | PA      | $386762.29     | 0.00%             | 2041-11-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2004-A4, Class 1A1                                                                       | CUSIP: 466247DX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43895 | PA      | $42153.58      | 0.00%             | 2034-09-25      | Variable      | 7.80%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                               | Kingdom of Saudi Arabia                                                                                                  | CUSIP: 80413TAW9<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    4399000 | PA      | $2627478.71    | 0.01%             | 2061-02-02      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-72, Class SB                                                                                    | CUSIP: 31394EWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43983 | PA      | $45364.62      | 0.00%             | 2035-08-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059ENP5<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    3119000 | PA      | $2754297.14    | 0.01%             | 2028-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36206HPN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2467 | PA      | $2478.53       | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2002-90, Class A1                                                                        | CUSIP: 31392GEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236516 | PA      | $241814.35     | 0.00%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PG&E Energy Recovery Funding LLC                                      | PG&E Energy Recovery Funding LLC, Series A-2                                                                             | CUSIP: 71710TAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9710000 | PA      | $7767741.81    | 0.02%             | 2036-01-15      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YDB2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6154424.71    | 0.01%             | 2045-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp.                        | Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds, Series 2023A-1                               | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   11651254 | PA      | $11851450.31   | 0.02%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Tyson Foods, Inc.                                                     | Tyson Foods, Inc.                                                                                                        | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |   10200000 | PA      | $10396006.26   | 0.02%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-60, Class HT                                                                                    | CUSIP: 31396QPL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1174927 | PA      | $1238105.13    | 0.00%             | 2039-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    1200000 | PA      | $1063161.34    | 0.00%             | 2030-03-31      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33709000 | PA      | $23213179.35   | 0.05%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GFH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76950 | PA      | $77334.11      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XMLM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27934359 | PA      | $23844560.70   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10254000 | PA      | $10334338.04   | 0.02%             | 2028-05-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180466 | PA      | $184476.38     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  318905000 | PA      | $320636555.29  | 0.65%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UOG ABS Issuer I LLC                                                  | UOG ABS Issuer I LLC, Series 2023-1, Class A1                                                                            | CUSIP: 90319TAA1<br>LEI: 254900YID84NR2CXVT21 | Long             | ABS-O            | CORP              | US        |   29871109 | PA      | $30444634.09   | 0.06%             | 2040-06-05      | Fixed         | 8.35%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3153, Class EO                                                                                      | CUSIP: 31396RKM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     149917 | PA      | $129151.62     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28045038 | PA      | $23275969.90   | 0.05%             | 2062-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   14675000 | PA      | $14732028.52   | 0.03%             | 2031-05-23      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 2A11                                                           | CUSIP: 17307GRM2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     305389 | PA      | $302894.28     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A2EY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5894361 | PA      | $5068100.59    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2344, Class ZD                                                                                      | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     390413 | PA      | $405154.14     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LK2R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35052000 | PA      | $34492814.39   | 0.07%             | 2033-07-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                             | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF                                                                    | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     421508 | PA      | $394830.45     | 0.00%             | 2035-03-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-86, Class IP                                                                                    | CUSIP: 31398FTC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     594766 | PA      | $102232.18     | 0.00%             | 2039-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BYW64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4819018 | PA      | $4588950.64    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31415RBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254387 | PA      | $263520.22     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  150605000 | PA      | $89680571.09   | 0.18%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37329136 | PA      | $31060413.92   | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11863 | PA      | $12036.53      | 0.00%             | 2034-01-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                                        | Piedmont Natural Gas Co., Inc.                                                                                           | CUSIP: 720186AP0<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    7979000 | PA      | $6803497.73    | 0.01%             | 2052-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179YUZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16719006 | PA      | $14574859.91   | 0.03%             | 2054-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4853935 | PA      | $4576047.14    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    6205000 | PA      | $5597601.86    | 0.01%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MA                                                       | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25681938 | PA      | $24597505.77   | 0.05%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Northern Trust Corp.                                                  | Northern Trust Corp.                                                                                                     | CUSIP: 665859AS3<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |    2762000 | PA      | $2669130.93    | 0.01%             | 2032-05-08      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405UVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12720 | PA      | $12882.73      | 0.00%             | 2034-11-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                           | L3Harris Technologies, Inc.                                                                                              | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    1918000 | PA      | $1841885.47    | 0.00%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ABE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   86446296 | PA      | $83749805.42   | 0.17%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177770 | PA      | $181407.21     | 0.00%             | 2036-11-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                   | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class A                                                           | CUSIP: 10638RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12388624 | PA      | $12188384.15   | 0.02%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-58, Class BE                                                                                           | CUSIP: 38374BNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     261379 | PA      | $260606.10     | 0.00%             | 2033-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                                           | CSMC OA LLC, Series 2014-USA, Class B                                                                                    | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   24890000 | PA      | $21820049.98   | 0.04%             | 2037-09-15      | Fixed         | 4.18%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                                           | Business Jet Securities LLC, Series 2024-2A, Class A                                                                     | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   32827925 | PA      | $32738248.62   | 0.07%             | 2039-09-15      | Fixed         | 5.36%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2017-2A, Class A                                                                                 | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9384966 | PA      | $8316424.22    | 0.02%             | 2053-10-15      | Fixed         | 3.26%                 | Yes           |                  3 | On Loan: No      |
| BXG Receivables Note Trust                                            | BXG Receivables Note Trust, Series 2023-A, Class A                                                                       | CUSIP: 123919AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2623293 | PA      | $2656099.11    | 0.01%             | 2038-11-15      | Fixed         | 5.77%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413K3R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95437 | PA      | $96361.21      | 0.00%             | 2037-07-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-14, Class ES                                                                                    | CUSIP: 31396PC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     644244 | PA      | $63920.20      | 0.00%             | 2037-03-25      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2022-3A, Class D                                                                             | CUSIP: 23345RAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   46500000 | PA      | $47679691.05   | 0.10%             | 2028-07-17      | Fixed         | 8.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-46, Class QB                                                                                    | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49235 | PA      | $51576.08      | 0.00%             | 2034-05-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57362 | PA      | $59241.07      | 0.00%             | 2037-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Home RE Ltd.                                                          | Home RE Ltd., Series 2022-1, Class M1B                                                                                   | CUSIP: 43730GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    2217444 | PA      | $2222031.30    | 0.00%             | 2034-10-25      | Floating      | 7.82%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M2                                                          | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9750000 | PA      | $10084883.25   | 0.02%             | 2043-07-25      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9035000 | PA      | $6730722.09    | 0.01%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NACC Reperforming Loan REMIC Trust                                    | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1                                                             | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     214646 | PA      | $192792.98     | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2125, Class JZ                                                                                      | CUSIP: 3133TJHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29406 | PA      | $29755.94      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-97, Class KI                                                                                    | CUSIP: 31396XB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     438128 | PA      | $31317.18      | 0.00%             | 2033-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                                  | Siemens Financieringsmaatschappij NV                                                                                     | CUSIP: 82620KAM5<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |    3050000 | PA      | $2172191.52    | 0.00%             | 2046-09-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class B                                                               | CUSIP: 22536VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40000000 | PA      | $40923484.00   | 0.08%             | 2034-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| J M Smucker Co. (The)                                                 | J M Smucker Co. (The)                                                                                                    | CUSIP: 832696AZ1<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |    8575000 | PA      | $9011518.09    | 0.02%             | 2053-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Republic of Poland                                                    | Republic of Poland                                                                                                       | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |   18163000 | PA      | $16430703.88   | 0.03%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41165850 | PA      | $35830957.14   | 0.07%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8386838 | PA      | $7206760.67    | 0.01%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HINNT LLC                                                             | HINNT LLC, Series 2022-A, Class C                                                                                        | CUSIP: 40486JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5966385 | PA      | $5935325.13    | 0.01%             | 2041-05-15      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2017-R1                                                                                          | CUSIP: 38218AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     832404 | PA      | $803445.05     | 0.00%             | 2051-10-20      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-40, Class SN                                                                                           | CUSIP: 38375KB68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     545681 | PA      | $19602.49      | 0.00%             | 2037-07-20      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                    | Wells Fargo Alternative Loan Trust, Series 2003-1, Class A                                                               | CUSIP: 949912AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8758 | PA      | $6683.31       | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   23003000 | PA      | $23184426.73   | 0.05%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                      | McDonald's Corp.                                                                                                         | CUSIP: 58013MFC3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    3210000 | PA      | $2654082.76    | 0.01%             | 2047-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AIB Group plc                                                         | AIB Group plc                                                                                                            | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    7745000 | PA      | $8146639.51    | 0.02%             | 2029-09-13      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JGJR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     885171 | PA      | $848692.20     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31377UYB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14881241 | PA      | $14570204.46   | 0.03%             | 2028-08-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XQJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20721146 | PA      | $18436983.85   | 0.04%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M38, Class 2A1                                                                                    | CUSIP: 3136BBHB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6084227 | PA      | $5653457.87    | 0.01%             | 2028-11-25      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371PAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     600204 | PA      | $636138.02     | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bedrock Abs I LLC                                                     | Bedrock ABS I LLC                                                                                                        | CUSIP: 076909AA8<br>LEI: 25490001S3H0GYUMTK70 | Long             | ABS-O            | CORP              | US        |   24387305 | PA      | $25058273.07   | 0.05%             | 2037-12-27      | Fixed         | 7.95%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-37, Class Z                                                                                     | CUSIP: 31392DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53076 | PA      | $54598.70      | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31407LEA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7230 | PA      | $7546.12       | 0.00%             | 2036-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                              | Foundation Finance Trust, Series 2020-1A, Class A                                                                        | CUSIP: 35041KAA0<br>LEI: 549300QVJKB4ZVR88F06 | Long             | ABS-O            | CORP              | US        |    3413564 | PA      | $3402212.45    | 0.01%             | 2040-07-16      | Fixed         | 3.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                                                        | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     715479 | PA      | $706311.14     | 0.00%             | 2037-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   24803000 | PA      | $14525082.51   | 0.03%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31295NZX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4062 | PA      | $4145.46       | 0.00%             | 2032-09-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSSZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22645824 | PA      | $22068856.14   | 0.05%             | 2029-01-01      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92577 | PA      | $92710.44      | 0.00%             | 2034-08-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    3430000 | PA      | $3184007.64    | 0.01%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                                 | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    8568000 | PA      | $6763951.74    | 0.01%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux Sarl                                              | JBS USA Holding Lux Sarl                                                                                                 | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   24808000 | PA      | $26653566.35   | 0.05%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200WN31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12479 | PA      | $12737.68      | 0.00%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828YX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   64261800 | PA      | $62062841.53   | 0.13%             | 2026-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-1A, Class E                                                                             | CUSIP: 23346KAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27300000 | PA      | $28723381.05   | 0.06%             | 2030-01-15      | Fixed         | 10.39%                | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-1, Class WA                                                                                     | CUSIP: 31398GL23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132526 | PA      | $134844.37     | 0.00%             | 2040-02-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63572 | PA      | $64439.64      | 0.00%             | 2036-11-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 264, Class F1                                                                                      | CUSIP: 3128HXM85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4607984 | PA      | $4536268.66    | 0.01%             | 2042-07-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3957, Class B                                                                                       | CUSIP: 3137AHAX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     874673 | PA      | $849396.52     | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13160000 | PA      | $10176109.23   | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                                   | NatWest Markets plc                                                                                                      | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   20945000 | PA      | $21478374.69   | 0.04%             | 2029-05-17      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   13055000 | PA      | $12281743.21   | 0.03%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-106, Class US                                                                                   | CUSIP: 31394UN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231762 | PA      | $243998.87     | 0.00%             | 2035-11-25      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                    | British Airways Pass-Through Trust, Series 2019-1, Class AA                                                              | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7285439 | PA      | $6726351.57    | 0.01%             | 2032-12-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-97, Class FB                                                                                    | CUSIP: 3136A72Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1576300 | PA      | $1548834.22    | 0.00%             | 2042-09-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2163, Class PC                                                                                      | CUSIP: 3133TLFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7295 | PA      | $431.47        | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2176, Class OJ                                                                                      | CUSIP: 3133TLTY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34285 | PA      | $34540.51      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ADD6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   11887000 | PA      | $11990117.11   | 0.02%             | 2031-06-24      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-53, Class SW                                                                                           | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96070 | PA      | $103766.81     | 0.00%             | 2037-09-20      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108978 | PA      | $109539.88     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-28CB, Class 3A5                                                                      | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41015 | PA      | $15614.06      | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2025-2, Class D                                                    | CUSIP: 10807HAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10805000 | PA      | $10902859.80   | 0.02%             | 2031-03-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1150333 | PA      | $1104009.17    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2006-W2, Class 1AF1                                                                       | CUSIP: 31395N5A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1253372 | PA      | $1237521.26    | 0.00%             | 2046-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EJJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4732305 | PA      | $4503819.23    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27085572 | PA      | $23256452.79   | 0.05%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622ABML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12086921 | PA      | $10794196.92   | 0.02%             | 2071-12-20      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNE49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3837948 | PA      | $3722485.56    | 0.01%             | 2030-05-01      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 239, Class S30                                                                                     | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1072119 | PA      | $131957.87     | 0.00%             | 2036-08-15      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LTM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21565 | PA      | $21358.85      | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3014, Class OD                                                                                      | CUSIP: 31395XBJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24138 | PA      | $21085.92      | 0.00%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LBL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7160000 | PA      | $6928823.00    | 0.01%             | 2055-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7JB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35579 | PA      | $36095.36      | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                                  | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22300000 | PA      | $20423982.17   | 0.04%             | 2055-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2399, Class TH                                                                                      | CUSIP: 31339MWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58890 | PA      | $61258.96      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A1                                                         | CUSIP: 59020USH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     370989 | PA      | $329440.89     | 0.00%             | 2035-02-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                               | Entergy Mississippi LLC                                                                                                  | CUSIP: 29366WAE6<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |   12395000 | PA      | $12081903.54   | 0.02%             | 2054-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-2, Class A                                                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15882428 | PA      | $14624526.92   | 0.03%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp.                                                  | Sprint Capital Corp.                                                                                                     | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |   11302000 | PA      | $12090870.33   | 0.02%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2423, Class MC                                                                                      | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58649 | PA      | $60993.40      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L5FA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4752510 | PA      | $4721930.27    | 0.01%             | 2025-12-01      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-134, Class ST                                                                                          | CUSIP: 38382JEZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40989640 | PA      | $784221.99     | 0.00%             | 2050-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31408G4R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160204 | PA      | $164903.81     | 0.00%             | 2035-10-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2981, Class FA                                                                                      | CUSIP: 31395U5N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135385 | PA      | $134364.09     | 0.00%             | 2035-05-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-79, Class CS                                                                                           | CUSIP: 38375YNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     381458 | PA      | $377583.78     | 0.00%             | 2035-06-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    9695000 | PA      | $6192047.00    | 0.01%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H15, Class FJ                                                                                          | CUSIP: 38376RDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4100930 | PA      | $4110435.03    | 0.01%             | 2065-06-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2017-H08, Class XI                                                                                          | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25120201 | PA      | $1092218.82    | 0.00%             | 2067-03-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   24880000 | PA      | $25161462.96   | 0.05%             | 2029-01-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 262, Class 35                                                                                      | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11594745 | PA      | $10785114.99   | 0.02%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    8188000 | PA      | $8289407.64    | 0.02%             | 2028-02-08      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M50, Class X1                                                                                     | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  161869010 | PA      | $6958327.88    | 0.01%             | 2030-10-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H01, Class FA                                                                                          | CUSIP: 38375BE73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        261 | PA      | $239.50        | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   48701918 | PA      | $42758310.55   | 0.09%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JWR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3484848 | PA      | $3239995.87    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-62, Class 1A1                                          | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1422235 | PA      | $1299014.87    | 0.00%             | 2044-10-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VYMD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8306132 | PA      | $8597044.97    | 0.02%             | 2071-09-20      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                        | Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1                                               | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     268204 | PA      | $256155.50     | 0.00%             | 2034-10-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   13630000 | PA      | $13941462.95   | 0.03%             | 2029-07-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Aon North America, Inc.                                               | Aon North America, Inc.                                                                                                  | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   30050000 | PA      | $28690976.13   | 0.06%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3029, Class SO                                                                                      | CUSIP: 31396AH64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72406 | PA      | $66175.41      | 0.00%             | 2035-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                           | Penske Truck Leasing Co. LP                                                                                              | CUSIP: 709599BW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   22980000 | PA      | $23827364.52   | 0.05%             | 2028-08-01      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-18, Class SP                                                                                    | CUSIP: 31396YXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92867 | PA      | $88396.71      | 0.00%             | 2038-03-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $15255416.48   | 0.03%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL                                              | JBS USA Holding Lux SARL                                                                                                 | CUSIP: 46590XAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   15000000 | PA      | $13762389.15   | 0.03%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   16715000 | PA      | $16928927.09   | 0.03%             | 2034-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  105594002 | PA      | $84871245.25   | 0.17%             | 2032-10-01      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 365, Class 8                                                                                        | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128989 | PA      | $23894.17      | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   44815288 | PA      | $46925806.19   | 0.10%             | 2072-03-20      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22230921 | PA      | $21133660.46   | 0.04%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   22315000 | PA      | $22679742.02   | 0.05%             | 2030-01-23      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JRPE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     253297 | PA      | $259129.30     | 0.00%             | 2033-05-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M1G, Class A2                                                                                     | CUSIP: 3136BLRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28657084 | PA      | $24311592.56   | 0.05%             | 2031-09-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-13, Class SJ                                                                                    | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76780 | PA      | $1424.57       | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31409JVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91434 | PA      | $93167.65      | 0.00%             | 2036-06-01      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9263000 | PA      | $9366779.13    | 0.02%             | 2029-05-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                            | DOC DR LLC                                                                                                               | CUSIP: 71951QAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2065790.73    | 0.00%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77010 | PA      | $78785.18      | 0.00%             | 2035-04-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XBJ8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   10510000 | PA      | $9714854.18    | 0.02%             | 2028-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128MXST7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26855 | PA      | $26947.04      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-58, Class WA                                                                                    | CUSIP: 31397UZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154868 | PA      | $151386.70     | 0.00%             | 2051-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 10 Year Note                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      16125 | NC      | $22161853.03   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                                  | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  384195000 | PA      | $312963983.00  | 0.64%             | 2055-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                         | Duquesne Light Holdings, Inc.                                                                                            | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    8002000 | PA      | $7732517.13    | 0.02%             | 2027-08-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                         | Citigroup Mortgage Loan Trust, Series 2009-10, Class 1A1                                                                 | CUSIP: 17316AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     228196 | PA      | $228029.55     | 0.00%             | 2033-09-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416YFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232731 | PA      | $242196.30     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class OK                                                                                      | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71522 | PA      | $61671.48      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5342908 | PA      | $5546515.15    | 0.01%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A1, Class 2A1                                                                  | CUSIP: 161630AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     124387 | PA      | $118928.70     | 0.00%             | 2037-02-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQLH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3000089 | PA      | $2940338.31    | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    5046000 | PA      | $4227572.66    | 0.01%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H14, Class FC                                                                                          | CUSIP: 38375B3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150951 | PA      | $151472.56     | 0.00%             | 2063-06-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Lendingpoint SPE Trust                                                | Lendingpoint SPE Trust, Series 2020-VFN1, Class A1B                                                                      | CUSIP: 52607AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1771025 | PA      | $1749772.83    | 0.00%             | 2026-12-15      | Floating      | 9.21%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-71, Class AP                                                                                    | CUSIP: 31392FES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18821 | PA      | $18608.58      | 0.00%             | 2032-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    4342000 | PA      | $4336544.28    | 0.01%             | 2025-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2023-SFR2, Class E1                                                                                   | CUSIP: 00178YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11900000 | PA      | $11173529.99   | 0.02%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2023-M8, Class A2                                                                                      | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   71539958 | PA      | $70886540.64   | 0.14%             | 2033-03-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                           | Toronto-Dominion Bank (The)                                                                                              | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   25100000 | PA      | $25453391.43   | 0.05%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     744966 | PA      | $709702.24     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HNPF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3989376 | PA      | $4020106.19    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA, Grantor Trust                                                   | FNMA, Grantor Trust, Series 2017-T1, Class A                                                                             | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   85735348 | PA      | $83039631.58   | 0.17%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4A45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106260 | PA      | $108761.46     | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10476512 | PA      | $10646564.17   | 0.02%             | 2030-03-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                     | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   12507000 | PA      | $9873085.71    | 0.02%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                 | Gray Oak Pipeline LLC                                                                                                    | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12470000 | PA      | $12116448.07   | 0.02%             | 2027-10-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412BWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104142 | PA      | $106013.91     | 0.00%             | 2036-09-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-5                                                                           | CUSIP: 693342AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2170000 | PA      | $1843564.45    | 0.00%             | 2051-12-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MDRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9668687 | PA      | $8301717.35    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2005-6, Class 2A7                                                                  | CUSIP: 05946XP23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106001 | PA      | $94285.07      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    8210000 | PA      | $6443166.54    | 0.01%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LE4K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8961770 | PA      | $8040623.18    | 0.02%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Triad Holdings III LLC                                                | Triad Holdings III LLC                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   12000000 | PA      | $12000000.00   | 0.02%             | 2052-04-01      | Fixed         | 7.25%                 | No            |                  3 | On Loan: No      |
| Jonah Energy Abs I LLC                                                | Jonah Energy ABS LLC, Series 2022-1, Class B                                                                             | CUSIP: 47987EAD9<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   40516186 | PA      | $40617476.54   | 0.08%             | 2039-08-10      | Fixed         | 7.62%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S42Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136080 | PA      | $138841.18     | 0.00%             | 2037-05-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14180000 | PA      | $12781765.79   | 0.03%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2021-1, Class B                                                             | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9362775 | PA      | $8765434.64    | 0.02%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                     | ONEOK Partners LP                                                                                                        | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    1825000 | PA      | $1917844.63    | 0.00%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Smurfit Westrock Financing DAC                                        | Smurfit Westrock Financing DAC                                                                                           | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    5760000 | PA      | $5735277.27    | 0.01%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Acrc                                                                  | Acrc                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   27133333 | PA      | $26115833.33   | 0.05%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PG&E Recovery Funding LLC                                             | PG&E Recovery Funding LLC, Series A-3                                                                                    | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   26600000 | PA      | $25707572.39   | 0.05%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138XMJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1792969 | PA      | $1690255.63    | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAX9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3150000 | PA      | $2765239.79    | 0.01%             | 2045-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31410GAM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20375 | PA      | $20636.15      | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   29115000 | PA      | $30001306.60   | 0.06%             | 2030-03-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   12950000 | PA      | $11981808.14   | 0.02%             | 2028-01-10      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HGBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18187133 | PA      | $14848062.93   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                        | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AT3<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    9180000 | PA      | $9190985.52    | 0.02%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YLKF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12847429 | PA      | $11614546.56   | 0.02%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                            | CPS Auto Receivables Trust, Series 2022-D, Class C                                                                       | CUSIP: 12663UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10121570.00   | 0.02%             | 2029-01-16      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26043000 | PA      | $25647847.74   | 0.05%             | 2033-10-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                         | Air Canada Pass-Through Trust, Series 2017-1, Class A                                                                    | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    5531755 | PA      | $5140095.87    | 0.01%             | 2030-01-15      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2002-18                                                                          | CUSIP: 12669C7X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29974 | PA      | $23532.58      | 0.00%             | 2032-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFRD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4529757 | PA      | $4288819.07    | 0.01%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-94, Class GK                                                                                    | CUSIP: 31396K4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5960 | PA      | $6253.79       | 0.00%             | 2026-10-25      | Floating      | 11.07%                | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KSL1, Class B                                                                          | CUSIP: 30295VAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10011000 | PA      | $9903237.59    | 0.02%             | 2025-11-25      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4DJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100132 | PA      | $102545.51     | 0.00%             | 2036-09-01      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    7096000 | PA      | $6156487.40    | 0.01%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    6522000 | PA      | $5805486.30    | 0.01%             | 2035-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1184000 | PA      | $1193520.59    | 0.00%             | 2031-02-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    6940000 | PA      | $6116389.25    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   13240000 | PA      | $13189510.58   | 0.03%             | 2034-12-30      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Brooklyn Union Gas Co. (The)                                          | Brooklyn Union Gas Co. (The)                                                                                             | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $4878118.64    | 0.01%             | 2048-03-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1184000 | PA      | $1140403.68    | 0.00%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-90, Class ES                                                                                    | CUSIP: 31394FVU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77538 | PA      | $80664.18      | 0.00%             | 2035-10-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2075, Class PM                                                                                      | CUSIP: 3133TGCK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50260 | PA      | $50707.03      | 0.00%             | 2028-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                           | Prologis LP                                                                                                              | CUSIP: 74340XBM2<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    3830000 | PA      | $3439220.54    | 0.01%             | 2030-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    2426000 | PA      | $2357659.07    | 0.00%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Independence Plaza Trust                                              | Independence Plaza Trust, Series 2018-INDP, Class A                                                                      | CUSIP: 45378YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   36250000 | PA      | $36068659.38   | 0.07%             | 2035-07-10      | Fixed         | 3.76%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2021-B, Class A                                                                           | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15529137 | PA      | $15121621.46   | 0.03%             | 2031-05-08      | Fixed         | 1.47%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5955000 | PA      | $5859378.84    | 0.01%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74765 | PA      | $75976.64      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAUG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33135930 | PA      | $29703538.00   | 0.06%             | 2070-10-20      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                              | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class A                                                        | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   22973000 | PA      | $23430527.97   | 0.05%             | 2030-06-20      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3244000 | PA      | $3315670.15    | 0.01%             | 2040-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   21875000 | PA      | $23695232.97   | 0.05%             | 2034-10-19      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    6266000 | PA      | $6320376.72    | 0.01%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2434, Class ZA                                                                                      | CUSIP: 3133TVUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146757 | PA      | $148357.18     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                 | Pagaya AI Technology in Housing Trust, Series 2023-1, Class C                                                            | CUSIP: 69547YAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8000000 | PA      | $7472442.40    | 0.02%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class WN                                                                                     | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2043556 | PA      | $186890.74     | 0.00%             | 2036-03-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2023-40                                                                                              | CUSIP: 3136BQGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15414338 | PA      | $12474760.34   | 0.03%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-H14, Class BF                                                                                          | CUSIP: 38382YDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8069804 | PA      | $8233759.31    | 0.02%             | 2071-09-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                        | Public Service Co. of Oklahoma, Series G                                                                                 | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    3901000 | PA      | $4148395.88    | 0.01%             | 2037-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ADH7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2916077.82    | 0.01%             | 2031-09-26      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                        | Long Beach Mortgage Loan Trust, Series 2004-3, Class M1                                                                  | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     184048 | PA      | $181461.15     | 0.00%             | 2034-07-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes Trust                                           | Tricon American Homes Trust, Series 2019-SFR1, Class E                                                                   | CUSIP: 89612LAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11000000 | PA      | $10800967.10   | 0.02%             | 2038-03-17      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31406H7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80772 | PA      | $80154.75      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  248957000 | PA      | $240476902.19  | 0.49%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3704, Class DT                                                                                      | CUSIP: 3137A0Y41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1555143 | PA      | $1660760.76    | 0.00%             | 2036-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-39, Class ZA                                                                                    | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1022165 | PA      | $1058246.97    | 0.00%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44649411 | PA      | $36803190.69   | 0.08%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30109 | PA      | $30241.10      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  315775000 | PA      | $328739044.73  | 0.67%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-52, Class AP                                                                                           | CUSIP: 38373QR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99118 | PA      | $87436.12      | 0.00%             | 2033-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60280000 | PA      | $50681448.62   | 0.10%             | 2034-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co., Series FFF                                                                                 | CUSIP: 797440BJ2<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     973000 | PA      | $1005371.62    | 0.00%             | 2037-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2023-1A, Class D                                                                        | CUSIP: 67571BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10792000 | PA      | $11179483.52   | 0.02%             | 2030-03-20      | Fixed         | 7.76%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 9128286F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12550000 | PA      | $12389448.23   | 0.03%             | 2026-02-28      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bimbo Bakeries USA, Inc.                                              | Bimbo Bakeries USA, Inc.                                                                                                 | CUSIP: 09031WAE3<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    5080000 | PA      | $4907280.00    | 0.01%             | 2036-01-09      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  567895000 | PA      | $437229669.31  | 0.89%             | 2031-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                               | Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class AX                                                        | CUSIP: 22545YBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14877652 | PA      | $2319.43       | 0.00%             | 2049-01-15      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                                 | Cheniere Energy, Inc.                                                                                                    | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |   13830000 | PA      | $13801263.06   | 0.03%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3147                                                                                                | CUSIP: 31396NLC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135676 | PA      | $123515.40     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    8500000 | PA      | $8577575.68    | 0.02%             | 2027-05-09      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617H9YZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6555866 | PA      | $6517745.84    | 0.01%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XNAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16892197 | PA      | $14528232.47   | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138MN2S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     705952 | PA      | $688732.00     | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAA38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1206162 | PA      | $1148746.68    | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128Q3NB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77732 | PA      | $80052.28      | 0.00%             | 2036-05-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-4, Class SD                                                                                     | CUSIP: 31396YEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1394703 | PA      | $122585.57     | 0.00%             | 2038-02-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Edison International                                                  | Edison International                                                                                                     | CUSIP: 281020AY3<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   15800000 | PA      | $15565634.33   | 0.03%             | 2028-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31225 | PA      | $32041.04      | 0.00%             | 2033-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                            | DOC DR LLC                                                                                                               | CUSIP: 71951QAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4474471.23    | 0.01%             | 2027-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                             | Florida Power & Light Co.                                                                                                | CUSIP: 341081GL5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    5440000 | PA      | $5491272.05    | 0.01%             | 2033-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Eni USA, Inc.                                                         | Eni USA, Inc.                                                                                                            | CUSIP: 51808BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4040000 | PA      | $4278649.79    | 0.01%             | 2027-11-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                  | Glencore Funding LLC                                                                                                     | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   16105000 | PA      | $14284126.83   | 0.03%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337P9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  261915000 | PA      | $204186432.71  | 0.42%             | 2031-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   21675000 | PA      | $21533688.97   | 0.04%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-52, Class KB                                                                                    | CUSIP: 313921KW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15365 | PA      | $15652.67      | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                  | FHLB                                                                                                                     | CUSIP: 3130AL5Y6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   40000000 | PA      | $30244638.00   | 0.06%             | 2036-02-11      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A5                                                            | CUSIP: 17307GBH0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      33053 | PA      | $31446.14      | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2230, Class Z                                                                                       | CUSIP: 3133TNSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17755 | PA      | $18392.00      | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6309594 | PA      | $5202134.48    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    7990000 | PA      | $7956337.41    | 0.02%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ANZ New Zealand Int'l Ltd.                                            | ANZ New Zealand Int'l Ltd.                                                                                               | CUSIP: 00182EBJ7<br>LEI: 213800VD256NU2D97H12 | Long             | DBT              | CORP              | NZ        |    2000000 | PA      | $1953126.82    | 0.00%             | 2028-01-21      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3740, Class SB                                                                                      | CUSIP: 3137GARP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     712963 | PA      | $59500.95      | 0.00%             | 2040-10-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-43, Class FD                                                                                    | CUSIP: 31398RCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169601 | PA      | $168409.97     | 0.00%             | 2040-05-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   10982000 | PA      | $10833787.04   | 0.02%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-21, Class LO                                                                                    | CUSIP: 31392CNN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3870 | PA      | $3335.65       | 0.00%             | 2032-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3608, Class SC                                                                                      | CUSIP: 31398LQC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     236584 | PA      | $19282.41      | 0.00%             | 2039-12-15      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| VOLT XCVI LLC                                                         | VOLT XCVI LLC, Series 2021-NPL5, Class A1                                                                                | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5068684 | PA      | $5065583.89    | 0.01%             | 2051-03-27      | Variable      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7135000 | PA      | $7007193.03    | 0.01%             | 2029-03-05      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    2145000 | PA      | $1798140.37    | 0.00%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15379030 | PA      | $12700148.56   | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG3C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3860478 | PA      | $3756364.02    | 0.01%             | 2032-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                                 | Gilead Sciences, Inc.                                                                                                    | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   64665000 | PA      | $45251400.44   | 0.09%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3860, Class PZ                                                                                      | CUSIP: 3137AAYT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9057426 | PA      | $9067962.96    | 0.02%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M1S, Class A2                                                                                     | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48740000 | PA      | $41727717.71   | 0.09%             | 2032-04-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   18415000 | PA      | $18402429.92   | 0.04%             | 2031-05-07      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W5                                                                            | CUSIP: 31396WLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81991 | PA      | $65621.69      | 0.00%             | 2037-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   49600000 | PA      | $50987296.62   | 0.10%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   10980000 | PA      | $9230156.49    | 0.02%             | 2032-02-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2802, Class OH                                                                                      | CUSIP: 31394YPD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120156 | PA      | $123207.26     | 0.00%             | 2034-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1758000 | PA      | $1588110.06    | 0.00%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H21, Class CF                                                                                          | CUSIP: 38375BWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72519 | PA      | $72532.03      | 0.00%             | 2061-05-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   12150000 | PA      | $11805415.31   | 0.02%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-3A, Class C                                                                             | CUSIP: 23345WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10141864.00   | 0.02%             | 2029-05-15      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Stanwich Mortgage Loan Co. LLC                                        | Stanwich Mortgage Loan Co. LLC, Series 2021-NPB1, Class A1                                                               | CUSIP: 85501YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     508868 | PA      | $509325.48     | 0.00%             | 2026-10-16      | Variable      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200QW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158403 | PA      | $163072.06     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJDH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10732750 | PA      | $11133722.98   | 0.02%             | 2032-12-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 1A3                                                               | CUSIP: 31393YU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     551391 | PA      | $567586.55     | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury Ultra Bond                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -723 | NC      | $-1932646.88   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31414UW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377393 | PA      | $387446.37     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp.                                               | Boston Scientific Corp.                                                                                                  | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |    5011000 | PA      | $4624496.41    | 0.01%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W6, Class 2A4                                                                        | CUSIP: 31393BU52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1307909 | PA      | $1292551.02    | 0.00%             | 2042-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $2599182.24    | 0.01%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Bank of New Zealand                                                   | Bank of New Zealand                                                                                                      | CUSIP: 06407EAH8<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |   16360000 | PA      | $16655819.72   | 0.03%             | 2029-01-30      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAC7<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    5540000 | PA      | $4161474.65    | 0.01%             | 2049-10-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H08, Class FC                                                                                          | CUSIP: 38375UVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10818935 | PA      | $10848776.66   | 0.02%             | 2065-03-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828M56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  110049000 | PA      | $109038784.30  | 0.22%             | 2025-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H26, Class MA                                                                                          | CUSIP: 38375BYQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38519 | PA      | $38494.08      | 0.00%             | 2062-07-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| BAT International Finance plc                                         | BAT International Finance plc                                                                                            | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   11000000 | PA      | $10739401.20   | 0.02%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-102, Class PN                                                                                   | CUSIP: 31398NAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     650817 | PA      | $659810.85     | 0.00%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                    | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    6820000 | PA      | $6267778.94    | 0.01%             | 2030-05-14      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QGMA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194726 | PA      | $198623.26     | 0.00%             | 2037-02-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                      | Multi-Family Connecticut Avenue Securities Trust, Series 2024-01, Class M7                                               | CUSIP: 62548RAA7<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |    7609706 | PA      | $7665727.54    | 0.02%             | 2054-07-25      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                                         | AIB Group plc                                                                                                            | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   33860000 | PA      | $34370484.20   | 0.07%             | 2035-03-28      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3361000 | PA      | $3124188.65    | 0.01%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8595962 | PA      | $7370148.34    | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 3138LYTT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     302950 | PA      | $296794.95     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Children's Hospital                                                   | Children's Hospital, Series 2020                                                                                         | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |   13680000 | PA      | $8338369.99    | 0.02%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                          | FirstEnergy Transmission LLC                                                                                             | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     830000 | PA      | $696670.59     | 0.00%             | 2049-04-01      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NUBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87950 | PA      | $90575.53      | 0.00%             | 2036-10-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class NT                                                                                   | CUSIP: 3136A1Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2572801 | PA      | $2723931.88    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Cleveland Electric Illuminating Co. (The)                             | Cleveland Electric Illuminating Co. (The)                                                                                | CUSIP: 186108CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     840000 | PA      | $861507.97     | 0.00%             | 2036-12-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2004-W10, Class A6                                                                 | CUSIP: 31394ALV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1417594 | PA      | $1428458.59    | 0.00%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGC2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    6890000 | PA      | $4641922.67    | 0.01%             | 2061-03-22      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-69, Class QD                                                                                           | CUSIP: 38375XRK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13419 | PA      | $13383.93      | 0.00%             | 2038-07-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2234, Class PZ                                                                                      | CUSIP: 3133TNXB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17826 | PA      | $18601.18      | 0.00%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   31110000 | PA      | $26994640.72   | 0.06%             | 2032-06-09      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18104033 | PA      | $17607141.51   | 0.04%             | 2033-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K072, Class AM                                          | CUSIP: 3137FEBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19000000 | PA      | $18626608.20   | 0.04%             | 2027-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A                                                                  | CUSIP: 31393AP68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57739 | PA      | $57960.35      | 0.00%             | 2042-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   81850937 | PA      | $66854299.34   | 0.14%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LCX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7883000 | PA      | $6391097.79    | 0.01%             | 2033-09-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-58, Class MB                                                                                    | CUSIP: 31398RYR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2074859 | PA      | $2122945.25    | 0.00%             | 2040-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAZ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    3950000 | PA      | $3684814.06    | 0.01%             | 2043-10-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  218300000 | PA      | $203010473.20  | 0.41%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337S3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  122788000 | PA      | $89027941.60   | 0.18%             | 2032-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31297APY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179207 | PA      | $179732.75     | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   16452000 | PA      | $10427647.28   | 0.02%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   16739000 | PA      | $16200511.39   | 0.03%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     930282 | PA      | $858194.23     | 0.00%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                      | McDonald's Corp.                                                                                                         | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    6540000 | PA      | $6290500.31    | 0.01%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BHP Billiton Finance USA Ltd.                                         | BHP Billiton Finance USA Ltd.                                                                                            | CUSIP: 055451BK3<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |   11735000 | PA      | $11865771.32   | 0.02%             | 2032-02-21      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                        | Carvana Auto Receivables Trust, Series 2023-P4, Class A4                                                                 | CUSIP: 14687NAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16476000 | PA      | $17064779.75   | 0.03%             | 2029-09-10      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-21, Class PE                                                                                    | CUSIP: 31392CPT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55688 | PA      | $57810.26      | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NVNH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15307000 | PA      | $15559183.13   | 0.03%             | 2030-08-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35636324 | PA      | $36403730.82   | 0.07%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   13720000 | PA      | $14048360.49   | 0.03%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class C                                                        | CUSIP: 826943AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2896113 | PA      | $2951137.12    | 0.01%             | 2040-01-20      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418MZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     765956 | PA      | $808023.86     | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2436, Class MC                                                                                      | CUSIP: 3133TVR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24587 | PA      | $25007.77      | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1890, Class H                                                                                       | CUSIP: 3133T85L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        961 | PA      | $963.69        | 0.00%             | 2026-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLTP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7554000 | PA      | $7812521.30    | 0.02%             | 2031-02-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   36630000 | PA      | $37679645.10   | 0.08%             | 2033-04-13      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H15                                                                                                    | CUSIP: 38380QJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41424796 | PA      | $2525756.82    | 0.01%             | 2070-08-20      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 3                                                              | CUSIP: 17307GCA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      10504 | PA      | $7259.77       | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                               | Pfizer Investment Enterprises Pte. Ltd.                                                                                  | CUSIP: 716973AE2<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |   15300000 | PA      | $15044639.79   | 0.03%             | 2033-05-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2968, Class EH                                                                                      | CUSIP: 31395RQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2794741 | PA      | $2880724.18    | 0.01%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2929, Class MS                                                                                      | CUSIP: 31395MB65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121416 | PA      | $124100.54     | 0.00%             | 2035-02-15      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2475, Class S                                                                                       | CUSIP: 31392RB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172295 | PA      | $17606.48      | 0.00%             | 2032-02-15      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   15002000 | PA      | $15160130.23   | 0.03%             | 2029-01-09      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410S5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66329 | PA      | $68584.24      | 0.00%             | 2034-10-01      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-2, Class AA                                                              | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1122521 | PA      | $1053013.79    | 0.00%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2006-A3, Class 6A1                                                                       | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96718 | PA      | $95427.62      | 0.00%             | 2034-08-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares, Inc.                                           | Huntington Bancshares, Inc.                                                                                              | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   17160000 | PA      | $17345845.03   | 0.04%             | 2031-01-15      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307095 | PA      | $319000.18     | 0.00%             | 2036-10-01      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| Baxalta, Inc.                                                         | Baxalta, Inc.                                                                                                            | CUSIP: 07177MAN3<br>LEI: 5493000JW8DCO3T45R55 | Long             | DBT              | CORP              | US        |     327000 | PA      | $297475.58     | 0.00%             | 2045-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9350000 | PA      | $6874639.39    | 0.01%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XFGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   63540630 | PA      | $51807376.91   | 0.11%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-101, Class A2                                                                       | CUSIP: 31396XC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1411735 | PA      | $1423377.55    | 0.00%             | 2036-06-27      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-29, Class J                                                                                     | CUSIP: 31359PFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6334 | PA      | $6389.22       | 0.00%             | 2027-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LLQX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18631325 | PA      | $18012349.02   | 0.04%             | 2027-12-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Nordea Bank Abp                                                       | Nordea Bank Abp                                                                                                          | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   16730000 | PA      | $17041096.52   | 0.03%             | 2027-09-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A1, Class 1A3                                                                  | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52954 | PA      | $52482.54      | 0.00%             | 2037-02-25      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                    | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AS4<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4967891.00    | 0.01%             | 2033-06-01      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2410, Class QS                                                                                      | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91708 | PA      | $97253.74      | 0.00%             | 2032-02-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                   | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MTU                                                            | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   69263706 | PA      | $59288929.27   | 0.12%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1840000 | PA      | $1596515.85    | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2004-S1, Class 1A7                                                                       | CUSIP: 466247ER0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18695 | PA      | $17678.74      | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                      | Continental Finance Credit Card ABS Master Trust, Series 2022-A, Class A                                                 | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   60885000 | PA      | $61157837.86   | 0.12%             | 2030-10-15      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| S&P Global, Inc.                                                      | S&P Global, Inc.                                                                                                         | CUSIP: 78409VBK9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |   13602000 | PA      | $12195771.51   | 0.02%             | 2032-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates  | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-37A, Class 2A                          | CUSIP: 86359BBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     321028 | PA      | $315953.82     | 0.00%             | 2033-12-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H26, Class JA                                                                                          | CUSIP: 38375BYU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        954 | PA      | $950.71        | 0.00%             | 2061-10-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123976 | PA      | $126587.19     | 0.00%             | 2037-01-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   14995000 | PA      | $15565856.95   | 0.03%             | 2036-01-14      | Variable      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  600000000 | PA      | $608953128.00  | 1.24%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34795 | PA      | $34783.95      | 0.00%             | 2035-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   11274000 | PA      | $10453123.15   | 0.02%             | 2030-09-13      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                                                                  | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116540 | PA      | $116091.57     | 0.00%             | 2042-12-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Hornbeck Offshore Services LLC                                        | Hornbeck Offshore Services LLC                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   47000000 | PA      | $47000000.00   | 0.10%             | 2044-01-01      | Fixed         | 8.90%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-82                                                                                                     | CUSIP: 38374MBR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104573 | PA      | $86967.96      | 0.00%             | 2035-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-1, Class SD                                                                                     | CUSIP: 31396PHH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72928 | PA      | $117641.91     | 0.00%             | 2037-02-25      | Floating      | 12.38%                | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2017-2, Class A                                                             | CUSIP: 02377CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6938158 | PA      | $6354258.22    | 0.01%             | 2029-10-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through Certificates Trust        | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2003-MS7, Class P                                 | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        180 | PA      | $142.56        | 0.00%             | 2033-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                    | Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class 1A2                                                           | CUSIP: 94985GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80930 | PA      | $70037.51      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31403MJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47793 | PA      | $48052.49      | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-78, Class BZ                                                                                    | CUSIP: 31396KDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73690 | PA      | $77739.16      | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138MSDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2554706 | PA      | $2267639.54    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  167615000 | PA      | $127483996.52  | 0.26%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    6745000 | PA      | $6702931.91    | 0.01%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QPNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     338220 | PA      | $347079.65     | 0.00%             | 2036-09-01      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| Alleghany Corp.                                                       | Alleghany Corp.                                                                                                          | CUSIP: 017175AE0<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |    8945000 | PA      | $8602697.48    | 0.02%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                  | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11250000 | PA      | $11579705.78   | 0.02%             | 2033-11-15      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LASW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3283490 | PA      | $3039616.46    | 0.01%             | 2035-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC, Series A-3                                                                                     | CUSIP: 78433LAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7950000 | PA      | $5145576.84    | 0.01%             | 2043-11-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8186 | PA      | $8210.69       | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Honeywell International, Inc.                                         | Honeywell International, Inc.                                                                                            | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   23400000 | PA      | $21638574.83   | 0.04%             | 2054-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402HJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17056 | PA      | $17310.39      | 0.00%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                     | Structured Asset Securities Corp., Series 2005-RF3, Class 1A                                                             | CUSIP: 86359DMC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     308229 | PA      | $264021.41     | 0.00%             | 2035-06-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2835, Class QO                                                                                      | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14125 | PA      | $12486.34      | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334U1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  149800000 | PA      | $109969396.38  | 0.22%             | 2032-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A9FU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2393798 | PA      | $1954254.54    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2004-6F, Class 2A4                                                                       | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     158641 | PA      | $159692.67     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   17888000 | PA      | $17677192.42   | 0.04%             | 2028-03-13      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29626860 | PA      | $29030398.67   | 0.06%             | 2028-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   29565000 | PA      | $30791609.57   | 0.06%             | 2029-06-08      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-80, Class SA                                                                                    | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     473990 | PA      | $37012.72      | 0.00%             | 2038-09-25      | Floating      | 1.41%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132E0P55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34458711 | PA      | $28545939.25   | 0.06%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                                   | Union Pacific Corp.                                                                                                      | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    1962000 | PA      | $1410567.44    | 0.00%             | 2067-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-97, Class SA                                                                                           | CUSIP: 38374EVW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110061 | PA      | $480.09        | 0.00%             | 2033-11-16      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                  | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   11965000 | PA      | $11358433.85   | 0.02%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MRFC Mortgage Pass-Through Trust                                      | MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1                                                             | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     276944 | PA      | $269310.17     | 0.00%             | 2030-06-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418D7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6062728 | PA      | $5192412.98    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   11682000 | PA      | $6541920.00    | 0.01%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L74G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4779409 | PA      | $4441287.33    | 0.01%             | 2034-11-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-70, Class Z                                                                                     | CUSIP: 31396WRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446732 | PA      | $464604.30     | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-51, Class SY                                                                                    | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37505 | PA      | $37619.32      | 0.00%             | 2034-07-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H18, Class NA                                                                                          | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     173898 | PA      | $174471.43     | 0.00%             | 2062-08-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Jonah Energy ABS II LLC                                               | Jonah Energy ABS II LLC, Series 2025-1A, Class A1                                                                        | CUSIP: 479913AD7<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   61126035 | PA      | $61126035.17   | 0.12%             | 2040-12-10      | Fixed         | 6.59%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y92F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10477744 | PA      | $9472316.30    | 0.02%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H15, Class FD                                                                                          | CUSIP: 38376RDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2595092 | PA      | $2602002.19    | 0.01%             | 2065-06-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58197 | PA      | $61044.61      | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Virginia Power Fuel Securitization LLC                                | Virginia Power Fuel Securitization LLC, Series A-2                                                                       | CUSIP: 92808VAB8<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |    8150000 | PA      | $8207677.14    | 0.02%             | 2031-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H02, Class MI                                                                                          | CUSIP: 38380LW58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37993103 | PA      | $2191286.38    | 0.00%             | 2070-01-20      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| PRET Trust                                                            | PRET Trust, Series 2024-RPL2, Class A1                                                                                   | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18512868 | PA      | $17533020.52   | 0.04%             | 2064-06-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3523, Class SD                                                                                      | CUSIP: 31398CGJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75680 | PA      | $76182.21      | 0.00%             | 2036-06-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5826529 | PA      | $5492990.96    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607                                                                                                | CUSIP: 31398LQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     709297 | PA      | $583065.14     | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2024-SFR5, Class C                                                                    | CUSIP: 74332HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15640000 | PA      | $14349204.21   | 0.03%             | 2029-08-09      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QSAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14687274 | PA      | $14290655.03   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GAS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     479712 | PA      | $492575.24     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3260, Class CS                                                                                      | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115095 | PA      | $10169.35      | 0.00%             | 2037-01-15      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M8, Class A2                                                                                      | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31670492 | PA      | $30868199.45   | 0.06%             | 2028-06-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                           | Nationwide Building Society                                                                                              | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   11000000 | PA      | $10693364.33   | 0.02%             | 2028-02-16      | Variable      | 2.97%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2022-7, Class C                                                           | CUSIP: 80287FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13325000 | PA      | $13626259.60   | 0.03%             | 2031-03-17      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Engie SA                                                              | Engie SA                                                                                                                 | CUSIP: 29286DAB1<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |   13225000 | PA      | $13351655.83   | 0.03%             | 2034-04-10      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53280000 | PA      | $53767012.23   | 0.11%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAK3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   13418000 | PA      | $13628307.02   | 0.03%             | 2030-01-10      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6030252 | PA      | $5186355.68    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K737, Class B                                                                          | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $9766581.00    | 0.02%             | 2053-01-25      | Variable      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLQZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16368000 | PA      | $16039534.67   | 0.03%             | 2033-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Goodman US Finance Three LLC                                          | Goodman US Finance Three LLC                                                                                             | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5157000 | PA      | $5020040.96    | 0.01%             | 2028-03-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| Ohio State University (The)                                           | Ohio State University (The), General Receipts, Series 2011A                                                              | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |    9576000 | PA      | $7750394.97    | 0.02%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LC5C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9225000 | PA      | $7571249.47    | 0.02%             | 2033-08-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                    | Essex Portfolio LP                                                                                                       | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    6190000 | PA      | $6219129.03    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New York State Electric & Gas Corp.                                   | New York State Electric & Gas Corp.                                                                                      | CUSIP: 649840CQ6<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |    2326000 | PA      | $2283274.73    | 0.00%             | 2026-12-01      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26884TAZ5<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    7330000 | PA      | $7358770.76    | 0.02%             | 2034-10-30      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCV LLC                                                          | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                                                 | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3906521 | PA      | $3901685.21    | 0.01%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| County of Franklin OH                                                 | County of Franklin, Hospital Facilities, Nationwide Children's Hospital Project                                          | CUSIP: 353187EV5<br>LEI: 549300VCBUC1RZE7KL42 | Long             | DBT              | MUN               | US        |    4675000 | PA      | $2902204.94    | 0.01%             | 2050-11-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                  | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A2                                           | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37697 | PA      | $38045.08      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Purewest ABS Issuer LLC                                               | Purewest ABS Issuer LLC, Series 2025-1, Class A2                                                                         | CUSIP: 74628AAB0<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |   95876897 | PA      | $95876897.09   | 0.20%             | 2040-04-05      | Fixed         | 6.53%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-42, Class S                                                                                     | CUSIP: 31398PSE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162117 | PA      | $13445.25      | 0.00%             | 2040-05-25      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Reference REMIC, Series R006, Class ZA                                                                            | CUSIP: 31396JT21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     898289 | PA      | $944573.74     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-1, Class B                                                               | CUSIP: 90933HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1204993 | PA      | $1188723.29    | 0.00%             | 2026-01-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                      | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   29300000 | PA      | $29363421.32   | 0.06%             | 2035-12-03      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3453, Class B                                                                                       | CUSIP: 31397THP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73337 | PA      | $74368.40      | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    9615000 | PA      | $9300564.31    | 0.02%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-115, Class ES                                                                                   | CUSIP: 31396LT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7430 | PA      | $8164.55       | 0.00%             | 2036-12-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   19270000 | PA      | $20568255.55   | 0.04%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31404J3N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     243932 | PA      | $242858.80     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1987, Class PE                                                                                      | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8723 | PA      | $8793.49       | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2021-M3, Class X1                                                                                      | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  134921764 | PA      | $9073758.46    | 0.02%             | 2033-11-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                           | Ocwen Loan Investment Trust, Series 2024-HB1, Class A                                                                    | CUSIP: 675952AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6268428 | PA      | $6098134.24    | 0.01%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class BKW1                                                             | CUSIP: 12529YBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14340000 | PA      | $13757867.70   | 0.03%             | 2026-01-29      | Variable      | 1.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3793, Class AB                                                                                      | CUSIP: 3137A5DZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108406 | PA      | $107886.31     | 0.00%             | 2026-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                          | Santander Holdings USA, Inc.                                                                                             | CUSIP: 80282KBL9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $14331887.50   | 0.03%             | 2035-05-31      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3704, Class CT                                                                                      | CUSIP: 3137A0XM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3486256 | PA      | $3698536.63    | 0.01%             | 2036-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09                                                                                                    | CUSIP: 38380QBM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42097121 | PA      | $2083285.47    | 0.00%             | 2070-05-20      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70154 | PA      | $72449.80      | 0.00%             | 2035-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                    | HERO Funding Trust, Series 2017-1A, Class A2                                                                             | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    5377449 | PA      | $4885174.47    | 0.01%             | 2047-09-20      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| Virginia Electric and Power Co.                                       | Virginia Electric and Power Co., Series A                                                                                | CUSIP: 927804FB5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2165193.11    | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2022-SFR3, Class D                                                                                    | CUSIP: 66981YAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22000000 | PA      | $21171018.00   | 0.04%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc.                                   | Amcor Flexibles North America, Inc.                                                                                      | CUSIP: 02344AAD0<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6039202.80    | 0.01%             | 2030-03-17      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2022-SFR1, Class E1                                                                                   | CUSIP: 00179WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   28018000 | PA      | $27465314.13   | 0.06%             | 2039-03-17      | Fixed         | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Sigeco Securitization I LLC                                           | Sigeco Securitization I LLC, Series A1                                                                                   | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16336325 | PA      | $16311678.53   | 0.03%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H10, Class FC                                                                                          | CUSIP: 38376RAH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $1.88          | 0.00%             | 2065-04-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21183 | PA      | $21398.59      | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LYA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1181578 | PA      | $1113923.59    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                                   | Suncor Energy, Inc.                                                                                                      | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    1997000 | PA      | $2092366.40    | 0.00%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Haleon US Capital LLC                                                 | Haleon US Capital LLC                                                                                                    | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    9210000 | PA      | $8842421.99    | 0.02%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHF Trust                                                             | FHF Trust, Series 2022-2A, Class A                                                                                       | CUSIP: 31568EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7220297 | PA      | $7257276.98    | 0.01%             | 2027-12-15      | Fixed         | 6.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-16, Class OA                                                                                    | CUSIP: 31394V4X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40882 | PA      | $36094.80      | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61744YAR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   10600000 | PA      | $9609432.23    | 0.02%             | 2039-04-22      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-57, Class 1A3                                          | CUSIP: 31394JDA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     254681 | PA      | $271998.19     | 0.00%             | 2043-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405H4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43079 | PA      | $43793.07      | 0.00%             | 2034-08-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-60, Class JC                                                                                    | CUSIP: 31397LJ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150367 | PA      | $152187.33     | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DTE Electric Securitization Funding II LLC                            | DTE Electric Securitization Funding II LLC, Series A-1                                                                   | CUSIP: 23346TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16370432 | PA      | $17161108.65   | 0.04%             | 2032-03-01      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY7A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2914537 | PA      | $2824318.35    | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617FBML8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29716777 | PA      | $31505959.05   | 0.06%             | 2072-07-20      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   14745000 | PA      | $12633487.54   | 0.03%             | 2031-02-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                                            | MMAF Equipment Finance LLC, Series 2024-A, Class A4                                                                      | CUSIP: 55318CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18608400 | PA      | $18865728.12   | 0.04%             | 2049-07-13      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DWBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11251148 | PA      | $9635279.28    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                          | ING Groep NV                                                                                                             | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    7083000 | PA      | $7209858.09    | 0.01%             | 2027-09-11      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                                  | Steel Dynamics, Inc.                                                                                                     | CUSIP: 858119BP4<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    3519000 | PA      | $2236902.88    | 0.00%             | 2050-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2023-4A, Class C                                                               | CUSIP: 362929AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19000000 | PA      | $19348258.60   | 0.04%             | 2029-08-15      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKMK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22856000 | PA      | $22708097.91   | 0.05%             | 2030-06-01      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-5A, Class C                                                             | CUSIP: 30167FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6307194 | PA      | $6329183.06    | 0.01%             | 2027-12-15      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| RT Fin LLC                                                            | RT Fin LLC                                                                                                               | CUSIP: 74983KAA9<br>LEI: 2549000QL0MZ8X7VL058 | Long             | ABS-O            | CORP              | US        |    9339465 | PA      | $9473449.01    | 0.02%             | 2043-10-15      | Fixed         | 7.85%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132HBRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     820368 | PA      | $755152.63     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class A                                                               | CUSIP: 22537EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   52650000 | PA      | $52830399.96   | 0.11%             | 2033-05-16      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust                             | SFS Auto Receivables Securitization Trust, Series 2024-1A, Class A3                                                      | CUSIP: 78435VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9785000 | PA      | $9817449.02    | 0.02%             | 2029-05-21      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1491000 | PA      | $1484866.12    | 0.00%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H19, Class FE                                                                                          | CUSIP: 38375UPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5733175 | PA      | $5748088.39    | 0.01%             | 2064-09-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406GDY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8618 | PA      | $8799.47       | 0.00%             | 2035-01-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M3, Class A2                                                                                      | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7665794 | PA      | $7450104.47    | 0.02%             | 2026-12-25      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   10000000 | PA      | $12213898.00   | 0.02%             | 2033-11-15      | Variable      | 9.02%                 | Yes           |                  2 | On Loan: No      |
| Eni SpA                                                               | Eni SpA                                                                                                                  | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   14030000 | PA      | $13129284.94   | 0.03%             | 2054-05-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9X98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3611351 | PA      | $3511795.81    | 0.01%             | 2027-06-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HEDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1058576 | PA      | $988151.32     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                    | State Street Corp.                                                                                                       | CUSIP: 857477CA9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    9010000 | PA      | $8839747.40    | 0.02%             | 2034-01-26      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   11526000 | PA      | $11778219.19   | 0.02%             | 2030-01-18      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 12                                                                                      | CUSIP: 31282YDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294976 | PA      | $41953.47      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                     | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   14550000 | PA      | $8220599.99    | 0.02%             | 2061-12-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1435000 | PA      | $1543490.16    | 0.00%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138NJA73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4276605 | PA      | $4276453.11    | 0.01%             | 2026-12-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2012-4, Class A                                                                         | CUSIP: 48247QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6854634 | PA      | $113320.80     | 0.00%             | 2037-09-25      | Variable      | 0.91%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M5, Class A1                                                                                      | CUSIP: 3136BLN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14600759 | PA      | $13591537.43   | 0.03%             | 2034-01-01      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14084898 | PA      | $14313273.01   | 0.03%             | 2052-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41953663 | PA      | $34663717.62   | 0.07%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CK Hutchison International 16 Ltd.                                    | CK Hutchison International 16 Ltd.                                                                                       | CUSIP: 12563TAB6<br>LEI: 254900OULDVPV9SGEO05 | Long             | DBT              | CORP              | KY        |    6500000 | PA      | $6341010.00    | 0.01%             | 2026-10-03      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   12891000 | PA      | $13580174.26   | 0.03%             | 2034-01-10      | Variable      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 292480AM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    9791000 | PA      | $9540415.61    | 0.02%             | 2029-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23000000 | PA      | $20275967.17   | 0.04%             | 2035-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-8, Class 1A4                                                 | CUSIP: 22541SU55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     363704 | PA      | $367312.58     | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   41515000 | PA      | $42316464.93   | 0.09%             | 2035-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-2A, Class D                                                                             | CUSIP: 23346CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9358000 | PA      | $9541116.41    | 0.02%             | 2029-02-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403MXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163816 | PA      | $160228.34     | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mayo Clinic                                                           | Mayo Clinic, Series 2016                                                                                                 | CUSIP: 578454AD2<br>LEI: 5493001OHMD58DCY4635 | Long             | DBT              | CORP              | US        |    2975000 | PA      | $2291749.45    | 0.00%             | 2052-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  207900000 | PA      | $147982571.35  | 0.30%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y24W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25577555 | PA      | $23123302.32   | 0.05%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    2981000 | PA      | $3212996.74    | 0.01%             | 2033-10-15      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W15, Class 2AF                                                                       | CUSIP: 31394B2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347038 | PA      | $343684.98     | 0.00%             | 2044-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2021-3A, Class D                                                           | CUSIP: 96043JAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27168430 | PA      | $26988762.63   | 0.06%             | 2027-01-15      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1981, Class Z                                                                                       | CUSIP: 3133TAUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5794 | PA      | $5789.31       | 0.00%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40000000 | PA      | $38737687.20   | 0.08%             | 2034-02-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2204, Class GB                                                                                      | CUSIP: 31394LME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2022 | PA      | $239.97        | 0.00%             | 2029-12-20      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Reperforming Loan REMIC Trust                                         | Reperforming Loan REMIC Trust, Series 2005-R1, Class 2A                                                                  | CUSIP: 12669GXG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24221 | PA      | $13253.49      | 0.00%             | 2035-03-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Fiserv, Inc.                                                          | Fiserv, Inc.                                                                                                             | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    6035000 | PA      | $5947382.66    | 0.01%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNGD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1691539 | PA      | $1634123.39    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A3                                                              | CUSIP: 12669GBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136082 | PA      | $130386.22     | 0.00%             | 2034-11-20      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12020000 | PA      | $8447590.85    | 0.02%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class BO                                                                                      | CUSIP: 31398LQM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     358955 | PA      | $310622.63     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241K3Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     350075 | PA      | $365585.39     | 0.00%             | 2035-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2023-4A, Class C                                                           | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12352000 | PA      | $12626825.82   | 0.03%             | 2028-11-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2006-W2, Class 2A                                                                         | CUSIP: 31395N5E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422365 | PA      | $430448.19     | 0.00%             | 2045-11-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36290T6X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45092 | PA      | $45454.24      | 0.00%             | 2037-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   28395000 | PA      | $28374458.49   | 0.06%             | 2034-04-21      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J7XD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4547682 | PA      | $4243518.24    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 310                                                                                                | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2733036 | PA      | $2066518.90    | 0.00%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                             | Consolidated Edison Co. of New York, Inc., Series 2017                                                                   | CUSIP: 209111FL2<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    3355000 | PA      | $2510929.71    | 0.01%             | 2047-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor ABS Mortgage Trust                | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2024-RTL1, Class A1                                       | CUSIP: 15169CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37151000 | PA      | $37411424.79   | 0.08%             | 2029-10-25      | Variable      | 6.89%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2208, Class PG                                                                                      | CUSIP: 3133TNFP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68978 | PA      | $71032.64      | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Southern Power Co.                                                    | Southern Power Co.                                                                                                       | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    7079000 | PA      | $6465682.66    | 0.01%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   52040000 | PA      | $53129016.10   | 0.11%             | 2027-09-13      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-123, Class LB                                                                                          | CUSIP: 38382HK41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10533515 | PA      | $8653317.17    | 0.02%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                                        | AIA Group Ltd.                                                                                                           | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    7535000 | PA      | $5681201.63    | 0.01%             | 2040-09-16      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     425000 | PA      | $479603.66     | 0.00%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3779, Class Z                                                                                       | CUSIP: 3137A4FZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15623441 | PA      | $15169748.71   | 0.03%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3200                                                                                                | CUSIP: 31397AJ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114804 | PA      | $96553.80      | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   11765000 | PA      | $11010688.20   | 0.02%             | 2053-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AK9<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    1392000 | PA      | $1139215.57    | 0.00%             | 2043-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JVR38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4280202 | PA      | $3966700.90    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    3835000 | PA      | $3871337.78    | 0.01%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                          | MASTR Resecuritization Trust, Series 2005-PO, Class 3                                                                    | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63172 | PA      | $47599.55      | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   10194000 | PA      | $8167130.14    | 0.02%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AK54                                                             | CUSIP: 12529YAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14570000 | PA      | $14134692.11   | 0.03%             | 2026-02-28      | Variable      | 1.86%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 20 Year                                                                                                      | CUSIP: 3132D9DH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5697889 | PA      | $5502559.44    | 0.01%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        475 | PA      | $495.91        | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Mutual of Omaha Cos. Global Funding                                   | Mutual of Omaha Cos. Global Funding                                                                                      | CUSIP: 62829D2A7<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |   18500000 | PA      | $18724082.55   | 0.04%             | 2026-07-27      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371MVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13237 | PA      | $13371.94      | 0.00%             | 2026-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  195000000 | PA      | $194838134.40  | 0.40%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                              | Roper Technologies, Inc.                                                                                                 | CUSIP: 776743AN6<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   14890000 | PA      | $13921218.48   | 0.03%             | 2027-09-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   28750000 | PA      | $29002372.10   | 0.06%             | 2031-05-27      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M2S, Class A2                                                                                     | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56250000 | PA      | $53279100.00   | 0.11%             | 2032-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                          | Drive Auto Receivables Trust, Series 2025-1, Class D                                                                     | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9190000 | PA      | $9194864.27    | 0.02%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5746099 | PA      | $5525215.52    | 0.01%             | 2028-06-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K072, Class A2                                          | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14689000 | PA      | $14406617.20   | 0.03%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31381BJC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4103 | PA      | $4191.55       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-27, Class J                                                                                     | CUSIP: 31359NR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3275 | PA      | $3306.89       | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440CD4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2713459.98    | 0.01%             | 2053-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2466, Class PH                                                                                      | CUSIP: 31392MN99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105131 | PA      | $109496.80     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3450778 | PA      | $3603686.90    | 0.01%             | 2032-01-10      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K088, Class A2                                          | CUSIP: 3137FKZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     355000 | PA      | $348386.42     | 0.00%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Cottage Health Obligated Group                                        | Cottage Health Obligated Group, Series 2020                                                                              | CUSIP: 22170QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10450000 | PA      | $7064085.26    | 0.01%             | 2049-11-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDLZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7998000 | PA      | $7836954.27    | 0.02%             | 2026-06-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-79, Class SY                                                                                           | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     606396 | PA      | $6326.11       | 0.00%             | 2037-12-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                              | Electricite de France SA                                                                                                 | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |   19275000 | PA      | $19791000.23   | 0.04%             | 2034-04-22      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-76, Class 2A                                           | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4761858 | PA      | $4263137.30    | 0.01%             | 2037-10-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2543, Class YX                                                                                      | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     216716 | PA      | $225051.45     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   12126000 | PA      | $12119793.31   | 0.02%             | 2026-06-09      | Variable      | 2.22%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822BU7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   23420000 | PA      | $20550584.41   | 0.04%             | 2030-07-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H12, Class HI                                                                                          | CUSIP: 38380QED0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28212588 | PA      | $2262013.17    | 0.00%             | 2070-07-20      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-54CB, Class 1A2                                                                      | CUSIP: 12668ANU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2739969 | PA      | $123861.11     | 0.00%             | 2035-11-25      | Floating      | 0.41%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3205671 | PA      | $3242183.62    | 0.01%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   76853000 | PA      | $44010350.78   | 0.09%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404SLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101808 | PA      | $104253.66     | 0.00%             | 2034-06-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                     | Time Warner Cable Enterprises LLC                                                                                        | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3041000 | PA      | $3492656.28    | 0.01%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $4435034.28    | 0.01%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   10555000 | PA      | $10926401.95   | 0.02%             | 2028-05-04      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-188, Class W                                                                                           | CUSIP: 38379HTQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1001675 | PA      | $1001655.18    | 0.00%             | 2041-10-20      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3424, Class PI                                                                                      | CUSIP: 31397T4Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     485675 | PA      | $48594.16      | 0.00%             | 2038-04-15      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAAW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7043860 | PA      | $6613878.17    | 0.01%             | 2030-06-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc., Asset-Backed Certificates                                | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M2                                                           | CUSIP: 126671Z33<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       6761 | PA      | $7158.60       | 0.00%             | 2034-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1382000 | PA      | $1352133.92    | 0.00%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Colorado                                        | Public Service Co. of Colorado                                                                                           | CUSIP: 744448CY5<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |   10460000 | PA      | $9283715.16    | 0.02%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-17                                                                                                     | CUSIP: 383742TE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90560 | PA      | $38.77         | 0.00%             | 2038-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-77, Class S                                                                                     | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22043 | PA      | $22377.72      | 0.00%             | 2032-12-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| WW Grainger, Inc.                                                     | WW Grainger, Inc.                                                                                                        | CUSIP: 384802AB0<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |    4364000 | PA      | $3777628.70    | 0.01%             | 2045-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22537839 | PA      | $20693743.55   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                          | Wells Fargo Mortgage-Backed Securities Trust, Series 2007-7, Class A7                                                    | CUSIP: 94985JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37730 | PA      | $33888.72      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-75, Class WA                                                                                           | CUSIP: 38378J4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     376510 | PA      | $383316.01     | 0.00%             | 2040-06-20      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107171 | PA      | $110069.42     | 0.00%             | 2035-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-78, Class Z                                                                                     | CUSIP: 31392FA72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311654 | PA      | $320072.23     | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42090000 | PA      | $41382392.18   | 0.08%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                      | DTE Electric Co.                                                                                                         | CUSIP: 23338VAL0<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $5583813.14    | 0.01%             | 2050-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     215188 | PA      | $218739.18     | 0.00%             | 2037-03-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2671, Class S                                                                                       | CUSIP: 31394HVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51830 | PA      | $55759.54      | 0.00%             | 2033-09-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20140000 | PA      | $18799431.25   | 0.04%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CGI, Inc.                                                             | CGI, Inc.                                                                                                                | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   14101000 | PA      | $13544136.70   | 0.03%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4973 | PA      | $5093.56       | 0.00%             | 2036-12-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2575, Class ME                                                                                      | CUSIP: 31393KSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     620262 | PA      | $643582.44     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H12, Class FA                                                                                          | CUSIP: 38376RBF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5512784 | PA      | $5528036.57    | 0.01%             | 2065-05-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410FSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235207 | PA      | $240430.83     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                                        | Synopsys, Inc.                                                                                                           | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   20850000 | PA      | $20608023.24   | 0.04%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Five Corners Funding Trust II                                         | Five Corners Funding Trust II                                                                                            | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15000000 | PA      | $13819659.90   | 0.03%             | 2030-05-15      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMJL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7089056 | PA      | $6097068.61    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Evergy, Inc.                                                          | Evergy, Inc.                                                                                                             | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |   14800000 | PA      | $13786768.76   | 0.03%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                            | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    9710000 | PA      | $9421779.72    | 0.02%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Goodman US Finance Six LLC                                            | Goodman US Finance Six LLC                                                                                               | CUSIP: 38239EAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11095000 | PA      | $10879200.36   | 0.02%             | 2034-10-07      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-3A, Class D                                                                             | CUSIP: 23345WAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13224000 | PA      | $13695587.68   | 0.03%             | 2029-05-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                         | MASTR Reperforming Loan Trust, Series 2006-2, Class 1A1                                                                  | CUSIP: 57645LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     501107 | PA      | $404878.90     | 0.00%             | 2036-05-25      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42692145 | PA      | $44680075.18   | 0.09%             | 2072-03-20      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3461, Class LZ                                                                                      | CUSIP: 31397TXJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52446 | PA      | $54237.79      | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                                          | Zoetis, Inc.                                                                                                             | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   12880000 | PA      | $11434581.41   | 0.02%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16721739 | PA      | $13125249.07   | 0.03%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2014-1, Class A                                                               | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3572308 | PA      | $3532864.47    | 0.01%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                                                       | Solventum Corp.                                                                                                          | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   26344000 | PA      | $26571226.75   | 0.05%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    5260000 | PA      | $4058934.39    | 0.01%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2435, Class CJ                                                                                      | CUSIP: 31392K2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140554 | PA      | $146280.02     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3142GTGY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61666328 | PA      | $61328448.03   | 0.13%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   10433000 | PA      | $10319160.53   | 0.02%             | 2030-10-02      | Variable      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391SQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55775 | PA      | $57826.49      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138EJ3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187320 | PA      | $174023.86     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2023-2, Class B                                                           | CUSIP: 80287JAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   38000000 | PA      | $38073393.20   | 0.08%             | 2028-05-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18345000 | PA      | $17662233.04   | 0.04%             | 2033-06-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128KLRA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22239 | PA      | $23198.71      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    7325000 | PA      | $6850282.94    | 0.01%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2022-1A, Class C                                                               | CUSIP: 22534LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   43105000 | PA      | $43154079.35   | 0.09%             | 2032-10-15      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   67969641 | PA      | $52274912.93   | 0.11%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3373, Class TO                                                                                      | CUSIP: 31397KUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71196 | PA      | $60608.88      | 0.00%             | 2037-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-3, Class A                                                                  | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3745497 | PA      | $3718870.16    | 0.01%             | 2052-10-15      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YWBP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18025606 | PA      | $18864946.76   | 0.04%             | 2072-03-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXED0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36379466 | PA      | $32176358.75   | 0.07%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     931472 | PA      | $887377.67     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LMAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7200396 | PA      | $6985519.81    | 0.01%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    7365000 | PA      | $7208805.73    | 0.01%             | 2026-01-08      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-141, Class WC                                                                                          | CUSIP: 38378GPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1123185 | PA      | $1059290.78    | 0.00%             | 2042-01-20      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-6, Class GS                                                                                     | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320091 | PA      | $24559.13      | 0.00%             | 2039-02-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059EU51<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    3500000 | PA      | $3039730.12    | 0.01%             | 2028-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-1, Class A                                                               | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16617101 | PA      | $15787436.06   | 0.03%             | 2028-07-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Southwestern Public Service Co.                                       | Southwestern Public Service Co.                                                                                          | CUSIP: 845743BN2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2277616.97    | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2086, Class GB                                                                                      | CUSIP: 3133TGE96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5734 | PA      | $5805.98       | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   20000000 | PA      | $20694623.80   | 0.04%             | 2029-01-10      | Variable      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AL97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6703624 | PA      | $6170885.98    | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-42, Class GB                                                                                    | CUSIP: 31393BUX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47591 | PA      | $46539.36      | 0.00%             | 2033-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2004-13F, Class 3A3                                                                      | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81241 | PA      | $81105.29      | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5Q60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191478 | PA      | $192157.91     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                                    | Devon Energy Corp.                                                                                                       | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   23770000 | PA      | $20662836.94   | 0.04%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 36180B5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     417550 | PA      | $385776.29     | 0.00%             | 2038-09-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    3394000 | PA      | $2903014.46    | 0.01%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust                                                                                        | CUSIP: 22530BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27013000 | PA      | $27156168.90   | 0.06%             | 2034-06-15      | Fixed         | 8.30%                 | No            |                  3 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    8635000 | PA      | $8619710.78    | 0.02%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W1, Class 2A2                                                                        | CUSIP: 31393U4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     799618 | PA      | $831699.13     | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138WTRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8899944 | PA      | $7916486.00    | 0.02%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-8, Class 6A1                                                                   | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        551 | PA      | $546.10        | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-1, Class 3A2                               | CUSIP: 93934FKP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67626 | PA      | $63074.61      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co.                                               | Commonwealth Edison Co.                                                                                                  | CUSIP: 202795JJ0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    3615000 | PA      | $2647266.49    | 0.01%             | 2046-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                                 | Gilead Sciences, Inc.                                                                                                    | CUSIP: 375558BY8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    9165000 | PA      | $7913445.56    | 0.02%             | 2030-10-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3274, Class JO                                                                                      | CUSIP: 31397F6H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21435 | PA      | $18437.12      | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                      | Republic of Peru                                                                                                         | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     737000 | PA      | $686515.50     | 0.00%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LKTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12718751 | PA      | $11997876.50   | 0.02%             | 2029-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   19870000 | PA      | $17227163.23   | 0.04%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                 | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675FBB2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   24190000 | PA      | $24945546.11   | 0.05%             | 2028-07-13      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38492294 | PA      | $33555811.05   | 0.07%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14250000 | PA      | $13861464.92   | 0.03%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A                                           | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1351436 | PA      | $1342469.56    | 0.00%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                 | Nomura Holdings, Inc.                                                                                                    | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   12180000 | PA      | $10919091.32   | 0.02%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                    | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2                                                             | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      95711 | PA      | $23452.72      | 0.00%             | 2037-06-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DNFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10752687 | PA      | $9232590.53    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corp.                                          | PPL Electric Utilities Corp.                                                                                             | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |   14285000 | PA      | $13283366.94   | 0.03%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   89713789 | PA      | $86975879.34   | 0.18%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LDVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10924000 | PA      | $8742806.01    | 0.02%             | 2033-11-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31385XLM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84964 | PA      | $86631.12      | 0.00%             | 2033-08-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     234411 | PA      | $229887.66     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-14, Class CO                                                                                           | CUSIP: 38376WBS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     439465 | PA      | $370581.47     | 0.00%             | 2035-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                  | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A5                                           | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66372 | PA      | $66522.45      | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13000000 | PA      | $12567536.54   | 0.03%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   13705000 | PA      | $13200365.18   | 0.03%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                 | Lehman Mortgage Trust, Series 2006-2, Class 1A1                                                                          | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     298225 | PA      | $184774.42     | 0.00%             | 2036-04-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-2, Class B                                                               | CUSIP: 90933JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10219531 | PA      | $10120657.42   | 0.02%             | 2025-10-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LSU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17604 | PA      | $17641.26      | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-106, Class ST                                                                                          | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3652744 | PA      | $115254.67     | 0.00%             | 2038-02-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-81, Class SB                                                                                    | CUSIP: 31397MUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     576523 | PA      | $34613.18      | 0.00%             | 2038-09-25      | Floating      | 1.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15306200 | PA      | $13859662.83   | 0.03%             | 2062-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| QUALCOMM, Inc.                                                        | QUALCOMM, Inc.                                                                                                           | CUSIP: 747525BR3<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |   10475000 | PA      | $8618428.81    | 0.02%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   28820000 | PA      | $29947115.33   | 0.06%             | 2034-09-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   25000000 | PA      | $22142426.75   | 0.05%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371NVA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74605 | PA      | $75853.03      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                                    | Vodafone Group plc                                                                                                       | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   16825000 | PA      | $14084441.54   | 0.03%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Nasdaq, Inc.                                                          | Nasdaq, Inc.                                                                                                             | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    7712000 | PA      | $7916035.61    | 0.02%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-64, Class FB                                                                        | CUSIP: 31396WVR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214099 | PA      | $212308.73     | 0.00%             | 2037-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3365                                                                                                | CUSIP: 31397KNK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103577 | PA      | $86536.43      | 0.00%             | 2037-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAML Funding Ltd.                                                     | BAML Funding Ltd.                                                                                                        | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |   15930000 | PA      | $15930000.00   | 0.03%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| Delta Air Lines Pass-Through Trust                                    | Delta Air Lines Pass-Through Trust, Series 2020-1, Class AA                                                              | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4746642 | PA      | $4433026.86    | 0.01%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    8422000 | PA      | $8285083.88    | 0.02%             | 2025-12-02      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AB5X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34910514 | PA      | $29951254.50   | 0.06%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                   | Thornburg Mortgage Securities Trust, Series 2004-4, Class 3A                                                             | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     435053 | PA      | $418175.41     | 0.00%             | 2044-12-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                                       | Prestige Auto Receivables Trust, Series 2022-1A, Class C                                                                 | CUSIP: 74113RAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4968367 | PA      | $4986645.45    | 0.01%             | 2028-08-15      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   17840000 | PA      | $17289409.97   | 0.04%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPF44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32008648 | PA      | $29362769.00   | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class EO                                                                                      | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77720 | PA      | $68177.95      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S1, Class A5                                                  | CUSIP: 929227H82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     218511 | PA      | $221123.29     | 0.00%             | 2033-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-78, Class PE                                                                                    | CUSIP: 31396W5Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99450 | PA      | $102664.77     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2431 | PA      | $2456.04       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1215953 | PA      | $1191260.42    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2013-300P, Class A1                                                                    | CUSIP: 12625XAA5<br>LEI: 549300NMFC2YLCA2NF13 | Long             | ABS-MBS          | CORP              | US        |    4484000 | PA      | $4462300.13    | 0.01%             | 2030-08-10      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                                | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                                                        | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14862195 | PA      | $14304333.42   | 0.03%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834QH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19005000 | PA      | $6442279.93    | 0.01%             | 2046-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| University of Miami                                                   | University of Miami, Series 2022                                                                                         | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |    6570000 | PA      | $5010001.92    | 0.01%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3200, Class AY                                                                                      | CUSIP: 31397AGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     475807 | PA      | $494484.16     | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408GY3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    1515000 | PA      | $1226185.10    | 0.00%             | 2044-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                  | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-21, Class 1A4                                          | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     151283 | PA      | $150356.72     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUHW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1008936 | PA      | $941593.37     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-17, Class QS                                                                                    | CUSIP: 31397NGH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110531 | PA      | $8934.97       | 0.00%             | 2039-03-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                         | Mid-State Capital Corp. Trust, Series 2006-1, Class M1                                                                   | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2222804 | PA      | $2226240.88    | 0.00%             | 2040-10-15      | Fixed         | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 1A2                                                            | CUSIP: 17307GXU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     316203 | PA      | $264880.91     | 0.00%             | 2035-08-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3371, Class FA                                                                                      | CUSIP: 31397KNW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54785 | PA      | $54463.26      | 0.00%             | 2037-09-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   16015000 | PA      | $16174048.81   | 0.03%             | 2030-07-19      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M5, Class A2                                                                                      | CUSIP: 3136B8TG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39486741 | PA      | $36033581.80   | 0.07%             | 2030-01-25      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650CM0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3268886.92    | 0.01%             | 2035-07-20      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   35870000 | PA      | $35919590.99   | 0.07%             | 2031-05-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   28870000 | PA      | $29826734.77   | 0.06%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DB1<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1886000 | PA      | $1530833.95    | 0.00%             | 2042-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                                               | Eni SpA                                                                                                                  | CUSIP: 26874RAC2<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    4843000 | PA      | $4586350.49    | 0.01%             | 2040-10-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-63, Class AP                                                                                    | CUSIP: 31398RPH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216431 | PA      | $186259.50     | 0.00%             | 2040-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                                                          | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   61030000 | PA      | $57381242.11   | 0.12%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAB8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    1075000 | PA      | $888683.26     | 0.00%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31348SG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5320 | PA      | $5302.23       | 0.00%             | 2026-07-01      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M8, Class A2                                                                                      | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23439441 | PA      | $22891778.83   | 0.05%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   14245000 | PA      | $10908277.84   | 0.02%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                                | Northrop Grumman Corp.                                                                                                   | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $12438835.63   | 0.03%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3181, Class AZ                                                                                      | CUSIP: 31396UQN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     221560 | PA      | $232199.29     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2020-SFR1, Class D                                                                          | CUSIP: 33767MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6450000 | PA      | $6384058.43    | 0.01%             | 2037-08-17      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates                                 | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class 3A                                                           | CUSIP: 126671Y91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     219645 | PA      | $205759.55     | 0.00%             | 2034-04-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    5545000 | PA      | $4842536.78    | 0.01%             | 2053-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    4805000 | PA      | $4406633.84    | 0.01%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                                           | CSMC OA LLC, Series 2014-USA, Class D                                                                                    | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   16830000 | PA      | $12851207.92   | 0.03%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    6211000 | PA      | $5102336.50    | 0.01%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1963, Class Z                                                                                       | CUSIP: 3133TAA28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5354 | PA      | $5392.59       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    8470000 | PA      | $8723348.80    | 0.02%             | 2030-09-13      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 8426EPAB4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    2136000 | PA      | $1588418.16    | 0.00%             | 2046-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412MPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70283 | PA      | $72226.01      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    9740000 | PA      | $9402080.05    | 0.02%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JL5B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5146999 | PA      | $5095329.18    | 0.01%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2024-M2, Class A1                                                                                      | CUSIP: 3136BQM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12620085 | PA      | $12721161.57   | 0.03%             | 2033-04-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     364556 | PA      | $370841.81     | 0.00%             | 2036-10-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    4203000 | PA      | $4262539.70    | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3102, Class HS                                                                                      | CUSIP: 31396H5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10578 | PA      | $11636.50      | 0.00%             | 2036-01-15      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    7101000 | PA      | $7091781.20    | 0.01%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400FT5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3408000 | PA      | $2463246.20    | 0.01%             | 2041-12-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7724520 | PA      | $7137550.70    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128DHKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     553282 | PA      | $570551.45     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBE4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1952000 | PA      | $1730324.28    | 0.00%             | 2035-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3085, Class WF                                                                                      | CUSIP: 31396FSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     150864 | PA      | $151154.66     | 0.00%             | 2035-08-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5237493 | PA      | $4648941.15    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-76, Class ZG                                                                                    | CUSIP: 31396WZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130161 | PA      | $132501.05     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   12902000 | PA      | $11077289.62   | 0.02%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                                       | Stream Innovations Issuer Trust, Series 2024-2A, Class A                                                                 | CUSIP: 86324EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6429667 | PA      | $6448653.23    | 0.01%             | 2045-02-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-15, Class ZA                                                                                    | CUSIP: 31392CKK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322835 | PA      | $333038.89     | 0.00%             | 2032-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3461, Class Z                                                                                       | CUSIP: 31397TXU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1063677 | PA      | $1111726.72    | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative LN Issuer LLC                                             | Alternative LN Issuer LLC                                                                                                | CUSIP: 02158AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   35938000 | PA      | $35938000.00   | 0.07%             | 2035-11-15      | Fixed         | 4.67%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H18, Class FA                                                                                          | CUSIP: 38376REW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2319139 | PA      | $2325261.87    | 0.00%             | 2065-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   47377000 | PA      | $46511084.89   | 0.09%             | 2028-06-05      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LTUT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     537560 | PA      | $516920.04     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4711 | PA      | $4718.87       | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   11146000 | PA      | $11212676.26   | 0.02%             | 2035-01-18      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $84518156.00   | 0.17%             | 2029-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class A                                                               | CUSIP: 22535PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8015000 | PA      | $8117337.12    | 0.02%             | 2033-12-15      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2014-2, Class A                                                               | CUSIP: 90932QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6699895 | PA      | $6565295.68    | 0.01%             | 2026-09-03      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1272754 | PA      | $1170019.58    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K54N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9791562 | PA      | $9215831.30    | 0.02%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49723220 | PA      | $45239750.48   | 0.09%             | 2063-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K753, Class A2                                          | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40970000 | PA      | $40991705.91   | 0.08%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                  | American Express Co.                                                                                                     | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   14285000 | PA      | $14501806.44   | 0.03%             | 2031-01-30      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                  | American Express Co.                                                                                                     | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    5720000 | PA      | $5757747.14    | 0.01%             | 2036-01-30      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XCCJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20742078 | PA      | $17810079.04   | 0.04%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-99, Class FA                                                                                    | CUSIP: 3136A8VS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     795738 | PA      | $779231.07     | 0.00%             | 2042-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                                            | F&G Annuities & Life, Inc.                                                                                               | CUSIP: 30190AAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10949000 | PA      | $11394609.85   | 0.02%             | 2028-01-13      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     561501 | PA      | $581286.54     | 0.00%             | 2036-03-01      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                      | Amazon.com, Inc.                                                                                                         | CUSIP: 023135CC8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $4457720.89    | 0.01%             | 2061-05-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138W5J66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1318849 | PA      | $1287742.96    | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4266000 | PA      | $4136098.89    | 0.01%             | 2041-06-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2023-1A, Class C                                                                        | CUSIP: 67571BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3400000 | PA      | $3441394.32    | 0.01%             | 2029-09-20      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    9675000 | PA      | $8561189.62    | 0.02%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                      | BP Capital Markets America, Inc.                                                                                         | CUSIP: 10373QCA6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $8961281.37    | 0.02%             | 2034-11-17      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-59, Class WA                                                                                           | CUSIP: 38378ERH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     735882 | PA      | $753530.74     | 0.00%             | 2038-08-20      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CY3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    7175000 | PA      | $7001890.50    | 0.01%             | 2035-09-11      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   12830000 | PA      | $13211486.07   | 0.03%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-16, Class FC                                                                                    | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118899 | PA      | $118782.54     | 0.00%             | 2037-03-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NNY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60079 | PA      | $60702.00      | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7SE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1165346 | PA      | $1143249.59    | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2095, Class PE                                                                                      | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40636 | PA      | $41142.92      | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J5K32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7089240 | PA      | $6660321.33    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                  | FHLB                                                                                                                     | CUSIP: 3130AL3G7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   32500000 | PA      | $24309281.75   | 0.05%             | 2036-02-08      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-31, Class DB                                                                                    | CUSIP: 31397SHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1905017 | PA      | $1861564.95    | 0.00%             | 2031-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413HZ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20065 | PA      | $20469.02      | 0.00%             | 2037-09-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-46, Class SW                                                                                    | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15211 | PA      | $16644.70      | 0.00%             | 2036-06-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  200000000 | PA      | $195078124.00  | 0.40%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-K63, Class B                                                                           | CUSIP: 30300HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $19634150.00   | 0.04%             | 2050-02-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-67, Class SI                                                                                           | CUSIP: 38375LG53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     495283 | PA      | $5880.80       | 0.00%             | 2037-11-20      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60000000 | PA      | $56745288.00   | 0.12%             | 2033-02-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H17, Class FC                                                                                          | CUSIP: 38375UNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4537913 | PA      | $4553914.37    | 0.01%             | 2064-07-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MKJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2878949 | PA      | $2839006.75    | 0.01%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Renew                                                                 | Renew, Series 2024-2A, Class A                                                                                           | CUSIP: 75975DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13047870 | PA      | $12459224.44   | 0.03%             | 2060-11-20      | Fixed         | 5.33%                 | Yes           |                  3 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue | Regents of the University of California, Medical Center Pooled, Series 2020N                                             | CUSIP: 913366KD1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   21120000 | PA      | $12649992.96   | 0.03%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates                                 | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1                                                           | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      41304 | PA      | $41845.41      | 0.00%             | 2034-03-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  113000000 | PA      | $113260429.97  | 0.23%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-42, Class PS                                                                                    | CUSIP: 31394DRU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6382 | PA      | $6463.09       | 0.00%             | 2035-05-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida Project Finance LLC                               | Duke Energy Florida Project Finance LLC, Series 2032                                                                     | CUSIP: 26444GAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9430000 | PA      | $8431477.48    | 0.02%             | 2033-03-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Monongahela Power Co.                                                 | Monongahela Power Co.                                                                                                    | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7920000 | PA      | $8107490.95    | 0.02%             | 2034-02-15      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Schlumberger Holdings Corp.                                           | Schlumberger Holdings Corp.                                                                                              | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |    8627000 | PA      | $8486707.04    | 0.02%             | 2028-05-17      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Xylem, Inc.                                                           | Xylem, Inc.                                                                                                              | CUSIP: 98419MAL4<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |    7315000 | PA      | $6404067.66    | 0.01%             | 2031-01-30      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 3140QCU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6207931 | PA      | $5645478.05    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J M Smucker Co. (The)                                                 | J M Smucker Co. (The)                                                                                                    | CUSIP: 832696AX6<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |   11635000 | PA      | $12351939.39   | 0.03%             | 2033-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M38, Class X2                                                                                     | CUSIP: 3136BBSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47360433 | PA      | $2140502.14    | 0.00%             | 2028-11-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                                           | Stellantis Finance US, Inc.                                                                                              | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |   12937000 | PA      | $10724805.86   | 0.02%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KH4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     577274 | PA      | $471278.92     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates  | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-34A, Class 3A3                         | CUSIP: 86359A5B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47948 | PA      | $47574.15      | 0.00%             | 2033-11-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T2, Class 2A                                                                | CUSIP: 31393X7K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278021 | PA      | $282086.47     | 0.00%             | 2043-07-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    6960000 | PA      | $6929379.90    | 0.01%             | 2030-09-11      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2013-2, Class A                                                                         | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4163139 | PA      | $118961.71     | 0.00%             | 2039-03-25      | Variable      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                                    | Columbia Pipelines Holding Co. LLC                                                                                       | CUSIP: 19828AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16276000 | PA      | $16094668.76   | 0.03%             | 2034-01-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H15, Class FA                                                                                          | CUSIP: 38375BUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        149 | PA      | $148.28        | 0.00%             | 2062-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132XVEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1131849 | PA      | $1055123.74    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BG Energy Capital plc                                                 | BG Energy Capital plc                                                                                                    | CUSIP: 05541VAF3<br>LEI: S2M8QDKEE05NZN8JD460 | Long             | DBT              | CORP              | GB        |    5781000 | PA      | $5408087.17    | 0.01%             | 2041-10-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-110                                                                                             | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160513 | PA      | $137578.62     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-62, Class SE                                                                                    | CUSIP: 31396WZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98184 | PA      | $102300.76     | 0.00%             | 2037-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H06, Class HB                                                                                          | CUSIP: 38375UET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     433857 | PA      | $436177.89     | 0.00%             | 2064-03-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                                            | F&G Annuities & Life, Inc.                                                                                               | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9165000 | PA      | $9367984.31    | 0.02%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2882000 | PA      | $2031893.17    | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2840000 | PA      | $2433880.77    | 0.00%             | 2030-10-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   17877000 | PA      | $15784029.67   | 0.03%             | 2032-05-28      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-2, Class B                                                                  | CUSIP: 21872GAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3649096 | PA      | $3538566.31    | 0.01%             | 2052-06-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| vMobo, Inc.                                                           | vMobo, Inc.                                                                                                              | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  110554453 | PA      | $105137285.08  | 0.21%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                    | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A                                                              | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     498175 | PA      | $483199.37     | 0.00%             | 2034-04-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Renew                                                                 | Renew, Series 2017-1A, Class A                                                                                           | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    2703143 | PA      | $2509873.04    | 0.01%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5332521 | PA      | $5033882.49    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    8000000 | PA      | $8005461.36    | 0.02%             | 2036-05-09      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                               | Duke Energy Indiana LLC                                                                                                  | CUSIP: 26443TAA4<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $3317264.37    | 0.01%             | 2046-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 383, Class 33                                                                                       | CUSIP: 3136FFPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89130 | PA      | $16296.91      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT                                                       | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25371927 | PA      | $22577526.54   | 0.05%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   18688000 | PA      | $13914257.86   | 0.03%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416B3N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9742 | PA      | $10049.56      | 0.00%             | 2038-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 345, Class 6                                                                                        | CUSIP: 3136FCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31358 | PA      | $3679.11       | 0.00%             | 2033-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127272 | PA      | $127661.02     | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   19410000 | PA      | $16668962.70   | 0.03%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-109, Class AI                                                                                   | CUSIP: 31396XY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     595509 | PA      | $43791.27      | 0.00%             | 2037-12-25      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42668759 | PA      | $44721015.01   | 0.09%             | 2072-03-20      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $3357071.81    | 0.01%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                        | Public Service Co. of Oklahoma                                                                                           | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    6205000 | PA      | $6064076.63    | 0.01%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7L29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1935309 | PA      | $1892173.10    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust, Series 2014                                                                                      | CUSIP: 12665VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     956697 | PA      | $880727.11     | 0.00%             | 2036-08-11      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241KHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149129 | PA      | $153781.35     | 0.00%             | 2035-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRJL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39843718 | PA      | $36580018.31   | 0.07%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-130, Class CP                                                                                          | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1229061 | PA      | $1305497.09    | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2141                                                                                                | CUSIP: 3133TKGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1362 | PA      | $67.94         | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Whole Loan, Series 2007-W1, Class 1AF1                                                                             | CUSIP: 31395D7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2218460 | PA      | $2200296.66    | 0.00%             | 2046-11-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Commercial Mortgage Securities Trust                     | Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class X1                                             | CUSIP: 07388VAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255387 | PA      | $7.74          | 0.00%             | 2045-01-12      | Variable      | 0.95%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12505000 | PA      | $12620810.56   | 0.03%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2012-2, Class A                                                                         | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5020242 | PA      | $90027.99      | 0.00%             | 2038-08-25      | Variable      | 0.81%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  180150000 | PA      | $110215207.93  | 0.23%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                              | Tricon Residential Trust, Series 2024-SFR4, Class D                                                                      | CUSIP: 895975AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $9837733.00    | 0.02%             | 2041-11-17      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   14928000 | PA      | $14704068.06   | 0.03%             | 2030-03-17      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    8940000 | PA      | $7857139.91    | 0.02%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-103, Class SB                                                                                   | CUSIP: 31398TY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320046 | PA      | $26873.03      | 0.00%             | 2049-11-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   15473000 | PA      | $8847450.72    | 0.02%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MCW8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   23065000 | PA      | $24017963.23   | 0.05%             | 2030-01-13      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5657281 | PA      | $5525837.56    | 0.01%             | 2026-08-01      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   64049309 | PA      | $54994790.85   | 0.11%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                  | Westgate Resorts LLC, Series 2023-1A, Class A                                                                            | CUSIP: 96033EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13017454 | PA      | $13112227.77   | 0.03%             | 2037-12-20      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                  | Westgate Resorts LLC, Series 2024-1A, Class A                                                                            | CUSIP: 96034KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19097519 | PA      | $19288927.89   | 0.04%             | 2038-01-20      | Fixed         | 6.06%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   20560000 | PA      | $20815814.72   | 0.04%             | 2030-01-09      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132WWXQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2032087 | PA      | $1852688.38    | 0.00%             | 2037-04-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-132, Class OA                                                                                   | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1834 | PA      | $1765.98       | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DM3S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5998008 | PA      | $5155648.37    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2399, Class OH                                                                                      | CUSIP: 31339MTG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49194 | PA      | $50815.40      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27156 | PA      | $27544.92      | 0.00%             | 2036-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-72, Class TO                                                                                    | CUSIP: 31396KHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31657 | PA      | $26076.71      | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Northern States Power Co.                                             | Northern States Power Co.                                                                                                | CUSIP: 665772CX5<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |   15470000 | PA      | $13912186.47   | 0.03%             | 2053-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                       | NGPL PipeCo LLC                                                                                                          | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    8283000 | PA      | $7242159.30    | 0.01%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 3136195D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3343 | PA      | $3305.37       | 0.00%             | 2027-09-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                 | Lehman Mortgage Trust, Series 2007-6, Class 1A8                                                                          | CUSIP: 52521NAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24376 | PA      | $21557.79      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   11195000 | PA      | $11845527.12   | 0.02%             | 2029-11-20      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LH5H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10746000 | PA      | $10875233.87   | 0.02%             | 2033-01-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2685 | PA      | $2729.16       | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                   | Teachers Insurance & Annuity Association of America                                                                      | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    3653000 | PA      | $3209771.50    | 0.01%             | 2044-09-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     494350 | PA      | $466041.23     | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  200455000 | PA      | $142800696.18  | 0.29%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-50, Class KB                                                                                           | CUSIP: 38375QD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     308570 | PA      | $316969.86     | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   85520000 | PA      | $79406655.82   | 0.16%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXX72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16078645 | PA      | $13994600.45   | 0.03%             | 2062-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   16126000 | PA      | $14160418.31   | 0.03%             | 2039-04-23      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class B                                                        | CUSIP: 826943AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5281148 | PA      | $5318355.51    | 0.01%             | 2040-01-20      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAX8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4796000 | PA      | $4210888.00    | 0.01%             | 2053-05-04      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                      | BP Capital Markets America, Inc.                                                                                         | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   25080000 | PA      | $15271393.58   | 0.03%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202EVR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51174 | PA      | $53407.74      | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2006-1, Class X                                                                    | CUSIP: 05949TBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28074 | PA      | $17721.46      | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31410LAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68327 | PA      | $69023.64      | 0.00%             | 2028-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2023-2, Class C                                                           | CUSIP: 80287JAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20100000 | PA      | $20328261.63   | 0.04%             | 2030-12-16      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAY9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     455000 | PA      | $382755.80     | 0.00%             | 2043-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-4A, Class D                                                             | CUSIP: 30166TAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14269000 | PA      | $14686214.14   | 0.03%             | 2029-12-17      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRRU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17810775 | PA      | $17332452.81   | 0.04%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-19, Class SD                                                                                           | CUSIP: 38375JTV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     245320 | PA      | $4578.84       | 0.00%             | 2037-04-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2038, Class PN                                                                                      | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12576 | PA      | $743.78        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10756000 | PA      | $9982357.49    | 0.02%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   13411000 | PA      | $13407879.93   | 0.03%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W8, Class 3F1                                                                        | CUSIP: 31393CX24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106519 | PA      | $106239.02     | 0.00%             | 2042-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                                                          | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   43050000 | PA      | $40324741.28   | 0.08%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-91, Class WA                                                                                           | CUSIP: 38378TTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1013536 | PA      | $968603.16     | 0.00%             | 2043-04-20      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3443, Class SY                                                                                      | CUSIP: 31397T7H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62609 | PA      | $68376.42      | 0.00%             | 2037-03-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-14, Class BO                                                                                           | CUSIP: 38376WBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156990 | PA      | $130737.86     | 0.00%             | 2035-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411VHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60412 | PA      | $61648.56      | 0.00%             | 2037-02-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   43095000 | PA      | $43460063.78   | 0.09%             | 2031-05-28      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| NXP BV                                                                | NXP BV                                                                                                                   | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   24465000 | PA      | $17278895.55   | 0.04%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CX                                | CUSIP: 9393367B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     866730 | PA      | $130098.55     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31390RK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4471 | PA      | $4472.23       | 0.00%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5MP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     274562 | PA      | $293882.33     | 0.00%             | 2038-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     761270 | PA      | $753056.53     | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Martin Marietta Materials, Inc.                                       | Martin Marietta Materials, Inc.                                                                                          | CUSIP: 573284AQ9<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    5785000 | PA      | $5654610.67    | 0.01%             | 2027-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-7, Class PF                                                                                     | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4863 | PA      | $5070.59       | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Aon North America, Inc.                                               | Aon North America, Inc.                                                                                                  | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   34340000 | PA      | $34720893.79   | 0.07%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DPUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12492597 | PA      | $11850620.85   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   46000000 | PA      | $45401283.32   | 0.09%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                            | Occidental Petroleum Corp.                                                                                               | CUSIP: 674599CH6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1965876.60    | 0.00%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                        | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3                                                | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     934675 | PA      | $912509.13     | 0.00%             | 2035-07-19      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25855000 | PA      | $12402320.31   | 0.03%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101138 | PA      | $104016.09     | 0.00%             | 2036-07-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $6116408.01    | 0.01%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402TVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32403 | PA      | $32949.66      | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YGA62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20826800 | PA      | $21728107.22   | 0.04%             | 2072-03-20      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A                                                 | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87540 | PA      | $85192.94      | 0.00%             | 2033-09-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3393, Class JO                                                                                      | CUSIP: 31397PGA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     281552 | PA      | $251797.79     | 0.00%             | 2032-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-28, Class PF                                                                                    | CUSIP: 31393YFC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46524 | PA      | $46499.54      | 0.00%             | 2034-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-4, Class AJ                                                                                     | CUSIP: 3136ACGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     885577 | PA      | $833076.99     | 0.00%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1616000 | PA      | $1184747.19    | 0.00%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  110463000 | PA      | $104116900.65  | 0.21%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6225059 | PA      | $5143753.35    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-43, Class SA                                                                                           | CUSIP: 38374UF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     480419 | PA      | $20454.31      | 0.00%             | 2039-06-20      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138M1MB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1796277 | PA      | $1692813.46    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3256                                                                                                | CUSIP: 31397EBP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68152 | PA      | $56715.11      | 0.00%             | 2036-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A1                                                          | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58136 | PA      | $53642.02      | 0.00%             | 2029-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNE82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27403143 | PA      | $22343053.12   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-32, Class SA                                                                                    | CUSIP: 31396Y5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106096 | PA      | $8746.13       | 0.00%             | 2038-04-25      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |   10095000 | PA      | $10614281.25   | 0.02%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24021912 | PA      | $23349117.23   | 0.05%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3315, Class HZ                                                                                      | CUSIP: 31397H3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135174 | PA      | $141882.02     | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  204145300 | PA      | $111697782.43  | 0.23%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417NEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146693 | PA      | $148516.45     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KM4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16811610 | PA      | $13857186.38   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SBALR Commercial Mortgage Trust                                       | SBALR Commercial Mortgage Trust, Series 2020-RR1, Class A3                                                               | CUSIP: 78397EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21436162 | PA      | $18452646.91   | 0.04%             | 2053-02-13      | Fixed         | 2.83%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H28, Class FA                                                                                          | CUSIP: 38375BYE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36429 | PA      | $36457.98      | 0.00%             | 2062-09-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 411, Class F1                                                                                       | CUSIP: 31395QDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3577491 | PA      | $3522788.09    | 0.01%             | 2042-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAT0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1259000 | PA      | $1268538.52    | 0.00%             | 2041-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  200075000 | PA      | $108400010.77  | 0.22%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    4480000 | PA      | $4618689.06    | 0.01%             | 2029-09-13      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W2, Class 1A1                                                                        | CUSIP: 31392JAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391345 | PA      | $405847.73     | 0.00%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-109                                                                                             | CUSIP: 31396LQW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34454 | PA      | $29386.84      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5602312 | PA      | $5585858.99    | 0.01%             | 2025-06-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31173996 | PA      | $32674104.19   | 0.07%             | 2071-09-20      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-7, Class SG                                                                                     | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     809985 | PA      | $89181.99      | 0.00%             | 2036-08-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Vale Overseas Ltd.                                                    | Vale Overseas Ltd.                                                                                                       | CUSIP: 91911TAQ6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |   27542000 | PA      | $25730562.66   | 0.05%             | 2030-07-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LATE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6618294 | PA      | $6585049.29    | 0.01%             | 2025-08-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6179 | PA      | $6301.06       | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class AO                                                                                      | CUSIP: 31396HUA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116001 | PA      | $105725.76     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AC3N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   74093247 | PA      | $66352700.71   | 0.14%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-37T1, Class A2                                                                       | CUSIP: 12667G2U6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11025913 | PA      | $659410.26     | 0.00%             | 2035-09-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418XEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     646095 | PA      | $646854.03     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                                                          | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   46200000 | PA      | $45845613.66   | 0.09%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                 | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KCQ1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   11030000 | PA      | $9860607.45    | 0.02%             | 2053-02-28      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                              | AEP Transmission Co. LLC                                                                                                 | CUSIP: 00115AAQ2<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    4030000 | PA      | $3763709.89    | 0.01%             | 2053-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DP Lion Holdco LLC                                                    | DP Lion Holdco LLC, Series 2023-1A, Class A                                                                              | CUSIP: 23359MAA8<br>LEI: 254900327YUW2NAXPW14 | Long             | ABS-O            | CORP              | US        |   17946364 | PA      | $18378332.93   | 0.04%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  3 | On Loan: No      |
| Interstate Power and Light Co.                                        | Interstate Power and Light Co.                                                                                           | CUSIP: 461070AV6<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    8615000 | PA      | $8322193.55    | 0.02%             | 2034-09-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHWZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187373 | PA      | $192430.71     | 0.00%             | 2037-04-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                         | MHC Commercial Mortgage Trust, Series 2021-MHC, Class E                                                                  | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12560000 | PA      | $12552149.99   | 0.03%             | 2038-04-15      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                                  | Anheuser-Busch InBev Worldwide, Inc.                                                                                     | CUSIP: 03523TBW7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     605000 | PA      | $604354.63     | 0.00%             | 2059-01-23      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2013-1, Class A                                                               | CUSIP: 909319AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12367156 | PA      | $12340205.06   | 0.03%             | 2025-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YGC45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22146494 | PA      | $23408707.22   | 0.05%             | 2072-07-20      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAC2<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   27694000 | PA      | $28634543.63   | 0.06%             | 2029-03-26      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2015-CR25, Class A4                                                                    | CUSIP: 12593PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11074294 | PA      | $11045943.02   | 0.02%             | 2048-08-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp.                                               | Boston Scientific Corp.                                                                                                  | CUSIP: 101137AE7<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $15475181.12   | 0.03%             | 2035-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6700000 | PA      | $6519960.08    | 0.01%             | 2026-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                          | American Water Capital Corp.                                                                                             | CUSIP: 03040WAU9<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    5250000 | PA      | $5041029.89    | 0.01%             | 2029-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-1, Class A                                                               | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10013152 | PA      | $9215012.21    | 0.02%             | 2031-08-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HBF1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   23400000 | PA      | $23752446.35   | 0.05%             | 2028-07-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                      | DTE Electric Co., Series B                                                                                               | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    1146000 | PA      | $820577.12     | 0.00%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MyMichigan Health                                                     | MyMichigan Health, Series 2020                                                                                           | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5410000 | PA      | $3609727.07    | 0.01%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337R5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  113297000 | PA      | $84206227.82   | 0.17%             | 2032-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7                               | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800113 | PA      | $729119.62     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410PXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40404 | PA      | $41235.57      | 0.00%             | 2036-09-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132AEN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3453017 | PA      | $3219781.16    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBK2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    4149000 | PA      | $3509850.74    | 0.01%             | 2044-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H16, Class FL                                                                                          | CUSIP: 38376RDR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6866772 | PA      | $6882424.51    | 0.01%             | 2065-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                                         | MetLife, Inc.                                                                                                            | CUSIP: 59156RBD9<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    2027000 | PA      | $1666192.20    | 0.00%             | 2042-08-13      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LAWC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10008246 | PA      | $9958500.59    | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WTSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3208741 | PA      | $2949740.74    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-1A, Class D                                                             | CUSIP: 30168BAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8805000 | PA      | $8953684.75    | 0.02%             | 2029-06-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    7655000 | PA      | $4401348.96    | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2022-1A, Class D                                                                        | CUSIP: 67571EAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4235000 | PA      | $4241037.84    | 0.01%             | 2029-02-20      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-98, Class FB                                                                                    | CUSIP: 31396XJ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69208 | PA      | $68523.18      | 0.00%             | 2037-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36000000 | PA      | $35685506.88   | 0.07%             | 2032-10-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  358540000 | PA      | $302504120.43  | 0.62%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QLR99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47672105 | PA      | $40932968.75   | 0.08%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2019, Class Z                                                                                       | CUSIP: 3133TCC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10519 | PA      | $10606.61      | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   14590000 | PA      | $14717912.13   | 0.03%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A2                                                 | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     301254 | PA      | $281124.07     | 0.00%             | 2034-06-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8255000 | PA      | $8009835.25    | 0.02%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co., Series C                                                                                 | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1272697.60    | 0.00%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   21651000 | PA      | $21398336.51   | 0.04%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp.                                                 | Parker-Hannifin Corp.                                                                                                    | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    3759000 | PA      | $3158920.57    | 0.01%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   86645000 | PA      | $83920421.12   | 0.17%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Safehold GL Holdings LLC                                              | Safehold GL Holdings LLC                                                                                                 | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |    2972000 | PA      | $2527318.66    | 0.01%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class PT1                                                               | CUSIP: 31393YV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94760 | PA      | $100058.17     | 0.00%             | 2044-01-25      | Variable      | 9.33%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    6600000 | PA      | $4684221.23    | 0.01%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| WEC Energy Group, Inc.                                                | WEC Energy Group, Inc.                                                                                                   | CUSIP: 976657AL0<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    1651000 | PA      | $1649790.23    | 0.00%             | 2025-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   22540000 | PA      | $22775740.45   | 0.05%             | 2035-01-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   41007000 | PA      | $41012330.91   | 0.08%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059FBM2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    2242000 | PA      | $1372934.24    | 0.00%             | 2035-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QPQF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12975 | PA      | $13423.56      | 0.00%             | 2037-03-01      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKD59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6368000 | PA      | $6288622.56    | 0.01%             | 2033-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.                | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-UP2, Class 1                                         | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |       1062 | PA      | $1057.31       | 0.00%             | 2033-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2054, Class PV                                                                                      | CUSIP: 3133TE4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9645 | PA      | $9767.13       | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 1996-2, Class 1Z                                                                           | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28989 | PA      | $29194.01      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                                                       | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   84249419 | PA      | $72409224.93   | 0.15%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Purewest ABS Issuer LLC                                               | Purewest ABS Issuer LLC, Series 2025-1, Class A1                                                                         | CUSIP: 74628AAA2<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |   29663853 | PA      | $29760972.00   | 0.06%             | 2040-04-05      | Fixed         | 5.68%                 | Yes           |                  3 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2022-A, Class A                                                                           | CUSIP: 68378NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5848130 | PA      | $5843504.36    | 0.01%             | 2031-06-09      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-42, Class A5                                           | CUSIP: 31392MH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1094323 | PA      | $1155483.51    | 0.00%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Aml-prop CAP 2022-e Frn                                               | Aml-prop CAP Frn                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    4284946 | PA      | $4268877.21    | 0.01%             | 2025-06-25      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-116, Class SB                                                                                   | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256901 | PA      | $22015.15      | 0.00%             | 2033-11-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class FL                                                                                    | CUSIP: 31395NC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91891 | PA      | $91202.23      | 0.00%             | 2036-07-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Texas Health Resources                                                | Texas Health Resources                                                                                                   | CUSIP: 882484AC2<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    6717000 | PA      | $3633439.98    | 0.01%             | 2050-11-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAP7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10244793.40   | 0.02%             | 2034-06-08      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-12, Class BZ                                                                                    | CUSIP: 31394VQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     570069 | PA      | $588604.13     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Pendoor Proper                                                        | Pendoor Proper                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   11917831 | PA      | $11812954.25   | 0.02%             | 2026-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98546 | PA      | $101850.23     | 0.00%             | 2036-10-01      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KPJM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28231473 | PA      | $25921477.22   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3383, Class SA                                                                                      | CUSIP: 31397P4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     442141 | PA      | $31847.59      | 0.00%             | 2037-11-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  131125000 | PA      | $90081850.91   | 0.18%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                        | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AH9<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    5043000 | PA      | $5026308.88    | 0.01%             | 2025-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   26250000 | PA      | $27692901.86   | 0.06%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-18, Class MA                                                                                    | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  176839252 | PA      | $143531632.12  | 0.29%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Palomino Funding Trust I                                              | Palomino Funding Trust I                                                                                                 | CUSIP: 69754AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5259758.65    | 0.01%             | 2028-05-17      | Fixed         | 7.23%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                              | PRET LLC, Series 2021-RN4, Class A1                                                                                      | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26106151 | PA      | $26069771.90   | 0.05%             | 2051-10-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2001-T3, Class A1                                                                | CUSIP: 31358S7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     372383 | PA      | $378773.34     | 0.00%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132VMGR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2037116 | PA      | $1899235.86    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6595000 | PA      | $5897372.66    | 0.01%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844BM9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    2888000 | PA      | $2295315.86    | 0.00%             | 2042-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AK98                                                             | CUSIP: 12529YBW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22370000 | PA      | $17775984.95   | 0.04%             | 2029-08-29      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                   | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 2A1                                            | CUSIP: 251510CX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26093 | PA      | $25268.94      | 0.00%             | 2020-02-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10778804 | PA      | $9602428.53    | 0.02%             | 2031-10-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class PD                                                                                    | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13555 | PA      | $14065.07      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-30, Class PM                                                                                    | CUSIP: 313920BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34898 | PA      | $35699.01      | 0.00%             | 2031-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   25535000 | PA      | $25753135.55   | 0.05%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                               | Port Authority of New York and New Jersey, Consolidated, Series 174                                                      | CUSIP: 73358WJA3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   17925000 | PA      | $14500326.58   | 0.03%             | 2062-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15812081 | PA      | $14576534.09   | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7252921 | PA      | $6452992.88    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4032, Class TO                                                                                      | CUSIP: 3137APJ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     957561 | PA      | $799987.93     | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1970, Class PG                                                                                      | CUSIP: 3133TAK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        951 | PA      | $962.12        | 0.00%             | 2027-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    4700000 | PA      | $4690813.10    | 0.01%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                              | AEP Transmission Co. LLC                                                                                                 | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    2680000 | PA      | $1725675.45    | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617ALMQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1417711 | PA      | $1337459.01    | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8651000 | PA      | $8498762.12    | 0.02%             | 2033-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                      | Continental Finance Credit Card ABS Master Trust, Series 2024-A, Class B                                                 | CUSIP: 66981PAR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6990000 | PA      | $7064810.48    | 0.01%             | 2032-12-15      | Fixed         | 6.22%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class A                                                               | CUSIP: 22537GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   35480000 | PA      | $35886494.36   | 0.07%             | 2034-03-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128K7XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     232188 | PA      | $239450.52     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banner Health                                                         | Banner Health                                                                                                            | CUSIP: 06654DAD9<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |   13950000 | PA      | $12048560.46   | 0.02%             | 2031-01-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22534PAE3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   12885000 | PA      | $13046586.28   | 0.03%             | 2026-07-05      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4200000 | PA      | $3035484.40    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-10, Class A1A                                                                        | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     116023 | PA      | $108893.52     | 0.00%             | 2034-11-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Terra ABS I LLC                                                       | Terra ABS I LLC, Series 2022-1A, Class A2                                                                                | CUSIP: 88089JAB3<br>LEI: 549300TL5VN5A8NJIT07 | Long             | ABS-O            | CORP              | US        |   23430994 | PA      | $24529908.11   | 0.05%             | 2042-12-22      | Fixed         | 8.18%                 | Yes           |                  3 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DTMR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12727237 | PA      | $10909979.82   | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2474, Class NR                                                                                      | CUSIP: 31392R3C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94448 | PA      | $97633.16      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   98830000 | PA      | $62035127.49   | 0.13%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3501, Class CB                                                                                      | CUSIP: 31397YS69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     510541 | PA      | $524669.64     | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1218 | PA      | $1235.01       | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-111, Class AM                                                                                   | CUSIP: 31398NXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2891628 | PA      | $2996510.02    | 0.01%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JAT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532321 | PA      | $541144.35     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                         | Citigroup Mortgage Loan Trust, Series 2015-A, Class B2                                                                   | CUSIP: 17323MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1001803 | PA      | $977573.89     | 0.00%             | 2058-06-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    4378000 | PA      | $4312066.44    | 0.01%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2179 | PA      | $2214.84       | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     785566 | PA      | $816825.37     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-101, Class FC                                                                                   | CUSIP: 3136A76U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     480268 | PA      | $471622.12     | 0.00%             | 2042-09-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2017-H14, Class XI                                                                                          | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23616864 | PA      | $639993.41     | 0.00%             | 2067-06-20      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2020-SFR2, Class E                                                                          | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   57000000 | PA      | $56130732.90   | 0.11%             | 2037-10-19      | Fixed         | 2.67%                 | Yes           |                  2 | On Loan: No      |
| Memorial Health Services                                              | Memorial Health Services                                                                                                 | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |   25595000 | PA      | $17510169.65   | 0.04%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Identity Digital Ltd.                                                 | Identity Digital Ltd.                                                                                                    | CUSIP: N/A<br>LEI: 5493005BN677T7KORE19       | Long             | DBT              | CORP              | IE        |   99500000 | PA      | $99500000.00   | 0.20%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H03, Class FA                                                                                          | CUSIP: 38375UTM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     804207 | PA      | $807016.24     | 0.00%             | 2064-12-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class SE                                                                                           | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     269365 | PA      | $4796.45       | 0.00%             | 2037-06-16      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                              | Roper Technologies, Inc.                                                                                                 | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    9380000 | PA      | $8246113.61    | 0.02%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pacific Life Insurance Co.                                            | Pacific Life Insurance Co.                                                                                               | CUSIP: 69448FAA9<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |    3766000 | PA      | $2887728.88    | 0.01%             | 2067-10-24      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-6A, Class D                                                             | CUSIP: 30168AAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13806000 | PA      | $14287458.02   | 0.03%             | 2029-04-06      | Fixed         | 8.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFYA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6186000 | PA      | $5453676.45    | 0.01%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1846675 | PA      | $1806995.81    | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  403160000 | PA      | $392175466.36  | 0.80%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   19965000 | PA      | $19869766.95   | 0.04%             | 2030-01-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                 | Lehman Mortgage Trust, Series 2008-2, Class 1A6                                                                          | CUSIP: 52522UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1857953 | PA      | $464807.41     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1006145 | PA      | $948544.53     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-3, Class 2A1                                                                   | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112046 | PA      | $115229.09     | 0.00%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-42, Class AO                                                                                    | CUSIP: 31397LPC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47840 | PA      | $40718.35      | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2780, Class SY                                                                                      | CUSIP: 31394XSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31602 | PA      | $34806.63      | 0.00%             | 2033-11-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                      | Jersey Central Power & Light Co., Series WI*                                                                             | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    8680000 | PA      | $8494415.87    | 0.02%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-6, Class W                                                                                             | CUSIP: 38378PS33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1227860 | PA      | $1261040.59    | 0.00%             | 2039-01-20      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-42, Class ZC                                                                                    | CUSIP: 31359PX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        409 | PA      | $409.68        | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                 | Anchor Mortgage Trust                                                                                                    | CUSIP: 03332JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   80000000 | PA      | $81130448.00   | 0.17%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292J5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49911 | PA      | $52408.32      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2423, Class MT                                                                                      | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66787 | PA      | $69811.21      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417MH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     349570 | PA      | $349710.99     | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W8, Class 2A                                                                         | CUSIP: 31393CW82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     494635 | PA      | $505176.93     | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L7YH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2531395 | PA      | $2488944.65    | 0.01%             | 2026-12-01      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-46, Class HI                                                                                    | CUSIP: 31397LRU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199352 | PA      | $11851.99      | 0.00%             | 2038-06-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class MT                                                                                   | CUSIP: 3136A12F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2918594 | PA      | $3068030.44    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                 | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   45000000 | PA      | $41643279.90   | 0.09%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class PU                                                                                    | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16405 | PA      | $17152.46      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                       | Republic Finance Issuance Trust, Series 2024-B, Class A                                                                  | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20275000 | PA      | $20461594.88   | 0.04%             | 2037-11-20      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LSL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38833 | PA      | $38438.18      | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LCMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5181945 | PA      | $4837081.47    | 0.01%             | 2035-12-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Goodleap 6.625   144a                                                 | Goodleap 6.625   144a                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   39623508 | PA      | $40656488.89   | 0.08%             | 2038-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XG2B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25142212 | PA      | $23444124.48   | 0.05%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-28, Class S                                                                                            | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100287 | PA      | $110191.35     | 0.00%             | 2034-04-16      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50821000 | PA      | $38282506.41   | 0.08%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2022-2A, Class D                                                                       | CUSIP: 78397WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19930000 | PA      | $20077396.30   | 0.04%             | 2032-10-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-72, Class US                                                                                           | CUSIP: 38375LV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     415907 | PA      | $2329.04       | 0.00%             | 2037-11-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                                       | Halliburton Co.                                                                                                          | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    2375000 | PA      | $2002954.83    | 0.00%             | 2043-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MNR ABS Issuer I LLC                                                  | MNR ABS Issuer I LLC                                                                                                     | CUSIP: 55317XAB5<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   23559890 | PA      | $23993815.79   | 0.05%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-35, Class EA                                                                                    | CUSIP: 31393BP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17124 | PA      | $14953.18      | 0.00%             | 2033-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17908296 | PA      | $18730377.87   | 0.04%             | 2071-10-20      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                    | New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series 2010D                             | CUSIP: 649902T37<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    2240000 | PA      | $2247249.54    | 0.00%             | 2040-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class LB                                                                                   | CUSIP: 3136A12K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2362864 | PA      | $2499850.52    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AM5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1667643.46    | 0.00%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Caerus Uinta Abs I LLC                                                | Caerus Uinta ABS LLC, Series 2023-1A, Class A2                                                                           | CUSIP: 127656AB2<br>LEI: 549300KYPQ0HIKDTZK59 | Long             | ABS-O            | CORP              | US        |   22007612 | PA      | $22491779.81   | 0.05%             | 2040-04-28      | Fixed         | 7.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-46, Class MG                                                                                           | CUSIP: 38373Q2Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198887 | PA      | $198339.93     | 0.00%             | 2033-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132HBF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1072756 | PA      | $1012664.14    | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9380000 | PA      | $6191428.65    | 0.01%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                       | PECO Energy Co.                                                                                                          | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    6430000 | PA      | $3895111.65    | 0.01%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L7EW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8732414 | PA      | $8601085.13    | 0.02%             | 2026-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185650 | PA      | $190126.18     | 0.00%             | 2036-12-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-47, Class ZA                                                                                    | CUSIP: 31397UEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     536860 | PA      | $544839.44     | 0.00%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3                                                                       | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     301318 | PA      | $297981.71     | 0.00%             | 2033-11-25      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2388, Class FB                                                                                      | CUSIP: 31339M2J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21077 | PA      | $21057.24      | 0.00%             | 2029-01-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   35836000 | PA      | $27418978.65   | 0.06%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JAPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8683917 | PA      | $7656706.08    | 0.02%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3179, Class OA                                                                                      | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73628 | PA      | $63024.28      | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co.                                           | Southern California Gas Co., Series XX                                                                                   | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    7148000 | PA      | $6507245.27    | 0.01%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-48, Class W                                                                                            | CUSIP: 38383WUN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10049237 | PA      | $9149873.89    | 0.02%             | 2062-12-20      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   34225000 | PA      | $34325381.93   | 0.07%             | 2028-03-27      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5008, Class LB                                                                                      | CUSIP: 3137FVYW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19629854 | PA      | $15146246.21   | 0.03%             | 2050-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-1, Class 1A1                               | CUSIP: 9393362D4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270480 | PA      | $264203.63     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   16415000 | PA      | $11802960.02   | 0.02%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2332, Class ZH                                                                                      | CUSIP: 313398L98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67614 | PA      | $70286.79      | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   29653000 | PA      | $29750961.35   | 0.06%             | 2029-05-18      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1                                                          | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134840 | PA      | $128119.75     | 0.00%             | 2028-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LF4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14317000 | PA      | $12848269.65   | 0.03%             | 2032-05-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4837, Class ZB                                                                                      | CUSIP: 3137FJDU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6754529 | PA      | $6305659.26    | 0.01%             | 2048-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Pennsylvania Electric Co.                                 | FirstEnergy Pennsylvania Electric Co.                                                                                    | CUSIP: 708696BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1513021.20    | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Puget Sound Energy, Inc.                                              | Puget Sound Energy, Inc.                                                                                                 | CUSIP: 745332CL8<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |   10070000 | PA      | $9311973.10    | 0.02%             | 2053-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M60C                                                     | CUSIP: 35563PDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8194183 | PA      | $7465489.16    | 0.02%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-60, Class CS                                                                                           | CUSIP: 38375DAQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     521093 | PA      | $10904.96      | 0.00%             | 2038-07-20      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                       | Impac CMB Trust, Series 2005-4, Class 2A1                                                                                | CUSIP: 45254NPE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349317 | PA      | $333511.31     | 0.00%             | 2035-05-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-128                                                                                             | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5227851 | PA      | $3785392.58    | 0.01%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2206000 | PA      | $2094248.21    | 0.00%             | 2032-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                  | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR15, Class 3A1                                        | CUSIP: 22541QCV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42292 | PA      | $43507.25      | 0.00%             | 2033-06-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                  | Westgate Resorts LLC, Series 2024-1A, Class B                                                                            | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9977573 | PA      | $10075909.13   | 0.02%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-128                                                                                             | CUSIP: 31396PEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100982 | PA      | $85691.58      | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQD70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     373791 | PA      | $366084.84     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-78, Class CB                                                                                    | CUSIP: 31396W5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50889 | PA      | $53218.35      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                   | Chase Funding Trust, Series 2003-6, Class 1A7                                                                            | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     921595 | PA      | $906422.27     | 0.00%             | 2034-11-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   45000000 | PA      | $46722204.45   | 0.10%             | 2029-01-10      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KLU2, Class A7                                          | CUSIP: 3137FPHV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13312527 | PA      | $13183981.13   | 0.03%             | 2025-09-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                            | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A                                                      | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   61625000 | PA      | $62138385.55   | 0.13%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    5118000 | PA      | $3864729.75    | 0.01%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-66, Class SP                                                                                           | CUSIP: 38374LU82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46920 | PA      | $49521.71      | 0.00%             | 2035-08-16      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4238, Class WY                                                                                      | CUSIP: 3137B4FZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1480955 | PA      | $1418914.83    | 0.00%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2015-K51, Class B                                                                           | CUSIP: 30293XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $9944611.00    | 0.02%             | 2048-10-25      | Variable      | 3.97%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29367005 | PA      | $24171821.89   | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                   | Chase Funding Trust, Series 2003-6, Class 1A5                                                                            | CUSIP: 161546HA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     540727 | PA      | $531575.59     | 0.00%             | 2034-11-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class A8                                                  | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     803813 | PA      | $791678.04     | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                     | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    9875000 | PA      | $8687099.02    | 0.02%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2015-C30, Class A4                                                         | CUSIP: 94989NBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4802617 | PA      | $4787025.78    | 0.01%             | 2058-09-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6775102 | PA      | $6261820.31    | 0.01%             | 2031-06-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9266000 | PA      | $8975909.25    | 0.02%             | 2041-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   11119000 | PA      | $8147994.97    | 0.02%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140GWQC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3618944 | PA      | $3378533.96    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AIG SunAmerica Global Financing X                                     | AIG SunAmerica Global Financing X                                                                                        | CUSIP: 00139PAA6<br>LEI: 549300Q3UB1GMKCGGR05 | Long             | DBT              | CORP              | US        |    8295000 | PA      | $9065378.55    | 0.02%             | 2032-03-15      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   22915000 | PA      | $20238003.02   | 0.04%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-11, Class SC                                                                                           | CUSIP: 38374TJF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     343934 | PA      | $8791.75       | 0.00%             | 2039-02-16      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410FXM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65607 | PA      | $66968.29      | 0.00%             | 2037-01-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Cendant Mortgage Capital LLC CDMC Mortgage Pass-Through Certificates  | Cendant Mortgage Capital LLC CDMC Mortgage Pass-Through Certificates, Series 2004-1, Class P                             | CUSIP: 151314GD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20055 | PA      | $14734.25      | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bastion Funding I LLC                                                 | Bastion Funding I LLC                                                                                                    | CUSIP: 07030UAG7<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   13831488 | PA      | $13969802.77   | 0.03%             | 2038-10-25      | Fixed         | 7.80%                 | No            |                  3 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132WWZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25297327 | PA      | $23548859.63   | 0.05%             | 2032-11-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    5076000 | PA      | $4390529.50    | 0.01%             | 2034-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5595000 | PA      | $5610139.29    | 0.01%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19394227 | PA      | $16096364.01   | 0.03%             | 2061-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                   | Kinder Morgan, Inc.                                                                                                      | CUSIP: 49456BAX9<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   20500000 | PA      | $20231786.41   | 0.04%             | 2033-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65061306 | PA      | $61453871.94   | 0.13%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables LLC                                               | Verdant Receivables LLC, Series 2024-1A, Class A2                                                                        | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10036482 | PA      | $10175181.67   | 0.02%             | 2031-12-12      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2106863 | PA      | $2029763.45    | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KPRC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22047747 | PA      | $21424596.65   | 0.04%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2327000 | PA      | $2342470.94    | 0.00%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Edison International                                                  | Edison International                                                                                                     | CUSIP: 281020AM9<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    6730000 | PA      | $6472580.19    | 0.01%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-25, Class SA                                                                                    | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80677 | PA      | $85692.70      | 0.00%             | 2034-04-25      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    2726000 | PA      | $2181470.32    | 0.00%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2020-SFR1, Class E                                                                          | CUSIP: 33767MAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11250000 | PA      | $11147216.63   | 0.02%             | 2037-08-17      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A                                                              | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155974 | PA      | $146320.01     | 0.00%             | 2034-06-20      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                          | Bridge Trust, Series 2022-SFR1, Class D                                                                                  | CUSIP: 10805VAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17966000 | PA      | $17835960.30   | 0.04%             | 2037-11-17      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HU2P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     493222 | PA      | $482472.42     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                             | GoodLeap Home Improvement Solutions Trust, Series 2024-1A, Class A                                                       | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6657337 | PA      | $6665291.98    | 0.01%             | 2046-10-20      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   49665000 | PA      | $50402059.39   | 0.10%             | 2036-05-28      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Grene 2023senrs5.5                                                    | Grene 2023-Senior                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   15514157 | PA      | $14580204.35   | 0.03%             | 2061-01-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3423, Class PB                                                                                      | CUSIP: 31397RVN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     825033 | PA      | $854238.39     | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   17528000 | PA      | $17382474.66   | 0.04%             | 2030-01-23      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class AM                                          | CUSIP: 3137H7ZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27000000 | PA      | $24262464.60   | 0.05%             | 2032-07-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    5160000 | PA      | $5167924.62    | 0.01%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom International Finance BV                             | Deutsche Telekom International Finance BV                                                                                | CUSIP: 25156PAR4<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |    2087000 | PA      | $1874028.41    | 0.00%             | 2042-03-06      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    8560000 | PA      | $8629283.44    | 0.02%             | 2027-03-02      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371ML88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51670 | PA      | $51870.66      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LCHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33900000 | PA      | $29381265.26   | 0.06%             | 2031-06-01      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Ohio University                                                       | Ohio University, General Receipts, Federally Taxable                                                                     | CUSIP: 677704A65<br>LEI: 549300P1K3IH2L5SFY61 | Long             | DBT              | MUN               | US        |    5822000 | PA      | $5119879.61    | 0.01%             | 2114-12-01      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-118, Class A2                                                                                   | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     810625 | PA      | $796371.75     | 0.00%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XGB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32345243 | PA      | $27531361.45   | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2075, Class PH                                                                                      | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46965 | PA      | $47591.26      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $22347786.00   | 0.05%             | 2031-10-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241KN53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100210 | PA      | $104725.03     | 0.00%             | 2037-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR8, Class E1                                                                   | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   47000000 | PA      | $45375017.30   | 0.09%             | 2038-10-17      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2018-HOME, Class A                                                                     | CUSIP: 20048JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   53745000 | PA      | $51813904.53   | 0.11%             | 2033-04-10      | Variable      | 3.82%                 | Yes           |                  2 | On Loan: No      |
| Hartford Insurance Group, Inc. (The)                                  | Hartford Insurance Group, Inc. (The)                                                                                     | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    7410000 | PA      | $6113977.00    | 0.01%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                                                                       | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155719 | PA      | $155740.22     | 0.00%             | 2037-10-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| 20 Times Square Trust                                                 | 20 Times Square Trust, Series 2018-20TS, Class E                                                                         | CUSIP: 90137LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13399000 | PA      | $11724125.00   | 0.02%             | 2035-05-15      | Variable      | 3.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHK58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14504000 | PA      | $14025677.66   | 0.03%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20212471 | PA      | $21299000.96   | 0.04%             | 2072-02-20      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H20, Class FA                                                                                          | CUSIP: 38376RFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5262454 | PA      | $5276766.92    | 0.01%             | 2065-08-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5601117 | PA      | $5396163.32    | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2021-2A, Class C                                                                          | CUSIP: 52604DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9780000 | PA      | $9006291.49    | 0.02%             | 2032-04-20      | Fixed         | 3.09%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3318, Class AO                                                                                      | CUSIP: 31397HCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2388 | PA      | $2136.12       | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-75, Class SV                                                                                    | CUSIP: 31394FAV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13210 | PA      | $14309.97      | 0.00%             | 2035-09-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3632, Class BS                                                                                      | CUSIP: 31398WRF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     832964 | PA      | $803318.02     | 0.00%             | 2040-02-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2023-M8, Class A1                                                                                      | CUSIP: 3136BQNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18036816 | PA      | $18121893.73   | 0.04%             | 2032-11-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MDS6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   23100000 | PA      | $23586506.56   | 0.05%             | 2030-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                    | Essex Portfolio LP                                                                                                       | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    8950000 | PA      | $7503298.82    | 0.02%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQEA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   76627847 | PA      | $74426617.46   | 0.15%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBF9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1189000 | PA      | $1001126.23    | 0.00%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAD0<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   13550000 | PA      | $14082745.35   | 0.03%             | 2031-03-26      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Accenture Capital, Inc.                                               | Accenture Capital, Inc.                                                                                                  | CUSIP: 00440KAC7<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |   21060000 | PA      | $20678750.82   | 0.04%             | 2031-10-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55407227 | PA      | $46879583.75   | 0.10%             | 2061-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32430112 | PA      | $26915440.09   | 0.05%             | 2062-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    5553000 | PA      | $4119888.42    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    8535000 | PA      | $6910641.93    | 0.01%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2832464 | PA      | $2704296.46    | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                                    | Granite Park Equipment Leasing LLC, Series 2023-1A, Class A3                                                             | CUSIP: 387422AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10006093 | PA      | $10217075.69   | 0.02%             | 2032-09-20      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   14886000 | PA      | $8833446.18    | 0.02%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR8, Class 1A2                                                | CUSIP: 93362FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     194602 | PA      | $178235.19     | 0.00%             | 2046-08-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LAQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75621 | PA      | $77587.34      | 0.00%             | 2036-11-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   16992000 | PA      | $12018353.07   | 0.02%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834MD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16580000 | PA      | $6689253.72    | 0.01%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                | UBS AG                                                                                                                   | CUSIP: 22550L2M2<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    3598000 | PA      | $3866934.52    | 0.01%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108002 | PA      | $109180.93     | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                 | Pagaya AI Technology in Housing Trust, Series 2023-1, Class A                                                            | CUSIP: 69547YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   48444000 | PA      | $46559063.34   | 0.10%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Keurig Dr Pepper, Inc.                                                | Keurig Dr. Pepper, Inc.                                                                                                  | CUSIP: 49271VAJ9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $12590679.69   | 0.03%             | 2030-05-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-23, Class FK                                                                                    | CUSIP: 31395B4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341130 | PA      | $336147.74     | 0.00%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4809, Class ZM                                                                                      | CUSIP: 3137FGPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20112599 | PA      | $18819154.11   | 0.04%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KMY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15936910 | PA      | $13168262.20   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   34400000 | PA      | $34956291.69   | 0.07%             | 2029-04-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-137, Class WA                                                                                          | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1445714 | PA      | $1485395.23    | 0.00%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-141, Class WB                                                                                          | CUSIP: 38378GPF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     716146 | PA      | $678268.91     | 0.00%             | 2042-09-16      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H16, Class FG                                                                                          | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6002533 | PA      | $6017043.96    | 0.01%             | 2065-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    6950000 | PA      | $6426546.43    | 0.01%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JB2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39935968 | PA      | $36904212.01   | 0.08%             | 2059-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSAV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17658338 | PA      | $17425675.25   | 0.04%             | 2028-09-01      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BAA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1472205 | PA      | $1387887.78    | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                          | FirstEnergy Transmission LLC                                                                                             | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    8353000 | PA      | $7864843.00    | 0.02%             | 2044-07-15      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                     | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    7065000 | PA      | $4233866.43    | 0.01%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                                    | Puget Energy, Inc.                                                                                                       | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    6522000 | PA      | $6118373.12    | 0.01%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1YJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1817398 | PA      | $1724580.52    | 0.00%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2023-1A, Class A3                                                                      | CUSIP: 784024AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   82000000 | PA      | $82841648.00   | 0.17%             | 2032-05-20      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-96, Class SL                                                                                           | CUSIP: 38375PY88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     380342 | PA      | $8834.20       | 0.00%             | 2038-12-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11997000 | PA      | $11768066.29   | 0.02%             | 2028-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 210385AE0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    3470000 | PA      | $3632489.52    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-7, Class SK                                                                                            | CUSIP: 38375PQ95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48314 | PA      | $48817.39      | 0.00%             | 2037-11-20      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y9ZS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17937535 | PA      | $16216250.08   | 0.03%             | 2052-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A1                                                                  | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115968 | PA      | $115179.71     | 0.00%             | 2035-06-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6122114.40    | 0.01%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 2A3                               | CUSIP: 9393363R2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     549812 | PA      | $24008.13      | 0.00%             | 2035-04-25      | Floating      | 0.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M6ZN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157234 | PA      | $165588.69     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X8BA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11519419 | PA      | $9904665.65    | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617F7PT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27685352 | PA      | $29175142.15   | 0.06%             | 2072-06-20      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1927, Class ZA                                                                                      | CUSIP: 3133T8U70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3427 | PA      | $3441.99       | 0.00%             | 2027-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128KRW91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     274038 | PA      | $274842.08     | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43037110 | PA      | $39156940.97   | 0.08%             | 2062-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 3140QALK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4557472 | PA      | $4309600.89    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                         | Air Canada Pass-Through Trust, Series 2017-1, Class AA                                                                   | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    5739922 | PA      | $5328315.84    | 0.01%             | 2030-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC, Series A-2                                                                                     | CUSIP: 78433LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9380000 | PA      | $6902815.63    | 0.01%             | 2038-05-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MHSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46127477 | PA      | $37601772.98   | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599BM7<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    3130000 | PA      | $2480920.95    | 0.01%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2023-SFR2, Class D                                                                                    | CUSIP: 00178YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12065000 | PA      | $11428658.12   | 0.02%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    4750000 | PA      | $4261528.76    | 0.01%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2455, Class GK                                                                                      | CUSIP: 31392K5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84683 | PA      | $88436.94      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M6ZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71372 | PA      | $74144.79      | 0.00%             | 2038-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122EL8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   24465000 | PA      | $23132111.08   | 0.05%             | 2064-02-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   21204000 | PA      | $20942970.70   | 0.04%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1495982 | PA      | $1410339.45    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State of California                                                   | State of California, Various Purpose                                                                                     | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2400000 | PA      | $2731059.60    | 0.01%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2271, Class PC                                                                                      | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53889 | PA      | $56092.97      | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349SF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45792 | PA      | $46725.34      | 0.00%             | 2033-12-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| BAML Funding Ltd.                                                     | BAML Funding Ltd.                                                                                                        | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |   19920000 | PA      | $19920000.00   | 0.04%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-91, Class W                                                                                            | CUSIP: 38379PU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1496022 | PA      | $1533622.00    | 0.00%             | 2040-05-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XBYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19252010 | PA      | $15921379.38   | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TCI Communications, Inc.                                              | TCI Communications, Inc.                                                                                                 | CUSIP: 872287AL1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1199000 | PA      | $1277868.87    | 0.00%             | 2028-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-84, Class WS                                                                                    | CUSIP: 31398FHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148873 | PA      | $10646.43      | 0.00%             | 2039-10-25      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1AP                                          | CUSIP: 31394PPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105521 | PA      | $51679.54      | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Boston Gas Co.                                                        | Boston Gas Co.                                                                                                           | CUSIP: 100743AJ2<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    2201000 | PA      | $1803198.81    | 0.00%             | 2042-02-15      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-59, Class SD                                                                                           | CUSIP: 38374NQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     274412 | PA      | $16706.32      | 0.00%             | 2036-10-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-43                                                                                              | CUSIP: 31395DC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48286 | PA      | $42704.42      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                                | Banc of America Alternative Loan Trust, Series 2004-6, Class 15                                                          | CUSIP: 05948KSR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7416 | PA      | $3065.78       | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   16564000 | PA      | $15764887.54   | 0.03%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                        | Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2                                               | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     341242 | PA      | $287932.57     | 0.00%             | 2036-01-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3286                                                                                                | CUSIP: 31397G4B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6438 | PA      | $5538.50       | 0.00%             | 2037-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L1T33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3297280 | PA      | $3210050.93    | 0.01%             | 2027-11-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2024-SFR2, Class C                                                                                    | CUSIP: 00179UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11723000 | PA      | $11113021.83   | 0.02%             | 2041-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     417747 | PA      | $407618.72     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                            | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   13295000 | PA      | $13084981.94   | 0.03%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-71, Class ZL                                                                                    | CUSIP: 31396KUT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1207645 | PA      | $1268191.69    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7532745 | PA      | $7000149.60    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T2, Class 1A4                                                               | CUSIP: 31393X7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     657794 | PA      | $666149.50     | 0.00%             | 2043-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Sigeco Securitization I LLC                                           | Sigeco Securitization I LLC, Series A2                                                                                   | CUSIP: 82655KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6960000 | PA      | $6747101.26    | 0.01%             | 2041-05-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-92                                                                                              | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3408513 | PA      | $2542384.92    | 0.01%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JMHK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235420 | PA      | $240050.66     | 0.00%             | 2049-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225B2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33781 | PA      | $34441.06      | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-4                                                                           | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9600000 | PA      | $8866878.82    | 0.02%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-3, Class 3A1                                                                   | CUSIP: 576434NW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     758618 | PA      | $771692.25     | 0.00%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC Finance Corp.                                                    | HSBC Finance Corp.                                                                                                       | CUSIP: 441812JZ8<br>LEI: 213800NQZ5NL1KSD7V45 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9437209.83    | 0.02%             | 2032-05-17      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   20230000 | PA      | $12969661.37   | 0.03%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CY6<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   13540000 | PA      | $13534913.16   | 0.03%             | 2034-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-103, Class WA                                                                                          | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185606 | PA      | $188897.21     | 0.00%             | 2034-08-20      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13781000 | PA      | $12869392.91   | 0.03%             | 2032-09-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1596365 | PA      | $1527111.51    | 0.00%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2005-AR6, Class 3A1                                                                      | CUSIP: 362341RZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19776 | PA      | $17872.55      | 0.00%             | 2035-09-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417G5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6683061 | PA      | $5934813.04    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-95, Class SG                                                                                    | CUSIP: 31396K4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57887 | PA      | $69604.36      | 0.00%             | 2036-10-25      | Floating      | 8.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140AELH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40189268 | PA      | $38935664.32   | 0.08%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXTU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50190403 | PA      | $43706318.53   | 0.09%             | 2061-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22452 | PA      | $22820.44      | 0.00%             | 2035-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Nited Mortgage Mezz                                                   | Nited Mortgage Mezz                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   36000000 | PA      | $36000000.00   | 0.07%             | 2026-02-18      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   71990000 | PA      | $70600852.16   | 0.14%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140M9MK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19472393 | PA      | $16033622.21   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series W5FX, Class AFX                                         | CUSIP: 3137FG6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21769000 | PA      | $21190996.04   | 0.04%             | 2028-04-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     859614 | PA      | $890890.90     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Diversified Abs Phase VI LLC                                          | Diversified ABS Phase LLC, Series VI, Class A                                                                            | CUSIP: 25512VAA7<br>LEI: 549300N7EGAMCATEDO05 | Long             | ABS-O            | CORP              | US        |   25419734 | PA      | $25152826.56   | 0.05%             | 2039-11-28      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     209000 | PA      | $194061.38     | 0.00%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                | Bear Stearns ARM Trust, Series 2003-2, Class A5                                                                          | CUSIP: 07384MTD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     367690 | PA      | $364228.45     | 0.00%             | 2033-01-25      | Variable      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-81, Class TA                                                                                    | CUSIP: 3136AFK60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1288945 | PA      | $1266670.96    | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGH21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10561000 | PA      | $9519621.19    | 0.02%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates                               | WaMu Mortgage Pass-Through Certificates, Series 2004-RS2, Class A4                                                       | CUSIP: 92922FPH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121674 | PA      | $118898.12     | 0.00%             | 2033-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2024-3, Class D                                                           | CUSIP: 80287LAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5230000 | PA      | $5327147.77    | 0.01%             | 2031-10-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                              | PRPM LLC, Series 2024-RCF1, Class A1                                                                                     | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9316579 | PA      | $9103417.94    | 0.02%             | 2054-01-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    7060000 | PA      | $5264284.91    | 0.01%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H06, Class FA                                                                                          | CUSIP: 38375UUF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3651361 | PA      | $3662877.44    | 0.01%             | 2065-02-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A1                                                         | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170955 | PA      | $160830.61     | 0.00%             | 2034-12-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H10, Class FA                                                                                          | CUSIP: 38375BRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2100455 | PA      | $2110492.64    | 0.00%             | 2061-12-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622ADE61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22503147 | PA      | $21044225.29   | 0.04%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2016-M1, Class A2                                                                                      | CUSIP: 3136AQV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22559516 | PA      | $22325695.74   | 0.05%             | 2026-01-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   25095000 | PA      | $24198285.63   | 0.05%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28800000 | PA      | $23000624.93   | 0.05%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2709940 | PA      | $2570684.95    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3966, Class NA                                                                                      | CUSIP: 3137AJXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     816615 | PA      | $792624.54     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Energy, Inc.                                                 | Progress Energy, Inc.                                                                                                    | CUSIP: 743263AG0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2883063.33    | 0.01%             | 2031-10-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-114, Class BS                                                                                          | CUSIP: 38383TGW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13926361 | PA      | $14591925.94   | 0.03%             | 2052-06-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400CEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4363 | PA      | $4435.70       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-35, Class SB                                                                                    | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260720 | PA      | $15892.58      | 0.00%             | 2040-04-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NKHW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36629 | PA      | $37097.84      | 0.00%             | 2037-11-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Safehold GL Holdings LLC                                              | Safehold GL Holdings LLC                                                                                                 | CUSIP: 78646UAA7<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $10542727.92   | 0.02%             | 2031-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833PB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10990000 | PA      | $10376683.60   | 0.02%             | 2026-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CF Industries, Inc.                                                   | CF Industries, Inc.                                                                                                      | CUSIP: 12527GAF0<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    3570000 | PA      | $3464440.56    | 0.01%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJMG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15134000 | PA      | $14860432.97   | 0.03%             | 2033-01-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BS8<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1222408.81    | 0.00%             | 2027-08-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR1, Class C                                                                    | CUSIP: 74333YAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14649000 | PA      | $13745815.91   | 0.03%             | 2041-02-17      | Fixed         | 3.46%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    9560000 | PA      | $9753026.92    | 0.02%             | 2029-05-30      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     652885 | PA      | $670277.18     | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41696087 | PA      | $34040662.17   | 0.07%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LFT CRE Ltd.                                                          | LFT CRE Ltd., Series 2021-FL1, Class C                                                                                   | CUSIP: 50203JAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   29810000 | PA      | $29626906.98   | 0.06%             | 2039-06-15      | Floating      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-22, Class SA                                                                                           | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     751724 | PA      | $50985.23      | 0.00%             | 2039-04-20      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   22360000 | PA      | $21964055.60   | 0.04%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 1999-T2, Class A1                                                                | CUSIP: 31359VYH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210674 | PA      | $210263.71     | 0.00%             | 2039-01-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-7, Class JM                                                                                            | CUSIP: 38374KF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1604 | PA      | $1677.64       | 0.00%             | 2034-05-18      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                        | Long Beach Mortgage Loan Trust, Series 2004-1, Class M1                                                                  | CUSIP: 542514EU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     387879 | PA      | $384402.96     | 0.00%             | 2034-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                                                                   | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     921200 | PA      | $949244.58     | 0.00%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-119                                                                                             | CUSIP: 31396LM80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48454 | PA      | $42186.43      | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3531, Class SA                                                                                      | CUSIP: 31398CVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     373877 | PA      | $30902.72      | 0.00%             | 2039-05-15      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2                                                              | CUSIP: 17307GBP2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |         52 | PA      | $46.62         | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    6890000 | PA      | $6989658.54    | 0.01%             | 2027-03-13      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5584000 | PA      | $4000024.08    | 0.01%             | 2050-02-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFGE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91957 | PA      | $93140.50      | 0.00%             | 2036-10-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128LUSW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19613 | PA      | $20062.14      | 0.00%             | 2037-07-01      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1601613 | PA      | $1496005.87    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1                                                                 | CUSIP: 31392GVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412859 | PA      | $410761.22     | 0.00%             | 2042-12-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-86, Class OT                                                                                    | CUSIP: 31398FRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1611517 | PA      | $1355586.11    | 0.00%             | 2037-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                             | Goodgreen, Series 2023-1A, Class A                                                                                       | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   44088009 | PA      | $41424506.82   | 0.08%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  3 | On Loan: No      |
| KLA Corp.                                                             | KLA Corp.                                                                                                                | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $4728391.22    | 0.01%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-74, Class SL                                                                                           | CUSIP: 38375LZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     511742 | PA      | $2277.41       | 0.00%             | 2037-11-16      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                       | AstraZeneca plc                                                                                                          | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    4250000 | PA      | $4692173.61    | 0.01%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M11, Class A2                                                                                     | CUSIP: 3136AX3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12499985 | PA      | $11854006.58   | 0.02%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Pepperdine University                                                 | Pepperdine University, Series 2020                                                                                       | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |    9620000 | PA      | $5791563.52    | 0.01%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                      | Continental Finance Credit Card ABS Master Trust, Series 2024-A, Class A                                                 | CUSIP: 66981PAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   41825000 | PA      | $42130924.78   | 0.09%             | 2032-12-15      | Fixed         | 5.78%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LHTX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26680000 | PA      | $24711226.77   | 0.05%             | 2032-04-01      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-39, Class PD                                                                                    | CUSIP: 31359PSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19674 | PA      | $19841.84      | 0.00%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FFCB Funding Corp.                                                    | FFCB Funding Corp.                                                                                                       | CUSIP: 3133EMNM0<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |   25000000 | PA      | $18330140.50   | 0.04%             | 2036-01-25      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    9690000 | PA      | $8418618.22    | 0.02%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H11                                                                                                    | CUSIP: 38380QDB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22799939 | PA      | $1208693.16    | 0.00%             | 2070-06-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HBJ3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2991072.69    | 0.01%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Pepco Holdings LLC                                                    | Pepco Holdings LLC                                                                                                       | CUSIP: 713291AH5<br>LEI: 0IYTXJPU5BH89F2Z1F31 | Long             | DBT              | CORP              | US        |    3507000 | PA      | $3925341.86    | 0.01%             | 2032-08-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                              | PNC Financial Services Group, Inc. (The)                                                                                 | CUSIP: 693475CD5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   28460000 | PA      | $28488440.36   | 0.06%             | 2031-05-13      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418M2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     521325 | PA      | $557292.21     | 0.00%             | 2039-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-95, Class DS                                                                                           | CUSIP: 38375DYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1145323 | PA      | $18755.93      | 0.00%             | 2038-12-20      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR3, Class D                                                                          | CUSIP: 33768EAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7187000 | PA      | $6990695.00    | 0.01%             | 2038-07-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    4960000 | PA      | $4490618.48    | 0.01%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7463000 | PA      | $7429915.03    | 0.02%             | 2032-11-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4VW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21728 | PA      | $22252.66      | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| P -stla                                                               | P4 SFR                                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   40900000 | PA      | $40082000.00   | 0.08%             | 2026-10-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ITC Holdings Corp.                                                    | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AT2<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   18040000 | PA      | $18157538.18   | 0.04%             | 2034-05-09      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1675551 | PA      | $1604360.97    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A1                                                                | CUSIP: 31392B6T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4408945 | PA      | $4524615.34    | 0.01%             | 2041-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57176206 | PA      | $46883018.58   | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   11580000 | PA      | $12355565.29   | 0.03%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   76360000 | PA      | $77096426.53   | 0.16%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-3A, Class D                                                             | CUSIP: 30166YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   39700000 | PA      | $40190922.26   | 0.08%             | 2028-09-15      | Fixed         | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42939 | PA      | $42944.85      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Pennsylvania Electric Co.                                 | FirstEnergy Pennsylvania Electric Co.                                                                                    | CUSIP: 591894CE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2439278.33    | 0.00%             | 2028-04-01      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2012-6, Class A                                                                         | CUSIP: 48247NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4896549 | PA      | $52486.11      | 0.00%             | 2039-05-25      | Variable      | 0.78%                 | Yes           |                  2 | On Loan: No      |
| Becton Dickinson & Co.                                                | Becton Dickinson & Co.                                                                                                   | CUSIP: 075887CK3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    2098000 | PA      | $1505575.66    | 0.00%             | 2050-05-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271203 | PA      | $277058.79     | 0.00%             | 2036-01-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-147, Class BE                                                                                          | CUSIP: 38378UNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3874000 | PA      | $3642921.32    | 0.01%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DTZY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   96793302 | PA      | $82898412.76   | 0.17%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31298GDU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     221149 | PA      | $231433.01     | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XEJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23327955 | PA      | $20768485.03   | 0.04%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-157, Class OP                                                                                          | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1536247 | PA      | $1303303.67    | 0.00%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Hackensack Meridian Health, Inc.                                      | Hackensack Meridian Health, Inc., Series 2020                                                                            | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   11100000 | PA      | $6768064.72    | 0.01%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-72, Class AZ                                                                                           | CUSIP: 38374L7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     297435 | PA      | $301277.26     | 0.00%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12946000 | PA      | $9079393.84    | 0.02%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-91, Class ES                                                                                    | CUSIP: 31396XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     686328 | PA      | $68051.10      | 0.00%             | 2037-10-25      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAG8<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   18303000 | PA      | $19019989.83   | 0.04%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF                                                                        | CUSIP: 31394FSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2882717 | PA      | $2857056.43    | 0.01%             | 2045-03-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4930000 | PA      | $5089240.82    | 0.01%             | 2030-04-18      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7087 | PA      | $7113.31       | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Co.                                          | Canadian Pacific Railway Co.                                                                                             | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    2500000 | PA      | $2126104.80    | 0.00%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2016-1A, Class A                                                                                 | CUSIP: 38217KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6980628 | PA      | $6243837.66    | 0.01%             | 2052-10-15      | Fixed         | 3.23%                 | Yes           |                  3 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAW8<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    1551000 | PA      | $1508253.97    | 0.00%             | 2028-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3852, Class QN                                                                                      | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     526488 | PA      | $499507.22     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Jonah Energy Abs I LLC                                                | Jonah Energy ABS LLC, Series 2022-1, Class A1                                                                            | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   21526206 | PA      | $21598129.56   | 0.04%             | 2037-12-10      | Fixed         | 7.20%                 | Yes           |                  3 | On Loan: No      |
| United Auto Credit Securitization Trust                               | United Auto Credit Securitization Trust, Series 2023-1, Class C                                                          | CUSIP: 90945CAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1465564 | PA      | $1466632.37    | 0.00%             | 2028-07-10      | Fixed         | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2010000 | PA      | $1734359.37    | 0.00%             | 2042-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-75, Class ZX                                                                                           | CUSIP: 38374CDG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     308746 | PA      | $309887.80     | 0.00%             | 2033-09-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   16372000 | PA      | $16620479.81   | 0.03%             | 2035-01-19      | Variable      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CZ3<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    8335000 | PA      | $7430892.21    | 0.02%             | 2055-03-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class B                                                               | CUSIP: 224936AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   43500000 | PA      | $44662324.35   | 0.09%             | 2033-10-17      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| BAML Funding Ltd.                                                     | BAML Funding Ltd.                                                                                                        | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |     255301 | PA      | $255301.24     | 0.00%             | 2025-06-25      | Fixed         | 9.10%                 | No            |                  3 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    8000000 | PA      | $8091879.44    | 0.02%             | 2026-11-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                             | Bank of Ireland Group plc                                                                                                | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   34388000 | PA      | $33141228.67   | 0.07%             | 2027-09-30      | Variable      | 2.03%                 | Yes           |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                        | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AJ5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    5527000 | PA      | $5436458.29    | 0.01%             | 2026-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412TXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229831 | PA      | $240444.89     | 0.00%             | 2038-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32566 | PA      | $32897.41      | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 05581KAF8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    2500000 | PA      | $2543884.63    | 0.01%             | 2029-06-12      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HYCH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1149886 | PA      | $1159354.41    | 0.00%             | 2049-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33345000 | PA      | $33928537.50   | 0.07%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3232, Class ST                                                                                      | CUSIP: 31397BP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     223181 | PA      | $16713.13      | 0.00%             | 2036-10-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEZC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26665000 | PA      | $22638201.56   | 0.05%             | 2032-01-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MSPN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41737953 | PA      | $40515409.21   | 0.08%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                          | Fiserv, Inc.                                                                                                             | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    5835000 | PA      | $4580205.19    | 0.01%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class AP                                                  | CUSIP: 2254586K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25928 | PA      | $19684.12      | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-22T1, Class A2                                                                       | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3262908 | PA      | $195524.55     | 0.00%             | 2035-06-25      | Floating      | 0.63%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308JK4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    7665000 | PA      | $7375702.36    | 0.02%             | 2028-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XF6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43203911 | PA      | $35734066.35   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-8, Class A1                                                                          | CUSIP: 81744FDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     284536 | PA      | $247996.74     | 0.00%             | 2034-09-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLBH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8730229 | PA      | $7502678.69    | 0.02%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2070, Class C                                                                                       | CUSIP: 3133TEMS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17286 | PA      | $17295.53      | 0.00%             | 2028-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $5966403.90    | 0.01%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  216030000 | PA      | $99202252.74   | 0.20%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Femsa SAB de CV                                             | Coca-Cola Femsa SAB de CV                                                                                                | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |   11205000 | PA      | $9012629.70    | 0.02%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251285 | PA      | $260747.88     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23715836 | PA      | $19661008.30   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Appalachian Power Co.                                                 | Appalachian Power Co., Series P                                                                                          | CUSIP: 037735CK1<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    3740000 | PA      | $3997845.62    | 0.01%             | 2037-08-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-29, Class SG                                                                                    | CUSIP: 31396VQJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137479 | PA      | $156508.00     | 0.00%             | 2037-04-25      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4923000 | PA      | $4536435.70    | 0.01%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LESN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11152464 | PA      | $9662573.21    | 0.02%             | 2032-01-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36213GR52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15019 | PA      | $15159.51      | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6478162 | PA      | $5955220.17    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-22, Class AO                                                                                           | CUSIP: 38374M2N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     190985 | PA      | $157438.19     | 0.00%             | 2036-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4048, Class FJ                                                                                      | CUSIP: 3137AQUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1511713 | PA      | $1490629.45    | 0.00%             | 2037-07-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                                       | Halliburton Co.                                                                                                          | CUSIP: 406216AS0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    2242000 | PA      | $2513208.53    | 0.01%             | 2096-08-15      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   12800000 | PA      | $12585252.61   | 0.03%             | 2028-04-06      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CU4<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    6367000 | PA      | $4698482.19    | 0.01%             | 2052-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-32, Class PG                                                                                    | CUSIP: 31359PMW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2647 | PA      | $2648.90       | 0.00%             | 2027-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                           | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1                                                     | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      31724 | PA      | $31490.97      | 0.00%             | 2034-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-117, Class GS                                                                                   | CUSIP: 31396LD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398698 | PA      | $36974.26      | 0.00%             | 2036-12-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                               | KeyCorp                                                                                                                  | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    3780000 | PA      | $3608791.06    | 0.01%             | 2033-06-01      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-16, Class OP                                                                                           | CUSIP: 38374MM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132906 | PA      | $109570.68     | 0.00%             | 2036-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283YQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3836 | PA      | $3909.38       | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1515, Class A2                                        | CUSIP: 3137FTZL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22000000 | PA      | $17253610.00   | 0.04%             | 2035-02-25      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 LP                                                           | CARS-DB4 LP, Series 2020-1A, Class A6                                                                                    | CUSIP: 12510HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5881250 | PA      | $5433192.26    | 0.01%             | 2050-02-15      | Fixed         | 3.81%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2023-3A, Class D                                                               | CUSIP: 36267PAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9293000 | PA      | $9501513.55    | 0.02%             | 2029-05-15      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K118, Class XAM                                         | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21864540 | PA      | $1173666.64    | 0.00%             | 2030-09-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHSG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     254336 | PA      | $257511.09     | 0.00%             | 2036-12-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418VUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1880345 | PA      | $1881104.98    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406UU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46405 | PA      | $47233.42      | 0.00%             | 2035-03-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2004-2CB, Class 1A9                                                                       | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1685840 | PA      | $1716405.48    | 0.00%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                                    | F&G Global Funding                                                                                                       | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   12780000 | PA      | $12374235.26   | 0.03%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2722, Class PF                                                                                      | CUSIP: 31394NG93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     443843 | PA      | $444187.22     | 0.00%             | 2033-12-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-7, Class SP                                                                                            | CUSIP: 38375PQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69085 | PA      | $69006.46      | 0.00%             | 2037-10-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     603286 | PA      | $591644.41     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KBC Group NV                                                          | KBC Group NV                                                                                                             | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   36960000 | PA      | $39037207.07   | 0.08%             | 2034-09-21      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                      | Jersey Central Power & Light Co.                                                                                         | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    6154000 | PA      | $6134408.86    | 0.01%             | 2026-01-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   16000000 | PA      | $11454441.92   | 0.02%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JNLN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2568211 | PA      | $2565274.17    | 0.01%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YCR8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   26000000 | PA      | $26974726.74   | 0.06%             | 2031-05-27      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSB62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135632 | PA      | $139248.35     | 0.00%             | 2036-03-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2110, Class PG                                                                                      | CUSIP: 3133THLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105992 | PA      | $106390.88     | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   15385000 | PA      | $15109865.58   | 0.03%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-27, Class SD                                                                                           | CUSIP: 38375JJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     497038 | PA      | $15492.37      | 0.00%             | 2037-05-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9US9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $23495464.50   | 0.05%             | 2030-04-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                              | Tricon Residential Trust, Series 2024-SFR2, Class A                                                                      | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25770671 | PA      | $25662248.37   | 0.05%             | 2040-06-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| NXP BV                                                                | NXP BV                                                                                                                   | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   36499000 | PA      | $31458944.34   | 0.06%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MedStar Health, Inc.                                                  | MedStar Health, Inc., Series 20A                                                                                         | CUSIP: 58506YAS1<br>LEI: 549300ICFOCGDEPVJE31 | Long             | DBT              | CORP              | US        |    7365000 | PA      | $5014002.07    | 0.01%             | 2049-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Grupo Televisa SAB                                                    | Grupo Televisa SAB                                                                                                       | CUSIP: 40049JBC0<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |     767000 | PA      | $591011.85     | 0.00%             | 2046-01-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-52, Class SX                                                                                    | CUSIP: 31393CV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30484 | PA      | $35138.59      | 0.00%             | 2031-10-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XHP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35281403 | PA      | $30604533.41   | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-36, Class SH                                                                                           | CUSIP: 38374D3F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     615666 | PA      | $2541.41       | 0.00%             | 2038-04-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-76, Class US                                                                                           | CUSIP: 38375DUZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     642869 | PA      | $19891.26      | 0.00%             | 2038-09-20      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H19, Class FA                                                                                          | CUSIP: 38375BMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     267105 | PA      | $267965.90     | 0.00%             | 2061-08-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 197                                                                                                | CUSIP: 31351BWQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71947 | PA      | $68213.92      | 0.00%             | 2028-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2022-5, Class D                                                           | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   95700000 | PA      | $96482567.61   | 0.20%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                                             | CFIN 2022-RTL1 Issuer LLC, Class A                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   19300000 | PA      | $19300000.00   | 0.04%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Resolution Funding Corp.                                              | Resolution Funding Corp. STRIPS                                                                                          | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   30700000 | PA      | $25317527.41   | 0.05%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                  | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A1                                           | CUSIP: 65535VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13074 | PA      | $13018.65      | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQCZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16901257 | PA      | $15973647.92   | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9AZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7163816 | PA      | $6758258.39    | 0.01%             | 2030-02-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2025-3A, Class D                                                             | CUSIP: 30166XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25900000 | PA      | $26067137.88   | 0.05%             | 2031-10-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                          | ING Groep NV                                                                                                             | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    8840000 | PA      | $8628243.10    | 0.02%             | 2027-04-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                             | EQT Corp.                                                                                                                | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    3371000 | PA      | $3315163.77    | 0.01%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   12565000 | PA      | $12125176.12   | 0.02%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21474 | PA      | $22248.95      | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class C                                                    | CUSIP: 108056AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19650000 | PA      | $20151933.71   | 0.04%             | 2029-08-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    7650000 | PA      | $7410020.49    | 0.02%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403BBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111999 | PA      | $113027.26     | 0.00%             | 2033-11-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-46                                                                                                     | CUSIP: 38374G5Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188336 | PA      | $160969.37     | 0.00%             | 2034-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-69, Class WA                                                                                    | CUSIP: 31396Q5U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286004 | PA      | $289031.64     | 0.00%             | 2039-09-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                | Bear Stearns ARM Trust, Series 2004-2, Class 14A                                                                         | CUSIP: 07384MM66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166419 | PA      | $154579.16     | 0.00%             | 2034-05-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31409GMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21052 | PA      | $22076.56      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                               | Pfizer Investment Enterprises Pte. Ltd.                                                                                  | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |   36640000 | PA      | $33583092.92   | 0.07%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-60, Class QS                                                                                    | CUSIP: 3139214L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46675 | PA      | $52828.55      | 0.00%             | 2031-09-25      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-76, Class AZ                                                                                    | CUSIP: 31396WT63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52468 | PA      | $52176.23      | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-36, Class SA                                                                                    | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225200 | PA      | $247582.67     | 0.00%             | 2034-05-25      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5354                                                                                                | CUSIP: 3137HAT71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7167557 | PA      | $5371931.18    | 0.01%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LVNV Funding LLC                                                      | LVNV Funding LLC                                                                                                         | CUSIP: N/A<br>LEI: 549300YMNWAZ7DKR6204       | Long             | ABS-MBS          | CORP              | US        |   50000000 | PA      | $50000000.00   | 0.10%             | 2027-10-15      | Fixed         | 7.25%                 | No            |                  3 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                  | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   25130000 | PA      | $23384942.90   | 0.05%             | 2055-02-15      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1166141 | PA      | $1111988.34    | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2345, Class NE                                                                                      | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42184 | PA      | $43864.80      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  289890000 | PA      | $216239821.88  | 0.44%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                             | Consolidated Edison Co. of New York, Inc.                                                                                | CUSIP: 209111FQ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    1724000 | PA      | $1339799.77    | 0.00%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2021-C, Class A                                                                           | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4982939 | PA      | $4858538.04    | 0.01%             | 2031-10-08      | Fixed         | 2.18%                 | Yes           |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                      | Amazon.com, Inc.                                                                                                         | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   27400000 | PA      | $21183087.14   | 0.04%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-3A, Class D                                                             | CUSIP: 301989AF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $7141467.20    | 0.01%             | 2029-04-16      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42369 | PA      | $42853.91      | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133545 | PA      | $135700.92     | 0.00%             | 2037-02-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Northern Natural Gas Co.                                              | Northern Natural Gas Co.                                                                                                 | CUSIP: 665501AN2<br>LEI: 5493007M02M6CT9EXE41 | Long             | DBT              | CORP              | US        |    4550000 | PA      | $4224951.78    | 0.01%             | 2054-02-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                                                      | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   88198126 | PA      | $75741375.09   | 0.15%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEGP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9082058 | PA      | $8668137.39    | 0.02%             | 2028-07-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                 | Pagaya AI Technology in Housing Trust, Series 2023-1, Class B                                                            | CUSIP: 69547YAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22500000 | PA      | $21298644.00   | 0.04%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Enbridge, Inc.                                                        | Enbridge, Inc.                                                                                                           | CUSIP: 29250NBZ7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    5550000 | PA      | $5817189.99    | 0.01%             | 2053-11-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A1, Class 7A1                                                                  | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2984 | PA      | $3001.22       | 0.00%             | 2037-02-25      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833BA7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   14187000 | PA      | $10815865.91   | 0.02%             | 2045-02-09      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-41, Class W                                                                                            | CUSIP: 38379AX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1060689 | PA      | $1059383.08    | 0.00%             | 2042-10-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                             | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS                                                                    | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2213515 | PA      | $23714.94      | 0.00%             | 2035-09-25      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3218, Class AO                                                                                      | CUSIP: 31397BHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52038 | PA      | $41839.40      | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2015-CR24, Class A5                                                                    | CUSIP: 12593JBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6392340 | PA      | $6376917.48    | 0.01%             | 2048-08-10      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                 | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAJ1<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    3330000 | PA      | $2297604.43    | 0.00%             | 2041-10-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-49, Class Z                                                                                     | CUSIP: 313921AG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21523 | PA      | $22305.60      | 0.00%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Grene Energy Senio                                                    | Grene Energy Senio                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    2476746 | PA      | $2097803.51    | 0.00%             | 2061-01-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371MWM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23286 | PA      | $23906.50      | 0.00%             | 2026-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Delmarva Power & Light Co.                                            | Delmarva Power & Light Co.                                                                                               | CUSIP: 247109BR1<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |    1478000 | PA      | $1159602.44    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K082, Class AM                                          | CUSIP: 3137FJKF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12035000 | PA      | $11899702.53   | 0.02%             | 2028-09-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   29400000 | PA      | $30931525.09   | 0.06%             | 2029-10-19      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7090541.18    | 0.01%             | 2063-03-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24999000 | PA      | $24071820.09   | 0.05%             | 2026-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   21105000 | PA      | $21488378.02   | 0.04%             | 2029-03-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                                             | O'Reilly Automotive, Inc.                                                                                                | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    4715000 | PA      | $4627430.05    | 0.01%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   25312000 | PA      | $16733309.36   | 0.03%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2005-A1, Class 3A4                                                                       | CUSIP: 466247LS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     124804 | PA      | $119499.39     | 0.00%             | 2035-02-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61972698 | PA      | $47661291.57   | 0.10%             | 2062-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38469000 | PA      | $38089632.96   | 0.08%             | 2031-02-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M5, Class A2                                                                                      | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4307279 | PA      | $4120283.03    | 0.01%             | 2029-04-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QHUA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38569 | PA      | $39346.55      | 0.00%             | 2037-05-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Colorado                                        | Public Service Co. of Colorado                                                                                           | CUSIP: 744448CM1<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    1175000 | PA      | $811277.01     | 0.00%             | 2046-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31390MLR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3131 | PA      | $3122.30       | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                          | Bridge Trust, Series 2022-SFR1, Class E1                                                                                 | CUSIP: 10805VAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13567000 | PA      | $13538155.20   | 0.03%             | 2037-11-17      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Texas Instruments, Inc.                                               | Texas Instruments, Inc.                                                                                                  | CUSIP: 882926AA6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |   43918000 | PA      | $38777801.27   | 0.08%             | 2063-05-18      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   20190000 | PA      | $21735332.30   | 0.04%             | 2029-10-30      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2410, Class NG                                                                                      | CUSIP: 31339NLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66688 | PA      | $69312.49      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Beth Israel Lahey Health, Inc.                                        | Beth Israel Lahey Health, Inc., Series L                                                                                 | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |    4180000 | PA      | $2515886.24    | 0.01%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   20470000 | PA      | $17942032.58   | 0.04%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Swiss Re Finance Luxembourg SA                                        | Swiss Re Finance Luxembourg SA                                                                                           | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |    2600000 | PA      | $2564497.00    | 0.01%             | 2049-04-02      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H32, Class FH                                                                                          | CUSIP: 38376RMJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3203595 | PA      | $3218790.20    | 0.01%             | 2065-12-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403EDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26139 | PA      | $26905.51      | 0.00%             | 2033-09-01      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| Diversified ABS IX Holdings LLC                                       | Diversified ABS Holdings LLC, Series 2024-2A, Class A                                                                    | CUSIP: 260968AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   44649555 | PA      | $44747784.03   | 0.09%             | 2044-09-30      | Fixed         | 6.55%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JB3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27568022 | PA      | $26316202.87   | 0.05%             | 2032-11-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3840000 | PA      | $4029807.86    | 0.01%             | 2044-03-09      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  171000000 | PA      | $155776991.76  | 0.32%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LF3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36743000 | PA      | $33424243.64   | 0.07%             | 2032-05-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                               | CenterPoint Energy Houston Electric LLC                                                                                  | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    1066000 | PA      | $805994.67     | 0.00%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                              | Foundation Finance Trust, Series 2023-2A, Class A                                                                        | CUSIP: 35042RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26298627 | PA      | $27241137.82   | 0.06%             | 2049-06-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| PNM Energy Transition Bond Co. I LLC                                  | PNM Energy Transition Bond Co. I LLC, Series A-1                                                                         | CUSIP: 69380MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   26388669 | PA      | $26714870.47   | 0.05%             | 2040-08-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                              | Foundation Finance Trust, Series 2019-1A, Class C                                                                        | CUSIP: 35041JAC9<br>LEI: 5493002KPTN6JUQ40J20 | Long             | ABS-O            | CORP              | US        |   18930000 | PA      | $18887134.91   | 0.04%             | 2034-11-15      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19145000 | PA      | $17992599.27   | 0.04%             | 2032-08-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GZN7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5469000 | PA      | $4042816.93    | 0.01%             | 2043-02-24      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3481, Class SJ                                                                                      | CUSIP: 31397Y4R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     599147 | PA      | $50166.54      | 0.00%             | 2038-08-15      | Floating      | 1.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-17, Class H                                                                                     | CUSIP: 31393XZV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     654819 | PA      | $676102.03     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-108, Class F                                                                                    | CUSIP: 3136A8Q52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1254880 | PA      | $1233183.64    | 0.00%             | 2042-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   30497000 | PA      | $29862967.37   | 0.06%             | 2027-01-14      | Variable      | 1.46%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ17, Class A2                                          | CUSIP: 3137FBTG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257341 | PA      | $256167.08     | 0.00%             | 2025-11-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  138080000 | PA      | $108829693.40  | 0.22%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2005-7F, Class 3A9                                                                       | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     321561 | PA      | $319157.41     | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K145, Class A2                                          | CUSIP: 3137H7QH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40795000 | PA      | $36090887.76   | 0.07%             | 2032-05-25      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   49969000 | PA      | $48485116.08   | 0.10%             | 2028-12-20      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A                                           | CUSIP: 31392W7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     232750 | PA      | $237988.26     | 0.00%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                              | MRCD MARK Mortgage Trust, Series 2019-PARK, Class E                                                                      | CUSIP: 55348UAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   81600000 | PA      | $56899680.00   | 0.12%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-74, Class SW                                                                                    | CUSIP: 31394AR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42524 | PA      | $46409.56      | 0.00%             | 2031-11-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AH6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   10518000 | PA      | $10442569.22   | 0.02%             | 2041-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3290, Class SB                                                                                      | CUSIP: 31397FR79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235731 | PA      | $17744.32      | 0.00%             | 2037-03-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   11200000 | PA      | $9432343.98    | 0.02%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                                | Cascade MH Asset Trust, Series 2022-MH1, Class A                                                                         | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33588939 | PA      | $32444009.95   | 0.07%             | 2054-08-25      | Variable      | 4.25%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2988, Class AF                                                                                      | CUSIP: 31395UVT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257250 | PA      | $254174.25     | 0.00%             | 2035-06-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-20, Class SA                                                                                    | CUSIP: 31396YTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235540 | PA      | $22195.56      | 0.00%             | 2038-03-25      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-76, Class SB                                                                                           | CUSIP: 38375LR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     918195 | PA      | $10416.83      | 0.00%             | 2037-11-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36183SXU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1100454 | PA      | $1001455.24    | 0.00%             | 2045-07-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-60, Class AX                                                                                    | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1868890 | PA      | $244146.19     | 0.00%             | 2037-07-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31387Y5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40015 | PA      | $41081.04      | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2692, Class SC                                                                                      | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84437 | PA      | $87223.46      | 0.00%             | 2033-07-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                         | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F                                                                 | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4946122 | PA      | $2421155.46    | 0.00%             | 2035-05-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-31, Class TS                                                                                           | CUSIP: 38374TXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     181282 | PA      | $3802.77       | 0.00%             | 2039-03-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   31800000 | PA      | $31863852.49   | 0.07%             | 2035-06-11      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   57605000 | PA      | $34999993.26   | 0.07%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR3, Class E1                                                                         | CUSIP: 33768EAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $6790462.70    | 0.01%             | 2038-07-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42895682 | PA      | $32990022.33   | 0.07%             | 2062-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   17150000 | PA      | $10446452.76   | 0.02%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2018-H09, Class FE                                                                                          | CUSIP: 38380LEZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1765530 | PA      | $1777300.94    | 0.00%             | 2068-06-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-49, Class Z                                                                                            | CUSIP: 38374GU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     770902 | PA      | $779587.31     | 0.00%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32769 | PA      | $32179.49      | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                        | Home Partners of America Trust, Series 2021-3, Class D                                                                   | CUSIP: 43730XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40732196 | PA      | $37095202.17   | 0.08%             | 2041-01-17      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   19370000 | PA      | $19575349.51   | 0.04%             | 2035-01-05      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2132, Class SB                                                                                      | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3216 | PA      | $3541.05       | 0.00%             | 2029-03-15      | Floating      | 11.20%                | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 1A4                               | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2482417 | PA      | $106942.53     | 0.00%             | 2035-04-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A2                                                               | CUSIP: 31393XFT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70125 | PA      | $71786.36      | 0.00%             | 2044-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2172, Class QC                                                                                      | CUSIP: 3133TLLL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69879 | PA      | $71983.83      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   19100000 | PA      | $18725070.25   | 0.04%             | 2029-09-26      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bancshares, Inc.                                           | Huntington Bancshares, Inc.                                                                                              | CUSIP: 446150BD5<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13079121.38   | 0.03%             | 2035-02-02      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-68, Class DP                                                                                           | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158144 | PA      | $169803.04     | 0.00%             | 2035-06-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| AHS Hospital Corp.                                                    | AHS Hospital Corp.                                                                                                       | CUSIP: 001306AB5<br>LEI: 549300D7W3C9Z4RGJG34 | Long             | DBT              | CORP              | US        |   14094000 | PA      | $12859523.59   | 0.03%             | 2045-07-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296QYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61206 | PA      | $62290.31      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1143804 | PA      | $1085923.98    | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-75, Class FA                                                                                    | CUSIP: 3136A0GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174291 | PA      | $173715.83     | 0.00%             | 2041-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class P                                                   | CUSIP: 92922FFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9561 | PA      | $7400.18       | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 853254CT5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   23375000 | PA      | $23682944.59   | 0.05%             | 2027-07-06      | Variable      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5431000 | PA      | $3991572.87    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31413HJP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144581 | PA      | $150659.91     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4790912 | PA      | $4413763.40    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $7079896.53    | 0.01%             | 2032-12-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| VMware LLC                                                            | VMware LLC                                                                                                               | CUSIP: 928563AE5<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $8813042.92    | 0.02%             | 2027-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3326, Class JO                                                                                      | CUSIP: 31397JJN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12783 | PA      | $11191.51      | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $11859009.80   | 0.02%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFRA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1294034 | PA      | $1190771.17    | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2344, Class ZJ                                                                                      | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57514 | PA      | $59799.27      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-87, Class F                                                                                     | CUSIP: 31394BNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343956 | PA      | $345663.45     | 0.00%             | 2034-01-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-14, Class TI                                                                                    | CUSIP: 31392JFP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20272 | PA      | $385.86        | 0.00%             | 2033-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                           | Aker BP ASA                                                                                                              | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    6320000 | PA      | $5531335.73    | 0.01%             | 2054-10-01      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GRM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128586 | PA      | $137491.55     | 0.00%             | 2037-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YXD70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34959213 | PA      | $36625855.38   | 0.07%             | 2072-05-20      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HWC67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27630000 | PA      | $25373153.97   | 0.05%             | 2029-11-01      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQ31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     348126 | PA      | $340066.80     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   99221459 | PA      | $80902336.09   | 0.17%             | 2033-01-01      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4374000 | PA      | $4490474.24    | 0.01%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617FDC76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7191587 | PA      | $7017116.68    | 0.01%             | 2052-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class B                                                               | CUSIP: 22537GAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12000000 | PA      | $12219126.00   | 0.02%             | 2034-05-15      | Fixed         | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                                    | Granite Park Equipment Leasing LLC, Series 2023-1A, Class D                                                              | CUSIP: 387422AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8650000 | PA      | $8942850.08    | 0.02%             | 2033-08-22      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Trinity Health Corp.                                                  | Trinity Health Corp., Series 2019                                                                                        | CUSIP: 896517AA7<br>LEI: TWSRHFGEDJDX0GKMGJ67 | Long             | DBT              | CORP              | US        |   20450000 | PA      | $14798250.27   | 0.03%             | 2048-12-01      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-115, Class OK                                                                                   | CUSIP: 31396LU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88673 | PA      | $71111.06      | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-28, Class QS                                                                                    | CUSIP: 31396YY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82076 | PA      | $91199.26      | 0.00%             | 2038-04-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FA                                                                                          | CUSIP: 38375BWP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     161269 | PA      | $160510.26     | 0.00%             | 2060-03-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3618AWYA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30464981 | PA      | $30340668.27   | 0.06%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26746626 | PA      | $24334910.90   | 0.05%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416B3M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118271 | PA      | $123520.39     | 0.00%             | 2038-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-S3, Class 1A5                                                 | CUSIP: 92922FUU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43130 | PA      | $43043.22      | 0.00%             | 2034-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets LLC                                                | Accelerated Assets LLC, Series 2018-1, Class A                                                                           | CUSIP: 00436MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2110725 | PA      | $2075065.96    | 0.00%             | 2033-12-02      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2196, Class TL                                                                                      | CUSIP: 3133TMSB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        180 | PA      | $186.69        | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8UK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5522192 | PA      | $5246457.17    | 0.01%             | 2030-02-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371MPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11230 | PA      | $11528.72      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38401979 | PA      | $37346252.86   | 0.08%             | 2033-04-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45675000 | PA      | $44515729.22   | 0.09%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2004-C, Class A2                                                          | CUSIP: 59020UDP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72416 | PA      | $71413.08      | 0.00%             | 2029-07-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2367, Class ME                                                                                      | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43668 | PA      | $45387.83      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2744, Class PE                                                                                      | CUSIP: 31394PR88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1229 | PA      | $1221.58       | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-70, Class CO                                                                                    | CUSIP: 31396QYP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     302135 | PA      | $251133.40     | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                                                          | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   11960000 | PA      | $12031274.42   | 0.02%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-33, Class ID                                                                                    | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75443 | PA      | $8335.50       | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1640000 | PA      | $1633332.71    | 0.00%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3900000 | PA      | $3856798.65    | 0.01%             | 2033-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401WBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27453 | PA      | $27549.81      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H9BS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3195054 | PA      | $2981517.53    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4040885 | PA      | $3877892.15    | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6055000 | PA      | $6029151.87    | 0.01%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2023-2A, Class B                                                        | CUSIP: 82650BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6766294 | PA      | $6909198.10    | 0.01%             | 2040-04-20      | Fixed         | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Trust                              | Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2                                                      | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8924000 | PA      | $8391831.54    | 0.02%             | 2036-02-15      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| Royalty Pharma plc                                                    | Royalty Pharma plc                                                                                                       | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    3601000 | PA      | $3567222.08    | 0.01%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HAA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     583980 | PA      | $568917.85     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K081, Class A2                                          | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1531000 | PA      | $1516888.77    | 0.00%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14685000 | PA      | $14985010.00   | 0.03%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Newmont Corp.                                                         | Newmont Corp.                                                                                                            | CUSIP: 65163LAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5845000 | PA      | $5526774.47    | 0.01%             | 2030-05-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   26190000 | PA      | $26062194.63   | 0.05%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10187903 | PA      | $9219239.45    | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-81, Class PI                                                                                    | CUSIP: 31359RLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7114 | PA      | $310.87        | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-33, Class LS                                                                                    | CUSIP: 31395DKV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50018 | PA      | $59711.10      | 0.00%             | 2036-05-25      | Floating      | 10.19%                | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-2, Class B                                                               | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5038577 | PA      | $4806938.88    | 0.01%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                             | PG&E Recovery Funding LLC, Series A-2                                                                                    | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   22380000 | PA      | $22058438.34   | 0.05%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   17235000 | PA      | $17670288.88   | 0.04%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class D                                                               | CUSIP: 37989BAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21900000 | PA      | $22052077.98   | 0.05%             | 2031-01-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Claremont Mckenna College                                             | Claremont Mckenna College, Series 2019                                                                                   | CUSIP: 18013RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10000000 | PA      | $6872567.40    | 0.01%             | 2050-01-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132FYA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8403583 | PA      | $8138006.30    | 0.02%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                 | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AP4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    2199000 | PA      | $2182058.31    | 0.00%             | 2026-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H08, Class FB                                                                                          | CUSIP: 38375BQN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     583511 | PA      | $586304.83     | 0.00%             | 2062-03-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHLB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32089000 | PA      | $30982036.04   | 0.06%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3261, Class OA                                                                                      | CUSIP: 31397EPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69643 | PA      | $58166.37      | 0.00%             | 2037-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27741 | PA      | $28156.11      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410FYE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157256 | PA      | $160748.67     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp.                        | Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds, Series 2023A-2                               | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   20730000 | PA      | $20596733.05   | 0.04%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KMLZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13173920 | PA      | $10755204.47   | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Eastern Gas Transmission & Storage, Inc.                              | Eastern Gas Transmission & Storage, Inc.                                                                                 | CUSIP: 276480AB6<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |    4476000 | PA      | $3161742.15    | 0.01%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XL6W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   73713102 | PA      | $60850719.64   | 0.12%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3645, Class KZ                                                                                      | CUSIP: 31398VFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169823 | PA      | $176489.35     | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AK58                                                             | CUSIP: 12529YAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28730000 | PA      | $27376012.56   | 0.06%             | 2029-09-29      | Variable      | 2.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M3, Class A2                                                                                      | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45000000 | PA      | $37813419.00   | 0.08%             | 2031-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     673700 | PA      | $654202.83     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-147, Class SA                                                                                   | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2157949 | PA      | $257966.86     | 0.00%             | 2041-01-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                                | Extra Space Storage LP                                                                                                   | CUSIP: 30225VAL1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    8937000 | PA      | $8838945.92    | 0.02%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3404, Class SC                                                                                      | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     980002 | PA      | $83171.75      | 0.00%             | 2038-01-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   18675000 | PA      | $18267577.24   | 0.04%             | 2029-04-23      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EL0<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    8020000 | PA      | $5226791.67    | 0.01%             | 2049-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| VOLT XCVII LLC                                                        | VOLT XCVII LLC, Series 2021-NPL6, Class A1                                                                               | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7969316 | PA      | $7956885.03    | 0.02%             | 2051-04-25      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410BFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36994 | PA      | $37808.96      | 0.00%             | 2036-06-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-9, Class NZ                                                                                     | CUSIP: 31392HA45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61167 | PA      | $63709.06      | 0.00%             | 2033-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3                                                                       | CUSIP: 3623416K0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38613 | PA      | $155938.80     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-61, Class SH                                                                                    | CUSIP: 31394ARP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15634 | PA      | $16200.53      | 0.00%             | 2032-11-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2023-4, Class C                                                     | CUSIP: 02530CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12926000 | PA      | $13101557.05   | 0.03%             | 2030-09-12      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-28, Class PK                                                                                    | CUSIP: 31392CA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115796 | PA      | $120103.18     | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7800000 | PA      | $5394465.57    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362566 | PA      | $371294.57     | 0.00%             | 2035-01-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-65, Class MT                                                                                    | CUSIP: 31396QH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173462 | PA      | $175902.77     | 0.00%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XDSM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12992769 | PA      | $10899229.42   | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703DBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     242000 | PA      | $160140.31     | 0.00%             | 2051-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1674615 | PA      | $1632362.09    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    8500000 | PA      | $5701052.43    | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-34                                                                                                     | CUSIP: 38374DBJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25282 | PA      | $20779.00      | 0.00%             | 2036-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-27, Class OH                                                                                    | CUSIP: 31395BZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66901 | PA      | $58371.50      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Ltd.                                     | Galaxy Pipeline Assets Bidco Ltd.                                                                                        | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |   14705946 | PA      | $11830345.32   | 0.02%             | 2040-09-30      | Fixed         | 2.94%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   15935000 | PA      | $16132560.22   | 0.03%             | 2029-06-26      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                                        | NiSource, Inc.                                                                                                           | CUSIP: 65473QAZ6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    6726000 | PA      | $6465174.33    | 0.01%             | 2042-02-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2022-1A, Class E                                                                          | CUSIP: 52608JAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   28000000 | PA      | $27748789.60   | 0.06%             | 2032-07-20      | Fixed         | 7.58%                 | Yes           |                  3 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26884TAE2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    3104000 | PA      | $3019825.54    | 0.01%             | 2042-03-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4346051 | PA      | $4014329.84    | 0.01%             | 2029-09-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    6805000 | PA      | $6882426.61    | 0.01%             | 2028-01-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280BX6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4932000 | PA      | $4922464.27    | 0.01%             | 2026-09-12      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJUB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75695 | PA      | $77094.10      | 0.00%             | 2037-01-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2004-A3, Class 4A1                                                                       | CUSIP: 466247DA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10986 | PA      | $10876.41      | 0.00%             | 2034-07-25      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   54117000 | PA      | $37734455.53   | 0.08%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   13465000 | PA      | $12409769.63   | 0.03%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-71, Class HJ                                                                                    | CUSIP: 31398TDU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     813344 | PA      | $842058.24     | 0.00%             | 2040-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mid-Atlantic Interstate Transmission LLC                              | Mid-Atlantic Interstate Transmission LLC                                                                                 | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12530000 | PA      | $12365801.99   | 0.03%             | 2028-05-15      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| American Water Capital Corp.                                          | American Water Capital Corp.                                                                                             | CUSIP: 03040WAD7<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    3354000 | PA      | $3675640.38    | 0.01%             | 2037-10-15      | Fixed         | 6.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2039 | PA      | $2075.55       | 0.00%             | 2027-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KQAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7324317 | PA      | $5734802.49    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-71, Class DS                                                                                    | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311697 | PA      | $295062.37     | 0.00%             | 2033-08-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HU2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     951079 | PA      | $946053.03     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AKW1                                                             | CUSIP: 12529YBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16010000 | PA      | $15491067.87   | 0.03%             | 2026-01-29      | Variable      | 1.70%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                | Residential Asset Securitization Trust, Series 2003-A8, Class A5                                                         | CUSIP: 45660NRQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12155 | PA      | $13097.37      | 0.00%             | 2018-10-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H9DQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6145860 | PA      | $5735093.74    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   23410000 | PA      | $23934717.12   | 0.05%             | 2027-10-19      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                               | DuPont de Nemours, Inc.                                                                                                  | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   11250000 | PA      | $11457276.86   | 0.02%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4298497 | PA      | $3953734.97    | 0.01%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                    | British Airways Pass-Through Trust, Series 2018-1, Class AA                                                              | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4761992 | PA      | $4587232.93    | 0.01%             | 2031-09-20      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QBF4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   15089000 | PA      | $10909347.00   | 0.02%             | 2046-01-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust                                   | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3                                                            | CUSIP: 17305EDT9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |     950000 | PA      | $1036194.45    | 0.00%             | 2039-06-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust, Series 2021-R1, Class A2C                                                                     | CUSIP: 89179TAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $8360690.00    | 0.02%             | 2060-11-30      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412X5F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64499 | PA      | $65951.60      | 0.00%             | 2037-07-01      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| VOLT C LLC                                                            | VOLT C LLC, Series 2021-NPL9, Class A1                                                                                   | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3239584 | PA      | $3232588.31    | 0.01%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132FCFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18947972 | PA      | $17708453.68   | 0.04%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3213, Class OA                                                                                      | CUSIP: 31397B2M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65809 | PA      | $57688.21      | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2626238 | PA      | $2417531.91    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X7QD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18295662 | PA      | $15148133.41   | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LJU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9254078 | PA      | $8411688.33    | 0.02%             | 2033-07-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    8564000 | PA      | $8476354.57    | 0.02%             | 2026-07-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                              | Cox Communications, Inc.                                                                                                 | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    8375000 | PA      | $4626770.26    | 0.01%             | 2050-10-01      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   62475000 | PA      | $32077007.81   | 0.07%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                        | Carvana Auto Receivables Trust, Series 2023-N4, Class B                                                                  | CUSIP: 14688LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17500000 | PA      | $17786767.25   | 0.04%             | 2030-02-11      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LPBU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8534985 | PA      | $8049745.78    | 0.02%             | 2033-07-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-S2, Class 2A4                                                 | CUSIP: 92922FQK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     519298 | PA      | $519883.03     | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-1, Class BI                                                                                     | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     506886 | PA      | $38156.08      | 0.00%             | 2038-02-25      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ42, Class A2                                          | CUSIP: 3137H92P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8460000 | PA      | $8288166.40    | 0.02%             | 2032-11-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KLH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15992587 | PA      | $13056157.76   | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANZ New Zealand Int'l Ltd.                                            | ANZ New Zealand Int'l Ltd.                                                                                               | CUSIP: 00182EBU2<br>LEI: 213800VD256NU2D97H12 | Long             | DBT              | CORP              | NZ        |   20760000 | PA      | $21335736.25   | 0.04%             | 2028-08-14      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAS21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16562540 | PA      | $14795594.02   | 0.03%             | 2070-08-20      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                       | Jefferies Financial Group, Inc.                                                                                          | CUSIP: 472319AE2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    3725000 | PA      | $3839466.53    | 0.01%             | 2027-06-08      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSVG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41713 | PA      | $43159.75      | 0.00%             | 2036-05-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                                   | Public Service Electric and Gas Co.                                                                                      | CUSIP: 74456QAU0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    1021000 | PA      | $1012102.83    | 0.00%             | 2039-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                                    | GAM Re-REMIC Trust, Series 2022-FRR3, Class BK61                                                                         | CUSIP: 36459DAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16520000 | PA      | $14913297.84   | 0.03%             | 2049-11-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2596, Class QG                                                                                      | CUSIP: 31393NXU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84932 | PA      | $88175.39      | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   26260000 | PA      | $26758114.12   | 0.05%             | 2030-05-20      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Sprint LLC                                                            | Sprint LLC                                                                                                               | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    5044000 | PA      | $5099447.88    | 0.01%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-22, Class WA                                                                                           | CUSIP: 38377QRC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     138596 | PA      | $141996.00     | 0.00%             | 2037-02-20      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                               | Anheuser-Busch Cos. LLC                                                                                                  | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21807000 | PA      | $20961071.80   | 0.04%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                             | Consolidated Edison Co. of New York, Inc.                                                                                | CUSIP: 209111FA6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    2760000 | PA      | $2762271.34    | 0.01%             | 2040-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2006-W3, Class 2A                                                                  | CUSIP: 31396L7E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303668 | PA      | $313346.64     | 0.00%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   18000000 | PA      | $17767727.28   | 0.04%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H20, Class LF                                                                                          | CUSIP: 38375UQR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3349685 | PA      | $3349612.99    | 0.01%             | 2064-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   11450000 | PA      | $11770625.19   | 0.02%             | 2031-01-14      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3779, Class GZ                                                                                      | CUSIP: 3137A4F51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5815154 | PA      | $5553673.96    | 0.01%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                                           | Merchants Fleet Funding LLC, Series 2023-1A, Class A                                                                     | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   21065236 | PA      | $21247336.45   | 0.04%             | 2036-05-20      | Fixed         | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                           | Penske Truck Leasing Co. LP                                                                                              | CUSIP: 709599BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5175000 | PA      | $5297687.87    | 0.01%             | 2028-02-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A                                           | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     433912 | PA      | $445557.50     | 0.00%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591ED0<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |     493000 | PA      | $520600.79     | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     837109 | PA      | $794748.69     | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 2A1A                                                           | CUSIP: 17307GPS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     116714 | PA      | $101065.86     | 0.00%             | 2035-02-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPA72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38252122 | PA      | $35128438.18   | 0.07%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18993911 | PA      | $17481383.95   | 0.04%             | 2062-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                             | Goodgreen, Series 2019-2A, Class A                                                                                       | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   16409949 | PA      | $13979367.90   | 0.03%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4784509 | PA      | $4294859.90    | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FE                                                                                          | CUSIP: 38375BWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23168 | PA      | $23125.14      | 0.00%             | 2062-10-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1927, Class PH                                                                                      | CUSIP: 3133T8TQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13003 | PA      | $13165.56      | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   29066000 | PA      | $28760807.00   | 0.06%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-35                                                                                                     | CUSIP: 38375KPE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     704890 | PA      | $573010.17     | 0.00%             | 2037-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199130 | PA      | $206203.14     | 0.00%             | 2036-11-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FHF Trust                                                             | FHF Trust, Series 2023-1A, Class A2                                                                                      | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7256690 | PA      | $7320283.32    | 0.01%             | 2028-06-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-3, Class A26                                                                | CUSIP: 12669FQA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89158 | PA      | $88436.72      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Intuit, Inc.                                                          | Intuit, Inc.                                                                                                             | CUSIP: 46124HAH9<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    7410000 | PA      | $7171503.00    | 0.01%             | 2053-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  136086392 | PA      | $125191000.11  | 0.26%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MA4J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22923823 | PA      | $20366197.46   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arthur J Gallagher & Co.                                              | Arthur J Gallagher & Co.                                                                                                 | CUSIP: 04316JAJ8<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    9570000 | PA      | $9099897.29    | 0.02%             | 2054-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Rain City Mortgage Trust                                              | Rain City Mortgage Trust, Series 2024-RTL1, Class A1                                                                     | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   39489000 | PA      | $39706043.39   | 0.08%             | 2029-11-25      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KW07, Class B                                                                          | CUSIP: 30297NAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4445701.00    | 0.01%             | 2031-10-25      | Variable      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   70000000 | PA      | $47433203.30   | 0.10%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-43, Class FL                                                                                    | CUSIP: 31396VVL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143249 | PA      | $140788.95     | 0.00%             | 2037-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    5485000 | PA      | $5437224.28    | 0.01%             | 2028-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAL31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6816647 | PA      | $6685165.73    | 0.01%             | 2027-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31411JEH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     243913 | PA      | $255127.79     | 0.00%             | 2038-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   78220000 | PA      | $56810330.27   | 0.12%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2006-1F, Class 2A4                                                                       | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1419480 | PA      | $597633.54     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-22, Class UD                                                                                    | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568066 | PA      | $557329.90     | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2020-SFR2, Class D                                                                                    | CUSIP: 00178UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15495000 | PA      | $15432761.23   | 0.03%             | 2037-07-17      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class 4A                                           | CUSIP: 31394JY50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1411067 | PA      | $1453284.64    | 0.00%             | 2043-09-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29615596 | PA      | $30997312.14   | 0.06%             | 2072-02-20      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Macquarie Bank Ltd.                                                   | Macquarie Bank Ltd.                                                                                                      | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |    8095000 | PA      | $7119728.00    | 0.01%             | 2036-03-03      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   40051000 | PA      | $33170836.16   | 0.07%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-65, Class SA                                                                                           | CUSIP: 38374LK67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26894 | PA      | $28235.61      | 0.00%             | 2035-08-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617JMJW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36962899 | PA      | $38851311.18   | 0.08%             | 2072-04-20      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-44, Class GO                                                                                    | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92909 | PA      | $81174.34      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-KHG2, Class B                                                                          | CUSIP: 302983AE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13500000 | PA      | $11982979.35   | 0.02%             | 2030-02-25      | Variable      | 3.07%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2552, Class ME                                                                                      | CUSIP: 31393HXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     154367 | PA      | $159699.53     | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133AEQX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4563911 | PA      | $3721179.79    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L92X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11320000 | PA      | $10568151.98   | 0.02%             | 2030-05-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   46180000 | PA      | $48460837.13   | 0.10%             | 2029-10-23      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJ7M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   81930421 | PA      | $67497869.59   | 0.14%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2990, Class GO                                                                                      | CUSIP: 31395V2T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99985 | PA      | $86460.86      | 0.00%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MJ5W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50972411 | PA      | $41724803.72   | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440BP8<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    2690000 | PA      | $2090274.75    | 0.00%             | 2041-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31800000 | PA      | $31299876.31   | 0.06%             | 2033-07-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401WQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30355 | PA      | $30663.18      | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-8, Class 2A1                                                                | CUSIP: 12669FZW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12636 | PA      | $6298.86       | 0.00%             | 2019-06-25      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| Baring Frn                                                            | Baring Frn, Class PA                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    5200163 | PA      | $5200163.23    | 0.01%             | 2025-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   64140000 | PA      | $65619407.70   | 0.13%             | 2027-09-13      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                      | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DBA7<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   17700000 | PA      | $18034498.32   | 0.04%             | 2027-09-18      | Variable      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   14935000 | PA      | $14922762.56   | 0.03%             | 2030-10-15      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-36, Class FA                                                                                    | CUSIP: 31393X5U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     526689 | PA      | $523699.12     | 0.00%             | 2034-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                                     | Xcel Energy, Inc.                                                                                                        | CUSIP: 98389BAN0<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     829000 | PA      | $703804.01     | 0.00%             | 2041-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                            | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4903655.00    | 0.01%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H7BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2133478 | PA      | $1966564.53    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    5766000 | PA      | $4689864.26    | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                                    | F&G Global Funding                                                                                                       | CUSIP: 30321L2G6<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $12234262.56   | 0.02%             | 2027-06-10      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-53, Class CI                                                                                    | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112928 | PA      | $10567.36      | 0.00%             | 2038-07-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2020-SFR3, Class E2                                                                                   | CUSIP: 001807AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9600000 | PA      | $9505964.16    | 0.02%             | 2037-09-17      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-125, Class SA                                                                                   | CUSIP: 31398SES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1110204 | PA      | $39970.79      | 0.00%             | 2040-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2631, Class SA                                                                                      | CUSIP: 31393RY20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     186674 | PA      | $192780.17     | 0.00%             | 2033-06-15      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-85, Class SL                                                                                    | CUSIP: 31396XQU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35099 | PA      | $36852.35      | 0.00%             | 2037-09-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                              | PNC Financial Services Group, Inc. (The)                                                                                 | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   21370000 | PA      | $21103459.68   | 0.04%             | 2032-10-21      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     428165 | PA      | $450443.29     | 0.00%             | 2037-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-25, Class FN                                                                                           | CUSIP: 38375J2G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     226847 | PA      | $224001.17     | 0.00%             | 2037-05-16      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-8, Class A2                                                                          | CUSIP: 81744FDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     308364 | PA      | $286317.52     | 0.00%             | 2034-09-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class ED                                                                                    | CUSIP: 31393CDP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390338 | PA      | $403815.70     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust                             | SFS Auto Receivables Securitization Trust, Series 2024-1A, Class C                                                       | CUSIP: 78435VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     615000 | PA      | $622798.08     | 0.00%             | 2032-01-20      | Fixed         | 5.51%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K754, Class AM                                          | CUSIP: 3137HBC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18128000 | PA      | $18538499.50   | 0.04%             | 2030-11-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-79, Class OK                                                                                           | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     695158 | PA      | $576085.83     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LMSM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12181028 | PA      | $11596799.61   | 0.02%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Scentre Group Trust 1                                                 | Scentre Group Trust 1                                                                                                    | CUSIP: 806213AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    5595000 | PA      | $5559065.55    | 0.01%             | 2025-10-28      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| ReadyCap Lending Small Business Loan Trust                            | ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A                                                       | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2289085 | PA      | $2287476.70    | 0.00%             | 2044-12-27      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QBDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1401691 | PA      | $1378269.38    | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XVN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  112648777 | PA      | $98379345.98   | 0.20%             | 2053-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAJY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12093214 | PA      | $11581779.65   | 0.02%             | 2069-11-20      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3194, Class SA                                                                                      | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37457 | PA      | $3875.21       | 0.00%             | 2036-07-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-100, Class WB                                                                                   | CUSIP: 3136AGWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4542785 | PA      | $4360243.00    | 0.01%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   14521000 | PA      | $14811202.91   | 0.03%             | 2030-02-08      | Variable      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAHY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17901558 | PA      | $16921098.31   | 0.03%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UAE International Government Bond                                     | United Arab Emirates Government Bond                                                                                     | CUSIP: 31424EAC6<br>LEI: N/A                  | Long             | DBT              | NUSS              | AE        |   15748000 | PA      | $11496827.40   | 0.02%             | 2041-10-19      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Equinix, Inc.                                                         | Equinix, Inc.                                                                                                            | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   20442000 | PA      | $19930487.81   | 0.04%             | 2026-11-18      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-64, Class SN                                                                                           | CUSIP: 38373A2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     533475 | PA      | $27317.99      | 0.00%             | 2039-07-16      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRRS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21175322 | PA      | $20583920.85   | 0.04%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2224, Class CB                                                                                      | CUSIP: 3133TNK45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15968 | PA      | $16599.84      | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3704, Class ET                                                                                      | CUSIP: 3137A0YK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1376495 | PA      | $1505460.47    | 0.00%             | 2036-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-6, Class SA                                                                                            | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     274792 | PA      | $940.78        | 0.00%             | 2039-02-16      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                        | Home Partners of America Trust, Series 2021-2, Class E2                                                                  | CUSIP: 43732VAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9359180 | PA      | $8904790.61    | 0.02%             | 2026-12-17      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Hartford HealthCare Corp.                                             | Hartford HealthCare Corp.                                                                                                | CUSIP: 41652PAC3<br>LEI: 549300W3L482NUDOFF24 | Long             | DBT              | CORP              | US        |   23430000 | PA      | $15906245.33   | 0.03%             | 2054-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128C6QN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     348806 | PA      | $358516.38     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K087, Class A2                                          | CUSIP: 3137FKUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4150000 | PA      | $4086011.98    | 0.01%             | 2028-12-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   16997000 | PA      | $11817822.37   | 0.02%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    4454000 | PA      | $3049375.87    | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2024-SFR4, Class C                                                                    | CUSIP: 74334JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6712000 | PA      | $6186993.40    | 0.01%             | 2041-07-17      | Fixed         | 3.33%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3618AW2Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37439020 | PA      | $37286249.41   | 0.08%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DNQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51180318 | PA      | $46976730.25   | 0.10%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                          | Bridge Trust, Series 2022-SFR1, Class A                                                                                  | CUSIP: 10805VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24980565 | PA      | $24708228.95   | 0.05%             | 2037-11-17      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4048, Class FB                                                                                      | CUSIP: 3137AQUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1220003 | PA      | $1212549.34    | 0.00%             | 2041-10-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1319329 | PA      | $1397798.39    | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Public Service Enterprise Group, Inc.                                 | Public Service Enterprise Group, Inc.                                                                                    | CUSIP: 744573AQ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   15540000 | PA      | $13272008.17   | 0.03%             | 2030-08-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   14590000 | PA      | $14011699.23   | 0.03%             | 2027-10-13      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DN3W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32543386 | PA      | $31738940.11   | 0.06%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-44, Class P                                                                                     | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259334 | PA      | $224045.45     | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-64, Class SX                                                                                    | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58426 | PA      | $55759.72      | 0.00%             | 2033-07-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2024-SFR5, Class D                                                                    | CUSIP: 74332HAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17333000 | PA      | $15770913.64   | 0.03%             | 2029-08-09      | Variable      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                  | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11670000 | PA      | $12125069.67   | 0.02%             | 2030-08-15      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                            | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $20212446.00   | 0.04%             | 2029-07-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20909 | PA      | $21122.28      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   14965000 | PA      | $9981655.00    | 0.02%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   30700000 | PA      | $31638776.84   | 0.06%             | 2035-06-15      | Variable      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-33, Class TI                                                                                           | CUSIP: 38374UJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143987 | PA      | $11370.80      | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2016-3, Class AA                                                            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6998807 | PA      | $6578981.36    | 0.01%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-59, Class HB                                                                                    | CUSIP: 31396QRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     918667 | PA      | $930798.95     | 0.00%             | 2039-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-40, Class SD                                                                                           | CUSIP: 38375KA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     400723 | PA      | $18465.13      | 0.00%             | 2037-07-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress NC Storm Funding LLC                             | Duke Energy Progress NC Storm Funding LLC, Series A-2                                                                    | CUSIP: 26444BAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4096107.95    | 0.01%             | 2037-07-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2018-63, Class DA                                                                                    | CUSIP: 3136B23T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1108322 | PA      | $1016011.57    | 0.00%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2004-P7, Class A6                                                               | CUSIP: 57643MCH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63425 | PA      | $53828.96      | 0.00%             | 2033-12-27      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2002-T16, Class A2                                                               | CUSIP: 31392FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     524991 | PA      | $548680.69     | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                            | DOC DR LLC                                                                                                               | CUSIP: 71951QAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6195000 | PA      | $5363182.98    | 0.01%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                                       | Eastern Energy Gas Holdings LLC                                                                                          | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |   10430000 | PA      | $10423416.90   | 0.02%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                               | Quest Diagnostics, Inc.                                                                                                  | CUSIP: 74834LAZ3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    1684000 | PA      | $1666710.00    | 0.00%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 10 Year Ultra Note                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      22169 | NC      | $30589857.31   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2003-3F, Class 4A3                                                                       | CUSIP: 36228FPT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25677 | PA      | $25556.63      | 0.00%             | 2033-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Pine Street Trust III                                                 | Pine Street Trust III                                                                                                    | CUSIP: 72284KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21750000 | PA      | $20972040.78   | 0.04%             | 2054-05-15      | Fixed         | 6.22%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR11, Class D                                                                   | CUSIP: 74333XAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11560000 | PA      | $10683340.46   | 0.02%             | 2039-01-17      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-149, Class EF                                                                                   | CUSIP: 3136A3FM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79509 | PA      | $79271.40      | 0.00%             | 2041-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                                                       | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   34211601 | PA      | $30280270.32   | 0.06%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAJ8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2695000 | PA      | $3014681.25    | 0.01%             | 2038-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   28350000 | PA      | $28507702.83   | 0.06%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     732955 | PA      | $718810.55     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133C5R29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9528937 | PA      | $8259456.59    | 0.02%             | 2048-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-57, Class PT                                                                                           | CUSIP: 38384NCN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10687391 | PA      | $10306163.04   | 0.02%             | 2064-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        519 | PA      | $522.56        | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HE2V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8140114 | PA      | $8046219.75    | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     625211 | PA      | $610497.70     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HNWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2077753 | PA      | $1981078.31    | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                             | Duke Energy Carolinas LLC                                                                                                | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    1228000 | PA      | $1021664.45    | 0.00%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   26040000 | PA      | $25808472.11   | 0.05%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KQW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21590371 | PA      | $20953028.32   | 0.04%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Co.                                                 | Saudi Arabian Oil Co.                                                                                                    | CUSIP: 80414L2H7<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | NUSS              | SA        |    4660000 | PA      | $4585556.50    | 0.01%             | 2025-11-24      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Analog Devices, Inc.                                                  | Analog Devices, Inc.                                                                                                     | CUSIP: 032654AX3<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $3779357.58    | 0.01%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                                                      | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   85805383 | PA      | $73104890.76   | 0.15%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  219210000 | PA      | $217052151.56  | 0.44%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43355037 | PA      | $35945991.46   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| nVent Finance SARL                                                    | nVent Finance SARL                                                                                                       | CUSIP: 67078AAD5<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |    6750000 | PA      | $6713908.76    | 0.01%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-25, Class SE                                                                                           | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     274895 | PA      | $9974.74       | 0.00%             | 2038-09-20      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DPFD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58064309 | PA      | $47686828.05   | 0.10%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                   | Kinder Morgan, Inc.                                                                                                      | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $5124193.08    | 0.01%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28783300 | PA      | $24306147.49   | 0.05%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   11880000 | PA      | $12029870.71   | 0.02%             | 2035-05-30      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JSNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     453280 | PA      | $442037.09     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2325, Class PM                                                                                      | CUSIP: 3133TU3J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20817 | PA      | $21632.64      | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Massachusetts Electric Co.                                            | Massachusetts Electric Co.                                                                                               | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |    4957000 | PA      | $3808349.04    | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36290QWF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8262 | PA      | $8301.17       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-4, Class 2A4                                                 | CUSIP: 22541SUD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     142130 | PA      | $142956.87     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QLSL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47814 | PA      | $49481.16      | 0.00%             | 2036-07-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2002-W6, Class 1A6                                                                 | CUSIP: 31392DF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8516795 | PA      | $8472886.15    | 0.02%             | 2042-06-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3549, Class FA                                                                                      | CUSIP: 31398EP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42329 | PA      | $42587.47      | 0.00%             | 2039-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABL0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    9030000 | PA      | $9480808.84    | 0.02%             | 2030-04-08      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| NYU Langone Hospitals                                                 | NYU Langone Hospitals                                                                                                    | CUSIP: 62952EAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5994000 | PA      | $5234922.06    | 0.01%             | 2044-07-01      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   53000000 | PA      | $54909550.78   | 0.11%             | 2029-09-15      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 270, Class F1                                                                                      | CUSIP: 3128HXXL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1570282 | PA      | $1541773.21    | 0.00%             | 2042-08-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 1998-1, Class 2E                                                                           | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     140609 | PA      | $141671.33     | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3122, Class OP                                                                                      | CUSIP: 31396JLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66438 | PA      | $60529.00      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3455, Class SE                                                                                      | CUSIP: 31397WHQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     465560 | PA      | $50061.11      | 0.00%             | 2038-06-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBL8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   22915000 | PA      | $22738170.67   | 0.05%             | 2029-09-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                                    | Columbia Pipelines Holding Co. LLC                                                                                       | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3993000 | PA      | $3915766.83    | 0.01%             | 2031-10-01      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2040, Class PE                                                                                      | CUSIP: 3133TD3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30470 | PA      | $30975.26      | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   26520000 | PA      | $22500367.84   | 0.05%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NWN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47210000 | PA      | $45447146.03   | 0.09%             | 2031-11-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series C                                                                                          | CUSIP: 25746UBM0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1840000 | PA      | $1606714.48    | 0.00%             | 2041-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AutoZone, Inc.                                                        | AutoZone, Inc.                                                                                                           | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   12180000 | PA      | $10319708.89   | 0.02%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGV33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2081000 | PA      | $1995308.23    | 0.00%             | 2032-07-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58230908 | PA      | $44784343.80   | 0.09%             | 2062-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   34925000 | PA      | $35719247.94   | 0.07%             | 2031-04-15      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                              | Roper Technologies, Inc.                                                                                                 | CUSIP: 776696AH9<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    9385000 | PA      | $9284963.50    | 0.02%             | 2032-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3302, Class UT                                                                                      | CUSIP: 31397GB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187911 | PA      | $198366.88     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VOLT XCIX LLC                                                         | VOLT XCIX LLC, Series 2021-NPL8, Class A1                                                                                | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5321056 | PA      | $5317855.80    | 0.01%             | 2051-04-25      | Variable      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-35, Class SJ                                                                                    | CUSIP: 31398PGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360916 | PA      | $370109.26     | 0.00%             | 2040-04-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209000 | PA      | $213495.60     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401A3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46829 | PA      | $47903.78      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Diversified ABS LLC                                                   | Diversified ABS LLC, Series 2025-1A, Class A1                                                                            | CUSIP: 255126AA2<br>LEI: 2549000V3WDZQQ691H02 | Long             | ABS-O            | CORP              | US        |   26959555 | PA      | $27017868.57   | 0.06%             | 2045-02-28      | Fixed         | 5.95%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7514000 | PA      | $7607515.64    | 0.02%             | 2028-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                           | Prologis LP                                                                                                              | CUSIP: 74340XCE9<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4903718.70    | 0.01%             | 2033-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2004-1, Class 30                                                                | CUSIP: 55265K6X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7972 | PA      | $5872.96       | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                    | HERO Funding Trust, Series 2016-4A, Class A1                                                                             | CUSIP: 40417QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     687866 | PA      | $621046.28     | 0.00%             | 2047-09-20      | Fixed         | 3.57%                 | Yes           |                  3 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    8872000 | PA      | $6642541.81    | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29730816 | PA      | $24674844.18   | 0.05%             | 2063-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31381R4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4660729 | PA      | $4672704.04    | 0.01%             | 2026-08-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNKT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20260463 | PA      | $17458872.51   | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2004-2, Class 1CB1                                                                 | CUSIP: 06051GBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62955 | PA      | $60114.48      | 0.00%             | 2034-09-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10699162 | PA      | $10398768.98   | 0.02%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K7L73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1699377 | PA      | $1713371.28    | 0.00%             | 2049-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HBJ3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   12200000 | PA      | $12540320.71   | 0.03%             | 2030-01-17      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class C                                                               | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19100000 | PA      | $19230092.01   | 0.04%             | 2035-01-16      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2169, Class TB                                                                                      | CUSIP: 3133TL5G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89518 | PA      | $92016.82      | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAC1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    2500000 | PA      | $2498842.53    | 0.01%             | 2041-10-11      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H15, Class FA                                                                                          | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7596896 | PA      | $7621459.02    | 0.02%             | 2064-07-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-122, Class ZJ                                                                                   | CUSIP: 31393UKW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1621310 | PA      | $1684585.11    | 0.00%             | 2033-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12623985 | PA      | $13191316.72   | 0.03%             | 2071-08-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3171, Class MO                                                                                      | CUSIP: 31396TUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171128 | PA      | $154348.36     | 0.00%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-41, Class WA                                                                                           | CUSIP: 38377EAA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     333640 | PA      | $340465.96     | 0.00%             | 2033-10-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                           | Business Jet Securities LLC, Series 2022-1A, Class A                                                                     | CUSIP: 12327AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   44402182 | PA      | $43457618.40   | 0.09%             | 2037-06-15      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| FHLMC MSCR Trust                                                      | FHLMC, Series 2023-MN7, Class M1                                                                                         | CUSIP: 35563QAA5<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-MBS          | USGSE             | US        |   20075968 | PA      | $20527510.85   | 0.04%             | 2043-09-25      | Floating      | 7.92%                 | Yes           |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAS2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   11035000 | PA      | $11035000.00   | 0.02%             | 2025-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-28, Class BO                                                                                           | CUSIP: 38375J8N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37908 | PA      | $30621.92      | 0.00%             | 2037-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-12, Class SP                                                                                           | CUSIP: 38373SNF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61689 | PA      | $441.52        | 0.00%             | 2033-02-20      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418MSM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166757 | PA      | $165141.74     | 0.00%             | 2048-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-73, Class ZB                                                                                    | CUSIP: 31394EB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2211893 | PA      | $2290933.17    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2458, Class ZM                                                                                      | CUSIP: 31392PAG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42183 | PA      | $42617.89      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11693473 | PA      | $9575749.40    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LSZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11524 | PA      | $11494.83      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-2A, Class C                                                             | CUSIP: 30168CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22895000 | PA      | $22966963.56   | 0.05%             | 2028-07-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2                                                                        | CUSIP: 31393XGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111119 | PA      | $114911.19     | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-75, Class SM                                                                                           | CUSIP: 38377WFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     849561 | PA      | $53460.58      | 0.00%             | 2041-05-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-14, Class OP                                                                                    | CUSIP: 31396PE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81234 | PA      | $70210.80      | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4325086 | PA      | $4335649.18    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   39376000 | PA      | $39949905.20   | 0.08%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1A2                                          | CUSIP: 31394PPR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1302992 | PA      | $1352587.66    | 0.00%             | 2043-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    8165000 | PA      | $7055110.97    | 0.01%             | 2048-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                   | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class X                                           | CUSIP: 46632HAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1020215 | PA      | $10.20         | 0.00%             | 2051-02-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2014-1, Class A                                                             | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5960373 | PA      | $5824978.23    | 0.01%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2021-SFR1, Class D                                                                          | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14400000 | PA      | $13827219.84   | 0.03%             | 2038-08-17      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                            | Flagship Credit Auto Trust, Series 2022-4, Class D                                                                       | CUSIP: 33843XAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11330000 | PA      | $11472810.12   | 0.02%             | 2028-10-16      | Fixed         | 8.86%                 | Yes           |                  2 | On Loan: No      |
| Alternative LN Issuer LLC                                             | Alternative LN Issuer LLC                                                                                                | CUSIP: 02158AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7969000 | PA      | $7969000.00    | 0.02%             | 2035-11-15      | Fixed         | 5.27%                 | No            |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                                        | Carvana Auto Receivables Trust, Series 2022-P1, Class A4                                                                 | CUSIP: 14688DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $9908436.00    | 0.02%             | 2028-02-10      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4018000 | PA      | $3429230.37    | 0.01%             | 2042-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Consumers 2023 Securitization Funding LLC                             | Consumers 2023 Securitization Funding LLC, Series A2                                                                     | CUSIP: 21071BAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4231000 | PA      | $4286664.09    | 0.01%             | 2030-09-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets CMN Owner Trust                                  | Impac Secured Assets CMN Owner Trust, Series 2003-2, Class A1                                                            | CUSIP: 45254TMS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     262204 | PA      | $199476.71     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                            | Occidental Petroleum Corp.                                                                                               | CUSIP: 674599CX1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    9894000 | PA      | $7581277.50    | 0.02%             | 2039-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-105, Class AZ                                                                                   | CUSIP: 31393E7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1921873 | PA      | $1977969.13    | 0.00%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KM4F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15693581 | PA      | $13395726.56   | 0.03%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR1, Class E1                                                                         | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   36486000 | PA      | $36095785.88   | 0.07%             | 2039-05-19      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG7A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11095662 | PA      | $10616384.60   | 0.02%             | 2032-08-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2412, Class SP                                                                                      | CUSIP: 31339DW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87450 | PA      | $93929.73      | 0.00%             | 2032-02-15      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   12000000 | PA      | $11947980.00   | 0.02%             | 2028-01-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-81, Class LO                                                                                    | CUSIP: 31392BNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3197 | PA      | $2755.91       | 0.00%             | 2032-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-157, Class UY                                                                                          | CUSIP: 38378AXH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1500000 | PA      | $1327761.45    | 0.00%             | 2041-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3134                                                                                                | CUSIP: 31396J5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19025 | PA      | $15498.95      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-10, Class XI                                                                                    | CUSIP: 31396YKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207239 | PA      | $17801.88      | 0.00%             | 2038-03-25      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-11, Class A1                                                                         | CUSIP: 81744FFJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     146237 | PA      | $131884.22     | 0.00%             | 2034-12-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M55D                                                     | CUSIP: 35563PJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18290316 | PA      | $16997368.22   | 0.03%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 374, Class 5                                                                                        | CUSIP: 3136FCZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85345 | PA      | $13669.90      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-120, Class ZB                                                                                   | CUSIP: 3136A9Q43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4656529 | PA      | $4350636.86    | 0.01%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2020-SFR2, Class E1                                                                                   | CUSIP: 00178UAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12912000 | PA      | $12866753.77   | 0.03%             | 2037-07-17      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31288ENG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118261 | PA      | $118822.61     | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-90, Class SI                                                                                           | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1111241 | PA      | $59492.17      | 0.00%             | 2034-10-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-65, Class KI                                                                                    | CUSIP: 31396WLY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     452935 | PA      | $44167.36      | 0.00%             | 2037-07-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                    | Southern Co. (The)                                                                                                       | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    2370000 | PA      | $2366916.75    | 0.00%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M10, Class A2                                                                                     | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44102153 | PA      | $43032146.22   | 0.09%             | 2028-07-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                                           | CSMC OA LLC, Series 2014-USA, Class A2                                                                                   | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   14250000 | PA      | $13252500.00   | 0.03%             | 2037-09-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class GE                                                                                    | CUSIP: 31393CAU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252041 | PA      | $261560.43     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sierra Pacific Power Co.                                              | Sierra Pacific Power Co.                                                                                                 | CUSIP: 826418BQ7<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |   20270000 | PA      | $19683560.72   | 0.04%             | 2054-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Raisa Funding I LLC                                                   | Raisa Funding I LLC                                                                                                      | CUSIP: 75102YAA2<br>LEI: 549300MYI60JNGZB7107 | Long             | ABS-O            | CORP              | US        |   11750065 | PA      | $11886365.72   | 0.02%             | 2038-06-15      | Fixed         | 7.60%                 | No            |                  3 | On Loan: No      |
| CFIN Issuer LLC                                                       | CFIN Issuer LLC, Series 2022-RTL1, Class AA                                                                              | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13825764 | PA      | $13715157.70   | 0.03%             | 2026-02-16      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-64, Class DM                                                                                    | CUSIP: 31398RM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     906876 | PA      | $912487.30     | 0.00%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833DD9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   13570000 | PA      | $10483331.57   | 0.02%             | 2047-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2313, Class LA                                                                                      | CUSIP: 3133TTK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6725 | PA      | $6851.89       | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QHTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16930 | PA      | $16930.12      | 0.00%             | 2037-05-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEU21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34650000 | PA      | $29642223.65   | 0.06%             | 2032-02-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4770000 | PA      | $4794568.79    | 0.01%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48420000 | PA      | $44888744.41   | 0.09%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                 | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675FAY3<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   23810000 | PA      | $22892379.27   | 0.05%             | 2026-10-04      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3129352C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50893 | PA      | $53173.47      | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                    | Morgan Stanley Mortgage Loan Trust, Series 2004-9, Class 4A                                                              | CUSIP: 61748HGD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47511 | PA      | $44009.04      | 0.00%             | 2019-10-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HY3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12500000 | PA      | $9755048.63    | 0.02%             | 2035-07-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413GLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255196 | PA      | $263385.42     | 0.00%             | 2037-08-01      | Variable      | 8.15%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class D                                                    | CUSIP: 10806EAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23845000 | PA      | $23701820.31   | 0.05%             | 2030-08-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2015-M10, Class A2                                                                                     | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30906190 | PA      | $30244887.53   | 0.06%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| UMass Memorial Health Care Obligated Group                            | UMass Memorial Health Care Obligated Group                                                                               | CUSIP: 90407JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6070000 | PA      | $5408795.69    | 0.01%             | 2052-07-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2298757 | PA      | $2175498.71    | 0.00%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAZ5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   17965000 | PA      | $11686986.13   | 0.02%             | 2049-08-16      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 1996-1, Class 1Z                                                                           | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102008 | PA      | $102463.22     | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9381000 | PA      | $9254170.76    | 0.02%             | 2033-01-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3233, Class OP                                                                                      | CUSIP: 31397BYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27765 | PA      | $22837.68      | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2441, Class GF                                                                                      | CUSIP: 3133TVJF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25655 | PA      | $26719.94      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Emera US Finance LP                                                   | Emera US Finance LP                                                                                                      | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   24295000 | PA      | $19606279.04   | 0.04%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LL5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43775000 | PA      | $42521353.16   | 0.09%             | 2028-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        620 | PA      | $621.55        | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-72, Class SX                                                                                    | CUSIP: 31392BJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2262 | PA      | $2498.70       | 0.00%             | 2031-12-25      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                            | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    7958000 | PA      | $7948007.38    | 0.02%             | 2025-08-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-1                                                                                                      | CUSIP: 38375PCK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27089 | PA      | $21681.43      | 0.00%             | 2038-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                  | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class DB1                                           | CUSIP: 2254W0GJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     286463 | PA      | $292938.57     | 0.00%             | 2033-02-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                              | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   22130000 | PA      | $19822035.74   | 0.04%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3041143 | PA      | $2812468.38    | 0.01%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   19624000 | PA      | $20212720.00   | 0.04%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31390WRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159273 | PA      | $159646.96     | 0.00%             | 2033-09-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                           | Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1                                                                   | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16613924 | PA      | $16611845.97   | 0.03%             | 2066-10-25      | Variable      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2020-90, Class PE                                                                                    | CUSIP: 3136BCL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10688459 | PA      | $8473260.61    | 0.02%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202C5G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        378 | PA      | $378.93        | 0.00%             | 2028-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47510830 | PA      | $39030250.34   | 0.08%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital Services, Inc.                                        | Hyundai Capital Services, Inc.                                                                                           | CUSIP: 44920UAV0<br>LEI: 549300MALMDAGL2ZJJ27 | Long             | DBT              | CORP              | KR        |   11200000 | PA      | $11238192.00   | 0.02%             | 2029-02-05      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                    | DT Midstream, Inc.                                                                                                       | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   17380000 | PA      | $15983838.53   | 0.03%             | 2032-04-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Plains All American Pipeline LP                                       | Plains All American Pipeline LP                                                                                          | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |   26070000 | PA      | $26028036.95   | 0.05%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                     | Structured Asset Securities Corp., Series 2004-4XS, Class 1A5                                                            | CUSIP: 86359BHL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     699362 | PA      | $685211.01     | 0.00%             | 2034-02-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR1, Class D                                                                    | CUSIP: 74333YAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21816000 | PA      | $20467513.77   | 0.04%             | 2041-02-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class A                                                               | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   29600000 | PA      | $29878370.24   | 0.06%             | 2033-08-15      | Fixed         | 6.39%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A6X97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9369181 | PA      | $7649050.32    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                                   | DBWF Mortgage Trust, Series 2015-LCM, Class A2                                                                           | CUSIP: 23306NAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3801078.40    | 0.01%             | 2034-06-10      | Variable      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $727251.68     | 0.00%             | 2042-04-22      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CN0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1213436.80    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27529093 | PA      | $28783967.77   | 0.06%             | 2072-03-20      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-17, Class JO                                                                                           | CUSIP: 38375JTE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     260027 | PA      | $211590.59     | 0.00%             | 2037-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337T1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  108105000 | PA      | $76463609.18   | 0.16%             | 2033-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27793648 | PA      | $23084818.40   | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-48, Class GH                                                                                    | CUSIP: 31392DS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130596 | PA      | $135818.10     | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    9560000 | PA      | $9417763.36    | 0.02%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2484, Class LZ                                                                                      | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121141 | PA      | $126442.78     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EGWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291017 | PA      | $296439.80     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H05, Class FA                                                                                          | CUSIP: 38375UDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3662666 | PA      | $3680566.68    | 0.01%             | 2064-02-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M7, Class A2                                                                                      | CUSIP: 3136B4QB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32561672 | PA      | $31127288.13   | 0.06%             | 2029-04-25      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                            | US Bancorp                                                                                                               | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   12600000 | PA      | $12836010.22   | 0.03%             | 2035-01-23      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    2604000 | PA      | $2033852.04    | 0.00%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3380000 | PA      | $3188137.61    | 0.01%             | 2043-09-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1118783 | PA      | $1060179.89    | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410N6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74999 | PA      | $76282.14      | 0.00%             | 2036-07-01      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   12605000 | PA      | $11898692.56   | 0.02%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2005-8, Class 30                                                                   | CUSIP: 05946X3C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24356 | PA      | $15708.29      | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  179931500 | PA      | $115135073.83  | 0.24%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                            | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 65364UAU0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    8540000 | PA      | $7953441.54    | 0.02%             | 2054-01-17      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2000-52                                                                                              | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4871 | PA      | $613.50        | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                   | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1                                                             | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     684787 | PA      | $676144.19     | 0.00%             | 2043-09-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-84, Class XM                                                                                    | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136751 | PA      | $140459.83     | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3138                                                                                                | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109751 | PA      | $94561.09      | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7231147 | PA      | $7002254.90    | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-97, Class WA                                                                                           | CUSIP: 38376LK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     338220 | PA      | $344305.17     | 0.00%             | 2038-11-20      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416CBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189795 | PA      | $198081.22     | 0.00%             | 2033-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class JZ                                                                                     | CUSIP: 31394VW97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     704548 | PA      | $726861.15     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $10192067.40   | 0.02%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                           | Nationwide Building Society                                                                                              | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   26080000 | PA      | $25193875.67   | 0.05%             | 2030-07-18      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664BV2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    2795000 | PA      | $2425190.17    | 0.00%             | 2043-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom AG                                                   | Deutsche Telekom AG                                                                                                      | CUSIP: 251566AA3<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | DBT              | CORP              | DE        |    4657000 | PA      | $3277061.79    | 0.01%             | 2050-01-21      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  250000000 | PA      | $250693360.00  | 0.51%             | 2027-02-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                               | Uber Technologies, Inc.                                                                                                  | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   13210000 | PA      | $12747322.39   | 0.03%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                           | Penske Truck Leasing Co. LP                                                                                              | CUSIP: 709599CB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3047439.69    | 0.01%             | 2030-02-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   32240000 | PA      | $33023149.90   | 0.07%             | 2033-01-13      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2005-7, Class 30                                                                   | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64289 | PA      | $65088.83      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                        | Banc of America Mortgage Trust, Series 2003-C, Class 3A1                                                                 | CUSIP: 0605067V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12480 | PA      | $11958.46      | 0.00%             | 2033-04-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   18110000 | PA      | $18277937.47   | 0.04%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                                    | ConocoPhillips Co.                                                                                                       | CUSIP: 20826FBE5<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   13210000 | PA      | $11787505.72   | 0.02%             | 2053-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-19, Class PW                                                                                    | CUSIP: 31397NUJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     488294 | PA      | $486360.63     | 0.00%             | 2036-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-99, Class WA                                                                                    | CUSIP: 31398F4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     646337 | PA      | $658340.77     | 0.00%             | 2039-12-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| CVS Pass Through Trust                                                | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     552498 | PA      | $571597.51     | 0.00%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| City of Los Angeles Department of Airports                            | City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer, Series 2009C | CUSIP: 544435C32<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2530000 | PA      | $2702637.33    | 0.01%             | 2039-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                             | Duke Energy Carolinas LLC                                                                                                | CUSIP: 26442CBL7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    9705000 | PA      | $9042553.78    | 0.02%             | 2054-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2014-29, Class PS                                                                                    | CUSIP: 3136AJT89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1715942 | PA      | $178141.93     | 0.00%             | 2044-05-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406UL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174364 | PA      | $174682.92     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Entergy Texas, Inc.                                                   | Entergy Texas, Inc.                                                                                                      | CUSIP: 29365TAN4<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    8450000 | PA      | $8148471.55    | 0.02%             | 2053-09-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31575000 | PA      | $29136571.37   | 0.06%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3510, Class OD                                                                                      | CUSIP: 31397YZP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158012 | PA      | $136565.35     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                | NXP BV                                                                                                                   | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3889040.00    | 0.01%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CLW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         39 | PA      | $39.29         | 0.00%             | 2025-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132VMGN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1074069 | PA      | $999927.72     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-211, Class AC                                                                                          | CUSIP: 38381EJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7471031 | PA      | $5490072.53    | 0.01%             | 2063-01-16      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAS7<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    4729000 | PA      | $4242917.30    | 0.01%             | 2045-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Diversified ABS LLC                                                   | Diversified ABS LLC, Series 2025-1A, Class A2                                                                            | CUSIP: 255126AC8<br>LEI: 2549000V3WDZQQ691H02 | Long             | ABS-O            | CORP              | US        |   58000000 | PA      | $57965200.00   | 0.12%             | 2045-02-28      | Fixed         | 6.75%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-72, Class IE                                                                                    | CUSIP: 31393DXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     670870 | PA      | $82913.21      | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54475000 | PA      | $49136024.55   | 0.10%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                   | Teachers Insurance & Annuity Association of America                                                                      | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    5480000 | PA      | $4328541.74    | 0.01%             | 2047-05-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10856 | PA      | $11093.45      | 0.00%             | 2035-02-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-57, Class PZ                                                                                           | CUSIP: 38374NXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     464307 | PA      | $463056.08     | 0.00%             | 2036-10-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     424648 | PA      | $435170.62     | 0.00%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H03, Class FA                                                                                          | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        319 | PA      | $317.43        | 0.00%             | 2060-08-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2022-GT2, Class A                                                                          | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40000000 | PA      | $40317812.00   | 0.08%             | 2027-07-25      | Fixed         | 7.90%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class DX                                                  | CUSIP: 2254586J2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     717279 | PA      | $106831.50     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  195970000 | PA      | $156483405.03  | 0.32%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                        | Enbridge, Inc.                                                                                                           | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   19445000 | PA      | $19632193.51   | 0.04%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WU4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     491120 | PA      | $477384.73     | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-1CB, Class 1A6                                                                       | CUSIP: 12667F2M6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     523386 | PA      | $56308.77      | 0.00%             | 2035-03-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3511, Class SA                                                                                      | CUSIP: 31397YVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270940 | PA      | $19594.06      | 0.00%             | 2039-02-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MDG2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   34240000 | PA      | $35442972.75   | 0.07%             | 2028-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344238 | PA      | $356633.10     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2022-1A, Class D                                                                          | CUSIP: 52608JAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27660000 | PA      | $28097904.82   | 0.06%             | 2032-07-20      | Fixed         | 8.16%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LXWH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3764199 | PA      | $3492930.82    | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 13                                                                                      | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     547754 | PA      | $82138.11      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bimbo Bakeries USA, Inc.                                              | Bimbo Bakeries USA, Inc.                                                                                                 | CUSIP: 09031WAC7<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    3406000 | PA      | $3533725.00    | 0.01%             | 2029-01-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Guardian Life Insurance Co. of America (The)                          | Guardian Life Insurance Co. of America (The)                                                                             | CUSIP: 401378AD6<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |    6450000 | PA      | $4199164.08    | 0.01%             | 2070-01-22      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A1, Class 9A1                                                                  | CUSIP: 161630AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92634 | PA      | $91518.21      | 0.00%             | 2037-02-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9180020 | PA      | $9309785.29    | 0.02%             | 2031-01-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 3140X6XQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     557186 | PA      | $549212.26     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class SJ                                                                                           | CUSIP: 38375KHN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     373926 | PA      | $6153.92       | 0.00%             | 2037-06-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A                                           | CUSIP: 31392MEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270234 | PA      | $245368.23     | 0.00%             | 2032-07-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                    | Canadian Imperial Bank of Commerce                                                                                       | CUSIP: 13607LWV1<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    3200000 | PA      | $3346118.14    | 0.01%             | 2028-10-03      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co., Series N                                                                                               | CUSIP: 641423BP2<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |     700000 | PA      | $760162.52     | 0.00%             | 2036-04-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XRBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20787440 | PA      | $17693626.07   | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MGV99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8102577 | PA      | $6674173.12    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JKQK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     798193 | PA      | $804765.86     | 0.00%             | 2049-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                            | Occidental Petroleum Corp.                                                                                               | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    6140000 | PA      | $6099199.70    | 0.01%             | 2029-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4077, Class FB                                                                                      | CUSIP: 3137ASAP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1138970 | PA      | $1118580.65    | 0.00%             | 2042-07-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLQY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17758000 | PA      | $17401640.80   | 0.04%             | 2033-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| WRKCo, Inc.                                                           | WRKCo, Inc.                                                                                                              | CUSIP: 92940PAE4<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    2870000 | PA      | $2810859.03    | 0.01%             | 2028-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                                    | ConocoPhillips Co.                                                                                                       | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   27240000 | PA      | $25114871.40   | 0.05%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189TAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1166000 | PA      | $1352935.15    | 0.00%             | 2036-06-01      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 11                                                                                      | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     347848 | PA      | $57639.83      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CRH America, Inc.                                                     | CRH America, Inc.                                                                                                        | CUSIP: 12626PAN3<br>LEI: 549300RN11MJ182CNF63 | Long             | DBT              | CORP              | US        |    6052000 | PA      | $5460379.60    | 0.01%             | 2045-05-18      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KAL61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4304907 | PA      | $3701441.61    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-10, Class FD                                                                                    | CUSIP: 31396PNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117491 | PA      | $116011.11     | 0.00%             | 2037-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179989 | PA      | $183825.58     | 0.00%             | 2036-08-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102601 | PA      | $107570.41     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31287UNA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9610 | PA      | $10040.37      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AL9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    7215000 | PA      | $5916844.66    | 0.01%             | 2043-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M50, Class A2                                                                                     | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10313334 | PA      | $9720261.37    | 0.02%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                               | Kingdom of Saudi Arabia                                                                                                  | CUSIP: 80413TAV1<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   10140000 | PA      | $8356221.90    | 0.02%             | 2033-02-02      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| FMR LLC                                                               | FMR LLC                                                                                                                  | CUSIP: 30251BAB4<br>LEI: 6X064LF7Y6B4DKF2GZ26 | Long             | DBT              | CORP              | US        |    2242000 | PA      | $2446652.61    | 0.00%             | 2039-11-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $3496023.40    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4704 | PA      | $4755.83       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2KD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8433799 | PA      | $7726567.45    | 0.02%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American General Mortgage Loan Trust                                  | American General Mortgage Loan Trust, Series 2006-1, Class A5                                                            | CUSIP: 02639MAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1453 | PA      | $1587.80       | 0.00%             | 2035-12-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                        | Mariner Finance Issuance Trust, Series 2021-BA, Class D                                                                  | CUSIP: 56847JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11935000 | PA      | $11096562.67   | 0.02%             | 2036-11-20      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                                      | SLG Office Trust, Series 2021-OVA, Class A                                                                               | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   67015000 | PA      | $58002447.52   | 0.12%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617GRB59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5594034 | PA      | $5589519.19    | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-89, Class LS                                                                                           | CUSIP: 38374JLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56186 | PA      | $58628.33      | 0.00%             | 2034-10-16      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR7, Class A7                                                 | CUSIP: 9292276K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183602 | PA      | $182635.32     | 0.00%             | 2033-08-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                    | Southern Co. (The)                                                                                                       | CUSIP: 842587DS3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    9400000 | PA      | $9735752.68    | 0.02%             | 2029-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402HGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34825 | PA      | $34796.04      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                 | Pagaya AI Technology in Housing Trust, Series 2023-1, Class D                                                            | CUSIP: 69547YAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22177000 | PA      | $20533025.64   | 0.04%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42342144 | PA      | $37240148.43   | 0.08%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                                  | Entergy Arkansas LLC                                                                                                     | CUSIP: 29366MAG3<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    6750000 | PA      | $6509752.11    | 0.01%             | 2054-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98580 | PA      | $100798.99     | 0.00%             | 2036-08-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Academic Loan Funding Trust                                           | Academic Loan Funding Trust, Series 2013-1A, Class A                                                                     | CUSIP: 00389VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     986843 | PA      | $953771.36     | 0.00%             | 2044-12-26      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5190, Class PH                                                                                      | CUSIP: 3137H5HE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18471725 | PA      | $16807932.67   | 0.03%             | 2052-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30552666 | PA      | $26277100.78   | 0.05%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132E0L91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42047833 | PA      | $34713876.68   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-25, Class PF                                                                                    | CUSIP: 31394DAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294769 | PA      | $291438.05     | 0.00%             | 2035-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GAF5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    4500000 | PA      | $4364731.31    | 0.01%             | 2028-04-06      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                               | Port Authority of New York and New Jersey, Consolidated, Series 165                                                      | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    3780000 | PA      | $3891663.85    | 0.01%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   10759000 | PA      | $10932389.14   | 0.02%             | 2035-01-24      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    5520000 | PA      | $4473316.15    | 0.01%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| National Rural Utilities Cooperative Finance Corp.                    | National Rural Utilities Cooperative Finance Corp.                                                                       | CUSIP: 63743HFP2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |   11940000 | PA      | $12117679.50   | 0.02%             | 2031-02-07      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1                                                          | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167200 | PA      | $158095.09     | 0.00%             | 2028-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                     | Cigna Group (The)                                                                                                        | CUSIP: 125523CF5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    1904000 | PA      | $1616112.76    | 0.00%             | 2046-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31512147 | PA      | $26412432.32   | 0.05%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                       | NGPL PipeCo LLC                                                                                                          | CUSIP: 62912XAF1<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    8486000 | PA      | $8400649.68    | 0.02%             | 2027-08-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding                                                          | HERO Funding, Series 2017-3A, Class A2                                                                                   | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    6417990 | PA      | $5707624.66    | 0.01%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  3 | On Loan: No      |
| Entergy Arkansas LLC                                                  | Entergy Arkansas LLC                                                                                                     | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    8425000 | PA      | $4782559.68    | 0.01%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410F3Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52869 | PA      | $53885.88      | 0.00%             | 2037-04-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BZ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2415532 | PA      | $2256251.33    | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  115000000 | PA      | $97121093.75   | 0.20%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417UDA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212916 | PA      | $215563.56     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044CN9<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     829000 | PA      | $794325.40     | 0.00%             | 2040-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834EP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17900000 | PA      | $8861386.41    | 0.02%             | 2039-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KL05, Class BP                                                                         | CUSIP: 30311NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5645000 | PA      | $5244619.34    | 0.01%             | 2029-06-25      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2003-12, Class 6A1                                                              | CUSIP: 55265K3Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49690 | PA      | $48029.35      | 0.00%             | 2033-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAY4<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    4979000 | PA      | $4855577.56    | 0.01%             | 2026-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                    | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VBE0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   12960000 | PA      | $13228692.42   | 0.03%             | 2034-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-46, Class FW                                                                                    | CUSIP: 31395D7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95048 | PA      | $94192.56      | 0.00%             | 2036-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138YBK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5275280 | PA      | $4807868.19    | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-73, Class PS                                                                                    | CUSIP: 31394EC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74962 | PA      | $75585.10      | 0.00%             | 2035-08-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J76E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4618179 | PA      | $4540986.47    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                             | PG&E Recovery Funding LLC, Series A-3                                                                                    | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8670000 | PA      | $8279376.62    | 0.02%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MZ                                                       | CUSIP: 35563PHJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15104428 | PA      | $10765384.99   | 0.02%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-112, Class MJ                                                                                   | CUSIP: 31396X4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     456068 | PA      | $475327.56     | 0.00%             | 2037-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2014-2, Class A                                                                         | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     783730 | PA      | $50744.95      | 0.00%             | 2040-04-25      | Variable      | 3.77%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class OP                                                                                    | CUSIP: 31396KXD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114176 | PA      | $92971.10      | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DD7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1569000 | PA      | $1265610.22    | 0.00%             | 2043-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11693726 | PA      | $11377862.40   | 0.02%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2004-6, Class 15                                                                | CUSIP: 57643MDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        320 | PA      | $318.09        | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    4308000 | PA      | $4250426.60    | 0.01%             | 2027-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3688, Class GT                                                                                      | CUSIP: 3137A0ML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1609352 | PA      | $1713090.05    | 0.00%             | 2046-11-15      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHY72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     690164 | PA      | $712388.63     | 0.00%             | 2036-12-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    7770000 | PA      | $4746784.45    | 0.01%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 412, Class F2                                                                                       | CUSIP: 31395QDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1662545 | PA      | $1616324.57    | 0.00%             | 2042-08-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-18, Class Z                                                                                     | CUSIP: 31359VRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2424 | PA      | $2418.70       | 0.00%             | 2029-04-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                                   | Bank of New York Mellon Corp. (The)                                                                                      | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   19650000 | PA      | $21377980.32   | 0.04%             | 2034-10-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-K102, Class B                                                                          | CUSIP: 30312WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5605686.00    | 0.01%             | 2051-12-25      | Variable      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2001-35, Class SA                                                                                           | CUSIP: 38373RTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34178 | PA      | $63.78         | 0.00%             | 2031-08-16      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7208067 | PA      | $6636189.38    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAS9<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    6440000 | PA      | $5312178.13    | 0.01%             | 2034-11-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2022-6, Class D                                                           | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   67185000 | PA      | $67800031.65   | 0.14%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   14830000 | PA      | $14327478.48   | 0.03%             | 2027-06-14      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  113240000 | PA      | $110572666.90  | 0.23%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410QPY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37529 | PA      | $38178.74      | 0.00%             | 2036-10-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7397000 | PA      | $7238308.39    | 0.01%             | 2029-01-24      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M7VE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167711 | PA      | $173277.11     | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MEB88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11208888 | PA      | $10868251.73   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class MTU                                                      | CUSIP: 35563PSE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   39249697 | PA      | $31822900.52   | 0.06%             | 2060-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR2, Class E1                                                                         | CUSIP: 33767PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   50000000 | PA      | $48465770.00   | 0.10%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31410GAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176637 | PA      | $178193.35     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   11185000 | PA      | $11213430.70   | 0.02%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617X2A80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20418900 | PA      | $18178611.84   | 0.04%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-64CB, Class 1A9                                                                      | CUSIP: 12668AZU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     309459 | PA      | $273987.58     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4012, Class FN                                                                                      | CUSIP: 3137AMMX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2521437 | PA      | $2486585.26    | 0.01%             | 2042-03-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                              | Marvell Technology, Inc.                                                                                                 | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7790000 | PA      | $6965527.20    | 0.01%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                            | BXG Receivables Note Trust, Series 2023-A, Class B                                                                       | CUSIP: 123919AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18029280 | PA      | $18275781.77   | 0.04%             | 2038-11-15      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2019-SFR1, Class E                                                                                    | CUSIP: 00178XAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7800000 | PA      | $7495270.38    | 0.02%             | 2039-01-19      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     218772 | PA      | $207959.68     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-2, Class AA                                                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5677429 | PA      | $5014174.19    | 0.01%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36651026 | PA      | $38324313.51   | 0.08%             | 2071-11-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2024-1, Class AA                                                              | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27816798 | PA      | $27630740.15   | 0.06%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2423, Class TB                                                                                      | CUSIP: 31339WBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91094 | PA      | $93881.61      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400AXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196298 | PA      | $200017.11     | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                                                      | FHF Issuer Trust, Series 2023-2A, Class A2                                                                               | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7124260 | PA      | $7226392.15    | 0.01%             | 2029-10-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $13110024.20   | 0.03%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUD46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16944998 | PA      | $17700387.34   | 0.04%             | 2071-08-20      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119DA4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    9612000 | PA      | $9728219.85    | 0.02%             | 2032-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2023-2A, Class D                                                           | CUSIP: 959926AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18890000 | PA      | $19304765.84   | 0.04%             | 2028-11-15      | Fixed         | 7.01%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJ5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14699000 | PA      | $14707332.57   | 0.03%             | 2033-04-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4X28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293122 | PA      | $300641.44     | 0.00%             | 2037-05-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                          | ING Groep NV                                                                                                             | CUSIP: 456837AH6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    2572000 | PA      | $2546816.96    | 0.01%             | 2027-03-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W8, Class 3A                                                                         | CUSIP: 31394ALN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93021 | PA      | $95202.28      | 0.00%             | 2044-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $15837117.28   | 0.03%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBPU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28687859 | PA      | $26369995.88   | 0.05%             | 2059-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-71, Class SB                                                                                           | CUSIP: 38374JBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81215 | PA      | $89907.43      | 0.00%             | 2034-09-20      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3NT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     591232 | PA      | $545035.42     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust, Series 2009                                                                                      | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3623842 | PA      | $3915365.96    | 0.01%             | 2031-07-10      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-9, Class P                                                                                             | CUSIP: 38383FP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21332117 | PA      | $18689727.03   | 0.04%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2209, Class TC                                                                                      | CUSIP: 3133TNCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14896 | PA      | $15495.17      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                                        | Thermo Fisher Scientific, Inc.                                                                                           | CUSIP: 883556CM2<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    6745000 | PA      | $4706974.71    | 0.01%             | 2041-10-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4758000 | PA      | $4821372.71    | 0.01%             | 2030-07-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LAZA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13436831 | PA      | $13052605.67   | 0.03%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296SLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86835 | PA      | $88407.10      | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-33, Class IA                                                                                    | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218420 | PA      | $30664.24      | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22337941 | PA      | $21732721.74   | 0.04%             | 2033-06-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-108, Class SA                                                                                   | CUSIP: 31396XR55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25021 | PA      | $1634.97       | 0.00%             | 2037-12-25      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class MY                                                                                    | CUSIP: 3139205U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101989 | PA      | $106173.76     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30764665 | PA      | $32180322.52   | 0.07%             | 2072-03-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044DF5<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   11000000 | PA      | $8106868.22    | 0.02%             | 2046-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes Trust                                           | Tricon American Homes Trust, Series 2019-SFR1, Class D                                                                   | CUSIP: 89612LAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4641000 | PA      | $4554445.81    | 0.01%             | 2038-03-17      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K142, Class A2                                          | CUSIP: 3137H73P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58400000 | PA      | $51263952.16   | 0.10%             | 2032-03-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   12630000 | PA      | $12382351.84   | 0.03%             | 2034-01-26      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Mead Johnson Nutrition Co.                                            | Mead Johnson Nutrition Co.                                                                                               | CUSIP: 582839AG1<br>LEI: E4BJRFT3MF4GJDY1SC50 | Long             | DBT              | CORP              | US        |     955000 | PA      | $810610.81     | 0.00%             | 2044-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   19515000 | PA      | $14979945.84   | 0.03%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                               | Volkswagen Group of America Finance LLC                                                                                  | CUSIP: 928668BN1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    6615000 | PA      | $6094115.65    | 0.01%             | 2027-11-24      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Evergy Missouri West Storm Funding I LLC                              | Evergy Missouri West Storm Funding I LLC, Series A-1                                                                     | CUSIP: 30037HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11022662 | PA      | $10849560.97   | 0.02%             | 2038-12-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1773557 | PA      | $1689601.72    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3422, Class SE                                                                                      | CUSIP: 31397RDJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45446 | PA      | $47769.40      | 0.00%             | 2038-02-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KPWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36872857 | PA      | $33851897.13   | 0.07%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05578AE46<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2915000 | PA      | $2929530.34    | 0.01%             | 2027-07-19      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-5, Class 1A4                                                                | CUSIP: 12669FVR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     351420 | PA      | $357715.87     | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4707841 | PA      | $4248957.70    | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2004-W11, Class 1A1                                                                | CUSIP: 31394AB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344139 | PA      | $355429.73     | 0.00%             | 2044-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132Y13D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3086518 | PA      | $3066079.39    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5246000 | PA      | $5311289.20    | 0.01%             | 2028-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                                | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A                                                        | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10864466 | PA      | $10728043.34   | 0.02%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                              | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A                                                        | CUSIP: 05377RDU5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   12020000 | PA      | $11980531.18   | 0.02%             | 2026-08-20      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-40, Class FJ                                                                                    | CUSIP: 31398PQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36762 | PA      | $36717.53      | 0.00%             | 2040-04-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| COOF Securitization Trust Ltd.                                        | COOF Securitization Trust Ltd., Series 2014-1, Class A                                                                   | CUSIP: 12631UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1283903 | PA      | $84587.41      | 0.00%             | 2040-06-25      | Variable      | 3.31%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9295000 | PA      | $9378799.72    | 0.02%             | 2034-07-21      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2005-6, Class 3A1                                                                   | CUSIP: 576434W59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58354 | PA      | $50819.25      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SBN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43420 | PA      | $44568.48      | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.                | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-HYB1, Class A                                        | CUSIP: 79549AYG8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |     108529 | PA      | $111055.12     | 0.00%             | 2033-09-25      | Variable      | 7.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2450, Class GZ                                                                                      | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79897 | PA      | $84210.82      | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                             | BXP Trust, Series 2017-GM, Class A                                                                                       | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5817000 | PA      | $5607562.41    | 0.01%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M15, Class A2                                                                                     | CUSIP: 3136AY6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8044787 | PA      | $7838640.81    | 0.02%             | 2027-09-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BQ2<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    3458000 | PA      | $3406555.82    | 0.01%             | 2026-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H08, Class FS                                                                                          | CUSIP: 38375BQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1515664 | PA      | $1527970.88    | 0.00%             | 2062-04-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A6                                                | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1117806 | PA      | $1110591.64    | 0.00%             | 2033-09-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H07, Class ES                                                                                          | CUSIP: 38375UVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1717591 | PA      | $1723234.72    | 0.00%             | 2065-02-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                  | Prime Mortgage Trust, Series 2004-CL1, Class 1A1                                                                         | CUSIP: 74160MDK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     135383 | PA      | $134206.61     | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241LPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     945621 | PA      | $971738.18     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   15265000 | PA      | $14844894.07   | 0.03%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR Issuer Trust                                               | PNMAC GMSR ISSUER TRUST, Series 2022-GT1, Class A                                                                        | CUSIP: 69354WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   60745000 | PA      | $60920625.94   | 0.12%             | 2027-05-25      | Floating      | 8.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-31, Class MA                                                                                    | CUSIP: 3136BVYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11147867 | PA      | $9165408.45    | 0.02%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc.                                                                                                    | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1076000 | PA      | $1192249.15    | 0.00%             | 2038-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H02, Class FB                                                                                          | CUSIP: 38375UUA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1546399 | PA      | $1549293.81    | 0.00%             | 2064-12-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2023-3A, Class C                                                                        | CUSIP: 67571CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3539000 | PA      | $3607965.20    | 0.01%             | 2029-08-20      | Fixed         | 6.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54320000 | PA      | $50999027.30   | 0.10%             | 2032-09-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                          | Exelon Corp.                                                                                                             | CUSIP: 30161NBK6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13147198.22   | 0.03%             | 2033-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2012-3, Class A                                                                         | CUSIP: 48248FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      40790 | PA      | $0.00          | 0.00%             | 2026-09-25      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CQ1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    5070000 | PA      | $4923896.44    | 0.01%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-133, Class ES                                                                                          | CUSIP: 38383TYR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8956288 | PA      | $8959816.90    | 0.02%             | 2052-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XVX57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14242631 | PA      | $13093622.88   | 0.03%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KHRB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6164107 | PA      | $5821198.65    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-141, Class WA                                                                                          | CUSIP: 38378GPE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1295227 | PA      | $1272843.91    | 0.00%             | 2041-11-16      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHPZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45001000 | PA      | $44050242.72   | 0.09%             | 2029-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Southwest Gas Corp.                                                   | Southwest Gas Corp.                                                                                                      | CUSIP: 844895AX0<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |    3595000 | PA      | $2564916.63    | 0.01%             | 2046-09-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-33, Class CI                                                                                           | CUSIP: 38374UKD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104516 | PA      | $7623.49       | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FW Energy Asset Issuer LLC                                            | FW Energy Asset Issuer LLC                                                                                               | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   68781313 | PA      | $69335758.91   | 0.14%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1364697 | PA      | $1293212.06    | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ontario Teachers' Cadillac Fairview Properties Trust                  | Ontario Teachers' Cadillac Fairview Properties Trust                                                                     | CUSIP: 68327LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    6562000 | PA      | $6462317.31    | 0.01%             | 2027-03-20      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    2669000 | PA      | $2534539.09    | 0.01%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2022-2A, Class C                                                               | CUSIP: 36265NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5753098 | PA      | $5756863.19    | 0.01%             | 2028-04-17      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Mount Sinai Hospital (The)                                            | Mount Sinai Hospital (The), Series 2017                                                                                  | CUSIP: 623115AD4<br>LEI: 549300IJEDK5LH7YPT15 | Long             | DBT              | CORP              | US        |    2747000 | PA      | $1929147.58    | 0.00%             | 2048-07-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Public Service Enterprise Group, Inc.                                 | Public Service Enterprise Group, Inc.                                                                                    | CUSIP: 744573AZ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7767592.14    | 0.02%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                 | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KBS8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   10380000 | PA      | $10406915.03   | 0.02%             | 2025-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| KeySpan Gas East Corp.                                                | KeySpan Gas East Corp.                                                                                                   | CUSIP: 49338CAB9<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |    4242000 | PA      | $4136332.46    | 0.01%             | 2026-08-15      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSZC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91789 | PA      | $93536.59      | 0.00%             | 2036-10-01      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2022-2A, Class D                                                               | CUSIP: 36265NAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19357000 | PA      | $19541648.36   | 0.04%             | 2028-04-17      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36201SRB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11911 | PA      | $12283.07      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust                | Stellantis Financial Underwritten Enhanced Lease Trust, Series 2025-AA, Class A3                                         | CUSIP: 858928AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14479000 | PA      | $14475756.70   | 0.03%             | 2028-07-20      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                              | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BE9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   24938000 | PA      | $24609281.25   | 0.05%             | 2029-09-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32585795 | PA      | $34118946.65   | 0.07%             | 2072-02-20      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2022-1A, Class D                                                                       | CUSIP: 784033AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11735000 | PA      | $11417692.64   | 0.02%             | 2031-11-20      | Fixed         | 3.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JDZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111422 | PA      | $115740.07     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   24370000 | PA      | $24708499.30   | 0.05%             | 2028-05-14      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-43, Class DO                                                                                    | CUSIP: 31395DF38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145042 | PA      | $125037.72     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                         | Duquesne Light Holdings, Inc.                                                                                            | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    6275000 | PA      | $5351012.27    | 0.01%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNRG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25707453 | PA      | $25146986.37   | 0.05%             | 2028-06-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                 | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                                                         | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     308444 | PA      | $303616.91     | 0.00%             | 2034-04-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-27, Class SN                                                                                    | CUSIP: 31396Y4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225810 | PA      | $23080.78      | 0.00%             | 2038-04-25      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMJV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11936847 | PA      | $11823095.75   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     840806 | PA      | $797317.52     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-60, Class PX                                                                                    | CUSIP: 3139213T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124107 | PA      | $127764.92     | 0.00%             | 2031-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2022-3A, Class D                                                               | CUSIP: 22534QAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   50000000 | PA      | $51298330.00   | 0.10%             | 2033-04-18      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XK3B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13351540 | PA      | $11385222.58   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-40, Class SA                                                                                           | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1610052 | PA      | $79183.32      | 0.00%             | 2038-05-16      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30127120 | PA      | $26234878.25   | 0.05%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   20600000 | PA      | $20884451.39   | 0.04%             | 2031-04-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-25, Class PZ                                                                                           | CUSIP: 38373QDV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     557199 | PA      | $555797.08     | 0.00%             | 2033-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   45845000 | PA      | $46574918.88   | 0.10%             | 2036-01-09      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9425000 | PA      | $9502999.79    | 0.02%             | 2031-01-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-72, Class GO                                                                                    | CUSIP: 31396KJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174143 | PA      | $151386.48     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400ES8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     895000 | PA      | $907395.51     | 0.00%             | 2034-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   27075000 | PA      | $27424542.31   | 0.06%             | 2027-06-08      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| VOLT CVI LLC                                                          | VOLT CVI LLC, Series 2021-NP12, Class A1                                                                                 | CUSIP: 92873KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9156118 | PA      | $9119303.64    | 0.02%             | 2051-12-26      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LLZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13845762 | PA      | $13449041.06   | 0.03%             | 2028-01-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2022-A, Class B                                                                           | CUSIP: 68378NAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13299000 | PA      | $13290359.64   | 0.03%             | 2031-06-09      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-14, Class KI                                                                                           | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     172105 | PA      | $11053.84      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3330000 | PA      | $2929070.83    | 0.01%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fortis, Inc.                                                          | Fortis, Inc.                                                                                                             | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |    8472000 | PA      | $8300775.88    | 0.02%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2024-1A, Class A3                                                                      | CUSIP: 783896AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21850000 | PA      | $22378455.36   | 0.05%             | 2032-01-20      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M13, Class A2                                                                                     | CUSIP: 3136BNX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60253000 | PA      | $53423539.36   | 0.11%             | 2032-06-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                                     | GLS Auto Select Receivables Trust, Series 2023-1A, Class A3                                                              | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14140000 | PA      | $14273235.56   | 0.03%             | 2028-10-16      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class AX                                                                                    | CUSIP: 31393CDE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95352 | PA      | $99059.89      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                               | Lendingpoint Asset Securitization Trust, Series 2022-C, Class C                                                          | CUSIP: 525919AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4300000 | PA      | $4054480.32    | 0.01%             | 2030-02-15      | Fixed         | 8.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140W1QH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37715247 | PA      | $34629514.26   | 0.07%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                               | Simon Property Group LP                                                                                                  | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   12865000 | PA      | $8423260.85    | 0.02%             | 2049-09-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6519630 | PA      | $6096824.37    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                                                                       | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1021062 | PA      | $1037028.25    | 0.00%             | 2034-08-25      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNKF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60000000 | PA      | $57997680.00   | 0.12%             | 2030-09-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Chester County Health and Education Facilities Authority              | Chester County Health and Education Facilities Authority, Main Line Health System, Series 2020C                          | CUSIP: 16557HGE9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   11130000 | PA      | $7347539.62    | 0.02%             | 2051-06-01      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55245000 | PA      | $52838821.15   | 0.11%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31404R3R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107205 | PA      | $107377.93     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                         | UniCredit SpA                                                                                                            | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   10885000 | PA      | $10570218.54   | 0.02%             | 2027-06-03      | Variable      | 1.98%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-52, Class PI                                                                                    | CUSIP: 31396QKF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     230817 | PA      | $35800.22      | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-56, Class IC                                                                                           | CUSIP: 38374LRT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75714 | PA      | $8436.34       | 0.00%             | 2035-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S42W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18623 | PA      | $18952.18      | 0.00%             | 2038-05-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                              | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1                                                        | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15930085 | PA      | $16020064.32   | 0.03%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2004-1                                                                             | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81293 | PA      | $58445.37      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-128, Class BP                                                                                   | CUSIP: 31396PES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17983 | PA      | $18028.58      | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-106, Class AS                                                                                          | CUSIP: 38376JFB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1121448 | PA      | $101845.43     | 0.00%             | 2039-11-16      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECX7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    5495000 | PA      | $5861843.62    | 0.01%             | 2054-03-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                     | CD Mortgage Trust, Series 2006-CD3, Class XS                                                                             | CUSIP: 14986DAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615325 | PA      | $1055.41       | 0.00%             | 2048-10-15      | Variable      | 0.19%                 | Yes           |                  3 | On Loan: No      |
| Diversified ABS Phase VIII LLC                                        | Diversified ABS Phase LLC, Series 2024-1A, Class A1                                                                      | CUSIP: 255123AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18055452 | PA      | $18200743.97   | 0.04%             | 2044-05-30      | Fixed         | 7.08%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HXUA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22962000 | PA      | $18697278.99   | 0.04%             | 2035-04-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70932 | PA      | $72196.49      | 0.00%             | 2036-11-01      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5025000 | PA      | $4904123.07    | 0.01%             | 2033-06-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                                    | Northwestern Mutual Global Funding                                                                                       | CUSIP: 66815L2D0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |   12520000 | PA      | $11578847.81   | 0.02%             | 2028-06-01      | Fixed         | 1.70%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KRJC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23356413 | PA      | $22697765.58   | 0.05%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-54, Class WA                                                                                           | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     742907 | PA      | $753954.03     | 0.00%             | 2042-11-20      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 36202EXN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10389 | PA      | $10496.63      | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    3664000 | PA      | $3595806.00    | 0.01%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418APN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     962814 | PA      | $886288.20     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58709872 | PA      | $48576266.67   | 0.10%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XFJB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50852000 | PA      | $46771214.47   | 0.10%             | 2028-11-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   53955000 | PA      | $53497731.38   | 0.11%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                                   | Suncor Energy, Inc.                                                                                                      | CUSIP: 867229AD8<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |   11584000 | PA      | $11728969.71   | 0.02%             | 2034-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Corebridge Global Funding                                             | Corebridge Global Funding                                                                                                | CUSIP: 00138CAV0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   18170000 | PA      | $18883074.02   | 0.04%             | 2028-09-19      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Memorial Sloan-Kettering Cancer Center                                | Memorial Sloan-Kettering Cancer Center, Series 2015                                                                      | CUSIP: 586054AC2<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |    3335000 | PA      | $2612434.20    | 0.01%             | 2055-07-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Baml PIMCO Frn                                                        | Baml PIMCO Frn                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   14338088 | PA      | $14338088.38   | 0.03%             | 2025-06-30      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| New York Life Insurance Co.                                           | New York Life Insurance Co.                                                                                              | CUSIP: 64952GAQ1<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |   11250000 | PA      | $8516773.91    | 0.02%             | 2069-05-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-121, Class S                                                                                           | CUSIP: 38383UCQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11449488 | PA      | $11829070.32   | 0.02%             | 2052-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-46, Class EP                                                                                    | CUSIP: 31393YQ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50717 | PA      | $50070.19      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   59925523 | PA      | $49614431.73   | 0.10%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCZ0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    9850000 | PA      | $8672820.69    | 0.02%             | 2042-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14287000 | PA      | $14430632.64   | 0.03%             | 2032-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2024-FRR2, Class A                                                                          | CUSIP: 05493UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13078000 | PA      | $12289396.60   | 0.03%             | 2050-07-27      | Variable      | 2.48%                 | Yes           |                  2 | On Loan: No      |
| Microsoft Corp.                                                       | Microsoft Corp.                                                                                                          | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    1820000 | PA      | $1149061.93    | 0.00%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKP80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32295000 | PA      | $31570289.87   | 0.06%             | 2033-05-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   12515000 | PA      | $11237665.04   | 0.02%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKCX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13528000 | PA      | $13022291.98   | 0.03%             | 2033-05-01      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    4157000 | PA      | $3532166.98    | 0.01%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   19095000 | PA      | $17726112.48   | 0.04%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    1904000 | PA      | $2019602.52    | 0.00%             | 2038-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M2, Class A2                                                                                      | CUSIP: 3136B0YM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19173603 | PA      | $18569850.96   | 0.04%             | 2028-01-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                 | Athene Global Funding                                                                                                    | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   42215000 | PA      | $41154549.49   | 0.08%             | 2026-11-12      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-1A, Class D                                                                             | CUSIP: 23346KAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15550000 | PA      | $15750786.27   | 0.03%             | 2028-11-15      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140K1GR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2328273 | PA      | $2087900.59    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-77, Class PC                                                                                    | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182733 | PA      | $187739.59     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Energy Assets                                                         | Energy Assets                                                                                                            | CUSIP: 302704AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |   20769993 | PA      | $20922611.11   | 0.04%             | 2044-08-25      | Fixed         | 8.11%                 | No            |                  3 | On Loan: No      |
| US Auto Funding Trust                                                 | US Auto Funding Trust, Series 2022-1A, Class C                                                                           | CUSIP: 90355FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40434000 | PA      | $404.34        | 0.00%             | 2026-09-15      | Fixed         | 6.21%                 | Yes           |                  3 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2024-1A, Class B                                                                       | CUSIP: 783896AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6540000 | PA      | $6722332.58    | 0.01%             | 2032-04-20      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M10, Class X                                                                                      | CUSIP: 3136B4D62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   68566115 | PA      | $1953757.17    | 0.00%             | 2049-05-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-42, Class AO                                                                                    | CUSIP: 31396VM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9441 | PA      | $8239.17       | 0.00%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF 2021-KLU3 Mortgage Trust                                        | FREMF Mortgage Trust, Series 2021-KLU3, Class BFX                                                                        | CUSIP: 30320PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9450673 | PA      | $8639228.54    | 0.02%             | 2031-01-25      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                            | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    3091000 | PA      | $2763970.87    | 0.01%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-16, Class WB                                                                                    | CUSIP: 31398MRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     605662 | PA      | $614568.44     | 0.00%             | 2040-03-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M9, Class APT2                                                                                    | CUSIP: 3136B2HC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   63514124 | PA      | $61610732.84   | 0.13%             | 2028-04-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2351, Class PZ                                                                                      | CUSIP: 313399HV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32476 | PA      | $33378.15      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3137, Class XP                                                                                      | CUSIP: 31396N2Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     266362 | PA      | $280217.46     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $5291447.00    | 0.01%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2022-2A, Class B                                                                       | CUSIP: 78397WAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12463664 | PA      | $12490024.41   | 0.03%             | 2032-02-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2005-W4, Class 1A1                                                                        | CUSIP: 31394VPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143491 | PA      | $146491.51     | 0.00%             | 2045-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class AP                                                 | CUSIP: 225470FW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34166 | PA      | $23380.28      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-16, Class IS                                                                                    | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186145 | PA      | $13224.22      | 0.00%             | 2038-03-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W6, Class 3A                                                                         | CUSIP: 31393BU94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455083 | PA      | $463588.53     | 0.00%             | 2042-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-53, Class SH                                                                                    | CUSIP: 31396WCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     492697 | PA      | $37170.71      | 0.00%             | 2037-06-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413HWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30769 | PA      | $31541.07      | 0.00%             | 2037-09-01      | Variable      | 7.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31381RTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1928739 | PA      | $1929518.69    | 0.00%             | 2026-07-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   23181000 | PA      | $22496291.21   | 0.05%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-65, Class QO                                                                                    | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105851 | PA      | $89639.38      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                                  | Siemens Financieringsmaatschappij NV                                                                                     | CUSIP: 82620KAF0<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |    3421000 | PA      | $2909012.59    | 0.01%             | 2045-05-27      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   13085000 | PA      | $11395091.09   | 0.02%             | 2032-11-22      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3305, Class MG                                                                                      | CUSIP: 31397GU73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121007 | PA      | $123953.81     | 0.00%             | 2034-07-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  151700000 | PA      | $146153468.75  | 0.30%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H11, Class VA                                                                                          | CUSIP: 38375UKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7675170 | PA      | $7702344.40    | 0.02%             | 2064-06-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-35, Class SI                                                                                    | CUSIP: 31396VMR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233551 | PA      | $10812.89      | 0.00%             | 2037-04-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio, Inc.                                                | Duke Energy Ohio, Inc.                                                                                                   | CUSIP: 26442EAE0<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    3297000 | PA      | $2391145.92    | 0.00%             | 2046-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HUUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6914165 | PA      | $6349408.14    | 0.01%             | 2031-08-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3219, Class DI                                                                                      | CUSIP: 31397BF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187133 | PA      | $31995.23      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3275, Class FL                                                                                      | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98448 | PA      | $97179.69      | 0.00%             | 2037-02-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHYS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141001 | PA      | $145841.78     | 0.00%             | 2037-05-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   52938975 | PA      | $43277945.60   | 0.09%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer